1. User Guide
  2. Bank for International Settlements Basel III Liquidity Ratio Calculation
  3. Liquidity Coverage Ratio Calculation
  4. Liquidity Ratio Calculation Process Flow
  5. Computation of Funding Concentrations
  6. Funding Concentration by Significant Currencies

15.2.2.19.3 Funding Concentration by Significant Currencies

Funding Concentration by significant Currencies is calculated at Legal Entity or Entities and Currency Level.

For Solo Execution for each of the Legal Entities selected and for each of the above stated time horizons, Significant Currencies are calculated; whereas for Consolidated Execution, Significant Currencies are calculated at the Parent Level Legal Entity and for each of the above stated time horizons.

A Currency is stated as Significant if Sum of the Cash flows of that Currency for a given Legal Entity is greater than or equal to 5% of the Sum of the Cash flows of the given Legal Entity.

Cash flows of all accounts are not considered, Accounts which are having Product Type as Liabilities are the only accounts which are considered. Funding concentration is calculated for significant currencies as follows:

Figure 14-40 Funding concentration for significant currencies


Funding concentration for significant currencies