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Hedge accounting (Tables) | 12 Months Ended
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Dec. 31, 2022
Hedge Accounting |
Schedule of Each Strategy of Nominal Value and Fair Value Adjustments of Hedge Instruments and Book Value of Hedged Item |
Schedule of Each Strategy of Nominal Value and Fair Value Adjustments of Hedge Instruments and Book Value of Hedged Item |  |  |  |  |  |  |  |
|  | 12/31/2022
|  | Hedged item |  | Hedge instrument
Strategies | Heading | Book Value | Variation in value recognized in Other comprehensive income | Cash flow hedge reserve |  | Notional Amount | Variation in fair value used to calculate hedge ineffectiveness
|  | Assets | Liabilities |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |  |
Hedge of deposits and repurchase agreements | Securities sold under agreements to resell | - | 149,300 | 1,169 | 1,169 |  | 149,210 | 1,222
Hedge of assets transactions | Loans and lease operations and Securities | 6,894 | - | (367) | (367) |  | 63,528 | (367)
Hedge of asset-backed securities under repurchase agreements | Securities purchased under agreements to resell | 52,916 | - | (1,508) | (1,508) |  | 50,848 | (1,508)
Hedge of loan operations | Loans and lease operations | 3,283 | - | (6) | (6) |  | 3,288 | (6)
Hedge of funding | Deposits | - | 6,881 | 86 | 86 |  | 6,967 | 86
Hedge of assets denominated in UF | Securities | 7,871 | - | 16 | 16 |  | 7,853 | 16
Foreign exchange risk |  |  |  |  |  |  |  |
Hedge of highly probable forecast transactions |  | - | 343 | 4 | 191 |  | 343 | 4
Hedge of funding | Deposits | - | 360 | (1) | (1) |  | 359 | (1)
Total |  | 70,964 | 156,884 | (607) | (420) |  | 225,396 | (554)
|  | 12/31/2021
|  | Hedged item |  | Hedge instrument
Strategies | Heading | Book Value | Variation in value recognized in Other comprehensive income | Cash flow hedge reserve |  | Notional Amount | Variation in fair value used to calculate hedge ineffectiveness
|  | Assets | Liabilities |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |  |
Hedge of deposits and repurchase agreements | Securities sold under agreements to resell | - | 39,142 | 1,065 | 1,065 |  | 39,136 | 1,072
Hedge of assets transactions | Loans and lease operations and Securities | 8,621 | - | (409) | (409) |  | 8,213 | (409)
Hedge of asset-backed securities under repurchase agreements | Securities purchased under agreements to resell | 40,526 | - | (1,686) | (1,686) |  | 39,962 | (1,698)
Hedge of loan operations | Loans and lease operations | 131 | - | - | - |  | 131 | 1
Hedge of funding | Deposits | - | 5,749 | 30 | 30 |  | 5,779 | 30
Hedge of assets denominated in UF | Securities | 14,558 | - | (127) | (127) |  | 14,683 | (127)
Foreign exchange risk |  |  |  |  |  |  |  |
Hedge of highly probable forecast transactions |  | 3,508 | - | 185 | 740 |  | 3,508 | 185
Total |  | 67,344 | 44,891 | (942) | (387) |  | 111,412 | (946)
Summary of Hedge Accounting |
Summary of Hedge Accounting |  |  |  |  |  |  |
Hedge Instruments | 12/31/2022
Notional amount | Book Value (1) | 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 |  |  |  |  |  |  |
Futures | 206,586 | 31 | 27 | (653) | (706) | 53 | -
Forward | 10,037 | 136 | 646 | 11 | 11 | - | 1
Swaps | 8,071 | 201 | 11 | 85 | 85 | - | -
Foreign exchange risk |  |  |  |  |  |  |
Futures | 249 | 2 | - | - | - | - | 378
Forward | 94 | - | 1 | 4 | 4 | - | -
Swaps | 359 | 54 | - | (1) | (1) | - | -
Total | 225,396 | 424 | 685 | (554) | (607) | 53 | 379
Hedge Instruments | 12/31/2021
Notional amount | Book Value (1) | 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 |  |  |  |  |  |
Futures | 87,311 | 58 | 24 | (1,035) | (1,030) | (5) | (13)
Forward | 16,830 | 118 | 593 | (118) | (118) | - | -
Swaps | 3,763 | 19 | - | 22 | 21 | 1 | -
Foreign exchange risk |  |  |  |  |
Futures | 3,480 | 252 | - | 185 | 185 | - | -
Forward | 28 | - | - | - | - | - | -
Total | 111,412 | 447 | 617 | (946) | (942) | (4) | (13)
Summary of Hedge Accounting |
Summary of Hedge Accounting |  |  |  |  |  |  |
Strategies | 12/31/2022
Hedged item |  | Hedge instrument
Book Value (2) | Variation in value recognized in Other comprehensive income | Foreign currency conversion reserve |  | Notional amount | Variation in fair value used to calculate hedge ineffectiveness
| Assets | Liabilities |  |  |  |  |
Foreign exchange risk |  |  |  |  |
Hedge of net investment in foreign operations (1) | 8,983 | - | (14,836) | (14,836) |  | 9,933 | (14,996)
Total | 8,983 | - | (14,836) | (14,836) |  | 9,933 | (14,996)
Strategies | 12/31/2021
Hedged item |  | Hedge instrument
Book Value (2) | Variation in value recognized in Other comprehensive income | Foreign currency conversion reserve |  | Notional amount | Variation in fair value used to calculate hedge ineffectiveness
| Assets | Liabilities |  |  |  |  |
Foreign exchange risk |  |  |  |  |
Hedge of net investment in foreign operations (1) | 11,325 | - | (14,701) | (14,701) |  | 15,924 | (14,720)
Total | 11,325 | - | (14,701) | (14,701) |  | 15,924 | (14,720)
1) Hedge instruments consider the gross tax position. 2) Amounts recorded under heading Derivatives.
Summary of Hedge Accounting |
Summary of Hedge Accounting |  |  |  |  |  |  |
Hedge instruments | 12/31/2022
Notional amount | Book Value (1) | Variations in fair value used to calculate hedge ineffectiveness | Variation in the value recognized in Other comprehensive income | Hedge ineffectiveness recognized in income | Amount reclassified from foreign currency conversion reserve into income
|  | Assets | Liabilities |  |  |  |
Foreign exchange risk |  |  |  |  |
Future | 1,673 | - | - | (5,751) | (5,710) | (41) | -
Future / NDF - Non Deliverable Forward | 5,186 | 176 | 126 | (2,521) | (2,411) | (110) | -
Future / Financial Assets | 3,074 | 4,380 | 1,839 | (6,724) | (6,715) | (9) | -
Total | 9,933 | 4,556 | 1,965 | (14,996) | (14,836) | (160) | -
Hedge instruments | 12/31/2021
Notional amount | Book Value (1) | Variations in fair value used to calculate hedge ineffectiveness | Variation in the value recognized in Other comprehensive income | Hedge ineffectiveness recognized in income | Amount reclassified from foreign currency conversion reserve into income
|  | Assets | Liabilities |  |  |  |
Foreign exchange risk |  |  |  |  |
Future | 2,126 | 286 | - | (3,252) | (3,241) | (11) | -
Future / NDF - Non Deliverable Forward | 8,036 | 209 | 95 | (3,534) | (3,529) | (5) | -
Future / Financial Assets | 5,762 | 6,566 | 3,653 | (7,934) | (7,931) | (3) | -
Total | 15,924 | 7,061 | 3,748 | (14,720) | (14,701) | (19) | -
Schedule of the Effect of Hedge Accounting on the Financial Position and Performance |
Schedule of the Effect of Hedge Accounting on the Financial Position and Performance |  |  |  |  |  |  |  |
Strategies | 12/31/2022
Hedge Item |  | Hedge Instruments (2)
Book Value (1) | Fair Value | Variation in fair value recognized in income |  | Notional amount | Variation in fair value used to calculate hedge ineffectiveness
| Assets | Liabilities | Assets | Liabilities |  |  |  |
Interest rate risk |  |  |  |  |  |  |
Hedge of loan operations | 16,031 | - | 15,582 | - | (449) |  | 16,031 | 448
Hedge of funding | - | 14,603 | - | 13,905 | 698 |  | 14,603 | (703)
Hedge of securities | 7,363 | - | 7,134 | - | (229) |  | 7,317 | 225
Total | 23,394 | 14,603 | 22,716 | 13,905 | 20 |  | 37,951 | (30)
Strategies | 12/31/2021
Hedge Item |  | Hedge Instruments (2)
Book Value (1) | Fair Value | Variation in fair value recognized in income |  | Notional amount | Variation in fair value used to calculate hedge ineffectiveness
| Assets | Liabilities | Assets | Liabilities |  |  |  |
Interest rate risk |  |  |  |  |  |  |
Hedge of loan operations | 8,890 | - | 8,917 | - | 27 |  | 8,890 | (28)
Hedge of funding | - | 11,051 | - | 10,661 | 390 |  | 11,051 | (388)
Hedge of securities | 3,162 | - | 3,128 | - | (34) |  | 2,885 | 29
Total | 12,052 | 11,051 | 12,045 | 10,661 | 383 |  | 22,826 | (387)
1) Amounts recorded under heading Deposits, Securities, Funds from Interbank Markets and Loan and Lease Operations. 2) Comprises the amount of R$ 4,349 (R$ 6,422 at 12/31/2021), related to instruments exposed by the change in reference interest rates - IBORs.
Summary of Hedge Accounting |
Summary of Hedge Accounting |  |  |  |  |
Hedge Instruments | 12/31/2022
Notional amount | Book value (1) | Variation in fair value used to calculate hedge ineffectiveness | Hedge ineffectiveness recognized in income
|  | Assets | Liabilities |  |
Interest rate risk |  |  |  |
Swaps | 35,091 | 1,002 | 929 | (49) | (10)
Futures | 2,860 | 4 | - | 19 | -
Total | 37,951 | 1,006 | 929 | (30) | (10)
Hedge Instruments | 12/31/2021
Notional amount | Book value (1) | Variation in fair value used to calculate hedge ineffectiveness | Hedge ineffectiveness recognized in income
|  | Assets | Liabilities |  |
Interest rate risk |  |  |  |
Swaps | 22,826 | 2 | 551 | (387) | (4)
Total | 22,826 | 2 | 551 | (387) | (4)
Schedule of Each Strategy of Nominal Value and Fair Value Adjustments of Hedge Instruments and Book Value of Hedged Item |
Schedule of Each Strategy of Nominal Value and Fair Value Adjustments of Hedge Instruments and Book Value of Hedged Item |  |  |  |  |  |  |
| 12/31/2022 |  | 12/31/2021
Hedge instruments | Hedged item |  | Hedge instruments | Hedged item
Notional amount | Fair value adjustments | Book Value |  | Notional amount | Fair value adjustments | Book Value
Hedge of deposits and repurchase agreements | 149,210 | (27) | 149,300 |  | 39,136 | (24) | 39,142
Hedge of highly probable forecast transactions | 343 | 1 | 343 |  | 3,508 | 252 | 3,508
Hedge of net investment in foreign operations | 9,933 | 2,591 | 8,983 |  | 15,924 | 3,313 | 11,325
Hedge of loan operations (Fair value) | 16,031 | 820 | 16,031 |  | 8,890 | (28) | 8,890
Hedge of loan operations (Cash flow) | 3,288 | (11) | 3,283 |  | 131 | - | 131
Hedge of funding (Fair value) | 14,603 | (762) | 14,603 |  | 11,051 | (388) | 11,051
Hedge of funding (Cash flow) | 7,326 | 391 | 7,241 |  | 5,779 | 137 | 5,749
Hedge of assets transactions | 6,528 | 1 | 6,894 |  | 8,213 | 8 | 8,621
Hedge of asset-backed securities under repurchase agreements | 50,848 | 30 | 52,916 |  | 39,962 | 50 | 40,526
Hedge of assets denominated in UF | 7,853 | (646) | 7,871 |  | 14,683 | (593) | 14,558
Hedge of securities | 7,317 | 19 | 7,363 |  | 2,885 | 29 | 3,162
Total |  | 2,407 |  |  |  | 2,756 |
Breakdown by Maturity of Hedging Strategies |
Breakdown by Maturity of Hedging Strategies |  |  |  |  |  |  |  |
| 12/31/2022
| 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 | 108,499 | 26,120 | 9,110 | - | 4,726 | 755 | - | 149,210
Hedge of highly probable forecast transactions | 343 | - | - | - | - | - | - | 343
Hedge of net investment in foreign operations (1) | 9,933 | - | - | - | - | - | - | 9,933
Hedge of loan operations (Fair value) | 2,351 | 3,395 | 1,244 | 2,539 | 2,749 | 3,753 | - | 16,031
Hedge of loan operations (Cash flow) | - | 1,577 | 1,161 | - | 550 | - | - | 3,288
Hedge of funding (Fair value) | 1,673 | 885 | 1,288 | 3,091 | 579 | 4,981 | 2,106 | 14,603
Hedge of funding (Cash flow) | 5,776 | 578 | - | 675 | - | 297 | - | 7,326
Hedge of assets transactions | - | 6,528 | - | - | - | - | - | 6,528
Hedge of asset-backed securities under repurchase agreements | 16,696 | 9,705 | 22,740 | 1,085 | 622 | - | - | 50,848
Hedge of assets denominated in UF | 7,853 | - | - | - | - | - | - | 7,853
Hedge of securities | 3,215 | 660 | 1,547 | 180 | 346 | 673 | 696 | 7,317
Total | 156,339 | 49,448 | 37,090 | 7,570 | 9,572 | 10,459 | 2,802 | 273,280
| 12/31/2021
| 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 | 1,284 | 9,453 | 14,221 | 7,313 | 5,332 | 1,533 | - | 39,136
Hedge of highly probable forecast transactions | 3,508 | - | - | - | - | - | - | 3,508
Hedge of net investment in foreign operations (1) | 13,888 | - | - | - | - | - | - | 13,888
Hedge of loan operations (Fair value) | 3,377 | 1,522 | 797 | 838 | 809 | 1,547 | - | 8,890
Hedge of loan operations (Cash flow) | 131 | - | - | - | - | - | - | 131
Hedge of funding (Fair value) | 1,206 | 1,072 | 302 | 273 | 2,920 | 3,916 | 1,362 | 11,051
Hedge of funding (Cash flow) | 2,147 | 3,632 | - | - | - | - | - | 5,779
Hedge of assets transactions | 2,198 | - | 6,015 | - | - | - | - | 8,213
Hedge of asset-backed securities under repurchase agreements | 2,322 | 14,963 | 8,976 | 13,098 | - | 603 | - | 39,962
Hedge of assets denominated in UF | 10,148 | 4,535 | - | - | - | - | - | 14,683
Hedge of securities | - | 453 | 56 | 1,520 | 50 | 805 | - | 2,884
Total | 40,209 | 35,630 | 30,367 | 23,042 | 9,111 | 8,404 | 1,362 | 148,125
1) | Classified as current, since instruments are frequently renewed.

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