Kamakura Expands Insurance and Banking Prepayment Analysis, Adds Andrew Davidson & Co., Inc. Models

Kamakura Client Now Modeling Linked Prepayment and Default on 2 Million Loans

HONOLULU, February 21, 2003: Kamakura Corporation announced today that it has substantially expanded the prepayment modeling capabilities of its insurance and banking industry risk management system Kamakura Risk Manager, merging default and prepayment analysis and linking with the Andrew Davidson & Co., Inc. Vectors TM prepayment models. Kamakura reported that one of its leading clients is now processing more than 2 million consumer loans through the KRM net income and cash flow simulation system with fully integrated prepayment and default analysis on each loan in the portfolio. The Andrew Davidson & Co., Inc. prepayment models complement the very rich array of prepayment modeling capabilities already in Kamakura Risk Manager, including five-factor prepayment table analytics, multivariate prepayment functions, and Kamakura's proprietary transactions cost-based prepayment capabilities.

"The richness of the Andrew Davidson & Co., Inc. analytics library allows KRM clients still another powerful tool for analyzing the prepayment risk of mortgage backed securities, asset backed securities, and vanilla mortgage loans," commented Warren Sherman, Kamakura President and Chief Operating Officer. "We look forward to a long-term relationship with Andrew Davidson & Co., Inc. as we install KRM world-wide for credit risk, market risk and asset and liability management in the banking and insurance industries. Our interest in working with Andrew Davidson & Co., Inc. is long-standing and driven by our clients' respect for what Andy and colleagues have been able to accomplish over the years."

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