CWBFG Annual Report 2022

FINANCIAL INSTRUMENTS AND OTHER INSTRUMENTS

Financial assets include cash resources, securities, securities purchased under resale agreements, loans, derivatives and certain other assets. Financial liabilities include deposits, securities sold under repurchase agreements, derivatives, debt and certain other liabilities.

The use of financial instruments exposes CWB to credit, liquidity and market risk. A discussion of how these are managed can be found in the Risk Management section of our MD&A.

Further information on how the fair value of financial instruments is determined is included in the Financial Instruments Measured at Fair Value discussion in the Accounting Policies and Estimates section of our MD&A.

Income and expenses are classified as to source, either securities or loans for income, and deposits or debt for expense. Gains (losses) on the sale of securities and fair value changes in certain derivatives are classified to non-interest income.

DERIVATIVE FINANCIAL INSTRUMENTS

More detailed information on the nature of derivative financial instruments is shown in Note 10 of the audited consolidated financial statements for the year ended October 31, 2022. The notional amounts of derivative financial instruments are not reflected on the consolidated balance sheets.

Table 27 - Derivative Financial Instruments ($ thousands)

2022

2021

Notional Amounts Interest rate swaps designated as cash flow hedges (1) Interest rate swaps designated as fair value hedges (2) Equity swaps designated as cash flow hedges (3) Equity swaps not designated as accounting hedges (4)

$

6,070,000 $

3,415,000

355,020

380,143

19,756

19,450

8,066

8,886

Foreign exchange contracts not designated as accounting hedges (5)

144

136,530

Total

$

6,452,986 $

3,960,009

(1) Interest rate swaps designated as accounting cash flow hedges outstanding at October 31, 2022 mature between November 2022 and December 2028. (2) Interest rate swaps designated as accounting fair value hedges outstanding at October 31, 2022 mature between October 2024 and September 2028. (3) Equity swaps designated as accounting hedges outstanding at October 31, 2022 mature between June 2023 and June 2025. (4) Equity swaps not designated as accounting hedges outstanding at October 31, 2022 mature in June 2023. (5) Foreign exchange contracts outstanding at October 31, 2022 mature between November 2022 and December 2022.

The active use of interest rate swap contracts remains an integral component to manage the interest rate gap position. Derivative financial instruments are entered into only for CWB’s own account. We do not act as an intermediary in derivatives markets. Transactions are entered into on the ba sis of industry standard contracts with approved counterparties subject to periodic and at least annual review, including an assessment of the credit worthiness of the counterparty. As part of our structural Market Risk Management Policy the use of derivative financial instruments are approved, reviewed and monitored on a regular basis by the Group Asset Liability Committee (ALCo), and are reviewed and approved by the Board Risk Committee no less than annually.

OFF-BALANCE SHEET

Off-balance sheet items include assets under management, advisement and administration.

Table 28 - Off-balance sheet items ($ thousands)

2022

2021

Wealth Management (1) Assets under management and administration

$

7,825,003 $

8,687,136

Assets under advisement (2)

1,824,961

2,067,069

Assets Under Administration - Other

13,943,199

14,031,042

(1) Certain comparative figures have been reclassified to conform with the current period's presentation. (2) Primarily comprised of assets under advisement related to our Indigenous Services wealth management business.

Wealth management assets under management and administration were $7.8 billion at year end compared to $8.7 billion one year ago, as the addition of new clients and asset growth with existing clients was more than offset by a decrease in the market value of underlying assets. Indigenous Services assets under advisement of $1.8 billion was down from $2.1 billion last year, primarily due to a decrease in the market value of underlying assets, partially offset by the asset growth from new and existing clients.

Other assets under administration totaled $13.9 billion at October 31, 2022 (October 31, 2021 – $14.0 billion). The decrease from last year reflected lower market value of underlying assets, partially offset by new and existing client growth in CWB Trust Services.

Other off-balance sheet items are comprised of standard industry credit instruments (guarantees, standby letters of credit and commitments to extend credit) and contractual purchase obligations. We do not utilize, nor do we have exposure to, collateralized debt obligations or credit default swaps. For additional information regarding other off-balance sheet items refer to Note 17 of the audited consolidated financial statements for the year ended October 31, 2022.

CWB Financial Group 2022 Annual Report | 39

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