XML 87 R62.htm IDEA: XBRL DOCUMENT v3.19.1
Derivative financial instruments and Short positions (Tables)
 12 Months Ended
Dec. 31, 2018
Derivative financial instruments and Short positions (Tables) [Abstract]  
Portfolio Summary of Trading Derivative

Portfolio Summary of Trading Derivative and Used as Hedge     

 

 

 

 

 

 

 

2018

 

2017

 

2016

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

Swap Differentials Receivable (1)

 

 

 

14,640,289

 

15,781,207

 

15,321,646

Option Premiums to Exercise

 

 

 

716,936

 

553,217

 

935,520

Forward Contracts and Others

 

 

 

3,006,221

 

928,464

 

8,445,807

Total

 

 

 

 

 

18,363,446

 

17,262,888

 

24,702,973

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

Swap Differentials Payable (1)

 

 

 

15,952,283

 

14,643,016

 

12,267,819

Option Premiums Launched

 

 

 

563,787

 

385,183

 

1,166,002

Forward Contracts and Others

 

 

 

1,950,765

 

1,649,287

 

6,802,794

Total

 

 

 

 

 

18,466,835

 

16,677,486

 

20,236,615

(1) In 2016, includes swaption (swap + option) and embedded derivatives.
Summary by Category

Summary by Category

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading

 

 

2018

2017

 

2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional (1)

Fair Value

Notional (1)

Fair Value

 

Notional (1)

 

Fair Value

Swap

 

 

 

(1,431,110)

 

1,108,760

 

 

 

3,142,125

Assets

 

 

177,233,869

44,487,274

202,081,214

57,294,179

 

196,887,188

 

24,311,485

CDI (Interbank Deposit Rates)

36,135,015

24,267,591

33,289,522

22,409,496

 

44,868,680

 

22,759,822

Fixed Interest Rate - Real

47,968,999

-

95,700,715

-

 

126,300,261

 

-

Indexed to Price and Interest Rates

2,581,215

-

5,592,892

-

 

9,225,789

 

-

Foreign Currency

 

 

90,495,240

20,219,683

67,493,635

34,884,683

 

16,492,458

 

1,551,663

Others

 

 

53,400

-

4,450

-

 

-

 

-

Liabilities

 

 

176,385,349

(45,918,384)

199,709,355

(56,185,419)

 

184,350,947

 

(21,169,360)

CDI (Interbank Deposit Rates)

11,801,600

-

16,664,176

-

 

23,178,722

 

-

Fixed Interest Rate - Real

88,317,044

(23,075,374)

114,055,076

(21,687,884)

 

133,185,717

 

(17,414,147)

Indexed to Price and Interest Rates

24,308,601

(21,775,017)

40,146,968

(34,107,210)

 

12,767,212

 

(3,518,297)

Foreign Currency

 

 

50,748,008

-

28,420,467

-

 

15,049,776

 

(38,836)

Others

 

 

1,210,096

(1,067,993)

422,668

(390,325)

 

169,520

 

(198,080)

Options

 

 

335,073,080

153,149

190,061,609

168,034

 

175,841,405

 

(230,482)

Purchased Position

 

 

149,076,796

716,936

87,503,833

553,217

 

83,883,966

 

935,520

Call Option - US Dollar

 

 

14,518,058

239,079

9,369,821

169,542

 

12,693,748

 

181,463

Put Option - US Dollar

 

 

8,893,620

90,736

5,130,392

42,389

 

3,788,161

 

392,048

Call Option - Other

 

 

3,118,344

131,297

1,953,481

59,220

 

20,115,932

 

62,517

Interbank Market

 

 

639,488

4,537

1,185,310

389

 

17,391,500

 

7,062

Others (2)

 

 

2,478,856

126,760

768,171

58,831

 

2,724,432

 

55,455

Put Option - Other

 

 

122,546,774

255,824

71,050,139

282,066

 

47,286,125

 

299,492

Interbank Market

 

 

121,782,816

217,726

70,295,282

257,943

 

46,106,600

 

18,029

Others (2)

 

 

763,958

38,098

754,857

24,123

 

1,179,525

 

281,463

Sold Position

 

 

185,996,284

(563,787)

102,557,776

(385,183)

 

91,957,439

 

(1,166,002)

Call Option - US Dollar

 

 

7,615,856

(101,034)

5,595,163

(117,059)

 

4,314,988

 

(141,172)

Put Option - US Dollar

 

 

12,160,912

(169,431)

5,919,598

(77,145)

 

7,390,733

 

(952,407)

Call Option - Other

 

 

31,679,919

(66,002)

19,880,180

(35,961)

 

30,441,646

 

(46,940)

Interbank Market

 

 

29,609,298

(13,195)

19,151,110

(515)

 

27,597,764

 

(4,087)

Others (2)

 

 

2,070,621

(52,807)

729,070

(35,446)

 

2,843,882

 

(42,853)

Put Option - Other

 

 

134,539,597

(227,320)

71,162,835

(155,018)

 

49,810,072

 

(25,483)

Interbank Market

 

 

133,703,672

(179,841)

70,494,622

(126,743)

 

49,245,495

 

(5,793)

Others (2)

 

 

835,925

(47,479)

668,213

(28,275)

 

564,577

 

(19,690)

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts

 

 

289,508,200

-

161,725,596

-

 

104,651,180

 

-

Purchased Position

 

 

86,203,734

-

54,806,022

-

 

40,396,456

 

-

Exchange Coupon (DDI)

20,590,068

-

9,616,936

-

 

14,473,180

 

-

Interest Rates (DI1 and DIA)

32,690,685

-

26,456,303

-

 

23,756,523

 

-

Foreign Currency

 

 

32,456,813

-

16,733,437

-

 

1,393,538

 

-

Indexes (3)

 

 

466,168

-

1,780,311

-

 

195,160

 

-

Others

 

 

-

-

219,035

-

 

578,055

 

-

Sold Position

 

 

203,304,466

-

106,919,574

-

 

64,254,724

 

-

Exchange Coupon (DDI)

146,948,795

-

55,016,928

-

 

15,048,490

 

-

Interest Rates (DI1 and DIA)

54,160,203

-

51,135,994

-

 

29,047,678

 

-

Foreign Currency

 

 

1,992,574

-

745,849

-

 

17,384,256

 

-

Indexes (3)

 

 

202,894

-

20,803

-

 

185,506

 

-

Treasury Bonds/Notes

 

 

-

-

-

-

 

2,588,794

 

-

Forward Contracts and Others

90,910,841

1,055,456

47,823,561

(720,823)

 

50,853,154

 

1,643,013

Purchased Commitment

 

38,666,269

1,303,561

23,506,096

647,376

 

20,864,170

 

3,386,347

Currencies

 

 

38,095,625

1,250,706

21,525,220

618,007

 

19,951,984

 

3,391,275

Others

 

 

570,644

52,855

1,980,876

29,369

 

912,186

 

(4,928)

Sold Commitment

 

 

52,244,572

(248,105)

24,317,465

(1,368,199)

 

29,988,984

 

(1,743,334)

Currencies

 

 

51,958,529

(252,160)

22,096,104

(1,364,617)

 

29,911,406

 

(1,826,965)

Others

 

 

286,043

4,055

2,221,361

(3,582)

 

77,578

 

83,631

 

(1) Nominal value of updated contracts.

(2) Includes options of index, mainly being options involving US treasury, shares and stock indexes.

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

a.2) Derivatives Financial Instruments by Counterparty

 

 Notional

 

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

 

Related

 

Financial

 

 

 

 

 

 

Customers

 

 Parties

 

Institutions (1)

 

 Total

"Swap"

 

 

 

34,296,821

 

32,669,900

 

110,267,148

 

177,233,869

Options

 

 

 

14,636,017

 

1,086,323

 

319,350,740

 

335,073,080

Futures Contracts

 

 

 

-

 

-

 

289,508,200

 

289,508,200

Forward Contracts and Others

 

 

 

39,024,978

 

48,641,894

 

3,243,969

 

90,910,841

(1) Includes trades with B3 S.A. and other securities and commodities exchanges.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Notional

 

 

 

 

 

 

 

2017

 

2016

 

 

 

 

Related

 

Financial

 

 

 

 

 

 

Customers

 

 Parties

 

Institutions (1)

 

 Total

 

 Total

"Swap"

 

32,912,721

 

19,599,395

 

149,569,098

 

202,081,214

 

196,887,188

Options

 

11,263,513

 

1,240,309

 

177,557,787

 

190,061,609

 

175,841,405

Futures Contracts

 

-

 

-

 

161,725,596

 

161,725,596

 

104,651,180

Forward Contracts and Others

 

25,470,287

 

18,816,991

 

3,536,283

 

47,823,561

 

50,853,154
Derivatives Financial Instruments by Maturity

a.3) Derivatives Financial Instruments by Maturity

 

Notional

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

Up to

From 3 to

Over

 

 

 

 

 

 

 

 3 Months

12 Months

12 Months

 

 Total

"Swap"

 

 

 

 

12,347,864

70,975,477

93,910,528

 

177,233,869

Options

 

 

 

 

63,376,042

220,982,952

50,714,086

 

335,073,080

Futures Contracts

 

 

 

 

159,221,909

67,578,078

62,708,213

 

289,508,200

Forward Contracts and Others

 

 

 

 

40,186,310

31,255,384

19,469,147

 

90,910,841

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

2017

 

2016

 

 

 

 

Up to

From 3 to

Over

 

 

 

 

 

 

 

 3 Months

12 Months

12 Months

 Total

 

 Total

"Swap"

 

 

 

20,705,247

51,021,102

130,354,865

202,081,214

 

196,887,188

Options

 

 

 

46,139,545

89,403,700

54,518,364

190,061,609

 

175,841,405

Futures Contracts

 

 

 

65,489,476

55,490,159

40,745,961

161,725,596

 

104,651,180

Forward Contracts and Others

 

 

 

25,015,557

14,250,495

8,557,509

47,823,561

 

50,853,154
Derivatives by Market Trading

a.4) Derivatives by Market Trading

Notional

 

 

 

 

 

 

 

Stock Exchange (1)

 

Over the Counter

 

2018

 

 

 

 

 

 

 

 

 

 

 Total

"Swap"

 

 

 

 

 

 

 

39,880,578

 

137,353,291

 

177,233,869

Options

 

 

 

 

 

 

 

307,644,530

 

27,428,550

 

335,073,080

Futures Contracts

 

 

 

 

 

 

 

289,508,200

 

-

 

289,508,200

Forward Contracts and Others

 

 

 

 

 

 

 

323,413

 

90,587,428

 

90,910,841

(1) Includes trades with B3 S.A.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

Stock Exchange (1)

 

 

 

Over the Counter

 

2017

 

2016

 

 

 

 

 

Cetip

 

 

 

 Total

 

 Total

"Swap"

 

 

 

-

 

67,112,505

 

134,968,709

 

202,081,214

 

196,887,188

Options

 

 

 

-

 

172,144,700

 

17,916,909

 

190,061,609

 

175,841,405

Futures Contracts

 

 

 

-

 

161,725,596

 

-

 

161,725,596

 

104,651,180

Forward Contracts and Others

 

 

 

-

 

395,212

 

47,428,349

 

47,823,561

 

50,853,154

 

(1) Includes trades with B3 S.A.

Composition of the Credit Derivatives portfolio shown by its reference value and effect in the calculation of Required Stockholders' Equity

Below, the composition of the Credit Derivatives portfolio shown by its reference value and effect in the calculation of Required Stockholders' Equity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nominal Value

 

Nominal Value

 

 

 

 

 

 

 

 

Retained Risk

 

Transferred Risk -

 

 

 

 

 

 

 

 

Total Rate of Return Swap

 

Credit Swap

Credit Swaps

 

 

 

 

 

 

1,959,128

 

416,541

Total

 

 

 

 

 

 

1,959,128

 

416,541
During the period, there was no occurrence of credit event related to the events generated by the contracts

During the period, there was no occurrence of credit event related to the events generated by the contracts.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

 

 

 

 Over 

 

 

 

Maximum Potential for Future Payments - Gross

 

 

 

 

 

 

 12 Months

 

 Total

 

Per Instrument

 

 

 

 

 

 

 

 

 

 

CDS

 

 

 

 

 

 

1,959,128

 

1,959,128

 

Total

 

 

 

 

 

 

1,959,128

 

1,959,128

 

Per Risk Classification

 

 

 

 

 

 

 

 

 

 

Below Investment Grade

 

 

 

 

 

 

1,959,128

 

1,959,128

 

Total

 

 

 

 

 

 

1,959,128

 

1,959,128

 

Per Reference Entity

 

 

 

 

 

 

 

 

 

 

Brazilian Government

 

 

 

 

 

 

1,959,128

 

1,959,128

 

Total

 

 

 

 

 

 

1,959,128

 

1,959,128
Attributable to the type of risk being hedged

In fair value hedges, gains or losses, both on hedging instruments and hedged items (attributable to the type of risk being hedged) are recognized directly in the consolidated statement of income.

 

 

 

 

 

2018

2017

2016

 

Hedge Structure

 

 

Effective Portion Accumulated

Portion Ineffective

Effective Portion Accumulated

Portion Ineffective

Effective Portion Accumulated

 

Portion Ineffective

  Fair Value Hedge

 

 

 

 

 

 

 

 

 

Brazilian Treasury Bonds (LTN, NTN-F)

 

(1,381,156)

-

(388,446)

-

-

 

-

 

Eurobonds

 

-

-

-

-

13,163

 

-

 

Bonds (LEA)

 

 

(191,472)

-

(1,200)

-

-

 

-

 

Resolution 2770

 

689

-

304

-

-

 

-

 

Trade Finance Off

 

(58,020)

-

(57,386)

-

20,471

 

-

 

Total

 

(1,629,959)

-

(446,728)

-

33,634

 

-
Hedge Instruments

 

 

 

2018

2017

2016

 

 

 

Adjustment

 

Adjustment

 

Adjustment

 

 

 

 

 

to Market

Fair Value

to Market

Fair Value

to Market

 

Fair Value

Hedge Instruments

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

(118,807)

(98,020)

(95,672)

(130,683)

(26,703)

 

(136,467)

Assets

 

 

56,633

4,398,851

12,954

3,005,666

11,486

 

1,046,012

CDI (Interbank Deposit Rates) (5) (8)

 

 

(1,057)

1,722,515

(357)

1,818,366

-

 

-

Indexed to Foreign Currency - Pre Dollar (1)

 

 

-

-

320

8,742

1,103

 

17,678

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

 

 

24,411

2,161,661

(23,585)

691,872

(8,957)

 

744,260

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

 

 

33,279

514,675

36,576

486,686

19,340

 

284,074

Liabilities

 

 

(175,440)

(4,496,871)

(108,626)

(3,136,349)

(38,189)

 

(1,182,479)

Indexed to Foreign Currency - US Dollar (6)

 

 

(16,325)

(301,011)

(20,109)

(261,915)

(14,958)

 

(323,197)

Indexed to Foreign Currency - Pre Dollar (5)

 

 

(10,030)

(201,819)

(16,303)

(225,857)

(1,103)

 

(17,676)

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

 

 

(63,971)

(1,739,553)

(21,380)

(474,398)

(18,395)

 

(804,059)

Fixed Interest Rate - Real (3) (8)

 

 

(43,801)

(1,701,759)

22

(1,640,708)

(3,733)

 

(37,547)

Indexed to Foreign Currency - Colombian  Peso (7)

 

 

(5,197)

(195,671)

(13,863)

(219,392)

-

 

-

Indexed to Foreign Currency - Pre Euro (4)

 

 

(36,116)

(357,058)

(36,993)

(314,079)

-

 

-

Object of Hedge

 

 

 

 

 

 

 

 

 

Assets

 

 

84,343

4,334,737

77,623

3,126,828

23,165

 

693,132

Loans and Receivables

 

 

89,935

1,840,614

79,496

1,382,326

15,287

 

546,740

Indexed to Foreign Currency - US Dollar (6)

 

 

1,315

299,403

4,319

288,420

4,809

 

323,780

Indexed to Foreign Currency - Pre Dollar (5)

 

 

10,019

200,490

16,416

224,943

-

 

-

CDI (Interbank Deposit Rates) (2)

 

 

40,150

766,399

16,401

352,071

10,478

 

222,960

Fixed Interest Rate - Real (3)

 

 

1,533

33,063

3,900

21,077

-

 

-

Indexed to Foreign Currency - Colombian  Peso (7)

 

 

64

190,558

(2,898)

173,990

-

 

-

Indexed to Foreign Currency - Pre Euro (4)

 

 

36,854

350,701

41,358

321,825

-

 

-

Debt instruments

 

 

(5,592)

2,494,123

(1,873)

1,744,502

7,878

 

146,392

Promissory Notes - NP

 

 

31,518

852,029

445

125,973

7,878

 

146,392

CDI (Interbank Deposit Rates) (1)(2)

 

 

28,046

811,906

354

119,892

2,775

 

108,845

Fixed Interest Rate - Real (3)

 

 

3,472

40,123

91

6,082

5,103

 

37,547

National Treasury Notes - NTN F (8)

 

 

(37,110)

1,642,094

(2,318)

1,618,529

-

 

-

Liabilities

 

 

-

-

-

-

12,830

 

(803,929)

Foreign Borrowings

 

 

-

-

-

-

12,830

 

(803,929)

Indexed to Foreign Currency - US Dollar (2)

 

 

-

-

-

-

12,830

 

(803,929)
Hedge Instruments - Reference Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

 

2017

Hedge Instruments

 

 

 

 

 

 


Reference
Value

 


Reference
Value

Swap Contracts

 

 

 

 

 

 

34,513,380

 

22,206,615

Interest Rate (DI1 and DIA)

 

 

 

 

 

 

33,861,121

 

22,206,615

Indexed to Price - IPCA (DAP)

 

 

 

 

 

 

652,259

 

-
Object of Hedge

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

 

 

 

2017

 

 

 

 

 

Adjustment

 

Adjustment

 

 

Object of Hedge

 

 

 

 

to Market

Fair Value

to Market

 

Fair Value

Assets

 

 

 

 

968,329

36,985,493

364,434

 

24,779,831

  Securities - Available for Sale

 

 

 

 

 

 

 

 

 

  Government Securities

 

 

 

937,017

36,377,478

364,434

 

24,779,831

National Treasury Bills - LTN

 

 

 

 

357,330

24,650,965

219,611

 

13,893,932

National Treasury Notes - NTN F

 

 

 

 

517,063

10,510,482

144,823

 

10,885,899

  Private Securities

 

 

 

31,312

608,015

-

 

-

Debentures

 

 

 

 

31,312

608,015

-

 

-

(1) Passive instruments whose hedged items are securities represented by promissory notes indexed in Certificates of Interbank Deposits (CDI) with market value of R$811,906 (12/31/2017 - R$109,538).

(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$766,399 (12/31/2017 - R$352,071) and in December 31, 2017,  promissory notes in the amount of R$10,354.

(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$40,124 (12/31/2017 - R$6,082 and 12/31/2016 - R$37,547) and credit operations in the amount of R$33,063 (12/31/2017 - 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$350,701 (12/31/2017 - 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$200,491 (12/31/2017 - 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$299,404 (12/31/2017 - R$288,420).
Hedge Structure - Cash Flow

In cash flow hedges, the effective portion of changes in the value of the hedging instrument is temporarily recognized in equity under “Other comprehensive income - cash flow hedges” (Note 26) 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 hedging derivatives is recognized directly in the consolidated income statement. And the non-effective portion of gains and losses on cash flow hedging instruments in a foreign operation is recognized directly in “Gains (losses) with (net) financial assets and liabilities” in the consolidated income statement.

 

 

 

 

 

 

2018

2017

2016

 

Hedge Structure

 

 

Effective Portion Accumulated

Portion Ineffective

Effective Portion Accumulated

Portion Ineffective

Effective Portion Accumulated

 

Portion Ineffective

  Cash Flow Hedge

 

 

 

 

 

 

 

 

 

Eurobonds

 

(8,925)

-

(25,576)

-

(20,535)

-

-

 

Trade Finance Off

 

(16,453)

(3,981)

(94,896)

9,267

-

 

-

 

Government Securities (LFT)

 

331,922

-

129,995

-

-

 

-

 

Bank Deposit Certificate - CDB

 

1,225

-

129,995

-

-

 

-

 

Loans and  Receivables

 

-

-

-

-

174,956

 

-

 

Total

 

307,769

(3,981)

139,518

9,267

154,421

 

-
Hedge Instruments - Swap Contracts

 

 

 

2018

2017

2016

 

 

 

Adjustment

 

Adjustment

 

Adjustment

 

 

 

 

 

to Fair Value

Fair Value

to Fair Value

Fair Value

to Fair Value

 

Fair Value

Hedge Instruments

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

12,757

218,424

(25,142)

160,114

(27,261)

 

48,169

Asset

 

 

(11,470)

2,421,200

97,846

2,361,070

137,664

 

1,952,189

Indexed to Foreign Currency - Pre Dollar (1)

 

 

(123,696)

1,131,928

(42,149)

992,879

84,812

-

1,477,821

Indexed to Foreign Currency - Euro (3)

 

 

111,124

1,122,779

134,435

1,223,004

52,852

 

474,368

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

 

 

1,102

166,493

5,560

145,187

-

 

-

Liabilities

 

 

24,227

(2,202,776)

(122,988)

(2,200,956)

(164,925)

 

(1,904,020)

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

 

 

(504)

(160,754)

(5,735)

(147,925)

(995)

 

(341,938)

Indexed to Foreign Currency - Pre Reais (1)

 

 

-

-

-

-

(1,288)

 

(199,954)

Indexed to Foreign Currency -  Pre Euro (1)

 

 

92,505

(972,290)

13,639

(895,399)

(102,998)

 

(805,326)

Indexed to Foreign Currency - Dollar (3)

 

 

(67,774)

(1,069,732)

(130,892)

(1,157,632)

(59,367)

 

(548,684)

Indexed to Foreign Currency - Reais (3)

 

 

-

-

-

-

(277)

 

(8,118)
Hedge Instruments - Future Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

2017

 

2016

 

 

 

 

 

 

 Notional

 Notional

 

 Notional

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

44,541,938

60,299,595

 

80,149,530

Trade Finance Operations (4)

 

 

 

 

 

44,000,952

54,995,334

 

80,149,530

Foreign Currency - Dollar

 

 

 

 

 

9,408,707

3,362,582

 

450,571

Interest Rate (DI1 and DIA)

 

 

 

 

 

21,981,748

32,344,276

 

46,314,644

Interest Rate DDI1 

 

 

 

 

 

12,610,496

19,288,476

 

33,384,315

Securities-available for sale

 

 

 

 

 

540,987

5,304,261

 

-

 Interest rate (DI1 and DIA)

 

 

 

 

 

540,987

5,304,261

 

-
Hedge Item - Cost

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

2017

 

2016

Hedge Item - Cost

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

19,678,934

25,697,292

 

27,858,923

Lending Operations - Financing and Export Credit and Imports (3) (4)

 

 

10,113,706

8,295,191

 

10,816,780

Loans and Receivables (2) (3) (4)

 

 

 

 

 

6,704,113

9,972,640

 

13,870,897

Financial Assets Measured at Amortized Cost (4)

 

 

 

 

-

354,315

 

529,997

Brazilian Foreign Debt Bonds (1)

 

 

 

 

 

894,331

809,660

 

701,300

Available for sale - Promissory Notes - NP (2) (4)

 

 

 

 

 

1,653,969

1,194,266

 

1,939,949

Government Securities -LFT (5)

 

 

 

 

 

312,815

5,071,220

 

-

Liabilities

 

 

 

 

 

-

-

 

(1,332,972)

Foreign Borrowings (4)

 

 

 

 

 

-

-

-

(1,332,972)

(1) Operation with maturity date as April 1st, 2021 (12/31/2017 - operation with maturity date as April 1st, 2021), which hedge objects are securities represented by Brazilian external bonds.

(2) Operations with maturity dates between April 2019 and February 2020 (12/31/2017 - operations with maturity dates between January and April, 2018), which hedge objects in 2018 are loans and in 2017 are securities represented by promissory notes.

(3) Operations with maturity dates between January 2019 and February 2022 (12/31/2017 - operations with maturity dates between January 2018 and September 2022 and 12/31/2016 - operations with maturity dates between January 2017 and December 2025), which hedge objects are credit operations with credit entities.             

(4) Operations with maturity dates between January 2019 and September 2022 (12/31/2017 - operations with maturity dates between January 2018 and December 2020), which hedge objects are funding operations represented by Certificates of Interfinance Deposits - CDI, Bill of Exchange - LC and Financial Letter - LF.

(5) Operations with maturity dates between February 2019 and December 2028 (12/31/2017 - operations with maturity dates between February 2018 and November 2026 and 12/31/2016 - operations with maturity dates between January 2017 and January 2018) and updated amount of R$16,738,641 (31/12/2017 - R$16,811,747 and 31/12/2016 - R$29,164,917) where the operations are derivatives future contracts in Dolar, DI and DDI. Those derivatives combined with trade finance operations are used to hedge the following objects: credit operations - import and export financing, loans, other credit operations and securities represented by promissory notes.

(6) Operation with maturity date between September 2020 and March 2023 (12/31/2017 - operations with maturity dates between March 2021 and March 2023), which hedge objects are Financial Letters - LFT, booked in the heading of 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.

 

 

 

 

 

 

 

2018

2017

 

2016

 

 

 

 

 

 

 

 

 

 

Financial Treasury Bill - LFT

 

 

 

 

 

7,552,926

708,960

 

1,556,804

National Treasury Bill - LTN

 

 

 

 

 

3,392,886

4,371,286

 

4,636,644

National Treasury Notes - NTN

 

 

 

 

 

873,134

1,193,315

 

27,598

 

 

 

 

 

 

11,818,946

6,273,561

 

6,221,046

 

 

b) Short positions