National is expected to benefit from an insured portfolio created through two separate agreements that transferred a U.S. book of business from
As noted in KBRA’s Financial Guaranty Rating Methodology, based on its evaluation of a guarantor’s insured portfolio, KBRA tests the ability of an insurer’s claims-paying resources to support potential losses through a Monte Carlo simulation. The modeling approach produces a distribution of the insured portfolio’s expected future losses. KBRA focuses on losses in the tail of the loss distribution to assess the company’s ability to perform under stress conditions. The tail losses are then assessed against the company’s claims-paying resources in a financial model which places the company in run-off. The rating level for a guarantor is largely based on its ability to pay claims under KBRA’s stress case scenario which places the company in run-off.
To view the rating report, please visit
Financial Guaranty Rating Methodology
Alessandra D'Imperio, Senior Director
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