Digital Media Net - Your Gateway To Digital media Creation. News and information on Digital Video, VR, Animation, Visual Effects, Mac Based media. Post Production, CAD, Sound and Music
Categories: News

KBRA Releases its Portfolio Analysis Tool for Structured Credit

NEW YORK–(BUSINESS WIRE)–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)

CONNECT WITH KBRA

Twitter
LinkedIn
Download the iOS App
YouTube

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.

Contacts

Analytical:
George Lyons, CFA, Senior Director

(646) 731-3314

glyons@kbra.com

Sean Malone, CFA, Director

(646) 731-2436

smalone@kbra.com

Steven Zhen, Analyst

(646) 731-3379

szheng@kbra.com

Eric Hudson, Managing Director

(646) 731-3320

ehudson@kbra.com

Staff

Recent Posts

Sony Group CTO Hiroaki Kitano to Give Keynote Address at International CG and Interactive Tech Conference, SIGGRAPH Asia 2024

TOKYO, Nov. 25, 2024 /PRNewswire/ -- Sony Group Corporation (Sony) today announced its participation as…

18 minutes ago

Barrier Four brings Cobra Kai and Spellbound transmedia experiences to Roblox

Players will enjoy playable and interactive scenes from Cobra Kai and Spellbound PENDLETON, Ind., Nov.…

18 minutes ago

ImageKit Unveils Advanced Video API to Simplify Video Post-Production and Delivery

ImageKit’s URL-based Video API offers real-time transformations and optimizations, ensuring buffer-free video streaming that’s optimized…

7 hours ago

SHOP BLACK FRIDAY, CYBER MONDAY AND TRAVEL TUESDAY DEALS ON EXPEDIA, HOTELS.COM AND VRBO

The biggest travel sale of the year starts today on Expedia, Hotels.com and Vrbo. Travelers…

3 days ago

Mythical Games and FIFA Team Up to Bring New Football Arcade Game ‘FIFA Rivals’ to Mobile Users Worldwide

Announcement Marks the Next Phase of FIFA’s Expanding Portfolio of Games ‘FIFA Rivals’ will Launch…

3 days ago

TerraMaster Black Friday Offers Up to 25% OFF on NAS

SHENZHEN, China, Nov. 22, 2024 /PRNewswire/ -- From November 21 to December 2, the Black…

3 days ago