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)

20. Derivative financial instruments

a) To-be-announced forward contracts

The Bank held no To-be-announced (TBA) forward contracts as at 31 March 2023.

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

Notional value of contracts EC$ equivalent

Fair value of contracts $

Notional value of contracts

Currency

Value date of contracts

USD USD

22,818,641 5,334,156

61,610,331 14,402,221

13, 18 and 21 April 2022

1,203,842

13 June 2022

174,044

76,012,552

1,377,886

Current

1,377,886

b) Foreign currency forward contracts

The following is an analysis of the currency forwards held with negative fair value as of 31 March 2023:

Currency sold/ purchased

Notional value of contracts EC$ equivalent

Fair value of contracts $

Notional value of contracts

Value date of contracts

CAD CHF EUR GBP

1,472,400

2,883,784

11 April 2023 11 April 2023

50,518

3,000

8,554

294

4,053,100 1,340,300

11,611,365 4,348,363

4 and 11 April 2023

306,718 127,837

11 April 2023

18,852,066

485,367

Current

485,367

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

Currency sold/ purchased

Notional value of contracts EC$ equivalent

Fair value of contracts $

Notional value of contracts

Value date of contracts

CAD EUR GBP

1,649,600 4,963,400

3,490,694 14,758,109 1,977,479

4 April 2022 4 April 2022 4 April 2022

64,342 139,338 13,783

562,100

20,226,282

217,463

Current

217,463

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