91. For the purposes of Article 26e(4), first subparagraph, point (e), of Regulation (EU) …

For the purposes of Article 26e(4), first subparagraph, point (e), of Regulation (EU) 2017/2402, the ‘final loss amount’ should be understood as the ‘originator’s final loss estimate’ referred to in Article 26e(3), first subparagraph, of that Regulation, where no final credit protection payment has been made for an underlying exposure subject to a credit event at the end of the extension period specified in the credit protection agreement. Early termination events by originator (Article 26e(5) of Regulation (EU) 2017/2402)

Calculation of the weighted average life of the initial reference portfolio

1. Overview

1.1 References

• Article 26e 5.

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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