| Risk and Capital Management | Note 32 - Risk and Capital
Management a) Corporate Governance ITAÚ UNIBANCO HOLDING invests
in robust risk management processes and capital management that are the basis for its strategic decisions to ensure business sustainability
and maximize shareholder value creation. These processes are aligned with the guidelines
of the Board of Directors and Executive which, through collegiate bodies, define the global objectives expressed as targets and limits
for the business units that manage risk. Control and capital management units, in turn, support ITAÚ UNIBANCO HOLDING’s
management by monitoring and analyzing risk and capital. The Board of Directors is the main body
responsible for establishing guidelines, policies and approval levels for risk and capital management. The Capital and Risk Management
Committee (CGRC), in turn, is responsible for supporting the Board of Directors in managing capital and risk. At the executive level,
collegiate bodies, presided over by the Chief Executive Officer (CEO) of ITAÚ UNIBANCO HOLDING, are responsible for capital
and risk management, and their decisions are monitored by the CGRC. Additionally, ITAÚ UNIBANCO
HOLDING has collegiate bodies with capital and risk management responsibilities delegated to them, under the responsibility of the CRO
(Chief Risk Officer). To support this structure, the Risk Department has departments to ensure, on an independent and centralized basis,
that the institution’s risks and capital are managed in compliance with the defined policies and procedures. ITAÚ UNIBANCO HOLDING's management
model is made up of: • • • b) Risk Management Risk Appetite The risk appetite of ITAÚ UNIBANCO
HOLDING is based on the Board of Director’s statement: “We are a universal bank, operating
predominantly in Latin America. Supported by our risk culture, we operate based on rigorous ethical and regulatory compliance standards,
seeking high and growing results, with low volatility, by means of the long-lasting relationship with clients, correctly pricing risks,
well-distributed fund-raising and proper use of capital.” Based on this statement, six dimensions
have been defined, each dimension consists of a set of metrics associated with the main risks involved, combining supplementary measurement
methods, to give a comprehensive vision of our exposure. The Board of Directors is responsible for
approving guidelines and limits for risk appetite, with the support of CGRC and the CRO. The limits for risk appetite are monitored
regularly and reported to risk committees and to the Board of Directors, which will oversee the preventive measures to be taken to ensure
that exposure is aligned with the strategies of ITAÚ UNIBANCO HOLDING. Foremost among processes for proper risk
and capital management are the Risk Appetite Statement (RAS) and the implementation of a continuous, integrated risk management structure,
the stress test program, the establishment of a Risk Committee, and the nomination at BACEN of a Chief Risk Officer (CRO), with roles
and responsibilities assigned, and requirements for independence. The six dimensions of risk appetite are: • Capitalization: • Liquidity: • Composition
of results: • Operational
risk: • Reputation: • Customer: Risk appetite, risk management and guidelines
for employees of ITAÚ UNIBANCO HOLDING for routine decision-making purposes are based on: • Sustainability
and customer satisfaction: • Risk
culture: • Risk
pricing: • Diversification: • Operational
excellence: • Ethics
and respect for regulations: ITAÚ UNIBANCO HOLDING has various
ways of disseminating risk culture, based on four principles: conscious risk-taking, discussion of the risks the institution faces, the
corresponding action taken, and the responsibility of everyone for managing risk. These principles serve as a basis for ITAÚ
UNIBANCO HOLDING guidelines, helping employees to conscientiously understand, identify, measure, manage and mitigate risks. I - Credit risk The possibility of losses arising from failure
by a borrower, issuer or counterparty to meet their financial obligations, the impairment of a loan due to downgrading of the risk rating
of the borrower, the issuer or the counterparty, a decrease in earnings or remuneration, advantages conceded on renegotiation or the costs
of recovery. There is a credit risk control and management
structure, centralized and independent from the business units, that provides for operating limits and risk mitigation mechanisms, and
also establishes processes and tools to measure, monitor and control the credit risk inherent in all products, portfolio concentrations
and impacts of potential changes in the economic environment. The credit policy of ITAÚ UNIBANCO
HOLDING is based on internal criteria such as: classification of customers, portfolio performance and changes, default levels, rate
of return and economic capital allocated, among others, and also take into account external factors such as interest rates, market default
indicators, inflation, changes in consumption, and so on. For personal customers and small and middle-market
companies, credit rating is based on statistical application models (at the early stages of the relationship with a customer) and behavior
score (used for customers with which ITAÚ UNIBANCO HOLDING already has a relationship). For large companies, the rating is based
on information such as economic and financial condition of the counterparty, their cash-generating capability, the economic group to which
they belong, and the current and prospective situation of the economic sector in which they operate, in accordance with the guidelines
of the Sustainability and Social and Environmental Responsibility Policy (PRSA) and specific manuals and procedures of ITAÚ
UNIBANCO HOLDING. Credit proposals are analyzed on a case by case basis, through an approval-level mechanism. ITAÚ UNIBANCO HOLDING strictly controls
the credit exposure of customers and counterparties, taking action to address situations in which the current exposure exceeds what is
desirable. For this purpose, measures provided for in loan agreements are available, such as accelerated maturity or a requirement for
additional collateral. I.I - Collateral and policies for mitigating
credit risk ITAÚ UNIBANCO HOLDING uses guarantees
to increase its capacity for recovery in operations exposed to credit risk. The guarantees may be personal, secured, legal structures
with mitigating power and offset agreements. For collateral to be considered instruments
that mitigate credit risk, it must comply with the requirements and standards that regulate such instruments, both internal and external
ones, and they must be legally valid (effective), enforceable, and assessed on a regular basis. ITAÚ UNIBANCO HOLDING also uses
credit derivatives, to mitigate credit risk of its portfolios of loans and securities. These instruments are priced based on models that
use the fair value of market inputs, such as credit spreads, recovery rates, correlations and interest rates. I.II - Governance and measurement of
expected credit loss Both the credit risk and the finance areas
are responsible for defining the methods used to measure expected loan losses and for periodically assessing changes in the provision
amounts. These areas monitor the trends observed
in provisions for expected credit losses by business, in addition to establishing an initial understanding of the variables that may trigger
changes in the allowance for loan losses, the probability of default (PD) or the loss given default (LGD). Once the trends have been identified and
an initial assessment of the variables has been made at the corporate level, the business areas are responsible for further analyzing
these trends in more detail and for each business, in order to understand the underlying reasons for the trends and to decide whether
changes are required in credit policies. ITAÚ UNIBANCO HOLDING calculates
the expected credit loss of the Retail business portfolio by multiplying the expected historical credit loss by the EAD (Exposure at Default)
amount. For the Wholesale business portfolio, the PD, LGD and EAD parameters are multiplied. Sensitivity analysis ITAÚ UNIBANCO HOLDING prepares studies on the impact of estimates in the calculation of expected credit loss. The expected loss models use three different scenarios: Optimistic, Base and Pessimistic. In Brazil, where operations are substantially carried out, these scenarios are combined by weighting their probabilities: 15 55 30 The table below shows the amount of financial assets at amortized cost and at fair value through other comprehensive income, expected loss and the impacts on the calculation of expected credit loss in the adoption of 100
Schedule of financial assets at amortized cost and at fair value
12/31/2023 12/31/2022
Financial Assets
(1) Expected Loss Reduction/(Increase)
of Expected Loss Financial Assets
(1) Expected Loss Reduction/(Increase)
of Expected Loss
Pessimistic scenario Base scenario Optimistic scenario Pessimistic scenario Base scenario Optimistic scenario
1,302,826 (51,884) (2,298) 422 1,090 1,256,752 (54,476) (530) 198 530
1) Composed of Loan operations, lease operations
and securities. Expected loss comprises Expected credit
loss for Financial guarantees R$ (887) (810) (3,311) (2,874) I.III - Classification of Stages of Credit
Impairment The accounting policy on expected credit
loss is presented in Note 2c IV. ITAÚ UNIBANCO HOLDING uses customers’
internal information, statistic models, days of default and quantitative analysis in order to determine the credit risk of the financial
assets. The rules to change stage are determined
according to historical behavior of ITAÚ UNIBANCO HOLDING’s product portfolios and consider: • Stage
1 to stage 2: For Retail business portfolios, ITAÚ
UNIBANCO HOLDING migrates credit contracts overdue for over 30 days to stage 2, except payroll loans to public bodies (45 days in arrears)
and INSS (15 days in arrears) due to the dynamics of product transfer payments and portfolio risk. For agreements with delay less than 30 days,
the migration to stage 2 occurs if the financial asset exceeds the allowance for loan losses established by the risk appetite approved
by ITAÚ UNIBANCO HOLDING’s Management for each portfolio, whereas the others remain in stage 1. For the Wholesale business portfolio, ITAÚ
UNIBANCO HOLDING migrates to stage 2 the contracts of the same economic subgroup when there is a delay exceeding 30 days in an amount
considered material. For contracts overdue for less than 30 days,
ITAÚ UNIBANCO HOLDING determines a rating limit by economic subgroup that, if exceeded, causes the migration of all economic subgroup’s
contracts to stage 2. If the economic subgroup’s rating is lower than the limit established for stage 2, the significant increase
in credit risk is verified through the relative variation of the economic subgroup’s rating in relation to the rating established
12 months before. • Stage
3: After a certain credit status has been defined
for an agreement, it is classified in one of the three stages of credit deterioration. Based on this classification, rules for measuring
expected credit loss in each stage are used, as described in Note 2c IV. I.IV - Maximum Exposure of Financial Assets
to Credit Risk
Schedule of maximum exposure of financial assets
to credit risk
12/31/2023 12/31/2022
Brazil Abroad Total Brazil Abroad Total
Financial Assets 1,772,360 466,854 2,239,214 1,543,194 511,277 2,054,471
At Amortized Cost 1,206,141 334,680 1,540,821 1,112,594 350,447 1,463,041
Interbank deposits 22,248 28,759 51,007 18,955 40,637 59,592
Securities purchased under agreements to resell 235,656 2,665 238,321 218,339 3,440 221,779
Securities 227,232 33,511 260,743 185,658 27,368 213,026
Loan and lease operations 658,471 252,119 910,590 636,836 272,586 909,422
Other financial assets 102,555 25,144 127,699 96,081 13,828 109,909
(-) Provision for Expected Loss (40,021) (7,518) (47,539) (43,275) (7,412) (50,687)
At Fair Value Through Other Comprehensive Income 53,130 76,909 130,039 54,134 72,614 126,748
Securities 53,130 76,909 130,039 54,134 72,614 126,748
At Fair Value Through Profit or Loss 513,089 55,265 568,354 376,466 88,216 464,682
Securities 497,042 14,710 511,752 364,039 21,060 385,099
Derivatives 14,696 40,555 55,251 11,052 67,156 78,208
Other financial assets 1,351 - 1,351 1,375 - 1,375
Financial liabilities - provision for expected loss 3,706 492 4,198 3,040 644 3,684
Loan Commitments 3,062 249 3,311 2,622 252 2,874
Financial Guarantees 644 243 887 418 392 810
Off-balance sheet 485,517 68,033 553,550 472,372 72,005 544,377
Financial Guarantees 83,413 19,209 102,622 71,524 20,255 91,779
Letters of credit to be released 20,850 - 20,850 47,354 - 47,354
Loan commitments 381,254 48,824 430,078 353,494 51,750 405,244
Mortgage loans 16,368 - 16,368 15,423 - 15,423
Overdraft accounts 171,725 - 171,725 157,408 - 157,408
Credit cards 189,141 3,297 192,438 177,658 3,754 181,412
Other pre-approved limits 4,020 45,527 49,547 3,005 47,996 51,001
Total 2,254,171 534,395 2,788,566 2,012,526 582,638 2,595,164 Amounts shown for credit risk exposure are based on gross book value and do not take into account any collateral received or other added credit improvements. The contractual amounts of financial guarantees and letters of credit cards represent the maximum potential of credit risk in the event that a counterparty does not meet the terms of the agreement. The vast majority of loan commitments (mortgage loans, overdraft accounts and other pre-approved limits) mature without being drawn, since they are renewed monthly and can be cancelled unilaterally. As a result, the total contractual amount does not represent our real future exposure to credit risk or the liquidity needs arising from such commitments. I.IV.I - By business sector Loan and lease operations
Schedule of loan and lease operations
12/31/2023 % 12/31/2022 %
Industry and commerce 186,198 20.4 197,351 21.7
Services 182,795 20.1 177,180 19.5
Other sectors 38,078 4.2 37,072 4.1
Individuals 503,519 55.3 497,819 54.7
Total 910,590 100.0 909,422 100.0 Other financial assets (1)
Schedule of other financial assets
12/31/2023 % 12/31/2022 %
Public sector 831,963 66.7 691,371 63.8
Services 150,100 12.0 167,176 15.4
Other sectors 145,163 11.7 119,436 11.0
Financial 119,887 9.6 106,469 9.8
Total 1,247,113 100.0 1,084,452 100.0
1) Includes Financial Assets at Fair Value through Profit and Loss, Financial Assets at Fair Value through Other Comprehensive Income and Financial Assets at Amortized Cost, except for Loan and Lease Operations and Other Financial Assets. The exposure of Off-balance sheet financial instruments (Financial Guarantees and Loan Commitments) is neither categorized nor managed by business sector. I.IV.II - By type and classification of credit
risk Loan and lease operations
Schedule of breakdown of indicators of credit quality
12/31/2023
Stage 1 Stage 2 Stage 3 Total Consolidated
of 3 Stages
Loan Operations Loan
commitments Financial
Guarantees Total Loan
Operations Loan
commitments Financial
Guarantees Total Loan
Operations Loan
commitments Financial
Guarantees Total Loan
Operations Loan
commitments Financial
Guarantees Total
Individuals 317,335 246,809 550 564,694 63,579 10,972 2 74,553 35,702 147 - 35,849 416,616 257,928 552 675,096
Corporate 130,916 30,053 70,585 231,554 956 461 146 1,563 4,589 35 2,666 7,290 136,461 30,549 73,397 240,407
Micro/Small and medium companies 145,422 95,886 11,053 252,361 13,087 1,216 110 14,413 10,601 90 201 10,892 169,110 97,192 11,364 277,666
Foreign loans - Latin America 166,981 42,206 16,325 225,512 12,077 2,091 958 15,126 9,345 112 26 9,483 188,403 44,409 17,309 250,121
Total 760,654 414,954 98,513 1,274,121 89,699 14,740 1,216 105,655 60,237 384 2,893 63,514 910,590 430,078 102,622 1,443,290
% 59.7 32.6 7.7 100.0 84.9 14.0 1.1 100.0 94.8 0.6 4.6 100.0 63.1 29.8 7.1 100.0
12/31/2022
Stage 1 Stage 2 Stage 3 Total Consolidated of 3 Stages
Loan
Operations Loan
commitments Financial
Guarantees Total Loan
Operations Loan
commitments Financial
Guarantees Total Loan
Operations Loan
commitments Financial
Guarantees Total Loan
Operations Loan
commitments Financial
Guarantees Total
Individuals 305,210 233,996 511 539,717 59,639 8,538 1 68,178 35,254 226 - 35,480 400,103 242,760 512 643,375
Corporate 133,205 29,853 60,209 223,267 901 32 444 1,377 5,162 11 2,551 7,724 139,268 29,896 63,204 232,368
Micro/Small and medium companies 142,621 84,619 9,520 236,760 12,299 1,494 115 13,908 9,976 265 123 10,364 164,896 86,378 9,758 261,032
Foreign loans - Latin America 182,516 44,542 16,912 243,970 13,863 1,544 1,279 16,686 8,776 124 114 9,014 205,155 46,210 18,305 269,670
Total 763,552 393,010 87,152 1,243,714 86,702 11,608 1,839 100,149 59,168 626 2,788 62,582 909,422 405,244 91,779 1,406,445
% 61.4 31.6 7.0 100.0 86.6 11.6 1.8 100.0 94.5 1.0 4.5 100.0 64.7 28.8 6.5 100.0
Schedule of internal rating
Internal
rating 12/31/2023 12/31/2022
Stage
1 Stage
2 Stage
3 Total
loan operations Stage 1 Stage 2 Stage 3 Total loan operations
Low 702,746 65,971 - 768,717 705,625 62,501 - 768,126
Medium 57,893 12,087 - 69,980 57,508 14,095 - 71,603
High 15 11,641 - 11,656 419 10,106 - 10,525
Credit-Impaired - - 60,237 60,237 - - 59,168 59,168
Total 760,654 89,699 60,237 910,590 763,552 86,702 59,168 909,422
% 83.5 9.9 6.6 100.0 84.0 9.5 6.5 100.0
Other financial assets
Schedule of maximum exposure of other financial
assets by type and classification of credit risk
12/31/2023
Fair
value Stage
1 Stage
2 Stage
3
Cost Fair value Cost Fair value Cost Fair value
Investment funds 26,570 21,030 20,559 5,971 5,971 40 40
Government securities 610,756 610,088 610,756 - - - -
Brazilian government 520,964 520,375 520,964 - - - -
Other government - 36 - - - - -
Latin America 54,612 54,443 54,612 - - - -
Abroad 35,180 35,234 35,180 - - - -
Corporate securities 264,354 262,020 258,662 6,433 5,135 1,433 557
Rural product note 42,159 41,685 41,646 322 310 331 203
Real estate receivables certificates 7,562 7,631 7,562 - - - -
Bank deposit certificate 191 181 181 10 10 - -
Debentures 135,134 132,727 131,279 4,693 3,530 842 325
Eurobonds and other 7,037 6,858 6,859 175 171 24 7
Financial bills 24,125 24,114 24,114 13 11 - -
Promissory and commercial notes 12,832 12,503 12,472 361 360 - -
Other 35,314 36,321 34,549 859 743 236 22
Total 901,680 893,138 889,977 12,404 11,106 1,473 597
12/31/2022
Fair
value Stage
1 Stage
2 Stage
3
Cost Fair value Cost Fair value Cost Fair value
Investment funds 32,491 27,660 27,140 5,259 5,259 92 92
Government securities 479,241 483,477 479,241 - - - -
Brazilian government 394,082 397,794 394,082 - - - -
Other government - 36 - - - - -
Latin America 49,946 50,375 49,946 - - - -
Abroad 35,213 35,272 35,213 - - - -
Corporate securities 211,103 216,005 208,241 3,559 2,512 2,297 350
Rural product note 28,896 28,670 28,618 287 262 29 16
Real estate receivables certificates 7,214 7,318 7,214 - - - -
Bank deposit certificate 1,172 1,172 1,172 - - - -
Debentures 110,075 110,732 108,140 2,470 1,610 2,037 325
Eurobonds and other 8,770 9,035 8,770 - - - -
Financial bills 19,504 19,535 19,504 - - - -
Promissory and commercial notes 11,250 11,251 11,250 - - - -
Other 24,222 28,292 23,573 802 640 231 9
Total 722,835 727,142 714,622 8,818 7,771 2,389 442
Schedule of financial assets individually evaluated classified by rating
Other Financial Assets - Internal
Classification by Level of Risk
12/31/2023
Internal
rating Financial
Assets - At Amortized Cost Financial
assets at fair value through profit or loss Financial
Assets at fair value through other comprehensive income Total
Interbank deposits and securities purchased under
agreements to resell Securities
Low 289,328 257,238 564,288 129,990 1,240,844
Medium - 3,084 2,604 49 5,737
High - 421 111 - 532
Total 289,328 260,743 567,003 130,039 1,247,113
% 23.2 20.9 45.5 10.4 100.0
12/31/2022
Internal
rating Financial
Assets - At Amortized Cost Financial
assets at fair value through profit or loss Financial
Assets at fair value through other comprehensive income Total
Interbank deposits
and securities purchased under agreements to resell Securities
Low 281,371 208,605 461,153 126,673 1,077,802
Medium - 3,816 2,104 75 5,995
High - 605 50 - 655
Total 281,371 213,026 463,307 126,748 1,084,452
% 25.9 19.6 42.7 11.8 100.0 Financial assets at fair value through profit
or loss includes Derivatives in the amount of R$ 55,251 (R$ 78,208 at 12/31/2022).
I.IV.III - Collateral for
loan and lease operations
Schedule of collateral for loans and financial lease operations
12/31/2023 12/31/2022
Over-collateralized assets Under-collateralized
assets Over-collateralized
assets Under-collateralized
assets
Carrying value
of the assets Fair
value of collateral Carrying value
of the assets Fair
value of collateral Carrying value
of the assets Fair
value of collateral Carrying value
of the assets Fair
value of collateral
Individuals 154,321 398,935 3,601 3,173 141,896 336,597 3,085 2,861
Personal
(1) 4,359 16,157 1,881 1,760 2,971 11,106 1,469 1,394
Vehicles
(2) 31,230 73,967 1,315 1,240 29,613 70,901 1,610 1,463
Mortgage
loans (3) 118,732 308,811 405 173 109,312 254,590 6 4
Micro
/ small, medium companies and corporates (4) 167,843 596,817 45,885 43,484 173,007 614,178 41,395 36,233
Foreign
loans - Latin America (4) 160,734 304,597 8,340 2,508 175,517 319,085 11,817 4,441
Total 482,898 1,300,349 57,826 49,165 490,420 1,269,860 56,297 43,535
1) In general requires financial guarantees.
2) Vehicles themselves are pledged as collateral, as well as assets leased in
lease operations.
3) Properties themselves are pledged as collateral.
4) Any collateral set forth in the credit policy of ITAÚ UNIBANCO HOLDING
(chattel mortgage, surety/joint debtor, mortgage and other). Of total loan and lease operations, R$
369,866 362,705 I.IV.IV - Repossessed assets The accounting policy on assets held for
sale is presented in Note 2c V. The goods repossessed intended for sale
comprise, mainly, real estate and their sale includes periodic auctions that are previously disclosed to the market. Total assets repossessed
in the period were R$ 494 336 II - Market risk Defined as the possibility of incurring
financial losses from changes in the market value of positions held by a financial institution, including the risks of transactions subject
to fluctuations in currency rates, interest rates, share prices, price indexes and commodity prices, as set forth by CMN. Price Indexes
are also treated as a risk factor group. Market risk is controlled by an area independent
from the business areas, which is responsible for the daily activities of (i) risk measurement and assessment, (ii) monitoring of stress
scenarios, limits and alerts, (iii) application, analysis and testing of stress scenarios, (iv) risk reporting to those responsible within
the business areas, in compliance with the governance of ITAÚ UNIBANCO HOLDING, (v) monitoring of actions required to adjust
positions and risk levels to make them realistic, and (vi) providing support for the safe launch of new financial products. The market risk structure categorizes transactions
as part of either the banking portfolio or the trading portfolio, in accordance with general criteria established by CMN Resolution No.
4,557, of February 23, 2017, and BCB Resolution No. 111, of July 6, 2021 and later changes. The trading portfolio consists of all
transactions involving financial instruments and commodities, including derivatives, which are held for trading. The banking portfolio
is basically characterized by transactions for the banking business, and transactions related to the management of the balance sheet of
the institution, where there is no intention of sale and time horizons are medium and long term. Market risk management is based on the following
metrics: • • • • • Management of interest rate risk in the
Banking Book (IRRBB) is based on the following metrics: • • In addition, sensitivity and loss control measures are also analyzed.
They include: • • • In order to operate within the defined limits, ITAÚ
UNIBANCO HOLDING hedges transactions with customers and proprietary positions, including its foreign investments. Derivatives are commonly
used for these hedging activities, which can be either accounting or economic hedges, both governed by the institutional polices of ITAÚ
UNIBANCO HOLDING. The structure of limits and alerts obeys
the Board of Directors’ guidelines, and it is reviewed and approved on an annual basis. This structure has specific limits aimed
at improving the process of monitoring and understanding risk, and at avoiding concentration. These limits are quantified by assessing
the forecast balance sheet results, the size of stockholders’ equity, market liquidity, complexity and volatility, and ITAÚ
UNIBANCO HOLDING’s appetite for risk. The consumption of market risk limits is
monitored and disclosed daily through exposure and sensitivity maps. The market risk area analyzes and controls the adherence of these
exposures to limits and alerts and reports them in a timely manner to the Treasury desks and other structures foreseen in the governance. ITAÚ UNIBANCO HOLDING uses proprietary
systems to measure the consolidated market risk. The processing of these systems occurs in a high-availability access-controlled environment,
which has data storage and recovery processes and an infrastructure that ensures business continuity in contingency (disaster recovery)
situations. II.I - VaR - Consolidated ITAÚ UNIBANCO
HOLDING VaR is calculated by Historical Simulation,
i.e. the expected distribution for profits and losses (P&L) of a portfolio over time, which can be estimated from past behavior of
returns of market risk factors for this portfolio. VaR is calculated at a confidence level of 99 historical period of 4 years (1000
business days) From 01/01 to 12/31/2023, the average total
VaR in Historical Simulation was R$ 931 0.5 678 0.4
Schedule of var total - historical simulation
VaR
Total (Historical Simulation) (in millions of reais) (1)
12/31/2023 12/31/2022
Average Minimum Maximum Var
Total Average Minimum Maximum Var
Total
VaR by Risk Factor Group
Interest rates 1,251 1,059 1,585 1,408 1,102 885 1,751 1,160
Currencies 29 12 74 20 26 9 55 26
Shares 30 14 55 41 27 18 65 65
Commodities 12 2 33 7 4 2 10 10
Effect
of diversification - - - (382) - - - (527)
Total risk 931 718 1,247 1,094 678 494 1,172 734
1) VaR by Risk Factor Group considers information from foreign
units. II.I.I - Interest rate risk The table below shows the accounting position of financial assets and liabilities exposed to interest rate risk, distributed by maturity (remaining contractual terms). This table is not used directly to manage interest rate risks, it is mostly used to permit the assessment of mismatching between accounts and products associated thereto and to identify possible risk concentration.
Schedule of position of accounts subject to interest rate risk
12/31/2023 12/31/2022
0-30 days 31-180 days 181-365 days 1-5 years Over 5 years Total 0-30 days 31-180 days 181-365 days 1-5 years Over 5 years Total
Financial assets 600,522 345,039 243,631 795,985 294,149 2,279,326 604,311 374,529 208,850 633,722 274,390 2,095,802
At amortized cost 506,280 307,520 174,806 428,529 163,798 1,580,933 464,682 314,608 167,135 391,697 166,250 1,504,372
Compulsory deposits with the Central Bank of Brazil 121,146 - - - - 121,146 102,600 - - - - 102,600
Interbank deposits 28,178 5,608 10,071 7,121 22 51,000 40,782 8,207 7,683 2,800 114 59,586
Securities purchased under agreements to resell 207,697 30,530 - - 81 238,308 177,458 44,221 47 - 50 221,776
Securities 16,384 37,026 28,335 131,917 46,227 259,889 15,933 18,962 26,633 107,431 42,029 210,988
Loan and lease operations 132,875 234,356 136,400 289,491 117,468 910,590 127,909 243,218 132,772 281,466 124,057 909,422
At fair value through other comprehensive income 24,844 9,683 14,116 56,885 24,511 130,039 35,573 13,335 6,609 47,705 23,526 126,748
At fair value through profit and loss 69,398 27,836 54,709 310,571 105,840 568,354 104,056 46,586 35,106 194,320 84,614 464,682
Securities 59,071 19,439 49,087 289,490 94,665 511,752 81,484 39,344 26,454 169,113 68,704 385,099
Derivatives 10,327 8,357 5,613 20,484 10,470 55,251 22,572 7,215 8,362 24,834 15,225 78,208
Other Financial Assets - 40 9 597 705 1,351 - 27 290 373 685 1,375
Financial liabilities 698,247 175,283 148,366 686,826 110,138 1,818,860 651,532 177,388 142,668 585,754 112,329 1,669,671
At amortized cost 690,259 169,109 140,559 666,315 99,287 1,765,529 643,530 160,422 125,266 563,338 99,607 1,592,163
Deposits 347,884 78,985 53,949 467,682 2,852 951,352 360,548 75,395 62,860 360,225 12,410 871,438
Securities sold under repurchase agreements 326,025 1,180 4,200 13,250 18,131 362,786 264,284 5,698 816 16,223 6,419 293,440
Interbank market funds 15,099 83,409 77,263 142,023 10,851 328,645 12,918 67,034 57,476 148,390 8,769 294,587
Institutional market funds 805 5,325 5,123 40,885 67,453 119,591 5,379 11,800 3,552 36,642 72,009 129,382
Premium bonds plans 446 210 24 2,475 - 3,155 401 495 562 1,858 - 3,316
At fair value through profit and loss 7,988 6,174 7,807 20,511 10,851 53,331 8,002 16,966 17,402 22,416 12,722 77,508
Derivatives 7,988 6,165 7,798 20,162 10,362 52,475 8,002 16,950 17,164 22,278 12,467 76,861
Structured notes - - 2 19 275 296 - 1 1 18 44 64
Other Financial Liabilities - 9 7 330 214 560 - 15 237 120 211 583
Difference assets / liabilities (1) (97,725) 169,756 95,265 109,159 184,011 460,466 (47,221) 197,142 66,181 47,987 162,635 426,724
Cumulative difference (97,725) 72,031 167,296 276,455 460,466 (47,221) 149,921 216,102 264,089 426,724
Ratio of cumulative difference to total interest-bearing assets (4.3 3.2 7.3 12.1 20.2 (2.3 7.2 10.3 12.6 20.4
1) The difference arises from the mismatch between the maturities of all remunerated assets and liabilities, at the respective period-end date, considering the contractually agreed terms. II.I.II - Currency risk The purpose of ITAÚ UNIBANCO HOLDING's management
of foreign exchange exposure is to mitigate the effects arising from variation in foreign exchange rates, which may present high-volatility
periods. The currency (or foreign exchange) risk
arises from positions that are sensitive to oscillations in foreign exchange rates. These positions may be originated by financial instruments
that are denominated in a currency other than the functional currency in which the balance sheet is measured or through positions in derivative
instruments (for negotiation or hedge). Sensitivity to currency risk is disclosed in the table VaR Total (Historical Simulation) described
in item II.I – VaR Consolidated – ITAÚ UNIBANCO HOLDING. II.I.III - Share Price Risk The exposure to share price risk is disclosed
in Note 5, related to Financial Assets through Profit or Loss - Securities, and Note 8, related to Financial Assets at Fair
Value through Other Comprehensive Income - Securities. III - Liquidity risk Defined as the possibility that the institution
may be unable to efficiently meet its expected and unexpected obligations, both current and future, including those arising from guarantees
issued, without affecting its daily operations and without incurring significant losses. Liquidity risk is controlled by an area
independent from the business area and responsible for establishing the reserve composition, estimating the cash flow and exposure to
liquidity risk in different time horizons, and for monitoring the minimum limits to absorb losses in stress scenarios for each country
where ITAÚ UNIBANCO HOLDING operates. All activities are subject to verification by independent validation, internal control
and audit areas. Liquidity management policies and limits
are based on prospective scenarios and senior management’s guidelines. These scenarios are reviewed on a periodic basis, by analyzing
the need for cash due to atypical market conditions or strategic decisions by ITAÚ UNIBANCO HOLDING. ITAÚ UNIBANCO HOLDING manages
and controls liquidity risk on a daily basis, using procedures approved in superior committees, including the adoption of liquidity minimum
limits, sufficient to absorb possible cash losses in stress scenarios, measured with the use of internal and regulatory methods. Among the main regulatory liquidity indicators,
the following indicators stand out: Liquidity Coverage Ratio (LCR): Net Stable Funding Ratio (NSFR): Both metrics are managed by the liquidity
risk area and they have limits approved by superior committees, as well as governance of action plans in possible liquidity stress scenario |
