415 / 430
- 73 -
The results of these two internal interest risk indicators in a normal scenario are as
follows:
GER =
S/.23,558,205 (0.677% p.e)
S/.29,314,290.50 (1.0367% p.e)
VPR =
S/.140,661,988 (4.044% p.e)
S/.64,557,323.06 (2.2832% p.e)
2015
2014
Following-up of interest rate risk is informed to the Risk Committee as well as to the
ALCO Committee. The Risk Committee approves sundry limits considered to manage and
following-up is in charge of the Risks division.
Re-pricing gap
An analysis of re-pricing gap is made in order on determine the impact of changes in
interest rates. The analysis consists in assigning in different gaps of time balances of
operations that should change interest rates. Based on this analysis, impact for each gap of
the interest rate variation is calculated.
The table below summarizes exposure of COFIDE on interest rate risks. Financial
instruments of COFIDE are presented at their carrying amounts, classified between the re-
pricing period of the interest rate of the agreement or maturity date, whichever occurs first.
Up to 1 month
From 1 to 3
months
From 3 to 12
months
From 1 to 5
years
More than 5
years
Do not accrue
interests
Total
S/. 000
S/. 000
S/. 000
S/. 000
S/. 000
S/. 000
S/. 000
Assets
Cash
1,995,045
-
-
-
-
(38,334)
1,956,711
Available for sale investments
-
211,252
42,444
245,864
1,286,829
2,356,478
4,142,867
Loan portfolio, net
730,565
1,217,195
1,304,614
2,380,198
2,264,079
(586,655)
7,309,996
Hedging derivatives
46
92
409
2,180
1,088
(158)
3,657
Accounts receivable, net
-
-
-
-
-
73,435
73,435
Other assets
-
-
-
-
-
58,564
58,564
Total assets
2,725,656
1,428,539
1,347,467
2,628,242
3,551,996
1,863,330
13,545,230
Liabilities
Obligations to the public
-
21,051
11,513
-
-
-
32,564
Deposits by Banks and
financial organizations
37,246
36,169
151,529
-
-
-
224,944
Debts with financial entities
119,022
239,613
1,551,908
520,477
457,034
-
2,888,054
Financial obligations
203,754
31,954
89,220
1,779,586
5,186,553
-
7,291,067
Hedging derivatives
1,783
3,566
16,044
85,570
42,785
-
149,748
Accounts payable
-
-
-
-
-
12,356
12,356
Other liabilities
-
-
-
-
-
245,679
245,679
Equity
-
-
-
-
-
2,700,818
2,700,818
Total liabilities and equity
361,805
332,353
1,820,214
2,385,633
5,686,372
2,958,853
13,545,230
Off-balance sheet account:
Assets hedging derivatives
-
-
-
35,782
349,113
-
384,895
Liabilities hedging derivatives
-
-
-
51,493
502,399
-
553,892
Marginal gap
2,363,851
1,096,186
(472,747)
226,898
(2,287,662)
(1,095,523)
Accumulated gap
2,363,851
3,460,037
2,987,290
3,214,188
926,526
2015