BANCOLOMBIA SA | CIK:0001071371 | 3

  • Filed: 4/30/2018
  • Entity registrant name: BANCOLOMBIA SA (CIK: 0001071371)
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    • ifrs-full:DisclosureOfFinancialInstrumentsExplanatory

    NOTE 5. FINANCIAL ASSETS INVESTMENTS AND DERIVATIVES
     
    5.1 Financial assets investments
     
    The Bank’s securities portfolios at fair value and at amortized cost are listed below, as of December 31, 2017 and 2016:
     
    The detail of the carrying value of the debt securities is as follows:
     
    As of December 31, 2017
     
    Debt securities
    Measurement methodology
    Total carrying
    value
    Fair value through
    profit or loss
    Amortized cost
    In millions of COP
    Securities issued by the Colombian Government
    7,003,147
    12,965
    7,016,112
    Securities issued by Foreign Governments
    2,471,994
    1,050,855
    3,522,849
    Securities issued by Government entities
    36,038
    1,926,554
    1,962,592
    Securities issued by other financial institutions
    1,052,776
    225,431
    1,278,207
    Corporate Bonds (1)
    137,900
    941,763
    1,079,663
    Total debt securities
    10,701,855
    4,157,568
    14,859,423
    Total equity securities
     
     
    1,517,830
    Total financial assets invesments
     
     
    16,377,253
     
    (1)
    Debt securities classified as Corporate Bonds, increased by 104.75% between December 31, 2017 and 2016 due to the purchase of Alternegy S.A. bonds by Banistmo on December 21 of 2017, which have a carrying value of COP 446,047. Banistmo acted as joint arranger with Banco General and underwriters of the bonds issued by Alternergy for an amount of up to US$320 million.
     
    As of December 31, 2016
     
    Debt securities
    Measurement methodology
    Total carrying
    value
    Fair value through
    profit or loss
    Amortized cost
    In millions of COP
    Securities issued by the Colombian Government
    4,904,152
    -
    4,904,152
    Securities issued by Foreign Governments
    2,429,192
    984,675
    3,413,867
    Securities issued by Government entities
    11,904
    1,532,784
    1,544,688
    Securities issued by other financial institutions
    1,080,368
    201,523
    1,281,891
    Corporate Bonds
    111,946
    415,937
    527,883
    Total debt securities
    8,537,562
    3,134,919
    11,672,481
    Total equity securities
     
     
    1,388,172
    Total financial assets invesments
     
     
    13,060,653
     
    The following tables set forth the debt securities portfolio by maturity:
     
    As of December 31, 2017
     
     
    Less than 1
    year
    Between 1
    and 3
    years
    Between 3
    and 5
    years
    Greater
    than 5
    years
    Total
    In millions of COP
    Securities at fair value through profit or loss
    Securities issued by the Colombian Government
    2,163,682
    3,299,116
    1,164,689
    375,660
    7,003,147
    Securities issued by Foreign Governments
    962,640
    408,586
    736,105
    364,663
    2,471,994
    Securities issued by Government entities
    11,134
    14,825
    6,946
    3,133
    36,038
    Securities issued by other financial institutions
    157,434
    250,395
    143,353
    501,594
    1,052,776
    Corporate bonds
    35,255
    16,027
    21,419
    65,199
    137,900
    Subtotal
    3,330,145
    3,988,949
    2,072,512
    1,310,249
    10,701,855
    Securities at amortized cost
    Securities issued by  the Colombia Government
    -
    12,965
    -
    -
    12,965
    Securities issued by Foreign Governments
    241,944
    184,454
    415,229
    209,228
    1,050,855
    Securities issued by Government entities
    1,909,363
    17,191
    -
    -
    1,926,554
    Securities issued by other financial institutions
    117,075
    68,166
    40,190
    -
    225,431
    Corporate bonds
    26,668
    15,945
    148,684
    750,466
    941,763
    Subtotal
    2,295,050
    298,721
    604,103
    959,694
    4,157,568
    Total debt securities
    5,625,195
    4,287,670
    2,676,615
    2,269,943
    14,859,423
     
    As of December 31, 2016
     
     
    Less than 1
    year
    Between 1
    and 3
    years
    Between 3
    and 5
    years
    Greater
    than 5
    years
    Total
    In millions of COP
    Securities at fair value through profit or loss
    Securities issued by the Colombian Government
    1,719,326
    1,883,790
    981,208
    319,828
    4,904,152
    Securities issued by Foreign Governments
    925,499
    532,628
    192,947
    778,118
    2,429,192
    Securities issued by Government entities
    77
    2,704
    5,193
    3,930
    11,904
    Securities issued by other financial institutions
    172,571
    135,157
    87,153
    685,487
    1,080,368
    Corporate bonds
    15,818
    8,069
    15,968
    72,091
    111,946
    Subtotal
    2,833,291
    2,562,348
    1,282,469
    1,859,454
    8,537,562
    Securities at amortized cost
    Securities issued by Foreign Governments
    103,889
    105,032
    507,817
    267,937
    984,675
    Securities issued by Government entities
    1,523,571
    9,213
    -
    -
    1,532,784
    Securities issued by other financial institutions
    57,623
    113,150
    -
    30,750
    201,523
    Corporate bonds
    -
    70,464
    -
    345,473
    415,937
    Subtotal
    1,685,083
    297,859
    507,817
    644,160
    3,134,919
    Total debt securities
    4,518,374
    2,860,207
    1,790,286
    2,503,614
    11,672,481
     
     
     
     
     
    For further information related to disclosures of the fair value of securities, please see Note 29 Fair value of assets and liabilities.
     
    The following table shows the fair value of equity securities:
     
    Equity securities
    Carrying amount
    December 31, 2017
    December 31, 2016
    In millions of COP
    Total of securities at fair value through profit or loss
    988,455
    895,425
    Total of securities at fair value through OCI
    529,375
    492,747
    Total equity securities
    1,517,830
    1,388,172
     
    The investment securities held by Capital Investment SAFI S.A. y FiduPerú S.A. were considered as assets held for sale at 2017, amounting to COP 1,345 y COP 1,141 respectively. In 2016, those investment securities are mesured at fair value through profit or loss. For further information, see Note 12 Assets held for sale and inventories.
     
    The Bank has recognized in the consolidated statement of comprehensive income COP 38,884 in 2017, COP 232,617 in 2016 and COP 137,323 in 2015 related to equity securities and trust funds at fair value through OCI. See consolidated statement of comprehensive income.
     
    Equity securities that have been designated to be measured at fair value through OCI are considered strategic for the Bank and, thus, there is no intention to sell them in the foreseeable future and that is the main reason for using this presentation alternative.
     
    The following table details the equity instruments designated at fair value through other comprehensive income analyzed by listing status:
     
    Equity securities
    Carrying amount
    December 31, 2017
    December 31, 2016
    In millions of COP
    Securities at fair value through OCI:
     
     
    Equity securities listed in Colombia (1)
    76,178
    17,479
    Equity securities listed elsewhere
    5,766
    10,732
    Equity securities unlisted
    447,431
    464,536
    Total equity securities at fair value through OCI
    529,375
    492,747
     
    (1)
    Equity securities measured at fair value through other comprenhensive income (OCI) and listed in Colombia, increased between December 31, 2017 and 2016 due to the merger between Bolsa de Valores de Colombia (listed company) and Deceval (unlisted). The new investment in Bolsa de Valores de Colombia is classified as listed in Colombia.
     
    During 2017 and 2016 no impairment loss was recognized on equity securities. Dividends received from equity investments at fair value through OCI held as of December 31, 2017, 2016 and 2015 amounted to COP 11,951, COP 9,317 and COP 9,605, respectively. See Note 24.5 Dividends received, and share of profits of equity method investees
     
    Equity investments do not have a specific maturity date; therefore, they are not included in the maturity detail.
     
    The detail of the securities pledged as collateral as of December 31, 2017 and 2016 is as follows:
     
    As of December 31, 2017
     
    Pledged financial assets
    Term
    Security pledged
    Carrying
    amount
    In millions of COP
    Investments pledged as collateral in repo operations
    Securities issued by the Colombian Government
    Greater twelve months
    TES - Fixed rate
    1,744,736
    Securities issued by the Colombian Government
    Between six and twelve months
    TES - Fixed rate
    877,673
    Subtotal investments pledged as collateral in repo operations
    2,622,409
    Investments pledged as collateral in derivative operations
     
    Securities issued by the Colombian Government
    Greater twelve months
    TES - Fixed rate
    78,688
    Securities issued by the Colombian Government
    Between six and twelve months
    TES - Fixed rate
    40,247
    Subtotal investments pledged as collateral in derivative operations
    118,935
    Total securities pledged as collateral
    2,741,344
     
    As of December 31, 2016
     
    Pledged financial assets
    Term
    Security pledged
    Carrying
    amount
    In millions of COP
    Investments pledged as collateral in repo operations
    Securities issued by the Colombian Government
    Greater 12 months
    TES-Fixed rate
    783,688
    Securities issued by the Colombian Government
    Between 3 and 6 months
    TES-Fixed rate
    63,102
    Securities issued by the Colombian Government
    Between 6 and 12 months
    TES-Fixed rate
    3,212
    Securities issued by the Colombian Government
    Less than 3 months
    TES-Fixed rate
    68,648
    Subtotal investments pledged as collateral in repo operations
    918,650
    Investments pledged as collateral in derivative operations
     
    Securities issued by the Colombian Government
    Greater 12 months
    TES-Fixed rate
    147,221
    Securities issued by the Colombian Government
    Between 3 and 6 months
    TES- Fixed rate
    22,037
    Securities issued by the Colombian Government
    Between 6 and 12 months
    TES-Fixed rate
    2,263
    Securities issued by the Colombian Government
    Less than 3 months
    TES-Fixed rate
    47,285
    Subtotal investments pledged as collateral in derivative operations
    218,806
    Total securities pledged as collateral
    1,137,456
     
    5.2 Derivative financial instruments
     
    The Bank derivative activities do not give rise to significant open positions in portfolios of derivatives. The Bank enters into derivative transactions to facilitate customer business, for hedging purposes and arbitrage activities, such as forwards, options or swaps where the underlying are exchange rates, interest rates and securities.
     
    A swap agreement is a contract between two parties to exchange cash flows based on specified underlying notional amounts, assets and/or indices. Financial futures and forward settlement contracts are agreements to buy or sell a quantity of a financial instrument (including another derivative financial instrument), index, currency or commodity at a predetermined rate or price during a period or at a date in the future. Futures and option contracts are standardized agreements for future delivery, traded on exchanges that typically act as a platform.
     
    For further information related to the objectives, policies and processes for managing the Bank’s risk, please see Note 31 Risk Management.
     
    The following table sets forth for the Bank’s derivatives by type of risk as of December 31, 2017 and 2016:
     
    Derivatives
    December 31, 2017
    December 31, 2016
    In Millions of COP
    Forwards
    Assets
     
     
    Foreign exchange contracts
    172,310
    313,566
    Equity contracts
    372
    3,425
    Subtotal Assets
    172,682
    316,991
    Liabilities
     
     
    Foreign exchange contracts
    (142,976)
    (323,923)
    Equity contracts
    (4,470)
    (3,110)
    Subtotal Liabilities
    (147,446)
    (327,033)
    Total Forwards
    25,236
    (10,042)
    Swaps
     
     
    Assets
     
     
    Foreign exchange contracts
    672,558
    1,127,474
    Interest rate contracts
    274,137
    186,208
    Subtotal Assets
    946,695
    1,313,682
    Liabilities
     
     
    Foreign exchange contracts
    (505,823)
    (749,082)
    Interest rate contracts
    (275,641)
    (192,344)
    Subtotal Liabilities
    (781,464)
    (941,426)
    Total Swaps
    165,231
    372,256
    Options
     
     
    Assets
     
     
    Foreign exchange contracts
    14,995
    47,297
    Subtotal Assets
    14,995
    47,297
    Liabilities
     
     
    Foreign exchange contracts
    (16,943)
    (42,961)
    Subtotal Liabilities
    (16,943)
    (42,961)
    Total Options
    (1,948)
    4,336
    Futures
     
     
    Liabilities
     
     
    Equity contracts
    -
    (1,030)
    Subtotal Liabilities
    -
    (1,030)
    Total Futures
    -
    (1,030)
    Derivative Assets
    1,134,372
    1,677,970
    Derivative Liabilities
    (945,853)
    (1,312,450)
    Total, net
    188,519
    365,520
     
    The table below present the notional amounts of the derivatives contracts as of December 31, 2017 and 2016:
     
    Derivatives
    December 31, 2017
    December 31, 2016
    In Millions of COP
    Forwards
    Assets
     
     
    Foreign exchange contracts
    11,618,005
    14,466,226
    Equity contracts
    1,010,557
    696,348
    Subtotal Assets
    12,628,562
    15,162,574
    Liabilities
     
     
    Foreign exchange contracts
    (10,276,967)
    (13,637,335)
    Equity contracts
    (1,796,020)
    (676,226)
    Subtotal Liabilities
    (12,072,987)
    (14,313,561)
    Total Forwards
    555,575
    849,013
    Swaps
     
     
    Assets
     
     
    Foreign exchange contracts
    6,188,880
    6,021,266
    Interest rate contracts
    16,315,701
    15,109,435
    Subtotal Assets
    22,504,581
    21,130,701
    Liabilities
     
     
    Foreign exchange contracts
    (4,163,466)
    (3,614,135)
    Interest rate contracts
    (15,850,149)
    (13,249,703)
    Subtotal Liabilities
    (20,013,615)
    (16,863,838)
    Total Swaps
    2,490,966
    4,266,863
    Options
     
     
    Assets
     
     
    Foreign exchange contracts
    697,346
    1,186,605
    Subtotal Assets
    697,346
    1,186,605
    Liabilities
     
     
    Foreign exchange contracts
    (682,197)
    (1,171,719)
    Subtotal Liabilities
    (682,197)
    (1,171,719)
    Total Options
    15,149
    14,886
    Futures
     
     
    Assets
     
     
    Foreign exchange contracts
    3,772,283
    3,078,756
    Equity contracts
    175,500
    316,000
    Subtotal Assets
    3,947,783
    3,394,756
    Liabilities
     
     
    Equity contracts
    -
    (117,235)
    Subtotal Liabilities
    -
    (117,235)
    Total Futures
    3,947,783
    3,277,521
    Derivative Assets
    39,778,272
    40,874,636
    Derivative Liabilities
    (32,768,799)
    (32,466,353)
    Total, net
    7,009,473
    8,408,283
     
    The following table sets forth the remaining contractual life of the derivative portfolio:
     
    As of December 31, 2017
     
     
    Forwards
    Swaps
    Options
    Futures
    Total
    In millions of COP
    Assets
    172,682
    946,695
    14,995
    -
    1,134,372
    Up to 1 year
    170,299
    240,690
    14,229
    -
    425,218
    From 1 to 3 years
    2,383
    339,934
    766
    -
    343,083
    Over 3 years
    -
    366,071
    -
    -
    366,071
    Liabilities
    (147,446)
    (781,464)
    (16,943)
    -
    (945,853)
    Up to 1 year
    (141,326)
    (135,749)
    (15,836)
    -
    (292,911)
    From 1 to 3 years
    (6,120)
    (321,708)
    (1,107)
    -
    (328,935)
    Over 3 years
    -
    (324,007)
    -
    -
    (324,007)
    Total
    25,236
    165,231
    (1,948)
    -
    188,519
     
    As of December 31, 2016
     
     
    Forwards
    Swaps
    Options
    Futures
    Total
    In millions of COP
    Assets
    316,991
    1,313,682
    47,297
    -
    1,677,970
    Up to 1 year
    309,036
    490,848
    44,478
    -
    844,362
    From 1 to 3 years
    7,900
    444,120
    2,819
    -
    454,839
    Over 3 years
    55
    378,714
    -
    -
    378,769
    Liabilities
    (327,033)
    (941,426)
    (42,961)
    (1,030)
    (1,312,450)
    Up to 1 year
    (311,382)
    (167,025)
    (40,686)
    (1,030)
    (520,123)
    From 1 to 3 years
    (15,623)
    (431,814)
    (2,275)
    -
    (449,712)
    Over 3 years
    (28)
    (342,587)
    -
    -
    (342,615)
    Total
    (10,042)
    372,256
    4,336
    (1,030)
    365,520
     
    Collateral for derivatives
     
    The table below presents the cash collateral amounts posted under derivatives contracts as of December 31, 2017 and 2016:
     
     
    December 31, 2017
    December 31, 2016
    In millions of COP
    Collateral
    264,700
    343,334
     
    Hedge accounting
     
    The Bank, through Banistmo, has entered into derivatives to manage its interest risk. Those derivatives are designated as hedging instruments to protect the Bank against changes in the fair value of Banistmo´s position in debt securities issued by the Panamanian Government (fair value hedge). In order to protect against interest risk due to changes in cash flows related to Banitmo’s portfolio of floating-rate deposits (cash flow hedge), Banistmo entered into cash flow hedge contracts until March 2016, when the hedging relationship was discontinued. The hedge effectiveness assessment is performed on a monthly basis consistently throughout the hedging relationship. For fair value hedges, the changes in value of the hedging derivative, as well as the changes in value of the related hedged item concerning to the risk hedged, are reflected in the statement of income in the line “Interest and valuation on investments”.
     
    Fair value hedging
     
    As of December 31, 2017 and 2016, Banistmo has designated 12 and 8 asset derivative contracts (Interest rate swaps), respectively, as fair value hedging instruments with maturity dates ranging from September 2019 to December 2027.
     
    As of December 31, 2017 and 2016, Banistmo has designated 5 and 6 liability derivative contracts (Interest rate swaps), respectively, as fair value hedging instruments with maturity dates ranging from September 2019 to April 2026. The notional amount and the fair value of those instruments are as follows:
     
     
    December 31, 2017
    December 31, 2016
     In millions of COP
    Notional amount  
    304,159
    305,862
    Fair value
    (1,769)
    (5,170)
     
     
    December 31, 2017
    December 31, 2016
     In thousands of USD
    Notional amount  
    101,930
    101,930
    Fair value
    (593)
    (1,723)
     
    All fair value hedging instruments are included in the line “Derivative financial instruments” in the statement of financial position.
     
    The following table sets forth the notional amount and fair value of the hedged item recognized in the statement of financial position as ‘Financial assets investments’, as of December 31, 2017 and 2016:
     
     
    December 31, 2017
    December 31, 2016
     In millions of COP
    Notional amount  
    304,159
    305,862
    Fair value
     341,229
    340,511
     
     
    December 31, 2017
    December 31, 2016
    In thousands of USD
    Notional amount  
    101,930
    101,930
    Fair value
    114,353
     113,477
     
    The amount of hedge ineffectiveness of fair value hedges amounted to COP 3,094 COP 2,779 and COP (3,110) for the periods ended December 31, 2017, 2016 and 2015, respectively.
     
    The change in fair value of the hedging instrument used as the basis for recognising hedge ineffectiveness for the period ended December 31, 2017 and 2016 amounting to COP 2,614 and COP 3,493, respectively
     
    Cash flow hedging
     
    As of December 31, 2016 the Bank had reclassified from other comprehensive income to net income the net amount of COP (12,112) arising from the settlement of the derivative contract swap interest rate designated as cash flow hedge. As of December 31, 2015 the Bank had reclassified from other comprehensive income to net income the net amount of COP 6,378 in connection with the effective portion of the cash flow hedges.
     
    Banistmo entered into cash flow hedge contracts until March 2016. The Bank has not carried out new cash flow hedge operations.
     
    Net foreign investment
     
    Exchange differences relating to the translation of the results and net assets of Banistmo operations from its functional currency (dollar) to the Bank's presentation currency (Colombian pesos) are recognized directly in other comprehensive income by the Parent Company. Gains and losses on debt securities in issue which were designated as hedging instruments for hedges of net investments in foreign operations are included in the foreign currency translation reserve. The adjustment recognized in other comprehensive income amounted to COP 36,762, COP 327,272 and COP (1,665,422), for the years ended at December 31, 2017, 2016 and 2015, respectively.
     
    Offsetting of derivatives
     
    The Bank enters into International Swaps and Derivatives Association (ISDA) master netting agreements or similar agreements with substantially all of the Bank’s derivative counterparties. Where legally enforceable, and depending on the Bank’s intention, these master netting agreements give the Bank, in the event of default by the counterparty, the right to liquidate securities and cash equivalents held as collateral and to offset receivables and payables with the same counterparty.
     
    The table below presents derivative instruments subject to enforceable master netting agreements and other similar agreements but not offset in the statement of financial position as of December 31, 2017 and 2016 by derivative and by risk:
     
    As of December 31, 2017
     
     
    Derivatives Assets
    Derivatives Liabilities
    In millions of COP
    Over-the-counter
    Foreign exchange contracts
    Swaps
    672,558
    (505,823)
    Forwards
    172,310
    (142,976)
    Options
    14,995
    (16,943)
    Interest rate contracts
     
     
    Swaps
    274,137
    (275,641)
    Equity contracts
     
     
    Forwards
    372
    (4,470)
    Gross derivative assets/liabilities
    1,134,372
    (945,853)
    Offsetting of derivatives
    -
    -
    Derivative financial instruments in statement of financial position
    1,134,372
    (945,853)
    Master netting agreements
    (894,863)
    945,853
    Cash collateral received/paid
    (239,509)
    -
    Total derivative financial instruments assetss/ liabilities
    -
    -
      
    As of December 31, 2016
     
     
    Derivatives Assets
    Derivatives Liabilities
    In millions of COP
    Over-the-counter
    Foreign exchange contracts
    Swaps
    1,127,474
    (749,082)
    Forwards
    313,566
    (323,923)
    Options
    47,297
    (42,961)
    Interest rate contracts
     
     
    Swaps
    186,208
    (192,344)
    Equity contracts
     
     
    Forwards
    3,425
    (3,110)
    Futures
    -
    (1,030)
    Gross derivative assets/liabilities
    1,677,970
    (1,312,450)
    Offsetting of derivatives
    -
    -
    Derivative financial instruments in statement of financial position
    1,677,970
    (1,312,450)
    Master netting agreements
    (1,221,565)
    1,312,450
    Cash collateral received/paid
    (343,334)
    -
    Total derivative financial instruments assetss/ liabilities
    113,071
    -
     
    For further information about offsetting of other financial assets and liabilities see Note 15 Interbank deposits and repurchase agreements and other similar secured borrowing.