Page 119 - 86395_CCB - 2024 Annual Report (web)

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The interest rate sensitivity exposure of the Bank at 31 December 2023:

More than More than More than
3 but less 6 months 1 year but Non‑
31 December 2023 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 302,473 – – – – – 302,473
at central banks
Loans and advances to:

Banks 10,420 – – – – – 10,420
Customers 916,940 13,051 23,353 152,989 2,969 (26,024) 1,083,278
Debt Securities – – – 47,409 – – 47,409
Other assets and – – – – – 7,142 7,142
prepayments
Total Assets 1,229,833 13,051 23,353 200,398 2,969 (18,882) 1,450,722
Off balance sheet – – – 9,000 – – 9,000
derivatives
Liabilities
Customers’ accounts (703,569) (95,082) (202,250) (202,984) – (16,339) (1,220,224)

Other liabilities – – – (4,751) – (10,969) (15,720)
and accruals and
subordinated debt
Total Equity (22,900) – – – – (191,878) (214,778)
Total liabilities (726,469) (95,082) (202,250) (207,735) – (219,186) (1,450,722)
and equity
Off Balance sheet (9,000) – – – – – (9,000)
derivatives
Interest Rate 494,364 (82,031) (178,897) 1,663 2,969 (238,068) –
Sensitivity Gap

Cumulative gap 494,364 412,333 233,436 235,099 238,068 – –

Sensitivity analysis This calculation assumes that the change
occurred at the balance sheet date and had been
The Bank considers a 200 basis points (bps) applied to risk exposures existing at that date.
movement to be appropriate for scenario
testing given the current economic outlook and – Foreign Currency Risk
industry expectations.
The Bank has no deposit accounts
The Bank estimates that a +/‑200bps movement in denominated in € or $ and is not exposed
interest rates paid/received would have impacted to any Foreign Currency Risk.
the overall balance sheet values as follows:
– Equity Price Risk
+200bps: ‑£10.4m (2023: ‑£0.3m)
The Bank does not undertake any equity
‑200 bps: £11.7m (2023: £0.1m) investments and therefore is not exposed
to Equity Market Risk.