Kamakura Corporation announced Monday that the Kamakura index of troubled public companies made its seventh consecutive improvement in October. The index declined from 10.90% in September to 10.68%, with credit conditions at the best levels since December 2007. Kamakura’s index had reached a peak of 24.3% in March.
Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. Credit conditions are now better than credit conditions in 63.9 percent of the months since the index’s initiation in January 1990, and 3.02 percentage points better than the index’s historical average of 13.7%. The all-time low in the index was 5.4%, recorded in April and May, 2006, while the all-time high in the index was 28.0%, recorded in September 2001. The index is based on default probabilities for almost 27,000 companies in 30 countries.
In October, the percentage of the global corporate universe with default probabilities between 1% and 5% decreased by 0.03 percentage points to 7.37%. The percentage of companies with default probabilities between 5% and 10% was down 0.09 percentage points to 1.61%. The percentage of the universe with default probabilities between 10 and 20% was down 0.09 percentage points to 1.01% of the universe, while the percentage of companies with default probabilities over 20% was down by 0.11 percentage points to 0.69% of the total universe in October. In March, by contrast, 3.1% of the total universe had default probabilities over 20%.
Kamakura’s President Warren A. Sherman said Monday, “While credit quality continued to improve in October, the rate of improvement has slowed. Within the rated company universe, a number of companies have shown a significant increase in default risk. The rated firms showing the largest increase in short run default risk in October include Citadel Broadcasting, CIT, Allied Irish Bank, Bank of Ireland, and Ambac.“
Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. Credit conditions are now better than credit conditions in 63.9 percent of the months since the index’s initiation in January 1990, and 3.02 percentage points better than the index’s historical average of 13.7%. The all-time low in the index was 5.4%, recorded in April and May, 2006, while the all-time high in the index was 28.0%, recorded in September 2001. The index is based on default probabilities for almost 27,000 companies in 30 countries.
In October, the percentage of the global corporate universe with default probabilities between 1% and 5% decreased by 0.03 percentage points to 7.37%. The percentage of companies with default probabilities between 5% and 10% was down 0.09 percentage points to 1.61%. The percentage of the universe with default probabilities between 10 and 20% was down 0.09 percentage points to 1.01% of the universe, while the percentage of companies with default probabilities over 20% was down by 0.11 percentage points to 0.69% of the total universe in October. In March, by contrast, 3.1% of the total universe had default probabilities over 20%.
Kamakura’s President Warren A. Sherman said Monday, “While credit quality continued to improve in October, the rate of improvement has slowed. Within the rated company universe, a number of companies have shown a significant increase in default risk. The rated firms showing the largest increase in short run default risk in October include Citadel Broadcasting, CIT, Allied Irish Bank, Bank of Ireland, and Ambac.“
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