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Global Credit Quality Declines Sharply Again in July

Troubled Company Index Jumps for 3rd Month to 7.1%

HONOLULU, HI -- (MARKET WIRE) -- 08/02/06 -- Kamakura Corporation announced today that its monthly global index of troubled companies increased sharply in July, the third consecutive decline in global corporate credit quality. The Kamakura troubled company index rose strongly in July to 7.1% of the global corporate universe, up from 6.4% in June. The index reached its 16-year low of 5.5% in April 2006 and its 16-year high of 28% was reached in September 2001, the worst part of the last recession. In percentile terms, July credit conditions were better than 82% of the monthly periods over the last 16 years, a decline from 91% last month. The troubled company index averaged 13.2% over the 1990-2006 period. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index covers 16,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"The sharp declines in credit quality in June and July make it much more likely that the best part of this business cycle is behind us," said Warren Sherman, Kamakura President and Chief Operating Officer. "The number of companies with default probabilities between 1% and 5% rose sharply in July to 5.2% of the global public company universe, up 0.5%. Companies with default probabilities between 5 and 10% rose 0.2% to 1.1% of the universe. Companies with default probabilities between 10% and 20% also rose 0.2% to 0.7% of the universe. The number of global companies with default probabilities over 20% declined by 0.1% to 0.2% of the universe."

Beginning in January 2006, Kamakura has moved to a global index covering 29 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, Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

Kamakura is offering free trials of its KRIS default probability and default correlation service to qualified institutions. For more information on Kamakura's free trial offer please contact Kamakura at [email protected]. More information can also be found on the Kamakura Corporation web site www.kamakuraco.com and in "Advanced Financial Risk Management" (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler (available on www.amazon.com).

About Kamakura Corporation

Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities and default correlations for listed companies since November 2002. Kamakura launched its business mortality model for unlisted companies in January 2004. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, and transfer pricing software system. Kamakura has served more than 150 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 20 countries, including the United States, Canada, Germany, the Netherlands, France, Switzerland, the United Kingdom, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura's research effort is led by Professor Robert Jarrow, who was named Financial Engineer of the Year in 1997 by the International Association of Financial Engineers. Professor Jarrow and Dr. van Deventer were both named to the 50 member RISK Hall of Fame in December 2002. Kamakura management has published more than 100 publications on credit risk, market risk, and asset and liability management. Kamakura has world-wide distribution alliances with IPS-Sendero (www.ips-sendero.com) and Unisys (www.unisys.com), making Kamakura products available in almost every major city around the globe.

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For more information contact

Kamakura Corporation
2222 Kalakaua Avenue, 14th Floor
Honolulu, Hawaii 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Information: Email Contact
Web site: www.kamakuraco.com

Press Contacts:

Warren Sherman
President
Kamakura Corporation
1-201-600-7542
Email Contact
www.kamakuraco.com
www.kris-online.com

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