ANNEX II
Annex XVIII to Delegated Regulation (EU) 2015/35 is amended as follows:
(1) | In point (2)(b) of part C, the first sentence shall be replaced by the following: ‘they include each of the following sub-modules of the standard formula excluding those within the scope of the partial internal model:’. |
(2) | Point (2)(c) of part C shall be replaced by the following: they include the counterparty default risk module of the standard formula unless it is within the scope of the partial internal model.’. |