9. Debt instruments
a) Breakdown
The breakdown by classification, type and currency of the balances of Debt instruments is as follows:
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12/31/2016 |
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12/31/2017 |
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Classification: |
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|
|
|
Financial assets held for trading |
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140,853 |
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|
147,747 |
|
Available-for-sale financial assets |
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154,318 |
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|
164,947 |
|
Loans and receivables |
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|
11,472 |
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10,758 |
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|
|
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306,643 |
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|
323,452 |
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Type: |
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|
|
|
|
|
Mexican government debt securities |
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229,514 |
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|
224,003 |
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Of which: |
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|
|
|
|
|
|
Collateral delivered for OTC transactions (Note 32) |
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|
2,670 |
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|
2,964 |
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Foreign government debt securities |
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65,286 |
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89,585 |
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Of which: |
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|
|
|
|
|
Brazilian Government Notes |
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34,359 |
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34,488 |
|
US Government Treasury Bills (T-BILLS) |
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30,927 |
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|
55,097 |
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Debt securities issued by financial institutions |
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5,612 |
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3,975 |
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Other debt securities |
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6,231 |
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5,889 |
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|
|
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306,643 |
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|
323,452 |
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Currency: |
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|
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Peso |
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220,390 |
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200,666 |
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USD |
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36,922 |
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61,080 |
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Brazilian Real (BRL) |
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34,359 |
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34,488 |
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Other currencies |
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14,972 |
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27,218 |
|
|
|
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306,643 |
|
|
323,452 |
The breakdown of the Debt instruments classified as Held for trading is as follows:
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12/31/2016 |
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12/31/2017 |
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Federal Treasury Securities (CETES) |
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7,647 |
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9,188 |
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United Mexican States Bonds (UMS) |
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|
48 |
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44 |
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Federal Mexican Government Development Bonds (BONDES) |
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41,684 |
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33,291 |
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M and M10 Mexican Government Bonds |
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10,286 |
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14,069 |
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Mexican Bank Saving Protection Bonds (BPATs) |
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35,595 |
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25,092 |
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Federal Mexican Government Development Bonds in UDIS(1) (UDIBONDS) |
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8,881 |
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6,930 |
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T-BILLS |
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30,927 |
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55,038 |
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Other debt securities |
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5,785 |
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4,095 |
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140,853 |
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147,747 |
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(1) |
“UDIs” are Unidades de inversión, a peso-equivalent unit of account indexed for Mexican inflation. UDIs are units of account created by the Central Bank on April 4, 1995, the value of which in pesos is indexed to inflation on a daily basis, as measured by the change in the Mexican National Consumer Price Index (Índice Nacional de Precios al Consumidor or INPC). Under a UDI-based loan or financial instrument, the borrower’s nominal peso principal balance is converted either at origination or upon restructuring to a UDI principal balance and interest on the loan or financial instrument is calculated on the outstanding UDI balance of the loan or financial instrument. Principal and interest payments are made by the borrower in an amount of pesos equivalent to the amount due in UDIs at the stated value of UDIs on the day of payment. As of December 31, 2017, one UDI was equal to 5.934551 pesos. |
As of December 31, 2016 and 2017, 2,670 million pesos and 2,964 million pesos, respectively, of debt instruments, have been pledged in connection with OTC derivatives transactions, and are classified as restricted assets within Debt instruments – Financial assets held for trading (see Note 32).
As of December 31, 2016 and 2017, 20,769 million pesos and 21,555 million pesos, respectively, of Debt instruments, have been pledged in connection with securities loans transactions and are classified as restricted assets within Debt instruments – Financial assets held for trading (of which 20,617 million pesos and 21,448 million pesos, respectively in which the lender is the Central Bank).
As of December 31, 2016 and 2017, 82,916 million pesos and 89,147 million pesos, respectively, of Debt instruments, have been pledged in connection with repurchase agreement and are classified as restricted assets within Debt instruments – Financial assets held for trading.
The breakdown of the Debt instruments classified as Available-for-sale is as follows:
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12/31/2016 |
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12/31/2017 |
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UMS |
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17,479 |
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29,832 |
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M, M3 and M5 Mexican Government Bonds |
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75,639 |
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76,174 |
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BPATs |
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15,877 |
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13,586 |
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UDIBONDS |
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4,906 |
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5,039 |
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T-BILLS |
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— |
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59 |
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Brazilian Government Notes |
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34,359 |
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34,488 |
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Other debt securities |
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6,058 |
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5,769 |
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154,318 |
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164,947 |
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Of which: |
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Before allowance for impairment losses |
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154,318 |
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164,947 |
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Allowance for impairment losses |
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— |
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— |
|
|
|
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154,318 |
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|
164,947 |
As of December 31, 2016 and 2017, 42,347 million pesos and 13,881 million pesos, respectively, of Mexican government securities (M Bonds, BPATs, UMS and other debt securities) have been pledged in connection with repurchase agreements transactions, and are classified as restricted assets within Debt instruments – Available-for-sale.
The breakdown by issuer rating of Debt instruments at December 31, 2016 is as follows:
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Private |
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Debt |
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Sovereign Debt |
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Total |
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% |
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AAA |
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— |
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30,927 |
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30,927 |
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10.07 |
% |
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A |
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3,352 |
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200,649 |
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204,001 |
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66.53 |
% |
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BBB |
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3,709 |
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17,527 |
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21,236 |
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6.93 |
% |
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BB |
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4,609 |
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45,698 |
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50,307 |
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16.41 |
% |
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Below B |
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172 |
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— |
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172 |
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|
0.06 |
% |
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11,842 |
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294,801 |
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306,643 |
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|
100 |
% |
The breakdown by issuer rating of Debt instruments at December 31, 2017 is as follows:
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Private |
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Debt |
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Sovereign Debt |
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Total |
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% |
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AAA |
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— |
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55,097 |
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55,097 |
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17.03 |
% |
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A |
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2,651 |
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181,965 |
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184,616 |
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57.08 |
% |
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BBB |
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3,685 |
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29,876 |
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33,561 |
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10.38 |
% |
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BB |
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3,528 |
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46,650 |
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50,178 |
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15.51 |
% |
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9,864 |
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313,588 |
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323,452 |
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|
100 |
% |
As of December 31, 2016 and 2017, BBB ratings balance include mainly sovereign exposures in Mexico, while ratings balance BB includes both sovereign exposures in Brazil and Mexico. The sovereign rating of Brazil was downgraded from BB to below BB, as of the date of issuance of these consolidated financial statements.
The breakdown of the Debt instruments classified as Loans and receivables is as follows:
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12/31/2016 |
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12/31/2017 |
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Special CETES |
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3,691 |
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2,975 |
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BREMS R |
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7,781 |
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7,783 |
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11,472 |
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10,758 |
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Type: |
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Unquoted |
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11,472 |
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|
10,758 |
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Of which: |
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|
|
|
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Before allowance for impairment losses |
|
|
11,472 |
|
|
10,758 |
|
Allowance for impairment losses |
|
|
— |
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|
— |
|
|
|
|
11,472 |
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|
10,758 |
As of December 31, 2017, 7,350 million pesos, of BREMS R have been pledged in connection with repurchase agreements transactions, and are classified as restricted assets within Debt instruments – Loans and receivables. As of December 31, 2016, no BREMS R have been pledged in connection with repurchase agreements transactions.
b) Changes
The changes in Available-for-sale – Debt instruments, disregarding the allowance for impairment losses, were as follows:
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2015 |
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2016 |
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2017 |
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Beginning balance |
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83,029 |
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113,525 |
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|
154,318 |
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Net additions/(disposals) |
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30,527 |
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44,366 |
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|
8,703 |
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Valuation adjustments |
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(192) |
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(3,453) |
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|
1,935 |
|
|
Amounts reclassified to consolidated income statement |
|
|
161 |
|
|
(120) |
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|
(9) |
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|
Balance at year-end |
|
|
113,525 |
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|
154,318 |
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|
164,947 |
|
c) Allowance for impairment losses
As of December 31, 2016 and 2017 and during 2015, 2016 and 2017, the Bank has not recognized any impairment on Debt Instruments – Available-for-sale (see Note 28).
d) Other information
Note 44.a. contains a breakdown of the remaining maturity periods of Available-for-sale – Debt Instruments. Additionally, Note 44.d. includes the fair value amounts of these assets classified as Debt instruments – Loans and receivables.