CWBFG Annual Report 2022

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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