HONOLULU, February 7, 2001-- Honolulu-based Kamakura Corporation announced today that it has reached agreement with BBVA Bancomer S.A. in Mexico City to implement the full Kamakura market risk management software suite, including option-adjusted valuation and three different value at risk calculations. The Kamakura Risk Manager-var suite includes historical value at risk, the variance-covariance approach to value at risk, and Kamakura’s proprietary option-adjusted value at risk. Kamakura Risk Manager also has the ability to calculate VAR at any future date and to calculate VAR for any incremental additions to a portfolio during the day..

"We have thoroughly tested Kamakura’s analytics and we are convinced that Kamakura has the analytics to serve the needs of a market like Mexico" said Dr. Fausto Membrillo, who is Assistant Treasurer at BBVA Bancomer. Joaquin Escamilla, Treasurer at BBVA Bancomer, added, "Over the last decade, nearly every corporate asset that we own has grown to include some dual currency features involving the peso, the dollar or the real. We often have instruments that are based on both real and nominal interest rates. We believe that Kamakura’s implementation of Professor Robert Jarrow’s derivative and interest rate models will allow us to maximize shareholder value through excellent pricing, hedging, and performance measurement."

"Kamakura is convinced that BBVA Bancomer is setting the risk management standard by which all financial institutions will be judged five years from now,” commented Donald R. van Deventer, President of Kamakura Corporation. “The quality of the BBVA Bancomer Treasury staff and their dedication to the highest standards of risk management theory and practice make it a great honor to say BBVA Bancomer is a risk management software client of Kamakura. We are committed to BBVA Bancomer’s success and grateful for their insights on risk management in Latin America."

Grupo Financiero BBVA Bancomer S. A. de C.V. (GFBB) is the parent company of BBVA Bancomer S.A., the largest bank in Mexico. BBVA Bancomer, a universal bank, was founded in Mexico City in 1932. BBVA Mexico and Bancomer merged in June, 2000. At year-end 2000, BBVA Bancomer had assets of $37 billion, deposits of $30 billion, and capital of $3.5 billion.

Kamakura Corporation is one of the leading firms world-wide in risk management information, processing and software and risk management information. Kamakura’s clients include all five of the five largest banks in the world. Kamakura’s 28 risk management software and information clients range in size from $3 billion in assets to $1 trillion in assets. Kamakura risk management software is currently used in the United States, Germany, Canada, Mexico, Japan, Australia, Korea, and Hong Kong. Kamakura management has published six books and more than 100 publications on credit risk, market risk, and asset and liability management. Kamakura has a world-wide marketing alliance with Unisys and a number of other systems integrators who make Kamakura products available in almost every major city around the globe.

Kamakura Corporation
2800 Woodlawn Drive, Suite 138, Honolulu, Hawaii 96822
Telephone: 1-808-539-3847
Facsimile: 1-808-539-3748

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