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

3Q

22

Risk and capital management Pillar 3

Third quarter of 2022

Corporativo | Interno

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	4
Risk Culture	5
Stress Testing	6
Recovery Plan	6
Capital Adequacy Assessment	7
Capital Adequacy	7
OV1: Overview of risk-weighted assets (RWA)	8
Links between financial statements and regulatory exposures	9
LIA: Explanations of differences between accounting and regulatory exposure amounts	9
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial	10
statement categories with regulatory risk categories
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial	11
statements
PV1: Prudent valuation adjustments (PVA)	11
Institutions that comprise the Financial Statement of Itaú Unibanco Holding	12
Non Consolidated Institutions	16
Material Entities	16
Composition of Capital	17
CCA: Main features of regulatory capital instuments	17
CC1: Composition of regulatory capital	18
CC2: Reconciliation of regulatory capital to balance sheet	20
Macroprudential Indicators	21
CCyB1: Geographical distribution of credit risk exposures considered in the calculation of the	21
Countercyclical Capital Buffer
GSIB1: Disclosure of G-SIB indicators	21
Leverage Ratio	22
LR1: Summary comparison of accounting assets vs leverage ratio exposure measure (RA)	22
LR2: Leverage ratio common disclosure	22
Liquidity Ratios	23
LIQA: Liquidity Risk Management Information	23
Framework and Treatment	23
LIQ1: Liquidity Coverage Ratio (LCR)	24
LIQ2: Net Stable Funding Ratio (NSFR)	25
Credit Risk	26
CRA: Qualitative information on credit risk management	26
CR1: Credit Quality of Assets	28
CR2: Changes in Stock of defaulted loans and debts securities	28
CRB: Additional disclosure related to the credit quality of assets Credit risk mitigation	29
Exposure by industry	29
Exposure by remaining maturity	29
Overdue exposures	30
Exposure by geographical area in Brazil and by country	30
Largest debtors exposures	31
Restructured exposures	31

Corporativo | Interno

CRC: Qualitative disclosure related to Credit Risk Mitigation techniques	32
CR3: Credit Risk mitigation techniques - overview	33
CR4: Standardized Approach - Credit Risk exposure and credit risk mitigation effects	33
CR5: Standardized Approach - exposures by asset classes and risk weights	33
Counterparty Credit Risk (CCR)	34
CCRA: Qualitative disclosure related to CCR	34
CCR1: Analysis of CCR exposures by approach	35
CCR3: Standardized approach - CCR exposures by regulatory portfolio and risk weights	35
CCR5: Composition of collateral for CCR exposures	35
CCR6: CCR associated with credit derivatives exposures	36
CCR8: CCR associated with Exposures to central counterparties	36
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	49
Reputational Risk	50
Country Risk	51
Business and Strategy Risk	52
Contagion Risk	52
Emerging Risks	52
Operational Risk	52
Crisis Management and Business Continuity	53
Independent Validation of Risk Models	54
Glossary of Acronyms	55
Glossary of Regulations	59

Corporativo | Interno

Risk and Capital Management - Pillar 3

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Objective

This document presents Itaú Unibanco Holding S.A. (Itaú Unibanco) information required by the Central Bank of Brazil (BACEN) through Resolution BCB nº 54 and subsequent amendments, which addresses the disclosure of information on risks and capital management, the comparison between accounting and prudential information, the liquidity and market risk indicators, the calculation of risk-weighted assets (RWA), the calculation of the Total Capital ("Patrimônio de Referência" - PR), and the compensation of management members. 1

The referred Resolution brought several amendments in the disclosure format of the Pillar 3 information, besides changes in the scope and frequency of the information disclosed. All these amendments, implemented by the Central Bank, aim the convergence of the Brazilian financial regulation to the recommendations of the Basel Committee, seeking to harmonize the information disclosed by financial institutions at an international level, and taking into account the structural conditions of the Brazilian economy.

The disclosure policy of the Risk and Capital Management Report presents the guidelines and responsibilities of the areas involved in its preparation, as well as the description of the information that must be disclosed and the integrity endorsement and approval governance, as established by the article 56 of the Resolution nº. 4,557.

Key indicators

Itaú Unibanco's risk and capital management focuses on maintaining the institution in line with the risk strategy approved by the Board of Directors. The key indicators based on the Prudential Consolidation, on September 30, 2022, are summarized below.

1Compensation of management members data is reported annually.

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Itaú Unibanco

1

Corporativo | Interno

Risk and Capital Management - Pillar 3

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Prudential Metrics and Risk Management

Itaú Unibanco invests in robust and company-wide risk management processes to serve as a basis for its strategic decisions intended to ensure business sustainability.

The key prudential metrics related to regulatory capital and information on the bank's integrated risk management are presented below.

KM1: Key metrics at consolidated level

In order to ensure the soundness of Itaú Unibanco and the availability of capital to support business growth, Itaú Unibanco maintains capital levels above the minimum requirements, as demonstrated by the Common Equity Tier I, Additional Tier I Capital and Total CapitaI ratios.

On September 30, 2022, the Total Capital (PR) reached R$ 180,304 million, R$ 161,872 million of Tier I and R$ 18,432 million of Tier II.

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Itaú Unibanco

2

Corporativo | Interno