IRR310313.pdf - Banco Itaú

j) Sensitivity analysis (TRADING AND BANKING PORTFOLIOS)
In compliance with CVM Instruction No. 475 of December 17, 2008, ITAÚ UNIBANCO HOLDING carried out a sensitivity
analysis by market risk factors considered relevant to which it was exposed. The biggest losses arising, by risk factor, in
each scenario, were stated with impact on result, net of tax effects, by providing a vision of the ITAÚ UNIBANCO
HOLDING exposure under exceptional scenarios.
Measurement of market risk segregates operations in trading portfolio and banking portfolio, pursuant to the criteria set
forth in the New Capital Accord – Basel II and in the regulations: BACEN Circular No. 3,354 of June 27, 2007 and
Resolution No. 3,464.
The trading portfolio consists of all transactions, including derivatives, which are held with the intention of trading in the
short term or of hedging other financial instruments of this portfolio, and that are not subject to limitations on their
marketability. These are transactions designated for obtaining benefits from price movements, actual or expected in the
short term or arbitration opportunities.
The banking portfolio comprises transactions that do not fit into the trading portfolio. Treasury operations in the Banking
portfolio are carried out jointly with the active management of financial risks inherent in the global balance of ITAÚ
UNIBANCO HOLDING and held not for trading in the short term. Its composition may include derivatives.
The sensitivity analyses of non-trading and trading portfolio shown in this report are an evaluation of an instant position
of the portfolio exposure and, therefore, do not consider the management’s quick response capacity (treasury and control
areas), which triggers risk mitigating measures, whenever a situation of high loss or risk is identified by minimizing the
sensitivity towards significant losses. In addition, we point out that the presented results do not necessarily translate into
accounting results, because the study's sole purpose is to disclose the exposure to risks and the respective protective
actions, taking into account the fair value of financial instruments, irrespective of the accounting practices adopted by the
ITAÚ UNIBANCO HOLDING.
Trading portfolio Exposures 03/31/2013 (*)
Risk factors
Risk of variation in:
Scenarios
I II III
Fixed rate Fixed rates in reais (1,970) (49,136) (98,014)
Foreign exchange Rates of foreign currency coupon (358) (8,884) (17,625)
Foreign currency Exchange variation 2,413 (60,322) (120,644)
Price indices Rates of price index coupon (465) (11,516) (22,799)
Reference rate Rate of TR coupon 328 (8,263) (16,665)
Shares Share price 5,514 (137,852) (275,705)
Total without correlation 5,461 (275,974) (551,453)
Total with correlation 4,155 (210,001) (419,625)
(*) Amounts net of tax effects.
Trading and Banking portfolios
Risk factors
Exposures
Risk of variation in:
03/31/2013 (*)
Scenarios
I II III
Fixed rate Fixed rates in reais (4,224) (105,264) (209,857)
Foreign exchange Rates of foreign currency coupon (1,434) (35,311) (69,551)
Foreign currency Exchange variation 350 (8,758) (17,516)
Price indices Rates of price index coupon (890) (22,096) (43,882)
Reference rate Rate of TR coupon (1,948) (46,445) (88,349)
Shares Share price 6,946 (173,640) (347,279)
Total without correlation (1,199) (391,513) (776,434)
Total with correlation (912) (297,919) (590,823)
(*) Amounts net of tax effects.
The following scenarios are used to measure the sensitivity:
Scenario I: Addition of 1 base point to the fixed-rate curve, currency coupon, inflation and commodities and interest
rate indices, and 1 percentage point in currency and share prices, which is based on market information
(BM&FBOVESPA, Andima, etc);
Scenario II: Shocks at 25 base points in fixed-rate curves, currency coupon, inflation and interest rate indices, and
25 percentage points in currency and share prices, both for growth and fall, considering the largest resulting losses
per risk factor;
Scenario III: Shocks at 50 base points in fixed-rate curves, currency coupon, inflation and interest rate indices, and
50 percentage points in currency and share prices, both for growth and fall, considering the largest resulting losses
per risk factor.
Derivative financial instruments engaged by ITAÚ UNIBANCO HOLDING are shown in the item Derivative Financial
Instruments in this note.
Itaú Unibanco Holding S.A. – Complete Financial Statements – Mach 31, 2013 126