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CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING | 12 Months Ended
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Dec. 31, 2018
Disclosure of Cash Collateral, Reverse Repurchase Agreements And Securities Borrowings And Payables From Repurchase Agreements And Security Lending's [Abstract] |
Disclosure of repurchase and reverse repurchase agreements [text block] |
| 5 | CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING
| a) | We present below the composition of cash collateral, reverse repurchase agreements and securities borrowing:
|  | 2018 |  |  | 2017 |
|  | S/(000) |  |  | S/(000) |
Cash collateral on repurchase agreements and security lendings (i) |  |  | 3,409,890 |  |  |  | 6,962,421 |
Cash collateral for short sales |  |  | – |  |  |  | 17,688 |
Reverse repurchase agreement and security borrowings (ii) |  |  | 659,380 |  |  |  | 456,145 |
Receivables for short sales |  |  | 13,672 |  |  |  | 44,166 |
Total |  |  | 4,082,942 |  |  |  | 7,480,420 |
| (i) | At December 31, 2018, the balance mainly comprises cash collateral for approximately US$919.2 million, equivalent to S/3,100.5 million, delivered to BCRP to secure a borrowing in soles of approximately S/2,948.5 million obtained from the same entity (cash collateral for approximately US$2,061.5 million, equivalent to S/6,681.2 million, and borrowing of approximately S/6,575.8 million, at December 31, 2017).
Cash collateral bears interest at an average annual effective interest rate according to market rates. The related liability is presented in “Payables from repurchase agreements and securities lending” of the consolidated statement of financial position, see paragraph (c) below.
| (ii) | Credicorp, mainly through its subsidiaries, provides financing to its customers through reverse repurchase agreements and securities borrowing, in which a financial instrument serves as collateral. Details of said transactions are as follows:
|  |  |  | At December 31, 2018 |  |  | At December 31, 2017 |
|  | Currency |  | Average interest rate |  |  | Up to 3 days |  |  | From 3 to 30 days |  |  | More than 30 days |  |  | Carrying amount |  |  | Fair value of underlying assets |  |  | Average interest rate |  |  | Up to 3 days |  |  | From 3 to 30 days |  |  | More than 30 days |  |  | Carrying amount |  |  | Fair value of underlying assets |
|  |  |  | % |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | % |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |
Instruments issued by the Colombian Government |  | Colombian pesos |  |  | 6.60 |  |  |  | – |  |  |  | 401,580 |  |  |  | 47,872 |  |  |  | 449,452 |  |  |  | 443,386 |  |  |  | 6.79 |  |  |  | – |  |  |  | 138,552 |  |  |  | 170,106 |  |  |  | 308,658 |  |  |  | 309,574 |
Instruments issued by the Chilean Government |  | Chilean pesos |  |  | 0.27 |  |  |  | 24,624 |  |  |  | – |  |  |  | – |  |  |  | 24,624 |  |  |  | 24,628 |  |  |  | 0.35 |  |  |  | 8,920 |  |  |  | 256 |  |  |  | – |  |  |  | 9,176 |  |  |  | 9,176 |
Other instruments |  |  |  |  | 3.76 |  |  |  | 12,013 |  |  |  | 157,871 |  |  |  | 15,420 |  |  |  | 185,304 |  |  |  | 186,774 |  |  |  | 2.62 |  |  |  | 23,337 |  |  |  | 70,809 |  |  |  | 44,165 |  |  |  | 138,311 |  |  |  | 137,815 |
|  |  |  |  |  |  |  |  | 36,637 |  |  |  | 559,451 |  |  |  | 63,292 |  |  |  | 659,380 |  |  |  | 654,788 |  |  |  |  |  |  |  | 32,257 |  |  |  | 209,617 |  |  |  | 214,271 |  |  |  | 456,145 |  |  |  | 456,565 |
| b) | Credicorp, through its subsidiaries, obtains financing through “Payables on repurchase agreements and securities lending” by selling financial instruments and committing to repurchase them at future dates, including interest at a fixed rate. The details of said transactions are as follows:
|  |  |  | At December 31, 2018 |  |  | At December 31, 2017 |
|  | Currency |  | Average interest rate |  |  | Up to 3 days |  |  | From 3 to 30 days |  |  | More than 30 days |  |  | Carrying amount |  |  | Fair value of underlying assets |  |  | Average interest rate |  |  | Up to 3 days |  |  | From 3 to 30 days |  |  | More than 30 days |  |  | Carrying amount |  |  | Fair value of underlying assets |
|  |  |  | % |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | % |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |  |  | S/(000) |
Instruments issued by the Colombian Government |  | Colombian pesos |  |  | 5.97 |  |  |  | – |  |  |  | 1,231,639 |  |  |  | 3,124 |  |  |  | 1,234,763 |  |  |  | 1,235,472 |  |  |  | 6.62 |  |  |  | – |  |  |  | 1,291,621 |  |  |  | – |  |  |  | 1,291,621 |  |  |  | 1,292,272 |
Instruments issued by the Chilean Government |  | Chilean pesos |  |  | 0.26 |  |  |  | 24,912 |  |  |  | – |  |  |  | – |  |  |  | 24,912 |  |  |  | 27,529 |  |  |  | 0.25 |  |  |  | 103,040 |  |  |  | – |  |  |  | – |  |  |  | 103,040 |  |  |  | 103,040 |
Other instruments |  |  |  |  | 1.88 |  |  |  | 144,668 |  |  |  | 66,224 |  |  |  | – |  |  |  | 210,892 |  |  |  | 214,051 |  |  |  | 0.23 |  |  |  | 146,146 |  |  |  | – |  |  |  | 236 |  |  |  | 146,382 |  |  |  | 146,382 |
Debt instruments (c) |  |  |  |  |  |  |  |  | 159,570 |  |  |  | 365,201 |  |  |  | 7,420,019 |  |  |  | 7,944,790 |  |  |  | 8,572,837 |  |  |  |  |  |  |  | 8,921 |  |  |  | 47,946 |  |  |  | 11,817,933 |  |  |  | 11,874,800 |  |  |  | 12,392,983 |
|  |  |  |  |  |  |  |  | 329,150 |  |  |  | 1,663,064 |  |  |  | 7,423,143 |  |  |  | 9,415,357 |  |  |  | 10,049,889 |  |  |  |  |  |  |  | 258,107 |  |  |  | 1,339,567 |  |  |  | 11,818,169 |  |  |  | 13,415,843 |  |  |  | 13,934,677 |
| c) | At December 31, 2018, and 2017, the Group has repurchase agreements secured with: (i) cash, see Note 5(a), and (ii) investments, see Note 6(b). This item consists of the following:
|  |  |  | At December 31, 2018 |  | At December 31, 2017
|  |  |  |  |  | Carrying |  |  |  |  |  |  | Carrying |  |  |
Counterparties |  | Currency |  | Maturity |  | amount |  |  | Collateral |  | Maturity |  | amount |  |  | Collateral
|  |  |  |  |  | S/(000) |  |  |  |  |  |  | S/(000) |  |  |
BCRP, Note 5(a)(i) |  | Soles |  | January 2019 / November 2019 |  |  | 2,948,500 |  |  | Cash with BCRP |  | January 2018 / October 2020 |  |  | 6,575,800 |  |  | Cash with BCRP
BCRP |  | Soles |  | January 2019 / November 2020 |  |  | 2,220,265 |  |  | FVOCI investments (*) and amortized cost investments |  | January 2018 / July 2020 |  |  | 2,710,232 |  |  | Available-for-sale investments and held-to-maturity investments
Natixis S.A. |  | Soles |  | August 2020 / August 2028 |  |  | 570,000 |  |  | Amortized cost investments |  | August 2020 / August 2028 |  |  | 570,000 |  |  | Held-to-maturity investments
Nomura International PLC (i) |  | U.S. Dollar |  | March 2019 / December 2019 |  |  | 505,950 |  |  | Amortized cost investments and cash |  | March 2019 / December 2019 |  |  | 486,150 |  |  | Held-to-maturity investments and cash
Natixis |  | U.S. Dollar |  | January 2019 / March 2019 |  |  | 566,962 |  |  | FVOCI investments (*), amortized cost investments and FVPL investments |  | January 2018 / July 2018 |  |  | 293,944 |  |  | Available-for-sale investments and held-to-maturity investments
Nomura International PLC (ii) |  | U.S. Dollar |  | August 2020 |  |  | 269,840 |  |  | Amortized cost investments and cash |  | August 2020 |  |  | 259,280 |  |  | Held-to-maturity investments and cash
Nomura International PLC (iii) |  | U.S. Dollar |  | August 2020 |  |  | 236,110 |  |  | Amortized cost investments and cash |  | August 2020 |  |  | 226,870 |  |  | Held-to-maturity investments and cash
Citigroup Global Markets Limited (iv) |  | U.S. Dollar |  | August 2026 |  |  | 151,785 |  |  | FVOCI investments (*) |  | August 2026 |  |  | 145,845 |  |  | Available-for-sale investments
Citigroup Global Markets Limited |  | Soles |  | August 2020 |  |  | 100,000 |  |  | Amortized cost investments |  | August 2020 |  |  | 100,000 |  |  | Held-to-maturity investments
Banco Central de Bolivia |  | Bolivianos |  | May 2019 |  |  | 89,941 |  |  | Cash |  | January 2018 |  |  | 90,134 |  |  | Cash
Banco Económico S.A. |  | Bolivianos |  | October 2033 |  |  | 15,437 |  |  | Amortized cost investments |  | - |  |  | – |  |  | -
Banco de la República |  | Colombian Pesos |  | January 2019 |  |  | 42,607 |  |  | FVPL investments |  | - |  |  | – |  |  | -
UBS |  | U.S. Dollar |  | February 2019 |  |  | 33,255 |  |  | FVOCI investments (*) |  | January 2018 / March 2018 |  |  | 83,921 |  |  | Held-to-maturity investments
Natixis S.A. (v) |  | U.S. Dollar |  | August 2026 |  |  | 84,325 |  |  | FVOCI investments (*) |  | August 2026 |  |  | 81,025 |  |  | Available-for-sale investments
Other below S/22 million |  | - |  | January 2019 |  |  | 21,606 |  |  | FVPL investments |  | January 2018 / December 2032 |  |  | 46,069 |  |  | Investments
Accrued interest |  |  |  |  |  |  | 88,207 |  |  |  |  |  |  |  | 205,530 |  |  |
|  |  |  |  |  |  | 7,944,790 |  |  |  |  |  |  |  | 11,874,800 |  |  |
(*) This item includes investments at fair value through other comprehensive income At December 31, 2018, said operations accrue interest at fixed and variable rates between 0.09 percent and 7.20 percent and between Libor 3M + 0.35 percent and Libor 6M + 1.90 percent, respectively, (between 1.00 percent and 7.20 percent and between Libor 3M + 0.35 percent and Libor 6M + 1.90 percent, respectively, at December 31, 2017). Certain repurchase agreements were hedged using interest rate swaps (IRS) and cross-currency swaps (CCS), as detailed below:
| (i) | At December 31, 2018, the Group holds five IRS which were designated as cash flow hedges of certain repurchase agreements at variable rate for a notional amount of US$150.0 million, equivalent to S/506.0 million (US$150.0 million, equivalent to S/486.2 million, at December 31, 2017). By using these IRS, those repurchase agreements were economically converted to fixed interest rate; see Note 12(b).
| (ii) | At December 31, 2018, the Group maintains an IRS and a CCS, which were together designated as a cash flow hedge of a repurchase agreement in U.S. dollars at variable interest rate for a notional amount of US$80.0 million, equivalent to S/269.8 million (US$80.0 million, equivalent to S/259.3 million, at December 31, 2017). By means of the IRS and the CCS, said repurchase agreement was economically converted to soles at a fixed interest rate, See Note 12(b).
| (iii) | At December 31, 2018, the Group maintains a CCS which were designated as a cash flow hedge for a repurchase agreement in U.S. dollars at variable rate for a notional amount of US$70.0 million, equivalent to S/236.1million (approximately US$70.0 million, equivalent to S/226.9 million, at December 31, 2017). By means of the CCS, this repurchase agreement was economically converted to soles at a fixed interest rate. See Note 12(b).
| (iv) | December 31, 2018, the Group maintains two CCS which were designated as a cash flow hedge of two repurchase agreements in U.S. dollars at variable rate for a total notional amount of US$45.0 million, equivalent to S/151.8 million (approximately US$45.0 million, equivalent to S/145.8 million, at December 31, 2017). By means of the CCS, said repurchase agreements were economically converted to soles; see Note 12(b).
| (v) | At December 31, 2018, the Group maintains a CCS which were designated as a cash flow hedge of a repurchase agreement in U.S. dollars at variable rate for a notional amount of US$25.0 million, equivalent to S/84.3 million (approximately US$25.0 million, equivalent to S/81.0 million, at December 31, 2017). By means of the CCS, said repurchase agreement was economically converted to soles at a fixed interest rate; see Note 12(b).

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