Kamakuraâs index had reached a recent peak of 22.25% in January, 2009. Credit conditions at the end of February were better than credit conditions in 93.08% of the months since the indexâs initiation in January 1990. This result, surprising to many, reflects the fact that companies in the âtroubled categoryâ are almost exclusively financial institutions or housing related firms, rather than a broad cross section of the economy. The average index value since January 1990 is 12.59%.
The all-time high in the index was 27.41%, recorded on October 31, 2001.
In February, the percentage of the global corporate universe with default probabilities between 1% and 5% was 4.84%, an increase of 7 basis points. The percentage of companies with default probabilities between 5% and 10% was 0.81%, a decrease of 2 basis points. The percentage of the universe with default probabilities between 10 and 20% was 0.28% of the universe, up 1 basis point, while the percentage of companies with default probabilities over 20% was 0.08% of the total universe in February, an increase of 1 basis point.
Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Wednesday, âAmong the 2,110 firms in the KRIS corporate universe with legacy ratings, only 5 firms showed increases in 1 month annualized default risk of more than 60 basis points. Only one of these firms was headquartered in the United States. These results continue to reflect that fact that the balance sheets of most corporations outside of the construction and finance related industries remain strong.â
Beginning in November, 2010, the Kamakura index uses the annualized one month default probability produced by the KRIS version 5.0 Jarrow-Chava reduced form default probability model, 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, China, Denmark, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Poland, Russia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, United Kingdom, and the United States.