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Loss Allowance For Expected Credit Losses On Credit Exposures Not Measured At Fair Value Through Profit or Loss

12 Months Ended

Dec. 31, 2020

Loss Allowances For Expected Credit Losses On Credit Exposures Not Measured At Fair Value Through Profit or Loss

9.	LOSS ALLOWANCE FOR EXPECTED CREDIT LOSSES ON CREDIT EXPOSURES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

The Bank recognizes a loss allowance for expected credit losses on all credit exposures not measured at fair value through profit or loss, like debt instruments measured at amortized cost, debt instruments measured at fair value through other comprehensive income, loan commitments and financial guarantee contracts (not measured at fair value through profit or loss), contract assets and lease receivables.

Note 12 discloses financial instruments classified as “measures at amortized cost”, “measured at fair value through other comprehensive income” and “measured at fair value through profit or loss”. This classification is made pursuant to what was detailed in note 3.2.4. Additionally, in note 12 are also explained the information related to the valuation process.

Moreover, the Bank applies the impairment requirements for guarantees granted, undrawn commitments of credit cards and checking accounts, letter of credits, which are not recognized in the consolidated statement of financial position.

For the purpose of assessing the Bank’s credit risk exposure and identifying material credit risk concentration, disclosures regarding to credit risk of financial assets and items not recognized in the statement of financial position, are as follows:

9.1.

Exposure to credit risk


	12/31/2020			12/31/2019
Loans and other financing		267,349,317			307,633,542
Collective assessment		193,056,864			173,435,436
Individual assessment		74,292,453			134,198,106

Less: Allowance for ECL		(9,928,122	)		(6,901,953	)

		257,421,195			300,731,589

The following table shows the credit quality and the debt balance to credit risk, based on the Bank’s credit risk rating system and the

year-end

stage classification, taking into account the several guidelines related to flexible conditions for credit established by the BCRA to moderate the pandemic effects generated by

COVID-19

(see also note 51.1.4). The amounts are presented gross of the impairment allowances.


		12/31/2020 (*)
Internal rating grade	Range PD	Stage 1			Stage 2			Stage 3			Total			%
Performing			247,998,859			9,095,963						257,094,822			96.17	%
High grade	0.00%-3.50%		203,625,287			74,994						203,700,281			76.20	%
Standard grade	3.51%-7.00%		31,867,028			1,925,470						33,792,498			12.64	%
Sub-standard grade	7.01%-33.00%		12,506,544			7,095,499						19,602,043			7.33	%
Past due but not impaired	33.01%-99.99%		791,051			6,433,574						7,224,625			2.70	%
Impaired	100%								3,029,870			3,029,870			1.13	%

Total			248,789,910			15,529,537			3,029,870			267,349,317			100	%

			93.06	%		5.81	%		1.13	%		100	%

(*)	See also note 51.1.4.


		12/31/2019
Internal rating grade	Range PD	Stage 1			Stage 2			Stage 3			Total			%
Performing			280,074,262			13,565,543						293,639,805			95.45	%
High grade	0.00%-3.50%		234,860,526			153,443						235,013,969			76.40	%
Standard grade	3.51%-7.00%		23,185,807			2,145,131						25,330,938			8.23	%
Sub-standard grade	7.01%-33.00%		22,027,929			11,266,969						33,294,898			10.82	%
Past due but not impaired	33.01%-99.99%		490,415			8,230,491						8,720,906			2.84	%
Impaired	100%								5,272,831			5,272,831			1.71	%

Total			280,564,677			21,796,034			5,272,831			307,633,542			100	%

			91.20	%		7.09	%		1.71	%		100	%

9.1.1

Loans on an individual assessment

The table below shows the credit quality and the debt balance to credit risk of commercial loans based by grade on the Bank’s internal credit rating system, PD range and

year-end

stage classification. The Bank’s internal credit rating systems and the evaluation and measurement approaches are explained in note 51.1 “Credit risk”.


		12/31/2020 (*)
Internal rating grade	Range PD	Stage 1			Stage 2			Stage 3			Total			%
Performing			67,960,595			2,781,608						70,742,203			95.22	%
High grade	0.00%-3.50%		64,283,220			812						64,284,032			86.53	%
Standard grade	3.51%-7.00%		2,742,148			1,454,671						4,196,819			5.65	%
Sub-standard grade	7.01%-33.00%		935,227			1,326,125						2,261,352			3.04	%
Past due but not impaired	33.01%-99.99%		372,660			1,614,916						1,987,576			2.68	%
Impaired	100%								1,562,674			1,562,674			2.10	%

Total			68,333,255			4,396,524			1,562,674			74,292,453			100	%

			91.98	%		5.92	%		2.10	%		100	%

(*)	See also note 51.1.4.


		12/31/2019
Internal rating grade	Range PD	Stage 1			Stage 2			Stage 3			Total			%
Performing			128,020,746			2,895,846						130,916,592			97.55	%
High grade	0.00%-3.50%		121,115,116			10,720						121,125,836			90.26	%
Standard grade	3.51%-7.00%		25,878			1,184,255						1,210,133			0.90	%
Sub-standard grade	7.01%-33.00%		6,879,752			1,700,871						8,580,623			6.39	%
Past due but not impaired	33.01%-99.99%					1,389,063						1,389,063			1.04	%
Impaired	100%								1,892,451			1,892,451			1.41	%

Total			128,020,746			4,284,909			1,892,451			134,198,106			100	%

			95.40	%		3.19	%		1.41	%		100	%

An analysis of changes in the gross carrying amount and the corresponding ECL allowances in relation to commercial lending is, as follows:


	Stage									Total
	1			2			3			Total
Gross Carrying amount as of January 1, 2020		128,020,746			4,284,909			1,892,451			134,198,106
Assets originated or purchased		62,435,429			2,414,823						64,850,252
Assets derecognized or repaid		(102,930,411	)		(926,908	)		(1,029,675	)		(104,886,994	)
Transfers to Stage 1		213,137			(213,137	)
Transfers to Stage 2		(378,924	)		378,924
Transfers to Stage 3		(1,541,904	)		(157,275	)		1,699,179
Amounts Written Off								(375,325	)		(375,325	)
Monetary effects		(17,484,818	)		(1,384,812	)		(623,956	)		(19,493,586	)

As of December 31, 2020		68,333,255			4,396,524			1,562,674			74,292,453


	Stage									Total
	1			2			3			Total
Gross Carrying amount as of January 1, 2019		140,670,991			2,125,782			2,353,984			145,150,757
Assets originated or purchased		150,197,527			4,510,146						154,707,673
Assets derecognized or repaid		(110,364,709	)		(1,623,329	)		(1,733,006	)		(113,721,044	)
Transfers to Stage 1		536,346			(428,565	)		(107,781	)
Transfers to Stage 2		(1,249,433	)		1,249,433
Transfers to Stage 3		(2,569,451	)		(29,397	)		2,598,848
Amounts Written Off					(236	)		(123,425	)		(123,661	)
Monetary effects		(49,200,525	)		(1,518,925	)		(1,096,169	)		(51,815,619	)

As of December 31, 2019		128,020,746			4,284,909			1,892,451			134,198,106


	Stage
	1			2			3			Total
ECL as at January 1, 2020		436,430			456,028			1,303,904			2,196,362
Assets originated or purchased		1,463,380			421,574						1,884,954
Assets derecognized or repaid		(335,089	)		(26,302	)		(813,640	)		(1,175,031	)
Transfers to Stage 1		9,749			(9,749	)
Transfers to Stage 2		(1,181	)		1,181
Transfers to Stage 3		(929,211	)		(5,996	)		935,207
Amounts Written Off								(329,807	)		(329,807	)
Monetary effects		(31,439	)		(169,212	)		(313,035	)		(513,686	)

At December 31, 2020		612,639			667,524			782,629			2,062,792


	Stage
	1			2			3			Total
ECL as at January 1, 2019		559,907			120,738			896,211			1,576,856
Assets originated or purchased		2,089,381			586,750						2,676,131
Assets derecognized or repaid		(411,175	)		(87,985	)		(628,383	)		(1,127,543	)
Transfers to Stage 1		76,434			(13,892	)		(62,542	)
Transfers to Stage 2		(17,184	)		17,184
Transfers to Stage 3		(1,843,210	)		(1,035	)		1,844,245
Amounts Written Off					(5	)		(53,717	)		(53,722	)
Monetary effects		(17,723	)		(165,727	)		(691,910	)		(875,360	)

At December 31, 2019		436,430			456,028			1,303,904			2,196,362

9.1.2.

Loans on a collective assessment

The table below shows the credit quality and the debt balance to credit risk of loans portfolio under collective assessment, by grade of credit risk classification based on the Bank’s internal credit rating system, PD range and

year-end

stage classification. The Bank’s internal credit rating systems and the evaluation and measurement approaches are explained in note 51.1 “Credit risk”.


		12/31/2020 (*)
Internal rating grade	Range PD	Stage 1			Stage 2			Stage 3			Total			%
Performing			180,038,264			6,314,355						186,352,619			96.53	%
High grade	0.00%-3.50%		139,342,067			74,182						139,416,249			72.22	%
Standard grade	3.51%-7.00%		29,124,880			470,799						29,595,679			15.33	%
Sub-standard grade	7.01%-33.00%		11,571,317			5,769,374						17,340,691			8.98	%
Past due but not impaired	33.01%-99.99%		418,391			4,818,658						5,237,049			2.71	%
Impaired	100%								1,467,196			1,467,196			0.76	%

Total			180,456,655			11,133,013			1,467,196			193,056,864			100	%

			93.47	%		5.77	%		0.76	%		100	%

(*)	See also note 51.1.4.


		12/31/2019
Internal rating grade	Range PD	Stage 1			Stage 2			Stage 3			Total			%
Performing			152,053,516			10,669,697						162,723,213			93.82	%
High grade	0.00%-3.50%		113,745,410			142,723						113,888,133			65.66	%
Standard grade	3.51%-7.00%		23,159,929			960,876						24,120,805			13.91	%
Sub-standard grade	7.01%-33.00%		15,148,177			9,566,098						24,714,275			14.25	%
Past due but not impaired	33.01%-99.99%		490,415			6,841,428						7,331,843			4.23	%
Impaired	100%								3,380,380			3,380,380			1.95	%

Total			152,543,931			17,511,125			3,380,380			173,435,436			100	%

			87.95	%		10.10	%		1.95	%		100	%

An analysis of changes in the gross carrying amount and the corresponding ECL allowances in relation to consumer lending is, as follows:


	Stage									Total
	1			2			3			Total
Gross Carrying amount as of January 1, 2020		152,543,931			17,511,125			3,380,380			173,435,436
Assets originated or purchased		122,636,191			6,987,337						129,623,528
Assets derecognized or repaid		(48,194,960	)		(7,286,602	)		(980,906	)		(56,462,468	)
Transfers to Stage 1		8,634,947			(8,338,341	)		(296,606	)
Transfers to Stage 2		(4,575,337	)		4,830,837			(255,500	)
Transfers to Stage 3		(1,104,828	)		(309,271	)		1,414,099
Amounts Written Off		(35,643	)		(284,523	)		(1,378,194	)		(1,698,360	)
Monetary effects		(49,447,646	)		(1,977,549	)		(416,077	)		(51,841,272	)

As of December 31, 2020		180,456,655			11,133,013			1,467,196			193,056,864


	Stage									Total
	1			2			3			Total
Gross Carrying amount as of January 1, 2019		190,999,547			42,324,135			4,853,305			238,176,987
Assets originated or purchased		103,467,653			10,167,092						113,634,745
Assets derecognized or repaid		(71,378,819	)		(19,642,849	)		(1,649,885	)		(92,671,553	)
Transfers to Stage 1		14,992,526			(14,771,361	)		(221,165	)
Transfers to Stage 2		(8,171,761	)		8,759,526			(587,765	)
Transfers to Stage 3		(4,033,895	)		(951,529	)		4,985,424
Amounts Written Off		(323,899	)		(936,075	)		(2,198,639	)		(3,458,613	)
Monetary effects		(73,007,421	)		(7,437,814	)		(1,800,895	)		(82,246,130	)

As of December 31, 2019		152,543,931			17,511,125			3,380,380			173,435,436


	Stage
	1			2			3			Total
ECL as of January 1, 2020		1,561,990			1,480,048			1,663,553			4,705,591
Assets originated or purchased		4,381,186			1,785,657						6,166,843
Assets derecognized or repaid		362,221			(364,035	)		(538,553	)		(540,367	)
Transfers to Stage 1		766,661			(621,987	)		(144,674	)
Transfers to Stage 2		(75,871	)		188,316			(112,445	)
Transfers to Stage 3		(708,400	)		(48,396	)		756,796
Amounts Written Off		(1,676	)		(56,306	)		(702,095	)		(760,077	)
Monetary effects		(1,655,093	)		(4,471	)		(47,096	)		(1,706,660	)

As of December 31, 2020		4,631,018			2,358,826			875,486			7,865,330


	Stage
	1			2			3			Total
ECL as at January 1, 2019		1,621,844			2,602,099			2,302,058			6,526,001
Assets originated or purchased		2,472,513			881,811						3,354,324
Assets derecognized or repaid		19,972			(1,093,709	)		(917,811	)		(1,991,548	)
Transfers to Stage 1		733,257			(636,265	)		(96,992	)
Transfers to Stage 2		(115,770	)		330,095			(214,325	)
Transfers to Stage 3		(1,912,100	)		(100,707	)		2,012,807
Amounts Written Off		(9,225	)		(144,692	)		(1,106,555	)		(1,260,472	)
Monetary effects		(1,248,501	)		(358,584	)		(315,629	)		(1,922,714	)

As of December 31, 2019		1,561,990			1,480,048			1,663,553			4,705,591

Over the course of 2020 and 2019, the Bank generated from loan portfolio sales, profits for 36,947 and 69,935, respectively and losses for 27 and 1,446, respectively.

The contractual amount outstanding on loans and other financing that have been written off by the Bank as of December 31, 2020 and 2019 that were still subject to enforcement activity was 4,349,903 and 4,127,716, respectively.

9.2

Other debt securities at amortized cost

For local government securities, EAD is considered equal to the debt balance, because there is not available information of such instruments’ behavior when they defaulted. For PD and LGD parameters, they were calculated using Basel regulatory parameters.

For corporate bonds issued by the Bank’s customers, PD and LGD parameters calculated for loan exposures of those customers were used. The corporate bonds’ EAD is considered equal to the debt balance, because there is not available information of such instrument’s behavior when it defaulted.

For financial trusts at amortized cost, the criteria that was used in the calculation of ECL is based on credit risk ratings given by a credit rating agency for each types of debt securities that compose each financial trust. That is, the factor to be used will vary in relation to the holding debt securities class (A or B). It is assumed that the EAD is equal to the debt balance.

The table below shows the exposures gross of impairment allowances by stages:


	12/31/2020
	Stage 1			Stage 2	Stage 3	Total			%
Local government securities		30,587,228					30,587,228			98.29	%
Corporate bonds		365,341					365,341			1.17	%
Financial trust		166,692					166,692			0.54	%

Total		31,119,261					31,119,261

		100	%				100	%


	12/31/2019
	Stage 1			Stage 2			Stage 3	Total			%
Local government securities		11,374,373			8,996,667				20,371,040			84.64	%
Corporate bonds		2,198,423							2,198,423			9.13	%
Financial trust		1,498,448							1,498,448			6.23	%

Total		15,071,244			8,996,667				24,067,911

		62.62	%		37.38	%			100	%

During 2019 there were transfers between stages considering what is mentioned in Note 20.

The related ECL for local government securities as of December 31, 2020 and 2019 amounted to 4,129 and 61,064, respectively. The related ECL for corporate bonds as of December 31, 2020 and 2019 amounted to 1,234 and 2,088, respectively. The ECL related to financial trusts as of December 31, 2020 and 2019 amounted to 109 and 549, respectively. See also note 5.

9.3

Government securities at fair value through OCI

This group includes federal government securities, provincial or Central Bank instruments measured at fair value through OCI. For these assets, an individual assessment of the related parameters was performed.

As of December 31, 2020 and 2019 the gross carrying amount related to these securities amounted to 178,005,144 and 63,824,735, the related ECL amounted to 5,964 and 286, respectively, and they were classified in stage 1. During 2020 and 2019, there were no transfers between stages. A detail of these investments are disclosed in note 5.

9.4

Other financial assets

As of December 31, 2020 and 2019 the gross carrying amount related to these securities amounted to 18,905,219 and 8,405,598 and they were classified in stage 1. The ECL related to these types of instruments amounted to 18,929 and 14,032 as of December 31, 2020 and 2019, respectively, including the ECL related to the payments to be collected for transaction mentioned in note 21. During 2020 and 2019, there were no transfers between stages.

During the fiscal years ended on December 31, 2020, 2019 and 2018 losses for ECL related to loans and other financing, other debt securities measured at amortized cost and other financial assets amounted to 7,861,600, 5,917,873 and 6,073,426, respectively, and were recognized in the consolidated statements of income under the item “Credit loss expense on financial assets”.