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ANNEX XVIII U.K. INTEGRATION TECHNIQUES FOR PARTIAL INTERNAL MODELS

F. Integration technique 5 U.K.

(2) For all modules of the standard formula referred to in paragraph 1(b)(ii), the capital requirement of a particular module shall be calculated with the formula set out in paragraph 1, applying the following denominations: U.K.

(a)

P, S_S , k, n, Corr_(i,j) and SCR_int are defined as in paragraph 2 of section E;

(b)

S_i and S_j denote the capital requirement for sub-modules i and j of that particular module respectively which are calculated in the following way:

i.

the sub-module is calculated with the standard formula provided that the sub-module does not consists of other sub-modules;

ii.

the sub-module is calculated in accordance with paragraph 3 provided that the sub-module consist of other sub-modules.