Market & Liquidity Risk Officer

Prepares and reviews the daily UITF Risk Report for submission to the RMU Head

• Updates the Value-at-Risk and Stress Test in UITF input file

• Computes for the daily duration/modified duration of all peso and dollar UITFs

• Collects and records the Fund Values, income derived from marked-to-market securities, and market revaluation of all UITFs

• Reviews and verifies the approved limits

• Disseminates the UITF Risk Report to the concerned Units

Generates daily Limits Report for submission to the RMU Head

• Runs and prepare the report on a daily basis

• Checks and verifies breaches to the approved limits

• Disseminates the Reports to the concerned Units

Reviews and verifies the approved limits in the various risk limits report

Generates the liquidity reports of all UITFs on a daily basis for submission to the RMU Head for analysis.

• Collects total daily contributions and redemptions of UITFs

• Prepares the daily liquidity data of UITFs

Prepares monthly summary of Risk Report for submission to the RMU Head for reporting to the Trust Committee/Risk Management Committee.

• Collects monthly average, minimum, maximum Value-at-Risk estimate, duration, and modified duration

• Collects raw data in the General Ledger for submission to the RMU Head for analysis

Ensures that risk exposures are within approved limits and reports all market and liquidity limit excesses to the RMU Head for reporting to the Risk Management Committee.