22. INTEREST RATE SENSITIVITY We are exposed to interest rate risk as a result of a difference, or gap, between the maturity or repricing behaviour of interest sensitive assets and liabilities. The interest rate gap is managed by adjusting the repricing behaviour of interest sensitive assets or liabilities to ensure the gap falls within our risk appetite. The repricing profile of these assets and liabilities has been incorporated in the following table, which contains the gap position at October 31 for select time intervals. Figures in brackets represent an excess of liabilities over assets or a negative gap position.
ASSET LIABILITY GAP POSITIONS ($millions)
Floating Rate and Within 1 Month
1 Month to 3 Months
3 Months to 1 Year
Total Within 1 Year
1 Year to 5 Years
More than 5 Years
Non interest Sensitive
October 31, 2022
Total
Assets Cash resources and securities $
380
$
125
$
1,682 5,126
$
2,187
$
2,429
$
1
$
18
$
4,635
Loans (1)
16,224
1,377
22,727
12,850
352
(185)
35,744
Other assets (2)






1,061
1,061 6,453
Derivatives (3)
1,575
535
583
2,693
3,310
450

Total
18,179
2,037
7,391
27,607
18,589
803
894
47,893
Liabilities and Equity Deposits (1)
14,757
2,095
5,162
22,014
10,454
573
(22)
33,019
Securities sold under repurchase agreements
247
 
 
247
 
   

247 979
Other liabilities (2)


979
Debt
68
162
640
870
2,592

3,462 3,733 6,453
Equity


 

575
3,158
Derivatives (3)
4,900
28
4,928
1,434
91

Total
19,972
2,285
5,802
28,059
15,055
664
4,115
47,893
Interest Rate Sensitive Gap
$
(1,793)
$
(248)
$
1,589
$
(452)
$
3,534
$
139
$
(3,221)
$

Cumulative Gap
$
(1,793)
$
(2,041)
$
(452)
$
(452)
$
3,082
$
3,221
$

$

Cumulative Gap as a Percentage of Total Assets
(3.7) %
(4.3) %
(0.9) %
(0.9) %
6.4 %
6.7 %
 %
 %
October 31, 2021 Cumulative Gap
$
421
$
(328)
$
(1,092)
$
(1,092)
$
2,819
$
3,038
$

$

Cumulative Gap as Percentage of Total Assets
1.0 %
(0.8) %
(2.6) %
(2.6) %
6.8 %
7.4 %
 %
 %
(1) Potential prepayments of fixed rate loans and early redemption of redeemable fixed term deposits have not been estimated. Redemptions of fixed term deposits where depositors have this option are not expected to be material. The majority of fixed rate loans, mortgages and leases are either closed or carry prepayment penalties. (2) Accrued interest is excluded in calculating interest sensitive assets and liabilities. (3) Derivative financial instruments are included in this table at the notional amount.
WEIGHTED AVERAGE EFFECTIVE INTEREST RATES
The effective, weighted average interest rates for each class of financial asset and liability are shown below:
Floating Rate and Within 1 Month
1 Month to 3 Months
3 Months to 1 Year
Total Within 1 Year
1 Year to 5 Years
More than 5 Years
October 31, 2022
Total
Total assets
6.0 %
3.3 %
3.5 %
5.2 %
3.5 %
2.9 %
4.5 %
Total liabilities
3.3
3.1
2.6
3.2
3.0
2.1
3.1
Interest Rate Sensitive Gap
2.7 %
0.2 %
0.9 %
2.0 %
0.5 %
0.8 %
1.4 %
October 31, 2021 Total assets
2.9 %
3.9 %
3.9 %
3.2 %
3.1 %
2.4 %
3.2 %
Total liabilities
0.7
1.2
1.5
0.9
2.0
1.7
1.3
Interest Rate Sensitive Gap
2.2 %
2.7 %
2.4 %
2.3 %
1.1 %
0.7 %
1.9 %
Based on the current interest rate gap position, it is estimated that a onepercentage point increase in interest rates would increase net interest income by approximately $1,559 (October 31, 2021 – insignificant) and a onepercentage point decrease in interest rates would decrease net interest income by approximately $3,429 (October 31, 2021 – insignificant). The analysis is a static measurement of interest rate sensitivity gaps at a specific point in time, and there is potential for these gaps to change significantly over a short period. The impact on common shareholders’ net income from changes in market interest rates depends on both the magnitude of and speed with which interest rates change, as well as the size and maturity structure of the cumulative interest rate gap position and the management of those positions over time.
CWB Financial Group 2022 Annual Report  103
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