MD&A and Financial Statements (PDF) - Banco Itaú

Itaú Unibanco S.A. – - September0, 2010 93
II - Derivatives by counterparty
See below the composition of the Derivative Financial Instruments portfolio (assets and liabilities) by type of instrument, stated at cost, market value, and maturity term.
Cost
Adjustment to
market value
(in results /
stockholders’
equity)
Market value % 0 - 30 31 - 90 91 - 180 181 - 365 366 - 720
09/30/2009
Over 720
days Market value
ASSETS
Futures
29,520 (11,368) 18,152 0.2 (9,216) 44,133 1,054 9,360 (19,546) (7,633) 117,394
BM&F Bovespa 29,520 (9,922) 19,598 0.2 (9,216) 45,677 667 9,324 (19,221) (7,633) 107,072
Financial institutions - (1,446) (1,446) 0,0 - (1,544) 387 36 (325) - (306)
Companies - - - - - - - - - - 10,628
Option premiums
2,377,587 (25,158) 2,352,429 21.8 369,354 216,517 1,026,690 171,144 31,805 536,919 2,303,921
BM&F Bovespa 1,443,557 (139,957) 1,303,600 12.2 294,898 73,394 876,850 43,089 15,369 - 1,629,125
Financial institutions 383,503 42,489 425,992 3.9 31,665 135,847 114,634 121,439 15,935 6,472 233,490
Companies 549,810 72,098 621,908 5.7 42,280 6,858 35,206 6,616 501 530,447 441,306
Individuals 717 212 929 0,0 511 418 - - - - -
Forwards
4,002,621 712 4,003,333 36.7 2,207,519 765,610 70,126 15,165 152,476 792,437 1,562,148
BM&F Bovespa 973,337 1,200 974,537 8.9 119,546 783,952 70,126 913 - - 588
Financial institutions 2,070,120 (489) 2,069,631 19.0 2,087,973 (18,342) - - - - 332,743
Companies 959,164 1 959,165 8.8 - - - 14,252 152,476 792,437 1,228,806
Individuals - - - - - - - - - - 11
Swaps – Adjustment receivable
2,146,926 789,187 2,936,113 26.9 139,238 308,816 513,275 287,511 903,955 783,318 3,280,613
BM&F Bovespa 187,964 103,656 291,620 2.7 552 8,391 8,669 28,972 113,219 131,817 275,414
Financial institutions 492,155 368,115 860,270 7.9 63,862 121,800 294,581 77,007 171,743 131,277 969,342
Companies 1,452,697 315,782 1,768,479 16.2 73,771 176,956 202,139 180,535 616,077 519,001 2,025,860
Individuals 14,110 1,634 15,744 0.1 1,053 1,669 7,886 997 2,916 1,223 9,997
Credit derivatives
224,118 (10,293) 213,825 1.9 95,179 42,183 72,360 826 861 2,416 22,782
Financial institutions 17,256 (3,969) 13,287 0.1 903 4,405 3,876 826 861 2,416 22,782
Companies 206,862 (6,324) 200,538 1.8 94,276 37,778 68,484 - - - -
Forwards
582,432 1,451 583,883 5.3 69,760 265,439 193,011 43,073 5,408 7,192 305,175
Financial institutions 511,921 1,449 513,370 4.7 55,199 248,391 166,252 33,723 4,275 5,530 223,819
Companies 70,014 2 70,016 0.6 14,391 16,780 26,716 9,334 1,133 1,662 81,250
Individuals 497 - 497 0,0 170 268 43 16 - - 106
Swaps with target flow 130,165 241 130,406 1.2 - 4 130,234 168 - - 243,486
Swaps – companies - - - - - - - - - - 47,211
Target flow of Swap – Companies 130,165 241 130,406 1.2 - 4 130,234 168 - - 196,275
Other
669,553 (7,059) 662,494 6.0 57,561 61,872 81,442 194,383 16,468 250,768 649,063
BM&F Bovespa - 286 286 0,0 286 - - - - - 301
Financial institutions 440,674 (23,788) 416,886 3.8 7,721 5,137 6,480 140,307 6,882 250,359 201,843
Companies 227,672 16,538 244,210 2.2 49,554 55,623 74,962 54,076 9,586 409 446,919
Individuals 1,207 (95) 1,112 0,0 - 1,112 - - - - -
TOTAL 10,162,922 737,713 10,900,635 100.0 2,929,395 1,704,574 2,088,192 721,630 1,091,427 2,365,417 8,484,582
% per maturity term 26.9% 15.6% 19.2% 6.6% 10.0% 21.7%
Total – 09/30/2009 7,868,729 615,853 8,484,582 100.0 2,313,244 1,303,992 1,648,058 1,314,786 661,634 1,242,868
% per maturity term 27.3% 15.4% 19.4% 15.5% 7.8% 14.6%
09/30/2010