Kamakura Troubled Company Index Improves In Credit Quality For The First Time Since May 2008

Kamakura Corporation announces 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

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Kamakura Corporation announces 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,” says 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.

D.C.

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