CREDICORP LTD | CIK:0001001290 | 3

  • Filed: 4/26/2018
  • Entity registrant name: CREDICORP LTD (CIK: 0001001290)
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    • ifrs-full:DisclosureOfRepurchaseAndReverseRepurchaseAgreementsExplanatory

    5
    CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWINGS AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITY LENDINGS
     
    a)
    This balance consists of the following:
     
     
     
    2017
     
    2016
     
     
     
    S/(000)
     
    S/(000)
     
    Cash collateral on repurchase agreements and security lendings (i)
     
     
    6,962,421
     
     
    10,621,045
     
    Cash collateral for short sales
     
     
    17,688
     
     
    –
     
    Reverse repurchase agreement and security borrowings (ii)
     
     
    456,145
     
     
    294,558
     
    Receivables for short sales
     
     
    44,166
     
     
    4,021
     
    Total
     
     
    7,480,420
     
     
    10,919,624
     
     
    (i)
    At December 31, 2017, the balance mainly comprises cash collateral for approximately US$2,061.5 million (equivalent to S/6,681.2 million) delivered to BCRP to secure a borrowing in soles of approximately S/6,578.8 million obtained from the same entity (US$3,127.1 million, equivalent to S/10,494.7 million, and S/10,008.7 million, respectively at December 31, 2016). 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 security lending” of the consolidated statement of financial position, see paragraph (c) below.
     
    (ii)
    Credicorp, mainly through its subsidiaries Credicorp Capital Colombia and Inversiones IMT, provides financing to its customers through reverse repurchase agreements and security borrowings, in which a financial instrument serves as collateral. Details of said transactions are as follows:
     
     
     
     
     
    At December 31, 2017
     
    At December 31, 2016
     
     
     
     
     
     
     
     
     
     
     
     
     
     
     
    Fair value of
     
     
     
     
     
     
     
     
     
     
     
    Fair value of
     
     
     
     
     
    Average
     
     
     
    From 3 to 30
     
    More than
     
    Carrying
     
    underlying
     
    Average
     
     
     
    From 3 to 30
     
    More than
     
    Carrying
     
    underlying
     
     
     
    Currency
     
    interest rate
     
    Up to 3 days
     
    days
     
    30 days
     
    amount
     
    assets
     
    interest rate
     
    Up to 3 days
     
    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
     
     
    6.79
     
     
    –
     
     
    138,552
     
     
    170,106
     
     
    308,658
     
     
    309,574
     
     
    7.30
     
     
    5,661
     
     
    96,924
     
     
    11,408
     
     
    113,993
     
     
    113,993
     
    Instruments issued by the Chilean Government
     
    Chilean pesos
     
     
    0.35
     
     
    8,920
     
     
    256
     
     
    –
     
     
    9,176
     
     
    9,176
     
     
    0.42
     
     
    –
     
     
    1,255
     
     
    –
     
     
    1,255
     
     
    1,259
     
    Other instruments
     
     
     
     
    2.62
     
     
    23,337
     
     
    70,809
     
     
    44,165
     
     
    138,311
     
     
    137,815
     
     
    4.54
     
     
    –
     
     
    166,826
     
     
    12,484
     
     
    179,310
     
     
    179,809
     
     
     
     
     
     
     
     
     
    32,257
     
     
    209,617
     
     
    214,271
     
     
    456,145
     
     
    456,565
     
     
     
     
     
    5,661
     
     
    265,005
     
     
    23,892
     
     
    294,558
     
     
    295,061
     
     
    b)
    Credicorp, through its subsidiaries, obtains financing through “Payables from repurchase agreements and security lendings” 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, 2017
     
    At December 31, 2016
     
     
     
     
     
     
     
     
     
     
     
     
     
     
     
    Fair value of
     
     
     
     
     
     
     
     
     
     
     
    Fair value of
     
     
     
     
     
    Average
     
     
     
    From 3 to 30
     
    More than
     
    Carrying
     
    underlying
     
    Average
     
    Up to 3
     
    From 3 to
     
    More than
     
    Carrying
     
    underlying
     
     
     
    Currency
     
    interest rate
     
    Up to 3 days
     
    days
     
    30 days
     
    amount
     
    assets
     
    interest rate
     
    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
     
     
    6.62
     
     
    –
     
     
    1,291,621
     
     
    –
     
     
    1,291,621
     
     
    1,292,272
     
     
    7.60
     
     
    63,267
     
     
    864,071
     
     
    –
     
     
    927,338
     
     
    927,865
     
    Instruments issued by the Chilean Government
     
    Chilean pesos
     
     
    0.23
     
     
    249,186
     
     
    –
     
     
    236
     
     
    249,422
     
     
    249,422
     
     
    0.34
     
     
    231,667
     
     
    –
     
     
    –
     
     
    231,667
     
     
    233,108
     
    Other instruments
     
     
     
     
    –
     
     
    –
     
     
    –
     
     
    –
     
     
    –
     
     
    –
     
     
    5.97
     
     
    –
     
     
    133,494
     
     
    –
     
     
    133,494
     
     
    133,421
     
    Debt instruments (c)
     
     
     
     
     
     
     
    8,921
     
     
    47,946
     
     
    11,817,933
     
     
    11,874,800
     
     
    12,392,983
     
     
     
     
     
    –
     
     
    –
     
     
    13,835,500
     
     
    13,835,500
     
     
    14,065,528
     
     
     
     
     
     
     
     
     
    258,107
     
     
    1,339,567
     
     
    11,818,169
     
     
    13,415,843
     
     
    13,934,677
     
     
     
     
     
    294,934
     
     
    997,565
     
     
    13,835,500
     
     
    15,127,999
     
     
    15,359,922
     
     
    c)
    At December 31, 2017, and 2016 the Group has repurchase agreements secured with: (i) cash, See Note 5(a), and (ii) available-for-sale investments and held-to-maturity investments, See Note 6(b). This item consists of the following:
     
     
     
     
     
    At December 31, 2017
     
    At December 31, 2016
     
    Counterparties
     
    Currency
     
    Maturity
     
    Carrying
    amount
     
    Collateral
     
    Maturity
     
    Carrying
    amount
     
    Collateral
     
     
     
     
     
     
     
    S/(000)
     
     
     
     
     
    S/(000)
     
     
     
    BCRP, Note 5(a)(i)
     
    Soles
     
    January 2018 / October 2020
     
     
    6,575,800
     
    Cash with BCRP
     
    January 2017 / October 2020
     
     
    10,008,700
     
    Cash with BCRP
     
    BCRP
     
    Soles
     
    January 2018 / July 2020
     
     
    2,710,232
     
    Available-for-sale investments and held-to-maturity investments
     
    January 2017 / June 2017
     
     
    1,256,706
     
    Available-for-sale investments
     
    Natixis S.A.
     
    Soles
     
    August 2020 / August 2028
     
     
    570,000
     
    Held-to-maturity investments
     
    August 2017 / August 2020
     
     
    600,000
     
    Held-to-maturity investments
     
    Nomura International PLC (i)
     
    U.S. dollar
     
    March 2019 / December 2019
     
     
    486,150
     
    Held-to-maturity investments and cash
     
    March 2019 / December 2019
     
     
    503,400
     
    Held-to-maturity investments and cash
     
    Barclays PLC
     
    U.S. dollar
     
    January 2018 / Julio 2018
     
     
    293,944
     
    Available-for-sale investments and held-to-maturity investments
     
    –
     
     
    –
     
    –
     
    Nomura International PLC (ii)
     
    U.S. dollar
     
    August 2020
     
     
    259,280
     
    Held-to-maturity investments and cash
     
    August 2020
     
     
    268,480
     
    Held-to-maturity investments and cash
     
    Nomura International PLC (iii)
     
    U.S. dollar
     
    August 2020
     
     
    226,870
     
    Held-to-maturity investments and cash
     
    August 2020
     
     
    234,920
     
    Held-to-maturity investments and cash
     
    Citigroup Global Markets Limited (iv)
     
    U.S. dollar
     
    August 2026
     
     
    145,845
     
    Available-for-sale investments
     
    August 2026
     
     
    151,020
     
    Available-for-sale-investments
     
    Citigroup Global Markets Limited
     
    Soles
     
    August 2020
     
     
    100,000
     
    Held-to-maturity investments
     
    August 2020
     
     
    100,000
     
    Held-to-maturity investments
     
    Banco Central de Bolivia
     
    Bolivianos
     
    January 2018
     
     
    90,134
     
    Cash
     
    –
     
     
    –
     
    –
     
    UBS
     
    U.S. dollar
     
    January 2018 / March 2018
     
     
    83,921
     
    Held-to-maturity investments
     
    January 2017
     
     
    68,808
     
    Held-to-maturity-investments
     
    Natixis S.A. (v)
     
    U.S. dollar
     
    August 2026
     
     
    81,025
     
    Available-for-sale investments
     
    August 2026
     
     
    83,900
     
    Available-for-sale investments
     
    Credit Suisse Peru
     
    Soles
     
    –
     
     
    –
     
    –
     
    August 2017
     
     
    300,000
     
    Held-to-maturity investments and cash
     
    Others below S/20 million
     
    –
     
    January 2018 / December 2032
     
     
    46,069
     
    Investments
     
    –
     
     
    –
     
    –
     
    Yields
     
     
     
     
     
     
    205,530
     
     
     
     
     
     
    259,566
     
     
     
     
     
     
     
     
     
     
    11,874,800
     
     
     
     
     
     
    13,835,500
     
     
     
     
    At December 31, 2017, said operations accrue interest at fixed and variable rates between 1.00 percent and 7.20 percent and between Libor at 3M + 0.35 percent and Libor at 6M + 1.90 percent, respectively, (between 0.95 percent and 7.20 percent and between Libor at 3M + 0.35 percent and Libor at 6M + 1.90 percent, respectively, at December 31, 2016).
     
    Certain repurchase agreements were hedged using interest rate swaps (IRS) and cross-currency swaps (CCS), as detailed below:
     
    (i)
    At December 31, 2017, the Group holds IRS which were designated as cash flow hedges of certain repurchase agreements at variable rate for a nominal amount of US$150.0 million, equivalent to S/486.2 million (US$150.0 million, equivalent to S/503.4 million, at December 31, 2016). By using these IRS, those repurchase agreements were economically converted to fixed interest rate, See Note 12(b).
     
    (ii)
    At December 31, 2017, 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 nominal amount of US$80.0 million, equivalent to S/259.3 million (approximately US$80.0 million, equivalent to S/268.5 million, at December 31, 2016). 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, 2017, the Group maintains a CCS which was designated as a cash flow hedge for a repurchase agreement in U.S. dollars at variable rate for a nominal amount of US$70 million, equivalent to S/226.9 million (approximately US$70.0 million, equivalent to S/234.9 million, at December 31, 2016). By means of the CCS, this repurchase agreement was economically converted to a fixed interest rate in soles See Note 12(b).
     
    (iv)
    December 31, 2017, the Group maintains a CCS which was designated as a cash flow hedge of two repurchase agreements in U.S. dollars at variable rate for a nominal amount of US$45.0 million, equivalent to S/145.8 million (approximately US$45.0 million, equivalent to S/151.0 million, at December 31, 2016). By means of the CCS, said repurchase agreements were economically converted to soles, See Note 12(b).
     
    (v)
    At December 31, 2017, 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 nominal amount of US$25.0 million, equivalent to S/81.0 million (approximately US$25.0 million, equivalent to S/83.9 million, at December 31, 2016). By means of the CCS, said repurchase agreement was economically converted to soles, See Note 12(b).