Page 104 - 86395_CCB - 2024 Annual Report (web)

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customers’ accounts that have been designated In respect of point 2 above, the Bank assesses
as hedged with interest rate derivatives have whether the following three conditions are all
been determined by discounting estimated met before treating the financial asset as having
future cash flows based on future market interest been derecognised:
rates. The fair value of fixed rate deposits has – The Bank assumes no obligation to pay amounts to
been determined by discounting the estimated the eventual recipients unless those amounts have
future cash flows based on the existing product been collected from the original financial asset;
rate compared to current market rates for an
equivalent deposit. – The Bank is prohibited under the terms of the
transfer contract from selling or pledging the
– Debt securities
original asset, other than as security to the
Where securities are actively traded in a recipients of the cash flows; and
recognised market, with available and quoted – The Bank has an obligation to remit any cash
prices, these have been used to value these flows it collects on behalf of the eventual recipients
instruments. These securities are therefore without material delay. The Bank may also not
regarded as having level 1 fair values. The Bank’s reinvest any such cash flows received.
debit securities and derivatives are held and
recorded at fair value. The fair value of the Bank’s Where the above criteria are met, and a transfer is
debt securities are based on quoted bid prices in deemed to have occurred, the Bank evaluates the
active markets. extent to which it retains the risk and rewards of
ownership of the financial asset. Where the Bank
– Derivatives
determines that the risk and reward of ownership of
The fair value of derivative assets and liabilities the assets has been transferred, the Bank derecognises
are calculated based on the present value of the asset. If the Bank determines that the risk and
future interest cash flows, discounted at the reward remain with them, the asset is not derecognised
market rate of interest at the balance sheet and remains on the statement of financial position.
date. Derivative financial assets and liabilities On derecognition of the financial asset, the Bank
are classified at fair value through the income recognises the difference between the carrying
statement. Derivative assets and liabilities are amount of the asset and the consideration received in
determined using widely recognised valuation the income statement.
models for determining the fair values of Derecognition of financial liabilities
interest rate swaps.
The Bank derecognises a financial liability only when
– Subordinated Debt liability
the obligation, which is specified in the contract, has
This item is fully explained in Note 24. been discharged, is cancelled, or expires. The Bank
The notes are not actively traded but were only may also be required to derecognise a financial liability
drawn in 2023 and therefore the Bank considers where there has been a substantial modification.
the fair value of this liability to equal to the A modification is considered to be substantial where
carrying amount. the discounted present value of the cash flows under
the new terms, including any fees paid net of any fees
There have been no transfers between levels in received and discounted using the original effective
2024 or 2023.
interest rate, is at least 10 per cent different from the
• Derecognition discounted present value of the remaining cash flows
of the original financial liability.
The following sets out how the Bank derecognises
assets and liabilities and fair values its assets in
accordance with IFRS 9:
Derecognition of financial assets
The Bank derecognises a financial asset only when
the contractual rights to the associated cash flows
expire, or the Bank transfers the financial asset,
and the transfer qualifies for derecognition in
accordance with the provisions set out in IFRS 9.
To qualify for a transfer, the Bank must meet either
of the following:
– The contractual right to receive the cash flows of
the financial asset have been transferred; or

– The contractual right to receive the cash flows of
the financial asset is retained by the Bank, but the
Bank also assumes a contractual obligation to
pay the cash flows to one or more recipients.