Kamakura Announces Paper by Robert A. Jarrow on Valuation of Warrants Issued Under Troubled Asset Relief Program

29 October 2009

Kamakura Corporation announced today that a new paper by Managing Director for Research Robert A. Jarrow on Troubled Asset Relief Program (“TARP”) warrant valuation is now available with registration in the research section of the Kamakura website . Professor Jarrow, who is also Ronald and Susan Lynch Professor of Investment Management at the Johnson School of Management at Cornell University, authored the paper as part of his work as a contractor for the U.S. Department of the Treasury in July and August. Professor Jarrow was asked by the U.S. Treasury to review pricing of warrants issued by the major financial institutions who issued preferred stock and warrants to the Treasury under the U.S. government’s TARP program. As these financial institutions recover, the Treasury allows them to repurchase the warrants at a price that represents “fair value” to both the government and the financial institution involved. The title of Professor Jarrow’s paper for the Department of the Treasury is “TARP Warrants Valuation Methods,” dated September 22, 2009.

Professor Jarrow has served as Managing Director for Research at Kamakura Corporation since 1995, and he currently serves as one of the five members of the Kamakura Board of Directors. Professor Jarrow has also served as a senior fellow at the Federal Deposit Insurance Corporation. Members of senior management at Kamakura have advised the governments of four Organization for Economic Co-operation and Development member countries on complex financial issues on numerous occasions.

Kamakura’s President Warren A. Sherman said Thursday, “Kamakura Corporation is very proud that Professor Jarrow could be of service to the U.S. Department of the Treasury. In troubled times, public service is both a privilege and an obligation. Now, more than ever, it is essential that best practices in risk management are employed in all branches of government and in the financial services industry so that leading institutions are more than ‘too big to fail’—they need to be ‘too smart to fail.’ Kamakura is pleased to make Professor Jarrow’s paper available as part of this effort.”

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