Page 216 - TSMC 2022 Annual Report

As of December 31, 2022 and 2021, the cumulative loss allowance for expected credit loss of NT$37,783 thousand and NT$33,209 thousand was recognized under investments in debt instruments at FVTOCI, respectively. Refer to Note 33 for information relating to the credit risk management and expected credit loss.
9. FINANCIAL ASSETS AT AMORTIZED COST
Corporate bonds
Commercial paper
Less: Allowance for impairment loss
December 31,
December 31,
2022 2021
$
$
$ 5,310,039 (3,077)
$ 5,306,962
$ 3,773,571 1,533,391
129,727,434
expected credit loss for financial
Current $ Noncurrent
$
Refer to Note 33 for information relating to credit risk management and assets at amortized cost.
10. HEDGINGFINANCIALINSTRUMENTS
Financial assets- current
Fair value hedges
Interest rate futures contracts
Cash flow hedges
Forward interest rate contracts
Financial liabilities- current
Fair value hedges
Interest rate futures contracts
Fair value hedge
(56,439)
129,727,434
94,600,219 35,127,215
81,041,056
48,742,817 -
$ 5,306,962
December 31, 2022
$ 2,329 - $ 2,329
$ 813
December 31, 2021
$
$ 13,468
- 13,468
$ 9,642
The Company entered into interest rate futures contracts, which are used to partially hedge against the fair
value changes caused by interest rate fluctuation in the Company’s fixed income investments. The hedge
ratio is adjusted in response to the changes in the financial market and capped at 100%.
On the basis of economic relationships, the value of the interest rate futures contracts and the value of the hedged financial assets change in opposite directions in response to movements in interest rates.
The main source of hedge ineffectiveness in these hedging relationships is the credit risk of the hedged financial assets, which is not reflected in the fair value of the interest rate futures contracts. No other sources of ineffectiveness emerged from these hedging relationships during the hedging period. Amount of hedge ineffectiveness recognized in profit or loss is classified under other gains and losses, net.
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