XML 27 R12.htm IDEA: XBRL DOCUMENT

CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING

12 Months Ended

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]

CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING

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

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

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

Counterparties

Currency

Maturity

amount

Collateral

Maturity

amount

Collateral

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).