ECCB 2022-2023 Annual Report and Financial Statements

Eastern Caribbean Central Bank Notes to the Financial Statements For the year ended 31 March 2023 (Expressed in Eastern Caribbean dollars)

7.

Derivative financial instruments

a) To-be-announced forward contracts

To-be-announced (TBAs) are forward contracts to buy or sell Agency Residential Mortgage-Backed Securities at a future date. TBA contracts specify the coupon rate, issue, term and face value of the bonds to be delivered, with the actual bonds to be delivered identified shortly before the TBA settlement date.

The Bank held no To-be-announced forward contracts as of 31 March 2023.

The following is an analysis of the TBA contracts held with positive fair value as at 31 March 2022:

Notional value of contracts

Notional value of contracts EC$ equivalent

Fair value of contracts $

Currency

Value date of contracts

USD USD

1,874,844

5,062,079 1,909,491

13, 18 and 21 April, 2022

12,952

707,219

13 June, 2022

5,841

6,971,570

18,793

b) Foreign currency forward contracts

Currency forwards represent commitments to purchase foreign currency. These contracts are initially recognised at fair value on the date that a derivative contract is established and are subsequently remeasured at fair value.

The Bank held no foreign currency forwards with positive fair value as of 31 March 2023.

The following is an analysis of the currency forwards held with positive fair value as at 31 March 2022:

Notional value of contracts

Notional value of contracts EC$ equivalent

Fair value of contracts $

Currency sold /purchased

Value date of contracts

GBP

1,078,000

3,863,372

4 April, 2022

41,680

3,863,372

41,680

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