IRR310313.pdf - Banco Itaú

c) Defined benefit plan
I - Main assumptions used in actuarial valuation of Retirement Plans
03/31/2013 03/31/2012
Discount rate (1) 8.16% p.a. 9.72% p.a.
Mortality table (2) AT-2000 AT-2000
Turnover (3) Itaú Exp. 2008/2010 Itaú Exp. 2008/2010
Future salary growth 7.12 % p.a. 7.12% p.a.
Growth of the pension fund and social security benefits 4.00 % p.a. 4.00% p.a.
Inflation 4.00 % p.a. 4.00% p.a.
Actuarial method (4) Projected Unit Credit Projected Unit Credit
(1) The adoption of this assumption is based on a study that adopts the methodology of following up the interest rate of long-term securities issued by
Brazilian Treasury, indexed to inflation rates, and on the analysis of changes in the interest curves up to the actuarial valuation base date. The Discount
Rate assumption was changed in 2012 so as to be consistent with the economic scenario at the balance sheet date.
(2) The mortality tables adopted correspond to those disclosed by SOA – Society of Actuaries, the North-American Entity which corresponds to IBA –
Brazilian Institute of Actuarial Science, which reflects a 10% increase in the probabilities of survival as compared to the respective basic tables.
The life expectancy in years by the AT-2000 mortality table for participants of 55 years of age is 27 and 31 years for men and women, respectively.
(3) The turnover assumption is based on the effective experience of ITAÚ UNIBANCO HOLDING, resulting in the average of 2.4% p.a. based on the
2008/2010 experience.
(4) Using the Projected Unit Credit, the mathematical reserve is determined by the current projected benefit amount multiplied by the ratio between the
length of service in the company at the assessment date and the length of service that will be reached at the date when the benefit is granted. The cost is
determined taking into account the current projected benefit amount distributed over the years that each participant is employed.
Actuarial assumptions adopted are consistent with the group of participants of each benefit plan, pursuant to the
studies carried out by an independent external actuarial consulting company, for biometric/demographic
assumptions, and studies coordinated by the Investment Officer of EFPC regarding the economic assumptions.
The basic difference between the assumptions above and those adopted upon determination of the actuarial
liability of defined benefit plans, for purposes of recording in the balance sheet of the closed-end private pension
entities that manage them, is the actuarial method. For this purpose, the Bank adopts the aggregate method, by
which the mathematical reserve is defined based on the difference between the present value of the projected
benefit and the present value of future contributions, subject to the methodology defined in the respective
actuarial technical note.
II- Risk Exposure
Due to its defined benefit plans, ITAÚ UNIBANCO HOLDING is exposed to a number of risks, the most
significant ones are:
- Volatility of assets
The actuarial liability is calculated by adopting a discount rate defined based on the income from securities
issued by the Brazilian treasury (government securities). If the actual income from plan investments is lower
than expected, this may give rise to a deficit. The plans have a significant percentage of fixed-income securities
pegged to the plan commitments, aiming at minimizing volatility and the short and medium-term risk.
- Changes in investment income
A decrease in income from public securities will imply a decrease in discount rate and, therefore, will increase
the plan actuarial liability. The effect will be partially offset by the recognition of these securities at market value.
- Inflation risk
Most of plan benefits are pegged to the inflation rates, and a higher inflation will lead to higher obligations. The
effect will also be partially offset because a significant portion of the plan assets is pegged to government
securities restated at the inflation rate.
Itaú Unibanco Holding S.A. – Complete Financial Statements – Mach 31, 2013 184