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 the two 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; and
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 |
1, 2 and 11 | 75 % | 10 % | 20 % | 25 % | 20 % | 15 % | 10 % | |
3 and 12 | 5 % | 15 % | 20 % | 15 % | 10 % | 10 % | ||
4 and 13 | 5 % | 15 % | 20 % | 5 % | 20 % | |||
5 and 14 | 20 % | 25 % | 5 % | 5 % | ||||
6 and 15 | 25 % | 5 % | 15 % | |||||
7 and 16 | 5 % | 20 % | ||||||
8 and 17 | 5 % | |||||||
9 | — |