Via ODiSy March 22, 2012 PHILIPPINE STOCK EXCHANGE ... - BDO

- 54 -Parent Bank2010More MoreOne to than three than one Morethree months to year to than five Non-ratemonths one year five years years sensitive TotalTotal Liabilities and Equity(balance brought forward) P 283,062 P 24,155 P 112,099 P 3,442 P 536,445 P 959,203On-book gap 165,086 36,634 4,851 209,503 ( 416,074 ) -Cumulative on-book gap 165,086 201,720 206,571 416,074 - -Contingent assets 21,587 14,789 6,248 3,957 - 46,581Contingent liabilities 21,428 14,527 6,540 3,954 - 46,449Off-book gap 159 262 ( 292 ) 3 - 132Net Periodic Gap 165,245 36,896 4,559 209,506 ( 416,074 ) 132Cumulative Total Gap P 165,245 P 202,141 P 206,700 P 416,206 P 132 P -BDO Unibank Group’s market risk management limits are generally categorized aslimits on:• Value-at-risk – The RMG computes the value-at-risk benchmarked at a levelwhich is a percentage of projected earnings. BDO Unibank Group uses thevalue at risk (VaR) model to estimate the daily potential loss that BDO UnibankGroup can incur from its trading book, based on a number of assumptions witha confidence level of 99%. The measurement is designed such that exceptionsover dealing limits should only arise in very exceptional circumstances.• Stop loss – The RMG sets the amount of each risk-bearing activity at apercentage of the budgeted annual income for such activity.• Nominal position – The RMG sets the nominal amount to prevent over-trading,excessive concentration, and to limit financial loss supplementing other alreadyestablished limits.• Trading volume – The RMG sets the volume of transactions that any employeemay execute at various levels based on the rank of the personnel making therisk-bearing decision.• Earnings-at-risk – The RMG computes the earnings-at-risk based on apercentage of projected annual net interest income.