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Hedge accounting | 12 Months Ended
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Dec. 31, 2024
Hedge Accounting |
Hedge accounting | Note 7 - Hedge accounting The accounting policy on hedge accounting is presented in Note 2c IV. In hedge accounting, the groups of risk factors measured by ITAÚ UNIBANCO HOLDING are: • Interest Rate: Risk of loss in transactions subject to interest rate variations. • Currency: Risk of loss in transactions subject to foreign exchange variation. The structure of risk limits is extended to the risk factor level, where specific limits aim at improving the monitoring and understanding process, as well as avoiding concentration of these risks. The structures designed for interest rate and exchange rate categories take into account partial or total risk when there are compatible hedging instruments. In certain cases, management may decide to hedge a risk for the risk factor term and limit of the hedging instrument. The other risk factors hedged by the institution are shown in Note 32. To protect cash flows and fair value of instruments designated as hedged items, ITAÚ UNIBANCO HOLDING uses derivative financial instruments, financial assets and liabilities. Currently Futures Contracts, NDF (Non Deliverable Forward), Forwards, Swaps and Financial Assets are used. ITAÚ UNIBANCO HOLDING manages risks through the economic relationship between hedging instruments and hedged items, where the expectation is that these instruments will move in opposite directions and in the same proportion, with the purpose of neutralizing risk factors. The designated coverage ratio is always 100% of the risk factor eligible for coverage. Sources of ineffectiveness are in general related to the counterparty’s credit risk and possible mismatches of terms between the hedging instrument and the hedged item. a) Cash flow hedge The cash flow hedge strategies of ITAÚ UNIBANCO HOLDING consist of hedging exposure to variations in cash flows, in interest payment and currency exposure which are attributable to changes in interest rates on recognized and unrecognized assets and liabilities. ITAÚ UNIBANCO HOLDING applies cash flow hedge strategies as follows: Interest rate risks: • Hedge of time deposits and repurchase agreements: to hedge fluctuations in cash flows of interest payments resulting from changes in the DI interest rate, through futures contracts. • Hedge of asset transactions: to hedge fluctuations in cash flows of interest receipts resulting from changes in the DI rate, through futures contracts. • Hedge of assets denominated in UF*: to hedge fluctuations in cash flows of interest receipts resulting from changes in the UF*, through swap contracts. • Hedge of Funding: to hedge fluctuations in cash flows of interest payments resulting from changes in the TPM* rate, through swap contracts. • Hedge of loan operations: to hedge fluctuations in cash flows of interest receipts resulting from changes in the TPM* rate, through swap contracts. • Hedge of repurchase agreements: to hedge fluctuations in cash flows of interest received from changes in Selic (benchmark interest rate), through futures contracts. • Hedging of expected highly probable transactions: to hedge the risk of variation in the amount of the commitments assumed when resulting from variation in the exchange rates. *UF – Chilean unit of account / TPM – Monetary policy rate
Schedule of each strategy of nominal value and fair value adjustments of hedge instruments and book value of hedged Item |  |  |  |  |  |  |  |
Strategies | Heading | 12/31/2024
Hedged item |  | Hedge instrument
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 | - | 110,405 | 2,672 | 2,672 |  | 107,677 | 2,728
Hedge of assets transactions | Loans and lease operations and Securities | 2,420 | - | (155) | (155) |  | 1,966 | (155)
Hedge of asset-backed securities under repurchase agreements | Securities purchased under agreements to resell | 66,795 | - | (3,428) | (3,429) |  | 63,261 | (3,428)
Hedge of loan operations | Loans and lease operations | 10,955 | - | 44 | 59 |  | 10,910 | 44
Hedge of funding | Deposits | - | 9,732 | 3 | (61) |  | 9,735 | 3
Hedge of assets denominated in UF | Securities | 39,842 | - | (54) | (54) |  | 39,894 | (54)
Foreign exchange risk |  |  |  |  |  |  |  |
Hedge of highly probable forecast transactions |  | - | 1,606 | (193) | (90) |  | 1,437 | (193)
Hedge of funding | Deposits | - | 1,176 | (11) | (11) |  | 1,165 | (11)
Total |  | 120,012 | 122,919 | (1,122) | (1,069) |  | 236,045 | (1,066)
Strategies | Heading | 12/31/2023
Hedged item |  | Hedge instrument
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 | - | 119,464 | (1,086) | (1,070) |  | 120,550 | (1,086)
Hedge of assets transactions | Loans and lease operations and Securities | 7,395 | - | (4) | (4) |  | 7,394 | (4)
Hedge of asset-backed securities under repurchase agreements | Securities purchased under agreements to resell | 41,761 | - | 1,132 | 830 |  | 42,570 | 1,132
Hedge of loan operations | Loans and lease operations | 18,449 | - | 185 | 211 |  | 18,265 | 184
Hedge of funding | Deposits | - | 5,993 | (95) | (162) |  | 5,899 | (95)
Hedge of assets denominated in UF | Securities | 10,664 | - | 21 | 21 |  | 10,704 | 21
Foreign exchange risk |  |  |  |  |  |  |  |
Hedge of highly probable forecast transactions |  | - | 1,287 | 35 | 195 |  | 1,323 | 35
Hedge of funding | Deposits | - | 2,300 | (12) | (12) |  | 2,288 | (12)
Total |  | 78,269 | 129,044 | 176 | 9 |  | 208,993 | 175
For strategies of deposits and repurchase agreements to resell, asset transactions and asset-backed securities under repurchase agreements, ITAÚ UNIBANCO HOLDING frequently reestablishes the coverage ratio, since both the hedged item and the instruments change over time. This occurs because they are portfolio strategies that reflect the risk management strategy guidelines approved in the proper authority level. The remaining balance in the reserve of cash flow hedge for which the hedge accounting is no longer applied is R$ 53 (R$ (167) at 12/31/2023).
Schedule of hedge accounting |  |  |  |  |  |  |
Hedge Instruments | 12/31/2024
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 | 172,904 | 76 | 133 | (855) | (911) | 56 | (285)
Forward | 33,218 | - | 132 | (45) | (45) | - | -
Swaps | 27,321 | 106 | 31 | 38 | 38 | - | (59)
Foreign exchange risk |  |  |  |  |  |  |
Futures | 1,186 | 4 | - | (181) | (181) | - | (3)
Forward | 1,416 | 34 | 15 | (23) | (23) | - | -
Total | 236,045 | 220 | 311 | (1,066) | (1,122) | 56 | (347)
Hedge Instruments | 12/31/2023
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 | 170,514 | 53 | 43 | 42 | 42 | - | (168)
Forward | 10,582 | 44 | - | 21 | 21 | - | 4
Swaps | 24,286 | 179 | 101 | 89 | 90 | (1) | (1)
Foreign exchange risk |  |  |  |  |  |  |
Futures | 1,278 | - | 7 | 36 | 36 | - | (9)
Forward | 2,333 | - | 276 | (13) | (13) | - | -
Total | 208,993 | 276 | 427 | 175 | 176 | (1) | (174)
1) | Amounts recorded under heading Derivatives.
b) Hedge of net investment in foreign operations ITAÚ UNIBANCO HOLDING's net investment hedge strategies consist of reducing exposure to foreign exchange variation arising from foreign investments in a foreign currency other than the head office’s functional currency. The risk hedged in this type of strategy is the currency risk.
Schedule of net investment in foreign operations |  |  |  |  |  |  |
Strategies | 12/31/2024
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) | 23,701 | - | (17,404) | (17,404) |  | 19,363 | (17,428)
Total | 23,701 | - | (17,404) | (17,404) |  | 19,363 | (17,428)
Strategies | 12/31/2023
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) | 18,849 | - | (13,986) | (13,986) |  | 19,208 | (14,210)
Total | 18,849 | - | (13,986) | (13,986) |  | 19,208 | (14,210)
1) | Hedge instruments consider the gross tax position.
2) | Amounts recorded under heading Derivatives.
The remaining balance in the reserve of foreign currency conversion, for which the accounting hedge is no longer applied, is R$ (1,462) (R$ (23) at 12/31/2023), with no effect on the result due to the maintenance of investments abroad.
Schedule of hedge instruments |  |  |  |  |  |  |
Hedge instruments | 12/31/2024
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 | 5,234 | 21 | - | (6,093) | (6,053) | (40) | -
Future / NDF - Non Deliverable Forward | 7,933 | 129 | 107 | (2,640) | (2,610) | (30) | (1)
Future / Financial Assets | 6,196 | 6,490 | 1,961 | (8,695) | (8,741) | 46 | -
Total | 19,363 | 6,640 | 2,068 | (17,428) | (17,404) | (24) | (1)
Hedge instruments | 12/31/2023
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 | 2,109 | 10 | - | (5,638) | (5,596) | (42) | 136
Future / NDF - Non Deliverable Forward | 12,539 | 120 | 57 | (4,951) | (4,733) | (218) | (104)
Future / Financial Assets | 4,560 | 5,525 | 350 | (3,621) | (3,657) | 36 | -
Total | 19,208 | 5,655 | 407 | (14,210) | (13,986) | (224) | 32
1) | Amounts recorded under heading Derivatives.
c) Fair value hedge The fair value hedging strategy of ITAÚ UNIBANCO HOLDING consists of hedging the exposure to variation in fair value on the receipt and payment of interest on recognized assets and liabilities. ITAÚ UNIBANCO HOLDING applies fair value hedges as follows: Interest rate risk and Foreign exchange risk: • To protect the risk of variation in the fair value of receipt and payment of interest resulting from variations in the fair value of the variable rates and future foreign exchange rates involved, by contracting swaps and futures. The effects of hedge accounting on the financial position and performance of ITAÚ UNIBANCO HOLDING are presented below:
Schedule of the effect of hedge accounting on the financial position and performance |  |  |  |  |  |  |  |
Strategies | 12/31/2024
Hedge Item |  | Hedge Instruments
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 | 37,116 | - | 37,423 | - | 307 |  | 37,116 | (304)
Hedge of funding | - | 25,287 | - | 25,088 | 199 |  | 25,287 | (199)
Hedge of securities | 38,527 | - | 38,313 | - | (214) |  | 38,743 | 214
Foreign exchange risk |  |  |  |  |  |  |  |
Hedge of firm commitments | - | 90 | - | 112 | (22) |  | 297 | 22
Total | 75,643 | 25,377 | 75,736 | 25,200 | 270 |  | 101,443 | (267)
Strategies | 12/31/2023
Hedge Item |  | Hedge Instruments
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 | 12,592 | - | 12,597 | - | 5 |  | 12,589 | (5)
Hedge of funding | - | 16,304 | - | 16,185 | 119 |  | 16,304 | (120)
Hedge of securities | 25,179 | - | 25,386 | - | 207 |  | 25,105 | (197)
Foreign exchange risk |  |  |  |  |  |  |  |
Hedge of firm commitments | - | 265 | - | 269 | (4) |  | 245 | 4
Total | 37,771 | 16,569 | 37,983 | 16,454 | 327 |  | 54,243 | (318)
1) | Amounts recorded under heading Deposits, Securities, Funds from Interbank Markets and Loan and Lease Operations.
The remaining accumulated amount of fair value hedge adjustments for items that are no longer hedged is R$ (226) (R$ 51 at 12/31/2023), with effect on the result of R$ 8 (R$ 38 at 12/31/2023). For loan operations strategies, the entity reestablishes the coverage ratio, since both the hedged item and the instruments change over time. This occurs because they are portfolio strategies that reflect the risk management strategy guidelines approved in the proper authority level.
Schedule of management strategy guidelines |  |  |  |  |
Hedge Instruments | 12/31/2024
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 | 90,201 | 1,557 | 737 | (328) | 8
Futures | 10,945 | 17 | - | 39 | (5)
Foreign exchange risk |  |  |  |  |
Futures | 297 | - | - | 22 | -
Total | 101,443 | 1,574 | 737 | (267) | 3
Hedge Instruments | 12/31/2023
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 | 45,430 | 893 | 563 | (331) | 7
Futures | 8,568 | 62 | - | 9 | 2
Foreign exchange risk |  |  |  |  |
Futures | 245 | 1 | - | 4 | -
Total | 54,243 | 956 | 563 | (318) | 9
1) | Amounts recorded under heading Derivatives.
The table below presents, for each strategy, the notional amount and the fair value adjustments of hedge instruments and the book value of the hedged item:
Schedule of each strategy of nominal value and fair value |  |  |  |  |  |  |
| 12/31/2024 |  | 12/31/2023
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 | 107,677 | 76 | 110,405 |  | 120,550 | 53 | 119,464
Hedge of highly probable forecast transactions | 1,437 | (11) | 1,606 |  | 1,323 | (8) | 1,287
Hedge of net investment in foreign operations | 19,363 | 4,572 | 23,701 |  | 19,208 | 5,248 | 18,849
Hedge of loan operations (Fair value) | 37,116 | 333 | 37,116 |  | 12,589 | 430 | 12,592
Hedge of loan operations (Cash flow) | 10,910 | 54 | 10,955 |  | 18,265 | 130 | 18,449
Hedge of funding (Fair value) | 25,287 | (294) | 25,287 |  | 16,304 | (299) | 16,304
Hedge of funding (Cash flow) | 10,900 | 82 | 10,908 |  | 8,187 | (328) | 8,293
Hedge of assets transactions | 1,966 | (10) | 2,420 |  | 7,394 | - | 7,395
Hedge of asset-backed securities under repurchase agreements | 63,261 | (123) | 66,795 |  | 42,570 | (43) | 41,761
Hedge of assets denominated in UF | 39,894 | (159) | 39,842 |  | 10,704 | 45 | 10,664
Hedge of securities | 38,743 | 798 | 38,527 |  | 25,105 | 261 | 25,179
Hedge of firm commitments | 297 | - | 90 |  | 245 | 1 | 265
Total |  | 5,318 |  |  |  | 5,490 |
The table below shows the breakdown by maturity of the hedging strategies:
Schedule of breakdown by maturity of hedging strategies |  |  |  |  |  |  |  |
| 12/31/2024
| 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 | 67,617 | 27,835 | 9,146 | 1,467 | 1,174 | 438 | - | 107,677
Hedge of highly probable forecast transactions | 1,437 | - | - | - | - | - | - | 1,437
Hedge of net investment in foreign operations (1) | 19,363 | - | - | - | - | - | - | 19,363
Hedge of loan operations (Fair value) | 8,227 | 12,446 | 6,090 | 4,334 | 4,092 | 1,647 | 280 | 37,116
Hedge of loan operations (Cash flow) | 7,310 | 1,148 | 746 | 1,272 | 434 | - | - | 10,910
Hedge of funding (Fair value) | 12,942 | 3,574 | 535 | 1,556 | 2,930 | 3,328 | 422 | 25,287
Hedge of funding (Cash flow) | 9,404 | 504 | - | 126 | 415 | 451 | - | 10,900
Hedge of assets transactions | - | - | 1,247 | 719 | - | - | - | 1,966
Hedge of asset-backed securities under repurchase agreements | 22,629 | 15,489 | 17,016 | 5,170 | 2,957 | - | - | 63,261
Hedge of assets denominated in UF | 16,801 | 23,093 | - | - | - | - | - | 39,894
Hedge of securities | 12,256 | 8,639 | 3,741 | 4,384 | 2,965 | 5,251 | 1,507 | 38,743
Hedge of firm commitments (Fair value) | 297 | - | - | - | - | - | - | 297
Total | 178,283 | 92,728 | 38,521 | 19,028 | 14,967 | 11,115 | 2,209 | 356,851
| 12/31/2023
| 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 | 78,786 | 17,167 | 12,556 | 8,672 | 1,562 | 1,807 | - | 120,550
Hedge of highly probable forecast transactions | 1,323 | - | - | - | - | - | - | 1,323
Hedge of net investment in foreign operations (1) | 19,208 | - | - | - | - | - | - | 19,208
Hedge of loan operations (Fair value) | 2,230 | 2,173 | 3,114 | 1,577 | 2,523 | 972 | - | 12,589
Hedge of loan operations (Cash flow) | 10,353 | 5,376 | 1,280 | - | 1,256 | - | - | 18,265
Hedge of funding (Fair value) | 6,133 | 2,575 | 1,048 | 532 | 734 | 4,979 | 303 | 16,304
Hedge of funding (Cash flow) | 2,288 | 2,008 | - | 678 | 2,833 | 380 | - | 8,187
Hedge of assets transactions | 7,394 | - | - | - | - | - | - | 7,394
Hedge of asset-backed securities under repurchase agreements | - | 20,813 | 10,624 | 11,133 | - | - | - | 42,570
Hedge of assets denominated in UF | 10,704 | - | - | - | - | - | - | 10,704
Hedge of securities | 7,894 | 5,538 | 2,714 | 1,345 | 3,179 | 3,655 | 780 | 25,105
Hedge of firm commitments (Fair value) | 245 | - | - | - | - | - | - | 245
Total | 146,558 | 55,650 | 31,336 | 23,937 | 12,087 | 11,793 | 1,083 | 282,444
1) | Classified as current, since instruments are frequently renewed.

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