The following table summarizes the maturities of derivative financial instruments and the weighted average interest rates paid and received on contracts:
As at October 31, 2022
As at October 31, 2021
Maturity
Maturity
1 Year or Less
More than 1 Year
1 Year or Less
More than 1 Year
Contractual Interest Rate
Contractual Interest Rate
Contractual Interest Rate
Contractual Interest Rate
Notional Amount
Notional Amount
Notional Amount
Notional Amount
Cash Flow Hedges Interest rate risk
Interest rate swaps (1)
$ 1,125,000
2.01 % $
4,945,000
2.32 %
$
665,000
1.75 % $
2,750,000
1.51 %
Equity risk
Equity swaps (2)
9,933
- %
9,823
- %
9,928
- %
9,522
- %
Fair Value Hedges Interest rate risk
Interest rate swaps (3)
-
- %
355,020
1.16 %
18,582
1.48 %
361,561
1.16 %
Not Designated as Accounting Hedges Foreign exchange contracts (4)
144
-
-
- -
136,530
-
-
- -
Equity swaps (5)
8,066
- %
-
8,886
- %
-
Total
$ 1,143,143
$
5,309,843
$
838,926
$
3,121,083
(1) Interest rate swaps designated as accounting cash flow hedges outstanding at October 31, 2022 mature between November 2022 and December 2028. (2) Equity swaps designated as accounting hedges outstanding at October 31, 2022 mature between June 2023 and June 2025. The contractual interest rate is not meaningful for equity swaps. (3) Interest rate swaps designated as accounting fair value hedges outstanding at October 31, 2022 mature between October 2024 and September 2028. (4) Foreign exchange contracts outstanding at October 31, 2022 mature between November 2022 and December 2022. The contractual interest rate is not meaningful for foreign exchange contracts. (5) Equity swaps not designated as accounting hedges outstanding at October 31, 2022 mature in June 2023. The contractual interest rate is not meaningful for equity swaps.
The following tables present the details of the hedged items categorized by their hedging relationships:
As at October 31, 2022
Changes in Fair Value Used for Calculating Hedge Ineffectiveness
AOCI - Cash Flow Hedges
Consolidated Balance Sheets Line Item
Cash Flow Hedges Interest rate risk Variable rate assets and liabilities
Loans, Deposits
$
(67,693) $
(19,218)
Forecasted NHA MBS issuances
n/a
-
(859)
Equity risk
Restricted share units
Other liabilities
(11,346)
(1,595)
As at October 31, 2021
Changes in Fair Value Used for Calculating Hedge Ineffectiveness
AOCI - Cash Flow Hedges
Consolidated Balance Sheets Line Item
Cash Flow Hedges Interest rate risk
Variable rate assets
Loans, Deposits
$
(94,961) $
33,332
Forecasted NHA MBS issuances
n/a
-
(1,709)
Equity risk
Restricted share units
Other liabilities
9,170
2,065
n/a - not applicable
CWB Financial Group 2022 Annual Report | 91
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