Financial Instruments Risks (Tables)

12 Months Ended

Dec. 31, 2019

Disclosure of nature and extent of risks arising from financial instruments [abstract]

Summary of Credit Risk Exposure of Loans and Advances

The Group’s credit risk exposure of loans and advances under IFRS 9 with stage allocation by asset classification as of December 31, 2019 is provided below:

Credit risk exposure	December 31, 2019		Stage 1		Stage 2		Stage 3
Financial assets at amortized cost		208,136,419		180,258,699		20,095,905		7,781,815
Wholesale		89,424,896		77,935,136		6,931,687		4,558,073
- Business		46,694,798		38,163,038		4,645,863		3,885,897
- CIB		40,226,136		38,286,185		1,340,985		598,966
- Institutional and international		573,958		314,300		259,307		351
- SME		1,930,004		1,171,613		685,532		72,859
Retail		118,711,523		102,323,563		13,164,218		3,223,742
- Advances		465,760		289,925		109,759		66,076
- Credit Cards		68,713,781		59,890,267		7,202,845		1,620,669
- Personal Loans		24,378,544		18,035,567		4,982,391		1,360,586
- Pledge Loans		9,612,796		9,274,034		192,066		146,696
- Mortgages		15,374,658		14,672,320		675,023		27,315
- Receivables from financial leases		165,005		160,728		2,063		2,214
- Others		979		722		71		186
Financial assets at fair value through other comprehensive income		45,212,713		29,146,833		16,065,880		—
- Debt Securities		45,212,713		29,146,833		16,065,880		—
Total financial assets risk		253,349,132		209,405,532		36,161,785		7,781,815

Credit risk exposure	December 31, 2019		Stage 1		Stage 2		Stage 3
Loan commitments and financial guarantees		49,707,760		44,812,582		4,862,443		32,735
Wholesale		12,394,826		9,647,220		2,743,101		4,505
- Business		9,003,091		7,780,502		1,219,808		2,781
- CIB		1,723,903		757,230		966,450		223
- Institucional e Internacional		1,219,678		784,922		434,756		—
- Pymes		448,154		324,566		122,087		1,501
Retail		37,312,934		35,165,362		2,119,342		28,230
- Advances		3,966,981		3,833,915		131,488		1,578
- Credit Cards		33,066,498		31,079,149		1,960,697		26,652
- Mortgages		247,141		230,335		16,806		—
- Others		32,314		21,963		10,351		—
Total loan commitments and financial guarantees		49,707,760		44,812,582		4,862,443		32,735
Total credit risk exposure		303,056,892		254,218,114		41,024,228		7,814,550

Table of Evolution of Total VaR

VaR (in millions of pesos)

	Year-ended December 31, 2019		Year-ended December 31, 2018
Average		81.60		22.86
Minimum		11.55		4.97
Maximum		273.42		97.37
Closing		43.57		49.36

VaR per risk factors – (in millions of pesos)

VaR interest rate	Year-ended December 31, 2019		Year-ended December 31, 2018
Average		71.97		19.00
Minimum		8.26		3.13
Maximum		234.32		93.76
Closing		43.99		49.90

VaR foreign exchange rate	Year-ended December 31, 2019		Year-ended December 31, 2018
Average		25.85		9.64
Minimum		0.85		0.28
Maximum		155.02		37.98
Closing		3.92		2.65

Table of Forward Transactions and Foreign Currency Forwards

	December 31, 2019		December 31, 2018
Foreign Currency Forwards
Foreign currency forward sales—US$		620,956		760,615
Foreign currency forward purchases—US$		618,497		620,651
Foreign currency forward sales—Euros		1,804		5,463
Foreign currency forward purchases—Euros		35		—

Table Of Credit Quality Of Assets

The Group’s credit quality analysis of loans and advances with stage allocation by asset classification as of December 31, 2019 and 2018 is provided below. Carrying amounts are broken down by financial instruments and counterparties.

	Gross		Net of allowances
	December 31, 2019		December 31, 2019		Stage 1		Stage 2		Stage 3
Financial assets at amortized cost		208,136,419		196,590,375		176,257,793		18,114,616		2,217,966
Loans and advances to customers		201,454,375		190,041,967		169,934,636		17,889,383		2,217,948
Loans and advances to financial institutions		5,198,021		5,069,933		5,069,933		—		—
Other financial assets		1,466,191		1,460,643		1,235,392		225,233		18
Loans and advances to central banks		17,405		17,405		17,405		—		—
Loans and advances to government sector		427		427		427		—		—
Financial assets at fair value through other comprehensive income		45,212,713		40,309,297		29,088,445		11,220,852		—
Debt securities		45,212,713		40,309,297		29,088,445		11,220,852		—
Total financial assets		253,349,132		236,899,672		205,346,238		29,335,468		2,217,966
Total loan commitments and financial guarantees		49,707,760		48,777,183		44,252,081		4,516,549		8,553
Total credit risk exposure		303,056,892		285,676,855

	Gross		Net of allowances
	December 31, 2018		December 31, 2018		Stage 1		Stage 2		Stage 3
Financial assets at amortized cost		325,210,804		318,689,020		297,513,220		18,400,430		2,775,370
Loans and advances to customers		270,764,079		264,512,229		243,336,429		18,400,430		2,775,370
Other financial assets		19,786,692		19,786,689		19,786,689		—		—
Reverse repurchase agreements		19,784,563		19,566,144		19,566,144		—		—
Loans and advances to financial institutions		14,874,564		14,823,052		14,823,052		—		—
Loans and advances to government sector		317		317		317		—		—
Loans and advances to central banks		589		589		589		—		—
Financial assets at fair value through other comprehensive income		37,787,332		37,787,332		37,787,332		—		—
Debt securities		37,765,909		37,765,909		37,765,909		—		—
Equity instruments		21,423		21,423		21,423		—		—
Total financial assets risk		362,998,136		356,476,352		335,300,552		18,400,430		2,775,370
Total loan commitments and financial guarantees		220,441,622		219,472,627		208,963,783		10,397,237		111,607
Total credit risk exposure		583,439,758		575,948,979

Table of Position in Foreign Currency

	Total as of December 31, 2019		As of December 31, 2019 (per currency)								Total as of December 31, 2018
			US Dollar		Euro		Real		Other
ASSETS
Cash and cash equivalents		87,682,802		84,697,740		2,717,935		4,811		262,316		80,746,913
Financial assets at fair value through profit or loss — Debt securities		166		166		—		—		—		10,719
Reverse repurchase agreements		—		—		—		—		—		19,546,503
Other financial assets		2,542,798		2,534,965		7,833		—		—		2,582,964
Loans and advances		34,300,359		34,033,214		267,145		—		—		93,277,671
Financial assets at fair value through other comprehensive income — Debt securities		7,413,880		7,413,880		—		—		—		5,141,185
Other assets		—		—		—		—		—		339,377
Equity instruments		27,138		27,138		—		—		—		21,077
TOTAL ASSETS		131,967,143		128,707,103		2,992,913		4,811		262,316		201,666,409
LIABILITIES
Deposits		117,231,027		115,106,328		2,124,699		—		—		176,130,348
Trading liabilities		449,618		449,618		—		—		—		53,529
Other financial liabilities		7,687,505		7,347,985		302,162		—		37,358		8,189,043
Bank loans		3,050,563		2,787,387		263,176		—		—		8,307,999
Other liabilities		1,242,338		1,168,254		74,084		—		—		1,456,070
TOTAL LIABILITIES		129,661,051		126,859,572		2,764,121		—		37,358		194,136,989

Table of Sensitivity of the Economic Value SEV

SEV +100 bps

	December 31, 2019			December 31, 2018
Closing		0.32	%		1.43	%
Minimum		0.04	%		1.01	%
Maximum		1.64	%		2.05	%
Average		0.77	%		1.61	%

Table of Sensitivity of the Financial Margin SFM

SFM -100 bps

	December 31, 2019			December 31, 2018
Closing		0.82	%		2.14	%
Minimum		0.58	%		1.98	%
Maximum		2.20	%		2.73	%
Average		1.48	%		2.26	%

Table of the Progress of LCR Ratios

	December 31, 2019			December 31, 2018
LCR		413	%		91	%

Table of Concentration of Deposits

	December 31, 2019					December 31, 2018
Number of customers	Debt balance		% over total portfolio			Debt balance		% over total portfolio
10 largest customers		10,875,308		3.70	%		23,525,681		5.89	%
50 following largest customers		17,030,642		5.79	%		23,926,818		5.99	%
100 following largest customers		13,414,450		4.56	%		16,221,565		4.06	%
Rest of customers		252,667,647		85.95	%		335,534,953		84.06	%
TOTAL		293,988,047		100.00	%		399,209,017		100.00	%

Table of Breakdown by Contractual Maturity of Financial Liabilities

The following chart show the breakdown by maturity of loans and advances, other financing and financial liabilities considering the total amounts to their due date, as of December 31, 2019 and 2018:

	Assets				Liabilities (*)
	December 31, 2019		December 31, 2018		December 31, 2019		December 31, 2018
Up to 1 month		99,748,118		116,535,072		305,122,145		410,555,522
From more than 1 month to 3 month		26,654,927		40,166,007		24,232,243		35,150,020
From more than 3 month to 6 month		14,580,725		40,614,599		8,684,764		13,601,856
From more than 6 month to 12 month		19,415,772		25,896,503		5,740,511		5,120,730
From more than 12 month to 24 month		27,857,740		33,588,065		1,172,095		2,783,466
More than 24 months		41,914,222		64,047,294		3,696,017		58,130
TOTAL		230,171,504		320,847,540		348,647,775		467,269,724

Table of Financial Assets and Liabilities Expected to be Collected or Paid Twelve Months After the End of the Reporting Period

	December 31, 2019		December 31, 2018
Financial assets
Loans and advances		69,771,962		70,684,866
Debt securities		175,629		11,203,612
Reverse repurchase agreements		—		14,541,517
Total		69,947,591		96,429,995
Financial liabilities
Other financial liabilities		4,144,530		1,313,978
Bank loans		492,673		259,934
Debt securities issued		136,306		781,130
Deposits		94,603		60,599
Total		4,868,112		2,415,641

Summary of Credit Quality Analysis of Loans and Advances

The Group’s credit quality analysis of loans and advances under IFRS 9 with risk allocation as of December 31, 2019 is provided below:

Credit quality analysis	December 31, 2019
Retail
- Low Risk		109,688,718
- Medium Risk		39,920,311
- High Risk		2,781,678
- Non Performing		3,249,997
Total retail		155,640,704
Wholesale
- Low Risk		61,046,614
- Medium Risk		25,734,387
- High Risk		10,857,921
- Non Performing		4,564,552
Total wholesale		102,203,474
Debt Securities
- Debt Securities ( <> other than corp bonds) B+		29,076,683
- Debt Securities (National government bonds) CCC		16,067,315
- Debt Securities ( = corporate bonds) B+		68,716
Total debt securities		45,212,714
Total credit risk exposure		303,056,892

Summary of Guarantees and Loan Commitments

Additionally, the Bank has issued financial guarantees and loan commitments which may require outflows on demand.

	December 31, 2019		December 31, 2018
Financial guarantees and loan commitments		171,822,963		220,023,853