Global Credit Quality Index Reaches Record Level for Best Credit Conditions

Kamakura Credit Index Breaks Record Set in 1994

HONOLULU, April 4, 2006: Kamakura Corporation reported today that its monthly global index of troubled companies reached its lowest level since the index was begun in 1990. Credit conditions in March were better than at any time in the last 16 years. The new record of 5.7% of the public company universe represents a 0.7% decline from February 2006 and improves on the March 1994 record of 5.9%. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The all time high of the index was 28%, reached at the peak of the last recession in September, 2001. Kamakura expanded the index beginning in January to a global index covering 16,000 public companies in 29 countries using the fourth generation version of Kamakura’s advanced credit models.

“Never in the last 16 years have credit conditions been this good,” said Warren Sherman, Kamakura President and Chief Operating Officer. “In spite of the well-publicized problems in the auto sector, global credit quality is such that the number of troubled companies is less than half of the 16 year average for the index: 14.0%. The number of companies with default probabilities between 1% and 5% improved by 0.3% in March to 4.0% of the universe. Companies with default probabilities between 5 and 10% improved by 0.1% to 0.9% of the universe. Companies with default probabilities between 10% and 20% remained
constant at 0.6% of the universe. The number of global companies with default probabilities over 20% fell 0.1% to only 0.3% of the universe.”

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

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