Risk and Capital Management - Pillar 3

3Q

21

Risk and capital management Pillar 3

Third quarter of 2021

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	5
Risk Culture	6
Stress Testing	6
Recovery Plan	7
Capital Adequacy Assessment	8
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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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	29
Exposure by industry	30
Exposure by remaining maturity	30
Overdue exposures	31
Exposure by geographical area in Brazil and by country	31
Largest debtors exposures	32
Restructured exposures	32

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	34
CR5: Standardized Approach - exposures by asset classes and risk weights	34
Counterparty Credit Risk (CCR)	35
CCRA: Qualitative disclosure related to CCR	35
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	36
CCR6: CCR associated with credit derivatives exposures	36
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	45
MR4: Comparison of VaR estimates with gains/losses	45
Backtesting	45
Total Exposure associated with Derivatives	46
IRRBB	47
IRRBBA: IRRBB risk management objectives and policies	47
Framework and Treatment	47
Other Risks	49
Insurance products, pension plans and premium bonds risks	49
Social and Environmental Risk	49
Model Risk	50
Regulatory or Compliance Risk	50
Reputational Risk	51
Country Risk	53
Business and Strategy Risk	53
Contagion Risk	53
Operational Risk	54
Crisis Management and Business Continuity	55
Independent Validation of Risk Models	55
Glossary of Acronyms	57
Glossary of Regulations	62

Risk and Capital Management - Pillar 3

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Objective

This document presents Itaú Unibanco Holding S.A. (Itaú Unibanco) information req uired by the Central Bank of Brazil (BACEN) through Resolution BCB nº 54 and subsequent amendments, which addres ses the d is closure 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 Bas el Co mmittee, 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, o n September 30, 2021, are summarized below.

1 Compensation of management members data is reported annually.

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Itaú Unibanco

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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 s trategic 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, 2021, the Total Capital (PR) reached R$ 161,099 million, R$ 141,409 million of Tier I and R$ 19,690 million of Tier II.

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Itaú Unibanco

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