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Derivatives
 12 Months Ended
Dec. 31, 2019
Text Block [Abstract]  
Derivatives
Note 6 – Derivatives
ITAÚ UNIBANCO HOLDING trades in derivative financial instruments with various counterparties to manage its overall exposures and to assist its customers in managing their own exposures.
Futures
– Interest rate and foreign currency futures contracts are commitments to buy or sell a financial instrument at a future date, at an agreed price or yield, and may be settled in cash or through delivery. The notional amount represents the face value of the underlying instrument. Commodity futures contracts or financial instruments are commitments to buy or sell commodities (mainly gold, coffee and orange juice) at a future date, at an agreed price, which are settled in cash. The notional amount represents the quantity of such commodities multiplied by the future price on the contract date. Daily cash settlements of price movements are made for all instruments.
Forwards
– Interest rate forward contracts are agreements to exchange payments on a specified future date, based on the variation in market interest rates from trade date to contract settlement date. Foreign exchange forward contracts represent agreements to exchange the currency of one country for the currency of another at an agreed price, on an agreed settlement date. Financial instrument forward contracts are commitments to buy or sell a financial instrument on a future date at an agreed price and are settled in cash.
Swaps
– Interest rate and foreign exchange swap contracts are commitments to settle in cash on a future date or dates the differentials between specific financial indices (either two different interest rates in a single currency or two different rates each in a different currency), as applied to a notional principal amount. Swap contracts shown under Other in the table below correspond substantially to inflation rate swap contracts.
Options
– Option contracts give the purchaser, for a fee, the right, but not the obligation, to buy or sell a financial instrument within a limited time, including a flow of interest, foreign currencies, commodities, or financial instruments at an agreed price that may also be settled in cash, based on the differential between specific indices.
Credit Derivatives
– Credit derivatives are financial instruments with value deriving from the credit risk on debt issued by a third party (the reference entity), which permits one party (the buyer of the hedge) to transfer the risk to the counterparty (the seller of the hedge). The seller of the hedge must pay out as provided for in the contract if the reference entity undergoes a credit event, such as bankruptcy, default or debt restructuring. The seller of the hedge receives a premium for the hedge but, on the other hand, assumes the risk that the underlying instrument referenced in the contract undergoes a credit event, and the seller may have to make payment to the purchaser of the hedge for up to the notional amount of the credit derivative.
The total value of margins pledged in guarantee by ITAÚ UNIBANCO HOLDING was R$ 15,823 (R$ 12,855 at 12/31/2018) and was basically comprised of government securities.
Further information on internal controls and parameters used to management risks, may be accessed in Note 32 – Risk and Capital Management.
 
I - Derivatives Summary
See below the composition of the Derivative financial instruments portfolio (assets and liabilities) by type of instrument, stated fair value, and by maturity.
 
                     
                     
                     
                     
                     
                     
                     
                     
   
12/31/2019
 
   
Fair value
  
%
   
0-30

days
  
31-90

days
  
91-180

days
  
181-365

days
  
366-720

days
  
Over 720

days
 
Assets
          
Swaps – adjustment receivable
  
 
26,458
 
 
 
63.2
 
  
 
107
 
 
 
1,807
 
 
 
564
 
 
 
1,668
 
 
 
4,464
 
 
 
17,848
 
Option agreements
  
 
8,456
 
 
 
20.2
 
  
 
4,696
 
 
 
1,963
 
 
 
354
 
 
 
726
 
 
 
500
 
 
 
217
 
Forwards (onshore)
  
 
2,162
 
 
 
5.2
 
  
 
940
 
 
 
636
 
 
 
484
 
 
 
87
 
 
 
15
 
 
 
—  
 
Credit derivatives - financial Institutions
  
 
167
 
 
 
0.4
 
  
 
—  
 
 
 
—  
 
 
 
5
 
 
 
3
 
 
 
23
 
 
 
136
 
NDF - Non Deliverable Forward
  
 
4,446
 
 
 
10.6
 
  
 
1,251
 
 
 
1,314
 
 
 
787
 
 
 
561
 
 
 
347
 
 
 
186
 
Other Derivative Financial Instruments
  
 
165
 
 
 
0.4
 
  
 
4
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
6
 
 
 
155
 
  
 
 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total
  
 
41,854
  
 
 
100.0
 
  
 
6,998
  
 
 
5,720
  
 
 
2,194
  
 
 
3,045
  
 
 
5,355
  
 
 
18,542
  
% per maturity date
     
 
16.7
 
 
 
13.7
 
 
 
5.2
 
 
 
7.3
 
 
 
12.8
 
 
 
44.3
 
  
 
 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
 
                     
                     
                     
                     
                     
                     
                     
                     
   
12/31/2019
 
   
Fair value
  
%
   
0-30

days
  
31-90

days
  
91-180

days
  
181-365

days
  
366-720

days
  
Over 720

days
 
Liabilities
          
Swaps – adjustment payable
  
 
(32,927
) 
 
 
68.8
 
  
 
(326
) 
 
 
(2,557
) 
 
 
(898
) 
 
 
(1,763
) 
 
 
(8,349
) 
 
 
(19,034
) 
Option agreements
  
 
(9,061
) 
 
 
18.9
 
  
 
(3,668
) 
 
 
(3,494
) 
 
 
(383
) 
 
 
(690
) 
 
 
(571
) 
 
 
(255
) 
Forwards (onshore)
  
 
(754
) 
 
 
1.6
 
  
 
(753
) 
 
 
—  
 
 
 
—  
 
 
 
(1
) 
 
 
—  
 
 
 
—  
 
Credit derivatives - financial Institutions
  
 
(40
) 
 
 
0.1
 
  
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
(1
) 
 
 
(3
) 
 
 
(36
) 
NDF - Non Deliverable Forward
  
 
(4,971
) 
 
 
10.4
 
  
 
(1,891
) 
 
 
(1,108
) 
 
 
(657
) 
 
 
(637
) 
 
 
(526
) 
 
 
(152
) 
Other Derivative Financial Instruments
  
 
(75
) 
 
 
0.2
 
  
 
(15
) 
 
 
(1
) 
 
 
(2
) 
 
 
(4
) 
 
 
(9
) 
 
 
(44
) 
  
 
 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total
  
 
(47,828
) 
 
 
100.0
 
  
 
(6,653
) 
 
 
(7,160
) 
 
 
(1,940
) 
 
 
(3,096
) 
 
 
(9,458
) 
 
 
(19,521
) 
% per maturity date
     
 
13.9
 
 
 
15.0
 
 
 
4.1
 
 
 
6.5
 
 
 
19.7
 
 
 
40.8
 
  
 
 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
 
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 – adjustment receivable
  
 
13,093
 
  
 
55.8
 
  
 
705
 
  
 
187
 
  
 
252
 
  
 
700
 
  
 
2,894
 
  
 
8,355
 
Option agreements
  
 
4,215
 
  
 
18.0
 
  
 
1,167
 
  
 
408
 
  
 
610
 
  
 
872
 
  
 
975
 
  
 
183
 
Forwards (onshore)
  
 
1,835
 
  
 
7.8
 
  
 
893
 
  
 
716
 
  
 
145
 
  
 
81
 
  
 
—  
 
  
 
—  
 
Credit derivatives - financial Institutions
  
 
120
 
  
 
0.5
 
  
 
—  
 
  
 
—  
 
  
 
1
 
  
 
5
 
  
 
9
 
  
 
105
 
NDF - Non Deliverable Forward
  
 
3,711
 
  
 
15.8
 
  
 
1,013
 
  
 
968
 
  
 
772
 
  
 
653
 
  
 
178
 
  
 
127
 
Other Derivative Financial Instruments
  
 
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 date
      
 
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 – adjustment payable
  
 
(19,516
) 
 
 
70.9
 
  
 
(923
) 
 
 
(979
) 
 
 
(622
) 
 
 
(1,417
) 
 
 
(4,687
) 
 
 
(10,888
) 
Option agreements
  
 
(3,929
) 
 
 
14.3
 
  
 
(883
) 
 
 
(500
) 
 
 
(604
) 
 
 
(831
) 
 
 
(823
) 
 
 
(288
) 
Forwards (onshore)
  
 
(470
) 
 
 
1.7
 
  
 
(470
) 
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
Credit derivatives - financial Institutions
  
 
(140
) 
 
 
0.5
 
  
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
(2
) 
 
 
(4
) 
 
 
(134
) 
NDF - Non Deliverable Forward
  
 
(3,384
) 
 
 
12.3
 
  
 
(890
) 
 
 
(772
) 
 
 
(583
) 
 
 
(552
) 
 
 
(150
) 
 
 
(437
) 
Other Derivative Financial Instruments
  
 
(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 date
     
 
11.5
 
 
 
8.2
 
 
 
6.6
 
 
 
10.2
 
 
 
20.6
 
 
 
42.9
 
  
 
 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
 
II - Derivatives by index and Risk Fator
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
 
   
12/31/2019
   
12/31/2019
   
12/31/2019
   
12/31/2019
 
Futures contracts
  
 
664,884
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
Purchase commitments
  
 
325,468
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
Shares
   1,084    —      —      —   
Commodities
   76    —      —      —   
Interest
   301,898    —      —      —   
Foreign currency
   22,410    —      —      —   
Commitments to sell
  
 
339,416
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
Shares
   1,163    —      —      —   
Commodities
   1,049    —      —      —   
Interest
   308,824    —      —      —   
Foreign currency
   28,380    —      —      —   
Swaps contracts
  
 
—  
 
  
 
(5,267
) 
  
 
(1,202
) 
  
 
(6,469
) 
Asset position
  
 
1,094,378
 
  
 
5,566
 
  
 
20,892
 
  
 
26,458
 
Commodities
   574    —      9    9 
Interest
   1,075,534    4,596    19,813    24,409 
Foreign currency
   18,270    970    1,070    2,040 
Liability position
  
 
1,094,378
 
  
 
(10,833
) 
  
 
(22,094
) 
  
 
(32,927
) 
Shares
   49    (9)    —      (9) 
Commodities
   855    —      (12)    (12) 
Interest
   1,068,660    (9,383)    (21,855)    (31,238) 
Foreign currency
   24,814    (1,441)    (227)    (1,668) 
Option contracts
  
 
1,720,205
 
  
 
(546
) 
  
 
(59
) 
  
 
(605
) 
Purchase commitments – long position
  
 
245,824
 
  
 
6,191
 
  
 
(6
) 
  
 
6,185
 
Shares
   11,513    256    515    771 
Commodities
   268    7    10    17 
Interest
   188,110    465    (331)    134 
Foreign currency
   45,933    5,463    (200)    5,263 
Commitments to sell – long position
  
 
626,187
 
  
 
1,667
 
  
 
604
 
  
 
2,271
 
Shares
   12,294    396    (40)    356 
Commodities
   228    5    (2)    3 
Interest
   568,442    513    887    1,400 
Foreign currency
   45,223    753    (241)    512 
Purchase commitments – short position
  
 
172,703
 
  
 
(6,671
) 
  
 
(19
) 
  
 
(6,690
) 
Shares
   6,312    (180)    (451)    (631) 
Commodities
   235    (10)    (8)    (18) 
Interest
   129,647    (412)    329    (83) 
Foreign currency
   36,509    (6,069)    111    (5,958) 
Commitments to sell – short position
  
 
675,491
 
  
 
(1,733
) 
  
 
(638
) 
  
 
(2,371
) 
Shares
   11,152    (269)    (37)    (306) 
Commodities
   485    (11)    —      (11) 
Interest
   621,405    (428)    (888)    (1,316) 
Foreign currency
   42,449    (1,025)    287    (738) 
Forward operations (onshore)
  
 
5,134
 
  
 
1,412
 
  
 
(4
) 
  
 
1,408
 
Purchases receivable
  
 
668
 
  
 
796
 
  
 
(6
) 
  
 
790
 
Shares
   488    488    (6)    482 
Interest
   160    308    —      308 
Foreign currency
   20    —      —      —   
Purchases payable obligations
  
 
660
 
  
 
(160
) 
  
 
—  
 
  
 
(160
) 
Interest
   —      (160)    —      (160) 
Foreign currency
   660    —      —      —   
Sales receivable
  
 
1,653
 
  
 
1,368
 
  
 
4
 
  
 
1,372
 
Shares
   786    776    3    779 
Interest
   —      592    1    593 
Foreign currency
   867    —      —      —   
Sales deliverable obligations
  
 
2,153
 
  
 
(592
) 
  
 
(2
) 
  
 
(594
) 
Interest
   592    (592)    (1)    (593) 
Foreign currency
   1,561    —      (1)    (1) 
Credit derivatives
  
 
12,739
 
  
 
(236
) 
  
 
363
 
  
 
127
 
Asset position
  
 
9,878
 
  
 
(165
) 
  
 
332
 
  
 
167
 
Shares
   2,307    (81)    215    134 
Commodities
   27    (1)    3    2 
Interest
   7,423    (87)    114    27 
Foreign currency
   121    4    —      4 
Liability position
  
 
2,861
 
  
 
(71
) 
  
 
31
 
  
 
(40
) 
Shares
   719    (28)    8    (20) 
Commodities
   2    —      —      —   
Interest
   2,140    (43)    23    (20) 
NDF - Non Deliverable Forward
  
 
295,508
 
  
 
(552
) 
  
 
27
 
  
 
(525
) 
Asset position
  
 
138,772
 
  
 
4,239
 
  
 
207
 
  
 
4,446
 
Commodities
   570    34    (1)    33 
Foreign currency
   138,202    4,205    208    4,413 
Liability position
  
 
156,736
 
  
 
(4,791
) 
  
 
(180
) 
  
 
(4,971
) 
Commodities
   316    (10)    (1)    (11) 
Foreign currency
   156,420    (4,781)    (179)    (4,960) 
Other derivative financial instruments
  
 
6,581
 
  
 
216
 
  
 
(126
) 
  
 
90
 
Asset position
  
 
5,428
 
  
 
226
 
  
 
(61
) 
  
 
165
 
Interest
   5,428    226    (65)    161 
Foreign currency
   —      —      4    4 
Liability position
  
 
1,153
 
  
 
(10
) 
  
 
(65
) 
  
 
(75
) 
Shares
   695    2    (41)    (39) 
Interest
   458    (12)    (6)    (18) 
Foreign currency
   —      —      (18)    (18) 
  
 
Asset
 
  
 
19,888
 
  
 
21,966
 
  
 
41,854
 
  
 
Liability
 
  
 
(24,861
) 
  
 
(22,967
) 
  
 
(47,828
) 
  
 
Total
 
  
 
(4,973
) 
  
 
(1,001
) 
  
 
(5,974
) 
Derivative contracts mature as follows (in days):
 
Off-balance
sheet – notional amount
  
0 - 30
   
31 - 180
   
181 - 365
   
Over 365
   
12/31/2019
 
Futures contracts
   196,055    238,485    87,747    142,597    664,884 
Swaps contracts
   24,094    204,065    103,013    763,206    1,094,378 
Options
   988,793    320,300    258,488    152,624    1,720,205 
Forwards (onshore)
   953    2,514    1,651    16    5,134 
Credit derivatives
   —      4,746    733    7,260    12,739 
NDF - Non Deliverable Forward
   105,809    129,278    38,851    21,570    295,508 
Other derivative financial instruments
   12    786    320    5,463    6,581 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
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
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
Purchase commitments
  
 
268,228
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
Shares
   13,675    —      —      —   
Commodities
   194    —      —      —   
Interest
   243,369    —      —      —   
Foreign currency
   10,990    —      —      —   
Commitments to sell
  
 
317,805
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
Shares
   13,965    —      —      —   
Commodities
   155    —      —      —   
Interest
   265,218    —      —      —   
Foreign currency
   38,467    —      —      —   
Swaps contracts
  
 
—  
 
  
 
(5,259
) 
  
 
(1,164
) 
  
 
(6,423
) 
Asset position
  
 
940,844
 
  
 
6,270
 
  
 
6,823
 
  
 
13,093
 
Commodities
   6    —      —      —   
Interest
   925,381    5,126    6,401    11,527 
Foreign currency
   15,457    1,144    422    1,566 
Liability position
  
 
940,844
 
  
 
(11,529
) 
  
 
(7,987
) 
  
 
(19,516
) 
Shares
   76    (5)    2    (3) 
Commodities
   620    —      (1)    (1) 
Interest
   915,079    (9,427)    (7,979)    (17,406) 
Foreign currency
   25,069    (2,097)    (9)    (2,106) 
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
 
  
 
—  
 
  
 
496
 
Shares
   36    36    —      36 
Interest
   379    460    —      460 
Purchases payable obligations
  
 
—  
 
  
 
(381
) 
  
 
—  
 
  
 
(381
) 
Shares
   —      (2)    —      (2) 
Interest
   —      (379)    —      (379) 
Sales receivable
  
 
1,307
 
  
 
1,337
 
  
 
2
 
  
 
1,339
 
Shares
   1,307    1,292    2    1,294 
Interest
   —      45    —      45 
Sales deliverable obligations
  
 
619
 
  
 
(89
) 
  
 
—  
 
  
 
(89
) 
Shares
   2    (2)    —      (2) 
Interest
   45    (87)    —      (87) 
Foreign currency
   572    —      —      —   
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) 
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    —      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
) 
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    97,028    96,090    677,323    940,844 
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 
Other derivative financial instruments
   8    405    357    4,534    5,304 
 
III - Derivatives by notional amount
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.
 
   
12/31/2019
 
  
Futures
contracts
   
Swaps
contracts
   
Options
   
Forwards
(onshore)
   
Credit derivatives
   
NDF - Non

Deliverable
Forward
   
Other
derivative
financial
instruments
 
B3
  
 
465,537
 
  
 
18,128
 
  
 
1,559,356
 
  
 
4,381
 
  
 
1
 
  
 
53,756
 
  
 
—  
 
Over-the-counter
market
  
 
199,347
 
  
 
1,076,250
 
  
 
160,849
 
  
 
753
 
  
 
12,738
 
  
 
241,752
 
  
 
6,581
 
Financial institutions
   198,788    864,858    125,312    292    12,738    141,204    5,340 
Companies
   559    180,005    35,122    461    —      99,204    1,241 
Individuals
   —      31,387    415    —      —      1,344    —   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total
  
 
664,884
 
  
 
1,094,378
 
  
 
1,720,205
 
  
 
5,134
 
  
 
12,739
 
  
 
295,508
 
  
 
6,581
 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
   
12/31/2018
 
  
Futures
contracts
   
Swaps
contracts
   
Options
   
Forwards
(onshore)
   
Credit derivatives
   
NDF - Non

Deliverable
Forward
   
Other
derivative
financial
instruments
 
B3
  
 
480,950
 
  
 
20,209
 
  
 
1,106,794
 
  
 
1,912
 
  
 
—  
 
  
 
47,628
 
  
 
—  
 
Over-the-counter
market
  
 
105,083
 
  
 
920,635
 
  
 
155,774
 
  
 
429
 
  
 
8,324
 
  
 
177,727
 
  
 
5,304
 
Financial institutions
   104,297    702,848    110,859    —      7,742    103,172    3,602 
Companies
   786    151,973    44,464    429    582    73,811    1,702 
Individuals
   —      65,814    451    —      —      744    —   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total
  
 
586,033
 
  
 
940,844
 
  
 
1,262,568
 
  
 
2,341
 
  
 
8,324
 
  
 
225,355
 
  
 
5,304
 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
IV - Credit derivatives
ITAÚ UNIBANCO HOLDING buys and sells credit protection in order to meet the needs of its customers, management and mitigation of its portfolios’ risk.
CDS (credit default swap) is credit derivative in which, upon a default related to the reference entity, the protection buyer is entitled to receive, from the protection seller, the amount equivalent to the difference between the face value of the CDS contract and the fair value of the liability on the date the contract was settled, also known as the recovered amount. 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.
TRS (total return swap) is a transaction in which a party swaps the total return of an asset or of a basket of assets for regular cash flows, usually interest and a guarantee against capital loss. In a TRS contract, the parties do not transfer the ownership of the assets.
 
   
12/31/2019
 
   
Maximum potential

of future payments,
gross
   
Up to 1 year
   
From 1 to 3
years
   
From 3 to 5
years
   
Over 5 years
 
By instrument
          
CDS
   6,283    1,013    2,675    2,539    56 
TRS
   4,161    4,161    —      —      —   
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total by instrument
  
 
10,444
 
  
 
5,174
 
  
 
2,675
 
  
 
2,539
 
  
 
56
 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
By risk rating
          
Investment grade
   1,049    135    602    312    —   
Below investment grade
   9,395    5,039    2,073    2,227    56 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total by risk
  
 
10,444
 
  
 
5,174
 
  
 
2,675
 
  
 
2,539
 
  
 
56
 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
By reference entity
          
Brazilian government
   7,301    4,921    1,117    1,263    —   
Governments – abroad
   200    34    88    78    —   
Private entities
   2,943    219    1,470    1,198    56 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total by entity
  
 
10,444
 
  
 
5,174
 
  
 
2,675
 
  
 
2,539
 
  
 
56
 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
   
12/31/2018
 
   
Maximum potential
of future payments,
gross
   
Up to 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    —   
Governments – 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
 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
ITAÚ UNIBANCO HOLDING assesses the risk of a credit derivative based on the credit ratings attributed to the reference entity by independent credit rating agencies. Investment grade entities are those for which credit risk is rated as Baa3 or higher, as rated by Moody’s, and
BBB-
or higher, by Standard & Poor’s and Fitch Ratings.
The following table presents the notional amount of credit derivatives purchased. The underlying amounts are identical to those for which ITAÚ UNIBANCO HOLDING has sold credit protection.
 
   
12/31/2019
 
   
Notional amount of credit
protection sold
   
Notional amount of credit protection
purchased with identical underlying

amount
   
Net position
 
CDS
   (6,283)    2,295    (3,988) 
TRS
   (4,161)    —      (4,161) 
  
 
 
   
 
 
   
 
 
 
Total
  
 
(10,444
) 
  
 
2,295
 
  
 
(8,149
) 
  
 
 
   
 
 
   
 
 
 
 
   
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
) 
  
 
 
   
 
 
   
 
 
 
 
V - Financial instruments subject to offsetting, enforceable master netting arrangements and similar agreements
The following tables set forth the financial assets and liabilities that are subject to offsetting, enforceable master netting arrangements, and similar agreements, as well as how these financial assets and liabilities have been presented in ITAÚ UNIBANCO HOLDING’s consolidated financial statements. These tables also reflect the amounts of collateral pledged or received in relation to financial assets and liabilities subject to enforceable arrangements that have not been presented on a net basis in accordance with IAS 32.
Financial assets subject to offsetting, enforceable master netting arrangements and similar agreements:
 
   
12/31/2019
 
   
Gross
amount of
recognized
financial
assets
(1)
   
Gross amount
offset in the
Balance Sheet
   
Net amount of
financial assets
presented in
the Balance
Sheet
   
Related amounts not
offset in the Balance
Sheet 
(2)
     
   
Financial
instruments 
(3)
  
Cash
collateral
received
   
Total
 
Securities purchased under agreements to resell
   198,422    —      198,422    (596)   —      197,826 
Derivatives financial instruments
   41,854    —      41,854    (14,121)   —      27,733 
 
   
12/31/2018
 
   
Gross
amount of
recognized
financial
assets
(1)
   
Gross amount
offset in the
Balance Sheet
   
Net amount of
financial assets
presented in
the Balance
Sheet
   
Related amounts not
offset in the Balance
Sheet 
(2)
     
   
Financial
instruments 
(3)
  
Cash
collateral
received
   
Total
 
Securities purchased under agreements to resell
   280,132    —      280,132    (2,822)   —      277,310 
Derivatives financial instruments
   23,466    —      23,466    (3,091)   —      20,375 
Financial liabilities subject to offsetting, enforceable master netting arrangements and similar agreements:
 
   
12/31/2019
 
   
Gross
amount of
recognized
financial
liabilities 
(1)
   
Gross amount
offset in the
Balance Sheet
   
Net amount of
financial assets
presented in
the Balance
Sheet
   
Related amounts not
offset in the Balance
Sheet 
(2)
    
   
Financial
instruments 
(3)
  
Cash
collateral
pledged
  
Total
 
Securities sold under repurchase agreements
   256,583    —      256,583    (23,509)   —     233,074 
Derivatives financial instruments
   47,828    —      47,828    (14,121)   (148)   33,559 
 
   
12/31/2018
 
   
Gross
amount of
recognized
financial
liabilities 
(1)
   
Gross amount
offset in the
Balance Sheet
   
Net amount of
financial assets
presented in
the Balance
Sheet
   
Related amounts not
offset in the Balance
Sheet 
(2)
    
   
Financial
instruments 
(3)
  
Cash
collateral
pledged
  
Total
 
Securities sold under repurchase agreements
   330,237    —      330,237    (23,079)   —     307,158 
Derivatives financial instruments
   27,519    —      27,519    (3,091)   (333)   24,095 
 
(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.
Financial assets and financial liabilities are offset in the balance sheet only when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or realize the asset and settle the liability simultaneously.
Derivatives and repurchased agreements not set off in the balance sheet relate to transactions in which there are enforceable master netting agreements or similar agreements, but the offset criteria have not been met in accordance with paragraph 42 of IAS 32 mainly because ITAÚ UNIBANCO HOLDING has no intention to settle on a net basis, or realize the asset and settle the liability simultaneously.