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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, 2020
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:
|  | 2020 |  | 2019
|  | S/(000) |  | S/(000)
Cash collateral on repurchase agreements and security lendings (i) |  | 1,601,200 |  | 3,293,837
Reverse repurchase agreement and security borrowings |  | 626,925 |  | 899,435
Receivables for short sales |  | 166,177 |  | 95,252
Total |  | 2,394,302 |  | 4,288,524
(i) At December 31, 2020, the balance mainly comprises cash collateral for approximately US$305.1 million, equivalent to S/1,104.7 million, delivered to BCRP to secure a borrowing in soles of approximately S/1,055 million from the same entity (cash collateral for approximately US$844.5 million, equivalent to S/2,798.7 million, and borrowing of approximately S/2,800.4 million, at December 31, 2019). 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:
|  |  |  | 2020 |  | 2019
|  |  |  | 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 |  | 5.37 |  | — |  | 259,093 |  | — |  | 259,093 |  | 258,442 |  | 5.61 |  | 97,747 |  | 376,043 |  | 76,396 |  | 550,186 |  | 550,579
Instruments issued by the Chilean Government |  | Chilean pesos |  | (0.53) |  | — |  | 25,775 |  | — |  | 25,775 |  | 24,427 |  | 0.34 |  | 7,002 |  | 15,505 |  | — |  | 22,507 |  | 22,507
Other instruments |  |  |  | 1.40 |  | 23,423 |  | 231,226 |  | 87,408 |  | 342,057 |  | 341,085 |  | 4.44 |  | 156,969 |  | 130,932 |  | 38,841 |  | 326,742 |  | 328,291
|  |  |  |  |  | 23,423 |  | 516,094 |  | 87,408 |  | 626,925 |  | 623,954 |  |  |  | 261,718 |  | 522,480 |  | 115,237 |  | 899,435 |  | 901,377
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:
|  |  |  | 2020 |  | 2019
|  |  |  | 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) |  |  |  |  |  | — |  | 383,020 |  | 26,781,748 |  | 27,164,768 |  | 28,960,995 |  |  |  | 64,900 |  | 25,699 |  | 6,240,866 |  | 6,331,465 |  | 6,709,182
Instruments issued by the Colombian Government |  | Colombian pesos |  | 4.62 |  | — |  | 700,719 |  | — |  | 700,719 |  | 700,637 |  | 5.49 |  | 135,997 |  | 941,431 |  | — |  | 1,077,428 |  | 1,077,917
Instruments issued by the Chilean Government |  | Chilean pesos |  | 0.09 |  | 17,865 |  | — |  | — |  | 17,865 |  | 17,865 |  | 0.20 |  | 130,551 |  | 44,411 |  | — |  | 174,962 |  | 175,054
Other instruments |  |  |  | 1.19 |  | 31,245 |  | 9,020 |  | — |  | 40,265 |  | 40,276 |  | 2.07 |  | 70,997 |  | 16,809 |  | 6,355 |  | 94,161 |  | 105,086
|  |  |  |  |  | 49,110 |  | 1,092,759 |  | 26,781,748 |  | 27,923,617 |  | 29,719,773 |  |  |  | 402,445 |  | 1,028,350 |  | 6,247,221 |  | 7,678,016 |  | 8,067,239
c) At December 31, 2020, and 2019, the Group has repurchase agreements secured with: (i) cash, see note 5(a), (ii) investments, see note 6(b), and (iii) loans, see note 7(a). This item consists of the following:
|  |  |  | 2020 |  | 2019
|  |  |  |  |  | Carrying |  |  |  |  |  | Carrying |  |
Counterparties |  | Currency |  | Maturity |  | amount |  | Collateral |  | Maturity |  | amount |  | Collateral
|  |  |  |  |  | S/(000) |  |  |  |  |  | S/(000) |  |
BCRP - Reactiva Perú (*) |  | Soles |  | May 2023 / December 2023 |  | 20,916,438 |  | Loans guaranteed by National Government |  | - |  | — |  | -
BCRP |  | Soles |  | March 2021 / July 2024 |  | 2,903,266 |  | Investments |  | June 2020 / November 2020 |  | 1,504,088 |  | Investments
BCRP, nota 5(a)(i) |  | Soles |  | February 2021 / March 2023 |  | 1,055,000 |  | Cash with BCRP |  | February 2020 / October 2020 |  | 2,800,400 |  | Cash with BCRP
BCRP - Reactiva Perú Special (*) |  | Soles |  | June 2023 / December 2023 |  | 756,387 |  | Loans guaranteed by National Government |  | - |  | — |  | -
Banco Central de Bolivia |  | Bolivianos |  | February 2021 / December 2022 |  | 486,331 |  | Cash |  | May 2020 / February 2021 |  | 398,586 |  | Cash
Banco de la República de Colombia |  | Colombian pesos |  | January 2021 |  | 319,481 |  | Investments |  | January 2020 |  | 64,540 |  | Investments
Natixis S.A. |  | Soles |  | August 2028 |  | 270,000 |  | Investments |  | August 2020 / August 2028 |  | 570,000 |  | Investments
Citigroup Global Markets Limited (i) |  | U.S. Dollar |  | August 2026 |  | 162,945 |  | Investments |  | August 2026 |  | 149,130 |  | Investments
Natixis S.A. (ii) |  | U.S. Dollar |  | August 2026 |  | 90,525 |  | Investments |  | August 2026 |  | 82,850 |  | Investments
Nomura International PLC (iii) |  | U.S. Dollar |  | - |  | — |  | - |  | August 2020 |  | 265,120 |  | Investments and cash
Nomura International PLC (iv) |  | U.S. Dollar |  | - |  | — |  | - |  | August 2020 |  | 231,980 |  | Investments and cash
Citigroup Global Markets Limited |  | Soles |  | - |  | — |  | - |  | August 2020 |  | 100,000 |  | Investments
Others below S/92.0 million |  | - |  | January 2021 / April 2033 |  | 91,160 |  | Investments |  | January 2020 / April 2033 |  | 64,970 |  | Investments
Accrued interest |  |  |  |  |  | 113,235 |  |  |  |  |  | 99,801 |  |
|  |  |  |  |  | 27,164,768 |  |  |  |  |  | 6,331,465 |  |
(*)It corresponds to Agreement Transactions where BCP and MiBanco sell representing credit securities guaranteed by the BCRP, they receive soles and are obliged to buy them back at a later date. The credit representing securities with guarantee of the National Government may have the form of a portfolio of credit representing titles or of Certificates of Participation in trustee of the loan portfolio guaranteed by the National Government. The BCRP will charge a fixed interest annual rate in soles of 0.5 percent for the operation and will include a grace period of twelve months without payment of interest or principal. As of December 2020, the total credits granted through the Reactiva Peru program is S/24,286.5 million, see Note 7(a). See more details of the Reactiva Peru program in Note 2(b). At December 31, 2020, said operations accrue interest at fixed and variable rates between 0.5 percent and 6.73 percent and between Libor 6M + 1.85 percent and Libor 6M + 1.90 percent, respectively, (between 2.6 percent and 7.20 percent and between Libor 3M + 0.80 percent and Libor 6M + 1.90 percent, respectively, at December 31, 2019). Certain repurchase agreements were hedged using interest rate swaps (IRS) and cross-currency swaps (CCS), as detailed below: (i) At December 31, 2020 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/162.9 million (approximately US$45.0 million, equivalent to S/149.1 million, at December 31, 2019). By means of these CCS, said repurchase agreements were economically converted to soles, see note 13(b). (ii) At December 31, 2020, 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/90.5 million (approximately US$25.0 million, equivalent to S/82.9 million, at December 31, 2019). By means of the CCS, said repurchase agreement was economically converted to soles at a fixed interest rate; see note 13(b). (iii) As of August 31, 2020, the interest rate swap (IRS) that the Bank held as a cash flow hedge of a repurchase agreement in US dollars at a variable rate for an amount of US $ 80.0 million, equivalent to S/283.5 million (US$80.0 million, equivalent to S/265.1 million, as of December 31, 2019). Through the IRS, said repurchase agreement was economically converted to a fixed rate. Likewise, the cross currency swap (CCS) expired, which was designated in a combined manner with the IRS, which the Bank maintained as a cash flow hedge since, through said instrument, the repurchase agreement was economically converted to soles at a fixed rate, see note 13(b). (iv) As of August 31, 2020, the cross currency swap (CCS) that the Bank held as a cash flow hedge of a repurchase agreement in US dollars at a variable rate expired for a nominal amount of US$70.0 million, equivalent to S/248.0 million (US$70.0 million, equivalent to S/231.9 million, as of December 31, 2019). Through the cross currency swap (CCS), said repurchase agreement was economically converted to soles at a fixed rate, see note 13(b).

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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 2020-01-01 -Paragraph 10 -Subparagraph e -URI http://eifrs.ifrs.org/eifrs/xifrs-link?type=IAS&num=1&code=ifrs-tx-2020-en-r&anchor=para_10_e&doctype=Standard -URIDate 2020-01-01 + Details
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