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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, 2023
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:
|  | 2023 |  |  | 2022 |
|  | S/(000) |  |  | S/(000) |
Cash collateral on repurchase agreements and security lendings (i) |  |  | 607,639 |  |  |  | 649,769 |
Reverse repurchase agreement and security Borrowings (ii) |  |  | 719,722 |  |  |  | 452,087 |
Receivables for short sales |  |  | 83,286 |  |  |  | – |
Total |  |  | 1,410,647 |  |  |  | 1,101,856 |
| (i) | As of December 31, 2023, the balance mainly comprises cash guarantees in U.S. Dollar and Bolivianos. Cash guarantees were delivered to the Central Bank of Bolivia, in Bolivians and U.S. Dollar for the equivalent of S/590.7 million (S/424.8 million, as of December 31, 2022). As of December 31, 2022, cash collateral for approximately US$52.5 million, equivalent to S/200.4 million to secure a borrowing in Soles of approximately S/185.0 million. 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:
|  |  | 2023 |  |  | 2022 |
| 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 peso |  |  | 6.09 |  |  |  | – |  |  |  | 603,441 |  |  |  | 82,075 |  |  |  | 685,516 |  |  |  | 687,878 |  |  |  | 4.66 |  |  |  | – |  |  |  | 205,480 |  |  |  | 26,979 |  |  |  | 232,459 |  |  |  | 254,226 |
Other instruments | Several |  |  | 0.96 |  |  |  | 6,722 |  |  |  | 25,585 |  |  |  | 1,899 |  |  |  | 34,206 |  |  |  | 34,223 |  |  |  | 1.69 |  |  |  | 42,616 |  |  |  | 128,232 |  |  |  | 48,780 |  |  |  | 219,628 |  |  |  | 218,859 |
|  |  |  |  |  |  |  | 6,722 |  |  |  | 629,026 |  |  |  | 83,974 |  |  |  | 719,722 |  |  |  | 722,101 |  |  |  |  |  |  |  | 42,616 |  |  |  | 333,712 |  |  |  | 75,759 |  |  |  | 452,087 |  |  |  | 473,085 |
| 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:
|  |  | 2023 |  |  | 2022 |
| 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, cash and credit portfolio (c) |  |  |  |  |  |  | – |  |  |  | 9,582 |  |  |  | 8,596,559 |  |  |  | 8,606,141 |  |  |  | 9,268,346 |  |  |  |  |  |  | - |  |  |  | 64,273 |  |  |  | 12,268,416 |  |  |  | 12,332,689 |  |  |  | 12,449,218 |
Instruments issued by the Colombian Government | Colombian pesos |  |  | 6.22 |  |  |  | – |  |  |  | 1,410,328 |  |  |  | – |  |  |  | 1,410,328 |  |  |  | 1,408,486 |  |  |  | 6.12 |  |  |  | – |  |  |  | 539,731 |  |  |  | – |  |  |  | 539,731 |  |  |  | 536,398 |
Instruments issued by the Chilean Government | Chilean pesos |  |  | 0.75 |  |  |  | 57,066 |  |  |  | – |  |  |  | – |  |  |  | 57,066 |  |  |  | 57,095 |  |  |  | 0.96 |  |  |  | 38,192 |  |  |  | – |  |  |  | – |  |  |  | 38,192 |  |  |  | 38,192 |
Other instruments |  |  |  | 6.91 |  |  |  | 41,056 |  |  |  | 53,836 |  |  |  | – |  |  |  | 94,892 |  |  |  | 94,659 |  |  |  | 3.77 |  |  |  | 15,840 |  |  |  | 40,273 |  |  |  | – |  |  |  | 56,113 |  |  |  | 56,193 |
|  |  |  |  |  |  |  | 98,122 |  |  |  | 1,473,746 |  |  |  | 8,596,559 |  |  |  | 10,168,427 |  |  |  | 10,828,586 |  |  |  |  |  |  |  | 54,032 |  |  |  | 644,277 |  |  |  | 12,268,416 |  |  |  | 12,966,725 |  |  |  | 13,080,001 |
| c) | As of December 31, 2023, and 2022, the Group has repurchase agreements secured with: (i) cash, see note 4(a), (ii) investments, see note 6(b), and (iii) loans, see note 7(a). This item consists of the following:
|  |  |  | 2023 |  | 2022
|  |  |  |  |  | Carrying |  |  |  |  |  | Carrying |  |
Counterparties |  | Currency |  | Maturity |  | amount |  | Collateral |  | Maturity |  | amount |  | Collateral
|  |  |  |  |  | S/(000) |  |  |  |  |  | S/(000) |  |
BCRP |  | Sol |  | January 2024 / September 2025 |  | 5,436,564 |  | Investment and credit portfolio |  | January 2023 / September 2025 |  | 3,263,472 |  | Investment and credit Portfolio
BCRP - Reactiva Perú (*) |  | Sol |  | May 2024 / December 2025 |  | 1,779,934 |  | Loans guaranteed by National Government |  | May 2023 / December 2025 |  | 6,981,698 |  | Loans guaranteed by National Government
Banco Central de Bolivia |  | Boliviano |  | December 2024 / March 2025 |  | 590,715 |  | Cash |  | January 2023 / December 2023 |  | 424,822 |  | Cash
Natixis S.A. |  | Sol |  | August 2028 |  | 270,000 |  | Investments |  | August 2028 |  | 270,000 |  | Investments
Citigroup Global Markets Limited (i) |  | U.S. Dollar |  | August 2026 |  | 166,905 |  | Investments |  | August 2026 |  | 171,630 |  | Investments
BCRP - Reactiva Perú Especial (*) |  | Sol |  | June 2024 / December 2025 |  | 133,309 |  | Loans guaranteed by National Government |  | June 2023 / December 2025 |  | 793,734 |  | Loans guaranteed by National Government
Natixis (ii) |  | U.S. Dollar |  | August 2026 |  | 92,725 |  | Investments |  | August 2026 |  | 95,350 |  | Investments
Banco de la República |  | Colombian peso |  | January 2024 |  | 9,569 |  | Investments |  | January 2023 |  | 58,955 |  | Investments
BCRP, note 5(a)(i) |  | Sol |  | - |  | - |  | - |  | March 2023 |  | 185,000 |  | Cash with BCRP
Other minors |  | - |  | - |  | - |  | - |  | January 2023 |  | 5,099 |  | Investments
Accrued interest |  |  |  |  |  | 126,420 |  |  |  |  |  | 82,929 |  |
|  |  |  |  |  | 8,606,141 |  |  |  |  |  | 12,332,689 |  |
(*) Throug Repo Operations, 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 0.50 percent for the operation and will include a grace period of twelve months without payment of interest or principal. As of December 31, 2023, the total credits granted through the Reactiva Peru program are S/2,877.2 million (S/8,877.2 million, as of December 31, 2022), see Note 7(a). As of December 31, 2023, said operations accrue interest at fixed and variable rates between 0.50 percent and 13 percent and SOFR 7.42 percent and 7.63 percent, (between 0.50 percent and 12.84 percent and between Libor 6M + 1.68 percent and Libor 6M + 1.90 percent, respectively, as of December 31, 2022). In July 2023, cross currency swaps (CCS) that hedged certain repurchase agreements were canceled early, the details of which are as follows:
| (i) | Cross currency swaps (CCS) which was designated as cash flow hedge of certain repurchase agreements in U.S. dollars at a variable rate for a nominal amount of US$45 million (US$45 million, equivalent to S/171.6 million, as of December 31, 2022). Through the cross currency swap (CCS), these repurchase agreements were economically converted into Soles at a fixed rate, see Note 12(c).
| (ii) | Cross currency swap (CCS) which was designated as cash flow hedge of certain repurchase agreements in U.S. dollars at a variable rate for a nominal amount of US$25 million (US$25 million, equivalent to S/95.3 million, as of December 31, 2022). Through the cross currency swap (CCS), these repurchase agreements were economically converted into Soles at a fixed rate, see Note 12(c).

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