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:
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;
1, where either bucket b or c is bucket 18;
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 %;
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:
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 |