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Fair value
 12 Months Ended
Dec. 31, 2024
Notes and other explanatory information [abstract]  
Fair value

Note 28 - Fair value

The accounting policy on fair value of financial instruments is presented in Note 2c IV.

a) Assets and liabilities measured at fair value

The following table presents the assets and liabilities measured at fair value on a recurring basis, segregated between levels of the fair value hierarchy.

                 
  12/31/2024   12/31/2023
  Level 1 Level 2 Level 3 Book Value / Fair Value   Level 1 Level 2 Level 3 Book Value / Fair Value
Financial assets 535,394 130,188 2,158 667,740   523,741 117,030 2,371 643,142
Financial assets at fair value through profit or loss 432,075 127,422 1,940 561,437   396,210 114,775 2,118 513,103
Investment funds 1,280 35,823 - 37,103   225 26,345 - 26,570
Brazilian government securities 358,886 2,810 - 361,696   333,539 8,553 - 342,092
Government securities – Latin America 4,381 - - 4,381   2,875 - - 2,875
Government securities – Abroad 1,473 - - 1,473   2,562 - - 2,562
Corporate securities 66,055 87,177 1,940 155,172   57,009 78,526 2,118 137,653
Shares 7,659 18,115 106 25,880   9,089 17,375 71 26,535
Rural product note - 941 - 941   - 4,203 - 4,203
Bank deposit certificates - 450 - 450   - 128 - 128
Real estate receivables certificates 265 1,289 100 1,654   197 1,268 126 1,591
Debentures 55,942 29,466 1,734 87,142   45,070 29,583 1,895 76,548
Eurobonds and other 1,968 23 - 1,991   2,459 - 5 2,464
Financial bills - 33,071 - 33,071   - 22,548 4 22,552
Promissory and commercial notes - 1,216 - 1,216   - 2,585 17 2,602
Other 221 2,606 - 2,827   194 836 - 1,030
Other Financial Assets - 1,612 - 1,612   - 1,351 - 1,351
Financial assets at fair value through other comprehensive income 103,319 2,766 218 106,303   127,531 2,255 253 130,039
Brazilian government securities 64,377 - - 64,377   83,672 233 - 83,905
Government securities – Latin America 21,470 - - 21,470   23,872 - - 23,872
Government securities – Abroad 13,026 - - 13,026   9,910 - - 9,910
Corporate securities 4,446 2,766 218 7,430   10,077 2,022 253 12,352
Shares 509 57 - 566   5,900 50 193 6,143
Rural product note - 126 - 126   - - - -
Bank deposit certificates - 83 - 83   - 44 - 44
Real estate receivables certificates - 57 - 57   - 67 - 67
Debentures 761 519 218 1,498   1,045 728 - 1,773
Eurobonds and other 3,162 1,650 - 4,812   3,061 936 60 4,057
Financial credit bills - 53 - 53   - - - -
Other 14 221 - 235   71 197 - 268
Designated as fair value through profit or loss 318 - - 318   - - - -
Brazilian government securities 43 - - 43   - - - -
Government securities – Latin America 275 - - 275   - - - -
Non-financial assets 2,345 - - 2,345   - - - -
Financial liabilities at fair value through profit or loss - (862) - (862)   - (856) - (856)
Structured notes - (318) - (318)   - (296) - (296)
Other financial liabilities - (544) - (544)   - (560) - (560)

 

The following table presents the breakdown of fair value hierarchy levels for derivative assets and liabilities.

                 
  12/31/2024   12/31/2023
  Level 1 Level 2 Level 3 Total   Level 1 Level 2 Level 3 Total
Assets 5 92,062 372 92,439   6 54,983 262 55,251
Swap Contracts – adjustment receivable - 55,106 322 55,428   - 37,721 236 37,957
Option Contracts - 21,139 31 21,170   - 7,712 6 7,718
Forward Contracts - 1,721 18 1,739   - 3,255 19 3,274
Credit derivatives - 632 1 633   - 281 1 282
NDF - Non Deliverable Forward - 12,207 - 12,207   - 5,378 - 5,378
Other derivative financial instruments 5 1,257 - 1,262   6 636 - 642
Liabilities (67) (85,171) (175) (85,413)   (112) (51,974) (389) (52,475)
Swap Contracts – adjustment payable - (51,242) (152) (51,394)   - (35,369) (372) (35,741)
Option Contracts - (20,580) (8) (20,588)   - (8,971) (1) (8,972)
Forward Contracts - (1,435) (15) (1,450)   - (2,966) (16) (2,982)
Credit derivatives - (795) - (795)   - (149) - (149)
NDF - Non Deliverable Forward - (10,761) - (10,761)   - (4,478) - (4,478)
Other derivative financial instruments (67) (358) - (425)   (112) (41) - (153)

 

In all periods, there were no material transfer between Level 1 and Level 2. Transfers to and from Level 3 are presented in movements of Level 3.

The assets and liabilities measured at fair value on a recurring basis are classified as follows:

Level 1: Securities and Other non-financial assets with liquid prices available in an active market and derivatives traded on stock exchanges. This classification level includes most of the Brazilian government securities, government securities from Latin America, government securities from other countries, shares, debentures with price published by Associação Brasileira das Entidades dos Mercados Financeiros e de Capitais (ANBIMA) and other traded in an active market.

Level 2: Securities, derivatives and others that do not have price information available and are priced based on conventional or internal models. The inputs used by these models are captured directly or built from observations of active markets. Most derivatives traded over-the-counter, certain Brazilian government bonds, debentures and other corporate securities whose credit component effect is not considered relevant, are at this level.

Level 3: Securities and derivatives for which pricing inputs are generated by statistical and mathematical models. Debentures and other corporate securities that do not fit into level 2 rule and derivatives with maturities greater than the last observable vertices of the discount curves are at this level.

Governance of Level 3 recurring fair value measurement

The departments in charge of defining and applying the pricing models are segregated from the business areas. The models are documented, submitted to validation by an independent area and approved by a specific committee. The daily processes of price capture, calculation and disclosure are periodically checked according to formally defined tests and criteria and the information is stored in a single corporate data base.

The most frequent cases of assets classified as Level 3 are justified by the discount factors used and corporate bonds whose credit component is relevant. Factors such as the fixed interest curve in Brazilian Reais and the TR coupon curve – and, as a result, their related factors – have inputs with terms shorter than the maturities of fixed-income assets.

Level 3 recurring fair value changes

The tables below show balance sheet changes for financial instruments classified by ITAÚ UNIBANCO HOLDING in Level 3 of the fair value hierarchy. Derivative financial instruments classified in Level 3 correspond to swap and option.

 

               
  Fair value at Total gains or losses (realized / unrealized) Purchases Settlements Transfers in and / or out of Level Fair value at Total Gains or Losses (unrealized)
 
01/01/2024 12/31/2023 Recognized in income Recognized in other comprehensive income 12/31/2024
     
Financial assets at fair value through profit or loss 2,118 286 - 1,209 (585) (1,088) 1,940 (994)
Corporate securities 2,118 286 - 1,209 (585) (1,088) 1,940 (994)
Shares 71 36 - 3 (4) - 106 (98)
Real estate receivables certificates 126 (27) - 83 (95) 13 100 (78)
Debentures 1,895 306 - 950 (259) (1,158) 1,734 (818)
Promissory notes 17 - - - - (17) - -
Eurobonds and other 5 (41) - 132 (87) (9) - -
Financial bills 4 - - - (4) - - -
Other - 12 - 41 (136) 83 - -
Financial assets at fair value through other comprehensive income 253 12 6 504 (372) (185) 218 -
Corporate securities 253 12 6 504 (372) (185) 218 -
Shares 193 - - - (193) - - -
Debentures - 7 (1) 216 (144) 140 218 -
Eurobonds and other 60 5 7 288 (35) (325) - -
  Fair value at Total gains or losses (realized / unrealized) Purchases Settlements Transfers in and / or out of Level Fair value at Total Gains or Losses (unrealized)
 
  12/31/2023 Recognized in income Recognized in other comprehensive income 12/31/2024
     
Derivatives - assets 262 176 - 235 (216) (85) 372 270
Swap Contracts – adjustment receivable 236 164 - 168 (169) (77) 322 271
Option Contracts 6 13 - 67 (47) (8) 31 (2)
Forward contracts 19 (1) - - - - 18 -
Credit derivatives 1 - - - - - 1 1
Derivatives - liabilities (389) (215) - (306) 239 496 (175) 13
Swap Contracts – adjustment payable (372) (233) - (252) 216 489 (152) 6
Option Contracts (1) 17 - (54) 23 7 (8) 7
Forward contracts (16) 1 - - - - (15) -
  Fair value at Total gains or losses (realized / unrealized) Purchases Settlements Transfers in and / or out of Level Fair value at Total Gains or Losses (unrealized)
 
01/01/2023 12/31/2022 Recognized in income Recognized in other comprehensive income 12/31/2023
     
Financial assets at fair value through profit or loss 339 (5) - 920 (300) 1,164 2,118 (1,009)
Corporate securities 339 (5) - 920 (300) 1,164 2,118 (1,009)
Shares 86 (14) - 9 (10) - 71 (100)
Real estate receivables certificates 151 (38) - 2 - 11 126 (64)
Debentures 84 (36) - 740 (67) 1,174 1,895 (845)
Rural Product Note 7 5 - 2 - (14) - -
Promissory notes - (3) - 20 - - 17 -
Eurobonds and other 4 84 - 137 (220) - 5 -
Financial bills 7 (3) - 10 (3) (7) 4 -
Financial assets at fair value through other comprehensive income 58 (19) 153 51 (8) 18 253 -
Corporate securities 58 (19) 153 51 (8) 18 253 -
Shares 45 (3) 151 - - - 193 -
Bank deposit certificates 13 (13) - - - - - -
Debentures - - (1) 35 - (34) - -
Eurobonds and other - (3) 3 16 (8) 52 60 -
  Fair value at Total gains or losses (realized / unrealized) Purchases Settlements Transfers in and / or out of Level Fair value at Total Gains or Losses (unrealized)
 
  12/31/2022 Recognized in income Recognized in other comprehensive income 12/31/2023
     
Derivatives - assets 671 80 - 157 (104) (542) 262 244
Swap Contracts – adjustment receivable 631 108 - 133 (94) (542) 236 240
Option Contracts 34 (32) - 14 (10) - 6 1
Forward contracts 6 3 - 10 - - 19 3
Credit derivatives - 1 - - - - 1 -
Derivatives - liabilities (569) (74) - (387) 189 452 (389) 273
Swap Contracts – adjustment payable (561) (70) - (369) 176 452 (372) 274
Option Contracts (2) (3) - (9) 13 - (1) (1)
Forward contracts (6) (1) - (9) - - (16) -

 

Sensitivity analysis of Level 3 operations

The fair value of financial instruments classified in Level 3 is measured through valuation techniques based on correlations and associated products traded in active markets, internal estimates and internal models.

Material unobservable inputs used for measurement of the fair value of instruments classified in Level 3 are: interest rates, underlying asset prices and volatility. Material variations in any of these inputs separately may give rise to material changes in the fair value.

The table below shows the sensitivity of these fair values in scenarios of changes of interest rates, in asset prices and in scenarios with varying shocks to prices and volatilities for nonlinear assets, considering:

Interest rate: Based on reasonably possible changes in assumptions of 1, 25 and 50 basis points (scenarios I, II and III respectively) applied to the interest curves, both up and down, taking the largest losses resulting in each scenario.

Commodities, Index and Shares: Based on reasonably possible changes in assumptions of 5 and 10 percentage points (scenarios I and II respectively) applied to share prices, both up and down, taking the largest losses resulting in each scenario.

Nonlinear: 

Scenario I: Based on reasonably possible changes in assumptions of 5 percentage points on prices and 25 percentage points on the volatility level, both up and down, taking the largest losses resulting in each scenario.

Scenario II: Based on reasonably possible changes in assumptions of 10 percentage points on prices and 25 percentage points on the volatility level, both up and down, taking the largest losses resulting in each scenario.

       
Sensitivity – Level 3 Operations   12/31/2024   12/31/2023
Market risk factor groups  Scenarios Impact   Impact
Income Stockholders' equity   Income Stockholders' equity
Interest rates I (7.4) (0.1)   (3.5) -
II (185.8) (3.1)   (89.2) (0.9)
III (372.2) (6.2)   (178.9) (1.8)
Commodities, Indexes and Shares I (5.7) -   (13.3) (9.6)
II (11.4) -   (26.7) (19.2)
Nonlinear I (25.1) -   (0.1) -
II (45.8) -   (0.2) -

 

b) Financial assets and liabilities not measured at fair value

The following table presents the book value and estimated fair value for financial assets and liabilities not measured at fair value.

         
  12/31/2024   12/31/2023
  Book value Fair value   Book value Fair value
Financial assets 1,912,804 1,913,073   1,686,225 1,693,038
At Amortized Cost 1,912,804 1,913,073   1,686,225 1,693,038
Central Bank of Brazil deposits 160,698 160,698   145,404 145,404
Interbank deposits 66,931 66,931   51,007 51,009
Securities purchased under agreements to resell 243,220 243,220   238,321 238,321
Securities 327,507 325,734   260,743 260,427
Loan and lease operations 1,025,493 1,027,535   910,590 917,717
Other financial assets 136,713 136,713   127,699 127,699
(-) Provision for expected loss (47,758) (47,758)   (47,539) (47,539)
Financial liabilities 2,153,704 2,155,880   1,948,360 1,948,549
At Amortized Cost 2,148,776 2,150,952   1,944,162 1,944,351
Deposits 1,054,741 1,054,745   951,352 951,332
Securities sold under repurchase agreements 388,787 388,787   362,786 362,786
Interbank market funds 372,294 372,587   328,645 328,667
Institutional market funds 140,547 142,426   119,591 119,778
Other financial liabilities 192,407 192,407   181,788 181,788
Provision for Expected Loss 4,928 4,928   4,198 4,198
Loan commitments 3,940 3,940   3,311 3,311
Financial guarantees 988 988   887 887

 

The methods used to estimate the fair value of financial instruments measured at fair value on a non-recurring basis are:

    •   Central Bank of Brazil deposits, Securities purchased under agreements to resell and Securities sold under repurchase agreements - The carrying amounts for these instruments are close to their fair values.

    •   Interbank deposits, Deposits, lnterbank market funds and lnstitutional market funds - They are calculated by discounting estimated cash flows at market interest rates.

    •   Securities - Under normal conditions, the prices quoted in the market are the best indicators of the fair values of these financial instruments. However, not all instruments have liquidity or quoted market prices and, in such cases, are priced by conventional or internal models, with inputs captured directly, built based on observations of active markets, or generated by statistical and mathematical models.

    •   Loan and lease operations - Fair value is estimated for groups of loans with similar financial and risk characteristics, using valuation models. The fair value of fixed-rate loans is determined by discounting estimated cash flows, at interest rates applicable to similar loans. For the majority of loans at floating rates, the carrying amount is considered to be close to their market value. The fair value of loan and lease operations not overdue is calculated by discounting the expected payments of principal and interest to maturity. The fair value of overdue loan and lease transactions is based on the discount of estimated cash flows, using a rate proportional to the risk associated with the estimated cash flows, or on the underlying collateral. The assumptions for cash flows and discount rates rely on information available in the market and knowledge of the individual debtor.

    •   Other financial assets / liabilities - Primarily composed for receivables from credit card issuers, deposits in guarantee for contingent liabilities, provisions and legal obligations and trading and intermediation of securities. The carrying amounts for these assets/liabilities substantially approximate to their fair values, since they principally represent amounts to be received in the short term from credit card holders and to be paid to credit card issuers, deposits in guarantee (indexed to market rates) made by ITAÚ UNIBANCO HOLDING  to secure lawsuits or very short-term receivables (generally with a maturity of approximately 5 business days). All of these items represent assets/liabilities without material associated market, credit or liquidity risks. 

Financial instruments not included in the Balance Sheet (Note 32) are represented by Letters of credit to be released and Financial guarantees, which amount to R$ 196,845 (R$ 123,471 at 12/31/2023) with an estimated fair value of R$ 111 (R$ 123 at 12/31/2023).