Kamakura Troubled Company Index Reaches Highest Level Since November
HONOLULU, September 2, 2004: Kamakura Corporation reported today that its monthly index of troubled companies in the United States jumped 0.8% in August to 14.0% of the public company universe. This is the highest level of troubled companies since November 2003. Kamakura classifies any company with a default probability of more than one percent as troubled.
"In August we saw a spike in the troubled company index in mid-month with a slight decline at the end of the month," commented Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "As of the end of the month, the number of companies with default probabilities between 1% and 5% remained unchanged at 7.9% of the universe. In the 5% to 100% default probability range, however, we saw a jump of 0.8% in the number of troubled companies. We continue to maintain our view from last month that we have passed the 'sweet spot' of the credit cycle, although we expect some volatility in the troubled company index from here on."
Kamakura reported that 2.2 percent of the U.S. corporate universe had default probabilities between 5 and 10 percent and 1.4 percent of the universe had default probabilities between 10 and 20 percent. The company said that 2.3 percent of the U.S. public company universe had default probabilities over more than 20 percent.
Kamakura is offering free trials of its KRIS default probability service to qualified institutions. For more information on Kamakura's free trial offer please visit the Kamakura Corporation web site. Additional information can also be found in Credit Risk Models and the Basel Accords (John Wiley & Sons, 2003) by Kamakura's van Deventer and Kenji Imai and available on Amazon.