Kamakura Corporation announced that the Kamakura index of troubled public companies resumed its long run improvement, dropping 0.09% to 10.21% in June. The index had jumped from 9.46%% in April to 10.30% in May after declining in 12 of the 13 prior months. Kamakuras index had reached a recent peak of 24.3% in March, 2009. Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. Credit conditions in June were better than credit conditions in 67.2 % of the months since the indexs initiation in January 1990. The index is still 3.43 %age points better than the indexs historical average of 13.64%. The all-time low in the index was 5.40%, recorded on May 11, 2006, while the all-time high in the index was 28.0%, recorded on September 28, 2001. The index is based on default probabilities for more than 29,200 companies in 33 countries.
In June, the %age of the global corporate universe with default probabilities between 1% and 5% was 7.06%, an increase of 8 basis points. The %age of companies with default probabilities between 5% and 10% was 1.57%, a decrease of 5 basis points. The %age of the universe with default probabilities between 10 and 20% was 0.97% of the universe, down 4 basis points, while the %age of companies with default probabilities over 20% was 0.61% of the total universe in June, a decline of 8 basis points.
David Boldon, Washington DC representative for Kamakura Corporation, said Friday, While the overall credit quality of public firms has improved, five rated firms showed significant increases in short-run credit risk. YRC Worldwide, Blockbuster, National Bank of Greece, Mizuho Financial Group, and First Bancorp all showed a default probability jump of more than 200 basis points.”
D.C.