XML 70 R63.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative financial instruments and Short positions (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative financial instruments and Short positions (Tables) [Abstract]  
Portfolio Summary of Trading Derivative and Used as Hedge

Portfolio Summary of Trading Derivative and Used as Hedge

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2016

 

2015

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Differentials Receivable

 

 

 

 

 

 

 

 

 

  15,781,207

 

15,321,646

 

22,312,106

Option Premiums to Exercise

 

 

 

 

 

 

 

 

 

553,217

 

  935,520

 

  895,684

Forward Contracts and Others

 

 

 

 

 

 

 

 

 

928,464

 

8,445,807

 

3,042,572

Total

 

 

 

 

 

 

 

 

 

 

 

  17,262,888

 

24,702,973

 

26,250,362

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Differentials Payable

 

 

 

 

 

 

 

 

 

  14,643,016

 

12,267,819

 

20,154,760

Option Premiums Launched

 

 

 

 

 

 

 

 

 

385,183

 

1,166,002

 

  827,757

Forward Contracts and Others

 

 

 

 

 

 

 

 

 

  1,649,287

 

6,802,794

 

3,734,442

Total

 

 

 

 

 

 

 

 

 

 

 

  16,677,486

 

20,236,615

 

24,716,959

Summary by Category

Summary by Category

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading

 

 

 

 

 

2017

 

2016

 

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

Fair Value

 

Notional

 

Fair Value

 

Notional

 

Fair Value

"Swap"

 

 

 

 

 

 

 

  1,108,760

 

 

 

  3,142,125

 

 

 

3,221,966

Assets

 

 

 

 

 

  202,081,214

 

57,294,179

 

  196,887,188

 

  24,311,485

 

315,466,085

 

38,512,406

CDI (Interbank Deposit Rates)

 

 

 

  33,289,522

 

22,409,496

 

  44,868,680

 

  22,759,822

 

38,808,344

 

9,081,792

Fixed Interest Rate - Real

 

 

 

  95,700,715

 

  -

 

 126,300,261

 

  -

 

200,528,046

 

-

Indexed to Price and Interest Rates

 

 

 

  5,592,892

 

  -

 

  9,225,789

 

  -

 

15,491,509

 

6,421,310

Foreign Currency

 

 

 

 

 

  67,493,635

 

34,884,683

 

  16,492,458

 

  1,551,663

 

60,626,540

 

23,009,304

Others

 

 

 

 

 

4,450

 

  -

 

-

 

  -

 

  11,646

 

-

Liabilities

 

 

 

 

 

 199,709,355

 

  (56,185,419)

 

 184,350,947

 

 (21,169,360)

 

295,696,266

 

(35,290,440)

CDI (Interbank Deposit Rates)

 

 

 

  16,664,176

 

  -

 

  23,178,722

 

  -

 

32,000,584

 

-

Fixed Interest Rate - Real

 

 

 

 114,055,076

 

  (21,687,884)

 

 133,185,717

 

 (17,414,147)

 

218,588,847

 

(35,280,694)

Indexed to Price and Interest Rates

 

 

 

  40,146,968

 

  (34,107,210)

 

  12,767,212

 

  (3,518,297)

 

6,930,103

 

-

Foreign Currency

 

 

 

 

 

  28,420,467

 

  -

 

  15,049,776

 

(38,836)

 

38,176,732

 

  (9,746)

Others

 

 

 

 

 

422,668

 

(390,325)

 

169,520

 

(198,080)

 

  -

 

-

Options

 

 

 

 

 

 190,061,609

 

  168,034

 

 175,841,405

 

(230,482)

 

91,877,351

 

  67,927

Purchased Position

 

 

 

 

  87,503,833

 

  553,217

 

  83,883,966

 

935,520

 

46,024,648

 

  895,684

Call Option - US Dollar

 

 

 

  9,369,821

 

  169,542

 

  12,693,748

 

181,463

 

5,018,652

 

  665,655

Put Option - US Dollar

 

 

 

  5,130,392

 

  42,389

 

  3,788,161

 

392,048

 

2,735,625

 

  31,520

Call Option - Other

 

 

 

 

 

  1,953,481

 

  59,220

 

  20,115,932

 

62,517

 

14,106,701

 

  113,809

Interbank Market

 

 

 

 

 

  1,185,310

 

389

 

  17,391,500

 

7,062

 

13,114,822

 

  93,435

Others (1)

 

 

 

 

 

768,171

 

  58,831

 

  2,724,432

 

55,455

 

  991,879

 

  20,374

Put Option - Other

 

 

 

 

 

  71,050,139

 

  282,066

 

  47,286,125

 

299,492

 

24,163,670

 

  84,700

Interbank Market

 

 

 

 

 

  70,295,282

 

  257,943

 

  46,106,600

 

18,029

 

23,350,994

 

  4,558

Others (1)

 

 

 

 

 

754,857

 

  24,123

 

  1,179,525

 

281,463

 

  812,676

 

  80,142

Sold Position

 

 

 

 

 

 102,557,776

 

(385,183)

 

  91,957,439

 

  (1,166,002)

 

45,852,703

 

  (827,757)

Call Option - US Dollar

 

 

 

  5,595,163

 

(117,059)

 

  4,314,988

 

(141,172)

 

3,331,244

 

  (596,729)

Put Option - US Dollar

 

 

 

  5,919,598

 

(77,145)

 

  7,390,733

 

(952,407)

 

4,402,202

 

  (73,815)

Call Option - Other

 

 

 

 

 

  19,880,180

 

(35,961)

 

  30,441,646

 

(46,940)

 

14,567,407

 

  (122,683)

Interbank Market

 

 

 

 

 

  19,151,110

 

  (515)

 

  27,597,764

 

(4,087)

 

13,730,262

 

  (112,707)

Others (1)

 

 

 

 

 

729,070

 

(35,446)

 

  2,843,882

 

(42,853)

 

  837,145

 

  (9,976)

Put Option - Other

 

 

 

 

 

  71,162,835

 

(155,018)

 

  49,810,072

 

(25,483)

 

23,551,850

 

  (34,530)

Interbank Market

 

 

 

 

 

  70,494,622

 

(126,743)

 

  49,245,495

 

(5,793)

 

23,218,228

 

  (1,615)

Others (1)

 

 

 

 

 

668,213

 

(28,275)

 

564,577

 

(19,690)

 

  333,622

 

  (32,915)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

 

 

 

 161,725,596

 

  -

 

 104,651,180

 

  -

 

184,191,204

 

-

Purchased Position

 

 

 

 

  54,806,022

 

  -

 

  40,396,456

 

  -

 

41,186,341

 

-

Exchange Coupon (DDI)

 

 

 

  9,616,936

 

  -

 

  14,473,180

 

  -

 

4,274,352

 

-

Interest Rates (DI1 and DIA)

 

 

 

  26,456,303

 

  -

 

  23,756,523

 

  -

 

22,760,484

 

-

Foreign Currency

 

 

 

 

 

  16,733,437

 

  -

 

  1,393,538

 

  -

 

11,710,934

 

-

Indexes (2)

 

 

 

 

 

  1,780,311

 

  -

 

195,160

 

  -

 

  577,149

 

-

Others

 

 

 

 

 

219,035

 

  -

 

578,055

 

  -

 

1,863,422

 

-

Sold Position

 

 

 

 

 

 106,919,574

 

  -

 

  64,254,724

 

  -

 

143,004,863

 

-

Exchange Coupon (DDI)

 

 

 

  55,016,928

 

  -

 

  15,048,490

 

  -

 

58,499,504

 

-

Interest Rates (DI1 and DIA)

 

 

 

  51,135,994

 

  -

 

  29,047,678

 

  -

 

20,836,314

 

-

Foreign Currency

 

 

 

 

 

745,849

 

  -

 

  17,384,256

 

  -

 

35,463,589

 

-

Indexes (2)

 

 

 

 

 

20,803

 

  -

 

185,506

 

  -

 

  500,993

 

-

Treasury Bonds/Notes

 

 

 

-

 

  -

 

  2,588,794

 

  -

 

  49,163

 

-

Others

 

 

 

 

 

-

 

  -

 

-

 

  -

 

27,655,300

 

-

Forward Contracts and Others

 

 

 

  47,823,561

 

(720,823)

 

  50,853,154

 

  1,643,013

 

51,051,014

 

  (691,870)

Purchased Commitment

 

 

 

  23,506,096

 

  647,376

 

  20,864,170

 

  3,386,347

 

21,570,405

 

3,028,038

Currencies

 

 

 

 

 

  21,525,220

 

  618,007

 

  19,951,984

 

  3,391,275

 

21,570,405

 

2,690,632

Others

 

 

 

 

 

  1,980,876

 

  29,369

 

912,186

 

(4,928)

 

  -

 

  337,406

Sold Commitment

 

 

 

 

 

  24,317,465

 

  (1,368,199)

 

  29,988,984

 

  (1,743,334)

 

29,480,609

 

(3,719,908)

Currencies

 

 

 

 

 

  22,096,104

 

  (1,364,617)

 

  29,911,406

 

  (1,826,965)

 

29,140,219

 

(3,382,384)

Others

 

 

 

 

 

  2,221,361

 

(3,582)

 

77,578

 

83,631

 

  340,390

 

  (337,524)

(1) Includes index options, mainly, options involving DI and CDI and shares.

(2) Includes Bovespa index and S&P.
Derivatives Financial Instruments by Counterparty

a.2) Derivatives Financial Instruments by Counterparty

 

 Notional

 

 

 

 

 

 

 

 

 

 

 

2017

Related

Financial

Customers

 Parties

Institutions (1)

 Total

"Swap"

 

 

 

 

 

  32,912,721

 

  19,599,395

 

149,569,098

 

202,081,214

Options

 

 

 

 

 

  11,263,513

 

  1,240,309

 

177,557,787

 

190,061,609

Futures Contracts

 

 

 

 

 

-

 

-

 

161,725,596

 

161,725,596

Forward Contracts and Others

 

 

 

  25,470,287

 

  18,816,991

 

3,536,283

 

47,823,561

(1) Includes trades with B3 S.A. (Current Company Name of BM&FBovespa) and other securities and commodities exchanges.

 Notional

 

 

 

 

 

 

 

 

 

2016

 

2015

Related

Financial

Customers

 Parties

Institutions (1)

 Total

 Total

"Swap"

 

 

 

  43,082,605

 

  15,910,871

 

  137,893,712

 

196,887,188

 

315,466,085

Options

 

 

 

  5,916,105

 

839,182

 

  169,086,118

 

175,841,405

 

91,877,351

Futures Contracts

 

 

 

  -

 

-

 

  104,651,180

 

104,651,180

 

184,191,204

Forward Contracts and Others

 

  29,044,676

 

  17,563,319

 

  4,245,159

 

50,853,154

 

51,051,014

(1) Includes trades with B3 S.A. (Current Company Name of BM&FBovespa) and other securities and commodities exchanges.

 
Derivatives Financial Instruments by Maturity

a.3) Derivatives Financial Instruments by Maturity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

 

 

 

 

 

 

 

 

 

Up to

 

From 3 to

 

Over

 

 

 

 

 

 

 

 

 

 

 

 

 3 Months

 

12 Months

 

12 Months

 

 Total

"Swap"

 

 

 

 

 

 

 

 

 

  20,705,247

 

  51,021,102

 

130,354,865

 

202,081,214

Options

 

 

 

 

 

 

 

 

 

  46,139,545

 

  89,403,700

 

54,518,364

 

190,061,609

Futures Contracts

 

 

 

 

 

 

 

 

 

  65,489,476

 

  55,490,159

 

40,745,961

 

161,725,596

Forward Contracts and Others

 

 

 

 

 

 

 

  25,015,557

 

  14,250,495

 

8,557,509

 

47,823,561

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

 

 

 

 

 

 

2016

 

2015

 

 

 

 

 

 

 

 

Up to

 

From 3 to

 

Over

 

 

 

 

 

 

 

 

 

 

 

 

 3 Months

 

12 Months

 

12 Months

 

 Total

 

 Total

"Swap"

 

 

 

 

 

 

 

  17,499,576

 

  26,810,380

 

  152,577,232

 

196,887,188

 

315,466,085

Options

 

 

 

 

 

 

 

  10,785,982

 

  10,624,762

 

  154,430,661

 

175,841,405

 

91,877,351

Futures Contracts

 

 

 

 

 

 

 

  66,298,799

 

  16,041,642

 

  22,310,739

 

104,651,180

 

184,191,204

Forward Contracts and Others

 

 

 

 

 

  28,235,186

 

  17,826,727

 

  4,791,241

 

50,853,154

 

51,051,014

Derivatives by Market Trading

a.4) Derivatives by Market Trading

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

 

 

 

 

Stock Exchange (1)

 

Over the Counter

 

2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Total

"Swap"

 

 

 

 

 

 

 

 

 

 

 

  67,112,505

 

134,968,709

 

202,081,214

Options

 

 

 

 

 

 

 

 

 

 

 

  172,144,700

 

17,916,909

 

190,061,609

Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

  161,725,596

 

  -

 

161,725,596

Forward Contracts and Others

 

 

 

 

 

 

 

 

 

395,212

 

47,428,349

 

47,823,561

(1) Includes trades with B3 S.A. (Current Company Name of BM&FBovespa) and with Cetip, derived from its incorporation by B3.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

Stock Exchange (1)

 

 

 

Over the Counter

 

2016

 

2015

 

 

 

 

 

 

 

 

 

Cetip (2)

 

 

 

 Total

 

 Total

"Swap"

 

 

 

 

 

 

 

  133,759,441

 

  61,856,098

 

  1,271,649

 

196,887,188

 

315,466,085

Options

 

 

 

 

 

 

 

  166,899,868

 

  8,234,147

 

707,390

 

175,841,405

 

91,877,351

Futures Contracts

 

 

 

 

 

 

 

  104,651,180

 

-

 

-

 

104,651,180

 

184,191,204

Forward Contracts and Others

 

 

 

 

 

  -

 

  35,427,573

 

  15,425,581

 

50,853,154

 

51,051,014

(1) Includes trades with B3 S.A. (Current Company Name of BM&FBovespa) and with Cetip, derived from its incorporation by B3.

(2) Includes amounts traded on other clearing houses.
Attributable to the type of risk being hedged

The linear regression model of the daily results and coefficient of determination for both tests (prospective and regressive) was used to evaluate the effectiveness and to measure the ineffectiveness of the Government Securities Bonds (LTN / NTN-F), demonstrating that the hedge remains effective.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

2016

 

2015

Hedge Structure

 

 

Effective Portion Accumulated

 

Portion
Ineffective

 

Effective Portion Accumulated

 

Portion Ineffective

 

Effective Portion Accumulated

 

Portion Ineffective

Fair Value Hedge

 

 

 

 

 

 

 

 

 

 

 

 

Debentures

 

-

 

  -

 

-

 

-

 

  10,502

 

  -

Brazilian Treasury Bonds (LTN, NTN-F)

 

  (388,446)

 

  -

 

-

 

-

 

  -

 

  -

Eurobonds

 

-

 

  -

 

13,163

 

-

 

  2,051

 

  -

Bonds (LEA)

 

  (1,200)

 

  -

 

-

 

-

 

  -

 

  -

NCE

 

-

 

  -

 

-

 

-

 

  53,131

 

  -

Resolution 2770

 

  304

 

  -

 

-

 

-

 

  35,338

 

  -

Trade Finance Off

 

  (57,386)

 

  -

 

20,471

 

-

 

  11,046

 

  -

Total

 

  (446,728)

 

  -

 

33,634

 

-

 

  112,068

 

  -

Hedge Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

2016

 

2015

 

 

 

 

 

 

Adjustment

 

 

 

Adjustment

 

 

 

Adjustment

 

 

 

 

 

 

 

 

to Market

 

Fair Value

 

to Market

 

Fair Value

 

to Market

 

Fair Value

Hedge Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

  (95,672)

 

(130,683)

 

  (26,703)

 

(136,467)

 

(66,990)

 

  86,822

Assets

 

 

 

 

 

12,954

 

3,005,666

 

11,486

 

  1,046,012

 

  57,829

 

7,130,753

CDI (Interbank Deposit Rates) (5)

 

 

 

 

 

(357)

 

1,818,366

 

-

 

-

 

  4,376

 

1,783,075

Fixed Interest Rate - Real

 

 

 

 

 

-

 

  -

 

-

 

-

 

  27,184

 

3,549,659

Indexed to Foreign Currency - Pre Dollar (1)

 

 

 

 

 

  320

 

  8,742

 

1,103

 

17,678

 

790

 

  94,472

Indexed to Foreign Currency - USD/BRL - Dollar (2)(3) (4)

 

 

 

 

 

  (23,585)

 

  691,872

 

  (8,957)

 

744,260

 

(10,904)

 

  665,025

  Indexed to Foreign Currency  - Libor - Dollar

 

 

 

 

 

-

 

  -

 

-

 

-

 

  1,962

 

  612,623

  Indexed to Foreign Currency  - Swiss Franc

 

 

 

 

 

-

 

  -

 

-

 

-

 

  -

 

  -

Indexed to Foreign Currency -  Euro (6)(7)

 

 

 

 

 

36,576

 

  486,686

 

19,340

 

284,074

 

  34,347

 

  390,156

Indexed to Foreign Currency - Pre YEN

 

 

 

 

 

-

 

  -

 

-

 

-

 

74

 

  35,743

Liabilities

 

 

 

 

 

  (108,626)

 

  (3,136,349)

 

  (38,189)

 

  (1,182,479)

 

(124,819)

 

(7,043,931)

Indexed to Foreign Currency - US Dollar (6)

 

 

 

 

 

  (20,109)

 

(261,915)

 

  (14,958)

 

(323,197)

 

(55,892)

 

(1,082,503)

Indexed Indices of Prices and Interest

 

 

 

 

 

-

 

  -

 

-

 

-

 

(30,982)

 

  (831,156)

Indexed to Foreign Currency - Pre Dollar (5)

 

 

 

 

 

  (16,303)

 

(225,857)

 

  (1,103)

 

(17,676)

 

  -

 

  -

CDI (Interbank Deposit Rates) (1)(2)

 

 

 

 

 

  (21,380)

 

(474,398)

 

  (18,395)

 

(804,059)

 

(12,298)

 

(3,279,438)

Indexed to Foreign Currency - Libor - US Dollar

 

 

 

 

 

-

 

  -

 

-

 

-

 

  (61)

 

  (41,513)

Fixed Interest Rate - Real (3) (8)

 

 

 

 

 

  22

 

  (1,640,708)

 

  (3,733)

 

(37,547)

 

(25,586)

 

(1,809,321)

Indexed to Foreign Currency - Colombian  Peso (7)

 

 

 

 

 

  (13,863)

 

(219,392)

 

-

 

-

 

  -

 

  -

Indexed to Foreign Currency - Pre Euro (4)

 

 

 

 

 

  (36,993)

 

(314,079)

 

-

 

-

 

  -

 

  -

Object of Hedge

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

77,623

 

3,126,828

 

23,165

 

693,132

 

  110,003

 

3,103,783

Loans and Receivables

 

 

 

 

 

79,496

 

1,382,326

 

23,165

 

693,132

 

  94,104

 

2,218,727

Indexed to Foreign Currency - US Dollar (6)

 

 

 

 

 

4,319

 

  288,420

 

4,809

 

323,780

 

  42,348

 

1,295,383

Indexed to Foreign Currency - Pre Dollar (5)

 

 

 

 

 

16,416

 

  224,943

 

-

 

-

 

  -

 

  -

Indexed Indices of Prices and Interest (2)

 

 

 

 

 

-

 

  -

 

-

 

-

 

  52,984

 

  916,765

CDI (Interbank Deposit Rates)

 

 

 

 

 

16,401

 

  352,071

 

13,253

 

331,805

 

  -

 

  -

Fixed Interest Rate - Real (3)

 

 

 

 

 

3,900

 

  21,077

 

5,103

 

37,547

 

(1,228)

 

  6,579

Indexed to Foreign Currency - Colombian  Peso (7)

 

 

 

 

 

 (2,898)

 

  173,990

 

-

 

-

 

  -

 

  -

Indexed to Foreign Currency - Pre Euro (4)

 

 

 

 

 

41,358

 

  321,825

 

-

 

-

 

  -

 

  -

Debt instruments

 

 

 

 

 

  (1,873)

 

1,744,502

 

-

 

-

 

  15,899

 

  885,056

CDI (Interbank Deposit Rates) (1)(2)

 

 

 

 

 

  354

 

  119,892

 

-

 

-

 

  10,578

 

  503,415

Fixed Interest Rate - Real (3)

 

 

 

 

 

  91

 

  6,082

 

-

 

-

 

  5,321

 

  381,641

National Treasury Notes - NTN F (9)

 

 

 

  (2,318)

 

1,618,529

 

-

 

-

 

  -

 

  -

Liabilities

 

 

 

 

 

-

 

  -

 

12,830

 

(803,929)

 

(8,383)

 

(3,520,951)

Foreign Borrowings

 

 

 

-

 

  -

 

12,830

 

(803,929)

 

(8,342)

 

(3,485,167)

Indexed to Foreign Currency - US Dollar (2)

 

 

 

 

 

-

 

  -

 

12,830

 

(803,929)

 

(8,342)

 

(3,485,167)

Marketable debt securities

 

 

 

 

 

-

 

  -

 

-

 

-

 

  (41)

 

  (35,784)

Eurobonds

 

 

 

 

 

-

 

  -

 

-

 

-

 

  (41)

 

  (35,784)
Hedge Instruments - Reference Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12/31/2017

Hedge Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Reference
 Value

Swap Contracts (8)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

22,206,615

Interest Rate (DI1 and DIA)

 

 

 

 

 

 

 

 

 

 

 

 

 

22,206,615

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Object of Hedge

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12/31/2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Adjustment

 

 

Object of Hedge

 

 

 

 

 

 

 

 

 

 

 

 

 

to Market

 

Fair Value

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

  364,434

 

24,779,831

  Securities - Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  Government Securities (8)

 

 

 

 

 

 

 

 

 

 

 

  364,434

 

24,779,831

National Treasury Bills - LTN

 

 

 

 

 

 

 

 

 

 

 

 

 

  219,611

 

13,893,932

National Treasury Notes - NTN F

 

 

 

 

 

 

 

 

 

 

 

 

 

  144,823

 

10,885,899

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Passive instruments whose hedged items are securities represented by promissory notes indexed in Certificates of Interbank Deposits (CDI) with market value of R$109,538 (12/31/2016 - R$108,845).

(2) These are passive instruments whose hedge items are credit operations and securities represented by promissory notes indexed in interbank deposit certificates (CDI), with market value of credit operations of R$352,071 and promissory notes of R$10,354 (12/31/2016 - R$108,844 and 12/31/2015 - 381,641) and on December 31, 2017 assets instruments whose hedged items are foreign currency indexed bonds denominated in foreign currency - US dollar in the market value of R$803,929 (12/31/2016 - 803,929). 

(3) These are passive instruments whose hedged items are securities and securities represented by promissory notes indexed to Real interest rates with market value of R$6,082 (12/31/2016 - R$37,547 and 12/31/2015 - R$6,579) and credit operations in the amount of R$21,077.

(4) These are passive instruments whose hedged items are credit operations indexed in foreign currency - euro at the market value of R$321,825.

(5) These are passive instruments whose hedged items are credit operations indexed in foreign currency - US dollar in the market value of R$224,943.

(6) These are passive instruments whose hedge items are credit operations indexed in foreign currency - US dollar with a market value of R$288,420 (12/31/2016 - R$323,782).

(7) These are passive instruments whose hedged items are credit operations indexed in foreign currency - Colombian peso with market value of R$173,990.

(8) Tthese are obligations over instruments whose hedged items are pre-fixed government securities with a market value e of R$1,618,529.

(9) Current value of the instruments as of December 31, 2017 is R22,206,615.
Hedge Structure - Cash Flow

In cash flow hedges, the effective portion of changes in the value of the hedge instruments is temporarily recognized in equity heading “Other comprehensive income - cash flow hedges” until the expected transactions occur, when this portion is then recognized in the consolidated income statement. However, if the expected transactions result in the recognition of non-financial assets or liabilities, this portfolio will be included in the cost of financial assets or liabilities. The non-effective portion of the change in the value of foreign exchange hedge derivatives is recognized directly in the consolidated income statement. The non-effective portion of gains and losses on cash flow hedge instruments in a foreign operation is recognized directly in “Gains (losses) with (net) financial assets and liabilities” in the consolidated income statement. In 2017 the Bank registered an income in the amount of R$ 9,266 referred to the non-effective portion, in 2016 and 2015 there were no non-effective portion identified.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

2016

 

2015

Hedge Structure

 

Effective Portion Accumulated

 

Portion Ineffective

 

Effective Portion Accumulated

 

Portion Ineffective

 

Effective Portion Accumulated

 

Portion Ineffective

Cash Flow Hedge

Eurobonds

 

 

 

  (25,576)

 

  -

 

  (20,535)

 

-

 

(29,750)

 

  -

Trade Finance Off

 

 

 

  (94,896)

 

  9,266

 

-

 

-

 

  -

 

  -

Government Securities (LFT)

 

 

 

129,995

 

  -

 

-

 

-

 

  -

 

  -

Loans and  Receivables

 

-

 

  -

 

174,956

 

-

 

(575,571)

 

  -

Total

 

 

9,523

 

  9,266

 

154,421

 

-

 

(605,321)

 

  -

Hedge Instruments - Swap Contracts

 

 

2017

 

2016

 

2015

 

 

Adjustment

 

 

 

Adjustment

 

 

 

Adjustment

 

 

 

 

to Fair Value

 

Fair Value

 

to Fair Value

 

Fair Value

 

to Fair Value

 

Fair Value

Hedge Instruments

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

  (25,142)

 

  160,114

 

  (27,261)

 

48,169

 

(35,492)

 

(1,151,442)

Asset

 

97,846

 

2,361,070

 

137,664

 

  1,952,189

 

  151,793

 

7,931,100

Indexed to Foreign Currency - Swiss Franc

 

-

 

  -

 

-

 

-

 

  6,998

 

1,244,985

Indexed to Foreign Currency - Chile

 

-

 

  -

 

-

 

-

 

  1,622

 

  302,907

Indexed in Reais (3)

 

-

 

  -

 

-

 

-

 

(13,690)

 

3,733,095

Indexed to Foreign Currency - Pre Dollar

 

  (42,149)

 

  992,879

 

84,812

 

  1,477,821

 

  127,632

 

2,170,572

Indexed to Foreign Currency - Euro

 

134,435

 

1,223,004

 

52,852

 

474,368

 

  29,231

 

  479,541

Indexed to Foreign Currency - USD/BRL - Dollar

 

5,560

 

  145,187

 

-

 

-

 

  -

 

  -

Liabilities

 

  (122,988)

 

  (2,200,956)

 

  (164,925)

 

  (1,904,020)

 

(187,285)

 

(9,082,542)

CDI (Interbank Deposit Rates)

 

  (5,735)

 

(147,925)

 

(995)

 

(341,938)

 

  -

 

  -

Indexed to Foreign Currency - Pre Dollar

 

-

 

  -

 

-

 

-

 

(17,767)

 

(6,598,073)

Indexed to Foreign Currency - Reais

 

-

 

  -

 

  (1,288)

 

(199,954)

 

  -

 

  (22,855)

Indexed to Foreign Currency -  Pre Euro

 

13,639

 

(895,399)

 

  (102,998)

 

(805,326)

 

(133,376)

 

(1,851,822)

Indexed to Foreign Currency - Dollar

 

  (130,892)

 

  (1,157,632)

 

  (59,367)

 

(548,684)

 

(34,379)

 

  (544,339)

Indexed to Foreign Currency - Reais

 

-

 

  -

 

(277)

 

(8,118)

 

(1,763)

 

  (65,453)
Hedge Instruments - Future Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

2016

 

2015

 

 

 

 

 

 

 

 

 Notional

 

 Notional

 

 Notional

Hedge Instruments

 

 

 

 

 

 

 

 

 

 

 

 

Future Contracts

 

 

 

 

 

 

 

  54,995,334

 

80,149,530

 

72,798,063

Trade Finance Operations (6)

 

 

 

 

 

 

 

  54,995,334

 

80,149,530

 

72,798,063

Foreign Currency - Dollar

 

 

 

 

 

 

 

  3,362,582

 

  450,571

 

2,651,572

Interest Rate (DI1 and DIA)

 

 

 

 

 

 

 

  32,344,276

 

46,314,644

 

34,303,028

Interest Rate DDI1

 

 

 

 

 

 

  19,288,476

 

33,384,315

 

35,843,463

Securities-available for sale

 

 

 

 

 

 

 

  5,304,261

 

  -

 

  -

Government Securities (6)

 

 

 

 

 

 

 

  5,304,261

 

  -

 

  -

 Interest rate (DI1 and DIA)

 

 

 

 

 

 

 

  5,304,261

 

  -

 

  -

Hedge Item - Cost

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

2016

 

2015

Hedge Item - Cost

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

  25,697,291

 

27,858,923

 

37,251,860

Lending Operations - Financing and Export Credit and Imports

 

  7,632,915

 

24,720,800

 

35,743,885

Loans and Receivables

 

 

 

 

 

 

 

10,989,230

 

496,874

 

641,421

Brazilian Foreign Debt Bonds

 

 

 

 

 

 

 

809,660

 

  701,300

 

  866,554

Available for sale - Promissory Notes - NP

 

 

 

 

 

 

 

  1,194,266

 

1,939,949

 

  -

Government Securities -LFT (6)

 

 

 

 

 

 

 

  5,071,220

 

  -

 

  -

Liabilities

 

 

 

 

 

 

 

-

 

  (1,332,972)

 

(1,995,118)

Foreign Borrowings

 

 

 

 

 

 

 

-

 

  (1,332,972)

 

  -

Eurobonds

 

 

 

 

 

 

 

-

 

  -

 

(1,995,118)

(1) Operations due April 1, 2021 (12/31/2016 - operations due April 1, 2021 and 12/31/2015 - operations due March, 18, 2016 and April 1,2021), which hedge objects are securities operation represented by title Brazilian External Debt Bonds.

(2) Operation maturing on January 5 and  April 14, 2018, whose hedged items are securities represented by promissory notes.

(3) Operations maturing between January, 30 2018 and September 30, 2022 (12/31/2016 - operations maturing between January, 2017 to December, 2025 and 12/31/2015 - operations maturing between August 2016 and June 2021), which objects "hedge" contracts are loans from lending institutions.

(4) Operations with maturities between January 2018 and December 2020, whose hedge items are deposits with interbank deposit certificates (CDI), bills of exchange (LC) and financial letters (LF).

(5) Transactions with maturity between February, 2018 and November, 2026 (12/31/2016  - transactions with maturities between January, 2017 to January, 2018 and 12/31/2015 -  transactions with maturities between January, 2016 to December, 2024) and restated instrument value of R$16,811,747 (12/31/2016 - R$29,164,917 and 12/31/2015 - R$35,743,844) where operations are denominated futures in US dollars and futures in DI and IDD when used in conjunction with the foreign exchange coupon hedges the trade finance operations, whose hedge is Lending Operation - Financing and Credit to Export and Imports, lending operations, other credits, securities represented by promissory notes and foreign loan obligations.

(6) Operation maturingbetween March, 2021 and March, 2023 updated value of the instruments of R$5,304,261, whose object of "hedge" are Financial Treasury Bills - LFT, recorded in securities.
Composed of government securities

The margin used as guarantee of the transactions traded on the B3 S.A. with derivative financial instruments from own and third parties portfolios are composed by government securities.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2017

 

2016

 

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Treasury Bill - LFT

 

 

 

 

 

 

 

 

 

708,960

 

1,556,804

 

  330,605

National Treasury Bill - LTN

 

 

 

 

 

 

 

 

 

  4,371,286

 

4,636,644

 

8,757,097

National Treasury Notes - NTN

 

 

 

 

 

 

 

 

 

  1,193,315

 

  27,598

 

  757,969

Total

 

 

 

 

 

 

 

 

 

 

 

  6,273,561

 

6,221,046

 

9,845,671

b) Short positions