CWBFG Annual Report 2023

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, 2023

Total

Assets Cash resources and securities $

705

$

974

$

1,115 6,015

$

2,794

$

1,291

$

152 298

$

22

$

4,259

Loans (1)

15,020

2,326

23,361

13,581

(203)

37,037

Other assets (2)

-

-

-

-

-

-

1,024

1,024 9,771

Derivatives (3)

1,620

1,530

2,753

5,903

2,976

105

787

Total

17,345

4,830

9,883

32,058

17,848

555

1,630

52,091

Liabilities and Equity Deposits (1)

14,314

1,692

6,132

22,138

10,995

234

(39)

33,328

Other liabilities (2)

-

-

-

-

-

- - -

1,126

1,126 3,839 4,027 9,771

Debt

71

163

1,047

1,281

2,562

(4)

Equity

-

-

250

250

325

3,452

Derivatives (3)

7,200

29

57

7,286

1,648

50

787

Total

21,585

1,884

7,486

30,955

15,530

284

5,322

52,091

Interest Rate Sensitive Gap

$

(4,240)

$

2,946

$

2,397

$

1,103

$

2,318

$

271

$

(3,692)

$

-

Cumulative Gap

$

(4,240)

$

(1,294)

$

1,103

$

1,103

$

3,421

$

3,692

$

-

$

-

Cumulative Gap as a Percentage of Total Assets

(8.1) %

(2.5) %

2.1 %

2.1 %

6.6 %

7.1 %

- %

- %

October 31, 2022 Cumulative Gap

$

(1,793)

$

(2,041)

$

(452)

$

(452)

$

3,082

$

3,221

$

-

$

-

Cumulative Gap as Percentage of Total Assets

(3.7) %

(4.3) %

(0.9) %

(0.9) %

6.4 %

6.7 %

- %

- %

(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, 2023

Total

Total assets

7.2 %

4.7 %

4.6 %

6.1 %

4.7 %

5.7 %

5.6 %

Total liabilities

4.5

4.5

3.9

4.4

3.8

4.8

4.2

Interest Rate Sensitive Gap

2.7 %

0.2 %

0.7 %

1.7 %

0.9 %

0.9 %

1.4 %

October 31, 2022 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 %

100 | CWB Financial Group 2023 Annual Report

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