Kamakura Troubled Company Index Decreases 0.30% to 5.77%
Kamakura Corporation reported Monday that the Kamakura troubled company index ended the month of January at 5.77%, a decrease of 0.30% from the prior month. The index reflects the percentage of the Kamakura 35,000 public firm universe that has a default probability over 1.00%. An increase in the index reflects declining credit quality while a decrease reflects improving credit quality.
As of the end of January, the percentage of the global corporate universe with default probabilities between 1% and 5% was 4.79%, down 0.32% from December. The percentage of the universe with default probabilities between 5% and 10% was 0.63%, up 0.01% from last month while the percentage between 10% and 20% was 0.26%, up 0.02%. The percentage of companies with default probabilities over 20% was 0.09%, down 0.01%. The index hit an intra-month high of 5.89% on January 2nd, while the intra-month low of 5.26% was on January 21st. The magnitude of change in the index during the month was 63 basis points.
At 5.77%, the troubled company index is at the 94th percentile of historical credit quality (with 100 being best all time) over the period from January 1990 to the present. Among the ten riskiest firms in January, four were from China, four were European firms and two were from the United States.