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Hedge accounting (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Each Strategy of Nominal Value and Fair Value Adjustments of Hedge Instruments and Book Value of Hedged Item

The table below presents, for each strategy, the notional amount and the fair value adjustments of hedge instruments and the book value of the hedged item:


	12/31/2021							12/31/2020
	Hedge instruments					Hedged item		Hedge instruments					Hedged item
Strategies	Notional amount		Fair value adjustments			Book Value		Notional amount		Fair value adjustments			Book Value
Hedge of deposits and repurchase agreements		39,136		86			39,142		103,407		158			103,407
Hedge of highly probable forecast transactions		3,508		185			3,508		1,314		(105	)		1,314
Hedge of net investment in foreign operations		13,888		3,407			9,646		24,619		2,208			15,277
Hedge of loan operations (Fair value)		8,890		(28	)		8,890		9,205		(423	)		9,205
Hedge of loan operations (Cash flow)		131		1			131		316		15			327
Hedge of funding (Fair value)		11,051		(388	)		11,051		10,200		1,390			10,200
Hedge of funding (Cash flow)		5,779		30			5,749		1,996		(11	)		2,007
Hedge of assets transactions		8,213		(409	)		8,621		5,743		66			5,673
Hedge of asset-backed securities under repurchase agreements		39,962		50			40,526		31,417		(11	)		29,533
Hedge of assets denominated in UF		14,683		(127	)		14,558		16,677		(1	)		16,674
Hedge of securities at fair value through other comprehensive income		3,220		206			3,187		10,383		(226	)		10,192

Total				3,013							3,060

Breakdown by Maturity of Hedging Strategies

The table below shows the breakdown by maturity of the hedging strategies:


	12/31/2021
	0-1 ano		1-2 anos		2-3 anos		3-4 anos		4-5 anos		5-10 anos		Acima de 10 anos		Total
Hedge of deposits and repurchase agreements		1,284		9,453		14,221		7,313		5,332		1,533		—		39,136
Hedge of highly probable forecast transactions		3,508		—		—		—		—		—		—		3,508
Hedge of net investment in foreign operations (*)		13,888		—		—		—		—		—		—		13,888
Hedge of loan operations (Fair value)		3,377		1,522		797		838		809		1,547		—		8,890
Hedge of loan operations (Cash flow)		131		—		—		—		—		—		—		131
Hedge of funding (Fair value)		1,206		1,072		302		273		2,920		3,916		1,362		11,051
Hedge of funding (Cash flow)		2,147		3,632		—		—		—		—		—		5,779
Hedge of assets transactions		2,198		—		6,015		—		—		—		—		8,213
Hedge of asset-backed securities under repurchase agreements		2,322		14,963		8,976		13,098		—		603		—		39,962
Hedge of assets denominated in UF		10,148		4,535		—		—		—		—		—		14,683
Hedge of securities at fair value through other comprehensive income		—		453		56		1,692		26		993		—		3,220

Total		40,209		35,630		30,367		23,214		9,087		8,592		1,362		148,461


	12/31/2020
	0-1 year		1-2 years		2-3 years		3-4 years		4-5 years		5-10 years		over 10 years		Total
Hedge of deposits and repurchase agreements		70,200		9,077		13,059		5,504		4,848		719		—		103,407
Hedge of highly probable forecast transactions		1,314		—		—		—		—		—		—		1,314
Hedge of net investment in foreign operations (*)		24,619		—		—		—		—		—		—		24,619
Hedge of loan operations (Fair value)		2,999		1,793		1,297		447		898		1,771		—		9,205
Hedge of loan operations (Cash flow)		212		104		—		—		—		—		—		316
Hedge of funding (Fair value)		213		657		549		176		581		5,448		2,576		10,200
Hedge of funding (Cash flow)		1,765		27		204		—		—		—		—		1,996
Hedge of assets transactions		3,604		2,139		—		—		—		—		—		5,743
Hedge of asset-backed securities under repurchase agreements		22,186		2,297		6,130		—		804		—		—		31,417
Hedge of assets denominated in UF		15,400		1,277		—		—		—		—		—		16,677
Hedge of securities at fair value through other comprehensive income		5,876		1,382		10		—		719		2,396		—		10,383

Total		148,388		18,753		21,249		6,127		7,850		10,334		2,576		215,277

(*)	Classified as current, since instruments are frequently renewed.

Schedule of the Effect of Hedge Accounting on the Financial Position and Performance

The effects of hedge accounting on the financial position and performance of ITAÚ UNIBANCO HOLDING are presented below:


	12/31/2021
	Hedge Item											Hedge Instruments (2)
														Variation in fair
									Variation in fair value					value used to
	Book Value (1)				Fair value				recognized in			Notional		calculate hedge
Strategies	Assets		Liabilities		Assets		Liabilities		income			amount		ineffectiveness
Interest rate risk
Hedge of loan operations		8,890		—		8,917		—		27			8,890		(28	)
Hedge of funding		—		11,051		—		10,661		390			11,051		(388	)
Hedge of securities at fair value through other comprehensive income		3,187		—		2,976		—		(211	)		3,220		206

Total		12,077		11,051		11,893		10,661		206			23,161		(210	)


	12/31/2020
	Hedge Item											Hedge Instruments (2)
	Book Value (1)				Fair value				Variation in fair value recognized in income			Notional amount		Variation in fair value used to calculate hedge ineffectiveness
Strategies	Assets		Liabilities		Assets		Liabilities		Variation in fair value recognized in income			Notional amount
Interest rate risk
Hedge of loan operations		9,205		—		9,616		—		411			9,205		(423	)
Hedge of funding		—		10,200		—		11,591		(1,391	)		10,200		1,390
Hedge of securities at fair value through other comprehensive income		10,192		—		10,412		—		220			10,383		(226	)

Total		19,397		10,200		20,028		11,591		(760	)		29,788		741

(1)	Amounts recorded under heading Deposits, Securities, Funds from Interbank Markets and Loan and Lease Operations.

(2)	Comprises the amount of R$ 6,422 (R$ 4,915 at 12/31/2020) related to instruments exposed by the change in reference interest rates - IBORs.

Fair value hedge [Member]

Statement [Line Items]

Summary of Hedge Accounting


	12/31/2021
	Notional amount		Book value (1)				Variation in fair value used to calculate hedge ineffectiveness			Hedge ineffectiveness recognized in income
Hedge Instruments	Notional amount		Assets		Liabilities					Hedge ineffectiveness recognized in income
Interest rate risk
Swap		23,161		2		5,428		(210	)		(4	)

Total		23,161		2		5,428		(210	)		(4	)


	12/31/2020
	Notional amount		Book value (1)				Variation in fair value used to calculate hedge ineffectiveness		Hedge ineffectiveness recognized in income
Hedge Instruments	Notional amount		Assets		Liabilities				Hedge ineffectiveness recognized in income
Interest rate risk
Swap		29,788		2,871		5,812		741		(19	)

Total		29,788		2,871		5,812		741		(19	)

(1)	Amounts recorded under heading Derivatives.

Hedges of net investment in foreign operations [member]

Statement [Line Items]

Summary of Hedge Accounting


	12/31/2021
							Variations in fair value used to calculate hedge ineffectiveness			Variation in the value recognized in Other comprehensive income			Hedge ineffectiveness recognized in income			Amount reclassified from foreign currency convertion reserve into income

	Notional amount		Book Value (*)
Hedge instruments	Notional amount		Assets		Liabilities
Foreign exchange risk
Futures		2,126		286		—		(3,252	)		(3,241	)		(11	)		—
Futures / NDF - Non Deliverable		6,000		208		—		(3,502	)		(3,529	)		27			—
Futures / Financial Assets		5,762		6,566		3,653		(7,934	)		(7,931	)		(3	)		—

Total		13,888		7,060		3,653		(14,688	)		(14,701	)		13			—


	12/31/2021
							Variations in fair value used to calculate hedge ineffectiveness			Variation in the value recognized in Other comprehensive income			Hedge ineffectiveness recognized in income			Amount reclassified from foreign currency convertion reserve into income

	Notional amount		Book Value (*)
Hedge instruments	Notional amount		Assets		Liabilities
Foreign exchange risk
Futures		5,052		—		31		(3,844	)		(3,836	)		(8	)		—
Futures / NDF - Non Deliverable		15,196		445		—		(8,006	)		(7,993	)		(13	)		—
Futures / Financial Assets		4,371		4,556		2,762		(2,751	)		(2,769	)		18			—

Total		24,619		5,001		2,793		(14,601	)		(14,598	)		(3	)		—

(*)	Amounts recorded under heading Derivatives.

Cash flow hedges [member]

Statement [Line Items]

Summary of Hedge Accounting


	12/31/2021
	Notional		Book Value (*)				Variations in fair value used to calculate hedge			Variation in value recognized in Other comprehensive			Hedge ineffectiveness recognized in			Amount reclassified from Cash flow hedge
Hedge Instruments	amount		Assets		Liabilities		ineffectiveness			income			income			reserve to income
Interest rate risk
Futures		87,311		144		—		(1,035	)		(1,030	)		(5	)		(13	)
Swap		20,593		5,749		14,688		(96	)		(97	)		1			—
Foreign exchange risk
Futures		3,508		—		3,665		185			185			—			—

Total		111,412		5,893		18,353		(946	)		(942	)		(4	)		(13	)


	12/31/2020
	Notional		Book Value (*)				Variations in fair value used to calculate hedge			Variation in value recognized in Other comprehensive			Hedge ineffectiveness recognized in			Amount reclassified from Cash flow hedge
Hedge Instruments	amount		Assets		Liabilities		ineffectiveness			income			income			reserve to income
Interest rate risk
Futures		140,567		146		—		(1,664	)		(1,660	)		(4	)		(381	)
Swap		18,989		2,007		17,006		3			(2	)		5			—
Foreign exchange risk
Futures		1,314		5		298		(105	)		(105	)		—			—

Total		160,870		2,158		17,304		(1,766	)		(1,767	)		1			(381	)

(*)	Amounts recorded under heading Derivatives.

Schedule of Each Strategy of Nominal Value and Fair Value Adjustments of Hedge Instruments and Book Value of Hedged Item


		12/31/2021
		Hedged item										Hedge instrument
		Book Value				Variation in value recognized in Other			Cash flow hedge			Notional		Variation in fair value used to calculate hedge
Strategies	Heading	Assets		Liabilities		comprehensive income			reserve			Amount		ineffectiveness
Interest rate risk
Hedge of deposits and repurchase agreements	Securities purchased under agreements to resell		—		39,142		1,065			1,065			39,136		1,072
Hedge of assets transactions	Loans and lease operations and Securities		8,621		—		(409	)		(409	)		8,213		(409	)
Hedge of asset-backed securities under repurchase agreements	Securities purchased under agreements to resell		40,526		—		(1,686	)		(1,686	)		39,962		(1,698	)
Hedge of loan operations	Loans and lease operations		131		—		—			—			131		1
Hedge of funding	Deposits		—		5,749		30			30			5,779		30
Hedge of assets denominated in UF	Securities		14,558		—		(127	)		(127	)		14,683		(127	)
Foreign exchange risk
Hedge of highly probable forecast transactions			3,508		—		185			740			3,508		185

Total			67,344		44,891		(942	)		(387	)		111,412		(946	)


		12/31/2020
		Hedged item										Hedge instrument
		Book Value				Variation in value recognized in Other			Cash flow hedge			Notional		Variation in fair value used to calculate hedge
Strategies	Heading	Assets		Liabilities		comprehensive income			reserve			Amount		ineffectiveness
Interest rate risk
Hedge of deposits and repurchase agreements	Securities purchased under agreements to resell		—		103,407		(2,423	)		(2,458	)		103,407		(2,429	)
Hedge of assets transactions	Loans and lease operations and Securities		5,673		—		66			66			5,743		66
Hedge of asset-backed securities under repurchase agreements	Securities purchased under agreements to resell		29,533		—		697			697			31,417		699
Hedge of loan operations	Loans and lease operations		327		—		12			12			316		15
Hedge of funding	Deposits		—		2,007		(10	)		(10	)		1,996		(11	)
Hedge of assets denominated in UF	Securities		16,674		—		(4	)		(4	)		16,677		(1	)
Foreign exchange risk
Hedge of highly probable forecast transactions			1,314		—		(105	)		148			1,314		(105	)

Total			53,521		105,414		(1,767	)		(1,549	)		160,870		(1,766	)

investment abroad designated as hedged item [Member]

Statement [Line Items]

Summary of Hedge Accounting

Instead, ITAÚ UNIBANCO HOLDING uses the Dollar Offset Method, which is based on a comparison of the change in fair value (cash flow) of the hedging instrument, attributable to changes in the exchange rate and the gain (loss) arising from variations in exchange rates on the amount of investment abroad designated as the object of the hedge.


	12/31/2021
	Hedged item										Hedge instrument
	Book Value (2)				Variation in value recognized in Other			Foreign currency			Notional		Variation in fair value used to calculate hedge
Strategies	Assets		Liabilities		comprehensive income			convertion reserve			amount		ineffectiveness
Foreign exchange risk
Hedge of net investment in foreign operations (1)		9,646		—		(14,701	)		(14,701	)		13,888		(14,688	)

Total		9,646		—		(14,701	)		(14,701	)		13,888		(14,688	)


	12/31/2020
	Hedged item										Hedge instrument
	Book Value (2)				Variation in value recognized in Other			Foreign currency			Notional		Variation in fair value used to calculate hedge
Strategies	Assets		Liabilities		comprehensive income			convertion reserve			amount		ineffectiveness
Foreign exchange risk
Hedge of net investment in foreign operations (1)		15,277		—		(14,598	)		(14,598	)		24,619		(14,601	)

Total		15,277		—		(14,598	)		(14,598	)		24,619		(14,601	)

(1)	Hedge instruments consider the gross tax position.

(2)	Amounts recorded under heading Derivatives.