DBRS Re-Publishes Its Expected Loss Rating Framework

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.

The framework, effective today, supersedes the previous version published on 14 November 2016 and details the application of DBRS’s Expected Loss Rating Scale. It explains how DBRS defines the expected loss in the context of the Expected Loss Rating Scale, and it outlines the expected loss benchmarks for the respective rating levels. DBRS deems the changes to not be material and has determined that no ratings are or will be changed as a result of this update.

Notes:
DBRS rating definitions and the terms of use of such ratings are available at www.dbrs.com.

DBRS’s methodologies and criteria are available at www.dbrs.com or by contacting us at info@dbrs.com.