DBRS Expected Loss Ratings
ABCP, Auto, RMBSSummary
DBRS re-published its DBRS Expected Loss Ratings framework. The publication follows the re-publication of DBRS’s Expected Loss Rating Scale on 20 August 2018. Changes to the previous DBRS Expected Loss Rating framework include the clarification that Expected Loss Ratings are applied to untranched debt or equity securities (Pass-Through Instruments) whose performance depends predominantly on the credit performance of a loan portfolio backing such instruments. For the avoidance of doubt, the Expected Loss Rating Scale is not used for rating securitisation transactions or covered bonds.