Derivatives (Tables)

12 Months Ended

Dec. 31, 2018

Schedule of Composition of Derivative Financial Instruments Portfolio

See below the composition of the Derivative financial instruments portfolio (assets and liabilities) by type of instrument, stated fair value, and by maturity.


	12/31/2018
	Fair value			%		0-30 days			31-90 days			91-180 days			181-365 days			366-720 days			Over 720 days
Assets
Swaps – difference receivable		13,049			55.6		705			187			245			700			2,881			8,331
Option premiums		4,215			18.0		1,167			408			610			872			975			183
Forwards (onshore)		1,835			7.8		893			716			145			81			0			0
Credit derivatives - financial Institutions		120			0.5		0			0			1			5			9			105
NDF - Non Deliverable Forward		3,711			15.8		1,013			968			772			653			178			127
Check of swap - Companies		44			0.2		0			0			7			0			13			24
Other		492			2.1		209			10			2			2			13			256

Total		23,466			100.0		3,987			2,289			1,782			2,313			4,069			9,026

% per maturity term							17.0			9.8			7.6			9.9			17.3			38.4

	12/31/2018
	Fair value			%		0-30 days			31-90 days			91-180 days			181-365 days			366-720 days			Over 720 days
Liabilities
Swaps – difference payable		(19,354	)		70.3		(923	)		(979	)		(606	)		(1,417	)		(4,687	)		(10,742	)
Option premiums		(3,929	)		14.3		(883	)		(500	)		(604	)		(831	)		(823	)		(288	)
Forwards (onshore)		(470	)		1.7		(470	)		0			0			0			0			0
Credit derivatives - financial Institutions		(140	)		0.5		0			0			0			(2	)		(4	)		(134	)
NDF - Non Deliverable Forward		(3,384	)		12.3		(890	)		(772	)		(583	)		(552	)		(150	)		(437	)
Check of swap - Companies		(162	)		0.6		0			0			(16	)		0			0			(146	)
Other		(80	)		0.3		(2	)		(2	)		(8	)		(13	)		(8	)		(47	)

Total		(27,519	)		100.0		(3,168	)		(2,253	)		(1,817	)		(2,815	)		(5,672	)		(11,794	)

% per maturity term							11.5			8.2			6.6			10.2			20.6			42.9

See below the composition of the Derivative financial instruments portfolio (assets and liabilities) by type of instrument, stated fair value, and by maturity.


	12/31/2017
	Fair value			%		0-30 days			31-90 days			91-180 days			181-365 days			366-720 days			Over 720 days
Assets
Futures contracts		158			0.7		153			11			(2	)		(3	)		38			(39	)
Swaps – difference receivable		9,190			40.2		189			187			327			744			1,661			6,082
Option premiums		3,337			14.6		430			440			353			955			865			294
Forwards (onshore)		6,911			30.3		6,529			293			46			43			—			—
Credit derivatives - financial Institutions		137			0.6		—			—			1			8			21			107
NDF - Non Deliverable Forward		2,950			12.9		677			717			624			610			166			156
Check of swap - Companies		68			0.3		—			—			6			—			—			62
Other		92			0.4		—			—			—			3			5			84

Total		22,843			100.0		7,978			1,648			1,355			2,360			2,756			6,746

% per maturity term							34.9			7.2			5.9			10.3			12.1			29.6

	12/31/2017
	Fair value			%		0-30 days			31-90 days			91-180 days			181-365 days			366-720 days			Over 720 days
Liabilities
Swaps – difference receivable		(13,692	)		51.2		(65	)		(202	)		(451	)		(1,711	)		(3,747	)		(7,516	)
Option premiums		(2,793	)		10.4		(332	)		(174	)		(304	)		(821	)		(889	)		(273	)
Forwards (onshore)		(6,272	)		23.5		(6,272	)		—			—			—			—			—
Credit derivatives - financial Institutions		(58	)		0.2		—			—			(1	)		(2	)		(7	)		(48	)
NDF - Non Deliverable Forward		(3,745	)		14.0		(927	)		(735	)		(547	)		(785	)		(225	)		(526	)
Check of swap - Companies		(122	)		0.5		—			—			(73	)		—			—			(49	)
Other		(64	)		0.2		—			(2	)		(2	)		(6	)		(9	)		(45	)

Total		(26,746	)		100.0		(7,596	)		(1,113	)		(1,378	)		(3,325	)		(4,877	)		(8,457	)

% per maturity term							28.4			4.2			5.2			12.4			18.2			31.6

Summary of the Composition of Derivatives by Index

The following table shows the composition of derivatives by index:


	Off-balance sheet notional amount		Balance sheet account receivable / (received) (payable) / paid			Adjustment to market value (in results / stockholders’ equity)			Fair value
	12/31/2018		12/31/2018			12/31/2018			12/31/2018
Futures contracts		586,033		0			0			0
Purchase commitments		268,228		0			0			0
Shares		13,675		0			0			0
Commodities		194		0			0			0
Interest		243,369		0			0			0
Foreign currency		10,990		0			0			0
Commitments to sell		317,805		0			0			0
Shares		13,965		0			0			0
Commodities		155		0			0			0
Interest		265,218		0			0			0
Foreign currency		38,467		0			0			0
Swap contracts		0		(5,188	)		(1,117	)		(6,305	)
Asset position		939,510		6,263			6,786			13,049
Commodities		6		0			0			0
Interest		925,381		5,124			6,380			11,504
Foreign currency		14,123		1,139			406			1,545
Liability position		939,510		(11,451	)		(7,903	)		(19,354	)
Shares		76		(5	)		2			(3	)
Commodities		620		0			(1	)		(1	)
Interest		913,745		(9,410	)		(7,973	)		(17,383	)
Foreign currency		25,069		(2,036	)		69			(1,967	)
Option contracts		1,262,568		324			(38	)		286
Purchase commitments – long position		151,179		1,935			(108	)		1,827
Shares		8,211		289			100			389
Commodities		321		10			(3	)		7
Interest		100,338		183			(98	)		85
Foreign currency		42,309		1,453			(107	)		1,346
Commitments to sell – long position		495,464		1,808			580			2,388
Shares		10,802		394			500			894
Commodities		278		11			1			12
Interest		441,673		427			460			887
Foreign currency		42,711		976			(381	)		595
Purchase commitments – short position		116,005		(1,564	)		153			(1,411	)
Shares		9,716		(184	)		(98	)		(282	)
Commodities		317		(9	)		6			(3	)
Interest		69,934		(147	)		95			(52	)
Foreign currency		36,038		(1,224	)		150			(1,074	)
Commitments to sell – short position		499,920		(1,855	)		(663	)		(2,518	)
Shares		8,898		(246	)		(503	)		(749	)
Commodities		192		(6	)		(2	)		(8	)
Interest		448,029		(528	)		(497	)		(1,025	)
Foreign currency		42,801		(1,075	)		339			(736	)
Forward operations (onshore)		2,341		1,363			2			1,365
Purchases receivable		415		496			0			496
Shares		36		36			0			36
Interest		379		460			0			460
Purchases payable		0		(381	)		0			(381	)
Shares		0		(2	)		0			(2	)
Interest		0		(379	)		0			(379	)
Sales receivable		1,307		1,337			2			1,339
Shares		1,307		1,292			2			1,294
Interest		0		45			0			45
Sales deliverable		619		(89	)		0			(89	)
Shares		2		(2	)		0			(2	)
Interest		45		(87	)		0			(87	)
Foreign currency		572		0			0			0
Credit derivatives		8,324		(243	)		223			(20	)
Asset position		3,825		(87	)		207			120
Shares		1,576		(44	)		136			92
Interest		2,249		(43	)		71			28
Liability position		4,499		(156	)		16			(140	)
Shares		1,316		(55	)		(14	)		(69	)
Interest		3,183		(101	)		30			(71	)
NDF - Non Deliverable Forward		225,355		99			228			327
Asset position		122,495		3,378			333			3,711
Commodities		167		16			1			17
Foreign currency		122,328		3,362			332			3,694
Liability position		102,860		(3,279	)		(105	)		(3,384	)
Commodities		96		(6	)		1			(5	)
Foreign currency		102,764		(3,273	)		(106	)		(3,379	)
Check of swap		1,334		(71	)		(47	)		(118	)
Asset position		115		7			37			44
Interest		115		2			21			23
Foreign currency		0		5			16			21
Liability position		1,219		(78	)		(84	)		(162	)
Interest		1,219		(17	)		(6	)		(23	)
Foreign currency		0		(61	)		(78	)		(139	)
Other derivative financial instruments		5,304		198			214			412
Asset position		4,296		205			287			492
Shares		217		(8	)		10			2
Interest		4,074		213			65			278
Foreign currency		5		0			212			212
Liability position		1,008		(7	)		(73	)		(80	)
Shares		842		(4	)		(42	)		(46	)
Interest		158		(2	)		(21	)		(23	)
Foreign currency		8		(1	)		(10	)		(11	)
		Asset		15,342			8,124			23,466
		Liability		(18,860	)		(8,659	)		(27,519	)

		Total		(3,518	)		(535	)		(4,053	)

The following table shows the composition of derivatives by index:


	Off-balance sheet notional amount		Balance sheet account receivable / (received) (payable) paid			Adjustment to market value (in results / stockholders’ equity)			Fair value
	12/31/2017		12/31/2017			12/31/2017			12/31/2017
Futures contracts		607,980		8			150			158
Purchase commitments		323,102		8			150			158
Shares		18,149		—			—			—
Commodities		187		—			—			—
Interest		275,155		7			(3	)		4
Foreign currency		29,611		1			153			154
Commitments to sell		284,878		—			—			—
Shares		11,359		—			—			—
Commodities		168		—			—			—
Interest		245,230		—			—			—
Foreign currency		28,121		—			—			—
Swap contracts		837,299		(4,770	)		268			(4,502	)
Asset position		837,299		3,630			5,560			9,190
Shares		350		—			1			1
Interest		825,811		2,937			5,314			8,251
Foreign currency		11,138		693			245			938
Liability position		837,299		(8,400	)		(5,292	)		(13,692	)
Shares		1,088		(1	)		—			(1	)
Interest		814,141		(8,244	)		(5,275	)		(13,519	)
Foreign currency		22,070		(155	)		(17	)		(172	)
Option contracts		1,847,829		452			92			544
Purchase commitments – long position		245,514		1,256			392			1,648
Shares		8,655		396			618			1,014
Commodities		367		11			18			29
Interest		204,674		202			(44	)		158
Foreign currency		31,818		647			(200	)		447
Commitments to sell – long position		736,856		1,457			232			1,689
Shares		11,795		358			34			392
Commodities		269		4			—			4
Interest		700,658		416			348			764
Foreign currency		24,134		679			(150	)		529
Purchase commitments – short position		88,688		(1,008	)		(229	)		(1,237	)
Shares		9,159		(128	)		(527	)		(655	)
Commodities		278		(6	)		(14	)		(20	)
Interest		51,477		(155	)		65			(90	)
Foreign currency		27,774		(719	)		247			(472	)
Commitments to sell – short position		776,771		(1,253	)		(303	)		(1,556	)
Shares		10,241		(261	)		(33	)		(294	)
Commodities		222		(8	)		4			(4	)
Interest		742,475		(435	)		(378	)		(813	)
Foreign currency		23,833		(549	)		104			(445	)
Forward operations (onshore)		9,954		639			—			639
Purchases receivable		1,654		1,861			—			1,861
Shares		25		25			—			25
Interest		1,629		1,836			—			1,836
Purchases payable - Interest		—		(1,644	)		—			(1,644	)
Sales receivable		737		5,049			1			5,050
Shares		737		729			1			730
Interest		—		4,320			—			4,320
Sales deliverable		7,563		(4,627	)		(1	)		(4,628	)
Shares		3,261		1			—			1
Interest		4,302		(4,628	)		(1	)		(4,629	)
Credit derivatives		10,110		(30	)		109			79
Asset position		5,831		38			99			137
Shares		1,955		22			69			91
Interest		3,876		16			30			46
Liability position		4,279		(68	)		10			(58	)
Shares		769		(21	)		4			(17	)
Interest		3,510		(47	)		6			(41	)
NDF - Non Deliverable Forward		252,628		(948	)		153			(795	)
Asset position		119,312		2,781			169			2,950
Commodities		80		6			1			7
Foreign currency		119,232		2,775			168			2,943
Liability position		133,316		(3,729	)		(16	)		(3,745	)
Commodities		175		(14	)		—			(14	)
Foreign currency		133,141		(3,715	)		(16	)		(3,731	)
Check of swap		955		(73	)		19			(54	)
Asset position - Foreign currency		514		—			68			68
Liability position - Interest		441		(73	)		(49	)		(122	)
Other financial instruments		4,225		90			(62	)		28
Asset position		2,464		100			(8	)		92
Shares		191		(9	)		5			(4	)
Interest		2,147		109			(15	)		94
Foreign currency		126		—			2			2
Liability position		1,761		(10	)		(54	)		(64	)
Shares		1,404		(1	)		(57	)		(58	)
Interest		327		(2	)		(2	)		(4	)
Foreign currency		30		(7	)		5			(2	)
		Asset		16,180			6,663			22,843
		Liability		(20,812	)		(5,934	)		(26,746	)

		Total		(4,632	)		729			(3,903	)

Summary of Derivative Contracts Maturity

Derivative contracts mature as follows (in days):

Off-balance sheet – notional amount	0 - 30		31 - 180		181 - 365		Over 365		12/31/2018
Futures contracts		217,836		193,637		33,969		140,591		586,033
Swaps contracts		70,403		96,913		96,090		676,104		939,510
Options		595,515		131,147		329,834		206,072		1,262,568
Forwards (onshore)		1,412		844		85		—		2,341
Credit derivatives		—		1,188		680		6,456		8,324
NDF - Non Deliverable Forward		76,032		102,024		30,212		17,087		225,355
Check of swap		—		115		—		1,219		1,334
Other derivative financial instruments		8		405		357		4,534		5,304

Derivative contracts mature as follows (in days):

Off-balance sheet – notional amount	0 - 30		31 - 180		181 - 365		Over 365		12/31/2017
Futures contracts		187,771		152,660		87,819		179,730		607,980
Swaps contracts		37,526		135,791		115,296		548,686		837,299
Options		418,679		290,491		457,164		681,495		1,847,829
Forwards (onshore)		6,997		1,933		1,024		—		9,954
Credit derivatives		—		510		1,230		8,370		10,110
NDF - Non Deliverable Forward		63,446		136,650		39,109		13,423		252,628
Check of swap		—		293		—		662		955
Other derivative financial instruments		—		474		851		2,900		4,225

Schedule of Derivative Financial Instruments Portfolio by Type of Instrument

See below the composition of the Derivative Financial Instruments portfolio by type of instrument, stated at their notional amounts, per trading location (organized or over-the-counter market) and counterparties.


	12/31/2018
	Futures		Swaps		Options		Forwards (onshore)		Credit derivatives		NDF - Non Deliverable Forward		Target flow of swap		Other derivative financial instruments
B3		480,950		20,209		1,106,794		1,912		0		47,628		0		0
Over-the-counter market		105,083		919,301		155,774		429		8,324		177,727		1,334		5,304
Financial institutions		104,297		702,848		110,859		0		7,742		103,172		0		3,602
Companies		786		150,639		44,464		429		582		73,811		1,334		1,702
Individuals		0		65,814		451		0		0		744		0		0

Total		586,033		939,510		1,262,568		2,341		8,324		225,355		1,334		5,304


	12/31/2017
	Futures		Swaps		Options		Forwards (onshore)		Credit derivatives		NDF - Non Deliverable Forward		Target flow of swap		Other derivative financial instruments
B3		476,031		24,339		1,746,729		4,023		—		76,838		—		—
Over-the-counter market		131,949		812,960		101,100		5,931		10,110		175,790		955		4,225
Financial institutions		131,525		525,855		69,460		—		10,110		118,743		—		1,792
Companies		424		173,129		31,340		5,931		—		56,905		955		2,433
Individuals		—		113,976		300		—		—		142		—		—

Total		607,980		837,299		1,847,829		9,954		10,110		252,628		955		4,225

Disclosure of Portfolio of Credit Derivatives

The protection buyer does not need to hold the debt instrument of the reference entity for it to receive the amounts due pursuant to the CDS contract terms when a credit event occurs.


	12/31/2018
	Maximum potential of future payments, gross		Before 1 year		From 1 to 3 years		From 3 to 5 years		Over 5 years
By instrument
CDS		6,853		1,685		1,913		3,203		52

Total by instrument		6,853		1,685		1,913		3,203		52

By risk rating
Investment grade		1,361		300		510		539		12
Below investment grade		5,492		1,385		1,403		2,664		40

Total by risk		6,853		1,685		1,913		3,203		52

By reference entity
Brazilian government		3,772		1,167		1,118		1,487		0
Government – abroad		314		71		85		156		2
Private entities		2,767		447		710		1,560		50

Total by entity		6,853		1,685		1,913		3,203		52


	12/31/2017
	Maximum potential of future payments, gross		Before 1 year		From 1 to 3 years		From 3 to 5 years		Over 5 years
By instrument
CDS		6,416		1,200		2,412		2,804		—

Total by instrument		6,416		1,200		2,412		2,804		—

By risk rating
Investment grade		1,416		449		347		620		—
Below investment grade		5,000		751		2,065		2,184		—

Total by risk		6,416		1,200		2,412		2,804		—

By reference entity
Brazilian government		3,597		406		1,671		1,520		—
Government – abroad		329		144		90		95		—
Private entities		2,490		650		651		1,189		—

Total by entity		6,416		1,200		2,412		2,804		—

Schedule of Notional Amount of Purchased Credit Derivatives

The following table presents the notional amount of purchased credit derivatives whose underlying amounts are identical to those for which ITAÚ UNIBANCO HOLDING operates as seller of the credit protection.


	12/31/2018
	Notional amount of credit protection sold			Notional amount of credit protection purchased with identical underlying amount		Net position
CDS		(6,853	)		1,471		(5,382	)

Total		(6,853	)		1,471		(5,382	)


	12/31/2017
	Notional amount of credit protection sold			Notional amount of credit protection purchased with identical underlying amount		Net position
CDS		(6,416	)		3,694		(2,722	)

Total		(6,416	)		3,694		(2,722	)

Schedule of Financial Assets subject to Offsetting, Enforceable Master Netting Arrangements and Similar Agreements

Financial assets subject to offsetting, enforceable master netting arrangements and similar agreements:


	12/31/2018
	Gross amount of recognized financial assets⁽¹⁾		Gross amount offset in the statement of financial position		Net amount of financial assets presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾					Net amount
	Gross amount of recognized financial assets⁽¹⁾		Gross amount offset in the statement of financial position				Financial instruments ⁽³⁾			Cash collateral received		Net amount
Securities purchased under agreements to resell		280,126		0		280,126		(2,822	)		0		277,304
Derivatives		23,466		0		23,466		(3,091	)		0		20,375

	12/31/2017
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position		Net amount of financial assets presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾					Net amount
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position				Financial instruments ⁽³⁾			Cash collateral received		Net amount
Securities purchased under agreements to resell		244,699		—		244,699		(575	)		—		244,124
Derivatives		22,843		—		22,843		(3,138	)		—		19,705

Schedule of Financial Liabilities subject to Offsetting, Enforceable Master Netting Arrangements and Similar Agreements


	12/31/2018
	Gross amount of recognized financial assets⁽¹⁾		Gross amount offset in the statement of financial position		Net amount of financial assets presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial assets⁽¹⁾		Gross amount offset in the statement of financial position				Financial instruments ⁽³⁾			Cash collateral received			Net amount
Securities purchased under agreements to resell		280,126		0		280,126		(2,822	)		0			277,304
Derivatives		23,466		0		23,466		(3,091	)		0			20,375

	12/31/2017
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position		Net amount of financial assets presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position				Financial instruments ⁽³⁾			Cash collateral received			Net amount
Securities purchased under agreements to resell		244,699		—		244,699		(575	)		—			244,124
Derivatives		22,843		—		22,843		(3,138	)		—			19,705

Financial liabilities subject to offsetting, enforceable master netting arrangements and similar agreements:

	12/31/2018
	Gross amount of recognized financial liabilities⁽¹⁾		Gross amount offset in the statement of financial position		Net amount of financial liabilities presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial liabilities⁽¹⁾		Gross amount offset in the statement of financial position				Financial instruments ⁽³⁾			Cash collateral pledged			Net amount
Securities sold under repurchase agreements		330,237		0		330,237		(23,079	)		0			307,158
Derivatives		27,519		0		27,519		(3,091	)		(333	)		24,095

	12/31/2017
	Gross amount of recognized financial liabilities ⁽¹⁾		Gross amount offset in the statement of financial position		Net amount of financial liabilities presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial liabilities ⁽¹⁾		Gross amount offset in the statement of financial position				Financial instruments ⁽³⁾			Cash collateral pledged			Net amount
Securities sold under repurchase agreements		312,634		—		312,634		(14,489	)		—			298,145
Derivatives		26,746		—		26,746		(3,138	)		(452	)		23,156

(1)

Includes amounts of master offset agreements and other such agreements, both enforceable and unenforceable;

(2)

Limited to amounts subject to enforceable master offset agreements and other such agreements;

(3)

Includes amounts subject to enforceable master offset agreements and other such agreements, and guarantees in financial instruments.