Kamakura Reports Decline in Corporate Credit Quality in May: Kamakura Troubled Company Index Jumps 0.84% to 10.30%

In May, the percentage of the global corporate universe with default probabilities between 1% and 5% was 6.98%, an increase of 48 basis points. The percentage of companies with default probabilities between 5% and 10% was 1.62%, an increase of 20 basis points.  The percentage of the universe with default probabilities between 10 and 20% was 1.01% of the universe, up 15 basis points, while the percentage of companies with default probabilities over 20% was 0.69% of the total universe in May.

Kamakura's President Warren A. Sherman said Wednesday, "Over the weekend the New York Times posed the question 'Can someone please explain to me why anyone believes in ratings?' That column can be found at this link:

http://www.nytimes.com/2010/06/01/business/01sorkin.html?ref=business

The importance of that question is borne out by the chart below which shows the highest 5 year cumulative default probabilities for firms with ratings in the markets that were open on Monday. Seven of the 12 firms have investment grade ratings in spite of cumulative default probabilities that are over 15% for all 12 firms."

The Kamakura 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, China, Denmark, Finland, France, Germany, Hong Kong, India, Indonesia, 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, 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 7.1.2, 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. 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 32 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, 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, Suite 1400, Honolulu, Hawaii 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Information: [email protected]
Web site: www.kamakuraco.com