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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, 2019
CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING |
CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING | 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:
|  | 2019 |  | 2018
|  | S/(000) |  | S/(000)
Cash collateral on repurchase agreements and security lendings (i) |  | 3,293,837 |  | 3,409,890
Reverse repurchase agreement and security borrowings (ii) |  | 899,435 |  | 659,380
Receivables for short sales |  | 95,252 |  | 13,672
Total |  | 4,288,524 |  | 4,082,942
(i) At December 31, 2019, the balance mainly comprises cash collateral for approximately US$844.5 million, equivalent to S/2,798.7 million, delivered to BCRP to secure a borrowing in soles of approximately S/2,800.4 million from the same entity (cash collateral for approximately US$919.2 million, equivalent to S/3,100.5 million, and borrowing of approximately S/2,948.5 million, at December 31, 2018). Cash collateral granted 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, 2019 |  | At December 31, 2018
|  |  |  | Average |  |  |  |  |  |  |  |  |  | Fair value of |  | Average |  |  |  |  |  |  |  |  |  | Fair value of
|  |  |  | interest |  | Up to 3 |  | From 3 to |  | More than |  | Carrying |  | underlying |  | interest |  | Up to |  | From 3 to |  | More than |  | Carrying |  | underlying
|  | Currency |  | rate |  | days |  | 30 days |  | 30 days |  | amount |  | assets |  | rate |  | 3 days |  | 30 days |  | 30 days |  | amount |  | 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 |  | 5.61 |  | 97,747 |  | 376,043 |  | 76,396 |  | 550,186 |  | 550,579 |  | 6.60 |  | — |  | 401,580 |  | 47,872 |  | 449,452 |  | 443,386
Instruments issued by the Chilean Government |  | Chilean pesos |  | 0.34 |  | 7,002 |  | 15,505 |  | — |  | 22,507 |  | 22,507 |  | 0.27 |  | 24,624 |  | — |  | — |  | 24,624 |  | 24,628
Other instruments |  |  |  | 4.44 |  | 156,969 |  | 130,932 |  | 38,841 |  | 326,742 |  | 328,291 |  | 3.76 |  | 12,013 |  | 157,871 |  | 15,420 |  | 185,304 |  | 186,774
|  |  |  |  |  | 261,718 |  | 522,480 |  | 115,237 |  | 899,435 |  | 901,377 |  |  |  | 36,637 |  | 559,451 |  | 63,292 |  | 659,380 |  | 654,788
b) Credicorp, through its subsidiaries, obtains financing through “Payables from 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, 2019 |  | At December 31, 2018
|  |  |  | Average |  |  |  |  |  |  |  |  |  | Fair value of |  | Average |  |  |  |  |  |  |  |  |  | Fair value of
|  |  |  | interest |  | Up to 3 |  | From 3 to |  | More than |  | Carrying |  | underlying |  | interest |  | Up to |  | From 3 to |  | More than |  | Carrying |  | underlying
|  | Currency |  | rate |  | days |  | 30 days |  | 30 days |  | amount |  | assets |  | rate |  | 3 days |  | 30 days |  | 30 days |  | amount |  | assets
|  |  |  | % |  | S/(000) |  | S/(000) |  | S/(000) |  | S/(000) |  | S/(000) |  | % |  | S/(000) |  | S/(000) |  | S/(000) |  | S/(000) |  | S/(000)
Debt instruments (c) |  |  |  |  |  | 64,900 |  | 25,699 |  | 6,240,866 |  | 6,331,465 |  | 6,709,182 |  |  |  | 159,570 |  | 365,201 |  | 7,420,019 |  | 7,944,790 |  | 8,572,837
Instruments issued by the Colombian Government |  | Colombian pesos |  | 5.49 |  | 135,997 |  | 941,431 |  | — |  | 1,077,428 |  | 1,077,917 |  | 5.97 |  | — |  | 1,231,639 |  | 3,124 |  | 1,234,763 |  | 1,235,472
Instruments issued by the Chilean Government |  | Chilean pesos |  | 0.20 |  | 130,551 |  | 44,411 |  | — |  | 174,962 |  | 175,054 |  | 0.26 |  | 24,912 |  | — |  | — |  | 24,912 |  | 27,529
Other instruments |  |  |  | 2.07 |  | 70,997 |  | 16,809 |  | 6,355 |  | 94,161 |  | 105,086 |  | 1.88 |  | 144,668 |  | 66,224 |  | — |  | 210,892 |  | 214,051
|  |  |  |  |  | 402,445 |  | 1,028,350 |  | 6,247,221 |  | 7,678,016 |  | 8,067,239 |  |  |  | 329,150 |  | 1,663,064 |  | 7,423,143 |  | 9,415,357 |  | 10,049,889
c) At December 31, 2019, and 2018, 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, 2019 |  | At December 31, 2018
|  |  |  |  |  | Carrying |  |  |  |  |  | Carrying |  |
Counterparties |  | Currency |  | Maturity |  | amount |  | Collateral |  | Maturity |  | amount |  | Collateral
|  |  |  |  |  | S/(000) |  |  |  |  |  | S/(000) |  |
BCRP, Note 5(a)(i) |  | Soles |  | February 2020 / October 2020 |  | 2,800,400 |  | Cash with BCRP |  | January 2019 / November 2019 |  | 2,948,500 |  | Cash with BCRP
BCRP |  | Soles |  | June 2020 / November 2020 |  | 1,504,088 |  | Investments |  | January 2019 / November 2020 |  | 2,220,265 |  | Investments
Natixis S.A. |  | Soles |  | August 2020 / August 2028 |  | 570,000 |  | Investments |  | August 2020 / August 2028 |  | 570,000 |  | Investments
Banco Central de Bolivia |  | Bolivianos |  | May 2020 / February 2021 |  | 398,586 |  | Cash |  | May 2019 |  | 89,941 |  | Cash
Nomura International PLC (i) |  | U.S. Dollar |  | August 2020 |  | 265,120 |  | Investments and cash |  | August 2020 |  | 269,840 |  | Investments and cash
Nomura International PLC (ii) |  | U.S. Dollar |  | August 2020 |  | 231,980 |  | Investments and cash |  | August 2020 |  | 236,110 |  | Investments and cash
Citigroup Global Market Limited (iii) |  | U.S. Dollar |  | August 2026 |  | 149,130 |  | Investments |  | August 2026 |  | 151,785 |  | Investments
Citigroup Global Markets Limited |  | Soles |  | August 2020 |  | 100,000 |  | Investments |  | August 2020 |  | 100,000 |  | Investments
Natixis S.A. (iv) |  | U.S. Dollar |  | August 2026 |  | 82,850 |  | Investments |  | August 2026 |  | 84,325 |  | Investments
Banco de la República |  | Colombian pesos |  | January 2020 |  | 64,540 |  | Investments |  | January 2019 |  | 42,607 |  | Investments
Nomura International PLC (v) |  | U.S. Dollar |  | - |  | — |  | - |  | March 2019 / December 2019 |  | 505,950 |  | Investments
Naitixis |  | U.S. Dollar |  | - |  | — |  | - |  | January 2019 / March 2019 |  | 566,962 |  | Investments
Other below S/6.0 million |  | - |  | January 2020 / April 2033 |  | 64,970 |  | Investments |  | January 2019 / October 2033 |  | 70,298 |  | Investments
Accrued interest |  |  |  |  |  | 99,801 |  |  |  |  |  | 88,207 |  |
|  |  |  |  |  | 6,331,465 |  |  |  |  |  | 7,944,790 |  |
At December 31, 2019, said operations accrue interest at fixed and variable rates between 2.6 percent and 7.20 percent and between Libor 3M + 0.80 percent and Libor 6M + 1.90 percent, respectively, (between 0.09 percent and 7.20 percent and between Libor 3M + 0.35 percent and Libor 6M + 1.90 percent, respectively, at December 31, 2018). Certain repurchase agreements were hedged using interest rate swaps (IRS) and cross-currency swaps (CCS), as detailed below: (i) At December 31, 2019, 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 rate for a notional amount of US$80.0 million, equivalent to S/265.1 million (approximately US$80.0 million, equivalent to S/269.8 million, at December 31, 2018). By means of the IRS and the CCS, said repurchase agreement was economically converted to soles at fixed interest rate; see note 13(b). (ii) At December 31, 2019, the Group maintain a CCS, which was designated as a cash flow hedge of a repurchase agreement in U.S. Dollars at variable interest rate for a notional amount of US$70.0 million, equivalent to S/232.0 million (approximately US$70.0 million, equivalent to S/236.1 million, at December 31, 2018). By means of the CCS, said repurchase agreement was economically converted to soles at a fixed interest rate, See note 13(b). (iii) At December 31, 2019, the Group maintains two CCS which were together designated as a cash flow hedge for two repurchase agreements in U.S. Dollars at variable rate for a notional amount of US$45.0 million, equivalent to S/149.1 million (approximately US$45.0 million, equivalent to S/151.8 million, at December 31, 2018). By means of these CCS, said repurchase agreements were economically converted to soles. See note 13(b). (iv) At December 31, 2019, the Group maintains a CCS which was designated as a cash flow hedge of a repurchase agreement in U.S. Dollars at variable rate for a total notional amount of US$25.0 million, equivalent to S/82.9 million (approximately US$25.0 million, equivalent to S/84.3 million, at December 31, 2018). By means of the CCS, said repurchase agreement was economically converted to soles at a fixed interest rate; see note 13(b). (v) At December 31, 2018, the Group maintained five IRS which were designated as a cash flow hedge of a certain repurchase agreements in U.S. Dollars at variable rate for a notional amount of US$150.0 million, equivalent to S/506.0 million. By means of these IRS, said repurchase agreements were economically converted to a fixed interest rate; see note 13(b). Said IRS expired between March and December of 2019.

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- Definition The details about the cash collateral, reverse repurchase agreements and payables from repurchase agreements and security lending's. + References No definition available. + Details
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- Definition The disclosure of repurchase and reverse repurchase agreements. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Name IAS -Number 1 -IssueDate 2019-01-01 -Paragraph 10 -Subparagraph e -URI http://eifrs.ifrs.org/eifrs/xifrs-link?type=IAS&num=1&code=ifrs-tx-2019-en-r&anchor=para_10_e&doctype=Standard -URIDate 2019-03-27 + Details
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