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
Powered by FlippingBook