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Financial Risk | 12 Months Ended
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Dec. 31, 2020
Financial Risk |
Financial Risk | 5.Financial risk This note presents information about the Bank’s exposure to financial risks and the Bank’s management of capital. A.Credit risk i.Credit quality analysis The following tables set out information about the credit quality of financial assets measured at amortized cost, and securities at FVOCI. Unless specifically indicated, for financial assets the amounts in the table represent the outstanding balances. For loan commitments and financial guarantee contracts, the amounts in the table represent the amounts committed or guaranteed, respectively. Explanation of the terms ‘Stage 1’, ‘Stage 2’ and ‘Stage 3’ is included in Note 3.4 (J). The Bank's Management has not made any adjustment to the methodology and key inputs used to determine the PD and LGD parameters produced by the model, after assessing the impact in the economic sectors caused by the pandemic COVID-19 (as set out in Note 6). Loans at amortized cost
December 31, 2020
|  | PD Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 - 4 |  | 0.03 - 0.74 |  | 2,582,794 |  | — |  | — |  | 2,582,794
Grades 5 - 6 |  | 0.75 - 3.95 |  | 1,928,142 |  | 167,996 |  | — |  | 2,096,138
Grades 7 - 8 |  | 3.96 - 30.67 |  | 102,532 |  | 119,340 |  | 10,593 |  | 232,465
Grades 9 - 10 |  | 30.68 - 100 |  | — |  | — |  | — |  | —
|  |  |  | 4,613,468 |  | 287,336 |  | 10,593 |  | 4,911,397
Loss allowance |  |  |  | (16,661) |  | (19,916) |  | (4,588) |  | (41,165)
Total |  |  |  | 4,596,807 |  | 267,420 |  | 6,005 |  | 4,870,232
December 31, 2019
|  | PD Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 – 4 |  | 0.03 - 0.74 |  | 2,928,401 |  | — |  | — |  | 2,928,401
Grades 5 - 6 |  | 0.75 - 3.95 |  | 2,330,150 |  | 85,173 |  | — |  | 2,415,323
Grades 7 - 8 |  | 3.96 - 30.67 |  | 343,606 |  | 143,822 |  | — |  | 487,428
Grades 9 - 10 |  | 30.68 - 100 |  | — |  | — |  | 61,845 |  | 61,845
|  |  |  | 5,602,157 |  | 228,995 |  | 61,845 |  | 5,892,997
Loss allowance |  |  |  | (28,892) |  | (15,842) |  | (54,573) |  | (99,307)
Total |  |  |  | 5,573,265 |  | 213,153 |  | 7,272 |  | 5,793,690
Loan commitments, financial guarantees issued and customers' liabilities under acceptances
December 31, 2020
|  | 12-month PD |  |  |  |  |  |  |  |
|  | Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Commitments and contingencies |  |  |  |  |  |  |  |  |  |
Grades 1 - 4 |  | 0.03 - 0.74 |  | 245,927 |  | — |  | — |  | 245,927
Grades 5 - 6 |  | 0.75 - 3.95 |  | 198,638 |  | 38,446 |  | — |  | 237,084
Grades 7 - 8 |  | 3.96 - 30.67 |  | 81,887 |  | — |  | — |  | 81,887
|  |  |  | 526,452 |  | 38,446 |  | — |  | 564,898
Customers' liabilities under acceptances |  |  |  |  |  |  |  |  |  |
Grades 1 - 4 |  | 0.03 - 0.74 |  | 1,498 |  | — |  | — |  | 1,498
Grades 5 - 6 |  | 0.75 - 3.95 |  | 723 |  | — |  | — |  | 723
Grades 7 - 8 |  | 3.96 - 30.67 |  | 72,145 |  | — |  | — |  | 72,145
|  |  |  | 74,366 |  | — |  | — |  | 74,366
|  |  |  | 600,818 |  | 38,446 |  | — |  | 639,264
Loss allowance |  |  |  | (2,426) |  | (478) |  | — |  | (2,904)
Total |  |  |  | 598,392 |  | 37,968 |  | — |  | 636,360
December 31, 2019
|  | 12-month PD |  |  |  |  |  |  |  |
|  | Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Commitments and contingencies |  |  |  |  |  |  |  |  |  |
Grades 1 - 4 |  | 0.03 - 0.74 |  | 153,874 |  | — |  | — |  | 153,874
Grades 5 - 6 |  | 0.75 - 3.95 |  | 150,631 |  | 27,446 |  | — |  | 178,077
Grades 7 - 8 |  | 4.13 - 30.43 |  | 161,421 |  | — |  | — |  | 161,421
|  |  |  | 465,926 |  | 27,446 |  | — |  | 493,372
Customers' liabilities under acceptances |  |  |  |  |  |  |  |  |  |
Grades 1 - 4 |  | 0.03 - 0.74 |  | 13,367 |  | — |  | — |  | 13,367
Grades 5 - 6 |  | 0.75 - 3.95 |  | 5,491 |  | — |  | — |  | 5,491
Grades 7 - 8 |  | 4.13 - 30.43 |  | 96,824 |  | — |  | — |  | 96,824
|  |  |  | 115,682 |  | — |  | — |  | 115,682
|  |  |  | 581,608 |  | 27,446 |  | — |  | 609,054
Loss allowance |  |  |  | (2,683) |  | (361) |  | — |  | (3,044)
Total |  |  |  | 578,925 |  | 27,085 |  | — |  | 606,010
Securities at amortized cost
December 31, 2020
|  | 12-month PD |  |  |  |  |  |  |  |
|  | Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 – 4 |  | 0.03 - 0.74 |  | 108,505 |  | — |  | — |  | 108,505
Grades 5 - 6 |  | 0.75 - 3.95 |  | 50,562 |  | 5,007 |  | — |  | 55,569
|  |  |  | 159,067 |  | 5,007 |  | — |  | 164,074
Loss allowance |  |  |  | (462) |  | (33) |  | — |  | (495)
Total |  |  |  | 158,605 |  | 4,974 |  | — |  | 163,579
December 31, 2019
|  | 12-month PD |  |  |  |  |  |  |  |
|  | Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 – 4 |  | 0.03 - 0.74 |  | 73,047 |  | — |  | — |  | 73,047
Grades 5 - 6 |  | 0.75 - 3.95 |  | — |  | 1,500 |  | — |  | 1,500
|  |  |  | 73,047 |  | 1,500 |  | — |  | 74,547
Loss allowance |  |  |  | (103) |  | (10) |  | — |  | (113)
Total |  |  |  | 72,944 |  | 1,490 |  | — |  | 74,434
Securities at fair value through other comprehensive income (FVOCI)
December 31, 2020
|  | 12-month PD |  |  |  |  |  |  |  |
|  | Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 – 4 |  | 0.03 - 0.74 |  | 231,348 |  | — |  | — |  | 231,348
|  |  |  | 231,348 |  | — |  | — |  | 231,348
Loss allowance |  |  |  | (43) |  | — |  | — |  | (43)
Total |  |  |  | 231,305 |  | — |  | — |  | 231,305
December 31, 2019
|  | 12-month PD |  |  |  |  |  |  |  |
|  | Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 - 4 |  | 0.03 - 0.74 |  | 5,094 |  | — |  | — |  | 5,094
|  |  |  | 5,094 |  | — |  | — |  | 5,094
Loss allowance |  |  |  | — |  | — |  | — |  | —
Total |  |  |  | 5,094 |  | — |  | — |  | 5,094
The following table presents information of the current and past due balances of loans at amortized cost in stages 1, 2 and 3:
|  | December 31, 2020 |  |
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Current |  | 4,613,468 |  | 287,336 |  | 10,593 |  | 4,911,397
|  | December 31, 2019 |  |
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Current |  | 5,602,157 |  | 228,995 |  | 47,169 |  | 5,878,321
Past due |  |  |  |  |  |  |  |
90-120 days |  | — |  | — |  | 3,724 |  | 3,724
151-180 days |  | — |  | — |  | — |  | —
More than 180 days |  | — |  | — |  | 10,952 |  | 10,952
Total past due |  | — |  | — |  | 14,676 |  | 14,676
Total |  | 5,602,157 |  | 228,995 |  | 61,845 |  | 5,892,997
As of December 31, 2020, and 2019, other financial assets were not past due nor impaired. The following table presents an analysis of counterparty credit exposures arising from derivative transactions. The Bank's derivative fair values are generally secured by cash.
|  | December 31, 2020
|  |  |  | Derivative |  | Derivative
|  |  |  | financial |  | financial
|  | Notional value |  | instruments - fair |  | instruments - fair
|  | USD |  | value asset |  | value liabilities
Interest rate swaps |  | 145,667 |  | 1,831 |  | (1,774)
Cross-currency swaps |  | 565,997 |  | 25,947 |  | (3,848)
Foreign exchange forwards |  | 71,353 |  | — |  | (3,589)
Total |  | 783,017 |  | 27,778 |  | (9,211)
|  | December 31,
|  | 2019
|  |  |  | Derivative |  | Derivative
|  |  |  | financial |  | financial
|  | Notional value |  | instruments - fair |  | instruments - fair
|  | USD |  | value asset |  | value liabilities
Interest rate swaps |  | 521,333 |  | 407 |  | (1,903)
Cross-currency swaps |  | 369,869 |  | 10,125 |  | (10,197)
Foreign exchange forwards |  | 74,471 |  | 625 |  | (2,575)
Total |  | 965,673 |  | 11,157 |  | (14,675)
ii.Collateral and other credit enhancements The amount and type of collateral required depends on an assessment of the credit risk of the counterparty. Guidelines are in place covering the acceptability and valuation of each type of collateral. Derivatives and repurchase agreements In the ordinary course of business, the Bank enters into derivative financial instrument transactions and securities sold under repurchase agreements under industry standard 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 pledged 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. Such arrangements provide for single net settlement of all financial instruments covered only by the agreements in the event of default on any one contract. Master netting arrangements do not normally result in an offset of balance–sheet assets and liabilities unless certain conditions for offsetting are met. Although master netting arrangements may significantly reduce credit risk, it should be noted that: -Credit risk is eliminated only to the extent that amounts due to the same counterparty will be settled after the assets are realized. -The extent to which overall credit risk is reduced may change substantially within a short period because the exposure is affected by each transaction subject to the arrangement. Loans The main types of collateral obtained are as follows: -For commercial lending, liens on real estate property, inventory and trade receivables. The Bank also obtains guarantees from parent companies for loans to their subsidiaries. Management monitors the market value of collateral and will request additional collateral in accordance with the underlying agreement. It is the Bank’s policy to dispose of repossessed property in an orderly fashion. The proceeds are used to reduce or repay the outstanding claim. In general, the Bank does not occupy repossessed property for business use. The Bank holds guarantees and other financial credit enhancements against certain exposures in the loan portfolio. As of December 31, 2020, and 2019, the coverage ratio to the carrying amount of the loan portfolio was 12%. iii.Implementation of forward-looking information The Bank incorporates information of the economic environments on a forward-looking view, when assessing whether the credit risk of a financial instrument has significantly increased since initial recognition through customer and country rating models which include projections of the inputs under analysis. Supplementary, for the expected credit loss measurement, the results of the “alert model” can be considered, which are analyzed through a severity indicator to total risk resulting from the estimates and assumptions of several macroeconomics factors. These estimates and assumptions are supported by a central scenario. Other scenarios represent upside and downside results. The implementation and interpretation of the outcomes of the alert are based on the expert judgment of management, based on suggestions of areas such as Credit Risk, Economic Studies and Loan Recovery of the Bank. The external information could include economic data and projections published by governmental committees, monetary agencies (For example, Federal Reserve Bank and from countries where the Bank operates), supranational organizations (International Monetary Fund, The World Bank, World Trade Organization), private sector, academic projections, credit rating agencies, among other. Main macroeconomies variables of the country rating model with forward-looking scenarios are:
Variables |  | Description
GDP Growth (Var. %) |  | % Variation in the growth of the Gross Domestic Product (GDP)
ComEx Growth (Var. %) |  | % Variation in foreign trade growth (Exp. + Imp.)
The model uses, as main inputs, the following macroeconomic variables: the percentage variation of the gross domestic product of Latin America and the percentage of the foreign trade index growth. The main movements and changes in the variables are analyzed, in general and in particular for each country in the region. This historical and projected information over a period of five years allows Management a complementary means to estimate the macroeconomic effects in the Bank's portfolio. The table below lists the macroeconomic assumptions by country used in the central, upside and downside scenarios over the five-year forecasted average available for each reporting period.
|  |  |  | Variable |
|  |  |  | GDP Growth |  | ComEx Growth |
|  |  |  | (Var.% ) |  | Index (Var.% ) |
|  |  |  | December 31, |  | December 31, |  | December 31, |  | December 31, |
Country |  | Scenario |  | 2020 |  | 2019 |  | 2020 |  | 2019 |
|  | Central |  | 0.7 | % | 2.0 | % | 4.0 | % | 4.1 | %
Brazil |  | Upside |  | 1.7 | % | 3.0 | % | 7.5 | % | 7.6 | %
|  | Downside |  | (0.7) | % | 0.6 | % | 0.0 | % | 0.1 | %
|  | Central |  | 1.4 | % | 3.4 | % | 4.6 | % | 6.6 | %
Colombia |  | Upside |  | 2.5 | % | 4.5 | % | 7.6 | % | 9.6 | %
|  | Downside |  | 0.1 | % | 2.1 | % | 1.1 | % | 3.1 | %
|  | Central |  | 0.2 | % | 1.5 | % | 3.5 | % | 2.2 | %
Mexico |  | Upside |  | 1.2 | % | 2.5 | % | 7.5 | % | 6.2 | %
|  | Downside |  | (1.0) | % | 0.3 | % | (1.0) | % | (2.3) | %
|  | Central |  | 1.5 | % | 2.2 | % | 6.4 | % | 3.1 | %
Chile |  | Upside |  | 2.6 | % | 3.3 | % | 9.9 | % | 6.6 | %
|  | Downside |  | 0.3 | % | 1.0 | % | 2.4 | % | (0.9) | %
|  | Central |  | 2.5 | % | 4.6 | % | 4.2 | % | 3.0 | %
Panama |  | Upside |  | 3.5 | % | 6.1 | % | 7.2 | % | 6.0 | %
|  | Downside |  | 1.3 | % | 3.2 | % | 0.7 | % | (0.5) | %
|  | Central |  | 2.5 | % | 3.5 | % | 4.2 | % | 4.1 | %
Guatemala |  | Upside |  | 3.5 | % | 4.5 | % | 7.2 | % | 7.1 | %
|  | Downside |  | 1.3 | % | 2.3 | % | 0.7 | % | 0.6 | %
|  | Central |  | 1.4 | % | 3.3 | % | 5.1 | % | 4.2 | %
Peru |  | Upside |  | 2.4 | % | 4.3 | % | 8.6 | % | 7.7 | %
|  | Downside |  | 0.2 | % | 2.1 | % | 1.1 | % | 0.2 | %
|  | Central |  | (0.2) | % | 1.3 | % | 2.7 | % | 4.6 | %
Ecuador |  | Upside |  | 0.8 | % | 2.3 | % | 5.7 | % | 7.6 | %
|  | Downside |  | (1.7) | % | (0.2) | % | (0.8) | % | 1.1 | %
iv.Loss allowances The following tables show reconciliations from the opening to the closing balance of the loss allowance by class of financial instrument. The basis for determining transfers due to changes in credit risk is set out in our accounting policy; see Note 3.4(J) Loans at amortized cost
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2019 |  | 28,892 |  | 15,842 |  | 54,573 |  | 99,307
Transfer to lifetime expected credit losses |  | (886) |  | 886 |  | — |  | —
Transfer to credit-impaired financial instruments |  | — |  | (2,100) |  | 2,100 |  | —
Net effect of changes in allowance for expected credit losses |  | 134 |  | 13,443 |  | (118) |  | 13,459
Financial instruments that have been derecognized during the year |  | (24,307) |  | (3,729) |  | — |  | (28,036)
New financial assets originated or purchased |  | 12,828 |  | — |  | — |  | 12,828
Write-offs |  | — |  | (4,426) |  | (52,106) |  | (56,532)
Recoveries |  | — |  | — |  | 139 |  | 139
Allowance for expected credit losses as of December 31, 2020 |  | 16,661 |  | 19,916 |  | 4,588 |  | 41,165
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2018 |  | 34,957 |  | 16,389 |  | 49,439 |  | 100,785
Transfer to lifetime expected credit losses |  | (2,488) |  | 2,488 |  | — |  | —
Net effect of changes in allowance for expected credit losses |  | (2,154) |  | 5,881 |  | 7,987 |  | 11,714
Financial instruments that have been derecognized during the year |  | (27,118) |  | (8,916) |  | (500) |  | (36,534)
New financial assets originated or purchased |  | 25,695 |  | — |  | — |  | 25,695
Write-offs |  | — |  | — |  | (2,405) |  | (2,405)
Recoveries |  | — |  | — |  | 52 |  | 52
Allowance for expected credit losses as of December 31, 2019 |  | 28,892 |  | 15,842 |  | 54,573 |  | 99,307
Loan commitments, financial guarantee contracts and customers' liabilities under acceptances The allowance for expected credit losses on loan commitments and financial guarantee contracts reflects the Bank’s management estimate expected credit losses of customers’ liabilities under acceptances and items such as: confirmed letters of credit, stand-by letters of credit, guarantees, and credit commitments.
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2019 |  | 2,683 |  | 361 |  | — |  | 3,044
Transfer to lifetime expected credit losses |  | (96) |  | 96 |  | — |  | —
Net effect of changes in reserve for expected credit losses |  | 37 |  | 42 |  | — |  | 79
Financial instruments that have been derecognized during the year |  | (1,864) |  | (21) |  | — |  | (1,885)
New instruments originated or purchased |  | 1,666 |  | — |  | — |  | 1,666
Allowance for expected credit losses as of December 31, 2020 |  | 2,426 |  | 478 |  | — |  | 2,904
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2018 |  | 3,089 |  | 200 |  | — |  | 3,289
Net effect of changes in reserve for expected credit losses |  | (17) |  | 170 |  | — |  | 153
Financial instruments that have been derecognized during the year |  | (2,497) |  | (9) |  | — |  | (2,506)
New instruments originated or purchased |  | 2,108 |  | — |  | — |  | 2,108
Allowance for expected credit losses as of December 31, 2019 |  | 2,683 |  | 361 |  | — |  | 3,044
Securities at amortized cost
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2019 |  | 103 |  | 10 |  | — |  | 113
Transfer to lifetime expected credit losses |  | (10) |  | 10 |  | — |  | —
Net effect of changes in allowance for expected credit losses |  | 15 |  | 23 |  | — |  | 38
Financial instruments that have been derecognized during the year |  | (76) |  | (10) |  | — |  | (86)
New financial assets originated or purchased |  | 430 |  | — |  | — |  | 430
Allowance for expected credit losses as of December 31, 2020 |  | 462 |  | 33 |  | — |  | 495
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2018 |  | 113 |  | 27 |  | — |  | 140
Net effect of changes in allowance for expected credit losses |  | (1) |  | (17) |  | — |  | (18)
Financial instruments that have been derecognized during the year |  | (46) |  | — |  | — |  | (46)
New financial assets originated or purchased |  | 37 |  | — |  | — |  | 37
Allowance for expected credit losses as of December 31, 2019 |  | 103 |  | 10 |  | — |  | 113
Securities at fair value through other comprehensive income (FVOCI)
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2019 |  | — |  | — |  | — |  | —
Financial instruments that have been derecognized during the year |  | 43 |  | — |  | — |  | 43
Allowance for expected credit losses as of December 31, 2020 |  | 43 |  | — |  | — |  | 43
Securities at fair value through other comprehensive income (FVOCI)
|  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2018 |  | 33 |  | 140 |  | — |  | 173
Financial instruments that have been derecognized during the year |  | (33) |  | (140) |  | — |  | (173)
Allowance for expected credit losses as of December 31, 2019 |  | — |  | — |  | — |  | —
The following table provides a reconciliation between: -Amounts shown in the previous tables reconciling opening and closing balances of loss allowance per class of financial instrument; and -The (reversal) provision for credit losses' line item in the consolidated statement of profit or loss and other comprehensive income.
|  |  |  |  |  | Securities |  |
|  |  |  | Loan commitments |  |  |  |  |  |
|  | Loans at amortized |  | and financial |  |  |  |  |  |
December 31, 2020 |  | cost |  | guarantee contracts |  | At amortized cost |  | FVOCI |  | Total
Net effect of changes in allowance for expected credit losses |  | 13,459 |  | 79 |  | 38 |  | — |  | 13,576
Financial instruments that have been derecognized during the year |  | (28,036) |  | (1,885) |  | (86) |  | — |  | (30,007)
New financial assets originated or purchased |  | 12,828 |  | 1,666 |  | 430 |  | 43 |  | 14,967
Total |  | (1,749) |  | (140) |  | 382 |  | 43 |  | (1,464)
|  |  |  |  |  | Securities |  |
|  |  |  | Loan commitments |  |  |  |  |  |
|  | Loans at amortized |  | and financial |  |  |  |  |  |
December 31, 2019 |  | cost |  | guarantee contracts |  | At amortized cost |  | FVOCI |  | Total
Net effect of changes in allowance for expected credit losses |  | 11,714 |  | 153 |  | (18) |  | — |  | 11,849
Financial instruments that have been derecognized during the year |  | (36,534) |  | (2,506) |  | (46) |  | (173) |  | (39,259)
New financial assets originated or purchased |  | 25,695 |  | 2,108 |  | 37 |  | — |  | 27,840
Total |  | 875 |  | (245) |  | (27) |  | (173) |  | 430
|  |  |  |  |  | Securities |  |
|  |  |  | Loan commitments |  |  |  |  |  |
|  | Loans at amortized |  | and financial |  |  |  |  |  |
December 31, 2018 |  | cost |  | guarantee contracts |  | At amortized cost |  | FVOCI |  | Total
Net effect of changes in allowance for expected credit losses |  | 56,311 |  | 182 |  | (48) |  | (63) |  | 56,382
Financial instruments that have been derecognized during the year |  | (27,490) |  | (6,666) |  | (64) |  | — |  | (34,220)
New financial assets originated or purchased |  | 32,355 |  | 2,928 |  | 56 |  | 14 |  | 35,353
Total |  | 61,176 |  | (3,556) |  | (56) |  | (49) |  | 57,515
v.Credit-impaired financial assets Credit-impaired loans and advances are graded 8 to 10 in the Bank’s internal credit risk grading system. The following table sets out a reconciliation of changes in the net carrying amount of allowance for credit losses for credit-impaired loans
|  | December 31, |  | December 31,
|  | 2020 |  | 2019
Credit-impaired loans and advances at beginning of year |  | 54,573 |  | 49,439
Classified as credit-impaired during the year |  | 2,100 |  | —
Change in allowance for expected credit losses |  | (744) |  | 7,164
Recoveries of amounts previously written off |  | 139 |  | 52
Interest income |  | 626 |  | 323
Write-offs |  | (52,106) |  | (2,405)
Credit-impaired loans and advances at end of year |  | 4,588 |  | 54,573
During the year ended December 31, 2020, the sale of the outstanding credit-impaired loan in Stage 3, classified at amortized cost, was made for $11.6 million. This sale resulted in a write off against the allowance for credit losses of $52.1 million. vi.Concentrations of credit risk The Bank monitors concentrations of credit risk by sector, industry and by country. An analysis of concentrations of credit risk from loans, loan commitments, financial guarantees and investment securities is as follows. Concentration by sector and industry
|  |  |  |  |  |  |  |  |  | Securities
|  |  |  |  |  | Loan commitments and |  |  |  |  |  |
|  | Loans at amortized cost |  | financial guarantee contracts |  | At amortized cost |  | FVOCI
|  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31,
|  | 2020 |  | 2019 |  | 2020 |  | 2019 |  | 2020 |  | 2019 |  | 2020 |  | 2019
Carrying amount - principal |  | 4,911,397 |  | 5,892,997 |  | 74,366 |  | 115,682 |  | 164,074 |  | 74,547 |  | 231,348 |  | 5,094
Amount committed/guaranteed |  | — |  | — |  | 564,898 |  | 493,372 |  | — |  | — |  | — |  | —
Concentration by sector |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporations: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private |  | 1,425,929 |  | 1,782,808 |  | 276,249 |  | 213,161 |  | 56,979 |  | 2,998 |  | 60,403 |  | —
State-owned |  | 741,791 |  | 780,491 |  | 92,299 |  | 69,822 |  | 29,985 |  | 23,792 |  | 23,858 |  | —
Financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private |  | 2,231,742 |  | 2,692,787 |  | 65,434 |  | 75,130 |  | 33,715 |  | 19,276 |  | — |  | —
State-owned |  | 476,520 |  | 589,690 |  | 205,282 |  | 250,941 |  | 28,276 |  | — |  | 141,974 |  | —
Sovereign |  | 35,415 |  | 47,221 |  | — |  | — |  | 15,119 |  | 28,481 |  | 5,113 |  | 5,094
Total |  | 4,911,397 |  | 5,892,997 |  | 639,264 |  | 609,054 |  | 164,074 |  | 74,547 |  | 231,348 |  | 5,094
Concentration by industry |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial institutions |  | 2,708,262 |  | 3,282,477 |  | 270,716 |  | 326,071 |  | 61,991 |  | 19,276 |  | 141,974 |  | —
Manufacturing |  | 760,985 |  | 925,375 |  | 173,493 |  | 143,560 |  | 66,053 |  | 21,658 |  | 45,654 |  | —
Oil and petroleum derived products |  | 586,030 |  | 561,068 |  | 98,189 |  | 71,571 |  | 20,911 |  | 5,132 |  | 38,607 |  | —
Agricultural |  | 336,715 |  | 327,288 |  | — |  | — |  | — |  | — |  | — |  | —
Services |  | 264,597 |  | 370,753 |  | 63,086 |  | 20,497 |  | — |  | — |  | — |  | —
Mining |  | 94,955 |  | 162,364 |  | — |  | — |  | — |  | — |  | — |  | —
Sovereign |  | 35,415 |  | 47,221 |  | — |  | — |  | 15,119 |  | 28,481 |  | 5,113 |  | 5,094
Other |  | 124,438 |  | 216,451 |  | 33,780 |  | 47,355 |  | — |  | — |  | — |  | —
Total |  | 4,911,397 |  | 5,892,997 |  | 639,264 |  | 609,054 |  | 164,074 |  | 74,547 |  | 231,348 |  | 5,094
Risk rating and concentration by country
|  |  |  |  |  |  |  |  |  | Securities
|  |  |  |  |  | Loan commitments and |  |  |  |  |  |
|  | Loans at amortized cost |  | financial guarantee contracts |  | At amortized cost |  | FVOCI
|  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31, |  | December 31,
|  | 2020 |  | 2019 |  | 2020 |  | 2019 |  | 2020 |  | 2019 |  | 2020 |  | 2019
Carrying amount - principal |  | 4,911,397 |  | 5,892,997 |  | 74,366 |  | 115,682 |  | 164,074 |  | 74,547 |  | 231,348 |  | 5,094
Amount committed/guaranteed |  | — |  | — |  | 564,898 |  | 493,372 |  | — |  | — |  | — |  | —
Rating |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
1-4 |  | 2,582,794 |  | 2,928,401 |  | 247,425 |  | 167,241 |  | 108,505 |  | 73,047 |  | 231,348 |  | 5,094
5-6 |  | 2,096,138 |  | 2,415,323 |  | 237,807 |  | 183,568 |  | 55,569 |  | 1,500 |  | — |  | —
7-8 |  | 232,465 |  | 487,428 |  | 154,032 |  | 258,245 |  | — |  | — |  | — |  | —
10 |  | — |  | 61,845 |  | — |  | — |  | — |  | — |  | — |  | —
Total |  | 4,911,397 |  | 5,892,997 |  | 639,264 |  | 609,054 |  | 164,074 |  | 74,547 |  | 231,348 |  | 5,094
Concentration by country |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Argentina |  | 130,944 |  | 226,481 |  | — |  | — |  | — |  | — |  | — |  | —
Belgium |  | 9,807 |  | 13,742 |  | — |  | — |  | — |  | — |  | — |  | —
Bolivia |  | 12,000 |  | 7,000 |  | 2,800 |  | 400 |  | — |  | — |  | — |  | —
Brazil |  | 971,652 |  | 1,015,316 |  | 50,000 |  | 50,000 |  | 41,128 |  | 1,500 |  | — |  | —
Canada |  | — |  | — |  | — |  | 657 |  | — |  | — |  | — |  | —
Chile |  | 533,945 |  | 683,132 |  | 7,911 |  | 8 |  | 11,992 |  | — |  | 28,972 |  | 5,094
Colombia |  | 714,258 |  | 906,092 |  | 50,333 |  | 50,610 |  | 29,998 |  | 15,338 |  | — |  | —
Costa Rica |  | 146,200 |  | 220,380 |  | 56,876 |  | 59,161 |  | — |  | — |  | — |  | —
Dominican Republic |  | 202,433 |  | 289,853 |  | 16,500 |  | 16,500 |  | — |  | — |  | — |  | —
Ecuador |  | 45,511 |  | 174,267 |  | 165,275 |  | 252,391 |  | — |  | — |  | — |  | —
El Salvador |  | 40,000 |  | 54,233 |  | 1,087 |  | 5,555 |  | — |  | — |  | — |  | —
France |  | 150,810 |  | 152,530 |  | 84,862 |  | 47,906 |  | — |  | — |  | — |  | —
Germany |  | — |  | 34,613 |  | — |  | — |  | — |  | — |  | — |  | —
Guatemala |  | 281,485 |  | 278,557 |  | 43,845 |  | 44,200 |  | — |  | — |  | — |  | —
Honduras |  | 10,199 |  | 128,937 |  | 345 |  | 300 |  | — |  | — |  | — |  | —
Hong Kong |  | 1,800 |  | 10,400 |  | — |  | — |  | — |  | — |  | — |  | —
Jamaica |  | 23,274 |  | 38,312 |  | — |  | — |  | — |  | — |  | — |  | —
Luxembourg |  | 50,000 |  | 59,813 |  | — |  | — |  | — |  | — |  | — |  | —
Mexico |  | 607,099 |  | 754,465 |  | 4,995 |  | 27,377 |  | 43,910 |  | 21,505 |  | — |  | —
Panama |  | 241,097 |  | 268,356 |  | 61,435 |  | 25,304 |  | 10,399 |  | 36,204 |  | — |  | —
Paraguay |  | 100,816 |  | 127,970 |  | 11,800 |  | 10,652 |  | — |  | — |  | — |  | —
Peru |  | 272,752 |  | 150,301 |  | 47,245 |  | 8,033 |  | 26,647 |  | — |  | — |  | —
Singapore |  | 75,095 |  | 90,955 |  | — |  | — |  | — |  | — |  | — |  | —
Switzerland |  | — |  | — |  | — |  | 10,000 |  | — |  | — |  | — |  | —
Trinidad and Tobago |  | 165,995 |  | 181,676 |  | — |  | — |  | — |  | — |  | — |  | —
United States of America |  | 113,816 |  | 25,000 |  | — |  | — |  | — |  | — |  | 89,794 |  | —
United Kingdom |  | 10,409 |  | — |  | — |  | — |  | — |  | — |  | — |  | —
Uruguay |  | — |  | 619 |  | 33,955 |  | — |  | — |  | — |  | — |  | —
Multinational |  | — |  | — |  | — |  | — |  | — |  | — |  | 112,582 |  | —
Total |  | 4,911,397 |  | 5,892,997 |  | 639,264 |  | 609,054 |  | 164,074 |  | 74,547 |  | 231,348 |  | 5,094
vi.Offsetting financial assets and liabilities The following tables include financial assets and liabilities that are offset in the consolidated financial statement or subject to an enforceable master netting arrangement: a)Derivative financial instruments – assets
|  | December 31, 2020
|  |  |  | Gross amounts |  | Net amount of |  |  |  |  |  |
|  |  |  | offset in the |  | assets presented |  | Gross amounts not offset in the |  |
|  |  |  | consolidated |  | in the |  | consolidated statement of |  |
|  | Gross |  | statement of |  | consolidated |  | financial position |  |
|  | amounts of |  | financial |  | statement of |  | Financial |  | Cash collateral |  |
Description |  | assets |  | position |  | financial position |  | instruments |  | received |  | Net Amount
Derivative financial instruments used for hedging |  | 27,778 |  | — |  | 27,778 |  | — |  | (24,720) |  | 3,058
Total |  | 27,778 |  | — |  | 27,778 |  | — |  | (24,720) |  | 3,058
|  | December 31, 2019
|  |  |  | Gross amounts |  | Net amount of |  |  |  |  |  |
|  |  |  | offset in the |  | assets presented |  | Gross amounts not offset in the |  |
|  |  |  | consolidated |  | in the |  | consolidated statement of |  |
|  | Gross |  | statement of |  | consolidated |  | financial position |  |
|  | amounts of |  | financial |  | statement of |  | Financial |  | Cash collateral |  |
Description |  | assets |  | position |  | financial position |  | instruments |  | received |  | Net Amount
Derivative financial instruments used for hedging |  | 11,157 |  | — |  | 11,157 |  | — |  | (9,350) |  | 1,807
Total |  | 11,157 |  | — |  | 11,157 |  | — |  | (9,350) |  | 1,807
b)Securities sold under repurchase agreements and derivative financial instruments – liabilities
|  | December 31, 2020 |  |
|  |  |  |  |  | Net amount of |  |  |  |  |  |
|  |  |  | Gross amounts |  | liabilities |  | Gross amounts not offset in |  |
|  |  |  | offset in the |  | presented |  | the consolidated statement of |  |
|  |  |  | consolidated |  | in the |  | financial position |  |
|  | Gross |  | statement of |  | consolidated |  |  |  | Cash |  |
Description |  | amounts of |  | financial |  | statement of |  | Financial |  | collateral |  | Net
|  | liabilities |  | position |  | financial position |  | instruments |  | pledged |  | Amount
Securities sold under repurchase agreements |  | (10,663) |  | — |  | (10,663) |  | 11,998 |  | 18 |  | 1,353
Derivative financial instruments used for hedging |  | (9,211) |  | — |  | (9,211) |  | — |  | 7,786 |  | (1,425)
Total |  | (19,874) |  | — |  | (19,874) |  | 11,998 |  | 7,804 |  | (72)
|  | December 31, 2019 |  |
|  |  |  |  |  | Net amount of |  |  |  |  |  |
|  |  |  | Gross amounts |  | liabilities |  | Gross amounts not offset in |  |
|  |  |  | offset in the |  | presented |  | the consolidated statement of |  |
|  |  |  | consolidated |  | in the |  | financial position |  |
|  | Gross |  | statement of |  | consolidated |  |  |  | Cash |  |
Description |  | amounts of |  | financial |  | statement of |  | Financial |  | collateral |  | Net
|  | liabilities |  | position |  | financial position |  | instruments |  | pledged |  | Amount
Securities sold under repurchase agreements |  | (40,530) |  | — |  | (40,530) |  | 41,937 |  | 320 |  | 1,727
Derivative financial instruments used for hedging |  | (14,675) |  | — |  | (14,675) |  | — |  | 14,632 |  | (43)
Total |  | (55,205) |  | — |  | (55,205) |  | 41,937 |  | 14,952 |  | 1,684
B.Liquidity risk i.Exposure to liquidity risk The key measure used by the Bank for managing liquidity risk is the ratio of net liquid assets to deposits from customers and short-term funding. For this purpose, ‘net liquid assets’ includes cash and cash equivalents which consist of deposits from banks and customers, as well as corporate debt securities rated A- or above. The following table details the Bank's liquidity ratios, described in the previous paragraph, for the year ended December 31, 2020 and 2019, respectively:
|  | December 31, |  | December 31, |
|  | 2020 |  | 2019 |
At the end of the year |  | 249.42 | % | 52.48 | %
Year average |  | 115.98 | % | 37.82 | %
Maximum of the year |  | 249.42 | % | 53.38 | %
Minimum of the year |  | 53.26 | % | 23.23 | %
The following table includes the Bank’s liquid assets by geographical location:
|  | December 31, 2020 |  | December 31, 2019
|  | Cash and due from |  |  |  |  |  | Cash and due from
(in millions of USD dollars) |  | banks |  | Securities FVOCI |  | Total |  | banks
United State of America |  | 740 |  | 90 |  | 830 |  | 1,132
Other O.E.C.D countries |  | 100 |  | — |  | 100 |  | 4
Latin America |  | 6 |  | — |  | 6 |  | 4
Other countries |  | — |  | — |  | — |  | 20
Multinational |  | — |  | 112 |  | 112 |  | —
Total |  | 846 |  | 202 |  | 1,048 |  | 1,160
The following table includes the Bank’s demand deposits from customers and its ratio to total deposits from customers:
|  | December 31, |  | December 31, |
(in millions of USD dollars) |  | 2020 |  | 2019 |
Demand liabilities and "overnight" |  | 171 |  | 86 |
% Demand liabilities and "overnight" to total deposits |  | 5.44 | % | 2.97 | %
The liquidity requirements resulting from the Bank’s demand deposits from customers is satisfied by the Bank’s liquid assets as follows:
|  | December 31, |  | December 31, |
(in millions of USD dollars) |  | 2020 |  | 2019 |
Total liquid assets |  | 1,048 |  | 1,160 |
% Total assets to total liabilities |  | 33.40 | % | 40.15 | %
% Total liquid assets in the U.S. Federal Reserve |  | 65.68 | % | 97.37 | %
Even though the average term of the Bank's assets exceeds the average term of its liabilities, the associated liquidity risk is diminished by the short-term nature of a significant portion of the loan portfolio, since the Bank is primarily engaged in financing foreign trade. The following table includes the carrying amount for the Bank’s loans and securities short-term portfolio with maturity within one year based on their original contractual term together with its average remaining term:
(in millions of USD dollars) |  | December 31, |  | December 31,
|  | 2020 |  | 2019
Loan portfolio at amortized cost and investment portfolio less than/equal to 1 year according to its original terms |  | 3,114 |  | 3,485
Average term (days) |  | 195 |  | 189
The following table includes the carrying amount for the Bank’s loans and securities medium term portfolio with maturity over one year based on their original contractual terms together with their average remaining term:
(in millions of USD dollars) |  | December 31, |  | December 31,
|  | 2020 |  | 2019
Loan portfolio at amortized cost and investment portfolio greater than/equal to 1 year according to its original terms |  | 2,193 |  | 2,497
Average term (days) |  | 1,382 |  | 1,185
ii.Maturity analysis for financial liabilities and financial assets The following table details the future undiscounted cash flows of assets and liabilities grouped by their remaining maturity with respect to the contractual maturity:
|  | December 31, 2020
|  | Up to 3 |  | 3 to 6 |  | 6 months to |  |  |  | More than |  | Gross inflows |  | Carrying
Description |  | months |  | months |  | 1 year |  | 1 to 5 years |  | 5 years |  | (outflows) |  | amount
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 863,831 |  | — |  | — |  | — |  | — |  | 863,831 |  | 863,812
Securities and other financial assets, net |  | 11,541 |  | 20,961 |  | 60,311 |  | 312,027 |  | — |  | 404,840 |  | 398,068
Loans, net |  | 1,712,049 |  | 998,923 |  | 1,255,069 |  | 293,489 |  | 1,156,625 |  | 5,416,155 |  | 4,896,647
Derivative financial instruments - assets |  | — |  | 119 |  | 129 |  | 26,691 |  | 839 |  | 27,778 |  | 27,778
Total |  | 2,587,421 |  | 1,020,003 |  | 1,315,509 |  | 632,207 |  | 1,157,464 |  | 6,712,604 |  | 6,186,305
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  | (2,678,292) |  | (166,832) |  | (293,306) |  | (6,638) |  | — |  | (3,145,068) |  | (3,140,875)
Securities sold under repurchase agreements |  | — |  | (5,784) |  | (4,977) |  | — |  | — |  | (10,761) |  | (10,663)
Borrowings and debt, net |  | (166,034) |  | (60,816) |  | (456,932) |  | (1,425,806) |  | (24,922) |  | (2,134,510) |  | (1,994,245)
Derivative financial instruments - liabilities |  | (3,020) |  | (1,081) |  | (71) |  | (5,039) |  | — |  | (9,211) |  | (9,211)
Total |  | (2,847,346) |  | (234,513) |  | (755,286) |  | (1,437,483) |  | (24,922) |  | (5,299,550) |  | (5,154,994)
Contingencies |  |  |  |  |  |  |  |  |  |  |  |  |  |
Confirmed letters of credit |  | 167,301 |  | 29,466 |  | 20,015 |  | — |  | — |  | 216,782 |  | 216,782
Stand-by letters of credit and guarantees |  | 35,041 |  | 106,943 |  | 55,963 |  | 12,550 |  | — |  | 210,497 |  | 210,497
Credit commitments |  | — |  | — |  | 4,286 |  | 133,333 |  | — |  | 137,619 |  | 137,619
Total |  | 202,342 |  | 136,409 |  | 80,264 |  | 145,883 |  | — |  | 564,898 |  | 564,898
Net position |  | (462,267) |  | 649,081 |  | 479,959 |  | (951,159) |  | 1,132,542 |  | 848,156 |  | 466,413
|  | December 31, 2019
|  | Up to 3 |  | 3 to 6 |  | 6 months to |  |  |  | More than |  | Gross inflows |  | Carrying
Description |  | months |  | months |  | 1 year |  | 1 to 5 years | 5 years |  | (outflows) |  | amount
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 1,178,288 |  | — |  | — |  | — |  | — |  | 1,178,288 |  | 1,178,170
Securities and other financial assets, net |  | 16,684 |  | 6,457 |  | 7,293 |  | 54,544 |  | 6,492 |  | 91,470 |  | 88,794
Loans, net |  | 1,960,381 |  | 967,594 |  | 1,207,469 |  | 1,822,519 |  | 150,742 |  | 6,108,705 |  | 5,823,333
Derivative financial instruments - assets |  | — |  | 625 |  | — |  | 10,532 |  | — |  | 11,157 |  | 11,157
Total |  | 3,155,353 |  | 974,676 |  | 1,214,762 |  | 1,887,595 |  | 157,234 |  | 7,389,620 |  | 7,101,454
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  | (2,574,180) |  | (198,786) |  | (122,680) |  | — |  | — |  | (2,895,646) |  | (2,893,555)
Securities sold under repurchase agreements |  | (40,691) |  | — |  | — |  | — |  | — |  | (40,691) |  | (40,530)
Borrowings and debt, net |  | (1,407,612) |  | (451,736) |  | (230,776) |  | (1,147,699) |  | (13,422) |  | (3,251,245) |  | (3,148,864)
Derivative financial instruments - liabilities |  | (2,425) |  | (775) |  | (1,711) |  | (12,014) |  | — |  | (16,925) |  | (14,675)
Total |  | (4,024,908) |  | (651,297) |  | (355,167) |  | (1,159,713) |  | (13,422) |  | (6,204,507) |  | (6,097,624)
Contingencies |  |  |  |  |  |  |  |  |  |  |  |  |  |
Confirmed letters of credit |  | 84,235 |  | 77,493 |  | 7,592 |  | — |  | — |  | 169,320 |  | 169,320
Stand-by letters of credit and guarantees |  | 35,906 |  | 95,440 |  | 114,078 |  | 10,057 |  | — |  | 255,481 |  | 255,481
Credit commitments |  | — |  | — |  | — |  | 68,571 |  | — |  | 68,571 |  | 68,571
Total |  | 120,141 |  | 172,933 |  | 121,670 |  | 78,628 |  | — |  | 493,372 |  | 493,372
Net position |  | (989,696) |  | 150,446 |  | 737,925 |  | 649,254 |  | 143,812 |  | 691,741 |  | 510,458
The amounts in the tables above have been compiled as follows:
Type of financial instrument | Basis on which amounts are compiled
Financial assets and liabilities | Undiscounted cash flows, which include estimated interest payments.
Issued financial guarantee contracts, and loan commitments | Earliest possible contractual maturity. For issued financial guarantee contracts, the maximum amount of the guarantee is allocated to the earliest period in which the guarantee could be called.
Derivative financial liabilities and financial assets | Contractual undiscounted cash flows. The amounts shown are the gross nominal inflows and outflows for derivatives that simultaneously settle gross or net amounts.
iii.Liquidity reserves As part of the management of liquidity risk arising from financial liabilities, the Bank holds liquid assets comprising cash and cash equivalents. The following table sets out the components of the Banks’s liquidity reserves:
|  | December 31, |  | December 31,
|  | 2020 |  | 2019
|  | Amount |  | Fair Value |  | Amount |  | Fair Value
Balances with Central Banks |  | 688,612 |  | 688,612 |  | 1,129,016 |  | 1,129,016
Cash and balances with other bank (1) |  | 157,396 |  | 157,396 |  | 30,702 |  | 30,702
Total Liquidity reserves |  | 846,008 |  | 846,008 |  | 1,159,718 |  | 1,159,718
(1)Excludes pledged deposits. iv.Financial assets available to support future funding The following table sets out the Bank’s financial assets available to support future funding:
December 31, 2020
|  | Guaranteed |  | Available as
|  |  |  | collateral
Cash and due from banks |  | 17,804 |  | 846,008
Notional of investment securities |  | 11,450 |  | 371,900
Loans at amortized cost |  | — |  | 4,911,397
Total assets |  | 29,254 |  | 6,129,305
December 31, 2019
|  | Guaranteed |  | Available as
|  |  |  | collateral
Cash and due from banks |  | 18,452 |  | 1,159,718
Notional of investment securities |  | 40,531 |  | 38,045
Loans at amortized cost |  | — |  | 5,823,333
Total assets |  | 58,983 |  | 7,021,096
C.Market risk The Bank manages market risk by considering the consolidated financial situation of the Bank. For the definition of market risk and information on how the Bank manages the market risks of trading and non-trading portfolios, see note 6. i.Interest rate risk The following is a summary of the Bank’s interest rate gap position for the financial assets and liabilities based on their next repricing date:
|  | December 31, 2020
|  | Up to 3 |  | 3 to 6 |  | 6 months to |  |  |  | More than |  | Non interest |  |
Description |  | months |  | months |  | 1 year |  | 1 to 5 years |  | 5 years |  | rate risk |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Demand deposits and time deposits |  | 859,481 |  | — |  | — |  | — |  | — |  | 4,331 |  | 863,812
Securities and other financial assets |  | 9,554 |  | 9,139 |  | 55,960 |  | 320,769 |  | — |  | — |  | 395,422
Loans |  | 3,468,477 |  | 895,794 |  | 434,813 |  | 117,262 |  | — |  | — |  | 4,916,346
Total assets |  | 4,337,512 |  | 904,933 |  | 490,773 |  | 438,031 |  | — |  | 4,331 |  | 6,175,580
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Demand deposits and time deposits |  | (2,675,867) |  | (166,317) |  | (290,000) |  | (6,500) |  | — |  | (216) |  | (3,138,900)
Securities sold under repurchase agreements |  | — |  | (5,728) |  | (4,935) |  | — |  | — |  | — |  | (10,663)
Borrowings and debt |  | (1,103,703) |  | (45,859) |  | (16,511) |  | (794,522) |  | (24,475) |  | — |  | (1,985,070)
Total liabilities |  | (3,779,570) |  | (217,904) |  | (311,446) |  | (801,022) |  | (24,475) |  | (216) |  | (5,134,633)
Net effect of derivative financial instruments held for interest risk management |  | (3) |  | (373) |  | 58 |  | 15,982 |  | 839 |  | — |  | 16,503
Total interest rate sensitivity |  | 557,939 |  | 686,656 |  | 179,385 |  | (347,009) |  | (23,636) |  | 4,115 |  | 1,057,450
|  | December 31, 2019
|  | Up to 3 |  | 3 to 6 |  | 6 months to |  |  |  | More than |  | Non interest |  |
Description |  | months |  | months |  | 1 year |  | 1 to 5 years |  | 5 years |  | rate risk |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Demand deposits and time deposits |  | 1,170,092 |  | — |  | — |  | — |  | — |  | — |  | 1,170,092
Securities and other financial assets |  | 14,935 |  | 6,351 |  | 5,055 |  | 53,300 |  | — |  | — |  | 79,641
Loans |  | 4,031,432 |  | 1,096,355 |  | 548,028 |  | 208,443 |  | 8,739 |  | — |  | 5,892,997
Total assets |  | 5,216,459 |  | 1,102,706 |  | 553,083 |  | 261,743 |  | 8,739 |  | — |  | 7,142,730
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Demand deposits and time deposits |  | (2,570,324) |  | (197,300) |  | (120,419) |  | — |  | — |  | (293) |  | (2,888,336)
Securities sold under repurchase agreements |  | (40,530) |  | — |  | — |  | — |  | — |  | — |  | (40,530)
Borrowings and debt |  | (2,534,382) |  | (401,432) |  | (25,261) |  | (157,321) |  | — |  | (19,914) |  | (3,138,310)
Total liabilities |  | (5,145,236) |  | (598,732) |  | (145,680) |  | (157,321) |  | — |  | (20,207) |  | (6,067,176)
Net effect of derivative financial instruments held for interest risk management |  | (2,425) |  | (150) |  | (1,711) |  | (1,482) |  | — |  | — |  | (5,768)
Total interest rate sensitivity |  | 68,798 |  | 503,824 |  | 405,692 |  | 102,940 |  | 8,739 |  | (20,207) |  | 1,069,786
Management of interest rate risk is complemented by monitoring the sensitivity of the Bank’s financial assets and liabilities to various standard interest rate scenarios. Standard scenarios that are considered on a monthly basis include a 50bps, 100bps and 200bps, parallel fall or rise in all yield curves which are assessed accordingly to market conditions. Following is an analysis of the Bank’s sensitivity to the most likely increase or decrease in market interest rates at the reporting date, assuming no asymmetrical movements in yield curves and a constant financial position:
|  | Change in |  | Effect on |  | Effect on
|  | interest rate |  | profit or loss |  | equity
December 31, 2020 |  | +50 bps |  | 1,182 |  | 16,618
|  | -50 bps |  | (5,161) |  | 107
December 31, 2019 |  | +50 bps |  | 3,064 |  | 7,461
|  | -50 bps |  | (3,064) |  | (7,461)
Interest rate movements affect reported equity in the following ways: -Retained earnings: increases or decreases in net interest income and in fair values of derivatives reported in profit or loss; -Fair value reserve: increases or decreases in fair values of financial assets at FVOCI reported directly in equity; and -Hedging reserve: increases or decreases in fair values of hedging instruments designated in qualifying cash flow hedge relationships. This sensitivity provides a consideration of changes in interest rates, considering last period interest rate volatility. iii.Foreign exchange risk The following table presents the maximum exposure amount in foreign currency of the Bank’s carrying amount of total assets and liabilities, excluding derivative financial assets and liabilities, based on their fair value.
|  | December 31, 2020
|  | Brazilian |  | European |  | Japanese |  | Colombian |  | Mexican |  | Other |  |
|  | Real |  | Euro |  | Yen |  | Peso |  | Peso |  | Currencies(1) |  | Total
Exchance rate |  | 5.19 |  | 1.22 |  | 103.23 |  | 3,430.19 |  | 19.92 |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 81 |  | 13 |  | 1 |  | 20 |  | 1,615 |  | 80 |  | 1,810
Loans |  | — |  | — |  | — |  | — |  | 182,395 |  | — |  | 182,395
Total Assets |  | 81 |  | 13 |  | 1 |  | 20 |  | 184,010 |  | 80 |  | 184,205
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowings and debt |  | — |  | — |  | — |  | — |  | (183,863) |  | — |  | (183,863)
Total liabilities |  | — |  | — |  | — |  | — |  | (183,863) |  | — |  | (183,863)
Net currency position |  | 81 |  | 13 |  | 1 |  | 20 |  | 147 |  | 80 |  | 342
(1) It includes other currencies such as: Argentine pesos, Australian dollar, Swiss franc, Sterling pound, Peruvian soles, and Chinese renminbi.
|  | December 31, 2019
|  | Brazilian |  | European |  | Japanese |  | Colombian |  | Mexican |  | Other |  | Total
|  | Real |  | Euro |  | Yen |  | Peso |  | Peso |  | Currencies (1) |  |
Exchance rate |  | 4.02 |  | 1.12 |  | 108.67 |  | 3,287.50 |  | 18.88 |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 274 |  | 17 |  | 4 |  | 34 |  | 4,243 |  | 58 |  | 4,630
Loans |  | — |  | — |  | — |  | — |  | 473,729 |  | — |  | 473,729
Total Assets |  | 274 |  | 17 |  | 4 |  | 34 |  | 477,972 |  | 58 |  | 478,359
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowings and debt |  | — |  | — |  | — |  | — |  | (478,038) |  | — |  | (478,038)
Total liabilities |  | — |  | — |  | — |  | — |  | (478,038) |  | — |  | (478,038)
Net currency position |  | 274 |  | 17 |  | 4 |  | 34 |  | (66) |  | 58 |  | 321
(1) It includes other currencies such as: Argentine pesos, Australian dollar, Swiss franc, Sterling pound, Peruvian soles, and Chinese renminbi.

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