Lima, 21 January 2013

S.B.S. Resolution No. 438-2013 The Superintendent of Banking, Insurance and Private Pension Fund Administrators

WHEREAS:

That, in accordance with article 347° 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 amendments, hereinafter General Law, it corresponds to the Superintendency to defend the interests of the public, safeguarding the economic and financial soundness of natural and legal persons subject to its control, for which it is necessary that supervised companies have a risk control system that allows them to identify, measure, control and report the risks they face in their operations.

That, by SBS Resolution No. 037-2008 the Regulation of Comprehensive Risk Management was approved, where provisions are incorporated that take into consideration, among other documents, the Integrated Framework for Corporate Risk Management, published by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), applicable to all supervised companies;

That, by SBS Resolution No. 2507-2010 the Regulation for the Measurement of Foreign Exchange Risk in Insurance Companies was approved;

That, it is necessary to modify Annex ES-19A “Foreign Exchange Risk Measurement”, approved by SBS Resolution No. 2507-2010, in order to include greater detail of the currencies that insurance companies maintain in their portfolios;

With the approval of the Deputy Superintendencies of Private Pension Fund Administrators and Insurance, Risks, Economic Studies and Legal Advice; and,

In use of the powers conferred by numerals 9 and 13 of article 349° of the General Law, and on the basis of the exception conditions set forth in numeral 3.2 of article 14° of Supreme Decree No. 001-2009-JUS;

RESOLVES:

Article One.- Modify Annex ES-19A “Measurement
of Foreign Exchange Risk” in accordance with the Annex attached to this Resolution, which is published in the Institutional Portal (www.sbs.gob.pe), in accordance with the provisions of Supreme Decree No. 001-2009- JUS.

Article Two.- This resolution shall enter into
force from the day following its publication in the Official Gazette “El Peruano”.

Register, communicate and publish

DANIEL SCHYDLOWSKY ROSENBERG
Superintendent of Banking, Insurance and
Private Pension Fund Administrators

ANNEX ES-19A
FOREIGN EXCHANGE RISK MEASUREMENT
On……. of ….. of…..
Expressed in nuevos soles

Company:……………………………………………………………………………

I. EXPOSURE IN FOREIGN CURRENCY

Exchange position Net position Position
Assets Liabilities of the balance sheet in FC in derivatives global in FC (a) (b) (a) + (b) Long Short Long Short of FC x (1) x (2) x (3) x (4) x (5) (6) = (2+3+4+5) (7)=(1+6) Position in other derivative financial products of FC Currencies Position in forward of FC US Dollar Euro Japanese Yen Pound Sterling Canadian Dollar Swiss Franc Danish Krone Norwegian Krone Swedish Krona Real Boliviano Chinese Yuan Mexican Peso Australian Dollar Chilean Peso Colombian Peso Other Currencies TOTAL FC

II. FOREIGN EXCHANGE RISK MEASUREMENT INDICATOR

Amount / 35% of the solvency equity solvency
Concept Factor Amount
Largest aggregate global position in currencies A Foreign exchange risk 10 days 4.0% B Monthly exchange rate risk 5.9% C Annual exchange rate risk 20.0% D