Kamakura Corporation announced Monday that its monthly index of troubled public companies showed strong improvement in May after deteriorating in 9 of the previous 10 months. Kamakura’s troubled company index decreased significantly in May to 12.7 percent, down from 13.7 percent in April. The one percent decline is the biggest monthly improvement in credit quality since January 2007. At the current 12.7 percent level, the index shows that credit conditions are better than 48.7 percent of the monthly periods since the start of the index in January, 1990. Kamakura defines a troubled company as a company whose default probability is in excess of one percent. The index covers more than 20,000 public companies in 30 countries using the fourth generation version of Kamakura's advanced credit models.

"The sharp reversal in the steady deterioration of credit quality that we have seen for the last year came in all but the most troubled companies," said Warren Sherman, Kamakura President and Chief Operating Officer. "In May, the percentage of the global corporate universe with default probabilities between one percent and five percent fell 0.5 percent to 8.8 percent. The percentage of companies with default probabilities between five percent and 10 percent was down 0.1 percent to two percent of the universe in May. The percentage of the universe with default probabilities between 10 and 20 percent was down a very significant 0.3 percent to one percent of the universe. The percentage of companies with default probabilities over 20 percent was the only category that did not improve. The most troubled companies remained at 0.9 percent of the total universe in May. "

Beginning in January 2006, Kamakura moved to a global index covering 30 countries using the annualized one month default probability produced by the best performing credit model of the Kamakura Risk Information Services default and correlation service. The model used is the fourth generation Jarrow-Chava reduced form default probability, 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, Denmark, Finland, France, Germany, Hong Kong, India, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

To subscribe or visit go to:  http://www.riskcenter.com