Thomson Reuters has integrated Honolulu-based Kamakura’s default probability service into its financial desktop product, Reuters 3000Xtra. Kamakura is a provider of risk management information, processing and software.
Reportedly, Kamakura’s default probabilities are now available via Reuters 3000 Xtra covering more than 1,500 public firms and nearly 100 sovereign entities, globally. Along with Thomson Reuters CDS spread data, the two firms have created a market premium ratio, which helps identify the portion of a traded CDS spread that indicates actual default risk and the portion of the spread that reflects other factors, such as liquidity.
According to the Thomson Reuters, the Thomson Reuters-Kamakura tool features inlcude: the CDS spreads, default probabilities and market premium ratios for public and sovereign entities with a default probability equal to or greater than 1%; the mean and median of market premium ratios by sector and rating and the ability to chart historical default probabilities, market premium ratios and CDS spreads.
Andrew Hausman, global head of fixed income at Thomson Reuters, said: “The recent market turmoil clearly demonstrated limitations with some widely-used approaches to firm valuation. Integrating Kamakura’s default probabilities into Reuters 3000Xtra means users can now base their decisions on powerful new intelligent information that will give them a real edge.”
Warren Sherman, president and chief operating officer of Kamakura, said: “Adding Kamakura default probabilities to Reuters 3000Xtra helps the full spectrum of liability holders distinguish between the risk of failure of a firm and the risk of loss for a given class of liabilities. This is critical to all investors in corporate common stock, preferred stock and traditional fixed income liabilities.”
