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Kamakura Credit Index Shows Recession Is Underway Kamakura Troubled Company Index Rates 13.6% of Corporates in Distress


Kamakura Corporation

2008-04-01 07:00:00

Kamakura Credit Index Shows Recession Is Underway

Kamakura Troubled Company Index Rates 13.6% of Corporates in Distress

HONOLULU, HI–( EMWNews – April 1, 2008) – Kamakura Corporation announced today that its

monthly index of troubled public companies increased sharply in March,

firmly signaling that the global economy has moved into a recession. The

Kamakura troubled company index jumped sharply from 12.3% in February to

13.6% in March. Kamakura defines a “recession” as a period where corporate

credit quality is worse than the 19-year average for the troubled company

index, 13.4%. At its current 13.6% level, the index shows that credit

conditions are better than only 41.3% of the monthly periods since the

start of the index in January 1990. Kamakura defines a troubled company as

a company whose default

probability is in excess of 1%. The index covers more than 20,000 public

companies in 29 countries using the fourth generation version of Kamakura’s

advanced credit models.

“This month’s move in the troubled company index puts us firmly in

recession territory,” said Warren Sherman, Kamakura President and Chief

Operating Officer. “While we remain well below the 28.0% peak of the index

reached in September 2001, this month’s deterioration in credit quality was

broad-based. In March, the percentage of the global corporate universe with

default probabilities between 1% and 5% jumped 0.7% to 9.2%. The percentage

of companies with default probabilities between 5% and 10% was up 0.5% to

2.4% of the universe in March. The percentage of the universe with default

probabilities between 10 and 20% was unchanged at 1.3% of the universe.

The percentage of companies with default probabilities over 20% was up by

0.1% to 0.8% of the total universe in March.”

Beginning in January 2006, Kamakura moved to a global index covering 29

countries using 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, 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 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. 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 worldwide distribution alliances with IPS-Sendero

( and Unisys (, making Kamakura

products available in almost every major city around the globe.

For more information contact

Warren Sherman
Kamakura Corporation

Kamakura Corporation
2222 Kalakaua Avenue, 14th Floor
Honolulu, Hawaii 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Web site:

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