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Fair value of financial instruments (Tables) | 12 Months Ended
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Dec. 31, 2020
Fair value of financial instruments |
Schedule of financial instruments measured at fair value on a recurring basis by caption on the consolidated statement of financial position using the fair value hierarchy | Financial instruments measured at fair value on a recurring basis by caption on the consolidated statement of financial position using the fair value hierarchy are described below:
|  | December 31, 2020
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |
Securities and other financial assets: |  |  |  |  |  |  |  |
Securities at FVOCI - Corporate debt |  | — |  | 226,235 |  | — |  | 226,235
Securities at FVOCI - Sovereign debt |  | — |  | 5,113 |  | — |  | 5,113
Loans at fair value through profit or loss |  | — |  | — |  | 4,949 |  | 4,949
Total securities and other financial assets |  | — |  | 231,348 |  | 4,949 |  | 236,297
Derivative financial instruments - assets: |  |  |  |  |  |  |  |
Interest rate swaps |  | — |  | 1,831 |  | — |  | 1,831
Cross-currency swaps |  | — |  | 25,947 |  | — |  | 25,947
Foreign exchange forwards |  | — |  | — |  | — |  | —
Total derivative financial instrument assets |  | — |  | 27,778 |  | — |  | 27,778
Total assets at fair value |  | — |  | 259,126 |  | 4,949 |  | 264,075
Liabilities |  |  |  |  |  |  |  |
Derivative financial instruments - liabilities: |  |  |  |  |  |  |  |
Interest rate swaps |  | — |  | 1,774 |  | — |  | 1,774
Cross-currency swaps |  | — |  | 3,848 |  | — |  | 3,848
Foreign exchange forwards |  | — |  | 3,589 |  | — |  | 3,589
Total derivative financial instruments - liabilities |  | — |  | 9,211 |  | — |  | 9,211
Total liabilities at fair value |  | — |  | 9,211 |  | — |  | 9,211
|  | December 31, 2019
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |
Securities and other financial assets: |  |  |  |  |  |  |  |
Securities at FVOCI - Sovereign debt |  | — |  | 5,094 |  | — |  | 5,094
Equity instrument at FVOCI |  | — |  | 1,889 |  | — |  | 1,889
Debt instruments at fair value through profit or loss |  | — |  | — |  | 6,492 |  | 6,492
Total securities and other financial assets |  | — |  | 6,983 |  | 6,492 |  | 13,475
Derivative financial instruments - assets: |  |  |  |  |  |  |  |
Interest rate swaps |  | — |  | 407 |  | — |  | 407
Cross-currency swaps |  | — |  | 10,125 |  | — |  | 10,125
Foreign exchange forwards |  | — |  | 625 |  | — |  | 625
Total derivative financial instrument assets |  | — |  | 11,157 |  | — |  | 11,157
Total assets at fair value |  | — |  | 18,140 |  | 6,492 |  | 24,632
Liabilities |  |  |  |  |  |  |  |
Derivative financial instruments - liabilities: |  |  |  |  |  |  |  |
Interest rate swaps |  | — |  | 1,903 |  | — |  | 1,903
Cross-currency swaps |  | — |  | 10,197 |  | — |  | 10,197
Foreign exchange forwards |  | — |  | 2,575 |  | — |  | 2,575
Total derivative financial instruments - liabilities |  | — |  | 14,675 |  | — |  | 14,675
Total liabilities at fair value |  | — |  | 14,675 |  | — |  | 14,675
Schedule of carrying value and an estimated fair value of the bank's financial instruments that are not measured on a recurring basis | The following table provides information on the carrying value and the estimated fair value of the Bank’s financial instruments that are not measured on a recurring basis:
|  | December 31, 2020
|  | Carrying |  | Fair |  |  |  |  |  |
|  | value |  | value |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |  |  |
Cash and deposits on banks |  | 863,812 |  | 863,812 |  | — |  | 863,812 |  | —
Securities at amortized cost (1) |  | 165,564 |  | 168,110 |  | — |  | 157,698 |  | 10,412
Loans at amortized cost, net (2) |  | 4,891,698 |  | 4,972,599 |  | — |  | 4,972,599 |  | —
Customers' liabilities under acceptances |  | 74,366 |  | 74,366 |  | — |  | 74,366 |  | —
Investment properties |  | 3,214 |  | 3,214 |  | — |  | — |  | 3,214
Liabilities |  |  |  |  |  |  |  |  |  |
Deposits |  | 3,140,875 |  | 3,140,875 |  | — |  | 3,140,875 |  | —
Securities sold under repurchase agreements |  | 10,663 |  | 10,663 |  | — |  | 10,663 |  | —
Borrowings and debt, net (3) |  | 1,966,271 |  | 1,989,719 |  | — |  | 1,989,719 |  | —
Customers' liabilities under acceptances |  | 74,366 |  | 74,366 |  | — |  | 74,366 |  | —
|  | December 31, 2019
|  | Carrying |  | Fair |  |  |  |  |  |
|  | value |  | value |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |  |  |
Cash and deposits on banks |  | 1,178,170 |  | 1,178,170 |  | — |  | 1,178,170 |  | —
Securities at amortized cost (1) |  | 75,271 |  | 75,724 |  | — |  | 56,914 |  | 18,810
Loans at amortized cost, net (2) |  | 5,823,333 |  | 6,162,885 |  | — |  | 6,101,040 |  | 61,845
Customers’ liabilities under acceptances |  | 115,682 |  | 115,682 |  | — |  | 115,682 |  | —
Investment properties |  | 3,494 |  | 3,494 |  | — |  | — |  | 3,494
Liabilities |  |  |  |  |  |  |  |  |  |
Deposits |  | 2,893,555 |  | 2,893,555 |  | — |  | 2,893,555 |  | —
Securities sold under repurchase agreements |  | 40,530 |  | 40,530 |  | — |  | 40,530 |  | —
Borrowings and debt, net |  | 3,118,396 |  | 3,126,333 |  | — |  | 3,126,333 |  | —
Customers’ liabilities under acceptances |  | 115,682 |  | 115,682 |  | — |  | 115,682 |  | —
| (1) |  | The carrying value of securities at amortized cost is net of accrued interest receivable of $1.9 million and the allowance for expected credit losses of $0.4 million as of December 31, 2020 (accrued interest receivable of $0.8 million and the allowance for expected credit losses of $0.1 million as of December 31, 2019).
| (2) |  | The carrying value of loans at amortized cost is net of accrued interest receivable of $27.3 million, the allowance for expected credit losses of $41.1 million and unearned interest and deferred fees of $5.8 million for December 31, 2020 (accrued interest receivable of $41.7 million, the allowance for expected credit losses of $99.3 million and unearned interest and deferred fees of $12.1 million for December 31, 2019).
| (3) |  | Borrowings and debt exclude lease liabilities for an amount of $18.7 million and $19.9 million as of December 31, 2020 and December 31, 2019, respectively.
Schedule of movement of instruments measured at level 3 fair value | The following table presents the movement of a level 3 financial instruments measured at fair value:
|  | Debt instruments at |  |  |  |
|  | fair value through |  | Loans at fair value |  |
|  | profit or loss |  | through profit or |  |
|  | (debentures) |  | loss |  | Total
At December 31, 2018 |  | — |  | — |  | —
Additions |  | 8,750 |  | — |  | 8,750
Net changes in fair value |  | (2,258) |  | — |  | (2,258)
Sales |  | — |  | — |  | —
At December 31, 2019 |  | 6,492 |  | — |  | 6,492
Additions |  | 1,433 |  | 5,750 |  | 7,183
Net changes in fair value |  | (2,175) |  | (801) |  | (2,976)
Sales |  | (5,750) |  | — |  | (5,750)
At December 31, 2020 |  | — |  | 4,949 |  | 4,949
Schedule of significant inputs used in the measurement of instruments at level 3 fair value | Inputs used in the fair value measurement are detailed as follows:
Observable inputs |  | Unobservable inputs |
- Forward interest rate referenced to 12M USD Libor |  | - Discount rate or discount margin of floating rate bond "USD US composite B+" with credit risk similar to the instrument analyzed adjusted by the country risk premium. |
Fair value measurement sensitivity to unobservable inputs – discount rate |  | 2020 |
A significant increase in volatility would result in a lower fair value |  | 3.128% to 8.89 | %
The significant inputs used in determining the fair value of instruments categorized as level 3, using present value techniques, are as follows:
2020 | 2019
Unobservable inputs | Unobservable inputs
- Discount rate based on the return from CCC Corporate S&P Bond Index | - Discount rate for similar companies of the same business line adjusted due to the debt-equity structure of the issuer
- Probability of occurrence of the flows of each sale or conversion scenario |
| Observable inputs
| - Average recovery factor for companies that reported default - Moody's
|  | Range of estimates
Fair value measurement sensitivity to unobservable inputs – discount rate |  | 2020 |  | 2019
A significant increase in volatility would result in a lower fair value |  | 10.00% to 20.00% |  | 12.97% to 27.50%
Schedule of changing one or more assumptions used can generate the following effect | For fair value measurements in level 3, changing one or more of the assumptions used would have the following effects.
|  | Effect on
Loans at fair value through profit or loss |  | profit or loss
+ 100 bps to the observable and unobservable inputs |  | (149)
- 100 bps to the observable and unobservable inputs |  | 154

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