1. [Paragraph requires commencement]
2. [Paragraph requires commencement]
3. [Paragraph requires commencement]
4. EBA shall develop draft regulatory technical standards to specify:
(a) how proxy spreads referred to in paragraph 2, point (b), are to be determined by the institution for the purposes of calculating default probabilities;
(b) further technical elements that institutions are to take into account when calculating the counterparty's expected loss given default, the counterparty's probabilities of default and the simulated discounted future exposure of the portfolio of transactions with that counterparty and CVA, as referred to in paragraph 1;
(c) which other instruments referred to in paragraph 2, point (a), are appropriate to estimate the counterparty's probabilities of default and how institutions are to make that estimate.
EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2027.
Power is delegated to the Commission to supplement this R
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