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
Students and alumni collaborate with FIFA World Cup 26™ Atlanta Host Committee on historic global…
LOS ANGELES and NEW YORK, June 12, 2026 /PRNewswire/ -- PARAMOUNT SKYDANCE CORPORATION (NASDAQ: PSKY)…
Canadian hard-rock power band TRIUMPH has begun its 50th Anniversary Tour with Ayrton MagicDot Neo…
Across Clear Start Tax clients who enroll in resolution services, roughly four in ten qualify…
Adds 125 megawatts of US solar development assets across Illinois, New Mexico, and Wisconsin VANCOUVER,…
New Enterprise Advertising Capabilities Will Enable Organizations to Promote Products, Services, Employment Opportunities and Company…
