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Financial Instruments Risks (Tables)

12 Months Ended

Dec. 31, 2020

Disclosure of nature and extent of risks arising from financial instruments [abstract]

Summary of Credit Risk Exposure of Loans and Advances

The Group’s credit risk exposure of loans and advances under IFRS 9 with stage allocation by asset classification as of December 31, 2020 and 2019 is provided below:


Credit risk exposure	December 31, 2020		Stage 1		Stage 2		Stage 3
Cash and cash equivalents		86,184,474		86,184,474		—		—

- BCRA unrestricted current account		86,184,474		86,184,474		—		—

Financial assets at amortized cost		344,596,958		299,911,768		39,248,718		5,436,472

Wholesale		127,382,078		112,935,399		11,532,469		2,914,210

- Business		63,350,121		57,314,517		4,658,319		1,377,285
- Corporate & Investment Banking (CIB)		51,430,316		43,387,621		6,615,922		1,426,773
- Institutional and international		3,539		3,186		9		344
- MSMEs		9,853,004		9,515,836		227,360		109,808
- Others		2,745,098		2,714,239		30,859		—

Retail		168,026,972		137,788,461		27,716,249		2,522,262

- Advances		397,966		224,119		58,893		114,954
- Credit cards		108,390,974		87,348,378		20,065,917		976,679
- Personal loans		27,678,973		21,409,918		5,126,960		1,142,095
- Pledge loans		12,762,900		12,446,707		78,369		237,824
- Mortgages		18,561,052		16,125,462		2,385,293		50,297
- Receivables from financial leases		234,513		233,326		805		382
- Others		594		551		12		31
Reverse repurchase agreements		49,187,908		49,187,908		—		—

- BCRA repos		49,187,908		49,187,908		—		—

Financial assets at fair value through other comprehensive income		127,543,852		90,151,041		37,392,811		—

- Debt securities		127,543,852		90,151,041		37,392,811		—

Total financial assets risk		558,325,284		476,247,283		76,641,529		5,436,472

Loan commitments and financial guarantees		62,527,175		57,622,393		4,895,830		8,952

Wholesale		15,103,722		14,192,903		903,181		7,638

- Business		4,696,427		4,509,965		180,282		6,180
- CIB		5,681,763		5,464,505		216,776		482
- Institutional and international		4,215,983		3,730,436		485,547		—
- MSMEs		509,549		487,997		20,576		976

Retail		47,423,453		43,429,490		3,992,649		1,314

- Advances		4,971,492		4,874,422		97,011		59
- Credit cards		42,130,673		38,287,465		3,841,953		1,255
- Mortgages		289,695		258,729		30,966		—
- Others		31,593		8,874		22,719		—

Total loan commitments and financial guarantees		62,527,175		57,622,393		4,895,830		8,952

Total credit risk exposure		620,852,459		533,869,676		81,537,359		5,445,424


Credit risk exposure	December 31, 2019		Stage 1		Stage 2		Stage 3
Financial assets at amortized cost		283,357,959		245,405,093		27,358,665		10,594,201

Wholesale		121,743,503		106,101,285		9,436,834		6,205,384

- Business		63,570,532		51,955,351		6,324,901		5,290,280
- CIB		54,764,063		52,123,004		1,825,624		815,435
- Institutional and international		781,390		427,890		353,022		478
- MSMEs		2,627,518		1,595,040		933,287		99,191

Retail		161,614,456		139,303,808		17,921,831		4,388,817

- Advances		634,087		394,705		149,426		89,956
- Credit cards		93,547,285		81,534,909		9,805,989		2,206,387
- Personal loans		33,189,072		24,553,711		6,783,052		1,852,309
- Pledge loans		13,086,909		12,625,716		261,480		199,713
- Mortgages		20,931,137		19,974,970		918,980		37,187
- Receivables from financial leases		224,639		218,816		2,809		3,014
- Others		1,327		981		95		251

Financial assets at fair value through other comprehensive income		61,506,254		39,634,085		21,872,169		—

- Debt securities		61,506,254		39,634,085		21,872,169		—

Total financial assets risk		344,864,213		285,039,178		49,230,834		10,594,201

Loan commitments and financial guarantees		67,672,394		61,008,074		6,619,755		44,565

Wholesale		16,874,379		13,133,774		3,734,472		6,133

- Business		12,256,853		10,592,414		1,660,653		3,786
- CIB		2,346,931		1,030,897		1,315,730		304
- Institutional and international		1,660,476		1,068,597		591,879		—
- MSMEs		610,119		441,866		166,210		2,043

Retail		50,798,015		47,874,300		2,885,283		38,432

- Advances		5,400,667		5,219,511		179,008		2,148
- Credit cards		45,016,896		42,311,309		2,669,303		36,284
- Mortgages		336,459		313,579		22,880		—
- Others		43,993		29,901		14,092		—

Total loan commitments and financial guarantees		67,672,394		61,008,074		6,619,755		44,565

Total credit risk exposure		412,536,607		346,047,252		55,850,589		10,638,766

Table of Evolution of Total VaR

VaR (in millions of pesos)


	Year-ended December 31, 2020		Year-ended December 31, 2019
Average		226.41		81.60
Minimum		27.42		11.55
Maximum		431.58		273.42
Closing		225.50		43.57

VaR per risk factors – (in millions of pesos)


VaR interest rate	Year-ended December 31, 2020		Year-ended December 31, 2019
Average		108.68		71.97
Minimum		6.97		8.26
Maximum		406.57		234.32
Closing		237.23		43.99

VaR foreign exchange rate	Year-ended December 31, 2020		Year-ended December 31, 2019
Average		187.62		25.85
Minimum		2.93		0.85
Maximum		377.09		155.02
Closing		137.98		3.92

Table of Forward Transactions and Foreign Currency Forwards


	December 31, 2020		December 31, 2019
Foreign Currency Forwards
Foreign currency forward purchases - US$		1,011,403		618,497
Foreign currency forward sales - US$		978,794		620,956
Foreign currency forward sales – Euros		6,834		1,804
Foreign currency forward purchases – Euros		0		35

Foreign currency forward - US$		32,609		(2,459	)
Foreign currency forward - Euros		6,834		1,769

Table of Position in Foreign Currency


	Total as of December 31, 2020			As of December 31, 2020 (per currency)									Total as of December 31, 2019
	Total as of December 31, 2020			US Dollar			Euro		Real		Other		Total as of December 31, 2019
ASSETS

Cash and cash equivalents		114,954,079			110,150,270			4,568,050		33,778		201,982		119,371,805
Financial assets at fair value through profit or loss - Debt securities		629			629			0		0		0		226
Other financial assets		6,930,424			6,924,630			5,793		0		0		3,461,778

Loans and advances		27,928,287			27,928,212			0		0		75		46,696,681
Financial assets at fair value through other comprehensive income - Debt securities		0			0			0		0		0		10,093,293
Equity instruments		28,273			28,273			0		0		0		36,946

TOTAL ASSETS		149,841,692			145,032,014			4,573,843		33,778		202,057		179,660,729

LIABILITIES

Deposits		137,441,745			134,734,046			2,707,699		0		0		159,598,906
Trading liabilities		0			0			0		0		0		612,112
Other financial liabilities		10,386,382			9,968,665			380,566		0		37,151		10,465,808
Bank loans		2,260,739			2,260,739			0		0		0		4,153,052
Other liabilities		1,142,679			1,104,580			21,282		0		16,817		1,691,325

TOTAL LIABILITIES		151,231,545			148,068,030			3,109,547		0		53,968		176,521,203

Net		(1,389,583	)		(3,036,016	)		1,464,296		33,778		148,089		3,139,526

Table of Sensitivity of the Economic Value SEV

SEV +100 bps


	December 31, 2020			December 31, 2019
Closing		0.38	%		0.32	%
Minimum		0.17	%		0.04	%
Maximum		0.47	%		1.64	%
Average		0.34	%		0.77	%

Table of Sensitivity of the Financial Margin SFM

SFM

-100

bps


	December 31, 2020			December 31, 2019
Closing		0.92	%		0.82	%
Minimum		0.56	%		0.58	%
Maximum		0.92	%		2.20	%
Average		0.81	%		1.48	%

Table of the Progress of LCR Ratios


	December, 2020			December, 2019
LCR Closing		321	%		413	%
Max		354	%		525	%
Min		292	%		410	%
Avg		313	%		457	%

Table of Concentration of Deposits


	December 31, 2020					December 31, 2019
Number of customers	Debt balance		% over total portfolio			Debt balance		% over total portfolio
10 largest customers		47,049,746		9.84	%		14,805,699		3.70	%
50 following largest customers		40,204,538		8.41	%		23,185,601		5.79	%
100 following largest customers		25,447,726		5.32	%		18,262,499		4.56	%
Rest of customers		365,521,254		76.43	%		343,982,998		85.95	%

TOTAL		478,223,264		100.00	%		400,236,797		100.00	%

Table of Breakdown by Contractual Maturity of Financial Liabilities

The following chart show the breakdown by contractual maturity of loans and advances, other financing and financial liabilities considering the total amounts to their due date, as of December 31, 2020 and 2019:


	Assets (*)				Liabilities (*)
	December 31, 2020		December 31, 2019		December 31, 2020		December 31, 2019
Up to 1 month (**)		141,716,796		135,797,587		473,165,815		415,394,814
From more than 1 month to 3 month		37,208,495		36,288,151		26,150,054		32,989,897
From more than 3 month to 6 month		30,735,275		19,850,272		31,502,743		11,823,481
From more than 6 month to 12 month		33,137,133		26,432,729		2,818,747		7,815,160
From more than 12 month to 24 month		33,794,545		37,925,667		2,142,351		1,595,696
More than 24 months		43,647,595		57,062,231		4,245,245		5,031,776

TOTAL		320,239,839		313,356,637		540,024,955		474,650,824

(*)	These figures includes expected interest amounts. For floating rate instruments such interest amounts were calculated using interest rate prevailing at the end of each period.

(**)	The Bank has liquid assets such as cash and cash equivalents (Note 8), reverse repurchase agreements (Note 10.4) and BCRA liquidity bills (Note 14.1), among others, to settle its liabilities.

Additionally, the Bank has issued financial guarantees and loan commitments which may require outflows on demand.


Financial guarantees and loan commitments	December 31, 2020		December 31, 2019
Up to 1 month		207,111,405		232,513,084
From more than 1 month to 3 month		700,808		2,756
From more than 3 month to 6 month		916,901		335,854
From more than 6 month to 12 month		2,816,669		164,735
From more than 12 month to 24 month		184,331		528,973
More than 24 months		635,499		375,240

TOTAL		212,365,613		233,920,642

Table of Financial Assets and Liabilities Expected to be Collected or Paid Twelve Months After the End of the Reporting Period


	December 31, 2020		December 31, 2019
Financial assets
Loans and advances		77,442,142		94,987,898
Debt securities		28,562,761		239,102

Total		106,004,903		95,227,000

Financial liabilities
Other financial liabilities		4,326,274		5,642,383
Bank loans		1,708,917		670,728
Debt securities issued		331,775		185,568
Deposits		20,630		128,793

Total		6,387,596		6,627,472

Summary of Credit Quality Analysis of Loans and Advances

The Group’s credit quality analysis of financial assets under IFRS 9 with risk allocation as of December 31, 2020 and 2019 is provided below:


Credit quality analysis		December 31, 2020
Cash and cash equivalents
- BCRA unrestricted current account (Low risk)			86,184,474

Total cash and cash equivalents			86,184,474

Wholesale
- Low risk			97,760,236
- Medium risk			26,525,516
- High risk			15,278,200
- Non performing			2,921,848

Total wholesale			142,485,800

Retail
- Low risk			140,435,130
- Medium risk			68,578,972
- High risk			3,912,747
- Non performing			2,523,576

Total retail			215,450,425

Reverse repurchase agreement
- BCRA repos	CCC+		49,187,908

Total reverse repurchase agreement			49,187,908

Debt securities
- BCRA Liquidity Bills	CCC+		89,890,131
- Government securities	CC		37,392,811
- Corporate bonds	CCC+		260,910

Total debt securities			127,543,852

Total credit risk exposure			620,852,459


Credit quality analysis		December 31, 2019
Wholesale
- Low risk			82,589,414
- Medium risk			35,034,923
- High risk			14,782,028
- Non performing			6,211,517

Total wholesale			138,617,882

Retail
- Low risk			149,850,521
- Medium risk			54,347,711
- High risk			3,786,990
- Non performing			4,427,249

Total retail			212,412,471

Debt securities
- BCRA Liquidity Bills	B+		39,585,142
- Government securities	CCC		21,825,609
- Corporate bonds	B+		95,503

Total debt securities			61,506,254

Total credit risk exposure			412,536,607