Financial instruments not included in the Balance Sheet (Note 32) are represented by Standby letters of credit and financial guarantees provided, which amount to R$ 128,683 (R$ 110,410 at 12/31/2020) with an estimated fair value of R$ 217 (R$ 520 at 12/31/2020).

The methods and assumptions used to estimate the fair value are defined below:

a)	Central Bank deposits, Securities purchased under agreements to resell and Securities sold under repurchase agreements – The carrying amounts for these instruments are close to their fair values.

b)	Interbank deposits, Deposits, Interbank and Institutional Market Funds – they are calculated by discounting estimated cash flows at market interest rates.

Securities and Derivatives –

Under normal conditions, the prices quoted in the market are the best

indicators of the fair values of these financial instruments. However, not all instruments have liquidity or quoted market prices and, in such cases, it is necessary to adopt present value estimates and other techniques to establish their fair value. In the absence of prices quoted by the Brazilian Association of Financial and Capital Markets Entities (ANBIMA), the fair values of government securities are calculated by discounting estimated cash flows at market interest rates, as well as corporate securities.

Loans and financial leases –

Fair value is estimated for groups of loans with similar financial and risk

characteristics, using valuation models. The fair value of fixed-rate loans was determined by discounting estimated cash flows, at interest rates applicable to similar loans. For the majority of loans at floating rates, the carrying amount was considered to be close to their market value. The fair value of loan and lease operations not overdue was calculated by discounting the expected payments of principal and interest to maturity. The fair value of overdue loan and lease transactions was based on the discount of estimated cash flows, using a rate proportional to the risk associated with the estimated cash flows, or on the underlying collateral. The assumptions for cash flows and discount rates rely on information available in the market and knowledge of the individual debtor.

Other financial assets / liabilities

– primarily composed of receivables from credit card issuers, deposits in

guarantee for contingent liabilities, provisions and legal obligations and trading and intermediation of securities. The carrying amounts for these assets/liabilities substantially approximate to their fair values, since they principally represent amounts to be received in the short term from credit card holders and to be paid to credit card issuers, deposits in guarantee (indexed to market rates) made by ITAÚ UNIBANCO HOLDING to secure lawsuits or very short-term receivables (generally with a maturity of approximately 5 business days). All of these items represent assets / liabilities without significant associated market, credit or liquidity risks.

Level

Observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active

markets. An active market is a market in which transactions for the asset or liability being measured occur often enough and with sufficient volume to provide pricing information on an ongoing basis.

Level

Input that is not observable for the asset or liability either directly or indirectly. Level 2 generally

includes: (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active, that is, markets in which there are few transactions for the asset or liability, the prices are not current, or quoted prices vary substantially either over time or among market makers, or in which little information is released publicly; (iii) inputs other than quoted prices that are observable for the asset or liability (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, etc.); (iv) inputs that are mainly derived from or corroborated by observable market data through correlation or by other means.

Level

Inputs are not observable for the asset or liability. Unobservable information is used to measure fair

value to the extent that observable information is not available, thus allowing for situations in which there is little, or no market activity for the asset or liability at the measurement date.

Financial assets at fair value through profit or loss, including Derivatives, and at fair value through other comprehensive income:

Level

Securities with prices available in an active market and derivatives traded on stock exchanges. This

classification level includes most of the Brazilian government securities, government securities form other countries, shares, debentures with price published by ANBIMA and other securities traded in an active market.

Level

Bonds, securities and derivatives that do not have price information available and are priced based on

conventional or internal models. The inputs used by these models are captured directly or built from observations of active markets. Most of derivatives traded

over-the-counter,

certain Brazilian government bonds, debentures and other private securities whose credit component effect is not considered relevant, are at this level.

Level

Bonds, securities and derivatives for which pricing inputs are generated by statistical and mathematical

models. Debentures and other private securities that do not fit into level 2 rule and derivatives with maturities greater than the last observable vertices of the discount curves are at this level.

All the above methods may result in a fair value that is not indicative of the net realizable value or future fair values. However, ITAÚ UNIBANCO HOLDING believes that all the method used are appropriate and consistent with other market participants. Moreover, the adoption of different methods or assumptions to estimate fair value may result in different fair value estimates at the balance sheet date.

Distribution by level

The following table presents the breakdown of fair value hierarchy levels.


	12/31/2021								12/31/2020
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Financial assets at fair value through profit or loss		259,868		100,492		1,563		361,923		312,572		70,791		1,968		385,331

Investment funds		653		19,486		—		20,139		576		13,628		—		14,204
Brazilian government securities		215,405		6,350		—		221,755		279,180		6,705		—		285,885
Government securities – other countries		5,561		—		—		5,561		8,210		—		—		8,210

Argentina		930		—		—		930		1,498		—		—		1,498
Chile		837		—		—		837		840		—		—		840
Colombia		1,059		—		—		1,059		3,603		—		—		3,603
United States		2,671		—		—		2,671		2,085		—		—		2,085
Italy		—		—		—		—		130		—		—		130
Mexico		19		—		—		19		5		—		—		5
Paraguay		10		—		—		10		3		—		—		3
Peru		8		—		—		8		5		—		—		5
Uruguay		27		—		—		27		41		—		—		41
Corporate securities		38,249		74,656		1,563		114,468		24,606		50,458		1,968		77,032

Shares		14,355		5,002		—		19,357		14,176		4,871		—		19,047
Rural product note		—		6,791		61		6,852		—		2,285		64		2,349
Bank deposit certificates		—		150		—		150		—		729		—		729
Real estate receivables certificates		—		1,009		3		1,012		—		—		548		548
Debentures		18,638		45,672		1,478		65,788		7,962		20,625		1,350		29,937
Eurobonds and others		5,244		1		8		5,253		2,383		—		—		2,383
Financial bills		—		10,098		13		10,111		—		15,777		6		15,783
Promissory and commercial notes		—		4,684		—		4,684		—		5,616		—		5,616
Other		12		1,249		—		1,261		85		555		—		640
Other Financial Assets		—		157		—		157		—		6		—		6
Financial assets at fair value through other comprehensive income		104,018		1,604		—		105,622		108,018		1,924		—		109,942

Brazilian government securities		68,457		1,185		—		69,642		66,701		1,248		—		67,949
Government securities – other countries		30,194		—		—		30,194		34,402		—		—		34,402

Argentina		405		—		—		405		—		—		—		—
Chile		19,734		—		—		19,734		21,651		—		—		21,651
Colombia		1,847		—		—		1,847		3,986		—		—		3,986
United States		4,518		—		—		4,518		3,750		—		—		3,750
Mexico		1,022		—		—		1,022		1,181		—		—		1,181
Paraguay		1,459		—		—		1,459		2,947		—		—		2,947
Uruguay		1,209		—		—		1,209		887		—		—		887
Corporate securities		5,367		419		—		5,786		6,915		676		—		7,591

Shares		743		—		—		743		1,382		—		—		1,382
Bank deposit certificates		—		131		—		131		109		198		—		307
Debentures		134		217		—		351		419		470		—		889
Eurobonds and others		4,490		8		—		4,498		5,005		8		—		5,013
Financial credit bills		—		6		—		6		—		—		—		—
Other		—		57		—		57		—		—		—		—
Financial assets designated at fair value through profit or loss		3,044		—		—		3,044		3,740		—		—		3,740

Brazilian external debt bonds		3,044		—		—		3,044		3,740		—		—		3,740
Financial liabilities at fair value through profit or loss		—		161		—		161		—		5		—		5

Other financial liabilities		—		161		—		161		—		5		—		5
Financial liabilities designated at fair value through profit or loss		—		114		—		114		—		143		—		143

Structured notes		—		114		—		114		—		143		—		143

The following table presents the breakdown of fair value hierarchy levels for derivative assets and liabilities.


	12/31/2021												12/31/2020
	Level 1			Level 2			Level 3			Total			Level 1			Level 2			Level 3			Total
Assets		6			68,887			152			69,045			23			76,376			105			76,504

Swap Contracts – adjustment receivable		—			37,924			90			38,014			—			45,926			93			46,019
Option Contracts		3			21,187			62			21,252			4			20,402			12			20,418
Forward Contracts		—			3,111			—			3,111			—			2,085			—			2,085
Credit derivatives		—			242			—			242			—			156			—			156
NDF - Non Deliverable Forward		—			5,943			—			5,943			—			7,596			—			7,596
Other derivative financial instruments		3			480			—			483			19			211			—			230

Liabilities		(3	)		(63,076	)		(125	)		(63,204	)		(22	)		(79,373	)		(110	)		(79,505	)

Swap Contracts – adjustment payable		—			(34,535	)		(111	)		(34,646	)		—			(51,680	)		(109	)		(51,789	)
Option Contracts		(2	)		(22,531	)		(14	)		(22,547	)		(13	)		(20,248	)		(1	)		(20,262	)
Forward Contracts		—			(762	)		—			(762	)		—			(905	)		—			(905	)
Credit derivatives		—			(198	)		—			(198	)		—			(76	)		—			(76	)
NDF - Non Deliverable Forward		—			(4,896	)		—			(4,896	)		—			(6,426	)		—			(6,426	)
Other derivative financial instruments		(1	)		(154	)		—			(155	)		(9	)		(38	)		—			(47	)

There were no significant transfer between Level 1 and Level 2 during the periods of 12/31/2021 and 12/31/2020. Transfers to and from Level 3 are presented in movements of Level 3.

Governance of Level 3 recurring fair value measurement

The departments in charge of defining and applying the pricing models are segregated from the business areas. The models are documented, submitted to validation by an independent area and approved by a specific committee. The daily process of price capture, calculation and disclosure is periodically checked according to formally defined tests and criteria and the information is stored in a single corporate data base.

The most frequent cases of assets classified as Level 3 are justified by the discount factors used and corporate bonds whose credit component is relevant. Factors such as the fixed interest curve in Brazilian Reais and the TR coupon curve – and, as a result, their related factors – have inputs with terms shorter than the maturities of fixed-income assets.

Level 3 recurring fair value changes

The tables below show balance sheet changes for financial instruments classified by ITAÚ UNIBANCO HOLDING in Level 3 of the fair value hierarchy. Derivative financial instruments classified in Level 3 correspond to other derivatives indexed to shares.


			Total gains or losses (realized / unrealized)
	Fair value at 12/31/2020		Recognized in income			Recognized in other comprehensive income		Purchases		Settlements			Transfers in and /or out of Level			Fair value at 12/31/2021		Total Gains or Losses (Unrealized)
Financial assets at fair value through profit or loss		1,968		(505	)		—		1,993		(865	)		(1,028	)		1,563		(434	)

Corporate securities		1,968		(505	)		—		1,993		(865	)		(1,028	)		1,563		(434	)
Real estate receivables certificates		548		(167	)		—		1,039		(616	)		(801	)		3		—
Debentures		1,350		(313	)		—		855		(211	)		(203	)		1,478		(432	)
Rural Product Note		64		(15	)		—		62		(32	)		(18	)		61		—
Eurobonds and other		—		(9	)		—		23		(6	)		—			8		(2	)
Financial bills		6		(1	)		—		14		—			(6	)		13		—


				Total gains or losses (realized / unrealized)
	Fair value at 12/31/2020			Recognized in income		Recognized in other comprehensive income		Purchases			Settlements			Transfers in and / or out of Level			Fair value at 12/31/2021			Total Gains or Losses (Unrealized)
Derivatives – assets		105			46		—		327			(284	)		(42	)		152			56

Swap Contracts – adjustment receivable		93			26		—		56			(43	)		(42	)		90			90
Option Contracts		12			20		—		271			(241	)		—			62			(34	)
Derivatives – liabilities		(110	)		72		—		(233	)		148			(2	)		(125	)		(24	)

Swap Contracts – adjustment payable		(109	)		8		—		(30	)		22			(2	)		(111	)		(46	)
Option Contracts		(1	)		64		—		(203	)		126			—			(14	)		22


			Total gains or losses (realized / unrealized)
	Fair value at 12/31/2019		Recognized in income			Recognized in other comprehensive income			Purchases		Settlements			Transfers in and / or out of Level			Fair value at 12/31/2020		Total Gains or Losses (Unrealized)
Financial assets at fair value through profit or loss		1,719		(1,160	)		—			1,619		(779	)		569			1,968		(700	)
Corporate securities		1,719		(1,160	)		—			1,619		(779	)		569			1,968		(700	)
Real estate receivables certificates		1,444		(726	)		—			263		(433	)		—			548		(14	)
Debentures		225		(369	)		—			1,050		(272	)		716			1,350		(635	)
Rural Product Note		—		(55	)		—			227		(19	)		(89	)		64		(51	)
Eurobonds and other		7		(6	)		—			69		(12	)		(58	)		—		—
Financial bills		13		(2	)		—			—		(5	)		—			6		—
Other		30		(2	)		—			10		(38	)		—			—		—

Financial assets at fair value through other comprehensive income		34		5			—			298		(221	)		(116	)		—		—

Corporate securities		34		5			—			298		(221	)		(116	)		—		—
Real estate receivables certificates		26		—			—			—		(26	)		—			—		—
Debentures		—		(2	)		6			50		(54	)		—			—		—
Eurobonds and other		8		7			(6	)		248		(141	)		(116	)		—		—


				Total gains or losses (realized / unrealized)
	Fair value at 12/31/2019			Recognized in income			Recognized in other comprehensive income		Purchases			Settlements			Transfers in and / or out of Level			Fair value at 12/31/2020			Total Gains or Losses (Unrealized)
Derivatives – Assets		103			89			—		193			(234	)		(46	)		105			51

Swap Contracts – adjustment receivable		32			107			—		10			(11	)		(45	)		93			91
Option Contracts		71			(18	)		—		183			(223	)		(1	)		12			(40	)
Derivatives – Liabilities		(85	)		(93	)		—		(130	)		177			21			(110	)		(90	)

Swap Contracts – adjustment payable		(46	)		(74	)		—		(12	)		1			22			(109	)		(90	)
Option Contracts		(39	)		(19	)		—		(118	)		176			(1	)		(1	)		—

Sensitivity analysis of Level 3 operations

The fair value of financial instruments classified in Level 3 is measured through valuation techniques based on correlations and associated products traded in active markets, internal estimates and internal models.

Significant unobservable inputs used for measurement of the fair value of instruments classified in Level 3 are: interest rates, underlying asset prices and volatility. Significant variations in any of these inputs separately may give rise to substantial changes in the fair value.

The table below shows the sensitivity of these fair values in scenarios of changes of interest rates or, asset prices, or in scenarios with varying shocks to prices and volatilities for nonlinear assets:


Sensitivity – Level 3 Operations		12/31/2021					12/31/2020
		Impact								Impact
Market risk factor groups	Scenarios	Income			Stockholders’ equity		Income			Stockholders’ equity
Interest rates	I		(1.5	)		—		(0.8	)		—
	II		(38.2	)		—		(19.8	)		—
	III		(76.4	)		—		(38.2	)		—

Commodities, Index and Shares	I		—			—		—			—
Commodities, Index and Shares	II		—			—		—			—

Nonlinear	I		(56.5	)		—		(8.3	)		—
Nonlinear	II		(93.3	)		—		(11.6	)		—

The following scenarios are used to measure sensitivity:

Interest rate

Based on reasonably possible changes in assumptions of 1, 25 and 50 basis points (scenarios I, II and III respectively) applied to the interest curves, both up and down, taking the largest losses resulting in each scenario.

Commodities, Index and Shares

Based on reasonably possible changes in assumptions of 5 and 10 percentage points (scenarios I and II respectively) applied to share prices, both up and down, taking the largest losses resulting in each scenario.

Nonlinear

Scenario I:

Based on reasonably possible changes in assumptions of 5 percentage points on prices and 25

percentage points on the volatility level, both up and down, taking the largest losses resulting in each scenario.

Scenario II:

Based on reasonably possible changes in assumptions of 10 percentage points on prices and 25

percentage points on the volatility level, both up and down, taking the largest losses resulting in each scenario.