Page 217 - TSMC 2022 Annual Report

The following tables summarize the information relating to the hedges of interest rate risks. December 31, 2022
Contract Amount (US$ in Thousands)
US$ 74,300
Asset Carrying Amount
$ 4,008,179
Contract Amount (US$ in Thousands)
US$ 53,900
Asset Carrying Amount
Financial assets at FVTOCI
The effect for the years ended December 31, 2022 and 2021 is detailed below:
Hedging Instruments
Interest rate futures contracts - US Treasury futures
Hedged Items
Financial assets at FVTOCI December 31, 2021
Hedging Instruments
Interest rate futures contracts - US Treasury futures
Hedged Items
Maturity
March 2023
Accumulated Amount of Fair Value Hedge Adjustments
$ (1,516)
Maturity
March 2022
Accumulated Amount of Fair Value Hedge Adjustments
$ 9,642
Hedging Instruments/Hedged Items
Hedging Instruments
Interest rate futures contracts - US Treasury futures
Hedged Items
Financial assets at FVTOCI
Cash flow hedge
Change in Value Used for Calculating Hedge Ineffectiveness Years Ended December 31
$ 4,079,274
2022
$ 283,995 (283,995)
2021
$ 148,817 (148,817)
$-$-
The Company entered into forward contracts to partially hedge foreign exchange rate risks or interest rate risks associated with certain highly probable forecast transactions (capital expenditures or issuance of debts). The hedge ratio is adjusted in response to the changes in the financial market and capped at 100%. The forward contracts have maturities of 12 months or less.
On the basis of economic relationships, the Company expects that the value of forward contracts and the value of hedged transactions will change in opposite directions in response to movements in foreign exchange rates or interest rates.
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