As at October 31, 2022
Accumulated Amount of Fair Value Adjustments on the Hedged Item
Changes in Fair Value Used for Calculating Hedge Ineffectiveness
Carrying Amount of Hedged Item
Consolidated Balance Sheets Line Item
Fair Value Hedges Interest rate risk Fixed rate assets
$
329,812
$
(26,930)
Securities, Loans
$
19,191
As at October 31, 2021
Accumulated Amount of Fair Value Adjustments on the Hedged Item
Changes in Fair Value Used for Calculating Hedge Ineffectiveness
Carrying Amount of Hedged Item
Consolidated Balance Sheets Line Item
Fair Value Hedges Interest rate risk Fixed rate assets
$
374,471
$
(7,540)
Securities, Loans
$
11,760
The following table contains information regarding the effectiveness of the hedging relationships, as well as the impacts on the consolidated statements of income and consolidated statements of comprehensive income:
2022
Change in the Fair Value of the Hedging
Change in Fair Value of Hedging Instrument
Hedge Ineffectiveness Recognized in Income
Amount Reclassified from AOCI, Net of Tax – Cash Flow Hedges to Income
Instrument Recognized in OCI
Cash Flow Hedges Interest rate risk
Interest rate swaps (1)
$
(67,693) $
-
$
(31,283)
$
(21,268)
Bond forward contracts (1)
-
-
326
524
Equity risk
Equity swaps (2)
(11,346)
-
(7,895)
4,236
Fair Value Hedges Interest rate risk
Interest rate swaps
19,191
-
-
-
2021
Change in the Fair Value of the Hedging
Change in Fair Value of Hedging Instrument
Hedge Ineffectiveness Recognized in Income
Amount Reclassified from AOCI , Net of Tax - Cash Flow Hedges to Income
Instrument Recognized in OCI
Cash Flow Hedges Interest rate risk
Interest rate swaps (1)
$
(94,961) $
-
$
(17,033)
$
(48,425)
Bond forward contracts (1)
-
-
1,373
(603)
Equity risk
Equity swaps (2)
9,170
-
9,463
(7,093)
Fair Value Hedges Interest rate risk
Interest rate swaps
11,760
-
-
-
(1) Amounts reclassified from OCI into net interest income. (2) Amounts reclassified from OCI into non-interest expenses.
92 | CWB Financial Group 2022 Annual Report
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