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Financial instruments | 12 Months Ended
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Dec. 31, 2017
Disclosures of financials instrument [Abstract] |
Disclosure of financial instruments [text block] |
5. | Financial instruments
| 5.1 | Financial instruments at FVTPL - Fair value through profit or loss
The fair value of financial liabilities at FVTPL is as follows:
|  | December 31, 2017 |  | December 31, 2016 |
Liabilities |  |  |  |  |  |  |
Foreign exchange forward |  |  | - |  |  | 24 |
Total |  |  | - |  |  | 24 |
The information on the nominal amounts of derivative financial instruments at FVTPL is as follows:
|  | December 31, 2017 |  | December 31, 2016 |
|  | Nominal |  | Fair value |  | Nominal |  | Fair value |
|  | amount |  | Asset |  | Liability |  | amount |  | Asset |  | Liability |
Foreign exchange forward |  |  | - |  |  | - |  |  | - |  |  | 1,274 |  |  | - |  |  | 24 |
Total |  |  | - |  |  | - |  |  | - |  |  | 1,274 |  |  | - |  |  | 24 |
| 5.2 | Financial instruments at fair value through other comprehensive income
The amortized cost, related unrealized gross gain (loss) and fair value of financial instruments at fair value through other comprehensive income by country risk and type of debt are as follows: Equity Investment at FVOCI
|  | December 31, 2017 |
|  |  |  | Unrealized |  |  |  |
|  | Amortized cost |  | Gain |  | Loss |  | Fair value |
Equity investments (1) |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 8,630 |  |  | - |  |  | 228 |  |  | 8,402 |
|  |  | 8,630 |  |  | - |  |  | 228 |  |  | 8,402 |
Securities at FVOCI
|  | December 31, 2017 |
|  |  |  |  | Unrealized |  |  |  |
|  | Amortized cost |  | Gain |  | Loss |  | Fair value |
Sovereign debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 2,937 |  |  | 29 |  |  | 12 |  |  | 2,954 |
Chile |  |  | 5,182 |  |  | - |  |  | 35 |  |  | 5,147 |
Trinidad and Tobago |  |  | 8,843 |  |  | - |  |  | 211 |  |  | 8,632 |
|  |  | 16,962 |  |  | 29 |  |  | 258 |  |  | 16,733 |
|  |  | 25,592 |  |  | 29 |  |  | 486 |  |  | 25,135 |
| (1) | Equity instruments were initially recognized at fair value. These equity instruments correspond to equity securities classified with the irrevocable option of changes in OCI.
|  | December 31, 2016 |
|  |  |  |  | Unrealized |  |  |  |
|  | Amortized cost |  | Gain |  | Loss |  | Fair value |
Corporate debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 3,144 |  |  | - |  |  | 62 |  |  | 3,082 |
Venezuela |  |  | 10,810 |  |  | 20 |  |  | 3 |  |  | 10,827 |
|  |  | 13,954 |  |  | 20 |  |  | 65 |  |  | 13,909 |
Sovereign debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 2,926 |  |  | - |  |  | 140 |  |  | 2,786 |
Chile |  |  | 5,229 |  |  | - |  |  | 59 |  |  | 5,170 |
Trinidad and Tobago |  |  | 9,283 |  |  | - |  |  | 541 |  |  | 8,742 |
|  |  | 17,438 |  |  | - |  |  | 740 |  |  | 16,698 |
|  |  | 31,392 |  |  | 20 |  |  | 805 |  |  | 30,607 |
As of December 31, 2017 and 2016, there were no securities at fair value through OCI guaranteeing repurchase transactions. The following table discloses those securities that had unrealized losses for a period less than 12 months and for 12 months or longer:
|  | December 31, 2017 |
|  | Less than 12 months |  | 12 months or longer |  | Total |
|  | Fair value |  | Unrealized gross losses |  | Fair value |  | Unrealized gross losses |  | Fair value |  | Unrealized gross losses |
Sovereign debt |  |  | 5,147 |  |  | 35 |  |  | 9,616 |  |  | 223 |  |  | 14,763 |  |  | 258 |
Total |  |  | 5,147 |  |  | 35 |  |  | 9,616 |  |  | 223 |  |  | 14,763 |  |  | 258 |
|  | December 31, 2016 |
|  | Less than 12 months |  | 12 months or longer |  | Total |
|  | Fair value |  | Unrealized gross losses |  | Fair value |  | Unrealized gross losses |  | Fair value |  | Unrealized gross losses |
Corporate debt |  |  | 1,805 |  |  | 3 |  |  | 3,082 |  |  | 62 |  |  | 4,887 |  |  | 65 |
Sovereign debt |  |  | 5,170 |  |  | 59 |  |  | 11,528 |  |  | 681 |  |  | 16,698 |  |  | 740 |
Total |  |  | 6,975 |  |  | 62 |  |  | 14,610 |  |  | 743 |  |  | 21,585 |  |  | 805 |
The following table presents the realized gains and losses on sale of securities at fair value through other comprehensive income:
|  | December 31, 2017 |  | December 31, 2016 |  | December 31, 2015 |
Realized gain on sale of securities |  |  | 766 |  |  | 221 |  |  | 469 |
Realized loss on sale of securities |  |  | (517) |  |  | (577) |  |  | (106) |
Net gain (loss) on sale of securities at fair value through other comprehensive income |  |  | 249 |  |  | (356) |  |  | 363 |
Securities at fair value through other comprehensive income classified by issuer’s credit quality indicators are as follows:
Rating(1) |  | December 31, 2017 |  | December 31, 2016 |
1-4 |  |  | 16,733 |  |  | 30,607 |
5-6 |  |  | - |  |  | - |
7 |  |  | - |  |  | - |
8 |  |  | - |  |  | - |
9 |  |  | - |  |  | - |
10 |  |  | - |  |  | - |
Total |  |  | 16,733 |  |  | 30,607 |
(1) Current ratings as of December 31, 2017 and 2016, respectively. The amortized cost and fair value of securities at fair value through other comprehensive income by contractual maturity are shown in the following tables:
|  | December 31, 2017 |  | December 31, 2016 |
|  | Amortized cost |  | Fair value |  | Amortized cost |  | Fair value |
Due within 1 year |  |  | - |  |  | - |  |  | - |  |  | - |
After 1 year but within 5 years |  |  | 16,962 |  |  | 16,733 |  |  | 17,656 |  |  | 16,994 |
After 5 years but within 10 years |  |  | - |  |  | - |  |  | 13,736 |  |  | 13,613 |
|  |  | 16,962 |  |  | 16,733 |  |  | 31,392 |  |  | 30,607 |
The allowance for expected credit losses relating to securities at fair value through other comprehensive income, which is recorded in equity under accumulated other comprehensive income (loss), is as follow:
|  | Stage 1 (1) |  | Stage 2 (2) |  | Stage 3 (3) |  | Total |
Allowance for expected credit losses as of December 31, 2016 |  |  | 42 |  |  | 263 |  |  | - |  |  | 305 |
Transfer to lifetime expected credit losses |  |  | - |  |  | - |  |  | - |  |  | - |
Transfer to credit-impaired financial assets |  |  | - |  |  | - |  |  | - |  |  | - |
Transfer to 12-month expected credit losses |  |  | - |  |  | - |  |  | - |  |  | - |
Net effect of changes in reserve for expected credit losses |  |  | (6) |  |  | (65) |  |  | - |  |  | (71) |
Financial assets that have been derecognized during the year |  |  | (12) |  |  | - |  |  | - |  |  | (12) |
Changes due to financial instruments recognized as of December 31, 2016: |  |  | (18) |  |  | (65) |  |  | - |  |  | (83) |
New financial assets originated or purchased |  |  | - |  |  | - |  |  | - |  |  | - |
Write-offs |  |  | - |  |  | - |  |  | - |  |  | - |
Allowance for expected credit losses as of December 31, 2017 |  |  | 24 |  |  | 198 |  |  | - |  |  | 222 |
|  | Stage 1 (1) |  | Stage 2 (2) |  | Stage 3 (3) |  | Total |
Allowance for expected credit losses as of December 31, 2015 |  |  | 234 |  |  | 178 |  |  | 6,737 |  |  | 7,149 |
Transfer to lifetime expected credit losses |  |  | (31) |  |  | 456 |  |  | - |  |  | 425 |
Transfer to credit-impaired financial assets |  |  | - |  |  | - |  |  | - |  |  | - |
Transfer to 12-month expected credit losses |  |  | - |  |  | - |  |  | - |  |  | - |
Net effect of changes in reserve for expected credit losses |  |  | (15) |  |  | (168) |  |  | - |  |  | (183) |
Financial assets that have been derecognized during the year |  |  | (174) |  |  | (203) |  |  | - |  |  | (377) |
Changes due to financial instruments recognized as of December 31, 2015: |  |  | (220) |  |  | 85 |  |  | - |  |  | (135) |
New financial assets originated or purchased |  |  | 28 |  |  | - |  |  | - |  |  | 28 |
Write-offs |  |  | - |  |  | - |  |  | (6,737) |  |  | (6,737) |
Allowance for expected credit losses as of December 31, 2016 |  |  | 42 |  |  | 263 |  |  | - |  |  | 305 |
| (1) | 12-month expected credit losses.
| (2) | Lifetime expected credit losses.
| (3) | Credit-impaired financial assets (lifetime expected credit losses).
| 5.3 | Investment securities- at amortized cost
The amortized cost, related unrealized gross gain (loss) and fair value of these securities by country risk and type of debt are as follows:
|  | December 31, 2017 |
|  |  |  |  | Unrealized |  |  |  |
|  | Amortized cost (1) |  | Gross gain |  | Gross loss |  | Fair value |
Corporate debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 1,485 |  |  | 3 |  |  | - |  |  | 1,488 |
Panama |  |  | 9,978 |  |  | - |  |  | - |  |  | 9,978 |
|  |  | 11,463 |  |  | 3 |  |  | - |  |  | 11,466 |
Sovereign debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Colombia |  |  | 29,006 |  |  | 67 |  |  | 16 |  |  | 29,057 |
Mexico |  |  | 20,203 |  |  | - |  |  | 167 |  |  | 20,036 |
Panama |  |  | 8,458 |  |  | - |  |  | 11 |  |  | 8,447 |
|  |  | 57,667 |  |  | 67 |  |  | 194 |  |  | 57,540 |
|  |  | 69,130 |  |  | 70 |  |  | 194 |  |  | 69,006 |
|  | December 31, 2016 |
|  |  |  |  | Unrealized |  |  |  |
|  | Amortized cost (2) |  | Gross gain |  | Gross loss |  | Fair value |
Corporate debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 4,614 |  |  | - |  |  | 146 |  |  | 4,468 |
Panama |  |  | 3,000 |  |  | - |  |  | - |  |  | 3,000 |
|  |  | 7,614 |  |  | - |  |  | 146 |  |  | 7,468 |
Sovereign debt: |  |  |  |  |  |  |  |  |  |  |  |  |
Brazil |  |  | 11,179 |  |  | 37 |  |  | 194 |  |  | 11,022 |
Colombia |  |  | 29,812 |  |  | 34 |  |  | 280 |  |  | 29,566 |
Mexico |  |  | 20,541 |  |  | - |  |  | 1,059 |  |  | 19,482 |
Panama |  |  | 8,670 |  |  | 198 |  |  | - |  |  | 8,868 |
|  |  | 70,202 |  |  | 269 |  |  | 1,533 |  |  | 68,938 |
|  |  | 77,816 |  |  | 269 |  |  | 1,679 |  |  | 76,406 |
| (1) | Amounts do not include allowance for expected credit losses of US196.
| (2) | Amounts do not include allowance for expected credit losses of US$602.
The amortized cost and fair value of securities at amortized cost by contractual maturity are shown in the following tables:
|  | December 31, 2017 |  | December 31, 2016 |
|  | Amortized cost |  | Fair value |  | Amortized cost |  | Fair value |
Due within 1 year |  |  | 7,978 |  |  | 7,978 |  |  | 3,988 |  |  | 4,025 |
After 1 year but within 5 years |  |  | 61,152 |  |  | 61,028 |  |  | 68,537 |  |  | 67,358 |
After 5 years but within 10 years |  |  | - |  |  | - |  |  | 5,291 |  |  | 5,023 |
|  |  | 69,130 |  |  | 69,006 |  |  | 77,816 |  |  | 76,406 |
As of December 31, 2017 and 2016, there were no securities at amortized cost, guaranteeing repurchase transactions. Securities at amortized cost classified by issuer’s credit quality indicators are as follows:
Rating(1) |  | December 31, 2017 |  | December 31, 2016 |
1-4 |  |  | 57,667 |  |  | 76,333 |
5-6 |  |  | 11,463 |  |  | 1,483 |
7 |  |  | - |  |  | - |
8 |  |  | - |  |  | - |
9 |  |  | - |  |  | - |
10 |  |  | - |  |  | - |
Total |  |  | 69,130 |  |  | 77,816 |
| (1) | Current ratings as of December 31, 2017 and 2016, respectively.
The allowance for expected credit losses relating to securities at amortized cost is as follow:
|  | Stage 1 (1) |  | Stage 2 (2) |  | Stage 3 (3) |  | Total |
Allowance for expected credit losses as of December 31, 2016 |  |  | 99 |  |  | 503 |  |  | - |  |  | 602 |
Transfer to lifetime expected credit losses |  |  | - |  |  | - |  |  | - |  |  | - |
Transfer to credit-impaired financial assets |  |  | - |  |  | - |  |  | - |  |  | - |
Transfer to 12-month expected credit losses |  |  | - |  |  | - |  |  | - |  |  | - |
Net effect of changes in reserve for expected credit losses |  |  | (16) |  |  | (29) |  |  | - |  |  | (45) |
Financial assets that have been derecognized during the year |  |  | (18) |  |  | (422) |  |  | - |  |  | (440) |
Changes due to financial instruments recognized as of December 31, 2016: |  |  | (34) |  |  | (451) |  |  | - |  |  | (485) |
New financial assets originated or purchased |  |  | 79 |  |  | - |  |  | - |  |  | 79 |
Allowance for expected credit losses as of December 31, 2017 |  |  | 144 |  |  | 52 |  |  | - |  |  | 196 |
|  | Stage 1 (1) |  | Stage 2 (2) |  | Stage 3 (3) |  | Total |
Allowance for expected credit losses as of December 31, 2015 |  |  | 348 |  |  | 178 |  |  | - |  |  | 526 |
Transfer to lifetime expected credit losses |  |  | (43) |  |  | 444 |  |  | - |  |  | 401 |
Transfer to credit-impaired financial assets |  |  | - |  |  | - |  |  | - |  |  | - |
Transfer to 12-month expected credit losses |  |  | - |  |  | - |  |  | - |  |  | - |
Net effect of changes in reserve for expected credit losses |  |  | (5) |  |  | (91) |  |  | - |  |  | (96) |
Financial assets that have been derecognized during the year |  |  | (317) |  |  | (28) |  |  | - |  |  | (345) |
Changes due to financial instruments recognized as of December 31, 2015: |  |  | (365) |  |  | 325 |  |  | - |  |  | (40) |
New financial assets originated or purchased |  |  | 116 |  |  | - |  |  | - |  |  | 116 |
Allowance for expected credit losses as of December 31, 2016 |  |  | 99 |  |  | 503 |  |  | - |  |  | 602 |
| (1) | 12-month expected credit losses.
| (2) | Lifetime expected credit losses.
| (3) | Credit-impaired financial assets (lifetime expected credit losses).
| 5.4 | Recognition and derecognition of financial assets
During the years ended December 31, 2017, 2016 and 2015, the Bank sold loans at amortized cost in the secondary market. These sales were made on the basis of compliance with the Bank's strategy to optimize the loan portfolio. The amounts and gains arising from the derecognition of these financial instruments are presented in the following table. These gains are presented within the line “gain on sale of loans at amortized cost” in the consolidated statement of profit or loss.
|  | Assignments and participations |  | Gains |
For the year ended December 31, 2017 |  |  | 77,400 |  |  | 181 |
For the year ended December 31, 2016 |  |  | 157,242 |  |  | 730 |
For the year ended December 31, 2015 |  |  | 92,438 |  |  | 422 |
During the years ended December 31, 2016 and 2015 the Bank entered into a master participation agreement with the International Finance Corp. to sale participation in credit facilities which resulted in revenues of $76 and $425, respectively.
| 5.5 | Loans – at amortized cost
The following table set forth details of the Bank’s gross loan portfolio:
|  | December 31, 2017 |  | December 31, 2016 |
Corporations: |  |  |  |  |  |
Private |  |  | 1,882,846 |  |  | 2,655,910 |
State-owned |  |  | 723,267 |  |  | 786,900 |
Banking and financial institutions: |  |  |  |  |  |  |
Private |  |  | 2,083,795 |  |  | 1,738,999 |
State-owned |  |  | 573,649 |  |  | 544,877 |
Middle-market companies: |  |  |  |  |  |  |
Private |  |  | 242,101 |  |  | 294,045 |
Total |  |  | 5,505,658 |  |  | 6,020,731 |
The composition of the gross loan portfolio by industry is as follows:
|  | December 31, 2017 |  | December 31, 2016 |
Banking and financial institutions |  |  | 2,657,444 |  |  | 2,283,876 |
Industrial |  |  | 772,238 |  |  | 1,242,441 |
Oil and petroleum derived products |  |  | 735,413 |  |  | 788,186 |
Agricultural |  |  | 501,241 |  |  | 1,007,139 |
Services |  |  | 430,717 |  |  | 419,440 |
Mining |  |  | 231,687 |  |  | 54,000 |
Others |  |  | 176,918 |  |  | 225,649 |
Total |  |  | 5,505,658 |  |  | 6,020,731 |
Loans are reported at their amortized cost considering the principal outstanding amounts net of unearned interest, deferred fees and allowance for expected credit losses. The amortization of net unearned interest and deferred fees are recognized as an adjustment to the related loan yield using the effective interest rate method. The unearned discount interest and deferred commission amounted to $4,985 and $7,249 at December 31, 2017 and 2016, respectively. Loans classified by borrower’s credit quality indicators are as follows:
December 31, 2017 |
|  | Corporations |  | Banking and financial institutions |  | Middle-market companies |  |  |  |
Rating(1) |  | Private |  | State-owned |  | Private |  | State-owned |  | Private |  | Total |
1-4 |  |  | 1,336,032 |  |  | 563,877 |  |  | 1,729,592 |  |  | 361,236 |  |  | 147,212 |  |  | 4,137,949 |
5-6 |  |  | 523,055 |  |  | 159,390 |  |  | 354,203 |  |  | 212,413 |  |  | 59,889 |  |  | 1,308.950 |
7 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |
8 |  |  | 23,759 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 23,759 |
9 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |
10 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 35,000 |  |  | 35,000 |
Total |  |  | 1,882,846 |  |  | 723,267 |  |  | 2,083,795 |  |  | 573,649 |  |  | 242,101 |  |  | 5,505,658 |
December 31, 2016 |
|  | Corporations |  | Banking and financial institutions |  | Middle-market companies |  |  |  |
Rating(1) |  | Private |  | State-owned |  | Private |  | State-owned |  | Private |  | Total |
1-4 |  |  | 1,714,936 |  |  | 646,797 |  |  | 1,457,984 |  |  | 259,981 |  |  | 174,107 |  |  | 4,253,805 |
5-6 |  |  | 863,937 |  |  | 140,103 |  |  | 281,015 |  |  | 284,896 |  |  | 84,938 |  |  | 1,654,889 |
7 |  |  | 58,673 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 58,673 |
8 |  |  | 4,000 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 4,000 |
9 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 35,000 |  |  | 35,000 |
10 |  |  | 14,364 |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 14,364 |
Total |  |  | 2,655,910 |  |  | 786,900 |  |  | 1,738,999 |  |  | 544,877 |  |  | 294,045 |  |  | 6,020,731 |
| (1) | Current ratings as of December 31, 2017 and 2016, respectively.
The following table provides a breakdown of gross loans by country risk:
|  | December 31, 2017 |  | December 31, 2016 |
Country: |  |  |  |  |  |  |
Argentina |  |  | 294,613 |  |  | 325,321 |
Belgium |  |  | 11,368 |  |  | 4,180 |
Bolivia |  |  | 15,000 |  |  | 18,318 |
Brazil |  |  | 1,019,466 |  |  | 1,163,825 |
Chile |  |  | 170,827 |  |  | 69,372 |
Colombia |  |  | 829,136 |  |  | 653,012 |
Costa Rica |  |  | 356,459 |  |  | 400,371 |
Dominican Republic |  |  | 249,926 |  |  | 243,696 |
Ecuador |  |  | 94,315 |  |  | 129,269 |
El Salvador |  |  | 55,110 |  |  | 104,723 |
Germany |  |  | 37,500 |  |  | 50,000 |
Guatemala |  |  | 309,024 |  |  | 315,911 |
Honduras |  |  | 74,476 |  |  | 72,319 |
Jamaica |  |  | 24,435 |  |  | 7,399 |
Luxembourg |  |  | 19,924 |  |  | 14,722 |
Mexico |  |  | 850,463 |  |  | 927,041 |
Nicaragua |  |  | 29,804 |  |  | 36,949 |
Panama |  |  | 500,134 |  |  | 498,651 |
Paraguay |  |  | 59,536 |  |  | 108,068 |
Peru |  |  | 211,846 |  |  | 467,408 |
Singapore |  |  | 54,500 |  |  | 70,204 |
Switzerland |  |  | 3,687 |  |  | 46,000 |
Trinidad and Tobago |  |  | 175,000 |  |  | 184,389 |
United States of America |  |  | 44,109 |  |  | 73,083 |
Uruguay |  |  | 15,000 |  |  | 36,500 |
Total |  |  | 5,505,658 |  |  | 6,020,731 |
The remaining loan maturities are summarized as follows:
|  | December 31, 2017 |  | December 31, 2016
Current: |  |  |  |  |  |  |
Up to 1 month |  |  | 846,993 |  |  | 896,310 |
From 1 month to 3 months |  |  | 1,079,793 |  |  | 1,300,675 |
From 3 months to 6 months |  |  | 1,175,801 |  |  | 1,267,194 |
From 6 months to 1 year |  |  | 922,711 |  |  | 551,794 |
From 1 year to 2 years |  |  | 392,456 |  |  | 631,629 |
From 2 years to 5 years |  |  | 989,222 |  |  | 1,211,847 |
More than 5 years |  |  | 39,923 |  |  | 95,918 |
|  |  | 5,446,899 |  |  | 5,955,367 |
Impaired |  |  | 58,759 |  |  | 65,364 |
Total |  |  | 5,505,658 |  |  | 6,020,731 |
As of December 31, 2017 and 2016, the range of interest rates on loans fluctuates from 1.35% and 11.52% (2016: 1.21% y 12.69%). The fixed and floating interest rate distribution of the loan portfolio is as follows:
|  | December 31, 2017 |  | December 31, 2016 |
Fixed interest rates |  |  | 2,378,509 |  |  | 2,709,555 |
Floating interest rates |  |  | 3,127,149 |  |  | 3,311,176 |
Total |  |  | 5,505,658 |  |  | 6,020,731 |
As of December 31, 2017 and 2016, 85% and 93%, of the loan portfolio at fixed interest rates has remaining maturities of less than 180 days. An analysis of credit-impaired balances is detailed as follows:
|  | December 31, 2017 |  | 2017 |
|  | Recorded investment |  | Past due principal balance |  | Related allowance Stage 3 |  | Average principal loan balance |  | Balance interest recognized |
With an allowance recorded: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private corporations |  |  | 23,759 |  |  | - |  |  | 7,468 |  |  | 5,988 |  |  | 229 |
Middle-market companies |  |  | 35,000 |  |  | 35,000 |  |  | 20,527 |  |  | 35,000 |  |  | 3,028 |
Total |  |  | 58,759 |  |  | 35,000 |  |  | 27,995 |  |  | 40,988 |  |  | 3,257 |
|  | December 31, 2016 |  | 2016 |
|  | Recorded investment |  | Past due principal balance |  | Related allowance Stage 3 |  | Average principal loan balance |  | Balance interest recognized |
With an allowance recorded: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private corporations |  |  | 30,364 |  |  | 18,364 |  |  | 23,174 |  |  | 12,500 |  |  | 408 |
Middle-market companies |  |  | 35,000 |  |  | 35,000 |  |  | 12,179 |  |  | 17,705 |  |  | 1,679 |
Total |  |  | 65,364 |  |  | 53,364 |  |  | 35,353 |  |  | 30,205 |  |  | 2,087 |
The following is a summary of information of interest amounts recognized on an effective interest basis on net carrying amount for those financial assets in Stage 3:
|  | December 31, 2017 |  | December 31, 2016 |  | December 31, 2015 |
Interest revenue calculated on the net carrying amount (net of credit allowance) |  |  | 1,170 |  |  | 1,808 |  |  | 91 |
The following table presents an aging analysis of the loan portfolio:
December 31, 2017 |
|  | 91-120 days |  | 121-150 days |  | 151-180 days |  | Greater than 180 days |  | Total Past due |  | Delinquent |  | Current |  | Total |
Corporations |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 2,606,113 |  |  | 2,606,113 |
Banking and financial institutions |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 2,657,444 |  |  | 2,657,444 |
Middle-market companies |  |  | - |  |  | - |  |  | - |  |  | 35,000 |  |  | 35,000 |  |  | - |  |  | 207,101 |  |  | 242,101 |
Total |  |  | - |  |  | - |  |  | - |  |  | 35,000 |  |  | 35,000 |  |  | - |  |  | 5,470,658 |  |  | 5,505,658 |
December 31, 2016 |
|  | 91-120 days |  | 121-150 days |  | 151-180 days |  | Greater than 180 days |  | Total Past due |  | Delinquent |  | Current |  | Total |
Corporations |  |  | - |  |  | - |  |  | 4,000 |  |  | 14,364 |  |  | 18,364 |  |  | - |  |  | 3,424,446 |  |  | 3,442,810 |
Banking and financial institutions |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | 2,283,876 |  |  | 2,283,876 |
Middle-market companies |  |  | - |  |  | - |  |  | - |  |  | 35,000 |  |  | 35,000 |  |  | - |  |  | 259,045 |  |  | 294,045 |
Total |  |  | - |  |  | - |  |  | 4,000 |  |  | 49,364 |  |  | 53,364 |  |  | - |  |  | 5,967,367 |  |  | 6,020,731 |
As of December 31, 2017 and 2016, the Bank had credit transactions in the normal course of business with 21% and 16%, respectively, of its Class “A” and “B” stockholders. All transactions were made based on arm’s-length terms and subject to prevailing commercial criteria and market rates and were subject to all of the Bank’s Corporate Governance and control procedures. As of December 31, 2017 and 2016, approximately 14% and 10%, respectively, of the outstanding loan portfolio was placed with the Bank’s Class “A” and “B” stockholders and their related parties. As of December 31, 2017, the Bank was not directly or indirectly owned or controlled by another corporation or any foreign government, and no Class “A” or “B” shareholder was the registered owner of more than 3.5% of the total outstanding shares of the voting capital stock of the Bank. Modified financial assets The following table refer to modified financial assets, where modification does not result in de-recognition:
Modified financial assets (with loss allowance based on lifetime ECL) modified during the period |  | December 31, 2017 |  | December 31, 2016 |
Gross carrying amount before modification |  |  | 8,855 |  |  | - |
Loss allowance before modification |  |  | (3,344) |  |  | - |
Net amortized cost before modification |  |  | 5,511 |  |  | - |
Gross carrying amount after modification |  |  | 4,484 |  |  | - |
Loss allowance after modification |  |  | (4,484) |  |  | - |
Net amortized cost after modification |  |  | - |  |  | - |
For the modified financial assets during the year 2017, were received other real estate owned for $ 5,119. During the year 2017, a financial asset with a nominal value of $ 37,817 was restructured. As part of the restructuration The Bank received Equity Instrument with a fair value of $8,630 and a new originated credit impaired loans with a fair value of $19,274. The remaining balance was written off against allowance for loans losses. The significant changes in the gross carrying amount of financial assets during the period that contributed to changes in the loss allowance, is provided at the table below: Loans
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total |
Gross carrying amount as of December 31, 2016 |  |  | 5,019,368 |  |  | 935,999 |  |  | 65,364 |  |  | 6,020,731 |
Transfer in book value to stage 2 |  |  | (41,167) |  |  | 41,167 |  |  | - |  |  | - |
Transfer to lifetime expected credit losses - credit-impaired |  |  | - |  |  | (46,673) |  |  | 46,673 |  |  | - |
Transfer in book value to stage 1 |  |  | 8,000 |  |  | (8,000) |  |  | - |  |  | - |
Financial assets that have been derecognised during the year |  |  | (4,214,697) |  |  | (313,394) |  |  | (21,667) |  |  | (4,549,758) |
Changes due to financial instruments recognized as of December 31, 2016 |  |  | (4,247,864) |  |  | (326,900) |  |  | 25,006 |  |  | (4,549,758) |
New financial assets originated or purchased |  |  | 4,067,723 |  |  | - |  |  | - |  |  | 4,067,723 |
Write-offs |  |  | - |  |  | (1,427) |  |  | (31,611) |  |  | (33,038) |
Gross carrying amount as of December 31, 2017 |  |  | 4,839,227 |  |  | 607,672 |  |  | 58,759 |  |  | 5,505,658 |
Loans
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total |
Gross carrying amount as of December 31, 2015 |  |  | 6,282,752 |  |  | 356,668 |  |  | 52,329 |  |  | 6,691,749 |
Transfer in book value to stage 2 |  |  | (828,589) |  |  | 828,589 |  |  | - |  |  | - |
Transfer to lifetime expected credit losses – not credit-impaired |  |  | (12,000) |  |  | (45,056) |  |  | 57,056 |  |  | - |
Transfer in book value to stage 1 |  |  | 90,770 |  |  | (90,770) |  |  | - |  |  | - |
Financial assets that have been derecognized during the year |  |  | (4,577,890) |  |  | (113,432) |  |  | (25,214) |  |  | (4,716,536) |
Changes due to financial instruments recognized as of December 31, 2015 |  |  | (5,327,709) |  |  | 579,331 |  |  | 31,842 |  |  | (4,716,536) |
New financial assets originated or purchased |  |  | 4,064,325 |  |  | - |  |  | - |  |  | 4,064,325 |
Write-offs |  |  | - |  |  | - |  |  | (18,807) |  |  | (18,807) |
Gross carrying amount as of December 31, 2016 |  |  | 5,019,368 |  |  | 935,999 |  |  | 65,364 |  |  | 6,020,731 |
The allowances for expected credit losses related to loans at amortized cost are as follows:
|  | Stage 1 (1) |  | Stage 2 (2) |  | Stage 3 (3) |  | Total |
Allowance for expected credit losses as of December 31, 2016 |  |  | 29,036 |  |  | 41,599 |  |  | 35,353 |  |  | 105,988 |
Transfer to lifetime expected credit losses – not credit-impaired |  |  | (672) |  |  | 672 |  |  | - |  |  | - |
Transfer to lifetime expected credit losses - credit-impaired |  |  | - |  |  | (12,845) |  |  | 12,845 |  |  | - |
Transfer to 12-month expected credit losses |  |  | 1,428 |  |  | (1,428) |  |  | - |  |  | - |
Net effect of changes in reserve for expected credit losses |  |  | (2,900) |  |  | 18,227 |  |  | 20,257 |  |  | 35,584 |
Financial assets that have been derecognized during the year |  |  | (24,434) |  |  | (11,321) |  |  | (8,333) |  |  | (44,088) |
Changes due to financial instruments recognized as of December 31, 2016 |  |  | (26,578) |  |  | (6,695) |  |  | 24,769 |  |  | (8,504) |
New financial assets originated or purchased |  |  | 17,363 |  |  | - |  |  | - |  |  | 17,363 |
Write-offs |  |  | - |  |  | (1,427) |  |  | (32,126) |  |  | (33,553) |
Recoveries of amounts previously written off |  |  | - |  |  | - |  |  | - |  |  | - |
Allowance for expected credit losses as of December 31, 2017 |  |  | 19,821 |  |  | 33,477 |  |  | 27,996 |  |  | 81,294 |
|  | Stage 1 (1) |  | Stage 2 (2) |  | Stage 3 (3) |  | Total |
Allowance for expected credit losses as of December 31, 2015 |  |  | 59,214 |  |  | 9,609 |  |  | 21,151 |  |  | 89,974 |
Transfer to lifetime expected credit losses – not credit-impaired |  |  | (9,117) |  |  | 9,119 |  |  | - |  |  | 2 |
Transfer to lifetime expected credit losses – not credit-impaired |  |  | (7) |  |  | (6,317) |  |  | 6,324 |  |  | - |
Transfer to 12-month expected credit losses |  |  | 2,038 |  |  | (2,077) |  |  | 38 |  |  | (1) |
Net effect of changes in reserve for expected credit losses |  |  | (39,621) |  |  | 48,021 |  |  | 26,491 |  |  | 34,891 |
Financial assets that have been derecognized during the year |  |  | (65,640) |  |  | (16,756) |  |  | - |  |  | (82,396) |
Changes due to financial instruments recognized as of December 31, 2015 |  |  | (112,347) |  |  | 31,990 |  |  | 32,853 |  |  | (47,504) |
New financial assets originated or purchased |  |  | 82,169 |  |  | - |  |  | - |  |  | 82,169 |
Write-offs |  |  | - |  |  | - |  |  | (18,807) |  |  | (18,807) |
Recoveries of amounts previously written off |  |  | - |  |  | - |  |  | 156 |  |  | 156 |
Allowance for expected credit losses as of December 31, 2016 |  |  | 29,036 |  |  | 41,599 |  |  | 35,353 |  |  | 105,988 |
| (1) | 12-month expected credit losses.
| (2) | Lifetime expected credit losses.
| (3) | Credit-impaired financial assets (lifetime expected credit losses).
| 5.6 | Derivative financial instruments for hedging purposes
Quantitative information on derivative financial instruments held for hedging purposes is as follows:
|  | December 31, 2017 |
|  | Nominal |  | Carrying amount of the hedging instrument |  | Changes in fair value used for calculating hedge |
|  | Amount |  | Asset |  | Liability |  | ineffectiveness |
Fair value hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 367,500 |  |  | - |  |  | (4,361) |  |  | (2,394) |
Cross-currency swaps |  |  | 306,961 |  |  | 3,672 |  |  | (30,154) |  |  | 15,900 |
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 595,000 |  |  | 127 |  |  | (428) |  |  | 995 |
Cross-currency swaps |  |  | 23,025 |  |  | 879 |  |  | - |  |  | 2,132 |
Foreign exchange forward |  |  | 225,388 |  |  | 8,610 |  |  | - |  |  | 11,835 |
Net investment hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forward |  |  | 9,243 |  |  | 50 |  |  | - |  |  | 181 |
Total |  |  | 1,527,117 |  |  | 13,338 |  |  | (34,943) |  |  | 28,649 |
|  | December 31, 2016 |
|  | Nominal |  | Carrying amount of the hedging instrument |  | Changes in fair value used for calculating hedge |
|  | Amount |  | Asset |  | Liability |  | ineffectiveness |
Fair value hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 796,202 |  |  | 40 |  |  | (2,005) |  |  | (2,199) |
Cross-currency swaps |  |  | 291,065 |  |  | 2,561 |  |  | (44,944) |  |  | (19,316) |
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 752,000 |  |  | 323 |  |  | (1,699) |  |  | 696 |
Cross-currency swaps |  |  | 23,025 |  |  | - |  |  | (1,254) |  |  | (1,313) |
Foreign exchange forward |  |  | 352,553 |  |  | 6,428 |  |  | (9,653) |  |  | (5,093) |
Net investment hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forward |  |  | 3,780 |  |  | - |  |  | (131) |  |  | (415) |
Total |  |  | 2,218,625 |  |  | 9,352 |  |  | (59,686) |  |  | (27,640) |
The hedging instruments presented in the tables above are located in the line item in the statement of financial position at fair value - Derivative financial instruments used for hedging – receivable or at fair value – Derivative financial instruments used for hedging – payable.
The gains and losses resulting from activities of derivative financial instruments and hedging recognized in the consolidated statements of profit or loss are presented below:
|  | December 31, 2017 |
|  | Gain (loss) recognized in OCI (effective portion) |  | Classification of gain (loss) |  | Gain (loss) reclassified from accumulated OCI to the consolidated statement of profit or loss |  | Gain (loss) recognized on derivatives (ineffective portion) |
Derivatives – cash flow hedge |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | (834) |  | Gain (loss) on interest rate swap |  |  | - |  |  | 242 |
Cross-currency swaps |  |  | (1,924) |  | Gain (loss) on foreign currency exchange |  |  | - |  |  | 26 |
|  |  |  |  | Interest income – loans |  |  | 7,611 |  |  | - |
Foreign exchange forward |  |  | (2,708) |  | Interest income – securities at FVOCI |  |  | - |  |  | - |
|  |  |  |  | Interest income – loans |  |  | 3,991 |  |  | - |
|  |  |  |  | Interest expense – borrowings and debt |  |  | - |  |  | - |
|  |  |  |  | Interest expenses – deposits |  |  | (190) |  |  | - |
|  |  |  |  | Gain (loss) on foreign currency exchange |  |  |  |  |  |  |
Total |  |  | (5,466) |  |  |  |  | 11,412 |  |  | 268 |
Derivatives – net investment hedge |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign exchange |  |  | (277) |  |  |  |  |  |  |  |  |
Total |  |  | (277) |  |  |  |  |  |  |  |  |
|  | December 31, 2016 |
|  | Gain (loss) recognized in OCI (effective portion) |  | Classification of gain (loss) |  | Gain (loss) reclassified from accumulated OCI to the consolidated statement of profit or loss |  | Gain (loss) recognized on derivatives (ineffective portion) |
Derivatives – cash flow hedge |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 627 |  | Gain (loss) on interest rate swap |  |  | - |  |  | (1,258) |
Cross-currency swaps |  |  | (1,299) |  | Gain (loss) on foreign currency exchange |  |  | - |  |  | 16 |
|  |  |  |  | Interest income – loans |  |  | - |  |  | (110) |
Foreign exchange forward |  |  | 233 |  | Interest income – securities at FVOCI |  |  | - |  |  | - |
|  |  |  |  | Interest income – loans |  |  | (4,751) |  |  | - |
|  |  |  |  | Interest expense – borrowings and debt |  |  | - |  |  | - |
|  |  |  |  | Interest expenses – deposits |  |  | 1,672 |  |  | - |
|  |  |  |  | Gain (loss) on foreign currency exchange |  |  | 9,097 |  |  | - |
Total |  |  | (439) |  |  |  |  | 6,018 |  |  | (1,352) |
Derivatives – net investment hedge |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign exchange |  |  | - |  |  |  |  |  |  |  |  |
Total |  |  | - |  |  |  |  |  |  |  |  |
|  | December 31, 2015 |
|  | Gain (loss) recognized in OCI (effective portion) |  | Classification of gain (loss) |  | Gain (loss) reclassified from accumulated OCI to the consolidated statement of profit or loss |  | Gain (loss) recognized on derivatives (ineffective portion) |
Derivatives – cash flow hedge |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 35 |  | Gain (loss) on interest rate swap |  |  | - |  |  | (229) |
Cross-currency swaps |  |  | 5,367 |  | Gain (loss) on foreign exchange |  |  | - |  |  | 84 |
|  |  |  |  | Interest income – loans |  |  | - |  |  | - |
Forward foreign exchange |  |  | 3,511 |  | Interest income – securities at FVOCI |  |  | (694) |  |  | - |
|  |  |  |  | Interest income – loans |  |  | (1,821) |  |  | - |
|  |  |  |  | Interest expense – borrowings and debt |  |  | - |  |  | - |
|  |  |  |  | Interest expenses – deposits |  |  | 166 |  |  | - |
|  |  |  |  | Gain (loss) on foreign currency exchange |  |  | 12,539 |  |  | - |
Total |  |  | 8,913 |  |  |  |  | 10,190 |  |  | (145) |
Derivatives – net investment hedge |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign exchange |  |  | (901) |  |  |  |  |  |  |  |  |
Total |  |  | (901) |  |  |  |  |  |  |  |  |
The Bank recognized in the consolidated statement of profit or loss the gain (loss) on derivative financial instruments and the gain (loss) of the hedged asset or liability related to qualifying fair value hedges, as follows:
|  | December 31, 2017 |
|  | Classification in consolidated statement of profit or loss |  | Gain (loss) on derivatives |  | Gain (loss) on hedge item |  | Net gain (loss) |
Derivatives – fair value hedge |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest income – securities at FVOCI |  |  | (126) |  |  | 476 |  |  | 350 |
|  | Interest income – loans |  |  | (12) |  |  | 160 |  |  | 148 |
|  | Interest expenses – borrowings and debt |  |  | 1,387 |  |  | (16,233) |  |  | (14,846) |
|  | Derivative financial instruments and hedging |  |  | (2,270) |  |  | 2,371 |  |  | 101 |
Cross-currency swaps |  | Interest income – loans |  |  | (1,496) |  |  | 2,442 |  |  | 946 |
|  | Interest expenses – borrowings and debt |  |  | 1,848 |  |  | (10,265) |  |  | (8,417) |
|  | Derivative financial instruments and hedging |  |  | 14,950 |  |  | (16,709) |  |  | (1,759) |
Total |  |  |  |  | 14,281 |  |  | (37,758) |  |  | (23,477) |
|  | December 31, 2016 |
|  | Classification in consolidated statement of profit or loss |  | Gain (loss) on derivatives |  | Gain (loss) on hedge item |  | Net gain (loss) |
Derivatives – fair value hedge |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest income – securities at FVOCI |  |  | (617) |  |  | 1,593 |  |  | 976 |
|  | Interest income – loans |  |  | (25) |  |  | 2,023 |  |  | 1,998 |
|  | Interest expenses – borrowings and debt |  |  | 4,558 |  |  | (28,261) |  |  | (23,703) |
|  | Derivative financial instruments and hedging |  |  | (2,077) |  |  | 2,178 |  |  | 101 |
Cross-currency swaps |  | Interest income – loans |  |  | (372) |  |  | 928 |  |  | 556 |
|  | Interest expenses – borrowings and debt |  |  | 195 |  |  | (6,183) |  |  | (5,988) |
|  | Derivative financial instruments and hedging |  |  | 17,673 |  |  | (16,752) |  |  | 921 |
Total |  |  |  |  | 19,335 |  |  | (44,474) |  |  | (25,139) |
|  | December 31, 2015 |
|  | Classification in consolidated statement of profit or loss |  | Gain (loss) on derivatives |  | Gain (loss) on hedge item |  | Net gain (loss) |
Derivatives – fair value hedge |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest income – securities at FVOCI |  |  | (1,047) |  |  | 1,514 |  |  | 467 |
|  | Interest income at amortized cost |  |  | (376) |  |  | 3,987 |  |  | 3,611 |
|  | Interest expenses – borrowings and debt |  |  | 6,268 |  |  | (24,026) |  |  | (17,758) |
|  | Derivative financial instruments and hedging |  |  | (1,841) |  |  | 1,688 |  |  | (153) |
Cross-currency swaps |  | Interest income loans at amortized cost |  |  | (135) |  |  | 348 |  |  | 213 |
|  | Interest expenses – borrowings and debt |  |  | 744 |  |  | (3,785) |  |  | (3,041) |
|  | Derivative financial instruments and hedging |  |  | (19,522) |  |  | 20,550 |  |  | 1,028 |
Total |  |  |  |  | (15,909) |  |  | 276 |  |  | (15,633) |
Derivatives financial position and performance The following tables details the changes of the market value of the underlying item in the statement of financial position related to fair value hedges:
|  | December 31, 2017 |
Fair value hedges |  | Carrying amount |  | Thereof accumulated fair value adjustments |  | Line item in the statement of financial position |
Interest rate risk |  |  |  |  |  |  |  |  |
Loans |  |  | - |  |  | - |  | Loans |
Issuances |  |  | 355,000 |  |  | (4,411) |  | Short and long term borrowings and debt |
Foreign exchange rate risk and FX |  |  |  |  |  |  |  |  |
Securities at FVOCI |  |  | 12,369 |  |  | (32) |  | Financial instruments at FVOCI |
Loans |  |  | 25,027 |  |  | 744 |  | Loans |
Issuances |  |  | (249,328) |  |  | (2,301) |  | Short and long term borrowings and debt |
|  | December 31, 2016 |
Fair value hedges |  | Carrying amount |  | Thereof accumulated fair value adjustments |  | Line item in the statement of financial position |
Interest rate risk |  |  |  |  |  |  |  |  |
Loans |  |  | 18,502 |  |  | 12 |  | Loans |
Issuances |  |  | 755,000 |  |  | 2,089 |  | Short and long term borrowings and debt |
Foreign exchange rate risk and FX |  |  |  |  |  |  |  |  |
Securities at FVOCI |  |  | 22,188 |  |  | (232) |  | Financial instruments at FVOCI |
Loans |  |  | 9,252 |  |  | 706 |  | Loans |
Issuances |  |  | (308,739) |  |  | (49) |  | Short and long term borrowings and debt |
The following tables detail the profile of the timing of the nominal amount of the hedging instrument:
|  | December 31, 2017 |
Risk type |  | Foreign Exchange risk |  | Interest rate risk |  | Foreign exchange and Interest rate risk |  | Total |
Up to 1 month |  |  | 69,459 |  |  | - |  |  | - |  |  | 69,459 |
31 to 60 days |  |  | 26,104 |  |  | - |  |  | - |  |  | 26,104 |
61 to 90 days |  |  | 1,729 |  |  | 185,000 |  |  | 16,821 |  |  | 203,550 |
91 to 180 days |  |  | 16,567 |  |  | 137,500 |  |  | - |  |  | 154,067 |
181 to 365 days |  |  | 68,952 |  |  | 202,500 |  |  | 8,127 |  |  | 279,579 |
1 to 2 years |  |  | 178,331 |  |  | 21,500 |  |  | 73,193 |  |  | 273,024 |
2 to 5 years |  |  | 4,413 |  |  | 416,000 |  |  | 24,872 |  |  | 445,285 |
More than 5 years |  |  | - |  |  | - |  |  | 76,049 |  |  | 76,049 |
Total |  |  | 365,555 |  |  | 962,500 |  |  | 199,062 |  |  | 1,527,117 |
Analysis of maturity of the derivatives by type of risk covered:
|  | December 31, 2016 |
Risk type |  | Foreign Exchange risk |  | Interest rate risk |  | Foreign exchange and Interest rate risk |  | Total |
Up to 1 month |  |  | 66,149 |  |  | - |  |  | - |  |  | 66,149 |
31 to 60 days |  |  | 33,393 |  |  | 85,000 |  |  | - |  |  | 118,393 |
61 to 90 days |  |  | 24,093 |  |  | 60,000 |  |  | - |  |  | 84,093 |
91 to 180 days |  |  | 71,533 |  |  | 745,080 |  |  | - |  |  | 816,613 |
181 to 365 days |  |  | 109,228 |  |  | 160,422 |  |  | 189 |  |  | 269,839 |
1 to 2 years |  |  | 92,115 |  |  | 50,000 |  |  | 24,948 |  |  | 167,063 |
2 to 5 years |  |  | 73,311 |  |  | 434,500 |  |  | 96,218 |  |  | 604,029 |
More than 5 years |  |  | - |  |  | 13,200 |  |  | 79,246 |  |  | 92,446 |
Total |  |  | 469,822 |  |  | 1,548,202 |  |  | 200,601 |  |  | 2,218,625 |
The following tables detail the sources of ineffectiveness for our cash flow hedge positions:
|  | December 31, 2017 |
Type of risk hedge |  | USD-OIS |  | Tenor |  | Xccy basis |  | Credit spread |  | Total Ineffectiveness |
Interest rate risk |  |  | 22 |  |  | 296 |  |  | - |  |  | (16) |  |  | 302 |
Foreign exchange risk |  |  | (8) |  |  | - |  |  | 17 |  |  | (1) |  |  | 8 |
Total |  |  | 14 |  |  | 296 |  |  | 17 |  |  | (17) |  |  | 310 |
|  | December 31, 2016 |
Type of risk hedge |  | USD-OIS |  | Tenor |  | Xccy basis |  | Credit spread |  | Total Ineffectiveness |
Interest rate risk |  |  | 19 |  |  | - |  |  | - |  |  | 604 |  |  | 623 |
Foreign exchange risk |  |  | 25 |  |  | - |  |  | (4) |  |  | (5) |  |  | 16 |
Total |  |  | 44 |  |  | - |  |  | (4) |  |  | 599 |  |  | 639 |
For control purposes, derivative instruments are recorded at their nominal amount (“notional amount”) in memorandum accounts. Interest rate swaps are made either in a single currency or cross currency for a prescribed period to exchange a series of interest rate flows, which involve fixed for floating interest payments, and vice versa. The Bank also engages in certain foreign exchange trades to serve customers’ transaction needs and to manage foreign currency risk. All such positions are hedged with an offsetting contract for the same currency. The Bank manages and controls the risks on these foreign exchange trades by establishing counterparty credit limits by customer and by adopting policies that do not allow for open positions in the credit and investment portfolio. The Bank also uses foreign currency exchange contracts to hedge the foreign exchange risk associated with the Bank’s equity investment in a non-U.S. dollar functional currency foreign subsidiary. Derivative and foreign exchange instruments negotiated by the Bank are executed mainly over-the-counter (OTC). These contracts are executed between two counterparties that negotiate specific agreement terms, including notional amount, exercise price and maturity. The maximum length of time over which the Bank has hedged its exposure to the variability in future cash flows on forecasted transactions is 6.19 years. The Bank estimates that approximately $610 reported as losses in OCI as of December 31, 2017, related to foreign exchange forward contracts, are expected to be reclassified into interest income as an adjustment to yield of hedged loans during the twelve-month year ending December 31, 2018. The Bank estimates that approximately $645 of losses reported in OCI as of December 31, 2017, related to forward foreign exchange contracts are expected to be reclassified into interest expense as an adjustment to yield of hedged available-for-sale securities during the twelve-month year ending December 31, 2018. Types of Derivatives and Foreign Exchange Instruments Interest rate swaps are contracts in which a series of interest rate flows in a single currency are exchanged over a prescribed period. The Bank has designated a portion of these derivative instruments as fair value hedges and a portion as cash flow hedges. Cross currency swaps are contracts that generally involve the exchange of both interest and principal amounts in two different currencies. The Bank has designated a portion of these derivative instruments as fair value hedges and a portion as cash flow hedges. Foreign exchange forward contracts represent an agreement to purchase or sell foreign currency at a future date at agreed-upon terms. The Bank has designated these derivative instruments as cash flow hedges and net investment hedges. In addition to hedging derivative financial instruments, the Bank has derivative financial instruments held for trading purposes as disclosed in Note 5.1.
| 5.7 | Offsetting of financial assets and liabilities
In the ordinary course of business, the Bank enters into derivative financial instrument transactions and securities sold under repurchase agreements under industry standards agreements. Depending on the collateral requirements stated in the contracts, the Bank and counterparties can receive or deliver collateral based on the fair value of the financial instruments transacted between parties. Collateral typically consists of cash deposits and securities. The master netting agreements include clauses that, in the event of default, provide for close-out netting, which allows all positions with the defaulting counterparty to be terminated and net settled with a single payment amount. The International Swaps and Derivatives Association master agreement (“ISDA”) and similar master netting arrangements do not meet the criteria for offsetting in the consolidated statement of financial position. This is because they create for the parties to the agreement a right of set-off of recognized amounts that is enforceable only following an event of default, insolvency or bankruptcy of the Bank or the counterparties or following other predetermined events. The following tables summarize financial assets and liabilities that have been offset in the consolidated statement of financial position or are subject to master netting agreements:
| a) | Derivative financial instruments – assets
December 31, 2017 |
|  |  |  |  | Gross amounts offset in the consolidated |  | Net amount of assets presented in the |  | Gross amounts not offset in the consolidated statement of financial position |  |  |  |
Description |  | Gross amounts assets |  | statement of financial position |  | consolidated statement of financial position |  | Financial instruments |  | Cash collateral received |  | Net Amount |
Derivative financial instruments used for hedging – receivable – at fair value |  |  | 13,338 |  |  | - |  |  | 13,338 |  |  | - |  |  | (22,304) |  |  | (8,966) |
Total |  |  | 13,338 |  |  | - |  |  | 13,338 |  |  | - |  |  | (22,304) |  |  | (8,966) |
December 31, 2016 |
|  |  |  |  | Gross amounts offset in the consolidated |  | Net amount of assets presented in the |  | Gross amounts not offset in the consolidated statement of financial position |  |  |  |
Description |  | Gross amounts assets |  | statement of financial position |  | consolidated statement of financial position |  | Financial instruments |  | Cash collateral received |  | Net Amount |
Derivative financial instruments used for hedging – receivable – at fair value |  |  | 9,352 |  |  | - |  |  | 9,352 |  |  | - |  |  | - |  |  | 9,352 |
Total |  |  | 9,352 |  |  | - |  |  | 9,352 |  |  | - |  |  | - |  |  | 9,352 |
The following table presents the reconciliation of assets that have been offset or are subject to master netting agreements to individual line items in the consolidated statement of financial position:
|  | December 31, 2017 |
Description |  | Gross amounts of assets |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of assets presented in the consolidated statement of financial position |
Derivative financial instruments used for hedging – receivable – at fair value |  |  | 13,338 |  |  | - |  |  | 13,338 |
Total |  |  | 13,338 |  |  | - |  |  | 13,338 |
|  | December 31, 2016 |
Description |  | Gross amounts of assets |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of assets presented in the consolidated statement of financial position |
Derivative financial instruments used for hedging – receivable – at fair value |  |  | 9,352 |  |  | - |  |  | 9,352 |
Total |  |  | 9,352 |  |  | - |  |  | 9,352 |
| b) | Financial liabilities and derivative financial instruments – liabilities
December 31, 2017 |
|  |  |  |  | Gross amounts offset in the |  | Net amount of liabilities presented in the |  | Gross amounts not offset in the consolidated statement of financial position |  |  |  |
Description |  | Gross amounts of liabilities |  | consolidated statement of financial position |  | consolidated statement of financial position |  | Financial instruments |  | Cash collateral pledged |  | Net Amount |
Derivative financial instruments used for hedging – payable – at fair value |  |  | 34,943 |  |  | - |  |  | 34,943 |  |  | - |  |  | (50,241) |  |  | (15,298) |
Total |  |  | 34,943 |  |  | - |  |  | 34,943 |  |  | - |  |  | (50,241) |  |  | (15,298) |
December 31, 2016 |
|  |  |  |  | Gross amounts offset in the |  | Net amount of liabilities presented in the |  | Gross amounts not offset in the consolidated statement of financial position |  |  |  |
Description |  | Gross amounts of liabilities |  | consolidated statement of financial position |  | consolidated statement of financial position |  | Financial instruments |  | Cash collateral pledged |  | Net Amount |
Financial liabilities at FVTPL |  |  | 24 |  |  | - |  |  | 24 |  |  | - |  |  | - |  |  | 24 |
Derivative financial instruments used for hedging – payable – at fair value |  |  | 59,686 |  |  | - |  |  | 59,686 |  |  | - |  |  | (59,012) |  |  | 674 |
Total |  |  | 59,710 |  |  | - |  |  | 59,710 |  |  | - |  |  | (59,012) |  |  | 698 |
The following table presents the reconciliation of liabilities that have been offset or are subject to master netting agreements to individual line items in the consolidated statement of financial position:
|  | December 31, 2017 |
Description |  | Gross amounts of liabilities |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of liabilities presented in the consolidated statement of financial position |
Derivative financial instruments: |  |  |  |  |  |  |  |  |  |
Derivative financial instruments used for hedging – payable – at fair value |  |  | 34,943 |  |  | - |  |  | 34,943 |
Total derivative financial instruments |  |  | 34,943 |  |  | - |  |  | 34,943 |
|  | December 31, 2016 |
Description |  | Gross amounts of liabilities |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of liabilities presented in the consolidated statement of financial position |
Derivative financial instruments: |  |  |  |  |  |  |  |  |  |
Financial liabilities at FVTPL |  |  | 24 |  |  | - |  |  | 24 |
Derivative financial instruments used for hedging – payable – at fair value |  |  | 59,686 |  |  | - |  |  | 59,686 |
Total derivative financial instruments |  |  | 59,710 |  |  | - |  |  | 59,710 |

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