Kamakura Troubled Company Index Shows First Improvement in Credit Quality Since May 2008
NEW YORK, February 3, 2009: Kamakura Corporation announced Tuesday that the Kamakura index of troubled public companies for January showed improved credit quality for only the second time in the last 18 months. The Kamakura global index of troubled companies decreased 0.9% to 23.1% of the public company universe. Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. The all-time high in the index was 28%, recorded in September 2001. At the January level of 23.1%, the index shows that credit conditions are better than only 6.2% of the monthly periods since the start of the index in January, 1990. The all-time low in the index was 5.4%, recorded in April and May, 2006. The index covers more than 21,000 public companies in 30 countries using the fourth generation version of Kamakura's advanced credit models.
"On January 6, Kamakura reported that US Shipping was among the rated companies with the largest one month jumps in short term default risk,” said Warren Sherman, Kamakura President and Chief Operating Officer. "The company declared bankruptcy the following day. This month, among rated public companies, the companies showing the sharpest rise in short term default risk were Royal Bank of Scotland Group, Allied Irish Banks, and Entravision Communications. The deterioration at Allied Irish Banks comes after a November citation in the Kamakura credit commentary and its subsequent rescue by the Irish government on December 22. In January, the percentage of the global corporate universe with default probabilities between 1% and 5% decreased by 0.1% to 13.1%. The percentage of companies with default probabilities between 5% and 10% was down 0.2% to 4.2% of the universe in January. The percentage of the universe with default probabilities between 10 and 20% was also down 0.1% to 3.0% of the universe. The percentage of companies with default probabilities over 20% was down 0.5% to 2.8% of the total universe in December."
The Kamakura troubled company index is a global index covering 30 countries. The index uses the annualized one month default probability produced by the best performing credit model of the Kamakura Risk Information Services default and correlation service. The model used is the fourth generation Jarrow-Chava reduced form default probability, 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, Denmark, Finland, France, Germany, Hong Kong, India, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, 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 been a provider of daily default probabilities and default correlations for listed companies since November, 2002. Kamakura announced the KRIS Sovereign Default Probability Service on May 19, 2008. Kamakura launched its collateralized debt obligation (CDO) pricing service KRIS-CDO in April 2007. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, transfer pricing, and capital allocation. The Kamakura Risk Manager system, now in version 7.0, was first offered commercially in 1993 and has been continually enhanced since then. Kamakura has served more than 185 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura’s risk management products are currently used in 27 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.
Kamakura has world-wide distribution alliances with Fiserv, Unisys, and Zylog Systems making Kamakura products available in almost every major city around the globe.
For more information contact
Kamakura Corporation
2222 Kalakaua Avenue, 14th Floor, Honolulu, Hawaii 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Information: info@kamakuraco.com
Web site: www.kamakuraco.com