Company: BBD
Filing Date: 2025-10-30
Form Type: 6-K
Source: 0001292814-25-003701
Chunk: 98

Company: BANK BRADESCO
Filing Date: 2025-10-30
Form: 6-K
Chunk 98
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 4,966/2021. Bradesco’s risk management policy is based on the utilization of derivative financial instruments
mainly to mitigate the risks from operations carried out by the Bank and its subsidiaries. Derivative financial instruments are measured
at fair value and classified in the fair value through profit or loss (FVTPL) category as shown in the consolidated financial statements.
Fair value is generally determined based on market quotations or prices applicable to assets or liabilities with similar characteristics.
When such quotations are not available, fair value is estimated based on information from market operators, pricing models, discounted
cash flow, or other similar techniques. In these cases, determining fair value may require significant judgment or estimation by Management.
The fair value of swaps is determined using discounted cash flow modeling techniques, utilizing yield curves that reflect appropriate
risk factors. These curves are applied to the pricing of currency swaps, interest rate swaps, and swaps with other risk factors. The information
used to construct yield curves is obtained primarily from B3 and the domestic and international secondary markets. The fair value of futures
and forward contracts is determined based on market price quotations for exchange-traded derivatives or using methodologies similar to
those used in pricing swaps. The fair value of options is determined based on mathematical models, such as Black & Scholes, using
yield curves, implied volatilities and the fair value of the underlying assets. The fair value of credit derivatives is determined based
on market quotations or obtained from specialized entities. Current market prices are used to calculate volatility. BRADESCO | Consolidated
Financial Statements 88 Consolidated Financial Statements | Notes to the Consolidated Financial Statements According to CMN Resolution
No. 4,966/2021, foreign exchange portfolio transactions must be treated as derivatives. In this sense, the amounts recorded as rights
and obligations of the foreign exchange portfolio (notional value) are recorded in clearing accounts, and the variation of the fair value
in income statements. To estimate the fair value of over-the-counter derivatives, the credit quality of each counterparty is taken into
account, thus associating an expected loss for each derivatives portfolio (Credit valuation adjustment). The derivative financial instruments
held by Bradesco in Brazil primarily consist of swaps, options and futures, and are registered with B3. Derivatives carried out abroad
refer to swaps, forwards, options, credit derivatives and futures transactions carried out, substantially, on the Chicago and New York
Stock Exchanges, as well as on the overthe- counter market.