Itau Unibanco Holding S.A. (ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory)

Note 8 – Derivatives

ITAÚ UNIBANCO HOLDING enters into derivative financial instruments with various counterparties to manage its overall exposures and to assist its customers in managing their own exposures.

Futures – Interest rate and foreign currency futures contracts are commitments to buy or sell a financial instrument at a future date, at a contracted price or yield and may be settled in cash or through delivery. The notional amount represents the face value of the underlying instrument. Commodity futures contracts or financial instruments are commitments to buy or sell commodities (mainly gold, coffee and orange juice), at a future date, at a contracted price, which are settled in cash. The notional amount represents the quantity of such commodities multiplied by the future price at the contract date. Daily cash settlements of price movements are made for all instruments.

Forwards – Interest forward contracts are agreements to exchange payments on a specified future date, based on a market change in interest rates from trade date to contract settlement date. Foreign exchange forward contracts represent agreements to exchange the currency of one country for the currency of another country at an agreed price, at an agreed settlement date. Financial instrument forward contracts are commitments to buy or sell a financial instrument on a future date at a contracted price and are settled in cash.

Swaps – Interest rate and foreign exchange swap contracts are commitments to settle in cash at a future date or dates, based on differentials between specified financial indices (either two different interest rates in a single currency or two different rates each in a different currency), as applied to a notional principal amount. Swap contracts presented in Other in the table below correspond substantially to inflation rate swap contracts.

Options – Option contracts give the purchaser, for a fee, the right, but not the obligation, to buy or sell within a limited time a financial instrument including a flow of interest, foreign currencies, commodities, or financial instruments at a contracted price that may also be settled in cash, based on differentials between specific indices.

Credit Derivatives – Credit derivatives are financial instruments with value relating to the credit risk associated to the debt issued by a third party (the reference entity), which permits that one party (the purchaser of the hedge) transfers the risk to the counterparty (the seller of the hedge). The seller of the hedge should make payments as set forth in the contract when the reference entity undergoes a credit event, such as bankruptcy, default or debt restructuring. The seller of the hedge receives a premium for the hedge, but, on the other hand, assumes the risk that the underlying asset referenced in the contract undergoes a credit event, and the seller would have to make the payment to the purchaser of the hedge, which could be the notional amount of the credit derivative.

The total value of margins pledged in guarantee by ITAÚ UNIBANCO HOLDING was R$ 18,284 (R$ 12,246 at 12/31/2016) and was basically comprised of government securities.

The following table shows the composition of derivatives by index:


	Off-balance sheet notional amount		Balance sheet account receivable / (received) (payable) paid			Adjustment to market value (in results / stockholders’ equity)			Fair value
	12/31/2017		12/31/2017			12/31/2017			12/31/2017
*Futures contracts ^()**		607,980		8			150			158
Purchase commitments		323,102		(4	)		137			133
Commodities		187		—			—			—
Indices		109,501		(34	)		(16	)		(50	)
Interbank market		166,833		30			—			30
Foreign currency		28,514		—			153			153
Securities		18,067		—			—			—
Commitments to sell		284,878		12			13			25
Commodities		168		—			—			—
Indices		128,147		67			11			78
Interbank market		118,186		(56	)		—			(56	)
Foreign currency		26,646		1			—			1
Fixed rate		505		—			2			2
Securities		11,218		—			—			—
Other		8		—			—			—
Swap contracts				(4,770	)		268			(4,502	)
Asset position		585,574		3,630			5,560			9,190
Indices		228,406		(1,132	)		2,595			1,463
Interbank market		48,752		670			(72	)		598
Foreign currency		10,145		693			245			938
Floating rate		44,400		(48	)		1,135			1,087
Fixed rate		253,854		3,447			1,656			5,103
Securities		4		—			1			1
Other		13		—			—			—
Liability position		590,344		(8,400	)		(5,292	)		(13,692	)
Indices		197,597		(432	)		(4,141	)		(4,573	)
Interbank market		38,398		(293	)		15			(278	)
Foreign currency		19,289		(596	)		(12	)		(608	)
Floating rate		42,690		(36	)		(1,208	)		(1,244	)
Fixed rate		292,333		(7,043	)		54			(6,989	)
Other		37		—			—			—
Option contracts		1,847,829		452			92			544
Purchase commitments – long position		245,514		1,256			392			1,648
Commodities		367		11			18			29
Indices		178,839		295			(26	)		269
Interbank market		26,484		37			11			48
Foreign currency		31,818		647			(201	)		446
Fixed rate		20		3			—			3
Securities		7,902		254			570			824
Other		84		9			20			29
Commitments to sell – long position		736,856		1,457			232			1,689
Commodities		269		4			(1	)		3
Indices		691,934		495			241			736
Interbank market		11,623		21			96			117
Foreign currency		24,134		679			(150	)		529
Fixed rate		129		6			(5	)		1
Securities		8,753		252			51			303
Other		14		—			—			—
Purchase commitments – short position		88,688		(1,008	)		(229	)		(1,237	)
Commodities		278		(6	)		(14	)		(20	)
Indices		30,554		(168	)		22			(146	)
Interbank market		23,574		(31	)		31			—
Foreign currency		27,774		(719	)		247			(472	)
Fixed rate		77		(2	)		—			(2	)
Securities		6,347		(73	)		(495	)		(568	)
Other		84		(9	)		(20	)		(29	)
Commitments to sell – short position		776,771		(1,253	)		(303	)		(1,556	)
Commodities		222		(8	)		4			(4	)
Indices		737,942		(505	)		(249	)		(754	)
Interbank market		8,722		(18	)		(86	)		(104	)
Foreign currency		23,833		(549	)		104			(445	)
Fixed rate		41		(1	)		1			—
Securities		5,998		(172	)		(77	)		(249	)
Other		13		—			—			—


	Off-balance sheet notional amount		Balance sheet account receivable / (received) (payable) paid			Adjustment to market value (in results / stockholders’ equity)			Fair value
	12/31/2017		12/31/2017			12/31/2017			12/31/2017
Forward operations (onshore)		9,954		639			—			639
Purchases receivable		1,654		1,861			—			1,861
Floating rate		499		499			—			499
Fixed rate		1,130		1,337			—			1,337
Securities		25		25			—			25
Purchases payable		—		(1,644	)		—			(1,644	)
Floating rate		—		(499	)		—			(499	)
Fixed rate		—		(1,145	)		—			(1,145	)
Sales receivable		737		5,049			1			5,050
Indices		31		31			—			31
Floating rate		—		1,873			—			1,873
Fixed rate		—		2,447			—			2,447
Securities		706		698			1			699
Sales deliverable		7,563		(4,627	)		(1	)		(4,628	)
Interbank market		3,261		—			—			—
Floating rate		1,874		(1,873	)		(1	)		(1,874	)
Fixed rate		2,428		(2,754	)		—			(2,754	)
Credit derivatives		10,110		(30	)		109			79
Asset position		5,831		38			99			137
Indices		6		1			—			1
Foreign currency		3,588		15			28			43
Fixed rate		89		—			2			2
Securities		1,744		20			59			79
Other		404		2			10			12
Liability position		4,279		(68	)		10			(58	)
Indices		761		(7	)		(1	)		(8	)
Foreign currency		2,582		(40	)		9			(31	)
Securities		765		(20	)		4			(16	)
Other		171		(1	)		(2	)		(3	)
NDF—Non Deliverable Forward		252,628		(948	)		153			(795	)
Asset position		119,312		2,781			169			2,950
Commodities		81		6			1			7
Indices		1		—			—			—
Foreign currency		119,230		2,775			168			2,943
Liability position		133,316		(3,729	)		(16	)		(3,745	)
Commodities		175		(14	)		—			(14	)
Indices		249		(6	)		—			(6	)
Foreign currency		132,880		(3,708	)		(16	)		(3,724	)
Securities		12		(1	)		—			(1	)
Check of swap		955		(73	)		19			(54	)
Asset position—Foreign currency		514		—			68			68
Liability position—Interbank market		441		(73	)		(49	)		(122	)
Other derivative financial instruments		4,225		90			(62	)		28
Asset position		2,464		100			(8	)		92
Foreign currency		126		—			2			2
Fixed rate		1,792		99			(18	)		81
Securities		388		1			5			6
Other		158		—			3			3
Liability position		1,761		(10	)		(54	)		(64	)
Foreign currency		35		(7	)		5			(2	)
Fixed rate		83		(1	)		(2	)		(3	)
Securities		1,285		(2	)		(47	)		(49	)
Other		358		—			(10	)		(10	)
Asset				16,180			6,663			22,843
Liability				(20,812	)		(5,934	)		(26,746	)
Total				(4,632	)		729			(3,903	)

Derivative contracts mature as follows (in days):


Off-balance sheet – notional amount	0 - 30		31 - 180		181 - 365		Over 365		12/31/2017
Futures contracts		187,771		152,660		87,819		179,730		607,980
Swaps contracts—difference payable		29,734		96,849		86,922		368,439		581,944
Options		418,679		290,491		457,164		681,495		1,847,829
Forwards (onshore)		6,997		1,933		1,024		—		9,954
Credit derivatives		—		510		1,230		8,370		10,110
NDF—Non Deliverable Forward		63,446		136,650		39,109		13,423		252,628
Check of swap		—		293		—		662		955
Other derivative financial instruments		—		474		851		2,900		4,225

(*)

The book value of futures considers only the amount payable or receivable related to the last day of the quarter.

The following table shows the composition of derivatives by index:


	Off-balance sheet notional amount		Balance sheet account receivable / (received) (payable) paid			Adjustment to market value (in results / stockholders’ equity)			Fair value
	12/31/2016		12/31/2016			12/31/2016			12/31/2016
*Futures contracts ^()**		666,927		61			66			127
Purchase commitments		200,752		(237	)		86			(151	)
Commodities		147		—			—			—
Indices		47,295		(213	)		3			(210	)
Interbank market		109,649		1			—			1
Foreign currency		31,141		(25	)		83			58
Securities		12,520		—			—			—
Commitments to sell		466,175		298			(20	)		278
Commodities		284		—			—			—
Indices		169,930		306			(1	)		305
Interbank market		213,991		(11	)		1			(10	)
Foreign currency		70,719		3			(22	)		(19	)
Fixed rate		941		—			2			2
Securities		10,275		—			—			—
Other		35		—			—			—
Swap contracts				(4,446	)		1,767			(2,679	)
Asset position		471,221		6,602			3,940			10,542
Commodities		5		—			—			—
Indices		196,505		794			456			1,250
Interbank market		47,210		1,897			7			1,904
Foreign currency		13,582		1,136			(1	)		1,135
Floating rate		38,262		(21	)		1,471			1,450
Fixed rate		175,609		2,795			2,007			4,802
Securities		12		—			—			—
Other		36		1			—			1
Liability position		475,667		(11,048	)		(2,173	)		(13,221	)
Commodities		131		—			—			—
Indices		147,560		(2,729	)		(2,115	)		(4,844	)
Interbank market		36,554		(328	)		(68	)		(396	)
Foreign currency		21,156		(915	)		17			(898	)
Floating rate		36,438		(140	)		(1,204	)		(1,344	)
Fixed rate		233,780		(6,926	)		1,195			(5,731	)
Securities		20		(10	)		2			(8	)
Other		28		—			—			—
Option contracts		583,527		(2,108	)		2,348			240
Purchase commitments – long position		163,069		1,490			(625	)		865
Commodities		404		16			1			17
Indices		99,978		111			(8	)		103
Interbank market		1,247		1			20			21
Foreign currency		45,106		1,205			(835	)		370
Fixed rate		11		—			—			—
Securities		16,254		150			187			337
Other		69		7			10			17
Commitments to sell – long position		142,234		1,713			2,214			3,927
Commodities		162		4			5			9
Indices		92,088		106			(9	)		97
Interbank market		7,533		6			(2	)		4
Foreign currency		33,078		1,348			2,101			3,449
Fixed rate		145		6			(3	)		3
Securities		9,211		243			122			365
Other		17		—			—			—
Purchase commitments – short position		129,392		(2,674	)		1,721			(953	)
Commodities		239		(3	)		(8	)		(11	)
Indices		83,283		(161	)		29			(132	)
Interbank market		95		—			—			—
Foreign currency		39,900		(2,447	)		1,875			(572	)
Fixed rate		94		(1	)		—			(1	)
Securities		5,599		(54	)		(166	)		(220	)
Other		182		(8	)		(9	)		(17	)
Commitments to sell – short position		148,832		(2,637	)		(962	)		(3,599	)
Commodities		268		(17	)		(3	)		(20	)
Indices		104,268		(137	)		51			(86	)
Interbank market		3,438		(10	)		2			(8	)
Foreign currency		34,132		(2,258	)		(884	)		(3,142	)
Fixed rate		28		(1	)		—			(1	)
Securities		6,681		(214	)		(128	)		(342	)
Other		17		—			—			—


	Off-balance sheet notional amount		Balance sheet account receivable / (received) (payable) paid			Adjustment to market value (in results / stockholders’ equity)			Fair value
	12/31/2016		12/31/2016			12/31/2016			12/31/2016
Forwards operations (onshore)		13,429		1,446			(5	)		1,441
Purchases receivable		1,186		1,240			(5	)		1,235
Floating rate		546		545			1			546
Fixed rate		395		450			—			450
Securities		245		245			(6	)		239
Purchases payable		—		(971	)		—			(971	)
Floating rate		—		(545	)		—			(545	)
Fixed rate		—		(421	)		—			(421	)
Securities		—		(5	)		—			(5	)
Sales receivable		8,139		3,734			2			3,736
Interbank market		4,396		8			—			8
Floating rate		300		300			—			300
Fixed rate		2,250		2,257			—			2,257
Securities		1,193		1,169			2			1,171
Sales deliverable		4,104		(2,557	)		(2	)		(2,559	)
Interbank market		4,104		—			(2	)		(2	)
Floating rate		—		(300	)		—			(300	)
Fixed rate		—		(2,257	)		—			(2,257	)
Credit derivatives		12,100		—			34			34
Asset position		5,306		190			(9	)		181
Foreign currency		3,876		188			(56	)		132
Fixed rate		114		—			2			2
Securities		1,161		2			41			43
Other		155		—			4			4
Liability position		6,794		(190	)		43			(147	)
Foreign currency		5,487		(189	)		70			(119	)
Fixed rate		33		(1	)		—			(1	)
Securities		974		—			(21	)		(21	)
Other		300		—			(6	)		(6	)
NDF—Non Deliverable Forward		250,775		472			162			634
Asset position		134,049		3,283			176			3,459
Commodities		206		18			1			19
Indices		148		9			—			9
Foreign currency		133,693		3,256			175			3,431
Securities		2		—			—			—
Liability position		116,726		(2,811	)		(14	)		(2,825	)
Commodities		244		(27	)		2			(25	)
Indices		27		—			—			—
Foreign currency		116,437		(2,784	)		(16	)		(2,800	)
Securities		18		—			—			—
Check of swap		1,493		(326	)		61			(265	)
Asset position—Foreign currency		923		18			70			88
Liability position—Interbank market		570		(344	)		(9	)		(353	)
Other derivative financial instruments		4,217		45			(44	)		1
Asset position		2,569		48			23			71
Foreign currency		148		(3	)		8			5
Fixed rate		1,174		48			(5	)		43
Securities		940		3			14			17
Other		307		—			6			6
Liability position		1,648		(3	)		(67	)		(70	)
Commodities		2		—			—			—
Foreign currency		84		—			(32	)		(32	)
Fixed rate		81		(1	)		(1	)		(2	)
Securities		1,317		(2	)		(30	)		(32	)
Other		164		—			(4	)		(4	)
Asset				18,379			5,852			24,231
Liability				(23,235	)		(1,463	)		(24,698	)
Total				(4,856	)		4,389			(467	)

Derivative contracts mature as follows (in days):


Off-balance sheet—notional amount	0 - 30		31 - 180		181 - 365		Over 365		12/31/2016
Futures contracts		184,309		221,487		50,749		210,382		666,927
Swaps contracts—difference payable		17,588		67,405		50,000		329,626		464,619
Options		191,242		191,998		175,220		25,067		583,527
Forwards (onshore)		9,197		4,230		2		—		13,429
Credit derivatives		—		1,233		1,098		9,769		12,100
NDF—Non Deliverable Forward		63,764		124,695		42,700		19,616		250,775
Check of swap		—		180		913		400		1,493
Other derivative financial instruments		32		579		418		3,188		4,217

(*)

The book value of futures considers only the amount payable or receivable related to the last day of the quarter.

Derivative financial instruments

See below the composition of the Derivative financial instruments portfolio (assets and liabilities) by type of instrument, stated fair value, and by maturity.


	12/31/2017
	Fair value		%		0-30 days		31-90 days		91-180 days			181-365 days			366-720 days		Over 720 days
Assets
Futures contracts—B3		158		0.7		153		11		(2	)		(3	)		38		(39	)
Swaps – difference receivable		9,190		40.2		189		187		327			744			1,661		6,082
B3		1,161		5.1		63		26		39			109			95		829
Companies		2,834		12.4		66		40		95			245			400		1,988
Financial institutions		4,647		20.3		59		121		192			237			1,010		3,028
Individuals		548		2.4		1		—		1			153			156		237
Option premiums		3,337		14.6		430		440		353			955			865		294
B3		1,715		7.5		374		274		96			515			396		60
Companies		580		2.6		27		45		64			117			210		117
Financial institutions		1,039		4.5		29		121		192			321			259		117
Individuals		3		0.0		—		—		1			2			—		—
Forwards (onshore)		6,911		30.3		6,529		293		46			43			—		—
B3		755		3.3		386		281		46			42			—		—
Companies		6,156		27.0		6,143		12		—			1			—		—
Credit derivatives—financial Institutions		137		0.6		—		—		1			8			21		107
NDF—Non Deliverable Forward		2,950		12.9		677		717		624			610			166		156
B3		644		2.8		195		166		194			89			—		—
Companies		819		3.6		184		238		165			120			68		44
Financial institutions		1,485		6.5		298		313		264			400			98		112
Individuals		2		0.0		—		—		1			1			—		—
Check of swap—Companies		68		0.3		—		—		6			—			—		62
Other		92		0.4		—		—		—			3			5		84
Companies		11		0.0		—		—		—			2			3		6
Financial institutions		81		0.4		—		—		—			1			2		78

*Total ^()**		22,843		100.0		7,978		1,648		1,355			2,360			2,756		6,746
% per maturity term						34.9		7.2		5.9			10.3			12.1		29.6

(*)

Of the total asset portfolio of Derivative Financial Instruments, R$ 13,341 refers to current and R$ 9,502 to non-current.

Derivative financial instruments

See below the composition of the Derivative Financial Instruments portfolio (assets and liabilities) by type of instrument, stated fair value and by maturity.


	12/31/2016
	Fair value			%		0-30 days		31-90 days			91-180 days		181-365 days			366-720 days			Over 720 days
Assets
Futures		127			0.5		85		51			13		(18	)		(6	)		2
B3		128			0.5		85		52			13		(18	)		(6	)		2
Financial institutions		(1	)		0.0		—		(1	)		—		—			—			—
Swaps – difference receivable		10,542			43.5		828		723			585		659			1,497			6,250
B3		1,417			5.8		178		156			218		58			206			601
Companies		4,585			18.9		322		354			227		390			764			2,528
Financial institutions		4,256			17.6		319		197			122		196			447			2,975
Individuals		284			1.2		9		16			18		15			80			146
Option premiums		4,792			19.7		354		582			759		1,540			1,397			160
B3		1,679			6.9		144		209			182		1,075			41			28
Companies		507			2.1		23		19			88		134			188			55
Financial institutions		2,603			10.7		187		354			488		329			1,168			77
Individuals		3			0.0		—		—			1		2			—			—
Forwards (onshore)		4,971			20.6		3,947		735			287		2			—			—
B3		1,418			5.9		427		703			286		2			—			—
Companies		2,783			11.5		2,750		32			1		—			—			—
Financial institutions		770			3.2		770		—			—		—			—			—
Credit derivatives—financial institutions		181			0.7		—		—			3		5			13			160
NDF—Non Deliverable Forward		3,459			14.3		601		1,252			444		579			245			338
B3		305			1.3		82		123			56		44			—			—
Companies		1,243			5.1		185		344			216		231			200			67
Financial institutions		1,908			7.9		333		783			172		304			45			271
Individuals		3			0.0		1		2			—		—			—			—
Check of swap—Companies		88			0.4		—		—			35		53			—			—
Other		71			0.3		—		—			1		6			13			51
Companies		29			0.1		—		—			—		5			8			16
Financial institutions		42			0.2		—		—			1		1			5			35

*Total ^()**		24,231			100.0		5,815		3,343			2,127		2,826			3,159			6,961
% per maturity term							24.0		13.8			8.8		11.7			13.0			28.7

(*)

Of the total asset portfolio of Derivative Financial Instruments, R$ 14,111 refers to current and R$ 10,120 to non-current.


	12/31/2017
	Fair value			%		0 - 30 days			31 - 90 days			91 - 180 days			181 - 365 days			366 - 720 days			Over 720 days
Liabilities
Swaps – Difference payable		(13,692	)		51.2		(65	)		(202	)		(451	)		(1,711	)		(3,747	)		(7,516	)
B3		(1,515	)		5.7		(3	)		(17	)		(29	)		(128	)		(211	)		(1,127	)
Companies		(2,251	)		8.4		(24	)		(77	)		(224	)		(347	)		(497	)		(1,082	)
Financial institutions		(5,585	)		20.9		(30	)		(97	)		(184	)		(203	)		(1,270	)		(3,801	)
Individuals		(4,341	)		16.2		(8	)		(11	)		(14	)		(1,033	)		(1,769	)		(1,506	)
Option premiums		(2,793	)		10.4		(332	)		(174	)		(304	)		(821	)		(889	)		(273	)
B3		(1,286	)		4.8		(279	)		(49	)		(102	)		(412	)		(429	)		(15	)
Companies		(672	)		2.5		(25	)		(44	)		(99	)		(140	)		(247	)		(117	)
Financial institutions		(829	)		3.1		(28	)		(81	)		(101	)		(268	)		(210	)		(141	)
Individuals		(6	)		0.0		—			—			(2	)		(1	)		(3	)		—
Forwards (onshore)—Companies		(6,272	)		23.5		(6,272	)		—			—			—			—			—
Credit derivatives—Financial institutions		(58	)		0.2		—			—			(1	)		(2	)		(7	)		(48	)
NDF—Non Deliverable Forward		(3,745	)		14.0		(927	)		(735	)		(547	)		(785	)		(225	)		(526	)
B3		(638	)		2.4		(289	)		(134	)		(155	)		(60	)		—			—
Companies		(750	)		2.8		(145	)		(266	)		(128	)		(131	)		(50	)		(30	)
Financial institutions		(2,356	)		8.8		(493	)		(335	)		(263	)		(594	)		(175	)		(496	)
Individuals		(1	)		0.0		—			—			(1	)		—			—			—
Check of swap—Companies		(122	)		0.5		—			—			(73	)		—			—			(49	)
Other—Companies		(64	)		0.2		—			(2	)		(2	)		(6	)		(9	)		(45	)

*Total ^()**		(26,746	)		100.0		(7,596	)		(1,113	)		(1,378	)		(3,325	)		(4,877	)		(8,457	)
% per maturity term							28.4			4.2			5.2			12.4			18.2			31.6

(*)

Of the total liability portfolio of Derivative Financial Instruments, R$ (13,412) refers to current and R$ (13,334) to non-current.


	12/31/2016
	Fair value			%		0 - 30 days			31 - 90 days			91 - 180 days			181 - 365 days			366 - 720 days			Over 720 days
Liabilities
Swaps – difference payable		(13,221	)		53.4		(461	)		(228	)		(742	)		(732	)		(2,352	)		(8,706	)
B3		(1,614	)		6.5		(304	)		(75	)		(124	)		(97	)		(125	)		(889	)
Companies		(2,531	)		10.2		(67	)		(32	)		(90	)		(248	)		(573	)		(1,521	)
Financial institutions		(4,106	)		16.6		(79	)		(103	)		(128	)		(311	)		(554	)		(2,931	)
Individuals		(4,970	)		20.1		(11	)		(18	)		(400	)		(76	)		(1,100	)		(3,365	)
Option premiums		(4,552	)		18.5		(837	)		(659	)		(516	)		(713	)		(1,116	)		(711	)
B3		(1,437	)		5.8		(524	)		(216	)		(201	)		(455	)		(30	)		(11	)
Companies		(631	)		2.6		(48	)		(28	)		(103	)		(170	)		(200	)		(82	)
Financial institutions		(2,463	)		10.0		(265	)		(414	)		(208	)		(81	)		(882	)		(613	)
Individuals		(21	)		0.1		—			(1	)		(4	)		(7	)		(4	)		(5	)
Forwards (onshore)		(3,530	)		14.3		(3,530	)		—			—			—			—			—
B3		(6	)		0.0		(6	)		—			—			—			—			—
Companies		(2,754	)		11.2		(2,754	)		—			—			—			—			—
Financial institutions		(770	)		3.1		(770	)		—			—			—			—			—
Credit derivatives—Financial institutions		(147	)		0.6		—			—			—			(2	)		(10	)		(135	)
NDF—Non Deliverable Forward		(2,825	)		11.5		(466	)		(881	)		(527	)		(299	)		(99	)		(553	)
B3		(259	)		1.0		(102	)		(76	)		(41	)		(40	)		—			—
Companies		(648	)		2.6		(166	)		(158	)		(124	)		(129	)		(37	)		(34	)
Financial institutions		(1,916	)		7.9		(198	)		(647	)		(360	)		(130	)		(62	)		(519	)
Individuals		(2	)		0.0		—			—			(2	)		—			—			—
Check of swap—Companies		(353	)		1.4		—			—			—			(214	)		(139	)		—
Other—Companies		(70	)		0.3		—			(1	)		(1	)		(1	)		(10	)		(57	)

*Total ^()**		(24,698	)		100.0		(5,294	)		(1,769	)		(1,786	)		(1,961	)		(3,726	)		(10,162	)
% per maturity term							21.4			7.2			7.2			7.9			15.1			41.2

(*)

Of the total liability portfolio of Derivative Financial Instruments, R$ (10,810) refers to current and R$ (13,888) to non-current.

a)	Information on credit derivatives

ITAÚ UNIBANCO HOLDING buys and sells credit protection mainly related to securities of Brazilian listed companies in order to meet the needs of its customers. When ITAÚ UNIBANCO HOLDING sells contracts for credit protection, the exposure for a given reference entity may be partially or totally offset by a credit protection purchase contract of another counterparty for the same reference entity or similar entity. The credit derivatives for which ITAÚ UNIBANCO HOLDING is protection seller are credit default swaps.

Credit Default Swaps – CDS

CDS are credit derivatives in which, upon a credit event related to the reference entity pursuant to the terms of the contract, the protection buyer is entitled to receive, from the protection seller, the amount equivalent to the difference between the face value of the CDS contract and the fair value of the liability on the date the contract was settled, also known as the recovered amount. The protection buyer does not need to hold the debt instrument of the reference entity for it to receive the amounts due pursuant to the CDS contract terms when a credit event occurs.

The table below presents the portfolio of credit derivatives in which ITAÚ UNIBANCO HOLDING sells protection to third parties, by maturity, and the maximum potential of future payments, gross of any guarantees, as well as its classification by instrument, risk and reference entity.


	12/31/2017
	Maximum potential of future payments, gross		Before 1 year		From 1 to 3 years		From 3 to 5 years		Over 5 years
By instrument
CDS		6,416		1,200		2,412		2,804		—

Total by instrument		6,416		1,200		2,412		2,804		—

By risk rating
Investment grade		1,416		449		347		620		—
Below investment grade		5,000		751		2,065		2,184		—

Total by risk		6,416		1,200		2,412		2,804		—

By reference entity
Brazilian government		3,597		406		1,671		1,520		—
Government – abroad		329		144		90		95		—
Private entities		2,490		650		651		1,189		—

Total by entity		6,416		1,200		2,412		2,804		—


	12/31/2016
	Maximum potential of future payments, gross		Before 1 year		From 1 to 3 years		From 3 to 5 years		Over 5 years
By instrument
CDS		8,094		1,989		3,487		2,585		33

Total by instrument		8,094		1,989		3,487		2,585		33

By risk rating
Investment grade		1,854		564		974		283		33
Below investment grade		6,240		1,425		2,513		2,302		—

Total by risk		8,094		1,989		3,487		2,585		33

By reference entity
Brazilian government		5,163		1,291		1,806		2,066		—
Government – abroad		529		81		413		35		—
Private entities		2,402		617		1,268		484		33

Total by entity		8,094		1,989		3,487		2,585		33

ITAÚ UNIBANCO HOLDING assesses the risk of a credit derivative based on the credit ratings attributed to the reference entity by independent credit rating agencies. Investment grade are those entities for which credit risk is rated as Baa3 or higher, as rated by Moody’s, and BBB- or higher, according to the ratings of Standard & Poor’s and Fitch Ratings. The maximum potential loss that may be incurred with the credit derivative is based on the notional amount of the derivative. ITAÚ UNIBANCO HOLDING believes, based on its historical experience, that the amount of the maximum potential loss does not represent the actual level of loss. This is so because, should there be an event of loss, the amount of maximum potential loss should be reduced from the notional amount by the recoverable amount.

The credit derivatives sold are not covered by guarantees, and during this period, ITAÚ UNIBANCO HOLDING has not incurred any loss related to credit derivative contracts.

The following table presents the notional amount of purchased credit derivatives whose underlying amounts are identical to those for which ITAÚ UNIBANCO HOLDING operates as seller of the credit protection.

12/31/2017

Notional amount of credit
protection sold

Notional amount of credit protection
purchased with identical underlying
amount

Net position

CDS

(6,416

)

3,694

(2,722

)

Total

(6,416

)

3,694

(2,722

)

12/31/2016

Notional amount of credit
protection sold

Notional amount of credit protection
purchased with identical underlying
amount

Net position

CDS

(8,094

)

4,006

(4,088

)

Total

(8,094

)

4,006

(4,088

)

b)	Financial instruments subject to offsetting, enforceable master netting arrangements and similar agreements

The following tables set forth the financial assets and liabilities that are subject to offsetting, enforceable master netting arrangements, as well as how these financial assets and liabilities have been presented in ITAÚ UNIBANCO HOLDING’s consolidated financial statements. These tables also reflect the amounts of collateral pledged or received in relation to financial assets and liabilities subject to enforceable arrangements that have not been presented on a net basis in accordance with IAS 32.

Financial assets subject to offsetting, enforceable master netting arrangements and similar agreements:


	12/31/2017
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position	Net amount of financial assets presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position			Financial instruments ⁽³⁾			Cash collateral received			Net amount
Securities purchased under agreements to resell		244,707	—		244,707		(575	)		—			244,132
Derivatives		22,843	—		22,843		(3,138	)		—			19,705

	12/31/2016
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position	Net amount of financial assets presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial assets ⁽¹⁾		Gross amount offset in the statement of financial position			Financial instruments ⁽³⁾			Cash collateral received			Net amount
Securities purchased under agreements to resell		265,051	—		265,051		(334	)		—			264,717
Derivatives		24,231	—		24,231		(4,039	)		(540	)		19,652

Financial liabilities subject to offsetting, enforceable master netting arrangements and similar agreements:

	12/31/2017
	Gross amount of recognized financial liabilities ⁽¹⁾		Gross amount offset in the statement of financial position	Net amount of financial liabilities presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial liabilities ⁽¹⁾		Gross amount offset in the statement of financial position			Financial instruments ⁽³⁾			Cash collateral pledged			Net amount
Securities sold under repurchase agreements		312,634	—		312,634		(14,489	)		—			298,145
Derivatives		26,746	—		26,746		(3,138	)		(452	)		23,156

	12/31/2016
	Gross amount of recognized financial liabilities ⁽¹⁾		Gross amount offset in the statement of financial position	Net amount of financial liabilities presented in the statement of financial position		Related amounts not offset in the statement of financial position ⁽²⁾						Net amount
	Gross amount of recognized financial liabilities ⁽¹⁾		Gross amount offset in the statement of financial position			Financial instruments ⁽³⁾			Cash collateral pledged			Net amount
Securities sold under repurchase agreements		349,164	—		349,164		(17,829	)		—			331,335
Derivatives		24,698	—		24,698		(4,039	)		—			20,659

(1)

Includes amounts of master offset agreements and other such agreements, both enforceable and unenforceable;

(2)

Limited to amounts subject to enforceable master offset agreements and other such agreements;

(3)

Includes amounts subject to enforceable master offset agreements and other such agreements, and guarantees in financial instruments.

Financial assets and financial liabilities are offset in the balance sheet only when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or realize the asset and settle the liability simultaneously.

Derivatives and repurchase agreements not set off in the balance sheet relate to transactions in which there are enforceable master netting agreements or similar agreements, but the offset criteria have not been met in accordance with paragraph 42 of IAS 32 mainly because ITAÚ UNIBANCO HOLDING has no intention to settle on a net basis, or realize the asset and settle the liability simultaneously.

Itau Unibanco Holding S.A. | CIK:0001132597 |

ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory