SBS Resolution No. 02665-2025: New Regulation for the Trading and Accounting of Financial Derivative Instruments in Financial System Companies

Los Laureles Nº 214 - Lima 27 - Peru Tel.: (511)6309000 Lima, July 30, 2025 SBS Resolution No. 02665-2025

The Superintendent of Banks, Insurance and Private Pension Fund Administrators

CONSIDERING:
That Section 16 of Article 221 of the General Law of the Financial System and Insurance System and Organic Law of the Superintendence of Banks and Securities, Law No. 26702 and its amendments (hereinafter, the General Law), authorizes financial system companies to conduct operations with commodities and financial derivative products, such as forwards, futures, swaps, options, credit derivatives or other instruments or contracts for derivatives, in accordance with the regulations issued by the Superintendence; That Articles 283 to 289 of the General Law specify the operations that may be carried out by multiple-operation companies in the financial system according to company type, indicating that companies may carry out other operations listed in Article 221 of the General Law and distinct from those described in said articles, provided they meet the requirements established by this Superintendence; That, through SBS Resolution No. 1737-2006 and its amending regulations, the Regulation for the Trading and Accounting of Financial Derivative Products in Financial System Companies (hereinafter, the Regulation) was approved; That one of the Superintendence's mandates is to preserve the financial stability of the Financial System, ensuring that market participants are solid, solvent and sustainable over time; That, as part of the cited mandates, the Superintendence seeks to adapt its local regulations to international standards; That the Superintendence has considered harmonizing its accounting regulations with International Financial Reporting Standards (IFRS), which determines the need to adjust the accounting provisions applicable to financial derivative instruments; That the application of harmonized accounting regulations aligned with international standards will align accounting with risk management, contributing to providing useful information and fostering greater transparency and reliability in financial information; That, for the purpose of collecting public opinions regarding proposed modifications to the financial system regulations, SBS Resolution No. 04414-2025 ordered the publication of the regulatory project on the Superintendence's digital platform, under Decree Supreme No. 009-2024-JUS; Having obtained the approval of the Adjunct Superintendences for Banks and Microfinance, Regulation and Legal Affairs, as well as the Risk Management and Economic Studies Departments; and, In exercise of the powers conferred by Sections 7, 9 and 13 of Article 349 of the General Law;

RESOLVES:
Article 1.- Approve the new Regulation for the Trading and Accounting of Financial Derivative Instruments in Financial System Companies, which forms part of this Resolution.

“REGULATION FOR THE TRADING AND ACCOUNTING OF FINANCIAL DERIVATIVE INSTRUMENTS IN FINANCIAL SYSTEM COMPANIES
CHAPTER I
GENERAL ASPECTS
Article 1. Scope
This Regulation applies to companies included in letters A, B and C of Article 16 of the General Law of the Financial System and Insurance System and Organic Law of the Superintendence of Banks and Securities, Law No. 26702, and its amending regulations, to the Development Financial Corporation (COFIDE), to the National Bank, to the Agricultural Bank and to MIVIVIENDA S.A. Fund.

Article 2. Objective
The objective of this Regulation is to establish guidelines for the adequate identification, measurement and accounting of financial derivative instruments in companies, so that useful and relevant information is presented to users of the financial statements and other prudential considerations provided by this Superintendence.

Article 3. Definitions
For the application of this Regulation, the following definitions must be considered:
a) Underlying asset: Underlying variable from which the prices of financial derivative instruments depend. b) Credit valuation adjustment (CVA): CVA reflects the price adjustment of financial derivative instruments as a result of potential counterparty default. c) Debit valuation adjustment (DVA): DVA reflects the price adjustment of financial derivative instruments as a result of potential own default. d) Clearing house: Entities that act as counterparties in futures and options contracts executed through centralized trading mechanisms. e) Firm commitment: A binding agreement to exchange a specified amount of assets at a determined price, on one or more predetermined future dates. f) Commodities: Primary or basic goods consisting of physical instruments, which can be exchanged in a secondary market, including precious metals, but excluding gold, which is treated as a currency. g) Contract: Agreement between two or more parties that produces clear economic consequences they have little or no capacity to avoid, as compliance with the agreement is legally enforceable. h) Embedded derivative: A component of a hybrid contract, which also includes a host contract that is not a derivative, such that some cash flows of the combined instrument vary similarly to a standalone derivative. An embedded derivative causes some or all cash flows of the host contract to be modified according to an interest rate, financial instrument price or commodity exchange rate, among others. A financial derivative instrument attached to a non-derivative principal contract but which is contractually transferable independently or has a distinct counterparty is itself a separate financial derivative instrument. i) Trade/Transaction date: The date on which an entity commits to buying or selling an asset. Transaction date accounting refers to (a) the recognition on the trade date of the asset to be received and the liability to be paid, and (b) the derecognition of the asset sold, the recognition of any gain or loss on disposal and the recognition of a receivable from the buyer on the trade date. j) Settlement date: The date on which an asset is delivered to or by the company. k) Reporting date: Date of closing financial information. l) Free-access price sources: Those provided through Bloomberg, Reuters, Datatec or similar information systems. m) Financial instrument: A contract that gives rise to a financial asset in one company and, at the same time, to a financial liability or equity instrument in another company. n) Financial derivative instrument: A financial instrument that meets the following conditions: (a) its fair value fluctuates in response to changes in the level or price of an underlying asset, (b) it requires no net initial investment or only obliges to make an investment lower than that required in contracts responding similarly to changes in market variables and (c) it settles on a future date. o) Debt instrument: Value representing a financial liability of the
issuer, has nominal value and may be amortizable. The yield of these values is associated with an interest rate, another value, basket of values or index of values representing debt. p) Equity instrument: Any contract that demonstrates a residual participation in the assets of a company, after deducting all its liabilities. Equity rights instruments include instruments where the magnitude of their expected partial or total return is not certain, fixed or determinable at the time of acquisition. q) Hybrid financial instrument: Combination of a non-derivative principal contract (host contract) and a financial derivative, referred to as an “embedded derivative”, which cannot be transferred independently nor has a distinct counterparty, and whose effect is that some cash flows of the hybrid instrument vary similarly to the cash flows of the derivative considered independently. r) General Law: General Law of the Financial System and Insurance System and Organic Law of the Superintendence of Banks and Securities, Law No. 26702 and its amendments. s) Settlement by difference: That which is carried out based on the change in the value of the financial assets subject to the contract. t) Accounting Manual: Accounting Manual for Financial System Companies, approved by SBS Resolution No. 895-98 and its amendments. u) NIC: International Accounting Standard. v) IFRS: International Financial Reporting Standard. w) Investment Regulation: Regulation for the Classification and Valuation of Investments of Financial System Companies. x) SMV: Securities Market Superintendence. y) Superintendence: Superintendence of Banks, Insurance and Private Pension Fund Administrators. z) Foreseen transaction: A future anticipated but not committed transaction. aa) Intrinsic value: In options, the difference between the exercise price and the market value of the underlying asset. A call option will have positive intrinsic value when the exercise price is lower than the underlying asset's value; otherwise, its intrinsic value will be equal to zero, but never negative. In a put option, its intrinsic value will be positive when the exercise price is higher than the underlying asset's value; otherwise, its intrinsic value will be equal to zero, but never negative. bb) Fair value: The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants (or the most advantageous in the absence of a principal market) on the measurement date, and under current market conditions regardless of whether that price is directly observable or estimated using another valuation technique. cc) Time value: In options, equivalent to the total fair value of the option minus its intrinsic value.

Article 4. Credit and debit valuation adjustment
In the fair value measurements of financial derivative instruments, credit risk adjustments must be included, namely the risk that the counterparty to the financial derivative instrument (CVA) or the company itself (DVA) default on contractual payments before the transaction matures. These adjustments must be applied to financial derivative instruments for trading and hedge accounting purposes.

Article 5. Excluded operations
5.1 This Regulation governs all financial derivative instruments contracted by companies, except those outside the scope of IFRS 9.
5.2 Furthermore, operations that require or allow settlement by difference will be accounted for as financial derivative instruments during the period between the trade date and the settlement date, regardless of their term.
5.3 For all other operations different from those indicated in the previous paragraph, which involve the delivery of financial assets whose settlement is carried out in a period different from that established by regulation or market convention, they will be recognized as financial derivative instruments during the period between the trade date and the settlement date.
5.4 For this purpose, companies must evaluate and establish in their accounting and investment policies the conventional period between the trade date and settlement date, considering the environment in which the financial asset is usually exchanged. An acceptable time period would be the reasonable and commonly required period by parties to complete the transaction and prepare and execute cancellation documents. The Superintendence may request adjustments to these policies.

Article 6.- Permitted underlying assets
6.1 Companies may contract financial derivative instruments on the following underlying assets:
a) Currencies b) Interest rates c) Commodities d) Debt and capital instruments included in Sections 17, 19, 20, 21 and 22 of Article 221 of the General Law. and those that satisfy the requirements of the Standards for Investment in Instruments Traded through Non-Centralized Trading Mechanisms, approved by SBS Resolution No. 964-2002. e) Stock market indices supervised by the SMV or similar competent bodies. f) Others authorized by this Superintendence through a general regulation with the opinion of the Central Reserve Bank of Peru, upon request by a supervised company.
6.2 The interest rates and indices mentioned in letters (b) and (e) respectively, must be publicly known, quoted and widely recognized in active financial markets and have a historical series disseminated in free-access price sources.
6.3 Companies may not contract financial derivative instruments whose underlyings are instruments in which they are not permitted to hold investments directly.

Article 7.- Counterparties in operations with financial derivative instruments
Companies may contract financial derivative instruments traded on and off-exchange. In the former, contracts must be settled through clearing houses and traded in stock exchanges that must be registered and supervised by the SMV or similar competent bodies. In the case of off-exchange contracts, when the counterparty is a financial system or insurance system company from the country or abroad, it must be duly authorized, regulated and supervised by this Superintendence or another similar competent body.

Article 8.- Registration of Financial Derivative Instruments in Off-Balance Sheet Accounts
In addition to their registration within the balance sheet, financial derivative instruments must be registered in contingent accounts 7106 and 7206 or in off-balance sheet accounts 83 and 8409, as applicable, at their nominal value converted to initial spot prices. Registration will be made by contract. All contracts denominated in foreign currency must be updated to the spot exchange rate at the reporting date of Financial Statements. When a contract involves two currencies different from the national currency (cross operation), it will be treated as a purchase or sale depending on the position (long or short, respectively) in the currency other than the US dollar (for positions in US dollars and another foreign currency) or in the currency in which the nominal amount is expressed (for positions in two different foreign currencies other than the US dollar).

CHAPTER II
ACCOUNTING OF FINANCIAL DERIVATIVE INSTRUMENTS
Article 9. Initial recognition
9.1 Financial derivative instruments will be measured at their fair value and initial recognition will take place on the trade/transaction date.
9.2 To determine the fair value of a financial derivative instrument that has a bid and an ask price, the price within the bid-ask spread that is most representative of fair value in those circumstances may be used.
The use of bid prices for asset positions and ask prices for liability positions is allowed. The use of mid-market prices or other conventions for fixing prices that market participants use as a practical expedient for fair value measurements within a bid-ask spread is not prohibited.
9.3 Additionally, regarding fair value measurement, companies must adhere to the guidelines established in Subchapter II “Fair Value” of Chapter III of the Regulation for the Classification and Valuation of Investments of Financial System Companies.
9.4 For accounting registration, financial derivative instruments must be classified into one of the following two categories: a) financial derivative instruments for trading purposes or b) financial derivative instruments for hedge accounting purposes.
9.5 A financial derivative instrument that does not meet the hedge accounting requirements must be treated accountingly as a financial derivative instrument for trading purposes.

Article 10. Financial derivative instruments for trading purposes
10.1 Initial recognition of a derivative instrument for trading purposes will be at its fair value. Subsequently, any change in the fair value of said derivative will affect the results for the period.
10.2 A financial derivative instrument for hedge accounting that meets all conditions and requirements described in this Regulation for this type of derivative may be registered accountingly as a derivative instrument for trading purposes.

CHAPTER III
HEDGE ACCOUNTING
Article 11. Objective and scope
11.1 The objective of hedge accounting is to present in the financial statements the effects of a company's risk management activities that uses financial derivative instruments to manage exposures to specific risks that could affect the period result or other comprehensive income.
11.2 The scope of hedge accounting is limited to financial derivative instruments used to manage the company's risks and with a hedging relationship that meets the criteria established in this Regulation. It also includes documentation and continuous monitoring of risk management strategies.
11.3 The company must maintain adequate records of financial derivative instruments used for hedging, as well as the risks being hedged. In addition, it must perform periodic monitoring of the effects of risk management on the company's financial statements.
11.4 It should be noted that financial derivative instruments used to manage risks but which do not meet the requirements to be recognized as hedge accounting, referred to as “economic hedges”, must be registered accountingly as financial derivative instruments for trading purposes.

Article 12. Criteria required for hedge accounting
A hedging relationship meets the requirements for hedge accounting only if all of the following conditions are met:
a) The hedging relationship consists solely of eligible hedging instruments and designated covered items. b) At the beginning of the hedging relationship, there must be a formal designation and documentation of the hedging relationship. This documentation will include at minimum the following:

• Objective of the hedge within the general hedging strategy approved by the corresponding Committee according to its risk management policy for financial derivative instruments.
• Identification and terms of the hedging instrument
• Date of designation of the hedging relationship
• Duration of the hedge
• Identification and terms of the covered item
• Nature of the risk being hedged
• Analysis that credit risk is not significant in the hedging relationship.
• For hedges on an unrecognized firm commitment, it must be justified that this transaction is highly probable and the date it is expected to occur is established.
• How the company will evaluate if the hedging relationship meets hedge effectiveness requirements, including its analysis of sources of hedge ineffectiveness and how it will determine the hedging ratio.
• Methodology used in the prospective test, specifying, if applicable, risk factors excluded from measurement.
• Results and conclusions of the prospective effectiveness test at the beginning of the hedge (includes determination of the hedging ratio).
  Within a maximum period of five (5) business days following the contracting of the designated and registered financial derivative instrument for hedge purposes, the trading area, or another with similar functions, must document the hedging relationship. This documentation must be kept available for the Superintendence. In case this Superintendence considers the strategy documentation unsatisfactory or finds weaknesses in the methodologies used in the tests that jeopardize its effectiveness, it may immediately require the dissolution of the hedging strategy and simultaneous registration of the financial derivative instrument as for trading purposes. c) The hedging relationship meets the effectiveness requirements mentioned in Article 21 of this Regulation. The indicated documentation must contain a recurring evaluation of effectiveness requirements, where, at minimum, the periodicity must coincide with the submission of financial statements to this Superintendence or when a significant event occurs in the market or counterparty (whether of the covered instrument or the hedging instrument).

Article 13. Derivative instruments for hedging
13.1 It is a financial derivative instrument, whose fair value or generated cash flows are expected to compensate changes in the fair value or cash flows of the designated covered item. A company may designate a financial instrument as a hedging instrument if it meets the eligibility criteria established in this Regulation. The process of designating the hedging instrument must be clearly documented and disclosed in notes to the company's financial statements in accordance with the Accounting Manual.
13.2 Initial measurement of a financial derivative instrument that is part of hedge accounting will be at its fair value. Subsequently, changes in the fair value of said derivative will affect period results or other comprehensive income, as established in this Regulation. Valuation is rea...