At the current 24.0% level, the index shows that credit conditions are better than only 4.0% of the monthly periods since the start of the index in January, 1990. The all-time low in the index was 5.4%, recorded in April and May, 2006. The index covers more than 21,000 public companies in 30 countries using the fourth generation version of Kamakura's advanced credit models. The data behind the Kamakura credit models was recently featured in the December Journal of Finance in an article âIn Search of Distress Riskâ by John Y. Campbell, Kamakura senior research fellow Jens Hilscher, and Jan Szilagyi.
"On September 3, Kamakura reported that Chesapeake Corporation and Tronox were among the rated companies with the largest one month jumps in short term default risk,â said Warren Sherman, Kamakura President and Chief Operating Officer. "Chesapeake Corporation filed for bankruptcy December 30 and Tronoxâs credit rating was dropped to D earlier this month. On November 3, Anglo Irish Bank and Bank of Ireland were named by Kamakura as showing the sharpest rises in default probabilities among rated companies. Both were rescued by the Irish government on December 22. This month, among rated public companies, the companies showing the sharpest rise in short term default risk were U.S. Shipping Partners LP, Rotech Healthcare, and YRC Worldwide. In December, the percentage of the global corporate universe with default probabilities between 1% and 5% decreased by 0.1% to 13.2%. The percentage of companies with default probabilities between 5% and 10% was up 0.2% to 4.4% of the universe in December. The percentage of the universe with default probabilities between 10 and 20% rose 0.3% to 3.1% of the universe. The percentage of companies with default probabilities over 20% was up a very sharp 1.0% to 3.3% of the total universe in December."