9. Derivative Instruments and Accounting Hedges:
(a) As of December 31, 2016 and 2017, the Bank’s portfolio of derivative instruments is detailed as follows:
|
|
|
As of December 31, 2016 |
|
||||
|
|
|
Notional |
|
Fair value |
|
||
|
|
|
contract |
|
Asset |
|
Liability |
|
|
|
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
|
Derivatives held for hedging of fair value |
|
|
|
|
|
|
|
|
Cross currency swap |
|
16,721 |
|
— |
|
4,304 |
|
|
Interest rate swap |
|
122,081 |
|
218 |
|
5,989 |
|
|
|
|
|
|
|
|
|
|
|
Total derivatives held for hedging purposes |
|
138,802 |
|
218 |
|
10,293 |
|
|
Derivatives held as cash flow hedges |
|
|
|
|
|
|
|
|
Interest rate swap and cross currency swap |
|
1,198,001 |
|
63,482 |
|
45,722 |
|
|
|
|
|
|
|
|
|
|
|
Total Derivatives held as cash flow hedges |
|
1,198,001 |
|
63,482 |
|
45,722 |
|
|
|
|
|
|
|
|
|
|
|
Derivatives held-for-trading purposes |
|
|
|
|
|
|
|
|
Currency forward |
|
22,834,923 |
|
163,716 |
|
136,101 |
|
|
Cross currency swap |
|
9,142,390 |
|
455,784 |
|
525,160 |
|
|
Interest rate swap |
|
34,896,973 |
|
253,307 |
|
246,415 |
|
|
Call currency options |
|
174,060 |
|
1,558 |
|
1,960 |
|
|
Put currency options |
|
122,709 |
|
1,584 |
|
858 |
|
|
|
|
|
|
|
|
|
|
|
Total derivatives held-for-trading purposes |
|
67,171,055 |
|
875,949 |
|
910,494 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
68,507,858 |
|
939,649 |
|
966,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2017 |
|
||||
|
|
|
Notional amount |
|
Fair value |
|
||
|
|
|
contract |
|
Asset |
|
Liability |
|
|
|
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
|
Derivatives held for hedging of fair value |
|
|
|
|
|
|
|
|
Cross currency swap |
|
13,914 |
|
— |
|
3,652 |
|
|
Interest rate swap |
|
78,970 |
|
277 |
|
1,678 |
|
|
|
|
|
|
|
|
|
|
|
Total derivatives held for hedging purposes |
|
92,884 |
|
277 |
|
5,330 |
|
|
Derivatives held as cash flow hedges |
|
|
|
|
|
|
|
|
Interest rate swap and cross currency swap |
|
1,148,561 |
|
27,572 |
|
80,888 |
|
|
|
|
|
|
|
|
|
|
|
Total Derivatives held as cash flow hedges |
|
1,148,561 |
|
27,572 |
|
80,888 |
|
|
|
|
|
|
|
|
|
|
|
Derivatives held-for-trading purposes |
|
|
|
|
|
|
|
|
Currency forward |
|
29,451,333 |
|
506,614 |
|
574,931 |
|
|
Interest rate forward |
|
14,000 |
|
— |
|
206 |
|
|
Interest rate swap |
|
55,617,104 |
|
243,931 |
|
236,954 |
|
|
Cross currency swap |
|
11,281,240 |
|
466,192 |
|
490,811 |
|
|
Call currency options |
|
153,776 |
|
514 |
|
472 |
|
|
Put currency options |
|
145,873 |
|
2,841 |
|
3,403 |
|
|
|
|
|
|
|
|
|
|
|
Total derivatives held-for-trading purposes |
|
96,663,326 |
|
1,220,092 |
|
1,306,777 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
97,904,771 |
|
1,247,941 |
|
1,392,995 |
|
|
|
|
|
|
|
|
|
|
(b) Fair Value Hedges (notional):
The Bank uses cross-currency swaps and interest rate swaps to hedge its exposure to changes in the fair value of the hedged elements attributable to interest rates. The aforementioned hedge instruments change the effective cost of long-term issuances from a fixed interest rate to a variable interest rate, decreasing the duration and modifying the sensitivity to the shortest segments of the curve.
Below is a detail of the hedged elements and hedge instruments under fair value hedges as of December 31, 2016 and 2017:
|
|
|
As of December 31, |
|
||
|
|
|
2016 |
|
2017 |
|
|
|
|
MCh$ |
|
MCh$ |
|
|
Notional Amounts |
|
|
|
|
|
|
Hedged element |
|
|
|
|
|
|
Commercial loans |
|
16,721 |
|
13,914 |
|
|
Corporate bonds |
|
122,081 |
|
78,970 |
|
|
|
|
|
|
|
|
|
Hedge instrument |
|
|
|
|
|
|
Cross currency swap |
|
16,721 |
|
13,914 |
|
|
Interest rate swap |
|
122,081 |
|
78,970 |
|
(c) Cash flow Hedges:
(c.1) The Bank uses cross currency swaps to hedge the risk from variability of cash flows attributable to changes in the interest rates and foreign exchange of borrowings from banks and bonds issued abroad in US dollars, Hong Kong dollars, Peruvian sol, Swiss franc, Japanese yen and Euros. The cash flows of the cross currency swaps equal the cash flows of the hedged items, which modify uncertain cash flows to known cash flows derived from a fixed interest rate.
Additionally, these cross currency swap contracts used to hedge the risk from variability of the Unidad de Fomento (CLF) in assets flows denominated in CLF until a nominal amount equal to the portion notional of the hedging instrument CLF, whose readjustment daily impact the item “interest revenue” of the financial statements.
(c.2) Below are the cash flows of borrowings from banks and bonds issued abroad, the objects of these hedges and the cash flows of the asset part of the derivative:
|
|
|
2016 |
|
||||||||||||
|
|
|
Up to 1 month |
|
Over 1 month |
|
Over 3 months |
|
Over 1 year |
|
Over 3 years |
|
Over 5 years |
|
Total |
|
|
|
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
|
Hedge item |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bond EUR |
|
— |
|
— |
|
(552 |
) |
(1,105 |
) |
(1,105 |
) |
(35,467 |
) |
(38,229 |
) |
|
Corporate Bond HKD |
|
— |
|
— |
|
(12,144 |
) |
(76,922 |
) |
(21,084 |
) |
(338,517 |
) |
(448,667 |
) |
|
Corporate Bond PEN |
|
— |
|
— |
|
(15,614 |
) |
— |
|
— |
|
— |
|
(15,614 |
) |
|
Corporate Bond CHF |
|
— |
|
(1,031 |
) |
(87,308 |
) |
(370,926 |
) |
(495 |
) |
(99,748 |
) |
(559,508 |
) |
|
Obligation USD |
|
(531 |
) |
— |
|
(115,113 |
) |
(101,478 |
) |
— |
|
— |
|
(217,122 |
) |
|
Corporate Bond JPY |
|
— |
|
(306 |
) |
(623 |
) |
(46,415 |
) |
(29,418 |
) |
(28,866 |
) |
(105,628 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedge instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cross Currency Swap EUR |
|
— |
|
— |
|
552 |
|
1,105 |
|
1,105 |
|
35,467 |
|
38,229 |
|
|
Cross Currency Swap HKD |
|
— |
|
— |
|
12,144 |
|
76,922 |
|
21,084 |
|
338,517 |
|
448,667 |
|
|
Cross Currency Swap PEN |
|
— |
|
— |
|
15,614 |
|
— |
|
— |
|
— |
|
15,614 |
|
|
Cross Currency Swap CHF |
|
— |
|
1,031 |
|
87,308 |
|
370,926 |
|
495 |
|
99,748 |
|
559,508 |
|
|
Cross Currency Swap USD |
|
531 |
|
— |
|
115,113 |
|
101,478 |
|
— |
|
— |
|
217,122 |
|
|
Cross Currency Swap JPY |
|
— |
|
306 |
|
623 |
|
46,415 |
|
29,418 |
|
28,866 |
|
105,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash flow |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(c.2) Below are the cash flows of borrowings from banks and bonds issued abroad, the objects of these hedges and the cash flows of the asset part of the derivative:
|
|
|
2017 |
|
||||||||||||
|
|
|
Up to 1 month |
|
Over 1 month |
|
Over 3 months |
|
Over 1 year |
|
Over 3 years |
|
Over 5 years |
|
Total |
|
|
|
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
|
Hedge item |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bond EUR |
|
— |
|
— |
|
(1,246 |
) |
(2,491 |
) |
(2,491 |
) |
(82,348 |
) |
(88,576 |
) |
|
Corporate Bond HKD |
|
— |
|
— |
|
(11,052 |
) |
(68,634 |
) |
(19,202 |
) |
(298,776 |
) |
(397,664 |
) |
|
Corporate Bond PEN |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Corporate Bond CHF |
|
— |
|
(986 |
) |
(161,529 |
) |
(192,519 |
) |
(474 |
) |
(95,174 |
) |
(450,682 |
) |
|
Obligation USD |
|
(212 |
) |
(235 |
) |
(93,173 |
) |
(43,385 |
) |
— |
|
— |
|
(137,005 |
) |
|
Corporate Bond JPY |
|
— |
|
(292 |
) |
(1,150 |
) |
(72,098 |
) |
(28,886 |
) |
(63,002 |
) |
(165,428 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedge instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cross Currency Swap EUR |
|
— |
|
— |
|
1,246 |
|
2,491 |
|
2,491 |
|
82,348 |
|
88,576 |
|
|
Cross Currency Swap HKD |
|
— |
|
— |
|
11,052 |
|
68,634 |
|
19,202 |
|
298,776 |
|
397,664 |
|
|
Cross Currency Swap PEN |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Cross Currency Swap CHF |
|
— |
|
986 |
|
161,529 |
|
192,519 |
|
474 |
|
95,174 |
|
450,682 |
|
|
Cross Currency Swap USD |
|
212 |
|
235 |
|
93,173 |
|
43,385 |
|
— |
|
— |
|
137,005 |
|
|
Cross Currency Swap JPY |
|
— |
|
292 |
|
1,150 |
|
72,098 |
|
28,886 |
|
63,002 |
|
165,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash flow |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(c.2) Below are the cash flows of the underlying assets portfolio and the cash flow of the liability part of the derivatives:
|
|
|
2016 |
|
||||||||||||
|
|
|
Up to 1 month |
|
Over 1 month |
|
Over 3 months |
|
Over 1 year |
|
Over 3 years |
|
Over 5 years |
|
Total |
|
|
|
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
|
Hedge item |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash flow in CLF |
|
1,155 |
|
2,304 |
|
232,833 |
|
592,204 |
|
54,094 |
|
470,207 |
|
1,352,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedge instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cross Currency Swap HKD |
|
— |
|
— |
|
(9,253 |
) |
(66,278 |
) |
(16,091 |
) |
(288,322 |
) |
(379,944 |
) |
|
Cross Currency Swap PEN |
|
— |
|
— |
|
(16,588 |
) |
— |
|
— |
|
— |
|
(16,588 |
) |
|
Cross Currency Swap JPY |
|
— |
|
(1,043 |
) |
(1,867 |
) |
(52,107 |
) |
(32,878 |
) |
(30,761 |
) |
(118,656 |
) |
|
Cross Currency Swap USD |
|
— |
|
— |
|
(114,210 |
) |
(108,690 |
) |
— |
|
— |
|
(222,900 |
) |
|
Cross Currency Swap CHF |
|
(1,155 |
) |
(1,261 |
) |
(89,876 |
) |
(363,045 |
) |
(3,560 |
) |
(109,592 |
) |
(568,489 |
) |
|
Cross Currency Swap EUR |
|
— |
|
— |
|
(1,039 |
) |
(2,084 |
) |
(1,565 |
) |
(41,532 |
) |
(46,220 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash flow |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(c.2) Below are the cash flows of the underlying assets portfolio and the cash flow of the liability part of the derivatives:
|
|
|
2017 |
|
||||||||||||
|
|
|
Up to 1 month |
|
Over 1 month |
|
Over 3 months |
|
Over 1 year |
|
Over 3 years |
|
Over 5 years |
|
Total |
|
|
|
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
MCh$ |
|
|
Hedge item |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash flow in CLF |
|
— |
|
2,344 |
|
281,377 |
|
414,764 |
|
59,737 |
|
555,461 |
|
1,313,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hedge instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outflows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cross Currency Swap HKD |
|
— |
|
— |
|
(9,404 |
) |
(66,188 |
) |
(16,365 |
) |
(285,066 |
) |
(377,023 |
) |
|
Cross Currency Swap PEN |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Cross Currency Swap JPY |
|
— |
|
(1,061 |
) |
(3,372 |
) |
(85,598 |
) |
(35,063 |
) |
(77,895 |
) |
(202,989 |
) |
|
Cross Currency Swap USD |
|
— |
|
— |
|
(111,077 |
) |
(44,840 |
) |
— |
|
— |
|
(155,917 |
) |
|
Cross Currency Swap CHF |
|
— |
|
(1,283 |
) |
(155,767 |
) |
(214,620 |
) |
(4,793 |
) |
(107,870 |
) |
(484,333 |
) |
|
Cross Currency Swap EUR |
|
— |
|
— |
|
(1,757 |
) |
(3,518 |
) |
(3,516 |
) |
(84,630 |
) |
(93,421 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash flow |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
With respect to CLF assets hedged, these are revalued monthly according to the variation of the UF, which is equivalent to monthly reinvestment of the assets until maturity of the relationship hedging.
(c.3) The accumulated amount of unrealized gain was a credit to equity for an amount of Ch$14,979 million (a charge to equity for Ch$50,481 million in 2016 and a credit to equity for Ch$9,971 million in 2015) generated from hedging instruments, which has been recorded in equity. The net effect of tax was a credit to equity for Ch$11,158 million in 2017 (a charge to equity for Ch$38,366 million in 2016 and a credit to equity for Ch$7,728 million in 2015)
The accumulated balance for this concept net of deferred tax as of December 31, 2017 corresponds to a debit of equity amounted Ch$9,394 million (a debit of equity for Ch$20,552 million in 2016 and a credit to equity for Ch$17,814 million in 2015).
(c.4) The net effect in income of derivatives cash flow hedges was a debit of Ch$93,612 million in 2017 (a debit to income for Ch$135,929 million in 2016 and a credit to income for Ch$148,555 million in 2015).
(c.5) As of December 31, 2017 and 2016, it not exist inefficiency in cash flow hedge, because both, hedge item and hedge instruments are mirror one of other, it means that all variation of value attributable to rate and revaluation components are netted almost totally.
(c.6) As of December 31, 2017 and 2016, the Bank has no hedges of net investments in foreign businesses.