BANCOLOMBIA SA | CIK:0001071371 | 3

  • Filed: 4/30/2018
  • Entity registrant name: BANCOLOMBIA SA (CIK: 0001071371)
  • Generator: DataTracks
  • SEC filing page: http://www.sec.gov/Archives/edgar/data/1071371/000114420418023396/0001144204-18-023396-index.htm
  • XBRL Instance: http://www.sec.gov/Archives/edgar/data/1071371/000114420418023396/cib-20171231.xml
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    • ifrs-full:DisclosureOfSignificantUnobservableInputsUsedInFairValueMeasurementOfAssetsExplanatory

    The following table sets forth information about significant unobservable inputs related to the Bank’s material categories of Level 3 financial assets and liabilities and the sensitivity of these fair values to reasonably possible alternative assumptions.
     
    As of December 31,2017
     
    Financial instrument
    Fair Value
    Valuation
    technique
    Significant
    unobservable
    input
    Range of
    inputs
    Weighted
    average
    Sensitivity
    100
    basis point
    increase
    Sensitivity
    100
    basis point
    decrease
    Amounts in millions of COP
    Debt securities
    Securities issued by other financial institutions
    TIPS
    236,236
    Discounted cash flow
    Yield
    0.43% to 10.35%
    0.63%
    225,867
    235,382
    Liquidity risk
    Premium
    0% to 10.35%
    4.48%
    226,007
    235,228
    Prepayment
    Speed
    n/a
    n/a
    231,087
    230,152
    Other bonds
    41,776
    Discounted cash flow
    Yield
    (0.11%) to 0.76%
    0.81%
    35,305
    38,282
    Securitizations
    10,919
    Discounted cash flow
    Yield
    2.24% to (3.43%)
    (1.19%)
    10,825
    11,014
    Time deposit
    8,118
    Discounted cash flow
    Yield
    1.77% to 1.86%
    1.81%
    8,056
    8,184
    Securities issued by other financial institutions
    297,049
     
     
     
     
     
     
    Corporate bonds
    3,118
    Discounted cash flow
    Yield
    (0.11%) to 0.76%
    0.81%
    3,292
    2,985
    Total debt securities
    300,167
     
     
     
     
     
     
    Equity securities
     
     
     
     
     
     
     
    Equity securities
    1,343,604
    Price-based
    Price
    n/a
    n/a
    n/a
    n/a
    Derivative financial instruments
     
     
     
     
     
     
     
    Options
    14,249
    Black-Scholes
    Recovery rate
    0.06% to 23.75%
    4.99%
    14,142
    14,280
    Forward
    73,069
    Discounted cash flow
    Credit spread
    0% to 16.54%
    2.41%
    72,886
    73,263
    Swaps
    176,499
    Discounted cash flow
    Credit spread
    0% to 21.31%
    1.95%
    170,701
    182,343
    Investment in associates
     
     
     
     
     
     
     
    P.A Viva Malls
    757,886
    Price-based
    Price
    n/a
    n/a
    n/a
    n/a
    Equity securities -  Assets held for sale
     
     
     
     
     
     
     
    Assets held for sale
    2,486
    Price-based
    Price
    n/a
    n/a
    n/a
    n/a
     
    As of December 31,2016
     
    Financial instrument
    Fair Value
    Valuation
    technique
    Significant
    unobservable
    input
    Range
    of inputs
    Weighted
    average
    Sensitivity
    100
    basis point
    increase
    Sensitivity
    100
    basis point
    decrease
    Amounts in millions of COP
    Debt securities
    Securities issued by other financial institutions
    TIPS
    22,651
    Discounted cash flow
    Yield
    (0.23%) to 0.76%
    0.32%
    22,484
    22,807
    Liquidity risk
    Premium
    0% to 10.35%
    9.58%
    22,377
    22,687
    Prepayment
    Speed
    n/a
    n/a
    22,557
    22,509
    Other bonds
    75,862
    Discounted cash flow
    Yield
    0.75% to 1.20%
    2.14%
    68,621
    73,182
    Debt securities
    2,350
    Discounted cash flow
    Yield
    (0.12%)
    (0.12%)
    2,297
    2,388
    Asset-backed securities
    16,895
    Discounted cash flow
    Yield
    (0.12%)
    1.65%
    16,766
    17,056
    Securities issued by other financial institutions
    117,758
     
     
     
     
     
     
    Corporate bonds
    14,929
    Discounted cash flow
    Yield
    (0.24%)
    (0.24%)
    3,448
    2,124
    Total  debt securities
    132,687
     
     
     
     
     
     
    Equity securities
     
     
     
     
     
     
     
    Equity securities
    1,178,678
    Price-based
    Price
    n/a
    n/a
    n/a
    n/a
    Derivative fiancial instruments
     
     
     
     
     
     
     
    Options
    41,496
    Black-Scholes
    Recovery rate
    25.00%
    25.00%
    41,668
    41,661
    Forward
    106,921
    Discounted cash flow
    Credit spread
    0% to 20.05%
    5.01%
    106,759
    107,346
    Swaps
    201,185
    Discounted cash flow
    Credit spread
    0% to 23.44%
    5.86%
    200,098
    202,279
    Investment in associates
     
     
     
     
     
     
     
    P.A Viva Malls
    388,595
    Price-based
    Price
    n/a
    n/a
    n/a
    n/a