14.2.2.19.1 Funding Concentration by Significant Counterparties

Funding Concentration by significant Counterparties is to be calculated at Legal Entity or Entities and Counterparty Level.

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

A Counterparty is stated as Significant if Sum of the Cash flows of that counterparty for a given Legal Entity is greater than or equal to 1% of the Sum of the Cash flows of the given Legal Entity.

Cash flows of all accounts are not considered, for this purpose Cash flows of Accounts that have the Product Type as Liabilities are the only accounts that are considered.

Funding concentration for significant counterparties is calculated as follows:

Figure 14-37 Funding Concentration by Significant Counterparties