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Kamakura: Corporate Credit Conditions Improve 3 Points To 94th Percentile Today

|Includes:COY, DHF, DHY, JNK, SJNK, SPDR S&P 500 Trust ETF (SPY)

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Kamakura Corporation reported today that its troubled company index was down 0.10% to 5.92%. At this level, the index is at the 94th percentile of corporate credit conditions over the period from 1990 to the present. The all-time low in the index, the 100th percentile, was 4.36%, recorded in December 2010.

The Kamakura troubled company index measures the percentage of more than 33,000 public firms in 45 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 11.98%. Since November, 2010, the Kamakura index has used 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 version 5.0 model was estimated over the period from 1990 to 2008, and includes the insights of the worst part of the recent credit crisis. The countries currently covered by the index include Australia, Austria, Bahrain, Belgium, Brazil, Canada, China, Denmark, Egypt, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Kuwait, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Oman, Poland, Portugal, Qatar, Russia, Saudi Arabia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, United Arab Emirates, United Kingdom, the United States, and Vietnam.

Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

Stocks: SPY, JNK, SJNK, DHF, DHY, COY