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Fair value of financial instruments (Tables)

12 Months Ended

Dec. 31, 2021

Summary of Carrying and Estimated Fair Values for Financial Instruments

The following table summarizes the book values and estimated fair values for financial instruments:


			12/31/2021						12/31/2020
			Book value			Fair value			Book value			Fair value (*)
Financial assets				1,915,573			1,916,325			1,851,322			1,861,146
At Amortized Cost				1,375,782			1,376,534			1,275,799			1,285,623
Central Bank compulsory deposits	(a	)		104,592			104,592			90,059			90,059
Interbank deposits	(b	)		69,942			70,112			55,685			55,883
Securities purchased under agreements to resell	(a	)		169,718			169,718			239,943			239,943
Voluntary investments with the Central Bank of Brazil	(a	)		5,800			5,800			—			—
Securities	(c	)		147,746			147,219			129,804			131,159
Loan and Financial Lease	(d	)		822,590			823,699			714,104			722,375
Other financial assets	(e	)		96,473			96,473			93,255			93,255
(-) Provision for Expected Loss				(41,079	)		(41,079	)		(47,051	)		(47,051	)
At Fair Value Through Other Comprehensive Income				105,622			105,622			109,942			109,942
Securities	(c	)		105,622			105,622			109,942			109,942
At Fair Value Through Profit or Loss				434,169			434,169			465,581			465,581
Securities	(c	)		364,967			364,967			389,071			389,071
Derivatives	(c	)		69,045			69,045			76,504			76,504
Other financial assets				157			157			6			6
Financial liabilities				1,621,786			1,622,317			1,579,686			1,581,953
At Amortized Cost				1,553,107			1,553,638			1,495,641			1,497,908
Deposits	(b	)		850,372			850,277			809,010			808,965
Securities sold under repurchase agreements	(a	)		252,848			252,848			273,364			273,364
Interbank market funds	(b	)		177,145			177,181			156,035			156,106
Institutional market funds	(b	)		138,636			139,226			138,308			140,549
Other financial liabilities	(e	)		134,106			134,106			118,924			118,924
At Fair Value Through Profit or Loss				63,479			63,479			79,653			79,653
Derivatives	(c	)		63,204			63,204			79,505			79,505
Structured notes				114			114			143			143
Other financial liabilities				161			161			5			5
Provision for Expected Loss				5,200			5,200			4,392			4,392
Loan Commitments				4,433			4,433			3,485			3,485
Financial Guarantees				767			767			907			907

Summary of Breakdown of Fair Value Hierarchy Levels

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

Summary of Breakdown of Fair Value Hierarchy Levels for Derivative Assets and Liabilities

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	)

Summary of Changes in Balance Sheet for Financial Instruments Classified by Level 3 Fair Value Hierarchy

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	)		—

Summary of Sensitivity Analyses Operations of Level 3

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	)		—