Kamakura Reports Significant Decline in Global Credit Quality in August

Honolulu - 4 September 2007

Kamakura Troubled Company Index Rises to 7.7%

Kamakura Corporation reported today that 7.7% of global public companies are classified as troubled, a significant decline in credit quality compared to the 6.5% troubled company figure for July. Kamakura had reported a mid-August interim troubled company ratio of 7.4%. The proportion of troubled companies has not been at the 7.7% level on a sustained basis since the second quarter of 2005.

August 2007 global credit quality remained better than 79.5% of the monthly periods since January 1990, down sharply from a 95.2% rank in July. The average value of the index has been 13.5% over the last 17 years. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index now covers more than 20,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"The crisis in the housing sector and related asset-backed commercial paper markets is beginning to affect corporate credit quality in general," said Warren Sherman, Kamakura President and Chief Operating Officer. "Over the month of August, the deterioration in credit quality has become more broadly based. The percentage of the global corporate universe with default probabilities between 1% and 5% increased sharply from 4.7% of the universe at the end of July to 5.5% of the universe at the end of August. The percentage of companies with default probabilities between 5% and 10% was up by 0.2% to 1.1% of the universe in August. The percentage of the universe with default probabilities between 10 and 20% was unchanged at 0.6% of the universe. The percentage of companies with default probabilities over 20% increased by 0.1% to 0.4% of the total universe in August. "

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