Investment Regime


Summary of limits contained in the Investment Regime applicable to SIEFOREs pension funds, as per Disposiciones que establecen el régimen de inversión al que deberán sujetarse las SIEFORES.*  


  Limits by type of Basic SIEFORE (fund)1
  SB0/2 SB1 SB2 SB3 SB4
Market and Liquidity Risks   Value at Risk /3 0.70% 0.70% 1.10% 1.40% 2.10%
  Difference of the Conditional Value Risk /3 - 0.30% 0.45% 0.70% 1.00%
  Liquidity coverage ratio /4 - 80% 80% 80% 80%
Risk by issuer and/or counterparty /5 Local /6 Debt issued or endorsed by the Federal Government 100% 100% 100% 100% 10%
SPE /6 Debt from mxBBB to mxAAA or int'l currencies BB to AAA 0% 10% 10% 10% 10%
Debt from mxBBB to mxAAA or int'l currencies BB to AAA 0% 5% 5% 5% 5%
Subordinated Debt mxBB+ to mxBBB- or int'l currencies B+ to BB- 0% 1% 1% 1% 1%
Hybrid Debt from mxBBB+ to mxBBB or int'l currencies BB+ to BB 0% 2% 2% 2% 2%
Inter. Foreign securities from BBB- to AAA from one issuer or counterparty/7 0% 5% 5% 5% 5%
  Holdings of a single issuance /8 ---Maximum { 35%, $300mdp }---
Assets Class limits   Foreign Securities /5 0% 20% 20% 20% 20%
  Equity /5/9 0% 10% 30% 35% 45%
  Foreign Currency /5 0% 30% 30% 30% 30%
  Securitizations/5/10 0% 10% 15% 20% 30%
  Structured securities/5/11 0% 10% 15% 20% 20%
  Mexican REITs (FIBRAS) and REITs/12 0% 5% 10% 10% 10%
  Inflation protected securities/13 No Yes (51% Min.) No No No
  Commodities/5 0% 0% 5% 10% 10%
Conflicts of interest /5   Securities by related entities - 15% 15% 15% 15%
  Securities by entities with patrimonial affiliation with the AFORE/14 - 5% 5% 5% 5%
Vehicles and Derivatives   Investment Mandates No Yes Yes Yes Yes
  Derivatives No Yes Yes Yes Yes

*This is a summary of the Basic SIEFORE's current regulation and it is for explanation purposes only. Additional SIEFORE's (e.g. voluntary savings) can determine different parameters according to their prospectus and in compliance with the SAR Law.

  1. All the limits are maximum percentages, with the exception of the inflation protection limit .
  2. The SB0 may invest up to 100% of the Total AUM in a combination of: a) local currency cash deposits in banks classified as capitalization level I according to the regulation for banks issued by the National Banking and Securities Commission (CNBV), and complying with the liquidity requirements established by Mexico's Central Bank (Banxico) and CNBV; b) Bonds issued or endorsed by the Federal Government with maturity equal or less than a year; c) up to 25% of the Net Asset (AN) on instruments issued or endorsed by the Federal Government with revisable rate and maturity equal than a year or more; d) up to 25% of AN on instruments issued by the Banking Savings Protection Institute with revisable rate and maturity equal than a year or more, and e) repurchase agreements and securities lending with maturity equal or less than a year.
  3. As a percentage of the Assets Under Management (AUM) directly managed by the SIEFORE. The VaR will no longer be a regulatory limit once the AFORE satisfies the criteria set up in the Financial Provisions (CUF). The limits of the Difference of the Conditional VaR were determined by the Risk Analysis Committee (CAR), which might be stricter than the limits set up in the Investment Regimen Provisions.
  4. As a percentage of the High Liquid Assets of the SIEFORE. It is defined as the ratio between the Value of the SIEFORE's reserves for derivatives exposure and the Value of High Liquid Assets.
  5. As a percentage of the Total AUM of the SIEFORE, including the assets managed by the Specialized Investment Manager (Mandatario in Spanish).
  6. Rating of the medium- and long-term issuances, as well as the issuer and/or endorser, in the corresponding proportion. Repos and derivatives are computed in these limits, as well. SPE stands for State Productive Enterprises.
  7. The regulation permits investments in foreign securities with a credit rating below A- and equal or greater than BBB-, nevertheless the AFORE must abide by the Investment Regimen Provisions and the Financial Provisions (CUF).
  8. Applies to the asset holdings of all the pension funds by the same fund manager (AFORE), and for debt and structured securities. A CKD may exceed this limit if the issuance meets certain conditions.
  9. Includes individual stocks, IPOs, domestic and international equity indexes listed in the Index Lists, and mandatory convertible debt into share from Mexican issuers.
  10. Securitizations fulfilling criteria established in the Appendix R of the Financial Provisions (CUF) are computed in these limits, and are considered as being issued by an independent issuer, as well as certificates which source of income come from real assets.
  11. Includes CKDs and CERPIs.
  12. Includes Mexican REITs (FIBRAS) and FIBRA-E. The latter is an issuer trust whose resources will be allocated for direct or indirect investment in companies, projects or energy assets or infrastructure.
  13. Minimum investment limit in securities that ensures a return equal or greater than the inflation rate in México.
  14. The limits are written down in the SAR Law, Art 48, paragraph X. In exceptional cases it could be increased up to 10%. The limit is 0% for financial entities with patrimonial affiliations

Versión en Español

Autor:
Comisión Nacional del Sistema de Ahorro para el Retiro
Fecha de publicación:
12 de enero de 2017

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