Kamakura Reports Sixth Deterioration in Corporate Credit Quality in Seven MonthsLocation: New York In November, the percentage of the global corporate universe with default probabilities between 1% and 5% was 6.19%, an increase of 37 basis points. The percentage of companies with default probabilities between 5% and 10% was 0.95%, an increase of 1 basis point. The percentage of the universe with default probabilities between 10% and 20% was 0.38% of the universe, a decrease of 1 basis point, while the percentage of companies with default probabilities over 20% was 0.12% of the total universe in November, an increase of 1 basis point. Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Thursday, “The deterioration in the Kamakura troubled company index would have been considerably higher if not for the surge in stock prices world-wide on November 30. Only 31 of 2,201 firms with legacy ratings experienced an increase in default risk on November 30. Of the riskiest 14 firms with legacy credit ratings in October’s rankings, two of the three riskiest U.S. firms failed in November: General Maritime (November 15) and Trailer Bridge (November 16). Of the ten riskiest firms with legacy ratings at the end of November, 3 each are from Great Britain and Japan, and 4 of the 10 firms have investment grade ratings in spite of their extremely high default risk.”
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