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Derivative financial instruments

12 Months Ended

Dec. 31, 2021

9	Derivative financial instruments

Inter is party to derivative contracts to meet its own needs to manage its risk exposure, and to meet its clients’ requests to manage their exposures. These transactions involve swaps and forward derivatives. Inter’s risk management policy is based on the use of derivative financial instruments with the predominant purpose to mitigate the risks pursuant to other transactions made.

a.	Derivative financial instruments – amortized cost, fair value and maturity

12/31/2021

12/31/2020

Amortized

Fair value

Up to

From 3 to

From 1 to 3

From 3 to 5

cost

adjustment

Fair value

3 months

12 months

years

Total

Assets (A)

Receivable forward purchase

87,036

(88)

86,948

86,948

—

86,948

27,513

Liabilities (B) (i)

Payable adjustment - swap

66,545

—

66,545

—

(29,452)

(25,567)

(11,526)

(66,545)

(56,758)

Net effect (A-B)

153,581

(88)

153,493

86,948

(29,452)

(25,567)

(11,526)

20,403

(29,245)

b.	Forward and swap contracts – notional value

Up to

3 months

1 year to

Above

Total

3 months

to 1 year

3 years

12/31/2021

12/31/2020

Forward contract - assets

86,948

—

86,948

27,513

Swap contracts - liabilities

—

94,856

53,500

24,577

172,933

288,592

Total

86,948

94,856

53,500

24,577

259,881

316,105

c.	Basis swap contracts

Inter has a part of its real estate credit portfolio indexed to the General Price Index (IGP-M) of Getúlio Vargas Foundation and part indexed to the National Broad Consumer Price Index (IPCA), whereas the majority of its LCI funding is indexed to the Interbank Deposit (DI) rate.

Aiming at protecting the Group’s revenues from fluctuations in IGP-M and IPCA, swaps were contracted in which the Group pays the variation of IGP-M plus coupon or IPCA plus coupon and receives a defined percentage of the DI rate.

The operations were carried out via Brasil, Bolsa, Balcão (B3) exchange and feature guarantee margin and control by this exchange. On December 31, 2021, the Group had 8 active swap contracts CDI x IGP-M, with total notional of BRL 112,856 (2020: BRL 178,592) and 2 active swap contracts CDI x IPCA, with total notional of BRL 60,000 (2020: BRL 110,000).

d.	Basis swap contracts


12/31/2021
		Notional	Amortized cost		Fair value
Indexes	Contracts	Value	Bank	Counterparty	Bank	Counterparty	Gain (loss)
CDI x IGPM	906723043	17,550	19,433	29,143	19,433	29,187	(9,754)
CDI x IGPM	906723159	17,306	19,164	28,785	19,164	28,629	(9,465)
CDI x IGPM	906723160	12,000	13,193	19,342	13,193	19,035	(5,842)
CDI x IGPM	906723161	14,000	15,392	22,630	15,392	22,171	(6,779)
CDI x IGPM	906723162	11,500	12,628	18,541	12,628	18,049	(5,421)
CDI x IGPM	906723163	16,000	17,569	25,900	17,569	25,094	(7,525)
CDI x IGPM	906723164	11,000	12,079	17,846	12,079	17,222	(5,143)
CDI x IGPM	906723165	13,500	14,824	21,953	14,824	21,133	(6,309)
Total CDI x IGPM		112,856	124,282	184,140	124,282	180,520	(56,238)

12/31/2021

Notional

Amortized cost

Fair value

Indexes

Contracts

Value

Bank

Counterparty

Bank

Counterparty

Gain (loss)

CDI x IPCA

905638603

10,000

11,128

12,866

11,056

12,885

(1,829)

CDI x IPCA

905638611

50,000

55,639

64,535

55,639

64,117

(8,478)

Total CDI x IPCA

60,000

66,767

77,401

66,695

77,002

(10,307)

Grand Total

172,856

191,049

261,541

190,977

257,522

(66,545)


12/31/2020
		Notional	Amortized cost		Fair value
Indexes	Contracts	Value	Bank	Counterparty	Bank	Counterparty	Gain (loss)
CDI x IGPM	906722276	35,842	38,015	48,365	38,015	47,959	(9,944)
CDI x IGPM	906722594	29,894	31,706	40,400	31,706	39,464	(7,758)
CDI x IGPM	906722608	17,550	18,614	23,790	18,614	23,293	(4,679)
CDI x IGPM	906723043	17,306	18,356	23,484	18,356	23,140	(4,784)
CDI x IGPM	906723159	12,000	12,637	15,832	12,637	15,509	(2,872)
CDI x IGPM	906723160	14,000	14,743	18,540	14,743	18,195	(3,452)
CDI x IGPM	906723161	11,500	12,095	15,199	12,095	14,878	(2,783)
CDI x IGPM	906723162	16,000	16,828	21,199	16,828	20,901	(4,073)
CDI x IGPM	906723163	11,000	11,570	14,589	11,570	14,460	(2,890)
CDI x IGPM	906723164	13,500	14,199	17,934	14,199	17,834	(3,635)
Total CDI x IGPM		178,592	188,763	239,332	188,763	235,633	(46,870)


12/31/2020
		Notional	Amortized cost		Fair value
Indexes	Contracts	Value	Bank	Counterparty	Bank	Counterparty	Gain (loss)
CDI x IPCA	905638590	50,000	53,293	55,651	53,293	56,358	3,066
CDI x IPCA	905638603	10,000	10,659	11,203	10,659	11,698	(1,039)
CDI x IPCA	905638611	50,000	53,293	56,133	53,293	59,076	(5,783)
Total CDI x IPCA		110,000	117,245	122,987	117,245	127,132	9,888

Grand Total		288,592	306,008	362,319	306,008	362,765	56,758

e.	Hedge accounting

The Group applies fair value hedge accounting for certain of its loans and advances to customers, made in compliance with IAS 39 - Financial Instruments.

The Group’s swaps are classified as hedging instruments in a Fair Value Hedge hedging the risks related to a portion of the real estate portfolio which is indexed to inflation rates. The hedged contracts from the real estate portfolio are measured at fair value in relation to the specific risk being hedged.