2004 Report and Financial Statements
Report and Financial Statements
1
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Contents
Data on Sociedade Gestora do Fundo de Pensões do Banco de Portugal
Members of the corporate bodies
Report of the Board of Directors
Sociedade Gestora do Fundo de Pensões do Banco de Portugal
Balance sheet and profit and loss account
Annex to the balance sheet and the profit and loss account
Legal certification of accounts
Pension Fund of Banco de Portugal
Financial position and profit and loss account
Annex to the financial position and profit and loss account
Certification of accounts
Actuarial valuation
2
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Data on Sociedade Gestora do Fundo de Pensões do Banco de Portugal
Sociedade Gestora do Fundo de Pensões do Banco de Portugal (Banco de Portugal’s
Pension Fund Managing Company) was set up on 3 June 1988, aimed at managing and
representing the Pension Fund of Banco de Portugal.
The equity capital of this Company is €1,000,000.
The shareholders are:
x Banco de Portugal, with a holding of 97.66% of the capital; and
x The participants and beneficiaries of the Pension Fund of Banco de Portugal.
The Head Office is located at Rua do Comércio, nº 148, in Lisbon.
Services are located at Av. da República, nº 57, 7º, in Lisbon.
As at 31 December 2004:
x the Company’s net assets amounted to €2,924 thousand;
x the Company’s equity capital amounted to €1,909 thousand;
x the Pension Fund value stood at €1,012,217 thousand; and
x total liabilities corresponded to €1,040,909 thousand.
3
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Members of the Corporate Bodies
SHAREHOLDERS’ MEETING
Chairman
Armando da Silva Couto
Secretary
Hernâni Fontoura Pires
BOARD OF DIRECTORS
Chairman
António Manuel Martins Pereira Marta
Member of the Board
Manuel Ramos de Sousa Sebastião
Executive Director
Helena Maria de Almeida Martins Adegas
Single Auditor
Ernst & Young Audit & Associados – SROC, S.A.
Alternate of the Single Auditor
Óscar Monteiro Machado de Figueiredo, C.A.
4
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Report of the Board of Directors
In conformity with the legal and statutory requirements, the Board of Directors hereby
submits to its shareholders the Report and Financial Statements and a series of other
documents regarding the fiscal year 2004.
1. BUSINESS ACTIVITY CARRIED OUT
The Managing Company is responsible for the management of this institution’s Pension
Fund, as well as for the actuarial assessments required for the calculation of liabilities
relating to retirement and survivors pensions. Most of this Company’s capital is held by
Banco de Portugal and its staff members are employees of the Bank covered by a
secondment agreement.
The Pension Fund of Banco de Portugal, managed by the Managing Company, is composed
of autonomous assets, exclusively earmarked for the fulfilment of Banco de Portugal’s
commitment to pay retirement, disability and survivors pensions. It is a closed pension fund,
operating a defined benefit scheme and plays the role of first pillar of social protection.
These pensions cover not only the requirements of the collective wage agreement prevailing
for the banking sector (Acordo Colectivo de Trabalho Vertical do Sector Bancário – ACTV),
but also other supplementary remunerations received by the employees of Banco de
Portugal.
5
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
With respect to the activity of the Managing Company in 2004, a joint project with Banco de
Portugal was concluded, leading to the implementation of a new asset management computer
system. This system covers different operational areas, thereby joining, under the same
application environment, portfolio management, risk control and performance measurement
functions as well as back-office activities. Its implementation enabled a significant increase
in efficiency and a reduction of operational risk.
Improvements were also introduced in the actuarial assessment model and in the adjustment
of some calculation assumptions, namely in terms of the methodology regarding the setting
of the discount rate and the growth rates of wages and pensions.
At the asset management level, the investment policy aimed at maximising the profitability
of the Fund’s assets was maintained, nevertheless sticking to a conservative approach as to
both the adequate degree of liquidity to meet pension payment liabilities and the limits on
market and counterparty risks on the value of the assets comprising the fund. Within this
framework, portfolio diversification was kept, across bond, real estate and equity markets.
At the level of human resources management, reinforcement of the technical expertise of the
staff of the Managing Company was pursued and the organisational restructuring initiated in
the previous year was completed, aimed at ensuring a better segregation of functions and the
creation of new areas of expertise, namely within the scope of the middle-office (risk control
and performance measurement).
2. PENSION SCHEMES
The Pension Fund of Banco de Portugal funds seven pension schemes, of which four
(generally known as Base Plans) are aimed at ensuring the benefits arising from the base
remuneration, while the remaining three (known as Regimes) are intended to provide for the
payment of pensions relating to the complementary salary.
6
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
All these plans/regimes fall within the defined benefit scheme category, given that the
benefits they offer – retirement or survivorship – are previously established. As a result, the
cost of these schemes is a dependent non-controllable variable, a function of the actuarial
and financial assumptions considered. These, in turn, reflect endogenous developments in
markets and demographic variables.
In general terms, benefits funded through the Pension Fund of Banco de Portugal are only
settled in the form of a pension. This excludes two of the pensionable complementary salary
regimes, where employees can opt for the partial capital redemption of the retirement
pension.
2.1. Characterisation
Base Plans
x
Plan I
This plan covers all employees hired by Banco de Portugal up to 31 December 1994. From
that date onwards, no more members were admitted to this plan, which therefore became
closed.
It is a non-contributory pension plan, insofar as employees do not contribute to its funding,
which is fully ensured by Banco de Portugal.
The benefits offered by this plan consist in attributing a retirement pension equal to the total
last base salary, upon reaching normal retirement age, or in cases of disability or early
retirement, as well as a survivors pension to dependants of deceased employees (either active
or retired).
7
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
x
Plan II
This plan entered into force on 1 January 1995 and covers employees hired after this date,
who do not come from other credit institutions covered by the ACTV as far as social security
matters are concerned.
This is a contributory pension scheme, insofar as employees contribute to its funding with
5% of their pensionable remuneration, as laid down in Clause 137-A of the ACTV, while the
rest is paid by Banco de Portugal.
This plan gives the right to a retirement pension calculated according to the base salary and
proportional to the years of service, as well as a survivors pension to dependants of deceased
employees (either active or retired).
x
Plan III
This plan covers the members of the Board of Directors of Banco de Portugal and started on
1 February 1998, with the entry into force of Law No 5/98 of 31 January - Organic Law of
Banco de Portugal.
It is a contributory pension plan, where members participate in its funding with a percentage
determined on the basis of the rate fixed in Clause 137-A of the ACTV.
x
Plan IV
This plan includes all employees who, although having been hired after 1 January 1995,
come from other credit institutions covered by the ACTV as far as social security matters are
concerned.
This is a mixed plan, given that it is non-contributory like the Plan I, but offers benefits
proportional to the years of service like the Plan II.
8
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Pensionable complementary salary regimes
x
General regime
This regime covers staff hired by Banco de Portugal after 1 January 2001.
This is a contributory regime, receiving contributions from both Banco de Portugal and the
employees, with a share of 60% and 40% respectively, including contributions for risks
associated with disability and death. However, the employee’s contribution shall not exceed
10% of the complementary salary earned.
The benefits offered by this regime consist in granting a retirement pension (without the
possibility of capital redemptions) proportional to the period of contribution, as well as a
survivors pension to dependants of deceased employees (either active or retired).
x
Special regime A
This regime covers staff hired by Banco de Portugal before 31 December 1998.
It is a contributory regime to which Banco de Portugal and the employees both contribute
according to the rules established for the general regime. However, in this case, disability
and death risks are only funded by Banco de Portugal.
The benefits offered by this regime consist in granting a retirement pension corresponding to
85% of the last complementary salary, upon reaching normal retirement age or in case of
early retirement, or calculated proportionally to the years of service for pension purposes in
case of disability (at least 50% of the complementary salary), as well as granting a survivors
pension to dependants of deceased employees (either active or retired). Upon retirement,
employees can opt for the capital redemption of 1/3 of the pension to which they are entitled.
9
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
x
Special regime B
This mixed regime covers staff hired by Banco de Portugal in 1999 and 2000.
In fact, it fully coincides with the mechanism applicable to the Special regime A as regards
the sharing of contributions between Banco de Portugal and the employees, limitation of
employees’ contributions and coverage of shared risks.
With regard to benefits, this regime coincides with the General regime, except for the fact
that it enables employees to opt for the capital redemption of 1/3 of the pension amount.
2.2. Trend of the population covered by the Plans/Regimes
Reference should be made to the ageing population covered by the Pension Fund of Banco
de Portugal, whose number of beneficiaries is higher than the number of active participants.
The resulting weight in the total of liabilities relating to pensions in payment strongly affects
the Fund’s asset management.
Base plans
As regards the population, the four base plans are characterised as follows:
-
Plan I is closed and will admit no more members. Therefore, its structure will develop
towards an increase in the number of beneficiaries, against a reduction in the number of
participants;
-
Plans II and IV are open, which means that they will cover new hiring by Banco de
Portugal and therefore the number of participants will increase. In parallel, given the
younger population compared to the other plans, the group of beneficiaries will tend to
grow more slowly;
-
Plan III is open, covering a strict group of participants.
10
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Table 1: POPULATION COVERED BY BASE SCHEMES
As at
As at
As at
Change
Change
31 Dec 2002 31 Dec 2003 2002/2003 31 Dec 2004 2003/2004
Active participants
1,795
1,788
-7
1,737
-51
Staff in retirement
1,685
1,683
-2
1,724
+41
488
471
-17
474
+3
3,968
3,942
-26
3,935
-7
0.83
0.83
Pensioners
TOTAL
Ratio
0.79
1
Active /Beneficiaries2
1
Participants;
2
Staff in retirement and pensioners.
As at 31 December 2004, Base Plans funded through the Pension Fund as a whole covered
1,737 (active) participants, 1,724 staff in retirement and 474 pensioners.
Pensionable complementary salary regimes
In terms of population, the three regimes are characterised as follows:
-
The general regime is the only regime which is open to new hiring and is thus expected
to develop similarly to the Plans II and IV;
-
Special regime A, given the time frame it covers, comprehends the most representative
part of the population covered by the Pension Fund. It is an overall closed regime,
although occasionally there may be new admissions, in cases where a complementary
salary is attributed to employees that were hired by the Bank prior to 31 December 1998;
-
Special regime B will always be a small regime, given its short coverage period. It is an
overall closed regime, similarly to the special regime A.
11
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Table 2: POPULATION COVERED BY
PENSIONABLE COMPLEMENTARY SALARY REGIMES
As at
As at
Change
As at
Change
31 Dec 2002 31 Dec 2003 2002/2003 31 Dec 2004 2003/2004
Active participants
1,747
1,741
-6
1,696
-45
Staff in retirement
69
91
22
150
59
6
7
1
8
1
1,822
1,839
17
1,854
23.3
17.8
Pensioners
TOTAL
Ratio
10.7
1
Active /Beneficiaries2
1
Participants;
2
Staff in retirement and pensioners.
As at 31 December 2004, pensionable complementary salary regimes funded through the
Pension Fund as a whole covered 1,696 (active) participants, 150 staff in retirement and 8
pensioners.
2.3. Developments in benefits and contributions
Chart 1 shows developments in the volume of pensions paid by the Fund since its setting-up,
inter alia:
-
the increase in values paid by the Pension Fund between 1995 and 1996, resulting from
the transfer of liabilities relating to pensions in payment (staff in retirement and
pensioners) from Banco de Portugal to the Pension Fund at end-1995;
-
the integration of pensionable complementary salary regimes on 1 January 2002. This
made it possible for payments to be effected in the form of capital redemptions of
pensions. Given their differences, capital redemptions and pensions are illustrated
separately in Chart 1.
12
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
In 2004 the value of pensions paid amounted to €39,393 thousand (of which €1,229 thousand
originate from the new pensionable complementary salary regimes), which accounts for a
6.6% increase from the previous year.
The value settled in 2004 as redemption capital amounted to €1,149 thousand, accounting for
a 181.9% increase from 2003.
In addition, the value corresponding to contributions previously made (plus the respective
accumulated income) was paid back to a small number of employees whose contracts with
Banco de Portugal terminated.
Chart 1: VOLUME OF BENEFITS PAID BY THE FUND
(€ thousand)
35,000
30,000
25,000
20,000
15,000
10,000
5,000
0
1988
1990
1989
1992
1994
1996
1998
2000
2002
2004
1991
1993
1995
1997
1999
2001
2003
Pensions
Redemption capital
As mentioned above, all plans/regimes funded by the Pension Fund are defined benefit
schemes. This implies that contributions are a “dependent variable”. Thus, it is necessary to
make periodic adjustments to regular contribution rates and, in some cases, to add an
13
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
extraordinary contribution, as a result of several factors, in particular changes in the
behaviour of financial variables or non-projected developments in the benefits.
Chart 2 shows developments in the contributions received by the Fund in the past 11 years,
stress being laid on the following:
- Current contributions were interrupted in 1996, 1997 and 1998, due to a high funding
level of the Pension Fund at end-1995. They were resumed in 1999.
- In early 2002 an amount of €54 million was transferred, as a result of the integration in
the Pension Fund of Banco de Portugal of pensionable complementary salary regimes
previously covered by a Group Life Insurance.
- Extraordinary contributions from Banco de Portugal exhibit an irregular pattern over
time. In late 1995 and early 1996 they were intended to finance the transfer to the
Pension Fund of liabilities relating to pensions in payment that until then were incumbent
on Banco de Portugal. Between 2001 and 2003 they were a consequence of unfavourable
market developments.
- In 2004 regular contributions totalled €17.6 million, of which €1.5 million were paid by
employees and €16.1 million by Banco de Portugal. There was no recourse to
extraordinary contributions this year.
14
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Chart 2: VOLUME OF CONTRIBUTIONS RECEIVED BY THE PENSION FUND
(€ thousand)
110,000
100,000
90,000
80,000
70,000
60,000
50,000
40,000
30,000
20,000
10,000
0
1994
1995
1996
Current contrib.
1997
1998
1999
2000
Extraord. contrib.
2001
2002
2003
2004
Transf. from Group Life Insur.
2.4. Actuarial and financial assumptions
In 2004 recourse continued to be made to the methodology used since 2001, which consists
of indexing actuarial and financial assumptions so as to ensure that:
-
the discount rate used to calculate the current value of the Pension Fund’s liabilities
reflects, in every valuation, an investment rate that is effectively available in the financial
markets, for a maturity that matches the time structure of these liabilities;
-
the growth rates assumed for wages and pensions maintain a high degree of empirical
adherence and always adjust whenever there is an anticipated change in their future
developments.
At the end of 2004 the indexation methodology led to:
15
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
- a discount rate of 4.16%, i.e. 0.62 percentage points lower than the rate used at the end of
the previous year;
- growth rates of wages and pensions of 2.23% and 1.73% respectively, i.e. both the rates
were 0.16 percentage points lower than those used at end-2003.
Throughout the year, past service liabilities had an overall increase of 7.32%. This rate can
be broken down into 3.03% originating from developments expected for that year and 4.29%
resulting from the combined effect of the indexation of actuarial assumptions, changes or
adjustments to the actuarial model and deviations between expected and actual values.
3. THE MACROECONOMIC FRAMEWORK OF ASSET MANAGEMENT
The year 2004 was marked by the recovery of global economic growth, with no impact on a
re-emergence of inflationary pressures, despite the fiscal policy difficulties and the oil price
increase of around 33%, to a level above USD 40/barrel by year-end.
The euro area recorded an estimated economic growth of 2%, against only 0.5% in 2003,
with inflation stabilising at 2.1%. According to the latest available data, the Portuguese
economy seems to have continued to register a lower growth rate and a higher inflation than
the euro area averages.
16
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Table 3 - ECONOMIC GROWTH AND INFLATION
2000
2001
2002
2003
2004p
Gross domestic product
3.5
1.6
0.9
0.5
2.0
Consumer prices
2.1
2.3
2.3
2.1
2.1
Gross domestic product
3.7
1.8
0.5
-1.3
1.1
Consumer prices
2.8
4.4
3.7
3.3
2.5
Growth rates (%)
Euro area
Portugal
Sources: Banco de Portugal, European Central Bank and Eurostat
Throughout the year, in contrast to the policy of interest rate rises pursued by the US
monetary authority, the European Central Bank (ECB) did not change its reference rates.
This was a determining factor for the relative stability observed in euro area interest rates
with maturities of up to 2 years. By contrast, long-term interest rates declined remarkably,
which may have been associated with expectations of weak economic growth in Europe,
subdued inflation and euro appreciation.
In fact, during 2004 the euro appreciated by approximately 8% against the US dollar and by
3% against the Japanese yen, boosted by a global portfolio shift caused by concerns with
excessive growth in the US fiscal and current account deficits.
17
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Table 4 – DEVELOPMENTS IN THE MAIN EURO AREA INTEREST RATES
Dec.
Dec.
Change
2003
2004
(p.p.)
2.00%
2.00%
0.00
3 months
2.13%
2.16%
+0.03
1 year
2.31%
2.36%
+0.05
2 years
2.49%
2.48%
-0.01
10 years
4.30%
3.69%
-0.61
30 years
4.94%
4.29%
-0.65
ECB intervention rate
Rate on the main refinancing operations
Money market yields(*)
Treasury bond yields (**)
Source: REUTERS.
(*) Euro area benchmark: Euribor rates.
(**) Euro area benchmark: German government debt securities.
Expectations of an intensified growth pace sustained the upward trend in the major stock
markets in 2004, despite the movements seen over the year. In the US the S&P500 index
rose by 9%, in Europe the DJ Stoxx 50E index increased by 6.9% and in Japan the Nikkei
225 index rose by 7.6%.
4. ASSET PORTFOLIO STRUCTURE
The asset portfolio structure of the Pension Fund was largely determined by the mark to
market principles adopted for the liabilities’ valuation. In effect, an indexation methodology
for actuarial and financial assumptions has been adopted since 2001, relying on the
assumption that the current value of liabilities should represent, at each moment, the capital
that would have to be invested in order to meet future payments. As a result, the investment
policy for the assets largely reflects the liabilities’ time structure.
18
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
The structure of the Pension Fund’s asset portfolio remained relatively stable in the course of
2004, with only a slight reinforcement of the weight of the equity exposure to the detriment
of the fixed income exposure.
This latter investment class continued, however, to have an important share on the portfolio,
due to its strategic relevance in the interest rate risk immunisation of the Pension Fund’s
balance sheet.
Chart 3 - STRUCTURE OF THE PENSION FUND’S PORTFOLIO
BY ASSET CLASS – 2004
Equity 9.4%
Real estate
15.0%
Bonds
75.6%
5. PERFORMANCE BY ASSET CLASS
The performance of the Pension Fund’s asset portfolio in 2004 was largely determined by the
yield on the bond portfolio, given the high weight of the latter in the total.
The decline in medium and long-term interest rates had a significant impact on the value of
the bond portfolio, which was magnified by the concentration of investments on long-term
securities. As a consequence, the effect of the decline in interest rates on the value of past
service liabilities was adequately offset at the asset level, which provided a high level of
coverage for these liabilities. The returns on equity and real estate investments, albeit lower,
did not jeopardise this result.
19
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Table 5 - PERFORMANCE BY ASSET CLASS
Fixed income
Equity
Real estate
Total
11.7%
8.3%
3.5%
10.1%
The return on the equity portfolio was consolidated in the last four months of the year, given
the valuation of the major stock market indices. The adopted foreign exchange hedging
policy enabled the preservation of the return on equity investment in markets outside the
euro area, in a context of appreciation of the euro against the major currencies.
The regions with a higher weight in the Pension Fund’s portfolio recorded higher yields,
namely North America (9.2%) and the euro area (8.1%), which at year end accounted for
30.5% and 55.1% respectively of the Pension Fund’s equity portfolio.
Chart 4
Chart 5
YIELD ON EQUITY BY REGION
GEOGRAPHICAL BREAKDOWN OF EQUITY
AS AT 31 DEC. 2004
10.0%
9.2%
9.0%
8.3%
8.1%
2.6%
8.0%
7.2%
7.0%
30.5%
6.0%
5.0%
4.0%
55.1%
3.0%
2.5%
11.8%
2.0%
1.0%
0.0%
Asia-Pacific
Euro area
Europe ex euro
area
North America
Total
Asia-Pacific
Euro area
Europe ex euro area
20
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
North America
2004 Report and Financial Statements
Real estate investment generated a return of 3.5% in 2004, while the performance of the
building portfolio was 2.6%. In turn, the yield on the real estate investment fund portfolio
was 4.7%.
6. RISK CONTROL
The Pension Fund’s investment policy is bound by the applicable regulations set forth by
Instituto de Seguros de Portugal (ISP – Portuguese Insurance Institute), namely as regards
asset composition and control and the use of derivatives, repurchase agreements and
securities lending. It is also bound by internal rules, which are more detailed and restrictive
than the regulations. These rules are set forth by the Managing Company itself, strictly in
line with the risk profile desired by the sponsor – Banco de Portugal.
In the course of 2004 the portfolio structure was subject to constant analysis and monitoring,
intended to identify the degree of exposure to different types of risk (credit risk, country risk,
market risk, liquidity risk and legal risks) and also to recommend actions to mitigate such
exposure, if deemed excessive.
The control of credit risk associated with either the institutions issuing securities that
integrate the investment portfolio (issuers) or those with whom transactions are dealt
(counterparties) is ensured by restricting investment to instruments and institutions of
recognised safety and financial strength. It also implies monitoring the rating attributed by
international agencies such as FitchRatings, Moody’s Investor Service and Standard &
Poor’s, which must respect pre-established minimum levels.
In late 2004 the Pension Fund’s fixed-income portfolio showed a low level of credit risk
exposure, given the large share of sovereign issuers with a high rating.
21
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Charts 6 and 7 - CREDIT RISK OF THE FIXED-INCOME PORTFOLIO
AS AT 31 DECEMBER 2004
TYPE OF ISSUER / COUNTERPARTY
1.8%
0.3%
3.6%
RATING OF THE ISSUER/COUNTERPARTY
0.2%
2.0%
23.1%
94.1%
Governments
Paragovernmental
Corporate institutions
74.8%
Supranational
Financial institutions
AAA
AA
A
At year end the country risk of the portfolio was concentrated in the European countries,
mainly in the euro area.
Chart 8 – GEOGRAPHICAL BREAKDOWN OF COUNTRY RISK - 31 DECEMBER 2004
Asia Pacific 0.2%
North
America 2.9%
Europe
ex euro area
2.4%
Euro area
94.4%
The most frequently used indicator in the measurement of market risk is the Value-at-Risk
(VaR), which seeks to quantify the maximum potential loss that the investment portfolio may
suffer within a given time horizon and with a certain degree of confidence.
22
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
At the end of 2004 the VaR of the financial asset portfolio (excluding real estate assets) for a
time horizon of one-month and with a confidence level of 99% was €26.9 million, i.e. 3.1%
of the portfolio value.
The management of the investment portfolio’s interest rate risk using the modified duration
indicator is especially relevant, as it allows a link to be established between the financial
assets and the liabilities of the Pension Fund. At the end of 2004 this indicator stood at 9.99.
Table 6 – MODIFIED DURATION
31 Dec. 2004
Maturity
segments
Up to 1 year
1 to 3 years
3 to 5 years
5 to 7 years
7 to 10 years
over 10 years
Total
Weight %
MDuration
31 Dec. 2003
Weight %
MDuration
4.0%
7.9%
9.9%
1.1%
2.4%
74.7%
0.59
1.89
3.13
5.03
7.22
12.43
1.9%
9.5%
10.1%
3.0%
4.4%
71.3%
0.56
1.77
3.61
4.51
6.62
11.70
100.0%
9.99
100.0%
9.31
The management of the investment portfolio’s exchange rate risk continued to be carried out
through forward foreign exchange transactions linked to investments in assets denominated
in non-euro currencies.
As for legal risks, special emphasis is placed on the legal framework analysis and on the
monitoring of strict compliance with the rules and limits of prudential diversification as
defined by the Instituto de Seguros de Portugal concerning the asset composition of the
Pension Fund’s portfolio.
23
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
7. FINANCIAL POSITION OF THE PENSION FUND FROM AN ASSET-LIABILITY
PERSPECTIVE
On 31 December 2004 the assets of the Pension Fund of Banco de Portugal amounted to
€1,012.2 million, up by €71.6 million from a year earlier.
Total past service liabilities amounted to €1,040.9 million, €548.95 million of which are
liabilities relating to pensions in payment and €491.96 million correspond to past service
liabilities of active employees. In 2004 the increase in past service liabilities amounted to
€70.95 million.
At year end the Pension Fund posted an overall funding level of 97.2%, ensuring a coverage
of 100% of liabilities with pension payments and a coverage of past service liabilities of
active employees higher than 95% (minimum established in Notice of Banco de Portugal No
12/2001 of 23 November).
Chart 9 – DEVELOPMENTS IN ASSETS AND LIABILITIES OF THE PENSION FUND (€ million)
1200
1000
800
600
400
200
0
2000
Pension Fund value
2001
2002
2003
2004
Past service liabilities
For the purposes of the provisions of Notice of Banco de Portugal No 12/2001, the degree of
coverage was 100.6% of the minimum required. The requirements established by the
24
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Instituto de Seguros de Portugal were also fully complied with, and the coverage of the
solvency minimum reached 116.2%.
These results, achieved without recourse to any extraordinary contribution, were mainly due
to the policy of concentrating investments on medium and long-term bonds, with a view to
adjusting the asset portfolio structure to the profile of the Fund’s liabilities.
Table 7 - FINANCIAL POSITION OF THE PENSION FUND (amounts in €)
(1)
(2)
(3)
(4)= (1)/(3)
(5)
(6)= (1)/(5)
(7)
(8)= (1)/(7)
Pension Fund value
Extraordinary contribution
Past service liabilities (PSL)
Actual funding level
PSL of compulsory funding (Notice No 12/2001)
Coverage of PSL of compulsory funding
PSL for the calculation of the minimum solvency ratio
Minimum solvency coverage
31 Dec. 2003
31 Dec. 2004
940,601,556
14,000,000
969,954,007
97.0%
935,353,570
100.6%
847,025,766
111.0%
1,012,217,188
0
1,040,908,959
97.2%
1,006,572,839
100.6%
870,771,795
116.2%
8. PROPOSAL FOR THE DISTRIBUTION OF RESULTS
The net profit in the accounts of the Managing Company, for the fiscal year 2004, was
€7,523, which shall be distributed as follows:
Legal reserve
€ 377
Free reserves
€ 7,146
Total
€ 7,523
25
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
9. FINAL REMARK
The Board of Directors would like to conclude the Report and Financial Statements for the
fiscal year 2004 by thanking Banco de Portugal for its confidence and cooperation.
A word of recognition is also due to Instituto de Seguros de Portugal for the manner in
which it monitored the business activities of the Managing Company.
Finally, reference should be made to the high professionalism and dedication of all the staff
of the Managing Company, who played a decisive role in the results achieved.
Lisbon, 10 March 2005
BOARD OF DIRECTORS
António Manuel Martins Pereira Marta
Chairman
Manuel Ramos de Sousa Sebastião
Member of the Board
Helena Maria de Almeida Martins Adegas
Executive Director
26
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Balance sheet and profit and loss account
2004
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
NA = Net assets
Accountant
4.276.288
25.566
69.142
2.941
28.508
1.421.203
11.765
1.127.599
75.871
1.247
77.118
11.765
0
117.229
2.093
78.319
1.199.726
12.071
1.292.209
DA
2004
2.924.227
25.566
69.142
2.941
97.650
75.871
1.247
77.118
1.115.835
1.115.835
562.223
3.996
566.219
43.252
0
22.820
76.486
919.902
4.947
1.024.154
NA
Fiscal years
1.127.599
562.223
3.996
566.219
43.252
117.229
24.913
154.805
2.119.628
17.018
2.316.363
GA
Paulo José Antunes Jorge
DA = Depreciation and accumulated provisions
GA = Gross assets
TOTAL ASSETS
Total depreciation
Total provisions
ACCRUALS AND PREPAID EXPENSES
Accrued income
Prepaid expenses
Deferred tax assets
Bank deposits and cash:
Bank deposits
Cash
Marketable securities:
Other marketable securities
CURRENT ASSETS
Short-term debts of third parties:
Government and other public entities
Other accounts receivable / Other debtors?
Assets under construction
Intangible fixed assets
Tangible fixed assets:
Buildings and other constructions
Basic equipment
Office equipment
Other tangible fixed assets
TANGIBLE AND INTANGIBLE FIXED ASSETS
ASSETS
67.980
2.426.477
-
22.185
45.796
319.932
1.247
321.179
1.065.619
1.065.619
0
173.196
173.196
375.976
374
17.541
64.893
332.646
7.074
422.153
NA
2003
LIABILITIES
Sub-total..............
TOTAL EQUITY
António Manuel Martins Pereira Marta
Manuel ramos de Sousa Sebastião
Helena Maria de Almeida Martins Adegas
Board of Directors
TOTAL EQUITY AND LIABILITIES
TOTAL LIABILITIES
ACCRUALS AND INCOME COLLECTED IN ADVANCE
Accrued expenses
Income collected in advance
PROVISIONS FOR RISKS AND COSTS
Provisions
LIABILITIES
Short-term debts to third parties:
Other shareholders
Other creditors
Suppliers, c/a
Government and other public entities
Net profit for the year
Results carried forward
Reserves:
Legal reserve
Free reserves
Capital
EQUITY
BALANCE SHEET
SOCIEDADE GESTORA DO FUNDO DE PENSÕES DO BANCO DE PORTUGAL, S.A.
2.924.227
1.015.051
7.726
741
730
760.207
23.550
124.287
908.773
97.810
7.523
1.909.176
102.273
799.380
1.901.653
0
1.000.000
2004
2.426.477
524.824
29.928
741
825
190.565
42.719
179.795
413.904
80.250
16.540
1.901.654
101.446
783.667
1.885.113
0
1.000.000
2003
Fiscal years
(EUR)
TOTAL
-52.626
79.730
27.104
27.908
16.540
3.562.980
16.540
3.546.440
11.368
3.535.072
1.344
3.533.728
7.163
3.526.565
22.687
2.078.026
80.250
270.292
TOTAL
(F) .......................................
Extraordinary income and profits
(D) .......................................
Other interest and similar income
Income from marketable securities and other
financial holdings
Supply of services
Supplementary income
(B) .......................................
3.379.773
3.379.773
5.442
3.374.331
0
50.514
3.313.573
10.244
3.323.816
António Manuel Martins Pereira Marta
Manuel ramos de Sousa Sebastião
Helena Maria de Almeida Martins Adegas
2.167
4.996
9.188
13.499
2.058.099
19.927
1.075.309
2004
Fiscal years
Paulo José Antunes Jorge
-24.153
29.039
4.886
9.339
7.523
3.379.773
7.523
3.372.249
1.816
3.370.433
989
3.369.445
21.475
3.347.970
16.147
2.149.012
17.560
254.050
911.201
2003
INCOME
Board of Directors
8.525
12.950
500
15.647
2.095.651
53.361
2004
Fiscal years
Accountant
Net profit and loss for the year: (F) - (G) =.....................
Profit and loss before taxes: (F) - (E) =.....................
Current profit and loss: (D) - (C) =..................................
Financial profit and loss: (D - B) - (C - A) =....................
Operational profit and loss: (B) - (A) =.............................
Summary:
Net profit for the year
(G) .......................................
Tax on profit for the year
(E) .......................................
Extraordinary costs and losses
(C) .......................................
Interest and similar costs
Provisions for financial holdings
(A) .......................................
Other operational costs and losses
Taxes
Staff costs:
Salaries
Other staff costs
Provisions
Depreciation of tangible and intangible fixed assets
Supplies and services from third parties
EXPENSES
PROFIT AND LOSS ACCOUNT
SOCIEDADE GESTORA DO FUNDO DE PENSÕES DO BANCO DE PORTUGAL, S.A.
2003
3.562.980
3.562.980
2.149
3.560.832
40.153
46.740
3.463.924
10.015
3.473.939
(EUR)
SOCIEDADE GESTORA DO FUNDO DE PENSÕES DO BANCO DE PORTUGAL, S.A.
PROFIT AND LOSS ACCOUNT
CASH FLOWS
Fiscal year
2004
Operational activities
Net profit and loss
7.523
Adjustments
Depreciation
Provisions
Financial profit and loss
254.050
25.171
-393.024
Increases in debts of third parties
Decreases in debts of third parties
Increase in inventories
Decrease in inventories
494.869
Increases in debts to third parties
Decreases in debts to third parties
Decrease in income collected in advance
Increase in accrued income
Decrease in prepaid expenses
Increase in accrued expenses
Profits on the disposal of fixed assets
Losses on the disposal of fixed assets
Increase in deferred tax assets
Flows from operational activities
-3.382
-23.347
-22.202
-2.941
.......................................
329.195
Investment activities
Revenues from:
57.826
522.953
Financial investments
Tangible fixed assets
Intangible fixed assets
Investment subsidies
Interest and similar income
Dividends
Payments relating to:
Financial investments
Tangible fixed assets
Intangible fixed assets
Flows from investment activities
.......................................
580.779
Financing activities
Revenues from:
Loans received
Equity increases
Supplements and issue premiums
Subsidies and endowments
Sale of shares
Loss coverage
0
0
0
0
0
0
Payments relating to:
Loans received
Repayment of financial leasing contracts
Interest and similar income
Dividends
Capital reduction and supplementary payments
Purchase of own shares
0
0
0
0
0
0
Flows from investment activities
.......................................
0
Cash change and equivalents
Effect of foreign exchange differences
Cash and equivalents at the start of the period
Cash and equivalents at the end of the period
.......................................
.......................................
.......................................
.......................................
-244.061
0
321.180
77.118
Accountant
Paulo José Antunes Jorge
SOCIEDADE GESTORA DO FUNDO DE PENSÕES DO BANCO DE PORTUGAL, S.A.
PROFIT AND LOSS ACCOUNT
FUNCTIONS
Fiscal years
2004
2003
3.313.573
0
3.463.924
0
3.313.573
3.463.924
10.244
0
3.331.823
11.694
10.015
0
3.503.879
21.882
-19.700
-51.822
29.039
0
0
79.730
0
0
9.339
27.908
1.816
11.368
7.523
16.540
Extraordinary profit and loss
0
0
Taxes on extraordinary profit and loss
0
0
7.523
16.540
Sales and supply of services
Cost of sales and of supply of services
Gross profit and loss
.......................................
Other operational income
Distribution costs
Administrative costs
Other operational costs and losses
Operational profit and loss
.......................................
Net financing cost
Income (losses) from branches and associated companies
Income (losses) from other investments
Current profit and loss
.......................................
Taxes on current profit and loss
Current profit and loss after taxes
Net profit and loss
.......................................
.......................................
Accountant
Paulo José Antunes Jorge
2004 Report and Financial Statements
Annex to the balance sheet and the profit and loss account
2004
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Annex to the balance sheet and the profit and loss account
SETTING-UP AND BUSINESS ACTIVITY
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A. (Banco de Portugal’s
Pension Fund Managing Company) was set up on 3 June 1988 through a notarial deed
drawn up from Fl. 74 to Fl. 76 of the deed book No 677 – C of the 9th Notarial Office of
Lisbon, with the purpose of administering, managing and representing the Pension Fund of
Banco de Portugal.
Its setting-up was authorised by Executive Order No 245/88 of 20 April of the Finance
Ministry.
The annex to the accounts is in line with the plan in the Official Chart of Accounts (POC).
Missing numbers do not apply because the values and situations to be reported are either
irrelevant or non-existent.
3.
VALUATION CRITERIA
The Managing Company’s financial statements were prepared in accordance with the
accounting principles generally accepted in Portugal, namely with the basic principles of
continuity, consistency, accruals, historical cost, prudence, substance and materiality.
The valuation criteria adopted by the Managing Company are the following:
x Fixed assets
Fixed assets are entered at acquisition cost.
28
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Depreciation and amortisation are calculated on the basis of the estimated useful lives.
Therefore, use is made of the constant quota method, with the annual depreciation and
amortisation quota criterion being applied to assets acquired up to and including 1993
and, for assets acquired after this date, the quota criterion corresponding to the number
of months counting from the month of entry into operation.
Depreciation and amortisation rates are in conformity with the Portuguese tax law. The
resulting useful life is close to the asset lifetime.
The depreciation and amortisation rates were the following:
Annual
percentage
Basic equipment
10%
Office and social equipment and sundry furniture
10 to 33.33%
Other tangible fixed assets
12.50 %
x Marketable securities
Marketable securities are valued at acquisition cost, which includes all purchase-related
costs.
Provisions were set up aimed at a full coverage of the value of capital losses in the
securities portfolio and corresponding to a decline in the market value vis-à-vis the
acquisition cost of securities, when the former is lower.
x Recognition of costs and income
29
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Costs and income are recognised when they occur, taking into account the period to
which they refer, regardless of their actual financial settlement.
6.
DEFERRED TAXES
It was recognised that temporary differences between the accounting and tax results have
an effect on taxation in terms of corporate income tax. These differences regard provisions
for securities portfolio depreciation, and the deferred tax was entered to an amount of
€2,941.17.
7.
STAFF
During 2004 the average number of staff members of the Managing Company was 35.
10. FIXED ASSETS
Movements in this item were as follows:
30
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
INITIAL
BALANCE
TANGIBLE FIXED ASSETS
Gross assets
Buildings and other
constructions
Basic equipment
Office equipment
Other tangible fixed assets
INCREASES
17,688.16
7,224.64
129,043.59
1.299,883.40
25,761.10
822,691.43
WRITE-OFFS /
WRITEDOWNS
FINAL BALANCE
24,912.80
(2,946.86)
17,018.00
154,804.69
2,119,627.97
17,018.00
Intangible fixed assets
117,229.01
Fixed assets under construction
375,975.65
384,356.35
(717,080.30)
117,229.01
43,251.70
1,956,837.81
1,240,033.52
(720,027.16)
2,476,844.17
(147.40)
(1,945.47)
(i)
Accumulated depreciation
Buildings and other
constructions
Basic equipment
Office equipment
Other tangible fixed assets
Other Research and
Development expenses
Net assets
(2,092.87)
(64,150.79)
(14,167.83)
(967,237.89)
(235,435.13)
(78,318.62)
(9,944.10)
(2,127.25)
(12,071.35)
(116,854.94)
(374.07)
(117,229.01)
(1,158,335.12)
(254,049.75)
2,946.86
2,946.86
798,502.69
(1,199,726.16)
(1,409,438.01)
1,067,406.16
(EUR)
(i) See Note 14.
14. FIXED ASSETS UNDER CONSTRUCTION
From the amount transferred from tangible and intangible fixed assets under
construction, €715,527.78 are related to the implementation of a new computer
application to support financial asset management, which went into production at the
end of the second quarter of 2004.
31
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
17. MARKETABLE SECURITIES
This item is composed as follows:
2004
FIXED INCOME SECURITIES
Public debt
Sundry
VARIABLE INCOME SECURITIES
Equity
Mutual funds
861,512.50
-
815,896.00
-
861,512.50
815,896.00
1.15
266,085.54
1.15
253,875.96
266,086.69
253,877.11
(11,764.69)
Provisions for treasury applications
1,115,834.50
Net value
2003
(4,153.97)
1,065,619.14
(EUR)
32. GUARANTEES PLEDGED
As at 31 December 2004 the Managing Company had pledged guarantees to the amount of
€1,819,358.09, mostly related to judicial proceedings in course.
During the fiscal year 2004 and within the scope of the judicial proceedings in course, the
Court requested that the Managing Company delivered a bank guarantee for possible
contingencies of the Pension Fund, to the amount of €1,795,362.12.
34. MOVEMENTS IN PROVISIONS
Movements in the accounts of provisions for treasury applications and provisions for risks
and charges were as follows:
32
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
INITIAL
BALANCE
INCREASE
CANCELLA
TION
FINAL BALANCE
Provisions for treasury applications (i)
4,153.97
12,950.00
5,339.28
11,764.69
Provisions for risks and charges
80,250.00
17,560.00
0.00
97,810.00
(EUR)
(i) See Note 3.
Provisions for risks and charges were set up in order to meet possible judicial contingencies of
a compensatory nature.
35. EQUITY CAPITAL
The Shareholders’ Meeting of Banco de Portugal’s Pension Fund Managing Company held
on 30 March 2001 approved that the Managing Company’s equity capital would be
redenominated with renominalisation and an equity increase through the incorporation of
reserves.
The Managing Company’s equity capital totals €1,000,000, being fully subscribed and
realised, represented by 200,000 shares with the nominal value of €5 each.
37. SHARE IN THE SUBSCRIBED CAPITAL
Banco de Portugal holds 97.63% of the capital, corresponding to 195,259 shares.
40. MOVEMENTS IN EQUITY ITEMS
Movements in the fiscal year were as follows:
33
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
Initial balance
Capital
Increases
1,000,000.00
-
Final balance
1,000,000.00
Legal reserve
101,446.42
827.02
102,273.44
Free reserves
783,666.84
15,713.31
799,380.15
1,885,113.26
16,540.33
1,901,653.59
(EUR)
Increases in the fiscal year were in line with the proposal for the distribution of net results
for 2003 submitted by the Board of Directors and approved in the Shareholders’ Meeting.
45. FINANCIAL STATEMENTS
Expenses
2004
Income
2003
Provisions for treasury
applications
12,950.00
Losses on the sale of treasury
applications
6,512.50
41.77
Other financial expenses
2,012.53
2,125.17
Financial profit and loss
29,039.22
79,729.51
50,514.25
86,892.77
TOTAL
4,996.32 Interest obtained
2004
2003
50,514.25
46,739.69
-
40,153.08
50,514.25
86,892.77
Gains on the sale of treasury
applications
TOTAL
(EUR)
34
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
46. EXTRAORDINARY PROFITS AND LOSSES
Expenses
2004
Other extraordinary
expenses
Losses in fixed assets
Income
2003
988.92
1,344.33
0.0
0.0
Decreases in depreciation and
provisions
2004
2003
5,339.28
1,007.53
0.0
0.00
101.51
1,140.98
1.20
0.01
Gains in fixed assets
Corrections of previous fiscal
years
Other extraordinary income
Extraordinary profit and
loss
TOTAL
4,453.07
5,441.99
804.19
2,148.52
TOTAL
5,441.99
2,148.52
(EUR)
48. OTHER RELEVANT INFORMATION
x Bank deposits
This item is broken down as follows:
(€)
2004
Demand deposits
Fixed-term deposits
Total
2003
75,870.78
38,425.44
-
281,507.00
75,870.78
319,932.44
35
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
x Income taxes – corporate income tax
Taxes on profits are calculated on the basis of the value forecast to be paid, at the rates
prevailing at the balance sheet date. It is reflected in the “Government and other public
entities” item.
In accordance with the legislation in force, the tax situation may be reviewed by the Tax
Administration for four years, and this review may lead to possible corrections to the
basis of assessment and additional settlements with regard to the fiscal years from 2000
up to and including 2004. The Board of Directors acknowledges that any additional
settlement will have no significant impact on financial statements.
x Supply of services
The supply of services refers exclusively to management fees, whose amount is set on
an annual basis according to the management agreement signed between Banco de
Portugal and the Pension Fund Managing Company.
By decision of the Managing Company’s Board of Directors, management fees in 2004
were set at €3,313,572.50.
x Supplementary income
The value entered in this item refers to income resulting from a sub-lease contract.
x Staff costs
The value of this item includes costs with staff members of the Managing Company,
namely those who are covered by the secondment arrangement concluded with Banco
de Portugal, and training costs directly borne by the Managing Company.
36
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
2004 Report and Financial Statements
x Suspense accounts
Pursuant to paragraph 3.1 of Rule No 12/95-R of 6 July of the Portuguese Insurance
Institute, as at 31 December 2004 the accounts of the Pension Fund of Banco de
Portugal were symmetrically balanced, posting €1,012,217,188 in class 0 – Off-balance
sheet accounts, in the following main accounts:
01 – Pension Fund of Banco de Portugal and
02 – Management of the Pension Fund of Banco de Portugal.
Accountant
Board of Directors
Paulo José Antunes Jorge
António Manuel Martins Pereira Marta
Chairman
Manuel Ramos de Sousa Sebastião
Member of the Board
Helena Maria de Almeida Martins Adegas
Executive Director
37
Sociedade Gestora do Fundo de Pensões do Banco de Portugal, S.A.
ERNST & YOUNG
Ernst & Young & Associados-SROC, S.A.
Edifício República
Avenida da República, 90 – 6.º
1600-206 Lisboa
Portugal
Tel.: (351) 217 912 000
Fax: (351) 217 957 586
LEGAL CERTIFICATION OF ACCOUNTS
Introduction
1. We have audited the financial statements of Sociedade Gestora do Fundo de
Pensões do Banco de Portugal (Banco de Portugal’s Pension Fund Managing
Company) which comprise the balance sheet as at 31 December 2004, with a
total of €2,924,277 and a total equity capital of €1,909,176, including a net
profit of €7,523. It also includes the Profit and Loss Account by category and
by functions and cash flows for the year then ended, as well as the
corresponding Annexes.
Responsibilities
2. It is the responsibility of the Board of Directors to prepare financial statements
that give a true and fair view of the Managing Company’s financial position,
its profit and cash flows, as well as to adopt adequate accounting policies and
criteria and to maintain an appropriate internal control system.
3. Our responsibility is to express an independent professional opinion based on
our audit to those financial statements.
Basis of audit opinion
4. We conducted our audit in accordance with the Examination/Audit Technical
Rules and Guidelines of Ordem dos Revisores Oficiais de Contas (Portuguese
Institute of Chartered Accountants). In addition, we complied with the
International Accounting Standards, which require that we plan and perform
our audit to obtain reasonable assurance that the financial statements are free
of material misstatement. For this, the audit included:
x
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and an assessment of estimates used in their
preparation, which were based on judgements and criteria defined by the
Board of Directors;
x
x
x
assessing whether the accounting policies adopted and their disclosure are
appropriate to the circumstances;
assessing whether the consistency principle is applied; and
evaluating the overall adequacy of the presentation of information in the
financial statements.
5. We believe that our audit provides a reasonable basis for our opinion.
Opinion
6. In our opinion, the financial statements give a true and fair view in all material
respects of the financial position of Sociedade Gestora do Fundo de Pensões
do Banco de Portugal, S.A. as at 31 December 2004 and of its profit and cash
flows for the year then ended, in accordance with the accounting principles
that are generally followed in Portugal.
Lisbon, 11 March 2005
ERNST & YOUNG AUDIT & ASSOCIADOS, SROC, S.A.
Sociedade de Revisores Oficiais de Contas n.º 178
Represented by:
João Carlos Miguel Alves (ROC n.º 896)
Ana Salcedas
FINANCIAL POSITION AS AT 31 DECEMBER 2004
Note
2004
2003
FUND INVESTMENTS
Land and buildings
4
85,702,501
87,574,260
Credit securities
5
896,559,234
832,036,224
Cash and bank deposits
6
7,334,745
1,072,954
3,703,251
708,253
18,917,457
19,209,865
1,012,217,188
940,601,556
General debtors and creditors
7
Accruals and deferrals
8
(EUR)
PROFIT AND LOSS ACCOUNT FOR 2004
Note
2004
2003
FUND VALUE INCREASES
Contributions
10
17,613,570
31,786,037
Income
11
42,496,619
44,046,902
Capital gains
12
87,983,331
115,134,037
20,891
29,698
148,114,411
190,996,674
Other revenue
(EUR)
41
FUND VALUE
Initial assets
4,987,979
4,987,979
935,613,577
893,734,389
71,615,632
41,879,188
1,012,217,188
940,601,556
Accumulated profit and loss and contributions
Previous fiscal years
For the year
9
(EUR)
FUND VALUE DECREASES
Pensions paid
13
Mediation fees
Taxes
40,604,034
37,410,691
-
59,603
25,881
9,624
Capital losses
12
34,830,775
110,198,953
Other expenses
14
1,038,089
1,438,615
76,498,779
149,117,486
71,615,632
41,879,188
Profit for the year
(EUR)
42
Notes to the financial position and the profit and loss account – 31 December 2004
1.
SETTING-UP AND BUSINESS ACTIVITY
The Pension Fund of Banco de Portugal was set up by Banco de Portugal, in its
capacity as founder sponsor, through a public deed signed on 15 September 1988 in the
9th Notarial Office of Lisbon. The second party to the Memorandum of Association
was Sociedade Gestora do Fundo de Pensões do Banco de Portugal (Banco de
Portugal’s Pension Fund Managing Company) in its capacity as managing company.
This capacity had been granted to it in a previous Fund management agreement with
Banco de Portugal.
The Pension Fund is represented by autonomous assets exclusively earmarked for the
fulfilment of the pension plans in force. It provides for the right of the employees of
Banco de Portugal to receive deferred instalments, in accordance with the
Memorandum of Association and the collective wage agreement prevailing for the
banking sector.
2.
FINANCIAL STATEMENTS
The accounts in annex were prepared in accordance with the accounting records of
Banco de Portugal’s Pension Fund Managing Company.
These accounts summarise the Fund’s transactions and net assets. They do not consider
liabilities relating to pensions or other benefits payable in the future. The Fund’s
actuarial position, including these liabilities, is shown in the actuarial report. The
financial statements should be read jointly with this report (see Note 15).
43
3.
ACCOUNTING PRINCIPLES
a)
General
The financial statements were prepared in line with the accounting principles
generally accepted in Portugal and in accordance with the rules of the Portuguese
Insurance Institute (ISP).
The accounts were prepared according to the historical cost convention (changed
due to the adoption of the current value principle as regards investment in land,
buildings and credit securities) and on the basis of the continuity of operations in
conformity with the basic accounting concepts of consistency, prudence and
accruals.
b)
Land and buildings
Land and buildings are initially accounted for at the acquisition cost plus
purchase expenses. Subsequently, this value is updated as a result of assessments
by independent entities, according to the assessment regime laid down in Rule No
16/99 of 29 December of the ISP.
Unrealised capital gains and losses arising from the updating of the buildings’
value are reflected in the profit and loss account, in the fiscal year of the
assessment.
c)
Credit securities
Financial investments in portfolio as at 31 December 2004 are valued at fair value
in accordance with Rule No 26/2002 of 31 December 2002 of the ISP. In
fulfilment of this Rule, use is made of an economic methodology adjusted to the
type of financial asset in question to value quoted securities whose quotation
moves significantly away from their fair value.
44
The difference between the securities’ fair value and the respective acquisition
cost is recorded under the capital gains and losses items, as appropriate, of the
profit and loss account. The difference between the proceeds from the sale of
securities and the value for which they were accounted for is also recorded under
the same items.
d)
Contributions
Upon actual receipt, Banco de Portugal’s contributions to the Fund are recorded
under the item Contributions to the profit and loss account (see Note 10).
e)
Income
Income from real estate rents and securities is accounted for in the period to
which it refers, except for share dividends, which are only recognised when they
are received.
f)
Pensions
Pensions are paid to the beneficiaries by Banco de Portugal, which is
subsequently compensated by the Fund for the overall amount on a monthly basis
(see Note 13).
g)
Fees
Fees are accounted for in the respective profit and loss account item in the period
to which they refer, regardless of when they are paid.
Fees that are not yet settled are entered against the accrued expenses item and
fees paid in advance in relation to the period to which they refer are recorded
under the prepaid expenses item (see Note 8 a)).
45
h)
Derivatives
FOREIGN EXCHANGE FORWARDS
Foreign exchange forward contracts, conducted with the purpose of hedging
foreign exchange exposure in the securities portfolio, are revalued at the
forward foreign exchange rates corresponding to the remaining time to
maturity, released by internationally recognised financial information
systems. This revaluation is based on the average between the bid and ask
quotes at the revaluation date. The differences between equivalents in euro
at the forward revaluation rates applied and equivalents in euro at the rates
agreed represent the revaluations’ income or cost. These rates are recorded
under Fund value increases or decreases respectively, namely under the
capital gains or losses item, against accruals and deferrals.
i)
Tax regime applicable
Pension Funds are exempt from the payment of corporate income tax and
municipal transfer tax, in accordance with the Tax Incentives Statute.
4.
LAND AND BUILDINGS
Date of
latest
assessment Acquisition value
2004
2003
Adjustments Balance-sheet value Balance-sheet value
Avenida da República
2002
8,055,046
9,406,954
17,462,000
17,462,000
Arquiparque
2004
11,652,914
(1,848,713)
9,804,201
10,300,000
2003
7,817,898
4,082,102
11,900,000
11,900,000
Quinta da Fonte
2004
4,965,976
847,024
5,813,000
6,658,000
Av. 5 de Outubro
2002
11,127,433
1,653,567
12,781,000
12,781,000
Avenida da Liberdade –
Edifício Libersil
46
Avenida de Berna –
Espaço Berna
2003
12,796,688
1,053,312
13,850,000
13,850,000
2004
14,355,004
(262,704)
14,092,300
14,623,260
70,770,959
14,931,542
85,702,501
87,574,260
Linda-a-Velha –
Edifício Securitas
The acquisition value includes the base price, legal charges and other expenses. The
adjustment value corresponds to potential capital gains and losses computed in the
fiscal year 2004 (net capital loss of €1,871,760, including an increase of €577,874
related to reconversion works in Edifício Arquiparque – see Note 12 a)) and in previous
years (capital gain of €16,803,301).
Assessments should be made every three years or earlier, when there are materially
relevant mismatches between the building’s net value and its market value.
In 2004 real estate including Arquiparque, Quinta da Fonte and Edifício Securitas was
revalued, and the following potential capital losses were calculated:
Building
Potential capital
gain/(loss)
Arquiparque
(495,800)
Quinta da Fonte
(845,000)
Ed. Securitas
(530,960)
Total
(1,871,760)
47
5.
CREDIT SECURITIES
2004
2003
Acquisition
value
Adjustments
Market
value
Market
value
Shares
67,227
Equity
Mutual fund units
145,277,380
FIXED INCOME SECURITIES - BONDS
(67,227)
13,662,788
158,940,168
3,960,428
11,223
105,692,838
673,439,798 53,130,381
2,492,493
(3,362)
7,366,987
1,192,769
828,643,885 67,915,349
726,570,179
2,489,131
8,559,756
896,559,234
705,814,961
4,962,160
11,594,614
832,036,224
VARIABLE INCOME SECURITIES
government
of other supranational issuers
of other issuers
The adjustment value corresponds to potential capital gains or losses computed as the
difference between the market value and the historical acquisition value. In 2004 the
net value of potential capital gains and losses entered in the profit and loss account
amounted to €51,171,543 (see Note 12 b). The remaining €16,743,806 relate to
previous years.
6.
CASH AND BANK DEPOSITS
This item is broken down as follows:
Cash
Domestic demand deposits
Demand deposits abroad
Domestic fixed-term deposits
Fixed-term deposits abroad
7.
2004
719
827,896
27,990
6,506,130
7,334,745
2003
719
1,046,600
25,635
1,072,954
2004
2003
GENERAL DEBTORS AND CREDITORS
This item is broken down as follows:
48
CURRENT ASSETS
Taxes (a)
Brokers and financial intermediaries
Corporate income tax – Current account (b)
Defaulting bond holders (c)
Lease-holders (d)
Provisions for non-performing loans (d)
Derivatives (e)
Other
CURRENT LIABILITIES
Taxes
Creditors – Buildings
Creditors – Other (f)
Contributions and pensions to be settled
Other
Net value
a)
713,961
50,968
138,728
366,454
(301,644)
2,709,387
461,400
4,139,254
734,074
50,968
138,728
437,292
(301,644)
877,413
41,550
1,978,381
100,564
204,891
21,692
108,856
436,003
3,703,251
168,304
44,345
942,728
114,749
1,270,129
708,253
Taxes - VAT
This item essentially comprises VAT paid in the reconversion works of Edifício
Libersil, to be reported to subsequent periods.
b)
Corporate income tax – Current account
The current account with the Treasury records the net value of corporate income
tax withheld in the purchase and sale of securities.
c)
Defaulting bond holders
Values covered by provisions recorded under the accruals and deferrals item (see
Note 8 b)).
d)
Lease-holders/Provisions for non-performing loans
This item essentially comprises non-performing debts of Edifício Libersil’s
tenants and is fully provisioned.
49
e)
Derivatives
The derivatives policy was exclusively based on the use of foreign exchange
forward contracts to hedge the foreign exchange exposure in exchange traded
funds denominated in four currencies: pound sterling, US dollar, Japanese yen
and Swiss franc, to the nominal amounts of GBP 6,315,303, USD 36,433,095,
JPY 337,794,511 and CHF 3,540,256 respectively.
f)
Creditors - Other
In 2003 this item included the value of subscribed unrealised shares related to the
participation of the Pension Fund in an equity increase.
8.
ACCRUALS AND DEFERRALS
This item is broken down as follows:
2004
2003
Interest receivable
from credit securities
19,170,984
from fixed-term deposits
20,428,418
470
Rents received
(51,258)
(623,354)
(138,728)
(138,728)
Other accruals and deferrals
Interest in arrears – b)
Accrued expenses – Fees – a)
(64,339)
(456,799)
Contributions receivable
-
-
Prepaid expenses – Real estate
-
-
Prepaid expenses – Fees – a)
-
-
Income collected in advance - Real estate
-
-
328
328
18,917,457
19,209,865
Other
a) Note 3 g)
b) Note 7 c)
50
9.
FUND VALUE
Changes in the fund value are presented as follows:
Fund value as at 31 December 2003
940,601,556
PROFIT AND LOSS FOR THE YEAR
Increases due to contributions (Note 10)
Current
17,613,570
Extraordinary
-
17,613,570
Decreases due to pensions paid (Note 13)
Financial profit and loss
(40,604,034)
94,606,096
Fund value as at 31 December 2004
10.
71,615,632
1,012,217,188
CONTRIBUTIONS
Banco de Portugal’s contributions to the Fund are broken down as follows:
2004
Current contributions
Extraordinary contributions
2003
17,613,570
17,786,037
-
14,000,000
17,613,570
31,786,037
Current contributions, in addition to the component relating to the sponsor, also
include contributions from the staff of Banco de Portugal, under the conditions
defined by their plans. Extraordinary contributions in 2003, to the amount of
€14,000,000, resulted from the need to ensure the coverage of liabilities, as required
by Notice No 12/2001 of 23 November.
51
11.
INCOME
This item represents income arising from:
2004
Land and buildings
Credit securities
Shares
Equity
Real-estate based and mutual fund units
Bonds
government
of other public issuers
of other issuers
Demand deposits
Fixed-term deposits
12.
2003
6,042,748
7,232,973
542,800
229
115,711
360
2,335,940
2,335,595
33,018,464
176,900
281,216
33,476,580
32,571,738
53,369
1,325,846
36,402,619
21,556
76,766
98,322
33,153
378,157
411,310
42,496,619
44,046,902
CAPITAL GAINS AND LOSSES
Capital gains and losses for the year are broken down as follows:
POTENTIAL CAPITAL GAINS AND LOSSES
Land and buildings
Capital gains
Capital losses
a)
Credit securities
Capital gains
Capital losses
b)
Derivatives
Capital gains
Capital losses
2004
2003
(2,449,633)
(2,449,633)
944,074
(3,442,323)
(2,498,249)
80,877,012
(29,705,469)
51,171,543
102,196,152
(72,354,668)
29,841,484
-
-
4,610
(2,255)
2,355
-
Assets
Capital gains
Capital losses
52
REALISED CAPITAL GAINS AND LOSSES
Land and buildings
Capital gains
Capital losses
-
777,306
(120,146)
657,160
2,107,732
(632,522)
(1,475,210)
5,219,637
(30,546,339)
(25,326,702)
4,993,978
(2,040,896)
2,953,082
5,902,578
(3,735,478)
_ 2,167,100
Capital gains
Capital losses
-
94,290
94,290
Total capital gains
Total capital losses
Net value
87,983,331
(34,830,775)
53,152,556
115,134,037
(110,198,953)
4,935,084
Credit securities
Capital gains
Capital losses
Derivatives
Capital gains
Capital losses
Other
a) Note 4
b) Note 5
13.
PENSIONS AND CAPITAL PAID
Pensions are granted to individuals who retire on account of age limit, disability or
early retirement, as well as to those that are entitled to survivors pensions.
This item is broken down as follows:
2004
Retirement pensions on account of age limit
Disability pensions
Early retirement pensions
Survivors pensions
Repayments
Transfer of rights
14.
3,732,374
2,324,002
29,415,120
5,070,921
60,668
949
40,604,034
2003
3,350,769
2,260,106
26,837,289
4,912,793
49,734
37,410,691
OTHER EXPENSES
This item is broken down as follows:
2004
53
2003
Financial - a)
320,687
806,768
Buildings - b)
698,120
541,352
10,812
90,492
8,470
3
1,038,089
1,438,615
Extraordinary expenses
Other expenses
a)
Financial expenses
Up to 15 June 1998, Banco de Portugal acted as custodian, with no significant
costs for the Fund. From that date onwards, this function, together with the
provision of global custodian services, were transferred to a national financial
entity.
b)
Expenses on buildings
This item covers normal costs with the management and maintenance of real
estate.
15.
ACTUARIAL REPORT INFORMATION
According to the actuarial report prepared by the Managing Company (using the
actuarial and financial assumptions laid down in Notice No 12/2001 of 23 November of
Banco de Portugal), as at 31 December 2004, total liabilities – and respective coverage
–are as follows:
2004
2003
Liabilities for pensions in payment
(A)
548,951
497,055
Past service liabilities
(B)
491,958
472,899
(C)
1,040,909
969,954
of which:
Past service liabilities of active members
54
as at 31 Dec. 1994 with presumable date of
retirement after 31 Dec. 1997
(D)
10,251
11,532
Fund value
(E)
1,012,217
940,602
97.2%
97.0%
100.6%
100.6%
Coverage levels
Overall (E) / (C)
Minimum set in Notice No 12/2001 (E) / [(A) + 95% [ (B) - (D)]]
(Amounts in EUR thousand)
The overall increase in liabilities for the year, to the amount of €70,955 thousand, is
accounted for by:
Costs of current services / future pensions
Interest costs
(18,000)
47,378
Actuarial losses
Deviations between assumptions and actual values
77,327
Changes in assumptions and schemes
(35,750)
41,577
70,955
16.
TAX LIABILITIES
On 2 December 1994 Banco de Portugal and the Managing Company signed an agency
agreement. Pursuant to it, the Bank shall:
a)
pay retirement and survivors pensions to the respective beneficiaries by order and
for the account of the Managing Company;
b)
withhold at source the contributions and taxes due for subsequent delivery to the
competent authorities, and meet the corresponding tax reporting obligations;
c)
settle, by deducting from the amounts paid contributions due to the Pension Fund
related to its employees, under the terms of sub-paragraph a).
55
Banco de Portugal has been complying and will continue to comply with the agreement
referred to as long as it remains in force. Within the scope of this agreement the Bank
will assume all inherent responsibilities.
17.
CONTINGENT LIABILITIES
a)
Edifício Libersil
During 2004, by judgement of the Arbitration Tribunal, fair reason, as put
forward by the Managing Company, was considered proven for the termination of
an agreement. Thus, the application for compensation made by the former
manager was dismissed as unfounded. Within the scope of this decision, the right
of retention exercised by the former manager was also dismissed as unfounded
and the cancelling of the respective bank guarantee was ordered.
Judicial proceedings continue with regard to four actions brought before Court by
four former shopkeepers against the Managing Company, to the amount of
€2,198,221. In the view of the lawyers, it is unlikely that the Company will be
sentenced.
b)
Edifício Armazéns de Alverca
This is a judicial proceeding in which a third party claims the amount of
€1,771,165, invoking that the Pension Fund assumed the obligation to pay this
amount in the deed of purchase and sale of the property, signed on 1 August
1998.
These buildings were resold to the former owner on 31 July 2001, after detection
of some structural, geotechnical and construction problems. These gave rise to
additional costs paid by the Pension Fund, to the amount of €2,507,646, for which
the Managing Company claims the right to compensation.
56
In 2004 the Managing Company submitted to Court a bank guarantee to the
amount demanded by the party involved in the building sale, as a guarantee for
this alleged responsibility, with the purpose of withholding execution for debt.
In the view of the Managing Company’s lawyers, it is not possible to predict
which responsibilities the Court will eventually decide to assign.
c)
Avenida 5 de Outubro - Edifício Pinta
The owner of the building next to Edifício Pinta brought an action before Court
against the Fund, to the amount of €433,491, as compensation for the damages
caused to his building when Edifício Pinta was constructed.
In the view of the lawyers of the Managing Company, it is not possible to predict
which responsibilities the Court will eventually decide to assign.
d)
Future subscription of “Office Park Expo” real-estate based fund units
In 2003 and 2004 the Pension Fund subscribed “Office Park Expo” real-estate
based fund units, to approximately €16,250,000. Under the terms of the
Partnership Agreement, the total investment may be reinforced up to an amount
not exceeding €50,000,000.
57
ERNST & YOUNG
Ernst & Young & Associados-SROC, S.A.
Edifício República
Avenida da República, 90 – 6.º
1600-206 Lisboa
Portugal
Tel.: (351) 217 912 000
Fax: (351) 217 957 586
CERTIFICATION OF ACCOUNTS
Introduction
1. We have audited the financial statements of Fundo de Pensões do Banco de
Portugal which comprise the financial position as at 31 December 2004,
showing total investments of €1,012,217,188 and a fund value to the same
amount, including the profit for the year, to an amount of €71,615,632 and the
Profit and Loss Account for the year then ended, as well as the corresponding
Notes.
Responsibilities
2. It is the responsibility of the Board of Directors of Sociedade Gestora do
Fundo de Pensões do Banco de Portugal (Banco de Portugal’s Pension Fund
Managing Company) to prepare financial statements that give a true and fair
view of the Fund’s financial position and its profit, as well as to adopt
adequate accounting policies and criteria and to maintain an appropriate
internal control system.
3. Our responsibility is to express an independent professional opinion based on
our audit to those financial statements.
Basis of audit opinion
4. We conducted our audit in accordance with the Examination/Audit Technical
Rules and Guidelines of Ordem dos Revisores Oficiais de Contas (Portuguese
Institute of Chartered Accountants). In addition, we complied with the
International Accounting Standards, which require that we plan and perform
our audit to obtain reasonable assurance that the financial statements are free
of material misstatement. For this, the audit included:
x
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and an assessment of estimates used in their
preparation, which were based on judgements and criteria defined by the
Board of Directors;
x
x
x
assessing whether the accounting policies adopted and their disclosure are
appropriate to the circumstances;
assessing whether the consistency principle is applied; and
evaluating the overall adequacy of the presentation of information in the
financial statements.
5. We believe that our audit provides a reasonable basis for our opinion.
Opinion
6. In our opinion, the financial statements give a true and fair view in all material
respects of the financial position of Fundo de Pensões do Banco de Portugal
as at 31 December 2004 and of its profit for the year then ended, in accordance
with the accounting principles that are generally followed in Portugal and
consistently with the Rules set forth by Instituto de Seguros de Portugal for
Pension Funds.
Lisbon, 11 March 2005
ERNST & YOUNG AUDIT & ASSOCIADOS, SROC, S.A.
Sociedade de Revisores Oficiais de Contas n.º 178
Represented by:
João Carlos Miguel Alves (ROC n.º 896)
Ana Salcedas
ACTUARIAL RESULTS OF THE PENSION FUND OF BANCO DE
PORTUGAL AS AT 31 DECEMBER 2004
1. INTRODUCTION
2. POPULATION DATA
3. ACTUARIAL AND FINANCIAL ASSUMPTIONS
4. ACTUARIAL RESULTS AND REGULATORY MINIMUM FUNDING
LEVELS
Lisbon, 1 March 2005
Actuary,
Rita Ornelas Marques
INTRODUCTION
Notice No 12/2001 of Banco de Portugal makes it possible for the funding of
liabilities with employees that were active as at 31 December 1994, with presumable
date of retirement after 31 December 1997, to be made through a repayment plan of
uniform annual instalments, calculated for the number of years resulting from the
differential between the average presumable age of retirement and the average age of
that population group, up to a maximum of 20 years.
As at the end of 2004 the outstanding value amounts to €10,251 thousand, with 8
future instalments.
For the calculation of the value of liabilities use was made of the Projected Unit
Credit Cost Method.
The verification of the minimum funding level in compliance with Notice No 12/2001
of Banco de Portugal is made at the end of the year.
The values shown in section 4 comply with the regulatory minimum levels established
in Notice No 12/2001 of Banco de Portugal (100.6%) and the minimum solvency
ratio as defined by Instituto de Seguros de Portugal (116.2%).
POPULATION DATA
Pensionable base remuneration
Plan I
Plan II
Plan III
Plan IV
Sub-total
Total
Active members
1,432
291
5
9
1,737
Retired members
1,717
1
6
0
1,724
Pensioners
474
0
0
0
474
2,198
2
Pensionable complementary salary
Special regime A
Special regime B
General regime
Sub-total
Total
Active members
1,550
53
93
1,696
Retired members
149
1
0
150
Pensioners
8
0
0
8
158
3
ACTUARIAL AND FINANCIAL ASSUMPTIONS
3.1 FOR THE ACTUARIAL VALUATION
Identification
Assumption
Assumptions resulting from the Plan
Date of granting of the old age/retirement
pension
1st occurrence (a)
- Plan III
- Other Plans and Regimes
1st occurrence with 18-month lag (b)
Number of monthly pensions
14
Number of monthly wages
14
Technical actuarial assumptions
TV 73/77
Mortality table
1978 – S.O.A. Trans. Male (US)
Disability table
Turnover table
………………………..
- Plan III
T – 1 Crocker Sarason (US)
- Other Plans and Regimes
Wage growth rate
1.731%
- Plan III
2.231%
- Other Plans and Regimes
1.731%
Pension growth rate
1.731%
Wage scale growth rate
1.731%
National minimum wage growth rate
Wage growth rate 2004/2005
2.400%
- Plan III
2.500%
- Other Plans and Regimes
4.161%
Discount rate
4.580%
Discount rate – portability (c)
Share of married participants
real situation
- Plan III
0.8
- Other Plans and Regimes
Age difference between participants and spouses
real situation
- Plan III
3 (male individuals being the oldest)
- Other Plans and Regimes
National Minimum Wage 2005
374.70 €
4
(a)
Consider the first occurrence among the following:
- 65 years of age; 35 years of service or 95 points – for the Plan III participants that are
employees of Banco de Portugal;
- (Estimated) term of office date – for the Plan III participants that are not employees of
Banco de Portugal;
(b) Consider the first occurrence among the following (with 18-month lag): 65 years of
age, 35 years of service or 95 points (except if the age of 65 is reached first).
(c) Discount rate in the period after leaving Banco de Portugal for the purpose of
calculating liabilities inherent in the portability rights. Average rate of euro area 30-year
zero-coupon bonds as at 31 December 2004.
The assumptions used in the actuarial valuation comply with the principles set forth in
Notice No 12/2001 of Banco de Portugal.
5
3.2 FOR THE CALCULATION OF THE ISP MINIMUM SOLVENCY RATIO
Identification
Assumption
Assumptions resulting from the Plan
Date of granting of the old age/retirement
pension
- Plan III
1st occurrence (a)
- Other Plans and Regimes
1st occurrence with 18-month lag (b)
Number of monthly pensions
14
Number of monthly wages
14
Technical actuarial assumptions
Mortality table
Disability table
Turnover table
Wage growth rate
Pension growth rate
Wage scale growth rate
Wage growth rate 2004/2005
National minimum wage growth rate
Discount rate
Share of married participants
- Plan III
- Other Plans and Regimes
Age difference between participants and spouses
- Plan III
- Other Plans and Regimes
National Minimum Wage 2005
TV 73/77
1978 – S.O.A. Trans. Male (US)
………………………..
0.00%
1.30%
0.00%
0.00%
0.00%
4.500%
real situation
0.8
real situation
3 (male individuals being the oldest)
374.70 €
(a)
Consider the first occurrence among the following:
- 65 years of age; 35 years of service or 95 points – for the Plan III participants that are
employees of Banco de Portugal;
- (Estimated) term of office date – for the Plan III participants that are not employees of
Banco de Portugal;
(b) Consider the first occurrence among the following (with 18-month lag): 65 years of
age, 35 years of service or 95 points (except if the age of 65 is reached first).
6
ACTUARIAL RESULTS AND REGULATORY MINIMUM FUNDING LEVELS
Pensiona
ble base
remunera
tion
527,466,555.17
370,589,114.19
898,055,669.36
Retired members and pensioners
Active members
Total
Retired members and pensioners
Active members
Total
21,483,981.47
121,369,307.72
142,853,289.19
548,950,536.64
491,958,421.91
1,040,908,958.55
Retired members and pensioners
Active members
Total
478,784,421.23
280,684,396.09
759,468,817.32
Retired members and pensioners
Active members
Total
Retired members and pensioners
Active members
Total
19,369,811.59
91,933,165.73
111,302,977.32
498,154,232.82
372,617,561.82
870,771,794.64
Pensiona
ble base
remunera
tion
Total
Pensio
nable
wage
supple
t
Retired members and pensioners
Active members
Total
Pensio
nable
wage
supple
t
Total
Minimum Solvency
Value (MSV)
Past service liabilities
(PSL)
(euro)
MSV as a % of
PSL
84.6%
77.9%
83.7%
Pensionable base remuneration
Pensionable complementary salary
Total
Repayment plan laid down in paragraph 1 c) of Notice No 12/2001 of Banco de
Portugal
(Provision facilities of Notice No 6/95)
Redemption 2004
1,281,341.87
Value to be redeemed as at 31 Dec. 2004
10,250,735.26
Minimum compulsory PSL (Notice No 12/2001)
1,006,572,838.96
Minimum set in Notice No 12/2001 as a % of PSL
96.7%
Pension Fund assets as at 31 Dec. 2004
Funding level
1,012,217,188.03
Overall
MSV
Minimum set in Notice No 12/2001
97.2%
116.2%
100.6%
7