CWBFG Annual Report 2023

As at October 31, 2023

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

$

320,013

$

(21,733)

Securities, Loans

$

(5,192)

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

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:

2023

Change in the Fair Value of the Hedging

Amount Reclassified from AOCI, Cash Flow

Change in Fair Value of Hedging Instrument

Hedge Ineffectiveness Recognized in Income

Instrument Recognized in OCI (3)

Hedges to Income (3)

Cash Flow Hedges Interest rate risk

Interest rate swaps (1)

$

(27,197) $

-

$

(57,959)

$

32,459

Bond forward contracts (1)

-

-

-

445

Equity risk

Equity swaps (2)

4,575

-

2,901

(601)

Fair Value Hedges Interest rate risk

Interest rate swaps

(5,192)

-

-

-

2022

Change in the Fair Value of the Hedging

Amount Reclassified from AOCI , Cash Flow

Change in Fair Value of Hedging Instrument

Hedge Ineffectiveness Recognized in Income

Instrument Recognized in OCI (3)

Hedges to Income (3)

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

-

-

-

(1) Amounts reclassified from OCI into net interest income. (2) Amounts reclassified from OCI into non-interest expenses. (3) Amounts are presented net of tax.

CWB Financial Group 2023 Annual Report | 89

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