Credit Risk

As of December 2020, the Total Risk-sharing Loans Portfolio amounted to 277,782 million pesos, with an overdue balance of 5,746 million pesos, a default of 2.07%, and a past-due portfolio coverage of 1.22 fold. This portfolio was mainly composed of loans destined to the private and financial sectors, with 97.6% of the portfolio.

The portfolio’s average annual balance per borrower increased by 11.6% in the 2016-2019 period, but has decreased as a ratio of the portfolio holding. In December 2020, the average balance increased by 4.8% when compared to 2019 by the effect of the exchange rate.

The portfolio concentration registered its highest level in the 2008 crisis when the Gini Index reached 84.9% due to the operationalization of Emerging Credit Programs. The concentration has gradually decreased to achieve a Gini index of 62.4% in December 2020.

Likewise, the portfolio concentration measured by the Herfindahl Index reflects a greater granularity in 2020. The number of companies of equal size has grown as a ratio of the total number of companies.

In the 2016-2019 period, the concentration of the 20 Largest Exposures of the Private Sector reflected a decrease with respect to Basic Capital. In December 2020, the concentration of the 20 Largest Exposures remained constant, mainly due to the effect of the exchange rate.

The Institution has a 9-level scale for measuring credit risk on the borrowers' ability and payment experience (Expected Loss), with Level 1 being an “excellent payment capacity” and Level 9 a “zero payment capacity.”

The private sector Portfolio maintained a good credit quality during the 2016-2019 period because companies rated between Level 1 (R1) and Level 3 (R3) averaged 90% of the Portfolio balance composition. In December 2020, the balance structure, rated Levels 1-3 (R1-R3), decreased to 75%. The preceding is the result of the comprehensive containment strategy implemented by the Institution: a) support to borrowers affected by the COVID-19 pandemic through rescheduling of immediate payment obligations based on their cash flows stabilization, b) additional creation of prudential reserves to support possible defaults and c) downgrade the risk rating of supported borrowers to quantify the necessary support, so as not to affect financial stability.

The Institution also supports the PYMEX (small and medium-sized companies belonging to an export or foreign exchange generation chain) under a Guarantee Program operated through the network of Financial Intermediaries. As of December 2020, the collateral portfolio presents a balance of 12,300 million pesos, composed of the Automatic Approval Program and the Transactional Program. In the last three years, the collateral portfolio’s average balance has been 12,650 million pesos.

The losses observed in the Automatic Guarantee portfolio have been lower than the expected design losses. The net charged commissions and the interest generated by the funds cover the portfolio’s observed losses.