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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