IRR310313.pdf - Banco Itaú

Risk Management
Corporate Principles of Risk and Capital
Management
Itaú Unibanco regards risk management as an essential
instrument for optimizing the use of resources and selecting the
best business opportunities in order to create value to its
stockholders.
The risk management processes permeate the entire institution
and are in line with the guidelines of the Board of Directors and
Senior Management, which, through Committees and Superior
Commissions, determine the overall objectives, expressed as
targets and limits for the risk management business units. The
control units, in turn, support the Itaú Unibanco’s management
by means of monitoring processes and risk analysis.
The capital management process continually monitors the
capital need in scenarios of normality and stress, helps on
planning of targets and capital need and on adoption of a
prospective posture in relation to capital management.
For additional information on the risk and capital management
structure, please see the Investor relations website at www.itauunibanco.com/ir
>> Corporate Governance >> Risk Management
Risk - Circular 3,477.
Credit Risk
Our credit risk management is aimed at creating value to
stockholders based on the analysis of the risk-adjusted return and
focused on maintaining the quality of the credit portfolio at levels
that are appropriate to each market segment in which we
operate.
The credit risk control is centralized, carried out by an
independent executive area responsible for preparing
institutional credit risk control policies, evaluating credit policies
and new products, establishing governance in model
development, including its validation, calculating and monitoring
the Referential Equity, evaluating the calculation of the portfolio’s
risk and return parameters, as well as their monitoring, and
monitoring the allowance for loan losses. Itaú Unibanco’s
centralized process for validating and approving credit policies
and models ensures the timing of credit actions and the
optimization of business opportunities.
Operational Risk
Our operational risk management structure is composed of
operational risk management and control activities aimed at
supporting the organization in decision-making processes,
always in the search for the proper identification and evaluation
of risks, the creation of value for stockholders, as well as the
protection of our the assets and image.
Liquidity Risk
The liquidity risk management is aimed at ensuring sufficient
liquidity to withstand potential outflows of funds in times of
market stress scenario, as well as the compatibility between
funding and terms and liquidity of assets.
We have a structure that is dedicated to monitor, control and
analyze liquidity risk using models for the projection of variables
that impact cash flows and the level of local and foreign currency
reserve.
Market Risk
Our strategy is aimed at balancing corporate business goals,
taking into account the political, economic and market
conditions, market risk portfolio of the institution and expertise to
operate in specific markets.
Market risk control is managed by a group that is independent
from the different business units and audit, and is responsible for
performing the daily activities of risk measurement, evaluation,
analysis and reporting. For this purpose, there is a structured
process of communication and information flow, which provides
information to the Superior Committees and ensures compliance
with the requirements of Brazilian and foreign regulatory
agencies.
VaR of Itaú Unibanco
The table showing the Consolidated Global VaR provides analysis
of the exposure to market risk faced by the portfolios of Itaú
Unibanco and its foreign subsidiaries, and also demonstrates
where there are higher concentrations of market risk. In this
quarter we maintained our conservative management and
portfolio diversification, keeping our policy of operating within
lower limits in relation to our capital.
The decrease in Global VaR, when compared to the previous
quarter, is mainly due to positions changes and to the decrease in
volatility observed in some risk factors.
VaR by Risk Factor
R$ million
Mar 31, 13 Dec 31, 12
Brazilian interest rate 166.4 348.7
Other interest rate 16.7 11.4
FX rate 23.7 8.8
Brazilian inflation index 55.8 51.2
Equities and commodities 16.9 16.8
Itaú Unibanco
Itaú Unibanco
Foreign Units
Adjusted for tax effects.
VaR refers to the maximum potential loss for a day, with a 99% confidence level.
Volatilities and correlations are estimated based on a methodology that attributes
more weight to the most recent information.
161
118
79
72
Banco Itaú BBA International 2.7 1.1
Banco Itaú Argentina 3.2 5.5
Banco Itaú Chile 2.7 4.4
Banco Itaú Uruguay 1.8 2.0
Banco Itaú Paraguay 1.7 1.0
Banco Itaú BBA Colombia 0.0 -
Diversification Effect (97.7) (77.1)
Global VaR 193.6 373.7
Maximum VaR in the Quarter 443.4 452.7
Average VaR in the Quarter 286.7 275.9
Minimum VaR in the Quarter 158.2 189.0
Evolution of Itaú Unibanco's Value at Risk
166
163
105
74
278
198
151
134
182
154
143
135
601
402
401
118
423
327
218
197
453
374
276
189
443
287
194
158
jun/11 sep/11 dec/11 mar/12 jun/12 sep/12 dec/12 mar/13
Global Maximum Average Minimum
Capital Adequacy
Itaú Unibanco maintains adequate levels of Referential Equity in
relation to the Required Referential Equity, which is the minimum
regulatory capital required. We systematically compare this
minimum capital with our internal estimates of economic capital
required and we concluded that it is, in total, sufficient to cover
the risks incurred, including those that are not directly covered by
the Required Referential Equity.
Management Discussion & Analysis
Itaú Unibanco Holding S.A.
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