15.2.2.19 Computation of Funding Concentrations

Wholesale funding from significant sources is calculated in order to monitor the liquidity risk arising from the withdrawal of such funds. Funding concentration is calculated on the basis of following dimensions:

• Concentration by Significant Counterparties
• Concentration by Significant Products
• Concentration by Significant Currencies

Ratio of each of the cash flow in the aggregate table is first calculated with respect to the concentration at legal entity level. Any counterparty or product is termed as significant if the sum of its concentration is greater than 1%. A currency is termed as a significant currency if the sum of its concentration is greater than 5% of the currency.

All the Concentration specified below are calculated at the following time horizons

• Period is < 1 Month
• Period is between 1 to 3 Months
• Period is between 3 to 6 Months
• Period is between 6 to 12 Months
• Period is > 12 Months