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Hedge accounting
 12 Months Ended
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

               
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).

             
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. 

             
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.

             
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:

               
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.

         
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: 

             
  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: 

               
  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.