SOURCE: Kamakura Corporation

Kamakura Corporation

April 05, 2011 10:00 ET

Kamakura Troubled Company Index Shows Slight Improvement in Credit Quality in March

Kamakura Troubled Company Index Declined 0.54% to 5.47%

NEW YORK, NY--(Marketwire - April 5, 2011) - Kamakura Corporation reported Tuesday that the Kamakura index of troubled public companies fell in March. The index set an all-time low of 4.36% on December 17, 2010, but has shown quite a bit of volatility over the past month hitting an intra-month high of 7.28% on March 16, but then falling throughout the month. The intra-month spike was caused by the earthquake, tsunami and subsequent Fukushima nuclear power plant crisis. These same disaster-related effects made TEPCO the firm with the world's highest one-month default risk among rated companies. 

The Kamakura troubled company index measures the percentage of 29,400 public firms in 37 countries that have annualized 1 month default risk over one percent. Beginning with the November 2010 index value, the Kamakura troubled company index is now based on the version 5.0 default models from Kamakura Risk Information Services. Previously, the index was reported using the KRIS version 4.1 models. The version 5 models were estimated over the period from January 1990 to December 2008 and therefore capture the key events of the credit crisis in the fall of 2008.

Kamakura's index had reached a recent peak of 22.25% in January, 2009. Credit conditions at the end of March were better than credit conditions in 98.08% of the months since the index's initiation in January 1990.

The average index value since January 1990 is 12.56%.

The all-time high in the index was 27.41%, recorded on October 31, 2001. To follow the troubled company index and other risk commentary by Kamakura on a daily basis, see www.twitter.com/dvandeventer and www.twitter.com/KamakuraCo. For a detailed comparison of Versions 5.0 and 4.1 of the index, please see this recent blog entry:

http://www.kamakuraco.com/Blog/tabid/231/EntryId/241/Introducing-the-Kamakura-Troubled-Company-Index-Version-5.aspx

In March, the percentage of the global corporate universe with default probabilities between 1% and 5% was 4.45%, a decrease of 39 basis points. The percentage of companies with default probabilities between 5% and 10% was 0.74%, a decrease of 7 basis points. The percentage of the universe with default probabilities between 10 and 20% was 0.21% of the universe, down 7 basis points, while the percentage of companies with default probabilities over 20% was 0.07% of the total universe in March, a decrease of 1 basis point. 

Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Wednesday, "Among the 2,116 firms in the KRIS corporate universe with legacy ratings, only 14 firms showed increases in 1 month annualized default risk of more than 60 basis points with 8 of them being Japanese companies. There were three firms headquartered in the United States and all were in the transportation sector with two being in the marine transport segment. These results continue to reflect the fact that the balance sheets of most corporations remain strong and problem situations have tended to be firm specific or tied to specific global events."

Beginning in November 2010, the Kamakura index uses the annualized one month default probability produced by the KRIS version 5.0 Jarrow-Chava reduced form default probability model, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The countries currently covered by the index include Australia, Austria, Belgium, Brazil, Canada, China, Denmark, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Poland, Russia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, United Kingdom, and the United States.

About Kamakura Corporation
Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has taken Credit Technology Innovation Awards from Credit Magazine each year since 2008. In 2010, Kamakura was the only vendor to win 2 innovation awards, one each with distribution partners Fiserv and Thomson Reuters. Kamakura, along with its distributor Fiserv, was ranked number one in asset and liability management analysis and liquidity risk analysis in the RISK Technology Rankings in 2009. Kamakura Risk Manager, first sold commercially in 1993 and now in version 7.2, was also named in the top five for market risk assessment, Basel II capital calculations, and for "risk dashboard." Kamakura was also ranked in the RISK Technology Rankings 2008 as one of the world's top 3 risk information providers for its KRIS default probability service. The KRIS public firm default service was launched in 2002, and the KRIS sovereign default service, the world's first, was launched in 2008. KRIS default probabilities are displayed for 4000 corporates and sovereigns via the Reuters 3000 Xtra service and the Thomson Reuters Eikon service. Kamakura has served more than 200 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 33 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, South America, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv (www.fiserv.com), Sumisho Computer Systems (http://www.scs.co.jp/english/), Unisys (www.unisys.com), and Zylog Systems (www.zsl.com), making Kamakura products available in almost every major city around the globe.

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