Page 118 - 86395_CCB - 2024 Annual Report (web)

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transactions to convert the fixed rate exposures The Bank’s forecasts and plans take account of
on loans and advances, customer deposits and the risk of interest rate changes and are prepared
debt securities into variable rate exposures. and stressed in line with PRA guidance. The
following table summarises the re‑pricing periods
– Basis Risk
for the Bank’s assets and liabilities. Items are
Basis Risk is the risk of loss arising from changes in allocated to time bands by reference to the earlier
the relationship between interest rates, which have of the next contractual interest rate change and
similar, although not identical, characteristics. the maturity date.
This risk is managed by matching and, where The interest rate sensitivity exposure of the Bank
appropriate, using derivatives with established risk at 31 December 2024 was:
limits and other control procedures.

More than More than More than
3 but less 6 months 1 year but Non‑
31 December 2024 Within 3 than 6 but less less than More than Interest
£’000 months months than 1 year 5 years 5 years Bearing Total

Assets
Cash and balances
at central banks 292,850 – – – – – 292,850

Loans and advances to:
Banks 12,139 – – – – – 12,139
Customers 808,531 11,363 23,231 374,708 4,933 (18,323) 1,204,444
Debt Securities – 15,602 – 49,534 – – 65,137

Other assets and
prepayments – – – 149 – 7,016 7,165
Total Assets 1,113,521 26,965 23,231 424,391 4,933 (11,307) 1,581,735

Liabilities
Customers’ accounts (687,181) (106,995) (290,423) (220,459) – (21,765) (1,326,824)
Other liabilities
and accruals and
subordinated debt – – – (4,800) – (10,027) (14,827)

Total Equity (22,900) – – – – (217,184) (240,084)
Total liabilities
and equity (710,081) (106,995) (290,423) (225,259) 0 (248,976) (1,581,735)

Interest Rate
Sensitivity Gap 403,440 (80,030) (267,192) 199,132 4,933 (260,283) –
Cumulative gap 403,440 323,410 56,218 255,350 260,283 – –