Kamakura Announces Free Trials of Its KRIS Default Probability Service in Response to Proposed Rules Eliminating Ratings from Market Risk Capital Requirements

New York - 8 December 2011

Federal Reserve, FDIC and OCC Seek Comment on Revised Market Risk Rules

Kamakura Corporation reported Thursday that it would offer free trials of its Kamakura Risk Information Services default probability service to financial institutions and bank regulatory agencies in response to Wednesday’s announcement by U.S. bank regulators of a revised approach to market risk capital that eliminates reference to credit ratings. The Federal Reserve, Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency are seeking comment on a revised notice of proposed rule-making that “includes alternative standards of creditworthiness to be used in place of credit ratings to determine the capital requirements for certain debt and securitization positions covered by the market risk capital rules.”

Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Thursday, “This announcement by U.S. bank regulators is consistent with 20 years of credit risk research by Kamakura Corporation. A modern quantitative approach to credit risk assessment like the KRIS default service for corporates, non-public firms and sovereigns is much more accurate and timelier than legacy credit ratings. In addition, the KRIS default probability service has explicit and transparent links to the macro factors specified in the U.S. Comprehensive Capital Assessment and Review 2012 stress tests and in similar risk regulations around the world. For this reason, Kamakura is very pleased to extend its offer of free trials to its KRIS default probability service to financial services firms and bank regulators in order to help them prepare for new market risk rules on a timely basis.”

Kamakura Corporation launched its KRIS public firm default probability service in October 2002. The service includes a full term structure of default probabilities out to 10 years, implied credit spreads, and implied ratings for 30,700 public firms in 37 countries. In 2008, Kamakura initiated the world’s first quantitative sovereign default probability service, which provides daily updates on 183 sovereigns. Earlier this year, Kamakura also announced its non-public firm default probability service which has been benchmarked on a multi-national data base of 2.86 million observations and 41,119 defaults.

The Kamakura Risk Information Services default probabilities are seamlessly integrated with Kamakura’s industry leading enterprise software package Kamakura Risk Manager and the KRIS-Credit Portfolio Manager software-as-a-service offering.

For a free trial of the KRIS default probability products, please contact any of Kamakura’s world-wide offices.

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