Kamakura Reports Global Credit Quality Declines Again in April

Honolulu - 1 May 2007

Kamakura Corporation announced today that its monthly global index of troubled companies increased moderately again in April to 6.6% of the global public company universe, compared to an index value of 6.2% in March. The 0.4% jump in the April index matched the increase in March. The index’s 17 year low point was 5.4% in March-May 2006. The 17-year high in the index was 28%, reached in September 2001, the worst part of the last recession. April 2007 global credit quality was better than 94.2% of the monthly periods since January 1990, down from 97.1% last month. The average value of the index has been 13.6% over the last 17 years. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index covers almost 18,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"Despite the increase in the Kamakura index again this month, credit quality remains very good overall," said Warren Sherman, Kamakura President and Chief Operating Officer. "Looking at the history of the index, there are very few periods in history with better overall conditions. It would be unrealistic to expect that there is much room for a significant improvement in credit quality going forward. A substantial decline in credit quality is much more likely. In April, the number of companies with default probabilities between 1% and 5% was 4.7% of the global public company universe, up 0.2% from March. Companies with default probabilities between 5% and 10% were up by 0.1% to 1.0% of the universe. The percentage of companies with default probabilities between 10% and 20% increased 0.1% in April to 0.6% of the universe. The number of global companies with default probabilities over 20% was unchanged, totaling 0.3% of the universe at the end of April."

Beginning in January 2006, Kamakura has 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, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

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