National Australia Bank Selects Kamakura Risk Manager for Liquidity Risk Management.

Business Editors

HONOLULU--(BUSINESS WIRE)--April 26, 2000

Honolulu-based Kamakura Corporation and National Australia Bank announced today that National Australia Bank has selected Kamakura's stochastic net income simulation software package KRM-ni for its operational liquidity management and regulatory reporting for the Bank in Australia. A global roll-out of the Kamakura Risk Manager system is planned after successful implementation in Australia. National Australia Bank has also purchased the Kamakura Risk Manager modules for yield curve smoothing (KRM-yc), option-adjusted valuation (KRM-mv), option-adjusted value at risk (KRM-var), and pricing of non-maturity deposits and credit cards (KRM-dc).

National Australia Bank has already successfully completed a three-month pilot of the Kamakura Risk Manager system. When the KRM system is in full operation, National Australia Bank will forecast the daily liquidity and cash flow of more than 4 million transactions on its balance sheet in Australia. The daily output of KRM will allow liquidity risk measurement on a daily basis, in addition to serving as the data source for Australian Prudential Regulatory Authority (APRA) liquidity risk measurement requirements. The Kamakura system was selected in a process that involved most of the leading risk management software vendors world-wide.

"Our overnight processing window is quite short and Kamakura were able to demonstrate their ability to meet our processing windows during our pilot. The speed of Kamakura's analytics, combined with its open data base connectivity, were very important in meeting the Bank's objectives." said Peter Brown, project manager for the liquidity management project at the National Australia Bank.

National Australia Bank and Kamakura plan for an Australian roll-out of the Kamakura modules by August 2000. As part of the roll-out, Kamakura has considerably expanded the capabilities of its multi-currency net income simulation module to include collateralized mortgage obligation capability.

"Kamakura is honored to be selected for such a critical project by the National Australia Bank" commented Donald R. van Deventer, president of Kamakura Corporation. "This project demonstrates why sophisticated banks require a system that combines the high-end analytics, precise day-count, and daily processing capabilities of a trading floor application with the breadth and heavy computer processing capabilities of an advanced asset and liability management net income simulation package. Kamakura Corporation is the only firm in the risk management business with both net income simulation capability and an installed base of high-end trading floor risk management clients in daily production."

National Australia Bank is the largest bank in Australia. The National was recently named one of two banks in the world at the forefront of customer relationship management by the Business Banking Board in the United States. The Bank earned A$2.821 billion in the fiscal year ended September 30, 1999, the seventh consecutive year of record earnings for the Group. National Australia Bank has total assets of more than A$250 billion and earns almost half its income from international activities.

Kamakura Corporation is one of the leading firms world-wide in risk management software and risk management information.

Kamakura's clients include six of the ten largest banks in the world. Kamakura's 21 risk management software 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's Managing Director for Research, Professor Robert Jarrow, was named "Financial Engineer of the Year" in 1997 by the International Association of Financial Engineers. 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 that makes Kamakura products available in almost every major city around the globe.

For more information contact

Kamakura Corporation

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