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Financial risk | 12 Months Ended
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Dec. 31, 2021
Disclosure of credit risk exposure [abstract] |
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 debt instruments 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). Loans at amortized cost, outstanding balance
| December 31, 2021 |  |  |  |
| PD Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 - 4 | 0.03 - 0.74 |  | 3,016,938 |  |  | — |  |  | — |  |  | 3,016,938 |
Grades 5 - 6 | 0.75 - 3.80 |  | 2,466,348 |  |  | 57,799 |  |  | — |  |  | 2,524,147 |
Grades 7 - 8 | 3.81 - 34.51 |  | 99,807 |  |  | 83,120 |  |  | 10,593 |  |  | 193,520 |
Grades 9 - 10 | 34.52 - 100 |  | — |  |  | — |  |  | — |  |  | — |
|  |  | 5,583,093 |  |  | 140,919 |  |  | 10,593 |  |  | 5,734,605 |
Loss allowance |  |  | (20,115) |  |  | (16,175) |  |  | (5,186) |  |  | (41,476) |
Total |  |  | 5,562,978 |  |  | 124,744 |  |  | 5,407 |  |  | 5,693,129 |
| 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 |
A. Credit risk (continued) Loan commitments, financial guarantees issued and customers’ liabilities under acceptances
| December 31, 2021 |  |  |  |
| 12-month PD Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Commitments and contingencies |  |  |  |  |  |  |  |  |
Grades 1 - 4 | 0.03 - 0.74 |  | 257,831 |  |  | — |  |  | — |  |  | 257,831 |
Grades 5 - 6 | 0.75 - 3.80 |  | 172,993 |  |  | 21,400 |  |  | — |  |  | 194,393 |
Grades 7 - 8 | 3.81 - 34.51 |  | 151,535 |  |  | — |  |  | — |  |  | 151,535 |
|  |  | 582,359 |  |  | 21,400 |  |  | — |  |  | 603,759 |
Customers' liabilities under acceptances |  |  |  |  |  |  |  |  |
Grades 1 - 4 | 0.03 - 0.74 |  | 54,185 |  |  | — |  |  | — |  |  | 54,185 |
Grades 5 - 6 | 0.75 - 3.80 |  | 6,903 |  |  | — |  |  | — |  |  | 6,903 |
Grades 7 - 8 | 3.81 - 34.51 |  | 140,427 |  |  | — |  |  | — |  |  | 140,427 |
|  |  | 201,515 |  |  | — |  |  | — |  |  | 201,515 |
|  |  | 783,874 |  |  | 21,400 |  |  | — |  |  | 805,274 |
Loss allowance |  |  | (3,472) |  |  | (331) |  |  | — |  |  | (3,803) |
Total |  |  | 780,402 |  |  | 21,069 |  |  | — |  |  | 801,471 |
| 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 |
A. Credit risk (continued) Securities at amortized cost
| December 31, 2021 |  |  |  |
| 12-month DP Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 - 4 | 0.03 - 0.74 |  | 453,627 |  |  | — |  |  | — |  |  | 453,627 |
Grades 5 - 6 | 0.75 - 3.80 |  | 177,496 |  |  | — |  |  | — |  |  | 177,496 |
|  |  | 631,123 |  |  | — |  |  | — |  |  | 631,123 |
Loss allowance |  |  | (1,790) |  |  | — |  |  | — |  |  | (1,790) |
Total |  |  | 629,333 |  |  | — |  |  | — |  |  | 629,333 |
| 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 |
Securities at fair value through other comprehensive income (FVOCI)
| December 31, 2021 |  |  |  |
| 12-month PD Ranges |  | Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Grades 1 - 4 | 0.03 - 0.74 |  | 193,488 |  |  | — |  |  | — |  |  | 193,488 |
|  |  | 193,488 |  |  | — |  |  | — |  |  | 193,488 |
Loss allowance |  |  | (26) |  |  | — |  |  | — |  |  | (26) |
Total |  |  | 193,462 |  |  | — |  |  | — |  |  | 193,462 |
| 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 |
A. Credit risk (continued) 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, 2021
| Notional value USD |  | Derivative financial instruments - fair value asset |  | Derivative financial instruments - fair value liabilities
Interest rate swaps | 60,000 |  |  | 1,282 |  |  | (538) |
Cross-currency swaps | 883,931 |  |  | 9,523 |  |  | (27,917) |
Foreign exchange forwards | — |  |  | — |  |  | — |
Total | 943,931 |  |  | 10,805 |  |  | (28,455) |
| December 31, 2020
| Notional value USD |  | Derivative financial instruments - fair value asset |  | Derivative financial instruments - fair 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) |
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. A. Credit risk (continued) 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 for commercial lending are as follows: - 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 or received in lieu of payment, for business use. The Bank holds guarantees and other financial credit enhancements against certain exposures in the loan portfolio. As of December 31, 2021, and 2020, the coverage ratio to the carrying amount of the loan portfolio was 12%. iii. Incorporation 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 risk 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 growth index. 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. A. Credit risk (continued) 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 (Var.% ) |  | ComEx Growth Index (Var.% )
Country |  | Scenario |  | December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020
|  | Central |  | 2.7 | % |  | 0.7 | % |  | 9.5 | % |  | 4.0 | %
Brazil |  | Upside |  | 3.7 | % |  | 1.7 | % |  | 13.0 | % |  | 7.5 | %
|  | Downside |  | 1.3 | % |  | -0.7 | % |  | 5.5 | % |  | 0.0 | %
|  | Central |  | 4.6 | % |  | 1.4 | % |  | 10.7 | % |  | 4.6 | %
Colombia |  | Upside |  | 5.7 | % |  | 2.5 | % |  | 13.7 | % |  | 7.6 | %
|  | Downside |  | 3.3 | % |  | 0.1 | % |  | 7.2 | % |  | 1.1 | %
|  | Central |  | 3.0 | % |  | 0.2 | % |  | 9.4 | % |  | 3.5 | %
Mexico |  | Upside |  | 4.0 | % |  | 1.2 | % |  | 13.4 | % |  | 7.5 | %
|  | Downside |  | 1.8 | % |  | -1.0 | % |  | 4.9 | % |  | -1.0 | %
|  | Central |  | 3.4 | % |  | 1.5 | % |  | 12.4 | % |  | 6.4 | %
Chile |  | Upside |  | 4.5 | % |  | 2.6 | % |  | 15.9 | % |  | 9.9 | %
|  | Downside |  | 2.2 | % |  | 0.3 | % |  | 8.4 | % |  | 2.4 | %
|  | Central |  | 6.2 | % |  | 4.8 | % |  | 11.0 | % |  | 9.5 | %
Dominican Republic |  | Upside |  | 7.4 | % |  | 6.0 | % |  | 14.5 | % |  | 13.0 | %
|  | Downside |  | 4.9 | % |  | 3.5 | % |  | 7.0 | % |  | 5.5 | %
|  | Central |  | 3.5 | % |  | 2.5 | % |  | 8.1 | % |  | 4.2 | %
Guatemala |  | Upside |  | 4.5 | % |  | 3.5 | % |  | 11.1 | % |  | 7.2 | %
|  | Downside |  | 2.3 | % |  | 1.3 | % |  | 4.6 | % |  | 0.7 | %
|  | Central |  | 4.9 | % |  | 1.4 | % |  | 11.7 | % |  | 5.1 | %
Peru |  | Upside |  | 5.9 | % |  | 2.4 | % |  | 15.2 | % |  | 8.6 | %
|  | Downside |  | 3.7 | % |  | 0.2 | % |  | 7.7 | % |  | 1.1 | %
|  | Central |  | 2.3 | % |  | -0.2 | % |  | 8.7 | % |  | 2.7 | %
Ecuador |  | Upside |  | 3.3 | % |  | 0.8 | % |  | 11.7 | % |  | 5.7 | %
|  | Downside |  | 0.8 | % |  | -1.7 | % |  | 5.2 | % |  | -0.8 | %
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 in Note 3.4(J) A. Credit risk (continued) Loans at amortized cost
| Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2020 | 16,661 |  |  | 19,916 |  |  | 4,588 |  |  | 41,165 |
Transfer to lifetime expected credit losses | (158) |  |  | 158 |  |  | — |  |  | — |
Transfer to 12-month expected credit losses | 243 |  |  | (243) |  |  | — |  |  | — |
Net effect of changes in allowance for expected credit losses | (874) |  |  | (2,041) |  |  | 438 |  |  | (2,477) |
Financial instruments that have been derecognized during the year | (13,100) |  |  | (1,615) |  |  | — |  |  | (14,715) |
New instruments originated or purchased | 17,343 |  |  | — |  |  | — |  |  | 17,343 |
Write-offs | — |  |  | — |  |  | — |  |  | — |
Recoveries | — |  |  | — |  |  | 160 |  |  | 160 |
Allowance for expected credit losses as of December 31, 2021 | 20,115 |  |  | 16,175 |  |  | 5,186 |  |  | 41,476 |
| 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 instruments 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 |
A. Credit risk (continued) 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 of expected credit losses of customers’ liabilities under acceptances and contingent liabilities 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, 2020 | 2,426 |  |  | 478 |  |  | — |  |  | 2,904 |
Transfer to lifetime expected credit losses | (53) |  |  | 53 |  |  | — |  |  | — |
Transfer to 12-month expected credit losses | 87 |  |  | (87) |  |  | — |  |  | — |
Net effect of changes in reserve for expected credit losses | (96) |  |  | 42 |  |  | — |  |  | (54) |
Financial instruments that have been derecognized during the year | (1,793) |  |  | (155) |  |  | — |  |  | (1,948) |
New instruments originated or purchased | 2,901 |  |  | — |  |  | — |  |  | 2,901 |
Allowance for expected credit losses as of December 31, 2021 | 3,472 |  |  | 331 |  |  | — |  |  | 3,803 |
| 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 |
Securities at amortized cost
| Stage 1 |  | Stage 2 |  | Stage 3 |  | Total
Allowance for expected credit losses as of December 31, 2020 | 462 |  |  | 33 |  |  | — |  |  | 495 |
Net effect of changes in allowance for expected credit losses | (20) |  |  | — |  |  | — |  |  | (20) |
Financial instruments that have been derecognized during the year | (160) |  |  | (33) |  |  | — |  |  | (193) |
New instruments originated or purchased | 1,508 |  |  | — |  |  | — |  |  | 1,508 |
Allowance for expected credit losses as of December 31, 2021 | 1,790 |  |  | — |  |  | — |  |  | 1,790 |
A. Credit risk (continued)
| 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 instruments originated or purchased | 430 |  |  | — |  |  | — |  |  | 430 |
Allowance for expected credit losses as of December 31, 2020 | 462 |  |  | 33 |  |  | — |  |  | 495 |
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, 2020 | 43 |  |  | — |  |  | — |  |  | 43 |
Financial instruments that have been derecognized during the year | (17) |  |  | — |  |  | — |  |  | (17) |
Allowance for expected credit losses as of December 31, 2021 | 26 |  |  | — |  |  | — |  |  | 26 |
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 | — |  |  | — |  |  | — |  |  | — |
New instruments originated or purchased | 43 |  |  | — |  |  | — |  |  | 43 |
Allowance for expected credit losses as of December 31, 2020 | 43 |  |  | — |  |  | — |  |  | 43 |
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. A. Credit risk (continued)
|  |  |  |  |  | Securities |  |
December 31, 2021 |  | Loans at amortized cost |  | Loan commitments and financial guarantee contracts |  | At amortized cost |  | FVOCI |  | Total
Net effect of changes in allowance for expected credit losses |  | (2,477) |  |  | (54) |  |  | (20) |  |  | — |  |  | (2,551) |
Financial instruments that have been derecognized during the year |  | (14,715) |  |  | (1,948) |  |  | (193) |  |  | (17) |  |  | (16,873) |
New financial assets originated or purchased |  | 17,343 |  |  | 2,901 |  |  | 1,508 |  |  | — |  |  | 21,752 |
Total |  | 151 |  |  | 899 |  |  | 1,295 |  |  | (17) |  |  | 2,328 |
|  |  |  |  |  | Securities |  |
December 31, 2020 |  | Loans at amortized cost |  | Loan commitments and financial 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 |  |
December 31, 2019 |  | Loans at amortized cost |  | Loan commitments and financial 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 |
A. Credit risk (continued) 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 carrying amount of allowance for credit losses for credit-impaired loans
| December 31, 2021 |  | December 31, 2020
Credit-impaired loans and advances at beginning of year | 4,588 |  |  | 54,573 |
Classified as credit-impaired during the year | — |  |  | 2,100 |
Change in allowance for expected credit losses | 191 |  |  | (744) |
Recoveries of amounts previously written off | 160 |  |  | 139 |
Interest income | 247 |  |  | 626 |
Write-offs | — |  |  | (52,106) |
Credit-impaired loans and advances at end of year | 5,186 |  |  | 4,588 |
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 country. An analysis of concentrations of credit risk from loans, loan commitments, financial guarantees and investment securities is as follows. A. Credit risk (continued) Concentration by sector and industry
|  |  |  |  |  |  |  |  | Securities
| Loans at amortized cost |  | Loan commitments and financial guarantee contracts |  | At amortized cost |  | FVOCI
| December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020
Carrying amount - principal | 5,734,605 |  |  | 4,911,397 |  |  | 201,515 |  |  | 74,366 |  |  | 631,123 |  |  | 164,074 |  |  | 193,488 |  |  | 231,348 |
Amount committed/guaranteed | — |  |  | — |  |  | 603,759 |  |  | 564,898 |  |  | — |  |  | — |  |  | — |  |  | — |
Concentration by sector |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporations: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private | 1,934,056 |  |  | 1,425,929 |  |  | 336,181 |  |  | 276,249 |  |  | 362,085 |  |  | 56,979 |  |  | 59,096 |  |  | 60,403 |
State-owned | 1,085,211 |  |  | 741,791 |  |  | 47,144 |  |  | 92,299 |  |  | 43,266 |  |  | 29,985 |  |  | — |  |  | 23,858 |
Financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private | 2,123,881 |  |  | 2,231,742 |  |  | 140,289 |  |  | 65,434 |  |  | 127,690 |  |  | 33,715 |  |  | — |  |  | — |
State-owned | 567,847 |  |  | 476,520 |  |  | 281,660 |  |  | 205,282 |  |  | 46,496 |  |  | 28,276 |  |  | 134,392 |  |  | 141,974 |
Sovereign | 23,610 |  |  | 35,415 |  |  | — |  |  | — |  |  | 51,586 |  |  | 15,119 |  |  | — |  |  | 5,113 |
Total | 5,734,605 |  |  | 4,911,397 |  |  | 805,274 |  |  | 639,264 |  |  | 631,123 |  |  | 164,074 |  |  | 193,488 |  |  | 231,348 |
Concentration by industry |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial institutions | 2,691,728 |  |  | 2,708,262 |  |  | 421,949 |  |  | 270,716 |  |  | 174,186 |  |  | 61,991 |  |  | 134,392 |  |  | 141,974 |
Manufacturing | 1,122,325 |  |  | 760,985 |  |  | 193,169 |  |  | 173,493 |  |  | 180,088 |  |  | 66,053 |  |  | 44,586 |  |  | 45,654 |
Oil and petroleum derived products | 1,091,264 |  |  | 586,030 |  |  | 62,208 |  |  | 98,189 |  |  | 74,954 |  |  | 20,911 |  |  | 14,510 |  |  | 38,607 |
Agricultural | 267,382 |  |  | 336,715 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Services | 220,942 |  |  | 264,597 |  |  | 55,612 |  |  | 63,086 |  |  | 66,609 |  |  | — |  |  | — |  |  | — |
Mining | 95,364 |  |  | 94,955 |  |  | — |  |  | — |  |  | 9,912 |  |  | — |  |  | — |  |  | — |
Sovereign | 23,610 |  |  | 35,415 |  |  | — |  |  | — |  |  | 51,586 |  |  | 15,119 |  |  | 0 |  |  | 5,113 |
Other | 221,990 |  |  | 124,438 |  |  | 72,336 |  |  | 33,780 |  |  | 73,788 |  |  | — |  |  | — |  |  | — |
Total | 5,734,605 |  |  | 4,911,397 |  |  | 805,274 |  |  | 639,264 |  |  | 631,123 |  |  | 164,074 |  |  | 193,488 |  |  | 231,348 |
A. Credit risk (continued) Risk rating and concentration by country.
|  |  |  |  |  |  |  |  | Securities
| Loans at amortized cost |  | Loan commitments and financial guarantee contracts |  | At amortized cost |  | FVOCI
| December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020 |  | December 31, 2021 |  | December 31, 2020
Carrying amount - principal | 5,734,605 |  |  | 4,911,397 |  |  | 201,515 |  |  | 74,366 |  |  | 631,123 |  |  | 164,074 |  |  | 193,488 |  |  | 231,348 |
Amount committed/guaranteed | — |  |  | — |  |  | 603,759 |  |  | 564,898 |  |  | — |  |  | — |  |  | — |  |  | — |
Rating |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
1-4 | 3,016,938 |  |  | 2,582,794 |  |  | 312,016 |  |  | 247,425 |  |  | 453,627 |  |  | 108,505 |  |  | 193,488 |  |  | 231,348 |
5-6 | 2,524,147 |  |  | 2,096,138 |  |  | 201,296 |  |  | 237,807 |  |  | 177,496 |  |  | 55,569 |  |  | — |  |  | — |
7-8 | 193,520 |  |  | 232,465 |  |  | 291,962 |  |  | 154,032 |  |  | — |  |  | — |  |  | — |  |  | — |
Total | 5,734,605 |  |  | 4,911,397 |  |  | 805,274 |  |  | 639,264 |  |  | 631,123 |  |  | 164,074 |  |  | 193,488 |  |  | 231,348 |
Concentration by country |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Argentina | 74,252 |  |  | 130,944 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Australia | — |  |  | — |  |  | — |  |  | — |  |  | 9,900 |  |  | — |  |  | — |  |  | — |
Belgium | 17,374 |  |  | 9,807 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Bolivia | 3,000 |  |  | 12,000 |  |  | 2,983 |  |  | 2,800 |  |  | — |  |  | — |  |  | — |  |  | — |
Brazil | 1,101,999 |  |  | 971,652 |  |  | — |  |  | 50,000 |  |  | 99,082 |  |  | 41,128 |  |  | — |  |  | — |
Canada | — |  |  | — |  |  | — |  |  | — |  |  | 13,786 |  |  | — |  |  | — |  |  | — |
Chile | 625,119 |  |  | 533,945 |  |  | 41,932 |  |  | 7,911 |  |  | 105,730 |  |  | 11,992 |  |  | — |  |  | 28,972 |
Colombia | 795,467 |  |  | 714,258 |  |  | 50,630 |  |  | 50,333 |  |  | 38,038 |  |  | 29,998 |  |  | — |  |  | — |
Costa Rica | 180,480 |  |  | 146,200 |  |  | 89,442 |  |  | 56,876 |  |  | 1,984 |  |  | — |  |  | — |  |  | — |
Dominican Republic | 275,423 |  |  | 202,433 |  |  | 16,499 |  |  | 16,500 |  |  | 4,947 |  |  | — |  |  | — |  |  | — |
Ecuador | 37,446 |  |  | 45,511 |  |  | 281,075 |  |  | 165,275 |  |  | — |  |  | — |  |  | — |  |  | — |
El Salvador | 73,500 |  |  | 40,000 |  |  | 6,867 |  |  | 1,087 |  |  | — |  |  | — |  |  | — |  |  | — |
France | 179,491 |  |  | 150,810 |  |  | 62,172 |  |  | 84,862 |  |  | — |  |  | — |  |  | — |  |  | — |
Germany | — |  |  | — |  |  | 7,000 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Guatemala | 431,543 |  |  | 281,485 |  |  | 58,145 |  |  | 43,845 |  |  | 3,051 |  |  | — |  |  | — |  |  | — |
Honduras | 32,192 |  |  | 10,199 |  |  | 18,286 |  |  | 345 |  |  | — |  |  | — |  |  | — |  |  | — |
Hong Kong | 17,600 |  |  | 1,800 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Israel | — |  |  | — |  |  | — |  |  | — |  |  | 4,968 |  |  | — |  |  | — |  |  | — |
Jamaica | 5,215 |  |  | 23,274 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Luxembourg | 117,700 |  |  | 50,000 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Mexico | 726,922 |  |  | 607,099 |  |  | 4,000 |  |  | 4,995 |  |  | 55,620 |  |  | 43,910 |  |  | — |  |  | — |
Panama | 203,115 |  |  | 241,097 |  |  | 66,973 |  |  | 61,435 |  |  | 22,807 |  |  | 10,399 |  |  | — |  |  | — |
Paraguay | 98,112 |  |  | 100,816 |  |  | 9,430 |  |  | 11,800 |  |  | — |  |  | — |  |  | — |  |  | — |
Peru | 343,485 |  |  | 272,752 |  |  | 65,091 |  |  | 47,245 |  |  | 64,134 |  |  | 26,647 |  |  | — |  |  | — |
Singapore | 58,117 |  |  | 75,095 |  |  | 10,750 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Switzerland | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Trinidad and Tobago | 140,537 |  |  | 165,995 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
United States of America | 19,000 |  |  | 113,816 |  |  | — |  |  | — |  |  | 207,076 |  |  | — |  |  | 88,170 |  |  | 89,794 |
United Kingdom | 42,700 |  |  | 10,409 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Uruguay | 134,816 |  |  | — |  |  | 13,999 |  |  | 33,955 |  |  | — |  |  | — |  |  | — |  |  | — |
Multilateral | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 105,318 |  |  | 112,582 |
Total | 5,734,605 |  |  | 4,911,397 |  |  | 805,274 |  |  | 639,264 |  |  | 631,123 |  |  | 164,074 |  |  | 193,488 |  |  | 231,348 |
A. Credit risk (continued) 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, 2021
|  |  |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of assets presented in the consolidated statement of financial position |  | Gross amounts not offset in the consolidated statement of financial position |  |
Description |  | Gross amounts of assets |  |  |  | Financial instruments |  | Cash collateral received |  | Net Amount
Derivative financial instruments used for hedging |  | 10,805 |  |  | — |  |  | 10,805 |  |  | — |  |  | (5,030) |  |  | 5,775 |
Total |  | 10,805 |  |  | — |  |  | 10,805 |  |  | — |  |  | (5,030) |  |  | 5,775 |
December 31, 2020
|  |  |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of assets presented in the consolidated statement of financial position |  | Gross amounts not offset in the consolidated statement of financial position |  |
Description |  | Gross amounts of assets |  |  |  | Financial instruments |  | Cash collateral 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 |
A. Credit risk (continued) b)Securities sold under repurchase agreements and derivative financial instruments – liabilities
December 31, 2021
|  |  |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of assets presented in the consolidated statement of financial position |  | Gross amounts not offset in the consolidated statement of financial position |  |
Description |  | Gross amounts of assets |  |  |  | Financial instruments |  | Cash collateral received |  | Net Amount
Securities sold under repurchase agreements |  | (427,497) |  |  | — |  |  | (427,497) |  |  | 498,274 |  |  | 3,110 |  |  | 73,887 |
Derivative financial instruments used for hedging |  | (28,455) |  |  | — |  |  | (28,455) |  |  | — |  |  | 28,942 |  |  | 487 |
Total |  | (455,952) |  |  | — |  |  | (455,952) |  |  | 498,274 |  |  | 32,052 |  |  | 74,374 |
December 31, 2020
|  |  |  | Gross amounts offset in the consolidated statement of financial position |  | Net amount of assets presented in the consolidated statement of financial position |  | Gross amounts not offset in the consolidated statement of financial position |  |
Description |  | Gross amounts of assets |  |  |  | Financial instruments |  | Cash collateral received |  | Net 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) |
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. B.Liquidity risk (continued) i.Exposure to liquidity risk (continued) The following table details the Bank’s liquidity ratios, described in the previous paragraph, as of December 31, 2021 and 2020, respectively:
| December 31, 2021 |  | December 31, 2020
At the end of the year | 199.19 | % |  | 249.42 | %
Year average | 122.80 | % |  | 115.98 | %
Maximum of the year | 306.82 | % |  | 249.42 | %
Minimun of the year | 66.43 | % |  | 53.26 | %
The following table includes the Bank’s liquid assets by country risk:
| December 31, 2021 |  | December 31, 2020
(in millions of USD dollars) | Cash and due from banks |  | Securities FVOCI |  | Total |  | Cash and due from banks |  | Securities FVOCI |  | Total
United State of America | 1,203 |  |  | 89 |  |  | 1,292 |  |  | 690 |  |  | 90 |  |  | 780 |
Other O.E.C.D countries | — |  |  | — |  |  | — |  |  | 100 |  |  | — |  |  | 100 |
Latin America | 8 |  |  | — |  |  | 8 |  |  | 6 |  |  | — |  |  | 6 |
Other countries | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Multilateral | — |  |  | 105 |  |  | 105 |  |  | 50 |  |  | 112 |  |  | 162 |
Total | 1,211 |  |  | 194 |  |  | 1,405 |  |  | 846 |  |  | 202 |  |  | 1,048 |
The following table includes the Bank’s demand deposits from customers and its ratio to total deposits from customers:
| December 31, 2021 |  | December 31, 2020
(in millions of USD dollars) |  |  |
Demand and "overnight" deposits | 362 |  |  | 171 |
Demand and "overnight" deposits to total deposits | 11.92 | % |  | 5.44 | %
The liquidity requirements resulting from the Bank’s demand deposits from customers is satisfied by the Bank’s liquid assets as follows:
(in millions of USD dollars) | December 31, 2021 |  | December 31, 2020
Total liquid assets | 1,404 |  |  | 1,048 |
Total assets to total liabilities | 46.26 | % |  | 33.40 | %
Total liquid assets in the Federal Reserve of the United States of America | 85.52 | % |  | 65.68 | %
B. Liquidity risk (continued) i.Exposure to liquidity risk (continued) 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, 2021 |  | December 31, 2020
Loan portfolio at amortized cost and investment portfolio less than/equal to 1 year according to its original terms | 3,426 |  |  | 3,114 |
Average term (days) | 191 |  | 195
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, 2021 |  | December 31, 2020
Loan portfolio at amortized cost and investment portfolio greater than/equal to 1 year according to its original terms | 3,134 |  |  | 2,193 |
Average term (days) | 1365 |  | 1382
B. Liquidity risk (continued) ii. Maturity analysis for financial liabilities and financial assets The following table details the future undiscounted cash flows of financial assets and liabilities grouped by their remaining maturity with respect to the contractual maturity:
|  | December 31, 2021
Description |  | Up to 3 months |  | 3 to 6 months |  | 6 months to 1 year |  | 1 to 5 years |  | More than 5 Years |  | Gross inflows (outflows) |  | Carrying amount
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 1,253,052 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 1,253,052 |  |  | 1,253,052 |
Securities and other financial assets, net |  | 36,984 |  |  | 44,743 |  |  | 179,219 |  |  | 599,397 |  |  | — |  |  | 860,343 |  |  | 831,913 |
Loans, net |  | 1,936,018 |  |  | 1,040,765 |  |  | 1,349,286 |  |  | 1,568,311 |  |  | 151,529 |  |  | 6,045,909 |  |  | 5,713,022 |
Derivative financial instruments - assets |  | 2,791 |  |  | 3,592 |  |  | — |  |  | 4,422 |  |  | — |  |  | 10,805 |  |  | 10,805 |
Total |  | 3,228,845 |  |  | 1,089,100 |  |  | 1,528,505 |  |  | 2,172,130 |  |  | 151,529 |  |  | 8,170,109 |  |  | 7,808,792 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  | (2,641,995) |  |  | (310,326) |  |  | (79,034) |  |  | (8,090) |  |  | — |  |  | (3,039,445) |  |  | (3,037,457) |
Securities sold under repurchase agreements |  | (333,031) |  |  | (60,218) |  |  | — |  |  | (35,515) |  |  | — |  |  | (428,764) |  |  | (427,497) |
Borrowings and debt, net |  | (583,283) |  |  | (726,715) |  |  | (802,911) |  |  | (1,348,323) |  |  | (16,536) |  |  | (3,477,768) |  |  | (3,333,233) |
Derivative financial instruments - liabilities |  | — |  |  | (4,821) |  |  | (7,773) |  |  | (15,145) |  |  | (716) |  |  | (28,455) |  |  | (28,455) |
Total |  | (3,558,309) |  |  | (1,102,080) |  |  | (889,718) |  |  | (1,407,073) |  |  | (17,252) |  |  | (6,974,432) |  |  | (6,826,642) |
Contingencies |  |  |  |  |  |  |  |  |  |  |  |  |  |
Confirmed lettes of credit |  | 149,672 |  |  | 62,123 |  |  | 2,435 |  |  | — |  |  | — |  |  | 214,230 |  |  | 214,230 |
Stand-by letters of credit and guarantees |  | 75,245 |  |  | 118,287 |  |  | 54,375 |  |  | 20,289 |  |  | — |  |  | 268,196 |  |  | 268,196 |
Credit commitments |  | 35,000 |  |  | — |  |  | 45,000 |  |  | 41,333 |  |  | — |  |  | 121,333 |  |  | 121,333 |
Total |  | 259,917 |  |  | 180,410 |  |  | 101,810 |  |  | 61,622 |  |  | — |  |  | 603,759 |  |  | 603,759 |
Net position |  | (589,381) |  |  | (193,390) |  |  | 536,977 |  |  | 703,435 |  |  | 134,277 |  |  | 591,918 |  |  | 378,391 |
B. Liquidity risk (continued) ii. Maturity analysis for financial liabilities and financial assets (continued)
|  | December 31, 2020
Description |  | Up to 3 months |  | 3 to 6 months |  | 6 months to 1 year |  | 1 to 5 years |  | More than 5 Years |  | Gross inflows (outflows) |  | Carrying 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 lettes 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 |
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 assets and financial liabilities |  | 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. B. Liquidity risk (continued) iii. Liquidity reserves (continued) The following table sets out the components of the Banks’s liquidity reserves:
| December 31, 2021 |  | December 31, 2020
| Amount |  | Fair Value |  | Amount |  | Fair Value
Balances with Federal Reserve of the United States of America | 1,201,101 |  |  | 1,201,101 |  |  | 688,612 |  |  | 688,612 |
Cash and balances with other bank (1) | 9,900 |  |  | 9,900 |  |  | 157,396 |  |  | 157,396 |
Total Liquidity reserves | 1,211,001 |  |  | 1,211,001 |  |  | 846,008 |  |  | 846,008 |
(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, 2021
| Guaranteed |  | Available as collateral
Cash and due from banks | 42,051 |  |  | 1,211,001 |
Notional of investment securities | 447,588 |  |  | 343,319 |
Loans at amortized cost | — |  |  | 5,734,605 |
Total assets | 489,639 |  |  | 7,288,925 |
| 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 |
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. C. Market risk (continued) 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, 2021
Description |  | Up to 3 months |  | 3 to 6 months |  | 6 months to 1 year |  | 1 to 5 years |  | More than 5 years |  | Non interest rate risk |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 1,249,545 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,507 |  |  | 1,253,052 |
Securities and other financial assets |  | 26,693 |  |  | 28,906 |  |  | 121,834 |  |  | 647,178 |  |  | — |  |  | — |  |  | 824,611 |
Loans |  | 2,510,544 |  |  | 1,593,471 |  |  | 1,378,589 |  |  | 246,721 |  |  | 10,593 |  |  | — |  |  | 5,739,918 |
Total assets |  | 3,786,782 |  |  | 1,622,377 |  |  | 1,500,423 |  |  | 893,899 |  |  | 10,593 |  |  | 3,507 |  |  | 7,817,581 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Demand deposits and time deposits |  | (2,634,776) |  |  | (309,601) |  |  | (78,439) |  |  | (8,000) |  |  | — |  |  | (5,412) |  |  | (3,036,228) |
Securities sold under repurchase agreements |  | (332,417) |  |  | (60,052) |  |  | — |  |  | (35,028) |  |  | — |  |  | — |  |  | (427,497) |
Borrowings and debt |  | (1,265,779) |  |  | (653,454) |  |  | (452,621) |  |  | (933,671) |  |  | (16,386) |  |  | — |  |  | (3,321,911) |
Total liabilities |  | (4,232,972) |  |  | (1,023,107) |  |  | (531,060) |  |  | (976,699) |  |  | (16,386) |  |  | (5,412) |  |  | (6,785,636) |
Net effect of derivative financial instruments held for interest risk management |  | 2,791 |  |  | (1,230) |  |  | (7,773) |  |  | (10,722) |  |  | (716) |  |  | — |  |  | (17,650) |
Total interest rate sensitivity |  | (443,399) |  |  | 598,040 |  |  | 961,590 |  |  | (93,522) |  |  | (6,509) |  |  | (1,905) |  |  | 1,014,295 |
C. Market risk (continued) i. Interest rate risk (continued)
|  | December 31, 2020
Description |  | Up to 3 months |  | 3 to 6 months |  | 6 months to 1 year |  | 1 to 5 years |  | More than 5 years |  | Non interest rate risk |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks |  | 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 |
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 interest rate |  | Effect on profit or loss |  | Effect on equity
December 31, 2021 | +50 bps |  | (45) |  |  | 17,232 |
| -50 bps |  | (2,297) |  |  | 10,772 |
December 31, 2020 | +50 bps |  | 1,182 |  |  | 16,618 |
| -50 bps |  | (5,161) |  |  | 107 |
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 C. Market risk (continued) i. Interest rate risk (continued) - Hedging reserve: increases or decreases in fair values of hedging instruments designated in qualifying cash flow hedge relationships. This sensitivity provides an analyses of changes in interest rates, considering last year interest rate volatility. Managing interest rate benchmark reform and any risks arising due to reform Fundamental reform of significant interest rate benchmarks is being undertaken globally, including the replacement of interbank offered rates (IBORs) with alternative nearly risk-free rates. Due to the nature of its business, the Bank’s portfolio is mainly constituted of short-term fixed rate assets and liabilities. However, the Bank has exposures to IBORs (USD LIBOR only) on its financial instruments that will be replaced or reformed. The Bank has established the LIBOR Transition Steering Committee (LTSC), whose purpose is to monitor and manage the transition to alternative rates. The Committee assesses the extent to which contracts reference IBOR cash flows, whether such contracts need to be amended as a result of IBOR Reform and how to manage communication about IBOR Reform with counterparties collaborating with other business functions as needed. The Committee provides Management and the Board of Directors periodic reports of the risks arising from IBOR Reform. The Alternative Reference Rates Committee (ARRC) was established by the US Federal Reserve to ensure the successful transition of the USD LIBOR rate to an alternative interest rate. The ARRC is comprised of private sector entities – which participate in markets affected by USD LIBOR – and other government entities, including financial sector regulators in the United States. In May 2021, the ARRC stipulated that the USD LIBOR rate will continue to be published until June 30, 2023 and set this as the deadline to complete the modification of the contracts that must include the transition language towards the new reference rate, which had initially been set for the end 2021. Management began the process of evaluating its existing contracts at the end of 2020. As of December 31, 2021, the Bank has an inventory of contingent loans and credits that will need to be modified to incorporate the transition language to Secured Overnight Funding Rate (SOFR), following the recommendations of the ARRC and the Loan Syndications and Trading Association (LSTA). As of December 31, 2021, the Bank completed the review and modification of most of the models for the borrowings and debt contracts, incorporating the transition language terms to the new reference rate. The Bank plans to finalize the modification process before the cessation date set out by the ARRC. The main risks to which the Bank is exposed to as a result of IBOR reform are operational. Such operational risks include the renegotiation of loan contracts through bilateral negotiations with customers, updating of contractual terms, updating of systems that use USD LIBOR curves and revision of operational controls related to the Reform. Financial risk is predominantly limited to interest rate risk. a.Non-derivative financial instruments and loan commitments Quantitative Information The Bank has USD LIBOR exposures on floating-rate loans, borrowings and loan commitments. Disaggregated information of such financial instruments that have yet to transition to an alternative benchmark rate as at the end of the reporting period December 31, 2021 is the following. The information presented is the remaining exposure as at each reporting period. C. Market risk (continued) a.Non-derivative financial instruments and loan commitments (continued)
| USD LIBOR as of December 31, 2021 |  | USD LIBOR as of December 31, 2022 |  | USD LIBOR as of June 30, 2023
| (Notional in US $ thousands) |  | (Notional in US $ thousands) |  | (Notional in US $ thousands)
Non-derivative financial assets |  |  |  |  |
Loans | 2,293,004 |  |  | 1,280,743 |  |  | 1,091,080 |
Non-derivative financial liabilities |  |  |  |  |
Borrowings | 392,500 |  |  | 62,500 |  |  | 12,500 |
Loan commitments | 13,333 |  |  | 13,333 |  |  | 13,333 |
The uncertainty about when and how the transition will occur at a new reference rate may affect a hedging relationship – e.g., its effectiveness assessment and highly probable assessment of the hedged item. For these assessments, the Bank assumes that the hedged benchmark interest rate, the cash flows of the hedged item and/or the hedging instrument will not be altered as a result of IBOR Reform. If a hedging relationship impacted by uncertainty about IBOR Reform has not been highly effective during the financial reporting period, the Bank will assess whether the hedge is expected to be highly effective prospectively and whether the effectiveness of the hedging relationship can be reliably measured. The hedging relationship will not be discontinued as long as it meets all hedge accounting criteria, with the exception of the requirement that the hedge be highly effective. Hedging relationships impacted by uncertainty about IBOR Reform may experience ineffectiveness attributable to market participants' expectations of when the shift from the existing IBOR benchmark rate to an alternative benchmark interest rate will occur. This transition may occur at different times for the hedged item and the hedging instrument, which may lead to hedge ineffectiveness. The Bank has measured its hedging instruments indexed to IBORs using available quoted market rates for IBOR-based instruments of the same tenor and similar maturity and has measured the cumulative change in the present value of hedged cash flows attributable to changes in IBOR on a similar basis. The Bank has evaluated the extent to which its fair value and cash flow hedging relationships are subject to uncertainty driven by IBOR Reform as at the reporting date. The Bank's hedged items and hedging instruments continue to be indexed to USD LIBOR benchmark rates. These USD LIBOR benchmark rates are quoted each day and IBOR cash flows are exchanged with its counterparties as usual. The Bank's derivative instruments are guided by ISDA's 2006 definitions. ISDA has reviewed its definitions in light of IBOR Reform and issued an IBOR fallbacks supplement on October 23, 2020. This supplement creates fallback provisions in derivative instruments that describe which floating rates will apply upon the permanent discontinuation of certain key IBOR rates. In mid-2021, the Bank joined the ISDA protocol containing the transitional fallback supplement. With the adherence of the Bank and its counterparties to this protocol, the Bank automatically incorporated SOFR language into its derivative financial instruments for risk management and hedge accounting purposes. The Bank maintains a limited exposure to USD LIBOR risk on derivative financial instruments used for risk management purposes whose maturity exceeds the waiver date approved by the ARRC extending the publication of the USD LIBOR benchmark rate until June 30, 2023. C. Market risk (continued) b.Derivative financial instruments used for risk management and hedge accounting purposes As of December 31, 2021, the Bank's exposure is limited to US68.8 million notional amount on one cross-currency rate swap contract hedging the fair value of a fixed rate Euro issuance made under the Euro Medium Term Notes (EMTN) program. Given that the hedged item is not benchmarked to USD LIBOR and that the Bank and its counterparties adhered to the ISDA protocol, the Bank does not consider that there is any impact from the IBOR Reform that could affect this hedging position. Quantitative Information Disaggregated information by derivative financial instruments based on floating USD LIBOR rate, that have yet to transition to an alternative benchmark rate as at the end of the reporting period December 31, 2021 is the following. The information presented is the remaining notional amount as at each reporting period.
| USD LIBOR as at December 31, 2021 |  | USD LIBOR as at December 31, 2022 |  | USD LIBOR as at June 30, 2023
| (Notional US$,000) |  | (Notional US$,000) |  | (Notional US$,000 )
Derivatives held for risk management |  |  |  |  |
Derivative financial instruments - assets | 3,006 |  |  | 1,937 |  |  | — |
Derivative financial instruments - liabilities | 400,414 |  |  | 88,768 |  |  | 68,768 |
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, 2021
| Brazilian Real |  | European Euro |  | Japanese Yen |  | Colombian Peso |  | Mexican Peso |  | Other Currencies (1) |  | Total
Exchance rate | 5.57 |  |  | 1.14 |  |  | 115.15 |  |  | 4,072.94 |  |  | 20.46 |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and due from banks | — |  |  | 7 |  |  | 1 |  |  | 21 |  |  | 1,531 |  |  | 34 |  |  | 1,594 |
Loans | — |  |  | — |  |  | — |  |  | — |  |  | 222,747 |  |  | — |  |  | 222,747 |
Total Assets | — |  |  | 7 |  |  | 1 |  |  | 21 |  |  | 224,278 |  |  | 34 |  |  | 224,341 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowings and debt | — |  |  | — |  |  | — |  |  | — |  |  | (224,384) |  |  | — |  |  | (224,384) |
Total liabilities | — |  |  | — |  |  | — |  |  | — |  |  | (224,384) |  |  | — |  |  | (224,384) |
Net currency position | — |  |  | 7 |  |  | 1 |  |  | 21 |  |  | (106) |  |  | 34 |  |  | (43) |
(1)It includes other currencies such as: Argentine pesos, Australian dollar, Swiss franc, Sterling pound, Peruvian soles, and Chinese renminbi. C. Market risk (continued) iii. Foreign exchange risk (continued)
| December 31, 2020
| Brazilian Real |  | European Euro |  | Japanese Yen |  | Colombian Peso |  | Mexican Peso |  | Other 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.

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