SCHEDULES

SCHEDULE 4Amendments of the Capital Requirements Regulation

7

(1)

Article 223 (Financial Collateral Comprehensive Method) is amended as follows.

(2)

In paragraph 3, in the second subparagraph, for “institutions” substitute “ , institutions using the method laid down in Section 6 of Chapter 6 ”.

(3)

After paragraph 5 insert—

“5A

For the purposes of the calculation under paragraph 5, in the case of OTC derivative transactions, institutions using the methods laid down in Sections 3, 4 and 5 of Chapter 6 shall take into account the risk-mitigating effects of collateral in accordance with the provisions laid down in Sections 3, 4 and 5 of Chapter 6, as applicable.”