14.2.2.19.3 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 stated time horizons, Significant Currencies are calculated; whereas for Consolidated Execution, Significant Currencies are calculated at the

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.

Parent Level Legal Entity and for each of the stated time horizons.

Cash Flows of all accounts are not considered, Accounts that have the Product Type as Liabilities are the only accounts which are considered. Funding concentration is calculated for the significant product as follows:

Figure 14-39 Formula to calculate the funding concentration for the significant currency