Full analytical covariance matrix C_ij of the projected mass density ΔΣ(R) for the MICE mocks, spanning five lens redshift slices, five source tomographic samples and 15 bins of scale – i.e. 375  ×  375 entries – ordered where each subsequent bin changes separation, then source sample, then lens sample, such that the vertical and horizontal solid lines demarcate different lens redshift slices. We display the results as a correlation matrix , and note that there are significant off-diagonal correlations between measurements utilising the same lens or source sample, and between different scales. We note that the colour bar is saturated at r = 0.1 to reveal low-amplitude cross-correlation more clearly.