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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, 2021
CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWING AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITIES LENDING [Abstract] |
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:
|  | 2021 |  |  | 2020 |
|  | S/(000) |  |  | S/(000) |
Cash collateral on repurchase agreements and security lendings (i) |  |  | 1,080,616 |  |  |  | 1,601,200 |
Reverse repurchase agreement and security borrowings |  |  | 654,783 |  |  |  | 626,925 |
Receivables for short sales |  |  | 31,549 |  |  |  | 166,177 |
Total |  |  | 1,766,948 |  |  |  | 2,394,302 |
| (i) | At December 31, 2021, the balance mainly comprises cash collateral in Bolivian pesos and US dollar equivalent to S/736.2 million, delivered to Banco de Central de Bolivia and US$82.4 million, equivalent to S/328.4 million, delivered to BCRP to secure a borrowing in soles of approximately S/285 million from the same entity (cash collateral for approximately US$305.1 million, equivalent to S/1,104.7 million, to secure a borrowing in soles of approximately S/1,055 million and cash collateral delivered to Banco de Central de Bolivia in Bolivian pesos and US dollar equivalent to S/486.3 million, at December 31, 2020).
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:
|  |  | 2021 |  |  | 2020 |
| 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 |  |  | 5.89 |  |  |  | – |  |  |  | 321,196 |  |  |  | – |  |  |  | 321,196 |  |  |  | 361,337 |  |  |  | 5.37 |  |  |  | – |  |  |  | 259,093 |  |  |  | – |  |  |  | 259,093 |  |  |  | 258,442 |
Instruments issued by the Chilean Government | Chilean pesos |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | (0.53 | ) |  |  | – |  |  |  | 25,775 |  |  |  | – |  |  |  | 25,775 |  |  |  | 24,427 |
Other instruments |  |  |  | 2.83 |  |  |  | 31,736 |  |  |  | 256,874 |  |  |  | 44,977 |  |  |  | 333,587 |  |  |  | 292,414 |  |  |  | 1.40 |  |  |  | 23,423 |  |  |  | 231,226 |  |  |  | 87,408 |  |  |  | 342,057 |  |  |  | 341,085 |
|  |  |  |  |  |  |  | 31,736 |  |  |  | 578,070 |  |  |  | 44,977 |  |  |  | 654,783 |  |  |  | 653,751 |  |  |  |  |  |  |  | 23,423 |  |  |  | 516,094 |  |  |  | 87,408 |  |  |  | 626,925 |  |  |  | 623,954 |
| 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:
|  |  | 2021 |  |  | 2020 |
| 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) |
Debt instruments(c) |  |  |  |  |  |  | – |  |  |  | 204,916 |  |  |  | 20,986,894 |  |  |  | 21,191,810 |  |  |  | 21,362,884 |  |  |  |  |  |  | - |  |  |  | 383,020 |  |  |  | 26,781,748 |  |  |  | 27,164,768 |  |  |  | 28,960,995 |
Instruments issued by the Colombian Government | Colombian pesos |  |  | 5.36 |  |  |  | – |  |  |  | 676,361 |  |  |  | – |  |  |  | 676,361 |  |  |  | 676,300 |  |  |  | 4.62 |  |  |  | – |  |  |  | 700,719 |  |  |  | – |  |  |  | 700,719 |  |  |  | 700,637 |
Instruments issued by the Chilean Government | Chilean pesos |  |  | 0.31 |  |  |  | – |  |  |  | 74,218 |  |  |  | – |  |  |  | 74,218 |  |  |  | 74,216 |  |  |  | 0.09 |  |  |  | 17,865 |  |  |  | – |  |  |  | – |  |  |  | 17,865 |  |  |  | 17,865 |
Other instruments |  |  |  | 2.91 |  |  |  | – |  |  |  | 71,477 |  |  |  | – |  |  |  | 71,477 |  |  |  | 71,431 |  |  |  | 1.19 |  |  |  | 31,245 |  |  |  | 9,020 |  |  |  | – |  |  |  | 40,265 |  |  |  | 40,276 |
|  |  |  |  |  |  |  | – |  |  |  | 1,026,972 |  |  |  | 20,986,894 |  |  |  | 22,013,866 |  |  |  | 22,184,831 |  |  |  |  |  |  |  | 49,110 |  |  |  | 1,092,759 |  |  |  | 26,781,748 |  |  |  | 27,923,617 |  |  |  | 29,719,773 |
| c) | At December 31, 2021, and 2020, 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:
|  |  |  | 2021 |  | 2020
|  |  |  |  |  | Carrying |  |  |  |  |  | Carrying |  |
Counterparties |  | Currency |  | Maturity |  | amount |  | Collateral |  | Maturity |  | amount |  | Collateral
|  |  |  |  |  | S/(000) |  |  |  |  |  | S/(000) |  |
BCRP - Reactiva Perú (*) |  | Soles |  | May 2023 / December 2025 |  | 15,729,959 |  | Loans guaranteed by National Government |  | May 2023 / December 2023 |  | 20,916,438 |  | Loans guaranteed by National Government
BCRP |  | Soles |  | January 2022 / September 2025 |  | 2,938,683 |  | Investments |  | March 2021 / July 2024 |  | 2,903,266 |  | Investments
Banco Central de Bolivia |  | Bolivianos |  | February 2022 / December 2022 |  | 736,155 |  | Cash |  | February 2021 / December 2022 |  | 486,331 |  | Cash
BCRP - Reactiva Perú Especial (*) |  | Soles |  | June 2023 / December 2025 |  | 672,289 |  | Loans guaranteed by National Government |  | June 2023 / December 2023 |  | 756,387 |  | Loans guaranteed by National Government
BCRP, nota 5(a)(i) |  | Soles |  | March 2022 / March 2023 |  | 285,000 |  | Cash with BCRP |  | February 2021 / March 2023 |  | 1,055,000 |  | Cash with BCRP
Natixis S.A. |  | Soles |  | August 2028 |  | 270,000 |  | Investments |  | August 2028 |  | 270,000 |  | Investments
Banco de la República de Colombia |  | Colombian pesos |  | January 2022 |  | 203,026 |  | Investments |  | January 2021 |  | 319,481 |  | Investments
Citigroup Global Markets Limited (i) |  | US dollar |  | August 2026 |  | 179,415 |  | Investments |  | August 2026 |  | 162,945 |  | Investments
Natixis S.A. (ii) |  | US dollar |  | August 2026 |  | 99,675 |  | Investments |  | August 2026 |  | 90,525 |  | Investments
Other minors |  |  |  | January 2022 |  | 1,848 |  | Investments |  | January 2021 / April 2033 |  | 91,160 |  | Investments
Accrued interest |  |  |  |  |  | 75,760 |  |  |  |  |  | 113,235 |  |
|  |  |  |  |  | 21,191,810 |  |  |  |  |  | 27,164,768 |  |
(*) 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 (Reactiva Especial). 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 2021, the total credits granted through the Reactiva Perú program is S/10,864.6 million (S/24,286.5 million, at December 31, 2020), see Note 7(a). See more details of the Reactiva Perú program in Note 2(b). As of December 31, 2021 and 2020, said operations accrue interest at fixed and variable rates between 0.5 percent and 6.73 percent and between Libor 6M + 1.68 percent and Libor 6M + 1.90 percent. Certain repurchase agreements were hedged using cross-currency swaps (CCS), as detailed below:
| (i) | As of December 31, 2021 the Group maintains cross currency swaps (CCS) which were designated as a cash flow hedge of certain repurchase agreements in US dollar at variable rate for a notional amount of US$ 45.0 million, equivalent to S/ 179.4 million (approximately US$ 45.0 million, equivalent to S/162.9 million, at December 31, 2020). By means of these CCS, said repurchase agreements were economically converted to soles, see note 13(c).
| (ii) | As of December 31, 2021, the Group maintains a CCS which was designated as a cash flow hedge of a repurchase agreement in US dollar at variable rate for a total notional amount of US$25.0 million, equivalent to S/99.7 million (approximately US$25.0 million, equivalent to S/90.5 million, at December 31, 2020). By means of the CCS, said repurchase agreement was economically converted to soles at a fixed interest rate; see note 13(c).

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