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Financial risk management (Tables)

12 Months Ended

Dec. 31, 2021

Disclosure of nature and extent of risks arising from financial instruments [abstract]

Schedule of loans and advances to customers by credit risk rating grade

The following tables present the loans and advances to customers by credit risk rating grade where AA is the highest rating and HH the lowest. The Group considers customers with a rating of AA to C to be low risk and customers with a rating of D to HH to be high risk.

​

​	​	​	​	​	​	​
​	​	12/31/2021
Rating		Low Risk		High Risk		Total
Loans and advances to customers
AA		6,174,695		—		6,174,695
A		8,879,596		—		8,879,596
B		738,198		—		738,198
C		769,900		—		769,900
D		—		218,136		218,136
E		—		100,651		100,651
F		—		77,135		77,135
G		—		82,443		82,443
H		—		175,608		175,608
​	​	​	​	​	​	​
Total		16,562,388		653,973		17,216,362

​

​	​	​	​	​	​	​
​	​	12/31/2020
Rating		Low Risk		High Risk		Total
Loans and advances to customers
AA		4,191,808		—		4,191,808
A		3,795,674		—		3,795,674
B		271,617		—		271,617
C		271,500		—		271,500
D		—		66,789		66,789
E		—		43,607		43,607
F		—		27,699		27,699
G		—		26,325		26,325
H		—		90,912		90,912
HH		—		4,127		4,127
​	​	​	​	​	​	​
Total		8,530,599		259,458		8,790,058

Schedule of loans and advances to customers by product and risk

The following tables present the loans and advances to customers by product and risk:

​

​	​	​	​	​	​	​
​	​	12/31/2021
​		Low Risk		High Risk		Total
Loans and advances to customers	​	​	​	​	​	​
Payroll Card	​	55,753	​	9,510	​	65,263
Credit Card		4,335,866		462,452		4,798,318
Overdraft protection agreement		2,663		10,199		12,862
Check Account		1,255		31,979		33,234
Payroll loans and personal credit*		3,315,747		152,177		3,467,924
Business loans		2,962,937		54,221		3,017,158
Real Estate loans		4,782,312		339,099		5,121,411
Rural loans		700,192		—		700,192
​		16,156,725		1,059,637		17,216,362
Amounts due from financial institutions
Amounts due from financial institutions		2,051,862		—		2,051,862
​		2,051,862		—		2,051,862
​	​	​	​	​	​	​
Derivative financial instruments
Swap		66,545		—		66,545
​		66,545		—		66,545

​

​	​	​	​	​	​	​
​	​	12/31/2020
​		Low Risk		High Risk		Total
​	​	​	​	​	​	​
Loans and advances to customers	​	​	​	​	​	​
Payroll Card		64,570		3,162		67,732
Credit Card		1,793,872		110,770		1,904,643
Overdraft protection agreement		20,193		—		20,193
Checking Account overdraft		10,660		3,572		14,232
Payroll loans and personal credit*		1,510,962		40,437		1,551,399
Business loans		1,580,682		2,186		1,582,868
Real Estate loans		3,372,023		99,331		3,471,354
Rural loans		177,637		—		177,637
​	​	​	​	​	​	​
​		8,530,599		259,458		8,790,058
Amounts due from financial institutions
Amounts due from financial institutions		502,369		—		502,369
​		502,369		—		502,369
​	​	​	​	​	​	​
Derivative financial instruments
Swap		(56,758)		—		(56,758)
​		(56,758)		—		(56,758)

​

Schedule of Maximum exposure to credit risk

​

​	​	​	​	​
​		12/31/2021		12/31/2020
Exposure to credit risk
Balances of “Cash and cash equivalents”		500,446		2,154,687
Amounts due from financial institutions		2,051,862		502,369
Compulsory deposits at Banco Central do Brasil		2,399,488		1,709,729
Derivative financial assets		86,948		27,513
Loans and advances to customers		17,216,362		8,790,058
Other financial assets		12,757,687		5,812,622
Sub-total		35,012,793		18,996,978
​	​	​	​	​
Financial guarantees provided		—		127
Total exposure to credit risk		35,012,793		18,997,105

Schedule of the credit exposure of real estate loans by loan-to-value (LTV) ratio

​

​	​	​	​	​
​		12/31/2021		12/31/2020
​	​	​	​	​
Lower than 30 %		582,421		467,960
31 – 50 %		1,584,454		1,291,130
51 – 70 %		2,116,015		1,314,740
71 – 90 %		756,870		370,357
Higher than 90 %		81,651		27,167
​		5,121,411		3,471,354

Schedule of Concentration of the portfolio of loans and advances to customers

The concentration of the portfolio of loans and advances by product is as follows:

​

​	​	​	​	​	​	​	​	​	​
​	​	12/31/2021			​	12/31/2020
​	​	Balance	​	%	​	Balance	​	%
Private Sector		​		​		​		​	​
Payroll Card		65,263		0.38	%	67,732		0.77	%
Credit Card		4,798,318		27.85	%	1,904,643		21.67	%
Overdraft Protection Agreement		12,862		0.07	%	20,193		0.23	%
Check Account overdraft		33,234		0.19	%	14,232		0.16	%
Payroll loans and personal credit		3,467,924		20.14	%	1,551,399		17.65	%
Business loans		3,017,158		17.52	%	1,582,868		18.01	%
Real Estate loans		5,121,411		29.75	%	3,471,354		39.49	%
Rural loans		700,192		4.07	%	177,637		2.02	%
Total Portfolio		17,216,362		100	%	8,790,058		100	%

​

​	​	​	​	​	​	​	​	​	​
​	​	12/31/2021			​	12/31/2020
​		​		% on Loans		​		% on Loans
​	​	​	​	and advances	​	​	​	and advances
​	​	Balance	​	to customers	​	Balance	​	to customers
​	​	​	​	​	​	​	​	​	​
Largest debtor		274,262		1.59	%	144,821		1.65	%
Total of the 20 largest debtors		2,034,977		11.82	%	2,145,985		24.41	%
Total of the 50 largest debtors		2,627,038		15.26	%	1,695,446		19.29	%
Total of the 100 largest debtors		3,138,861		18.23	%	2,157,462		24.54	%

​

Schedule of loans and advances to customers by maturity

The breakdown of loans and advances to customers by maturity is as follows:

​

​	​	​	​	​	​	​
​	​	12/31/2021
​		To fall due		Overdue		Total
Installments to fall due		​		​		​
Overdue by fewer than 15 days and to fall due within 90 days		2,849,136		—		2,849,136
To fall due between 91 and 360 days		3,868,156		—		3,868,156
To fall due in more than 360 days		8,732,081		—		8,732,081
Total to fall due		15,449,373		—		15,449,373
​	​	​	​	​	​	​
Overdue installments
Overdue by 15 days or more		—		1,766,989		1,766,989
Total overdue		—		1,766,989		1,766,989
​	​	​	​	​	​	​
Total Portfolio		15,449,373		1,766,989		17,216,362

​

​	​	​	​	​	​	​
​	​	12/31/2020
​		To fall due		Overdue		Total
Installments to fall due
Overdue by fewer than 15 days and to fall due within 90 days		2,593,572		—		2,593,572
To fall due between 91 and 360 days		1,357,068		—		1,357,068
To fall due in more than 360 days		4,637,604		—		4,637,604
Total to fall due		8,588,244		—		8,588,244
​	​	​	​	​	​	​
Overdue installments
Overdue by 15 days or more		—		201,814		201,814
Total overdue		—		201,814		201,814
​	​	​	​	​	​	​
Total Portfolio		8,588,244		201,814		8,790,058

Schedule of interpretation of liquidity coverage ratio

​

​	​	​	​
Interpretation of LCR with regard to minimum		Situation
​	​	​	​
LCR below 3.00 times	​	Critical	​
LCR above 2.99 and below 5.00 times	​	Satisfactory	​
LCR above 4.99 and below 8.00 times	​	Comfortable	​
LCR above 7.99	​	Excess liquidity	​

Schedule of the projected future realizable value of financial assets and liabilities by remaining contractual term

The table below presents the projected future realizable value of the Group’s financial assets and liabilities by contractual term:

​

​	​	​	​	​	​	​	​	​	​	​
​	​	12/31/2021
​		Explanatory		​		3 months to 1		​		​
​	​	note	​	Up to 3 months	​	year	​	Above 1 year	​	Total
Financial assets	​	​	​	​	​	​	​	​	​	​
Cash and cash equivalents		8		500,446		—		—		500,446
Compulsory deposits at Banco Central do Brasil		10b		2,399,488		—		—		2,399,488
Amounts due from financial institutions		10		2,051,862		—		—		2,051,862
Securities		12		474,509		203,451		12,079,727		12,757,687
Derivative Financial Instruments		9		86,948		—		—		86,948
Loans and advances to customers		11		4,616,124		3,868,156		8,732,082		17,216,362
Other assets		17		687,336		28,012		77,387		792,735
Total financial assets		​		10,816,713		4,099,619		20,889,196		35,805,528
​	​	​	​	​	​	​	​	​	​	​
Financial liabilities
Liabilities with financial institutions		18		5,306,020		35,444		—		5,341,464
Liabilities with customers		19		11,360,378		6,956,400		16,765		18,333,543
Securities issued		20		112,591		3,349,639		109,863		3,572,093
Derivative financial instruments liabilities		9		—		29,452		37,093		66,545
Borrowing and onlending		21		99		1,087		23,886		25,071
Other liabilities		24		374,327		134,744		108,277		617,349
Total financial liabilities		​		17,153,415		10,506,766		295,884		27,956,065

​

​

​	​	​	​	​	​	​	​	​	​	​
​	​	12/31/2020
​		Explanatory		Up to 3		3 months		Above 1 year		Total
​	​	note	​	months	​	to 1 year	​	​	​	​
Financial assets
Cash and cash equivalents		8		2,154,687		—		—		2,154,687
Compulsory deposits at Banco Central do Brasil		10b		502,369		—		—		502,369
Amounts due from financial institutions		10		1,207,383		502,346		—		1,709,729
Securities		12		196,927		161,356		5,454,339		5,812,622
Derivative Financial Instruments		9		6,510		21,003		—		27,513
Loans and advances to customers		11		2,795,385		1,357,068		4,637,605		8,790,058
Other assets		17		409,465		27,373		81,844		518,681
Total financial assets		​	​	7,272,726		2,069,146		10,173,788		19,515,660
Financial liabilities
Liabilities with financial institutions		18		1,706,681		50,232		—		1,756,913
Liabilities with customers		19		7,550,562		607,077		4,278,993		12,436,632
Securities issued		20		80,924		505,572		1,142,940		1,729,436
Derivative financial instruments liabilities		9		—		20,767		35,991		56,758
Borrowing and onlending		21		104		1,145		26,156		27,405
Other liabilities		24		475,420		—		—		475,420
Total financial liabilities		​	​	(9,813,691)		(1,184,793)		(5,484,079)		(16,482,563)

Schedule of market risk of trading book and banking book

The market risk of Trading Book, considering the VaR model, is presented in the following table:

​

​	​	​	​	​
R$Thousand		2021		2020
Risk Factor	​	21 days - holding period
Price index coupons		4,882		4,262
Pre fixed interest rate		83		6,319
Foreign currency coupons		—		365
Exchange rates		80		2,014
Shares prices		1,599		4,056
Others		—		22,845
SubTotal		6,645		39,861
Diversification effects (correlation)		1,758		17,939
Value-at-Risk		4,887		21,921

​

The market risk of Banking Book, calculated by the VaR model, is presented in the following table:

​

​	​	​	​	​
R$Thousand		2021		2020
Risk Factor	​	21 days - holding period
Price index coupons		364,502		169,917
Pre fixed interest rate		49,577		20,345
Interest rate coupons		36,555		1,631
Share Price		1,412		20,345
SubTotal		452,045		191,893
Diversification effects (correlation)		84,587		18,491
Value-at-Risk		367,458		173,402

​

Schedule of sensitivity analysis

​

Scenario II: Projects a possible variation of 25 percent in the rates of each risk factor. The numbers presented represent the largest loss per risk factor and do not consider correlation.

Scenario III: Project a remote variation of 50 percent in the rates of each risk factor. The numbers presented represent the largest loss per risk factor and do not consider correlation.

​

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Exposures

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12/31/2021

Banking and Trading Portfolios

​

Scenarios

​

​

​

​

variation rate

​

​

​

variation rate

​

​

​

variation rate

​

​

Risk factors

Risk of variation in:

scenario I

scenario I

scenario II

scenario II

scenario III

scenario III

IPCA Coupon

Price index coupons

increase

(3,045)

increase

(378)

increase

(658,147)

IGP-M Coupon

Price index coupons

increase

(42)

increase

(6)

increase

(10,118)

Fixed

Fixed interest rates

decrease

(334)

decrease

(183)

decrease

(551,209)

TR Coupon

Interest rate coupons

increase

(813)

increase

(23)

increase

(226,744)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exposures

​

​

​

​

​

​

​

​

12/31/2020

Banking and Trading Portfolios

​

Scenarios

​

​

​

​

variation rate

​

​

​

variation rate

​

​

​

variation rate

​

​

Risk factors

Risk of variation in:

scenario I

scenario I

scenario II

scenario II

scenario III

scenario III

IPCA Coupon

​

Price index coupons

​

increase

​

(3,267)

​

increase

​

(233)

​

increase

​

(44,207)

IGP-M Coupon

Price index coupons

increase

(83)

increase

(8)

increase

(15,804)

Fixed

Fixed interest rates

increase

(162)

increase

(30)

increase

(56,739)

TR Coupon

Interest rate coupons

increase

(34)

increase

(5)

increase

(9,801)

​

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-URI http://eifrs.ifrs.org/eifrs/xifrs-link?type=IFRS&num=7&code=ifrs-tx-2021-en-r&anchor=para_40_a&doctype=Standard
-URIDate 2021-03-24

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