Kamakura Corporation reported that the Kamakura index of troubled public companies continued to increase, rising 50 basis points in September to 9.73%. The index set an all-time low of 4.36% on December 17, 2010, but it has since more than doubled. The increase in September is the fifth consecutive monthly deterioration in credit quality. At the 9.73% level, corporate credit quality is at the 47th percentile (with 100 being best all time credit quality) over the period from 1990 to the present. In December, 2010, by contrast, the index was at the 99th percentile of credit quality. Tokyo Electric Power Company continues to be the firm with the worldâs highest one-month default risk among rated companies, with a default probability of 61.27%.
The Kamakura troubled company index measures the percentage of 29,030 public firms in 37 countries that have annualized 1 month default risk over one percent. The Kamakura troubled company index is based on the version 5.0 default models from Kamakura Risk Information Services. The version 5 models were estimated over the period from January 1990 to December 2008 and therefore capture the key events of the credit crisis in the fall of 2008. Kamakuraâs index had reached a recent peak of 25.57% in November 2008. The average index value since January 1990 is 12.42%.
The all-time high in the index was 27.41%, recorded on October 31, 2001.