Global Credit Quality Slips in December to Lowest Point in 2006

Honolulu - 8 January 2007

Current Credit Quality Ranks Better Than 86% of Last 192 Months

Kamakura Corporation announced today that its monthly global index of troubled companies rose in December to 7.3% of the global public company universe, up from 7.0% of the universe in November. December global credit quality was superior to 86% of the monthly periods since January 1990, down from a 90% rank in November. The December troubled company index is at its highest level since hitting 8.4% in November 2005. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index covers more than 17,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models. The Kamakura troubled company 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.

"Credit quality continues to vary in a narrow range at levels that are very good but not great," said Warren Sherman, Kamakura President and Chief Operating Officer. "The number of companies with default probabilities between 1% and 5% was 5.0% of the global public company universe in December, unchanged from November. Companies with default probabilities between 5 and 10% were up 0.2% to 1.2% of the universe. The percentage of companies with default probabilities between 10% and 20% increased in December by 0.1% to 0.7% of the universe. The number of global companies with default probabilities over 20% also increased 0.1% to 0.5% of the universe at the end of December."

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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