Itaú Unibanco S A : Risk and Capital Management - Pillar 3 - 2Q22

2Q

22

Risk and capital management Pillar 3

Second quarter of 2022

Contents
Objective	1
Key indicators	1
Prudential Metrics and Risk Management	2
KM1: Key metrics at consolidated level	2
OVA: Bank risk management approach	3
Scope and main characteristics of risk management	3
Risk and Capital Governance	4
Risk Appetite	5
Risk Culture	5
Stress Testing	6
Recovery Plan	6
Capital Adequacy Assessment	7
Capital Adequacy	8

OV1: Overview of risk-weighted assets (RWA)

Links between financial statements and regulatory exposures

LIA: Explanations of differences between accounting and regulatory exposure amounts

LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories

LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements

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10

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PV1: Prudent valuation adjustments (PVA)	12
Institutions that comprise the Financial Statement of Itaú Unibanco Holding	13
Non Consolidated Institutions	17
Material Entities	17
Composition of Capital	18
CCA: Main features of regulatory capital instuments	18
CC1: Composition of regulatory capital	19
CC2: Reconciliation of regulatory capital to balance sheet	21
Macroprudential Indicators	22
CCyB1: Geographical distribution of credit risk exposures considered in the calculation of the	22
Countercyclical Capital Buffer
GSIB1: Disclosure of G-SIB indicators	22
Leverage Ratio	22
LR1: Summary comparison of accounting assets vs leverage ratio exposure measure (RA)	23
LR2: Leverage ratio common disclosure	23
Liquidity Ratios	24
LIQA: Liquidity Risk Management Information	24
Framework and Treatment	24
LIQ1: Liquidity Coverage Ratio (LCR)	25
LIQ2: Net Stable Funding Ratio (NSFR)	26
Credit Risk	27
CRA: Qualitative information on credit risk management	27
CR1: Credit Quality of Assets	29
CR2: Changes in Stock of defaulted loans and debts securities	29
CRB: Additional disclosure related to the credit quality of assets Credit risk mitigation	30
Exposure by industry	30
Exposure by remaining maturity	31
Overdue exposures	31
Exposure by geographical area in Brazil and by country	32
Largest debtors exposures	32
Restructured exposures	33

CRC: Qualitative disclosure related to Credit Risk Mitigation techniques	33
CR3: Credit Risk mitigation techniques - overview	34
CR4: Standardized Approach - Credit Risk exposure and credit risk mitigation effects	34
CR5: Standardized Approach - exposures by asset classes and risk weights	35
Counterparty Credit Risk (CCR)	35
CCRA: Qualitative disclosure related to CCR	35
CCR1: Analysis of CCR exposures by approach	36
CCR3: Standardized approach - CCR exposures by regulatory portfolio and risk weights	36
CCR5: Composition of collateral for CCR exposures	36
CCR6: CCR associated with credit derivatives exposures	37
CCR8: CCR associated with Exposures to central counterparties	37
Securitization Exposures	37
SECA: Qualitative disclosure requirements related to securitisation exposures	37
SEC1: Securitisation exposures in the banking book	38
SEC2: Securitisation exposures in the trading book	38
SEC3: Securitisation exposures in the banking book and associated regulatory capital requirements -	38
bank acting as originator or as sponsor
SEC4: Securitisation exposures in the banking book and associated capital requirements - bank acting	38
as investor
Market Risk	39
MRA: Qualitative disclosure requirements related to market risk	39
MR1: Market risk under standardized approach	41
MRB: Qualitative disclosures on market risk in the Internal Models Approach (IMA)	41
MR2: RWA flow statements of market risk exposures under an IMA	44
Exposures subject to market risk	44
MR3: IMA values for trading portfolios	44
MR4: Comparison of VaR estimates with gains/losses	45
Backtesting	45
Total Exposure associated with Derivatives	46
IRRBB	46
IRRBBA: IRRBB risk management objectives and policies	46
Framework and Treatment	46
Other Risks	48
Insurance products, pension plans and premium bonds risks	48
Social, Environmental and Climatic Risks	48
Model Risk	49
Regulatory or Compliance Risk	50
Reputational Risk	50
Country Risk	52
Business and Strategy Risk	52
Contagion Risk	52
Emerging Risks	53
Operational Risk	53
Crisis Management and Business Continuity	54
Independent Validation of Risk Models	55
Glossary of Acronyms	56
Glossary of Regulations	61