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Hedge accounting (Tables)

12 Months Ended

Dec. 31, 2018

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

The tables below present, for each strategy, the nominal value and the fair value adjustments of hedge instruments and the book value of the hedged item:    

Strategies		12/31/2018												12/31/2017
		Hedge instruments								Hedged item				Hedge instruments								Hedged item
		Nominal Value				Fair value adjustments				Book Value				Nominal Value				Fair value adjustments				Book Value
Hedge of deposits and repurchase agreements			29,727				(21	)			29,727				62,667				(32	)			62,667
Hedge of highly probable forecast transactions			71				6				71				232				9				219
Hedge of net investment in foreign operations (*)			12,550				2,230				14,820				10,561				1,283				13,074
Hedge of loan operations (Fair value)			7,066				(54	)			7,066				5,977				52				5,977
Hedge of loan operations (Cash flow)			268				7				274				1,124				14				1,124
Hedge of funding (Fair value)			9,124				43				9,124				12,157				(114	)			12,157
Hedge of funding (Cash flow)			3,105				82				3,200				6,444				(16	)			6,444
Hedge of syndicated loan (Fair value)			0				0				0				794								794
Hedge of assets transactions			8,003				136				7,866				23,919				2				23,490
Hedge of Asset-backed securities under repurchase agreements			38,013				8				36,668				31,855				11				31,099
Hedge of assets denominated in UF			13,221				23				13,247				15,227				(28	)			15,227
Hedge of fair value through other comprehensive income			5,401				(82	)			5,391				482				34				482
Total			0				2,378				0								1,215

(*) Hedge instruments include the overhedge rate of 44.65% regarding taxes.   

Breakdown by Maturity of Hedging Strategies

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

Strategies		12/31/2018
		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			11,925				4,729				3,519				0				5,737				3,817				0				29,727
Hedge of highly probable forecast transactions			71				0				0				0				0				0				0				71
Hedge of net investment in foreign operations (*)			12,550				0				0				0				0				0				0				12,550
Hedge of loan operations (Fair value)			293				1,416				1,793				1,379				375				822				988				7,066
Hedge of loan operations (Cash flow)			0				28				162				78				0				0				0				268
Hedge of funding (Fair value)			1,590				297				154				391				377				3,972				2,343				9,124
Hedge of funding (Cash flow)			2,874				0				0				0				0				231				0				3,105
Hedge of assets transactions			6,346				0				1,657				0				0				0				0				8,003
Hedge of Asset-backed securities under repurchase agreements			26,943				5,838				1,517				0				3,715				0				0				38,013
Hedge of assets denominated in UF			12,241				924				56				0				0				0				0				13,221
Hedge of fair value through other comprehensive income			4,223				0				0				0				0				1,178				0				5,401
Total			79,056				13,232				8,858				1,848				10,204				10,020				3,331				126,549
Strategies		12/31/2017
		0-1 year				1-2 years				2-3 years				3-4 years				4-5 years				5-10 years				over de 10 years				Total
Hedge of deposits and repurchase agreements			31,471				11,205				6,210				12,125				—				1,656				—				62,667
Hedge of highly probable forecast transactions			162				70				—				—				—				—				—				232
Hedge of net investment in foreign operations (*)			10,561				—				—				—				—				—				—				10,561
Hedge of loan operations (Fair value)			268				143				628				1,502				1,335				642				1,459				5,977
Hedge of loan operations (Cash flow)			—				—				27				157				75				865				—				1,124
Hedge of funding (Fair value)			2,399				3,669				799				218				348				2,099				2,625				12,157
Hedge of funding (Cash flow)			1,646				749				1,026				884				525				1,614				—				6,444
Hedge of syndicated loan (Fair value)			794				—				—				—				—				—				—				794
Hedge of assets transactions			16,726				5,940				—				1,253				—				—				—				23,919
Hedge of Asset-backed securities under repurchase agreements			251				25,209				3,956				1,349				—				1,090				—				31,855
Hedge of assets denominated in UF			12,352				2,822				—				53				—				—				—				15,227
Hedge of fair value through other comprehensive income			—				—				223				—				—				259				—				482
Total			76,630				49,807				12,869				17,541				2,283				8,225				4,084				171,439

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

Fair value hedge [Member]

Summary of Hedge Accounting

Hedge Instruments		12/31/2018
		Nominal Value				Book value (*)								Variation in the amount used to calculate hedge ineffectiveness				Hedge ineffectiveness recognized in income
						Assets				Liabilities
Interest rate risk
Interest rate Swap			21,591				86				1,078				(93	)			10
Total			21,591				86				1,078				(93	)			10
Hedge Instruments		12/31/2017
		Nominal Value				Book value (*)								Variation in the amount used to calculate hedge ineffectiveness				Hedge ineffectiveness recognized in income
						Assets				Liabilities
Interest rate risk
Interest rate Swap			19,410				86				114				(27	)			(2	)
Total			19,410				86				114				(27	)			(2	)

(*) Amounts recorded in the Derivatives.

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:

Strategies		12/31/2018
		Hedged Item																				Hedge Instruments
		Book Value (*)								Fair value								Variation in the amounts used to calculate hedge ineffectiveness				Nominal Value				Variation in value recognized in income
		Assets				Liabilities				Assets				Liabilities
Interest rate risk
Hedge of loan operations			7,066				0				7,119				0				53				7,066				(54	)
Hedge of funding			0				9,124				0				9,081				(43	)			9,124				43
Hedge of fair value through other comprehensive income			5,391				0				5,483				0				93				5,401				(82	)
Total			12,457				9,124				12,602				9,081				103				21,591				(93	)
Strategies		12/31/2017
		Hedged Item																				Hedge Instruments
		Book Value (*)								Fair value								Variation in the amounts used to calculate hedge ineffectiveness				Nominal Value				Variation in value recognized in income
		Assets				Liabilities				Assets				Liabilities
Interest rate risk
Hedge of loan operations			5,977				—				5,978				—				(50	)			5,977				52
Hedge of funding			—				12,157				—				9,562				108				12,157				(113	)
Hedge of syndicated loan			—				794				—				779				—				794				—
Hedge of fair value through other comprehensive income			482				—				450				—				(33	)			482				34
Total			6,459				12,951				6,428				10,341				25				19,410				(27	)

(*) Amounts recorded in the heading Deposits, Securities, Funds from Interbank Markets and Loan and Lease Operation.

Hedges of net investment in foreign operations [member]

Summary of Hedge Accounting

Hedge instruments		12/31/2018
		Nominal Value				Book Value (*)								Variations in fair value used to calculate hedge ineffectiveness				Variation in value recognized in Other comprehensive income				Hedge ineffectiveness recognized in income				Amount reclassified from foreign currency convertion into income
						Assets				Liabilities
Foreign exchange risk
DDI futures			27,990				0				113				(11,394	)			(11,353	)			(41	)			0
Forward			(1,470	)			1,059				0				764				726				38				0
NDF			(13,167	)			255				0				3,198				3,189				9				0
Financial Assets			(803	)			803				0				136				138				(2	)			0
Total			12,550				2,117				113				(7,296	)			(7,300	)			4				0
Hedge instruments		12/31/2017
		Nominal Value				Book Value (*)								Variations in fair value used to calculate hedge ineffectiveness				Variation in value recognized in Other comprehensive income				Hedge ineffectiveness recognized in income				Amount reclassified from foreign currency convertion into income
						Assets				Liabilities
Foreign exchange risk
DDI futures			23,641				49				—				(7,646	)			(7,605	)			(41	)			—
Forward			(1,065	)			1,050				—				661				623				38				—
NDF			(11,474	)			—				357				1,525				1,516				9				—
Financial Assets			(541	)			541				—				(43	)			(41	)			(2	)			—
Total			10,561				1,640				357				(5,503	)			(5,507	)			4				—

(*) Amounts recorded in the Derivatives.

Cash flow hedges [member]

Summary of Hedge Accounting

Hedge Instruments		12/31/2018
		Nominal Value				Book Value (*)								Variations in fair value used to calculate hedge ineffectiveness				Variation in value recognized in Other comprehensive income				Hedge ineffectiveness recognized in income				Amount reclassified from Cash flow hedge reserve to income
						Assets				Liabilities
Interest rate risk
Interest rate futures			75,743				256				21				(1,305	)			(1,193	)			(112	)			0
Interest rate Swap			16,594				3,023				13,519				112				110				2				0
Foreign currency risk
DDI futures			6				5				0				1				1				0
Option			65				9				0				5				5				0				0
Total			92,408				3,293				13,540				(1,187	)			(1,077	)			(110	)			0
Hedge Instruments		12/31/2017
		Nominal Value				Book Value (*)								Variations in fair value used to calculate hedge ineffectiveness				Variation in value recognized in Other comprehensive income				Hedge ineffectiveness recognized in income				Amount reclassified from Cash flow hedge reserve to income
						Assets				Liabilities
Interest rate risk
Interest rate futures			118,441				13				(32	)			(2,278	)			(2,126	)			(152	)			—
Interest rate Swap			22,795				14				(44	)			(38	)			(31	)			(7	)			—
Foreign currency risk
DDI futures			78				—				—				1				1				—				—
Option			154				9				—				(6	)			(6	)			—				—
Total			141,468				36				(76	)			(2,321	)			(2,162	)			(159	)			—

(*) Amounts recorded in the Derivatives.

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

a) Hedge Cash flow    

Strategies		Heading		12/31/2018
				Hedged item																Hedge instrument
				Book Value								Variation in value recognized in Other comprehensive income				Cash flow hedge reserve				Nominal Value				Variation in the amounts used to calculate hedge ineffectiveness
				Assets				Liabilities
Interest rate risk
Hedge of deposits and repurchase agreements		Securities purchased under agreements to resell			0				29,727				(1,682	)			(2,946	)			29,727				(1,800	)
Hedge of assets transactions		Loan operations and lease operations and Securities			7,866				0				136				136				8,003				136
Hedge of Asset-backed securities under repurchase agreements		Securities purchased under agreements to resell			36,668				0				353				353				38,013				359
Hedge of loan operations		Loan operations and lease operations			274				0				6				6				268				7
Hedge of funding		Deposits			0				3,200				78				86				3,105				82
Hedge of assets denominated in UF		Securities			13,247				0				26				26				13,221				23
Foreign exchange risk
Hedge of highly probable forecast transactions					71				0				6				6				71				6
Total					58,126				32,927				(1,077	)			(2,333	)			92,408				(1,187	)
Strategies		Heading		12/31/2017
				Hedged item																Hedge instrument
				Book Value								Variation in value recognized in Other comprehensive income				Cash flow hedge reserve				Nominal Value				Variation in the amounts used to calculate hedge ineffectiveness
				Assets				Liabilities
Interest rate risk
Hedge of deposits and repurchase agreements		Securities purchased under agreements to resell			—				62,667				(3,227	)			(3,227	)			62,667				(3,377	)
Hedge of assets transactions		Loan operations and lease operations and Securities			23,490				—				429				429				23,919				429
Hedge of Asset-backed securities under repurchase agreements		Securities purchased under agreements to resell			31,099				—				672				672				31,855				670
Hedge of loan operations		Loan operations and lease operations			1,124				—				14				14				1,124				13
Hedge of funding		Deposits			—				6,444				(16	)			(16	)			6,444				(17	)
Hedge of assets denominated in UF		Securities			15,227				—				(29	)			(29	)			15,227				(34	)
Foreign exchange risk
Hedge of highly probable forecast transactions					219				—				(5	)			(5	)			232				(5	)
Total					71,159				69,111				(2,162	)			(2,162	)			141,468				(2,321	)

investment abroad designated as hedged item [Member]

Summary of Hedge Accounting

To evaluate the effectiveness and to measure the ineffectiveness of such strategies, ITAÚ UNIBANCO HOLDING uses the Dollar Offset Method. The Dollar Offset Method is based on a comparison of the change in fair value (cash flow) of the hedge instrument, attributable to changes in exchange rate and gain (loss) arising from the variation in exchange rates, on the amount of investment abroad designated as a hedged item.

Strategies		12/31/2018
		Hedged item																Hedge instrument
		Book Value (2)								Variation in value recognized in Other comprehensive income				Foreign currency convertion				Nominal Value				Variation in the amounts used to calculate hedge ineffectiveness
		Assets				Liabilities
Foreign exchange risk
Hedge of net investment in foreign operations (1)			0				14,820				(7,300	)			(7,300	)			12,550				(7,296	)
Total			0				14,820				(7,300	)			(7,300	)			12,550				(7,296	)
Strategies		12/31/2017
		Hedged item																Hedge instrument
		Book Value (2)								Variation in value recognized in Other comprehensive income				Foreign currency convertion				Nominal Value				Variation in the amounts used to calculate hedge ineffectiveness
		Assets				Liabilities
Foreign exchange risk
Hedge of net investment in foreign operations (1)			—				13,074				(5,507	)			(5,507	)			10,561				(5,503	)
Total			—				13,074				(5,507	)			(5,507	)			10,561				(5,503	)

(1) Hedge instruments include the overhedge rate of 44.65% regarding taxes.    

(2) Amounts recorded in the Hedge of net investment in foreign operation.

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