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Fair value of financial instruments (Tables) | 12 Months Ended
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Dec. 31, 2021
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, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Securities and other financial assets: |  |  |  |  |  |  |
Securities at FVOCI - Corporate debt | — |  |  | 193,488 |  |  | — |  |  | 193,488 |
Loans at FVTPL | — |  |  | — |  |  | 5,313 |  |  | 5,313 |
Total securities and other financial assets | — |  |  | 193,488 |  |  | 5,313 |  |  | 198,801 |
Derivative financial instruments - assets: |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 1,282 |  |  | — |  |  | 1,282 |
Cross-currency swaps | — |  |  | 9,523 |  |  | — |  |  | 9,523 |
Total derivative financial instrument assets | — |  |  | 10,805 |  |  | — |  |  | 10,805 |
Total assets at fair value | — |  |  | 204,293 |  |  | 5,313 |  |  | 209,606 |
Liabilities |  |  |  |  |  |  |
Derivative financial instruments - liabilities: |  |  |  |  |  |  |
Interest rate swaps | — |  |  | 538 |  |  | — |  |  | 538 |
Cross-currency swaps | — |  |  | 27,917 |  |  | — |  |  | 27,917 |
Total derivative financial instruments - liabilities | — |  |  | 28,455 |  |  | — |  |  | 28,455 |
Total liabilities at fair value | — |  |  | 28,455 |  |  | — |  |  | 28,455 |
A. Recurring valuation (continued)
| 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 FVTPL | — |  |  | — |  |  | 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 |
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 |
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, 2021
| Carrying value |  | Fair value |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |  |
Cash and deposits on banks | 1,253,052 |  |  | 1,253,052 |  |  | — |  |  | 1,253,052 |  |  | — |
Securities at amortized cost (1) | 637,422 |  |  | 632,848 |  |  | — |  |  | 628,284 |  |  | 4,564 |
Loans at amortized cost, net (2) | 5,707,709 |  |  | 5,806,915 |  |  | — |  |  | 5,806,915 |  |  | — |
Customers' liabilities under acceptances | 201,515 |  |  | 201,515 |  |  | — |  |  | 201,515 |  |  | — |
Investment property | — |  |  | — |  |  | — |  |  | — |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |
Deposits | 3,037,457 |  |  | 3,037,457 |  |  | — |  |  | 3,037,457 |  |  | — |
Securities sold under repurchase agreements | 427,497 |  |  | 427,497 |  |  | — |  |  | 427,497 |  |  | — |
Borrowings and debt, net (3) | 3,304,178 |  |  | 3,294,135 |  |  | — |  |  | 3,294,135 |  |  | — |
Acceptances outstanding | 201,515 |  |  | 201,515 |  |  | — |  |  | 201,515 |  |  | — |
B. Non-recurring valuation (continued)
| December 31, 2020
| Carrying value |  | Fair 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 property | 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 |  |  | — |
Acceptances outstanding | 74,366 |  |  | 74,366 |  |  | — |  |  | 74,366 |  |  | — |
(1)The carrying value of securities at amortized cost is net of accrued interest receivable of $8.1 million and the allowance for expected credit losses of $1.7 million as of December 31, 2021 (accrued interest receivable of $1.9 million and the allowance for expected credit losses of $0.4 million as of December 31, 2020). (2)The carrying value of loans at amortized cost is net of accrued interest receivable of $23.3 million, the allowance for expected credit losses of $41.4 million and unearned interest and deferred fees of $8.7 million for December 31, 2021 (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). (3)Borrowings and debt exclude lease liabilities for an amount of $17.7 million and $18.7 million as of December 31, 2021 and December 31, 2020, 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 profit or loss (debentures ) |  | Loans at fair value through profit or loss |  | Total
At December 31, 2019 | 6,492 |  |  | — |  |  | 6,492 |
Additions | 1,433 |  |  | 5,750 |  |  | 7,183 |
Net changes in fair value(1) | (2,175) |  |  | (801) |  |  | (2,976) |
Sales | (5,750) |  |  | — |  |  | (5,750) |
At December 31, 2020 | — |  |  | 4,949 |  |  | 4,949 |
Additions | — |  |  | — |  |  | — |
Net changes in fair value(1) | — |  |  | 364 |  |  | 364 |
Sales | — |  |  | — |  |  | — |
At December 31, 2021 | — |  |  | 5,313 |  |  | 5,313 |
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 |  | 2021 |  | 2020
A significant increase in volatility would result in a lower fair value |  | 6.86% to 7.84% |  | 3.128% to 8.89%
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.
Loans at fair value through profit or loss |  | Effect on profit or loss
+ 100 bps to the observable and unobservable inputs |  | (108)
- 100 bps to the observable and unobservable inputs |  | 111

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