Lima, 28 December 2022

S.B.S. Resolution No. 04034-2022 The Superintendent of Banking, Insurance and Private Pension Fund Administrators

WHEREAS:

That, by means of SBS Resolution No. 7033-2012 and its amending rules, the Regulation for the Classification and Valuation of Investments of Companies in the Financial System was approved;

That, by means of SBS Resolution No. 7034-2012 and its amending rules, the Regulation for the Classification and Valuation of Investments of Companies in the Insurance System was approved;

That, it has been considered necessary to amend the aforementioned Regulations in order to establish specific guidelines for the assessment of impairment of debt instruments in the event of increases in the risk-free interest rate;

That, by means of SBS Resolution No. 1737-2006 and amending rules, the Regulation for the Negotiation and Accounting of Financial Derivative Products in Companies of the Financial System was approved;

That, in order to specify the documentation of the Hedge Accounting Strategy for financial derivative products, seeking greater efficiency in supervision, it is necessary to amend the aforementioned Regulation for the Negotiation and Accounting of Financial Derivative Products in Companies of the Financial System;

That, in order to gather the opinions of the general public, the pre-publication of the draft resolution was ordered on the Superintendency's electronic portal, under the provisions of the Thirty-Second Final and Complementary Provision of the General Law of the Financial System and the Insurance System and Organic Law of the Superintendency of Banking and Insurance – Law No. 26702 and its amending rules, hereinafter the General Law, as well as Supreme Decree No. 001-2009-JUS and its amending rules;

With the approval of the Deputy Superintendencies of Banking and Microfinance, of Insurance, of Risks, of Economic Studies and of Legal Advising; and, In use of the powers conferred by numerals 7, 9 and 13 of article 349 of the General Law;

RESOLVES:

Article One.- To amend the Regulation for the Classification and Valuation of Investments of Companies in the Financial System, approved by SBS Resolution No. 7033-2012 and its amending rules, in accordance with the following:

1. In the Annex entitled "Standard Methodology for the Identification of Impairment of Value of Available-for-Sale Investments and Held-to-Maturity Investments", replace the second paragraph of section I "Debt Instruments", in accordance with the following:

" I Debt instruments (…) The fair value to be used for the purposes of evaluating criteria 6 and 7 is that considered for the purposes of the valuation of available-for-sale debt instruments, in accordance with the criteria established in article 11 of this Regulation, regardless of the accounting classification of the debt instrument. However, if the total or partial decrease in the fair value of the debt instrument is a consequence of an increase in the risk-free interest rate, this decrease must not be considered for the evaluation of criteria 6 and 7. (…)"

Article Two.- To amend the Regulation for the Negotiation and Accounting of Financial Derivative Products in Companies of the Financial System, approved by SBS Resolution No. 1737-2006 and its amending rules, in accordance with the following:

1. Replace the third paragraph of article 15 by the following text:

"Documentation of the Hedge Accounting Strategy Article 15.- (…) This documentation must be kept at the disposal of the Superintendency. If this Superintendency considers the documentation of the strategy unsatisfactory or finds weaknesses in the methodologies used in the tests that jeopardize their effectiveness, it may immediately require the dissolution of the hedging strategy and the simultaneous registration of the financial derivative product as for trading purposes.

(…)"

Article Three.- To amend the Regulation for the Classification and Valuation of Investments of Companies in the Insurance System, approved by SBS Resolution No. 7034-2012 and its amending rules, in accordance with the following:

1. In the Annex entitled "Standard Methodology for the Identification of Impairment of Value of Available-for-Sale Investments and Held-to-Maturity Investments", replace the second paragraph of section I "Debt Instruments", in accordance with the following:

" I Debt instruments (…) The fair value to be used for the purposes of evaluating criteria 6 and 7 is that considered for the purposes of the valuation of available-for-sale debt instruments, in accordance with the criteria established in article 11 of this Regulation, regardless of the accounting classification of the debt instrument. However, if the total or partial decrease in the fair value of the debt instrument is a consequence of an increase in the risk-free interest rate, this decrease must not be considered for the evaluation of criteria 6 and 7. (…)"

Article Four.- Companies shall account for the effect of the new provisions established in articles One and Three of this Resolution, in accordance with IAS 8 "Accounting Policies, Changes in Accounting Estimates and Errors", as a change in accounting policy.

This Superintendency may include the application of prudential measures.

Article Five.- This Resolution enters into force on the day following its publication in the Official Gazette El Peruano.

Register, communicate and publish.

MARIA DEL SOCORRO HEYSEN ZEGARRA
Superintendent of Banking, Insurance and AFP