Global Credit Quality Resumes Decline in September

HONOLULU - 3 October 2006

Kamakura Troubled Company Index Rises to 7.1%

Kamakura Corporation announced today that its monthly global index of troubled companies moved up again in September to 7.1% of the global corporate universe. The Kamakura troubled company index had declined in August to 6.8% after a steady rise throughout the summer. The index reached its 16-year low of 5.5% in April 2006. Its 16-year high of 28% was reached in September 2001, the worst part of the last recession. In percentile terms, September credit conditions rated better than 80% of the monthly periods over the last 16 years, a decline from 85% last month. The troubled company index averaged 13.0% over the 1990-2006 period. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index covers 17,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"A steady deterioration in credit quality unfolded during September after the brief stock-price related decline in default probabilities at the end of August," said Warren Sherman, Kamakura President and Chief Operating Officer. "The number of companies with default probabilities between 1% and 5% was 5.1% of the global public company universe in September. Companies with default probabilities between 5 and 10% remained steady at 1.0% of the universe. The percentage of companies with default probabilities between 10% and 20% was also stable at 0.6% of the universe. The number of global companies with default probabilities over 20% was 0.3% of the universe at the end of September."

Beginning in January 2006, 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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