45. For the purposes of Article 26b(11), point (c), of Regulation (EU) 2017/2402, the …

For the purposes of Article 26b(11), point (c), of Regulation (EU) 2017/2402, the credit-impaired debtors or guarantors of exposures should not be considered to have a ‘credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures of other credit-impaired debtors or guarantors held by the originator which are not securitised’ when both of the following conditions apply:

• a. the most relevant factors determining the expected performance of the underlying exposures and the comparable exposures are similar;
• b. as a result of the similarity referred to in point (a) it could reasonably have been expected, on the basis of indications such as past performance or the applicable models, that, over the life of the transaction or over a maximum of four years, where the life of the transaction is longer than four years, the performance of the underlying exposures would not be significantly worse than that of the comparable exposures.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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