Kamakura Credit Index Shows Recession is Underway

Honolulu, HI - 31 March 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.