416 / 430
- 74 -
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
527,872
-
-
-
-
(4,190)
523,682
Available for sale investments
3,089
319,557
24,874
202,343
970,766
2,369,604
3,890,233
Loan portfolio, net
131,467
572,270
814,026
2,055,774
2,073,588
(452,378)
5,194,747
Hedging derivatives
2
4
15
80
39
(140)
-
Accounts receivable, net
-
-
-
-
-
56,409
56,409
Other assets
-
-
-
-
-
49,773
49,773
Total assets
662,430
891,831
838,915
2,258,197
3,044,393
2,019,078
9,714,844
Liabilities
Obligations to the public
4,847
1,767
40,943
-
-
-
47,557
Deposits by Banks and
financial organizations
-
10,183
185,286
-
-
-
195,469
Debts with financial entities
233,382
353,967
501,926
1,326,482
419,474
-
2,835,231
Financial obligations
52,005
27,973
49,565
957,748
2,823,204
-
3,910,495
Hedging derivatives
1,854
3,708
16,682
88,971
44,484
-
155,699
Accounts payable
-
-
-
-
-
9,423
9,423
Other liabilities
-
-
-
-
-
306,536
306,536
Equity
-
-
-
-
-
2,254,434
2,254,434
Total liabilites and equity
292,088
397,598
794,402
2,373,201
3,287,162
2,570,393
9,714,844
Off-balance sheet account:
Assets hedging derivatives
-
19,170
16,350
165,135
395,388
-
596,043
Liabilities hedging derivatives
-
24,458
20,859
210,682
504,440
-
760,439
Marginal gap
370,342
488,945
40,004
(160,551)
(351,821)
(551,315)
Accumulated gap
370,342
859,287
899,291
738,740
386,919
2014
Sensitivity to changes in interest rates
Exposure to interest rates is supervised by the Assets and Liabilities Committee, as well as
by the Risk Committee. The latter approves maximum allowed limits.
Presented below, sensitivity on indications of interest rate towards a 200 basis points
shock, is detailed below:
GER =
S/.24,045,627 (0.691% p.e)
S/.49,077,301.38 (1.7357% p.e)
VPR =
S/. 143,377,616 (4.122% p.e)
S/.54,354,634.53 (1.9223% p.e)
2014
2015
It is important to remark that this information flows from the internal interest rate model of
COFIDE, updated in December 2015.
(ii)
Foreign currency exchange risk
Exchange rate risk in foreign currency is related with the variation of value of positions of
the statement of financial position and off such statement that are negatively affected by
changes in exchange rate. This risk depends on the position on each currency and of the
volatility of exchange rates. A significant portion of assets and liabilities is in U.S. dollars.
Management sets limits in exposure levels per currency, which are monitored monthly.
Most of assets and liabilities in foreign currency are held in U.S. dollars.
Foreign currency transactions are made at free market exchange rates.
As of December 31, 2015, weighted average exchange rate of the free market, published
by the SBS for transactions in U.S. dollars was of S/.3.408 per US$1 for purchase and
S/.3.413 per US$1 for sale (S/.2.981 and S/.2.989 as of December 31, 2014, respectively).
As of December 31, 2015, the exchange rate for accounting asset and liability accounts in
foreign currency fixed by the SBS was the average rate of purchases and sales, equivalent
to S/.3.411 per US$1 (S/.2.986 as of December 31, 2014).