94. For the purposes of Article 26e(5), first paragraph, point (b), in the case of credit-linked …

For the purposes of Article 26e(5), first paragraph, point (b), in the case of credit-linked notes issued by an SSPE, the reference to the investor should be understood as a reference to the SSPE or any protection provider which has entered into the credit protection agreement with the originator.

Synthetic excess spread (Article 26e(7) of Regulation (EU) 2017/2402)

Calculation of one-year expected loss

1. Overview

1.1 References

• Article 26e 7

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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