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Correlations across buckets for credit spread risk for non-securitisations The correlation parameter γbc that applies to the aggregation of sensitivities between different buckets shall be set as follows: γbc = γbc (rating) · γbc (sector) where:

γbc (rating) shall be equal to:

(a) 1, where buckets b and c are buckets 1 to 17 and both buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6); otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3;

(b) 1, where either bucket b or c is bucket 18;

(c) 1, where bucket b or c is bucket 19 and the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;

(d) 1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %; γbc (sector) shall be equal to 1 where the two buckets belong to the same sector, and otherwise shall be equal to the corresponding percentage set out in Table 5: Table 5 Bucket 1, 2 and 11 3 and 12 4 and 13 5 and 14 6 and 15 7 and 16 8 and 17 9 and 10 18 19 20 1, 2 and 11 75 % 10 % 20 % 25 % 20 % 15 % 10 % 0 % 45 % 45 % 3 and 12 5 % 15 % 20 % 15 % 10 % 10 % 0 % 45 % 45 % 4 and 13 5 % 15 % 20 % 5 % 20 % 0 % 45 % 45 % 5 and 14 20 % 25 % 5 % 5 % 0 % 45 % 45 % 6 and 15 25 % 5 % 15 % 0 % 45 % 45 % 7 and 16 5 % 20 % 0 % 45 % 45 % 8 and 17 5 % 0 % 45 % 45 % 9 and 10 0 % 45 % 45 % 18 0 % 0 % 19 75 % 20