CASH COLLATERAL, REVERSE REPURCHASE AGREEMENTS AND SECURITIES BORROWINGS AND PAYABLES FROM REPURCHASE AGREEMENTS AND SECURITY LENDINGS

12 Months Ended

Dec. 31, 2017

Disclosure of Cash Collateral, Reverse Repurchase Agreements And Securities Borrowings And Payables From Repurchase Agreements And Security Lending's [Abstract]

Disclosure of repurchase and reverse repurchase agreements [text block]

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).