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Derivatives | 12 Months Ended
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Dec. 31, 2021
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$ 11,011 (R$ 18,000 at 12/31/2020) and was basically comprised of government securities. Further information on internal controls and parameters used to management risks, may be found 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 maturity date.
|  | 12/31/2021 |
|  | Fair value (*) |  |  | % |  |  | 0-30 |  |  | 31-90 |  |  | 91-180 |  |  | 181-365 |  |  | 366-720 |  |  | Over 720 days |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps – adjustment receivable |  |  | 38,014 |  |  |  | 55.0 |  |  |  | 1,820 |  |  |  | 370 |  |  |  | 837 |  |  |  | 2,596 |  |  |  | 7,341 |  |  |  | 25,050 |
Option agreements |  |  | 21,252 |  |  |  | 30.8 |  |  |  | 10,599 |  |  |  | 3,515 |  |  |  | 3,788 |  |  |  | 1,913 |  |  |  | 683 |  |  |  | 754 |
Forwards |  |  | 3,111 |  |  |  | 4.5 |  |  |  | 1,595 |  |  |  | 1,167 |  |  |  | 290 |  |  |  | 56 |  |  |  | 3 |  |  |  | — |
Credit derivatives |  |  | 242 |  |  |  | 0.4 |  |  |  | — |  |  |  | — |  |  |  | 7 |  |  |  | 8 |  |  |  | 22 |  |  |  | 205 |
NDF - Non Deliverable Forward |  |  | 5,943 |  |  |  | 8.6 |  |  |  | 1,193 |  |  |  | 1,207 |  |  |  | 1,109 |  |  |  | 1,053 |  |  |  | 752 |  |  |  | 629 |
Other Derivative Financial Instruments |  |  | 483 |  |  |  | 0.7 |  |  |  | 285 |  |  |  | 2 |  |  |  | — |  |  |  | 6 |  |  |  | 25 |  |  |  | 165 |
Total |  |  | 69,045 |  |  |  | 100.0 |  |  |  | 15,492 |  |  |  | 6,261 |  |  |  | 6,031 |  |  |  | 5,632 |  |  |  | 8,826 |  |  |  | 26,803 |
% per maturity date |  |  |  |  |  |  |  |  |  |  | 22.4 |  |  |  | 9.1 |  |  |  | 8.7 |  |  |  | 8.2 |  |  |  | 12.8 |  |  |  | 38.8 |
|  | 12/31/2021 |
|  | Fair value (*) |  |  | % |  |  | 0-30 |  |  | 31-90 |  |  | 91-180 |  |  | 181-365 |  |  | 366-720 |  |  | Over 720 days |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps – adjustment payable |  |  | (34,646 | ) |  |  | 54.9 |  |  |  | (1,562 | ) |  |  | (638 | ) |  |  | (1,057 | ) |  |  | (2,275 | ) |  |  | (6,944 | ) |  |  | (22,170 | )
Option agreements |  |  | (22,547 | ) |  |  | 35.7 |  |  |  | (4,086 | ) |  |  | (5,170 | ) |  |  | (7,479 | ) |  |  | (4,247 | ) |  |  | (786 | ) |  |  | (779 | )
Forwards |  |  | (762 | ) |  |  | 1.2 |  |  |  | (762 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Credit derivatives |  |  | (198 | ) |  |  | 0.3 |  |  |  | — |  |  |  | — |  |  |  | (1 | ) |  |  | (1 | ) |  |  | (8 | ) |  |  | (188 | )
NDF - Non Deliverable Forward |  |  | (4,896 | ) |  |  | 7.7 |  |  |  | (739 | ) |  |  | (1,256 | ) |  |  | (565 | ) |  |  | (1,097 | ) |  |  | (822 | ) |  |  | (417 | )
Other Derivative Financial Instruments |  |  | (155 | ) |  |  | 0.2 |  |  |  | (4 | ) |  |  | (2 | ) |  |  | (6 | ) |  |  | (5 | ) |  |  | (36 | ) |  |  | (102 | )
Total |  |  | (63,204 | ) |  |  | 100.0 |  |  |  | (7,153 | ) |  |  | (7,066 | ) |  |  | (9,108 | ) |  |  | (7,625 | ) |  |  | (8,596 | ) |  |  | (23,656 | )
% per maturity date |  |  |  |  |  |  |  |  |  |  | 11.3 |  |  |  | 11.2 |  |  |  | 14.4 |  |  |  | 12.1 |  |  |  | 13.6 |  |  |  | 37.4 |
(*) | Comprises R$ (1,102) (R$ (621) at 12/31/2020) pegged to Libor.
See below the composition of the Derivative financial instruments portfolio (assets and liabilities) by type of instrument, stated fair value and maturity date.
|  | 12/31/2020 |
|  | Fair value (*) |  |  | % |  |  | 0-30 |  |  | 31-90 |  |  | 91-180 |  |  | 181-365 |  |  | 366-720 |  |  | Over 720 days |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps – adjustment receivable |  |  | 46,019 |  |  |  | 60.2 |  |  |  | 4,064 |  |  |  | 515 |  |  |  | 629 |  |  |  | 1,808 |  |  |  | 5,117 |  |  |  | 33,886 |
Option agreements |  |  | 20,418 |  |  |  | 26.7 |  |  |  | 10,103 |  |  |  | 2,325 |  |  |  | 523 |  |  |  | 5,935 |  |  |  | 992 |  |  |  | 540 |
Forwards |  |  | 2,085 |  |  |  | 2.7 |  |  |  | 1,323 |  |  |  | 367 |  |  |  | 297 |  |  |  | 93 |  |  |  | 5 |  |  |  | — |
Credit derivatives |  |  | 156 |  |  |  | 0.2 |  |  |  | — |  |  |  | — |  |  |  | 8 |  |  |  | 7 |  |  |  | 29 |  |  |  | 112 |
NDF - Non Deliverable Forward |  |  | 7,596 |  |  |  | 9.9 |  |  |  | 2,088 |  |  |  | 2,345 |  |  |  | 1,387 |  |  |  | 1,255 |  |  |  | 323 |  |  |  | 198 |
Other Derivative Financial Instruments |  |  | 230 |  |  |  | 0.3 |  |  |  | 56 |  |  |  | 1 |  |  |  | 6 |  |  |  | 1 |  |  |  | 12 |  |  |  | 154 |
Total |  |  | 76,504 |  |  |  | 100.0 |  |  |  | 17,634 |  |  |  | 5,553 |  |  |  | 2,850 |  |  |  | 9,099 |  |  |  | 6,478 |  |  |  | 34,890 |
% per maturity date |  |  |  |  |  |  |  |  |  |  | 23.0 |  |  |  | 7.3 |  |  |  | 3.7 |  |  |  | 11.9 |  |  |  | 8.5 |  |  |  | 45.6 |
|  | 12/31/2020 |
|  | Fair value (*) |  |  | % |  |  | 0-30 |  |  | 31-90 |  |  | 91-180 |  |  | 181-365 |  |  | 366-720 |  |  | Over 720 days |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps – adjustment payable |  |  | (51,789 | ) |  |  | 65.1 |  |  |  | (7,344 | ) |  |  | (651 | ) |  |  | (1,135 | ) |  |  | (1,826 | ) |  |  | (5,573 | ) |  |  | (35,260 | )
Option agreements |  |  | (20,262 | ) |  |  | 25.5 |  |  |  | (6,355 | ) |  |  | (1,969 | ) |  |  | (543 | ) |  |  | (9,869 | ) |  |  | (998 | ) |  |  | (528 | )
Forwards |  |  | (905 | ) |  |  | 1.1 |  |  |  | (892 | ) |  |  | — |  |  |  | (11 | ) |  |  | (2 | ) |  |  | — |  |  |  | — |
Credit derivatives |  |  | (76 | ) |  |  | 0.1 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (2 | ) |  |  | (9 | ) |  |  | (65 | )
NDF - Non Deliverable Forward |  |  | (6,426 | ) |  |  | 8.1 |  |  |  | (2,200 | ) |  |  | (1,669 | ) |  |  | (1,013 | ) |  |  | (972 | ) |  |  | (301 | ) |  |  | (271 | )
Other Derivative Financial Instruments |  |  | (47 | ) |  |  | 0.1 |  |  |  | — |  |  |  | (1 | ) |  |  | (10 | ) |  |  | (1 | ) |  |  | (14 | ) |  |  | (21 | )
Total |  |  | (79,505 | ) |  |  | 100.0 |  |  |  | (16,791 | ) |  |  | (4,290 | ) |  |  | (2,712 | ) |  |  | (12,672 | ) |  |  | (6,895 | ) |  |  | (36,145 | )
% per maturity date |  |  |  |  |  |  |  |  |  |  | 21.1 |  |  |  | 5.4 |  |  |  | 3.4 |  |  |  | 15.9 |  |  |  | 8.7 |  |  |  | 45.5 |
(*) | In the period, the result of Derivative had its amounts affected by oscillations of rates and other market variables arising from the impact of the COVID-19 pandemic on the macroeconomic scenario in the period (Note 33a).
II - Derivatives by index and Risk Fator
|  | Off-balance sheet notional amount |  |  | Balance sheet account receivable / (received) (payable) / paid |  |  | Adjustment to fair value (in income / stockholders’ equity) |  |  | Fair value |
|  | 12/31/2021 |  |  | 12/31/2021 |  |  | 12/31/2021 |  |  | 12/31/2021 |
Future contracts |  |  | 857,781 |  |  |  | — |  |  |  | — |  |  |  | — |
Purchase commitments |  |  | 470,895 |  |  |  | — |  |  |  | — |  |  |  | — |
Shares |  |  | 14,627 |  |  |  | — |  |  |  | — |  |  |  | — |
Commodities |  |  | 703 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 429,862 |  |  |  | — |  |  |  | — |  |  |  | — |
Foreign currency |  |  | 25,703 |  |  |  | — |  |  |  | — |  |  |  | — |
Commitments to sell |  |  | 386,886 |  |  |  | — |  |  |  | — |  |  |  | — |
Shares |  |  | 14,181 |  |  |  | — |  |  |  | — |  |  |  | — |
Commodities |  |  | 3,308 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 342,575 |  |  |  | — |  |  |  | — |  |  |  | — |
Foreign currency |  |  | 26,822 |  |  |  | — |  |  |  | — |  |  |  | — |
Swap contracts |  |  |  |  |  |  | (1,861 | ) |  |  | 5,229 |  |  |  | 3,368 |
Asset position |  |  | 1,338,457 |  |  |  | 13,410 |  |  |  | 24,604 |  |  |  | 38,014 |
Commodities |  |  | 2 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 1,318,082 |  |  |  | 10,339 |  |  |  | 23,835 |  |  |  | 34,174 |
Foreign currency |  |  | 20,373 |  |  |  | 3,071 |  |  |  | 769 |  |  |  | 3,840 |
Liability position |  |  | 1,338,457 |  |  |  | (15,271 | ) |  |  | (19,375 | ) |  |  | (34,646 | )
Shares |  |  | 497 |  |  |  | (37 | ) |  |  | (3 | ) |  |  | (40 | )
Commodities |  |  | 130 |  |  |  | — |  |  |  | (1 | ) |  |  | (1 | )
Interest |  |  | 1,309,778 |  |  |  | (13,331 | ) |  |  | (19,377 | ) |  |  | (32,708 | )
Foreign currency |  |  | 28,052 |  |  |  | (1,903 | ) |  |  | 6 |  |  |  | (1,897 | )
Option contracts |  |  | 1,621,736 |  |  |  | 154 |  |  |  | (1,449 | ) |  |  | (1,295 | )
Purchase commitments – long position |  |  | 145,412 |  |  |  | 17,981 |  |  |  | 1,496 |  |  |  | 19,477 |
Shares |  |  | 11,929 |  |  |  | 521 |  |  |  | 1,140 |  |  |  | 1,661 |
Commodities |  |  | 471 |  |  |  | 20 |  |  |  | 20 |  |  |  | 40 |
Interest |  |  | 63,697 |  |  |  | 127 |  |  |  | 98 |  |  |  | 225 |
Foreign currency |  |  | 69,315 |  |  |  | 17,313 |  |  |  | 238 |  |  |  | 17,551 |
Commitments to sell – long position |  |  | 668,380 |  |  |  | 2,433 |  |  |  | (658 | ) |  |  | 1,775 |
Shares |  |  | 18,928 |  |  |  | 878 |  |  |  | 339 |  |  |  | 1,217 |
Commodities |  |  | 306 |  |  |  | 9 |  |  |  | (3 | ) |  |  | 6 |
Interest |  |  | 582,086 |  |  |  | 154 |  |  |  | (148 | ) |  |  | 6 |
Foreign currency |  |  | 67,060 |  |  |  | 1,392 |  |  |  | (846 | ) |  |  | 546 |
Purchase commitments – short position |  |  | 79,734 |  |  |  | (17,595 | ) |  |  | (2,781 | ) |  |  | (20,376 | )
Shares |  |  | 14,045 |  |  |  | (348 | ) |  |  | (1,185 | ) |  |  | (1,533 | )
Commodities |  |  | 274 |  |  |  | (8 | ) |  |  | (1 | ) |  |  | (9 | )
Interest |  |  | 3,284 |  |  |  | (68 | ) |  |  | (48 | ) |  |  | (116 | )
Foreign currency |  |  | 62,131 |  |  |  | (17,171 | ) |  |  | (1,547 | ) |  |  | (18,718 | )
Commitments to sell – short position |  |  | 728,210 |  |  |  | (2,665 | ) |  |  | 494 |  |  |  | (2,171 | )
Shares |  |  | 16,545 |  |  |  | (648 | ) |  |  | (368 | ) |  |  | (1,016 | )
Commodities |  |  | 266 |  |  |  | (19 | ) |  |  | 11 |  |  |  | (8 | )
Interest |  |  | 642,475 |  |  |  | (227 | ) |  |  | 211 |  |  |  | (16 | )
Foreign currency |  |  | 68,924 |  |  |  | (1,771 | ) |  |  | 640 |  |  |  | (1,131 | )
Forward operations |  |  | 26,129 |  |  |  | 2,362 |  |  |  | (13 | ) |  |  | 2,349 |
Purchases receivable |  |  | 1,016 |  |  |  | 1,186 |  |  |  | (27 | ) |  |  | 1,159 |
Shares |  |  | 948 |  |  |  | 948 |  |  |  | (27 | ) |  |  | 921 |
Interest |  |  | 68 |  |  |  | 238 |  |  |  | — |  |  |  | 238 |
Purchases payable obligations |  |  | — |  |  |  | (68 | ) |  |  | — |  |  |  | (68 | )
Interest |  |  | — |  |  |  | (68 | ) |  |  | — |  |  |  | (68 | )
Sales receivable |  |  | 20,765 |  |  |  | 1,938 |  |  |  | 14 |  |  |  | 1,952 |
Shares |  |  | 1,258 |  |  |  | 1,244 |  |  |  | (1 | ) |  |  | 1,243 |
Interest |  |  | — |  |  |  | 694 |  |  |  | — |  |  |  | 694 |
Foreign currency |  |  | 19,507 |  |  |  | — |  |  |  | 15 |  |  |  | 15 |
Sales deliverable obligations |  |  | 4,348 |  |  |  | (694 | ) |  |  | — |  |  |  | (694 | )
Interest |  |  | 694 |  |  |  | (694 | ) |  |  | — |  |  |  | (694 | )
Foreign currency |  |  | 3,654 |  |  |  | — |  |  |  | — |  |  |  | — |
Credit derivatives |  |  | 21,556 |  |  |  | (532 | ) |  |  | 576 |  |  |  | 44 |
Asset position |  |  | 13,414 |  |  |  | (271 | ) |  |  | 513 |  |  |  | 242 |
Shares |  |  | 1,784 |  |  |  | (37 | ) |  |  | 101 |  |  |  | 64 |
Commodities |  |  | 18 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 11,612 |  |  |  | (234 | ) |  |  | 412 |  |  |  | 178 |
Liability position |  |  | 8,142 |  |  |  | (261 | ) |  |  | 63 |  |  |  | (198 | )
Shares |  |  | 1,865 |  |  |  | (63 | ) |  |  | 17 |  |  |  | (46 | )
Interest |  |  | 6,277 |  |  |  | (198 | ) |  |  | 46 |  |  |  | (152 | )
NDF – Non Deliverable Forward |  |  | 278,531 |  |  |  | 239 |  |  |  | 808 |  |  |  | 1,047 |
Asset position |  |  | 144,123 |  |  |  | 5,256 |  |  |  | 687 |  |  |  | 5,943 |
Shares |  |  | 5 |  |  |  | — |  |  |  | — |  |  |  | — |
Commodities |  |  | 2,489 |  |  |  | 478 |  |  |  | (1 | ) |  |  | 477 |
Foreign currency |  |  | 141,629 |  |  |  | 4,778 |  |  |  | 688 |  |  |  | 5,466 |
Liability position |  |  | 134,408 |  |  |  | (5,017 | ) |  |  | 121 |  |  |  | (4,896 | )
Commodities |  |  | 1,104 |  |  |  | (50 | ) |  |  | 3 |  |  |  | (47 | )
Foreign currency |  |  | 133,304 |  |  |  | (4,967 | ) |  |  | 118 |  |  |  | (4,849 | )
Other derivative financial instruments |  |  | 6,064 |  |  |  | 25 |  |  |  | 303 |  |  |  | 328 |
Asset position |  |  | 5,132 |  |  |  | 164 |  |  |  | 319 |  |  |  | 483 |
Shares |  |  | 202 |  |  |  | — |  |  |  | 8 |  |  |  | 8 |
Interest |  |  | 4,869 |  |  |  | 161 |  |  |  | 29 |  |  |  | 190 |
Foreign currency |  |  | 61 |  |  |  | 3 |  |  |  | 282 |  |  |  | 285 |
Liability position |  |  | 932 |  |  |  | (139 | ) |  |  | (16 | ) |  |  | (155 | )
Shares |  |  | 576 |  |  |  | (9 | ) |  |  | (12 | ) |  |  | (21 | )
Interest |  |  | 347 |  |  |  | (130 | ) |  |  | (3 | ) |  |  | (133 | )
Foreign currency |  |  | 9 |  |  |  | — |  |  |  | (1 | ) |  |  | (1 | )
|  |  | Asset |  |  |  | 42,097 |  |  |  | 26,948 |  |  |  | 69,045 |
|  |  | Liability |  |  |  | (41,710 | ) |  |  | (21,494 | ) |  |  | (63,204 | )
|  |  | Total |  |  |  | 387 |  |  |  | 5,454 |  |  |  | 5,841 |
Derivative contracts mature as follows (in days):
Off-balance sheet – notional amount (*) |  | 0 - 30 |  |  | 31 - 180 |  |  | 181 - 365 |  |  | Over 365 days |  |  | 12/31/2021 |
Future contracts |  |  | 370,243 |  |  |  | 248,922 |  |  |  | 74,456 |  |  |  | 164,160 |  |  |  | 857,781 |
Swap contracts |  |  | 131,681 |  |  |  | 155,022 |  |  |  | 121,040 |  |  |  | 930,714 |  |  |  | 1,338,457 |
Option contracts |  |  | 1,230,470 |  |  |  | 268,254 |  |  |  | 45,731 |  |  |  | 77,281 |  |  |  | 1,621,736 |
Forwards |  |  | 3,173 |  |  |  | 13,402 |  |  |  | 9,551 |  |  |  | 3 |  |  |  | 26,129 |
Credit derivatives |  |  | — |  |  |  | 6,602 |  |  |  | 826 |  |  |  | 14,128 |  |  |  | 21,556 |
NDF - Non Deliverable Forward |  |  | 77,962 |  |  |  | 113,359 |  |  |  | 48,091 |  |  |  | 39,119 |  |  |  | 278,531 |
Other derivative financial instruments |  |  | 199 |  |  |  | 739 |  |  |  | 624 |  |  |  | 4,502 |  |  |  | 6,064 |
(*) | Comprises R$ 289,252 (R$ 353,672 at 12/31/2020) pegged to Libor.
|  | Off-balance sheet notional amount |  |  | Balance sheet account receivable / (received) (payable) / paid |  |  | Adjustment to fair value (in income / stockholders’ equity) |  |  | Fair value |
|  | 12/31/2020 |  |  | 12/31/2020 |  |  | 12/31/2020 |  |  | 12/31/2020 |
Future contracts |  |  | 781,453 |  |  |  | — |  |  |  | — |  |  |  | — |
Purchase commitments |  |  | 338,165 |  |  |  | — |  |  |  | — |  |  |  | — |
Shares |  |  | 8,300 |  |  |  | — |  |  |  | — |  |  |  | — |
Commodities |  |  | 1,170 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 304,454 |  |  |  | — |  |  |  | — |  |  |  | — |
Foreign currency |  |  | 24,241 |  |  |  | — |  |  |  | — |  |  |  | — |
Commitments to sell |  |  | 443,288 |  |  |  | — |  |  |  | — |  |  |  | — |
Shares |  |  | 7,535 |  |  |  | — |  |  |  | — |  |  |  | — |
Commodities |  |  | 2,201 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 397,157 |  |  |  | — |  |  |  | — |  |  |  | — |
Foreign currency |  |  | 36,395 |  |  |  | — |  |  |  | — |  |  |  | — |
Swap contracts |  |  |  |  |  |  | (6,054 | ) |  |  | 284 |  |  |  | (5,770 | )
Asset position |  |  | 1,442,449 |  |  |  | 16,840 |  |  |  | 29,179 |  |  |  | 46,019 |
Commodities |  |  | 278 |  |  |  | 1 |  |  |  | — |  |  |  | 1 |
Interest |  |  | 1,423,134 |  |  |  | 14,030 |  |  |  | 27,953 |  |  |  | 41,983 |
Foreign currency |  |  | 19,037 |  |  |  | 2,809 |  |  |  | 1,226 |  |  |  | 4,035 |
Liability position |  |  | 1,442,449 |  |  |  | (22,894 | ) |  |  | (28,895 | ) |  |  | (51,789 | )
Shares |  |  | 108 |  |  |  | (12 | ) |  |  | 2 |  |  |  | (10 | )
Commodities |  |  | 341 |  |  |  | (9 | ) |  |  | — |  |  |  | (9 | )
Interest |  |  | 1,425,904 |  |  |  | (19,112 | ) |  |  | (28,584 | ) |  |  | (47,696 | )
Foreign currency |  |  | 16,096 |  |  |  | (3,761 | ) |  |  | (313 | ) |  |  | (4,074 | )
Option contracts |  |  | 1,738,849 |  |  |  | 22 |  |  |  | 134 |  |  |  | 156 |
Purchase commitments – long position |  |  | 131,134 |  |  |  | 14,538 |  |  |  | 1,828 |  |  |  | 16,366 |
Shares |  |  | 12,400 |  |  |  | 345 |  |  |  | 976 |  |  |  | 1,321 |
Commodities |  |  | 356 |  |  |  | 14 |  |  |  | 13 |  |  |  | 27 |
Interest |  |  | 50,771 |  |  |  | 614 |  |  |  | (282 | ) |  |  | 332 |
Foreign currency |  |  | 67,607 |  |  |  | 13,565 |  |  |  | 1,121 |  |  |  | 14,686 |
Commitments to sell – long position |  |  | 743,573 |  |  |  | 2,933 |  |  |  | 1,119 |  |  |  | 4,052 |
Shares |  |  | 14,659 |  |  |  | 728 |  |  |  | 62 |  |  |  | 790 |
Commodities |  |  | 75 |  |  |  | 2 |  |  |  | (1 | ) |  |  | 1 |
Interest |  |  | 659,826 |  |  |  | 1,087 |  |  |  | 1,373 |  |  |  | 2,460 |
Foreign currency |  |  | 69,013 |  |  |  | 1,116 |  |  |  | (315 | ) |  |  | 801 |
Purchase commitments – short position |  |  | 129,150 |  |  |  | (13,934 | ) |  |  | (1,797 | ) |  |  | (15,731 | )
Shares |  |  | 13,080 |  |  |  | (348 | ) |  |  | (1,119 | ) |  |  | (1,467 | )
Commodities |  |  | 899 |  |  |  | (28 | ) |  |  | (18 | ) |  |  | (46 | )
Interest |  |  | 55,369 |  |  |  | (532 | ) |  |  | 318 |  |  |  | (214 | )
Foreign currency |  |  | 59,802 |  |  |  | (13,026 | ) |  |  | (978 | ) |  |  | (14,004 | )
Commitments to sell – short position |  |  | 734,992 |  |  |  | (3,515 | ) |  |  | (1,016 | ) |  |  | (4,531 | )
Shares |  |  | 13,200 |  |  |  | (524 | ) |  |  | (156 | ) |  |  | (680 | )
Commodities |  |  | 246 |  |  |  | (10 | ) |  |  | 6 |  |  |  | (4 | )
Interest |  |  | 653,376 |  |  |  | (978 | ) |  |  | (1,317 | ) |  |  | (2,295 | )
Foreign currency |  |  | 68,170 |  |  |  | (2,003 | ) |  |  | 451 |  |  |  | (1,552 | )
Forward operations |  |  | 23,989 |  |  |  | 1,195 |  |  |  | (15 | ) |  |  | 1,180 |
Purchases receivable |  |  | 18,666 |  |  |  | 1,014 |  |  |  | (3 | ) |  |  | 1,011 |
Shares |  |  | 304 |  |  |  | 304 |  |  |  | (3 | ) |  |  | 301 |
Interest |  |  | 584 |  |  |  | 710 |  |  |  | — |  |  |  | 710 |
Foreign currency |  |  | 17,778 |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases payable obligations |  |  | — |  |  |  | (584 | ) |  |  | — |  |  |  | (584 | )
Interest |  |  | — |  |  |  | (584 | ) |  |  | — |  |  |  | (584 | )
Sales receivable |  |  | 1,132 |  |  |  | 1,073 |  |  |  | 1 |  |  |  | 1,074 |
Shares |  |  | 770 |  |  |  | 765 |  |  |  | 1 |  |  |  | 766 |
Interest |  |  | — |  |  |  | 308 |  |  |  | — |  |  |  | 308 |
Foreign currency |  |  | 362 |  |  |  | — |  |  |  | — |  |  |  | — |
Sales deliverable obligations |  |  | 4,191 |  |  |  | (308 | ) |  |  | (13 | ) |  |  | (321 | )
Interest |  |  | 308 |  |  |  | (308 | ) |  |  | — |  |  |  | (308 | )
Foreign currency |  |  | 3,883 |  |  |  | — |  |  |  | (13 | ) |  |  | (13 | )
Credit derivatives |  |  | 20,060 |  |  |  | (432 | ) |  |  | 512 |  |  |  | 80 |
Asset position |  |  | 15,877 |  |  |  | (270 | ) |  |  | 426 |  |  |  | 156 |
Shares |  |  | 2,796 |  |  |  | (84 | ) |  |  | 172 |  |  |  | 88 |
Commodities |  |  | 19 |  |  |  | — |  |  |  | 1 |  |  |  | 1 |
Interest |  |  | 13,062 |  |  |  | (186 | ) |  |  | 253 |  |  |  | 67 |
Liability position |  |  | 4,183 |  |  |  | (162 | ) |  |  | 86 |  |  |  | (76 | )
Shares |  |  | 1,154 |  |  |  | (45 | ) |  |  | 11 |  |  |  | (34 | )
Commodities |  |  | 3 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest |  |  | 3,026 |  |  |  | (117 | ) |  |  | 75 |  |  |  | (42 | )
NDF – Non Deliverable Forward |  |  | 313,463 |  |  |  | 1,214 |  |  |  | (44 | ) |  |  | 1,170 |
Asset position |  |  | 156,542 |  |  |  | 7,467 |  |  |  | 129 |  |  |  | 7,596 |
Commodities |  |  | 1,715 |  |  |  | 278 |  |  |  | (16 | ) |  |  | 262 |
Foreign currency |  |  | 154,827 |  |  |  | 7,189 |  |  |  | 145 |  |  |  | 7,334 |
Liability position |  |  | 156,921 |  |  |  | (6,253 | ) |  |  | (173 | ) |  |  | (6,426 | )
Commodities |  |  | 975 |  |  |  | (37 | ) |  |  | (1 | ) |  |  | (38 | )
Foreign currency |  |  | 155,946 |  |  |  | (6,216 | ) |  |  | (172 | ) |  |  | (6,388 | )
Other derivative financial instruments |  |  | 6,413 |  |  |  | 181 |  |  |  | 2 |  |  |  | 183 |
Asset position |  |  | 5,274 |  |  |  | 196 |  |  |  | 34 |  |  |  | 230 |
Shares |  |  | 47 |  |  |  | (3 | ) |  |  | 3 |  |  |  | — |
Interest |  |  | 5,225 |  |  |  | 199 |  |  |  | (26 | ) |  |  | 173 |
Foreign currency |  |  | 2 |  |  |  | — |  |  |  | 57 |  |  |  | 57 |
Liability position |  |  | 1,139 |  |  |  | (15 | ) |  |  | (32 | ) |  |  | (47 | )
Shares |  |  | 705 |  |  |  | (6 | ) |  |  | (22 | ) |  |  | (28 | )
Interest |  |  | 434 |  |  |  | (9 | ) |  |  | (10 | ) |  |  | (19 | )
|  |  | Asset |  |  |  | 43,791 |  |  |  | 32,713 |  |  |  | 76,504 |
|  |  | Liability |  |  |  | (47,665 | ) |  |  | (31,840 | ) |  |  | (79,505 | )
|  |  | Total |  |  |  | (3,874 | ) |  |  | 873 |  |  |  | (3,001 | )
Derivative contracts mature as follows (in days):
Off-balance sheet – notional amount |  | 0 - 30 |  |  | 31 - 180 |  |  | 181 - 365 |  |  | Over 365 days |  |  | 12/31/2020 |
Future contracts |  |  | 305,076 |  |  |  | 242,842 |  |  |  | 108,338 |  |  |  | 125,197 |  |  |  | 781,453 |
Swap contracts |  |  | 272,932 |  |  |  | 123,360 |  |  |  | 118,617 |  |  |  | 927,540 |  |  |  | 1,442,449 |
Option contracts |  |  | 1,012,965 |  |  |  | 216,425 |  |  |  | 250,966 |  |  |  | 258,493 |  |  |  | 1,738,849 |
Forwards |  |  | 19,013 |  |  |  | 3,999 |  |  |  | 972 |  |  |  | 5 |  |  |  | 23,989 |
Credit derivatives |  |  | — |  |  |  | 8,515 |  |  |  | 804 |  |  |  | 10,741 |  |  |  | 20,060 |
NDF - Non Deliverable Forward |  |  | 131,205 |  |  |  | 124,470 |  |  |  | 38,006 |  |  |  | 19,782 |  |  |  | 313,463 |
Other derivative financial instruments |  |  | 15 |  |  |  | 709 |  |  |  | 279 |  |  |  | 5,410 |  |  |  | 6,413 |
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.
|  | 12/31/2021 |
| Future contracts |  |  | Swap contracts |  |  | Option contracts |  |  | Forwards |  |  | Credit derivatives |  |  | NDF - Non Deliverable Forward |  |  | Other derivative financial instruments |
Stock exchange |  |  | 857,781 |  |  |  | 817,629 |  |  |  | 1,530,730 |  |  |  | 25,368 |  |  |  | 7,535 |  |  |  | 65,035 |  |  |  | — |
Over-the-counter market |  |  | — |  |  |  | 520,828 |  |  |  | 91,006 |  |  |  | 761 |  |  |  | 14,021 |  |  |  | 213,496 |  |  |  | 6,064 |
Financial institutions |  |  | — |  |  |  | 413,651 |  |  |  | 57,540 |  |  |  | 761 |  |  |  | 14,021 |  |  |  | 76,415 |  |  |  | 4,861 |
Companies |  |  | — |  |  |  | 103,758 |  |  |  | 32,415 |  |  |  | — |  |  |  | — |  |  |  | 136,270 |  |  |  | 1,200 |
Individuals |  |  | — |  |  |  | 3,419 |  |  |  | 1,051 |  |  |  | — |  |  |  | — |  |  |  | 811 |  |  |  | 3 |
Total |  |  | 857,781 |  |  |  | 1,338,457 |  |  |  | 1,621,736 |  |  |  | 26,129 |  |  |  | 21,556 |  |  |  | 278,531 |  |  |  | 6,064 |
|  | 12/31/2020 |
| Future contracts |  |  | Swap contracts |  |  | Option contracts |  |  | Forwards |  |  | Credit derivatives |  |  | NDF - Non Deliverable Forward |  |  | Other derivative financial instruments |
Stock exchange |  |  | 781,453 |  |  |  | 835,744 |  |  |  | 1,617,643 |  |  |  | 23,097 |  |  |  | 3,743 |  |  |  | 67,887 |  |  |  | — |
Over-the-counter market |  |  | — |  |  |  | 606,705 |  |  |  | 121,206 |  |  |  | 892 |  |  |  | 16,317 |  |  |  | 245,576 |  |  |  | 6,413 |
Financial institutions |  |  | — |  |  |  | 531,303 |  |  |  | 84,865 |  |  |  | 892 |  |  |  | 16,317 |  |  |  | 124,124 |  |  |  | 5,140 |
Companies |  |  | — |  |  |  | 69,337 |  |  |  | 35,021 |  |  |  | — |  |  |  | — |  |  |  | 120,476 |  |  |  | 1,273 |
Individuals |  |  | — |  |  |  | 6,065 |  |  |  | 1,320 |  |  |  | — |  |  |  | — |  |  |  | 976 |  |  |  | — |
Total |  |  | 781,453 |  |  |  | 1,442,449 |  |  |  | 1,738,849 |  |  |  | 23,989 |  |  |  | 20,060 |  |  |  | 313,463 |  |  |  | 6,413 |
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 a credit derivative in which, upon a default related to the reference entity, the protection buyer is entitled to receive, 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 reference entity’s debt instrument in order to receive the amounts due when a credit event occurs, as per the terms of the CDS contract. 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.
|  | 12/31/2021 |
|  | 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 |  |  | 9,837 |  |  |  | 1,681 |  |  |  | 3,566 |  |  |  | 4,590 |  |  |  | — |
TRS |  |  | 5,610 |  |  |  | 5,610 |  |  |  | — |  |  |  | — |  |  |  | — |
Total by instrument |  |  | 15,447 |  |  |  | 7,291 |  |  |  | 3,566 |  |  |  | 4,590 |  |  |  | — |
By risk rating |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment grade |  |  | 516 |  |  |  | 194 |  |  |  | 253 |  |  |  | 69 |  |  |  | — |
Below investment grade |  |  | 14,931 |  |  |  | 7,097 |  |  |  | 3,313 |  |  |  | 4,521 |  |  |  | — |
Total by risk |  |  | 15,447 |  |  |  | 7,291 |  |  |  | 3,566 |  |  |  | 4,590 |  |  |  | — |
By reference entity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Brazilian government |  |  | 11,882 |  |  |  | 6,144 |  |  |  | 1,792 |  |  |  | 3,946 |  |  |  | — |
Governments – abroad |  |  | 196 |  |  |  | 33 |  |  |  | 102 |  |  |  | 61 |  |  |  | — |
Private entities |  |  | 3,369 |  |  |  | 1,114 |  |  |  | 1,672 |  |  |  | 583 |  |  |  | — |
Total by entity |  |  | 15,447 |  |  |  | 7,291 |  |  |  | 3,566 |  |  |  | 4,590 |  |  |  | — |
|  | 12/31/2020 |
|  | 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 |  |  | 8,501 |  |  |  | 1,181 |  |  |  | 3,928 |  |  |  | 3,372 |  |  |  | 20 |
TRS |  |  | 7,854 |  |  |  | 7,854 |  |  |  | — |  |  |  | — |  |  |  | — |
Total by instrument |  |  | 16,355 |  |  |  | 9,035 |  |  |  | 3,928 |  |  |  | 3,372 |  |  |  | 20 |
By risk rating |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment grade |  |  | 752 |  |  |  | 296 |  |  |  | 372 |  |  |  | 84 |  |  |  | — |
Below investment grade |  |  | 15,603 |  |  |  | 8,739 |  |  |  | 3,556 |  |  |  | 3,288 |  |  |  | 20 |
Total by risk |  |  | 16,355 |  |  |  | 9,035 |  |  |  | 3,928 |  |  |  | 3,372 |  |  |  | 20 |
By reference entity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Brazilian government |  |  | 12,433 |  |  |  | 8,255 |  |  |  | 1,627 |  |  |  | 2,551 |  |  |  | — |
Governments – abroad |  |  | 243 |  |  |  | 66 |  |  |  | 122 |  |  |  | 55 |  |  |  | — |
Private entities |  |  | 3,679 |  |  |  | 714 |  |  |  | 2,179 |  |  |  | 766 |  |  |  | 20 |
Total by entity |  |  | 16,355 |  |  |  | 9,035 |  |  |  | 3,928 |  |  |  | 3,372 |  |  |  | 20 |
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.
|  | 12/31/2021 |
|  | Notional amount of credit protection sold |  |  | Notional amount of credit protection purchased with identical underlying amount |  |  | Net position |
CDS |  |  | (9,837 | ) |  |  | 6,109 |  |  |  | (3,728 | )
TRS |  |  | (5,610 | ) |  |  | — |  |  |  | (5,610 | )
Total |  |  | (15,447 | ) |  |  | 6,109 |  |  |  | (9,338 | )
|  | 12/31/2020 |
|  | Notional amount of credit protection sold |  |  | Notional amount of credit protection purchased with identical underlying amount |  |  | Net position |
CDS |  |  | (8,501 | ) |  |  | 3,705 |  |  |  | (4,796 | )
TRS |  |  | (7,854 | ) |  |  | — |  |  |  | (7,854 | )
Total |  |  | (16,355 | ) |  |  | 3,705 |  |  |  | (12,650 | )
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:
|  | 12/31/2021 |
|  | 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 |  |  | 169,711 |  |  |  | — |  |  |  | 169,711 |  |  |  | (3,649 | ) |  |  | — |  |  |  | 166,062 |
Derivatives financial instruments |  |  | 69,045 |  |  |  | — |  |  |  | 69,045 |  |  |  | (14,517 | ) |  |  | (217 | ) |  |  | 54,311 |
|  | 12/31/2020 |
|  | 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 |  |  | 239,935 |  |  |  | — |  |  |  | 239,935 |  |  |  | (1,657 | ) |  |  | — |  |  |  | 238,278 |
Derivatives financial instruments |  |  | 76,504 |  |  |  | — |  |  |  | 76,504 |  |  |  | (15,621 | ) |  |  | — |  |  |  | 60,883 |
Financial liabilities subject to offsetting, enforceable master netting arrangements and similar agreements:
|  | 12/31/2021 |
|  | Gross amount of recognized financial liabilities (1) |  |  | Gross amount offset in the Balance Sheet |  |  | Net amount of financial liabilities 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 |  |  | 252,848 |  |  |  | — |  |  |  | 252,848 |  |  |  | (39,317 | ) |  |  | — |  |  |  | 213,531 |
Derivatives financial instruments |  |  | 63,204 |  |  |  | — |  |  |  | 63,204 |  |  |  | (14,517 | ) |  |  | — |  |  |  | 48,687 |
|  | 12/31/2020 |
|  | Gross amount of recognized financial liabilities (1) |  |  | Gross amount offset in the Balance Sheet |  |  | Net amount of financial liabilities 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 |  |  | 273,364 |  |  |  | — |  |  |  | 273,364 |  |  |  | (42,161 | ) |  |  | — |  |  |  | 231,203 |
Derivatives financial instruments |  |  | 79,505 |  |  |  | — |  |  |  | 79,505 |  |  |  | (15,621 | ) |  |  | (574 | ) |  |  | 63,310 |
(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 financial instruments 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.

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- Definition The disclosure of derivative financial instruments. [Refer: Derivatives [member]] + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Name IAS -Number 1 -IssueDate 2021-01-01 -Paragraph 10 -Subparagraph e -URI http://eifrs.ifrs.org/eifrs/xifrs-link?type=IAS&num=1&code=ifrs-tx-2021-en-r&anchor=para_10_e&doctype=Standard -URIDate 2021-03-24 + Details
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- References No definition available. + Details
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