Page 122 - CCB_Annual Report_2022

122 Notes to the Financial Statements 123

Interest rate risk consists of asset-liability gap risk which have similar, although not identical, The interest rate sensitivity exposure of the Bank at 31 December 2021:
and basis risk. characteristics. This risk is managed by
matching and, where appropriate, through the More than
– Asset-liability gap risk
use of derivatives with established risk limits More than 6 months More than
Where possible the Bank seeks to match the and other control procedures. 3 but less but less 1 year but Non-
interest rate structure of assets with liabilities, The Bank’s forecasts and plans take account 31 December 2021 Within 3 than 6 than 1 less than 5 More than Interest
creating a natural hedge. Where this is not of the risk of interest rate changes and £’000 months months year years 5 years Bearing Total
possible the Bank will enter into interest rate swap are prepared and stressed in line with PRA Assets
transactions to convert the fixed rate exposures guidance. The following table summarises the
on loans and advances, customer deposits and re-pricing periods for the Bank’s assets and Cash and balances
debt securities into variable rate exposures. at central banks 240,158 – – – – – 240,158
liabilities. Items are allocated to time bands by
– Basis risk reference to the earlier of the next contractual Loans and advances to:
interest rate change and the maturity date. The
Basis risk is the risk of loss arising from changes Banks 12,293 – – – – – 12,293
interest rate sensitivity exposure of the Bank at
in the relationship between interest rates,
31 December 2022 was: Customers 904,921 9,551 15,054 59,898 4,335 (15,925) 977,834
Debt Securities – – 10,210 26,958 – (31) 37,137
More than Other – – – – – 7,449 7,449
More than 6 months More than Total Assets 1,157,372 9,551 25,264 86,856 4,335 (8,507) 1,274,871
3 but less but less 1 year but Non-
31 December 2022 Within 3 than 6 than 1 less than 5 More than Interest Off balance sheet
£’000 months months year years 5 years Bearing Total derivatives 12,000 – – 9,000 – – 21,000
Assets Liabilities – – – – – – –

Cash and balances Customers’ accounts (792,286) (52,903) (108,183) (146,374) – (4,027) (1,103,773)
at central banks 286,680 – – – – – 286,680
Other Liabilities – – – – – (7,281) (7,281)
Loans and advances to:
Total Equity (22,900) – – – – (140,917) (163,817)
Banks 13,931 – – – – – 13,931
Total liabilities (815,186) (52,903) (108,183) (146,374) – (152,225) (1,274,871)
Customers 949,297 6,742 13,197 78,708 6,349 (16,583) 1,037,710
Off Balance
Debt Securities – – 19,699 10,713 – – 30,412 sheet derivatives (21,000) – – – – – (21,000)

Other – – – – – 7,812 7,812 Interest Rate
Sensitivity Gap 333,186 (43,352) (82,919) (50,518) 4,335 (160,732) –
Total Assets 1,249,908 6,742 32,896 89,421 6,349 (8,771) 1,376,545
Cumulative gap 333,186 289,834 206,915 156,397 160,732 – –
Off balance sheet
derivatives – – – 9,000 – – 9,000
Liabilities – – – – – – – Sensitivity analysis
– Foreign currency risk
Customers’ accounts (807,274) (74,602) (138,310) (154,432) – (7,648) (1,182,266) The Bank considers a 200 basis points (bps) The Bank has no deposit accounts
movement to be appropriate for scenario testing
Other Liabilities – – – – – (9,433) (9,433) given the current economic outlook and industry denominated in € or $ and is not exposed

Total Equity (22,900) – – – – (161,946) (184,846) expectations. to any foreign currency risk.
– Equity price risk
Total liabilities (830,174) (74,602) (138,310) (154,432) – (179,027) (1,376,545) The Bank estimates that a +/-200bps movement in
interest rates paid/received would have impacted The Bank does not undertake any equity
Off Balance the overall balance sheet values as follows: investments and therefore is not exposed
sheet derivatives (9,000) – – – – – (9,000) to equity market risk.
+200bps: -£1.8m (2021: -£2.3m)
Interest Rate
Sensitivity Gap 410,734 (67,860) (105,414) (56,011) 6,349 (187,798) – -200 bps: £1.8m (2021: £2.4m)

Cumulative gap 410,734 342,874 237,460 181,449 187,798 – – This calculation assumes that the change occurred
at the balance sheet date and had been applied to
risk exposures existing at that date.