Shorter and longer assumptionsShorter and longer assumptions

Shorter and longer assumptions

1. The shorter and longer assumptions are used to take account of the most common sources of optionality risk where customer payments differ from what was assumed in a behavioural repricing profile. These assumptions must be the same as the central assumptions for all items except fixed-rate assets, rate locks and core deposits, for which the differences are:
   1. for notional principal cash flows:
      1. each prepayment rate CPR superscript mthat is used in determining the repricing profile for fixed-rate, non-market-related assets must be determined as:

Formula for determining the prepayment rate CPR superscript m

Where CPR is the corresponding prepayment rate used in the central assumptions, CPR max is the highest possible prepayment rate, and the factor CPRfac superscript m is specified in Table 1;

1. each drawdown rate DD superscript mthat is used in determining the repricing profile for a rate lock must be determined as:

Formula for calculating the drawdown rate DD superscript m

where DD is the corresponding drawdown rate used in the central assumptions and the factor DDfac superscript m is specified in Table 1;

1. for a core deposit, the notional principal cash flow at any date tthat is more than one business day after the calculation date is:

For a core deposit, the formula for determining the notional principal cash flow at any date t that is more than one business day after the calculation date

where NPCF subscript t is the corresponding notional principal cash flow for that date in the central assumptions, Wfac superscript m is specified in Table 1 and the balance of the principal is assumed to reprice on the next business day after the calculation date;

and

1. all notional interest cash flows must be recalculated to be consistent with the revised notional principal cash flows, in accordance with paragraph 27 of this Attachment.

<table cellspacing="0" cellpadding="0" style="margin-left:28.35pt; margin-bottom:0pt; border:0.75pt solid #000000; border-collapse:collapse"><tbody><tr><td colspan="3" style="width:277.2pt; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; line-height:normal; font-size:12pt"><span>Table 1: Behavioural optionality factors</span></p></td></tr><tr><td style="width:94.6pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; line-height:normal; font-size:12pt"><span style="font-weight:bold">Repricing Assumptions</span><span> </span><img src="image.016.png" width="14" height="20" alt="m"><span>:</span></p></td><td style="width:80.5pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span style="font-weight:bold">Shorter</span></p></td><td style="width:80.5pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span style="font-weight:bold">Longer</span></p></td></tr><tr><td style="width:94.6pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>Prepayment modification factor </span><img src="image.041.png" width="55" height="17" alt="CPRfac superscript m"><span></span></p></td><td style="width:80.5pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>1.2</span></p></td><td style="width:80.5pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>0.8</span></p></td></tr><tr><td style="width:94.6pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>Drawdown modification factor </span><img src="image.042.png" width="47" height="16" alt="DDfac superscript m"><span></span></p></td><td style="width:80.5pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>0.8</span></p></td><td style="width:80.5pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>1.2</span></p></td></tr><tr><td style="width:94.6pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>Withdrawal factor </span><img src="image.043.png" width="49" height="23" alt="" style="vertical-align:middle"></p></td><td style="width:80.5pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>0</span></p></td><td style="width:80.5pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Indent1" style="margin-top:0pt; text-align:justify; line-height:normal; font-size:12pt"><span>0.1</span></p></td></tr></tbody></table>