14.2.2.19 Computation of Funding Concentrations

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

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

The ratio of each of the cash flow in the aggregate table is first calculated with respect to the concentration at the 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:

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