KBRA Releases its Portfolio Analysis Tool for Structured Credit

Kroll Bond Rating Agency (KBRA) releases its KBRA Portfolio Analysis Tool (K-PAT), which is detailed in the companys Structured Credit Methodology.

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Business Wire, Inc.
Retrieved on: 
Thursday, September 19, 2019
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Finance, Professional services, Technology, Software, Economy, Finance, Loans, Money, Kroll Bond Rating Agency, Basel II, Credit rating agency, Collateralized loan obligation, KBRA, Probability of default, Bond
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NEW YORK, United States
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Summary
Key Points: 
  • Kroll Bond Rating Agency (KBRA) releases its KBRA Portfolio Analysis Tool (K-PAT), which is detailed in the companys Structured Credit Methodology.
  • K-PAT was developed to evaluate portfolios underlying collateralized loan obligations (CLOs) and others containing mostly sub-investment grade corporate exposures.
  • It is a formulaic tool that can be used to quickly project the expected cumulative default amount at each KBRA rating level.
  • The K-PD is based on the credit assessment and tenor, the latter of which can be adjusted for transactions with reinvestments that will increase the overall portfolio duration.


Kroll Bond Rating Agency (KBRA) releases its KBRA Portfolio Analysis Tool (K-PAT), which is detailed in the company’s Structured Credit Methodology.

K-PAT was developed to evaluate portfolios underlying collateralized loan obligations (CLOs) and others containing mostly sub-investment grade corporate exposures. It is a formulaic tool that can be used to quickly project the expected cumulative default amount at each KBRA rating level. The formula starts with the KBRA probability of default (K-PD) of each credit and incorporates both a rating multiplier for each rating level and an adjustment based on the portfolio’s diversity. The K-PD is based on the credit assessment and tenor, the latter of which can be adjusted for transactions with reinvestments that will increase the overall portfolio duration.

K-PAT’s output provides a portfolio-level projected default rate that is representative of KBRA’s views on the economic environment that may be experienced at a specific rating level, and used as an input when performing a full cash flow analysis.

The K-PAT file is Excel-based and available as a free download on the KBRA website.

To download the file, click here.

Related Publications: (available at www.kbra.com)

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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