"Credit quality has now moved in a narrow band for the last four months with a high degree of volatility," said Warren Sherman, Kamakura President and Chief Operating Officer. "Among the rated companies showing the highest jump in one month default probabilities in June were PMI Group, Bank of Ireland, and Washington Mutual. In June, the percentage of the global corporate universe with default probabilities between 1% and 5% increased 0.5% to 9.3%. The percentage of companies with default probabilities between 5% and 10% was down 0.1% to 1.9% of the universe in June. The percentage of the universe with default probabilities between 10 and 20% was up 0.2% to 1.2% of the universe. The percentage of companies with default probabilities over 20% remained at 0.9% of the total universe in June."
Beginning in January 2006, Kamakura moved to a global index covering 30 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, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.