Kamakura Reports Global Corporate Credit Quality Reaches Worst Levels Since May 2003

30 September 2008

Kamakura Corporation announced Wednesday that the Kamakura index of troubled public companies reached 16.4% of the global public company universe in September, the highest level since May 2003. The Kamakura index has now shown declines in credit quality in 13 of the last 14 months. At the 16.4% level, an increase of 1.6% from August, the index shows that credit conditions are better than only 28% of the monthly periods since the start of the index in January, 1990. The all-time high in the index was 28.0% of the public company universe, reached in September 2001, and the all-time low was 5.4%, recorded in April and May, 2006. Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. The index covers more than 21,000 public companies in 30 countries using the fourth generation version of Kamakura's advanced credit models.

"On the record date for the index calculation, Washington Mutual had the highest one year default probabilities, 58%, of the 21,000 companies in the universe, just hours before the FDIC takeover was announced,” said Warren Sherman, Kamakura President and Chief Operating Officer. "Among rated public companies, Washington Mutual showed the highest increase in one year default probabilities, followed by Natixis in France and the Spanish Broadcasting System in the US. In September, the percentage of the global corporate universe with default probabilities between 1% and 5% increased dramatically by 0.8% to 10.9%. The percentage of companies with default probabilities between 5% and 10% was up 0.3% to 2.6% of the universe in September. The percentage of the universe with default probabilities between 10 and 20% rose 0.1% to 1.6%. The percentage of companies with default probabilities over 20% was up 0.2% to 1.2% of the total universe in September."

The Kamakura troubled company index is a global index covering 30 countries. The index uses 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.

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