Portafolios de referencia para determinación de VaR


Portafolios de referencia para determinación de VaR

Instrumento

Serie

SBP

SB1

SB2

SB3

SB4

Renta Variable

NAFTRAC

0.00%

10.00%

30.00%

35.00%

45.00%

Bondes D

200130

3.04%

0.00%

0.00%

0.00%

0.00%

Bondes D

200402

2.43%

0.00%

0.00%

0.00%

0.00%

Bondes D

200528

2.83%

0.00%

0.00%

0.00%

0.00%

Bondes D

200702

2.64%

0.00%

0.00%

0.00%

0.00%

Bondes D

200730

3.23%

0.00%

0.00%

0.00%

0.00%

Bondes D

200924

5.05%

0.00%

0.00%

0.00%

0.00%

Bondes D

201126

3.84%

0.36%

0.27%

0.00%

0.00%

Bondes D

210121

3.65%

0.34%

0.26%

0.00%

0.00%

Bondes D

210325

0.00%

0.31%

0.24%

0.00%

0.00%

Bondes D

210520

0.00%

0.64%

0.49%

0.00%

0.00%

Bondes D

210722

0.00%

0.23%

0.17%

0.00%

0.00%

Bondes D

210819

0.00%

0.02%

0.01%

0.00%

0.00%

Bondes D

210915

0.00%

0.23%

0.17%

0.00%

0.00%

Bondes D

211118

0.00%

0.33%

0.25%

0.00%

0.00%

Bondes D

220113

0.00%

0.48%

0.37%

0.00%

0.00%

Bondes D

220317

0.00%

0.58%

0.45%

0.00%

0.00%

Bondes D

220512

0.00%

0.32%

0.25%

0.00%

0.00%

Bondes D

220714

0.00%

0.28%

0.22%

0.00%

0.00%

Bondes D

220908

0.00%

0.35%

0.27%

0.00%

0.00%

Bondes D

221110

0.00%

0.30%

0.23%

0.00%

0.00%

Bondes D

230105

0.00%

0.35%

0.27%

0.00%

0.00%

Bondes D

230309

0.00%

0.36%

0.27%

0.00%

0.00%

Bondes D

230504

0.00%

0.47%

0.36%

0.00%

0.00%

Bondes D

230706

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

230831

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

231101

0.00%

0.42%

0.32%

0.00%

0.00%

Bondes D

231221

0.00%

0.61%

0.47%

0.00%

0.00%

Bondes D

240229

0.00%

0.43%

0.33%

0.00%

0.00%

Bondes D

240425

0.00%

0.52%

0.40%

0.00%

0.00%

Bondes D

240627

0.00%

0.49%

0.37%

0.00%

0.00%

Bondes D

240822

0.00%

0.37%

0.28%

0.00%

0.00%

CETES

200130

6.85%

0.00%

0.00%

0.00%

0.00%

CETES

200213

6.08%

0.00%

0.00%

0.00%

0.00%

CETES

200227

12.27%

0.00%

0.00%

0.00%

0.00%

CETES

200312

7.34%

0.00%

0.00%

0.00%

0.00%

CETES

200326

2.64%

0.00%

0.00%

0.00%

0.00%

CETES

200423

6.11%

0.00%

0.00%

0.00%

0.00%

CETES

200618

0.00%

0.00%

0.00%

0.00%

0.00%

CETES

200813

0.00%

0.00%

0.00%

0.00%

0.00%

Bonos M

200611

32.01%

0.00%

0.00%

0.00%

0.00%

Bonos M

210610

0.00%

4.71%

3.60%

3.66%

0.00%

Bonos M

211209

0.00%

4.43%

3.39%

3.44%

0.11%

Bonos M

220609

0.00%

5.30%

4.06%

4.13%

4.04%

Bonos M

231207

0.00%

4.55%

3.49%

3.54%

3.47%

Bonos M

240905

0.00%

2.29%

1.75%

1.78%

1.75%

Bonos M

241205

0.00%

4.86%

3.72%

3.78%

3.70%

Bonos M

260305

0.00%

3.09%

2.37%

2.41%

2.36%

Bonos M

270603

0.00%

5.56%

4.25%

4.32%

4.23%

Bonos M

290531

0.00%

3.87%

2.96%

3.01%

2.95%

Bonos M

310529

0.00%

2.70%

2.06%

2.10%

2.05%

Bonos M

341123

0.00%

1.70%

1.30%

1.32%

1.30%

Bonos M

361120

0.00%

1.63%

1.25%

1.27%

1.24%

Bonos M

381118

0.00%

2.83%

2.17%

2.20%

2.16%

Bonos M

421113

0.00%

3.67%

2.81%

2.85%

2.79%

Bonos M

471107

0.00%

0.00%

0.02%

1.79%

1.75%

Udibonos

201210

0.00%

3.60%

2.75%

1.85%

0.00%

Udibonos

220609

0.00%

5.10%

3.90%

3.97%

3.88%

Udibonos

251204

0.00%

4.99%

3.82%

3.88%

3.80%

Udibonos

281130

0.00%

3.59%

2.75%

2.79%

2.74%

Udibonos

351122

0.00%

2.94%

2.25%

2.29%

2.24%

Udibonos

401115

0.00%

5.50%

4.21%

4.28%

4.19%

Udibonos

461108

0.00%

3.57%

3.82%

3.89%

3.81%

Udibonos

501103

0.00%

0.00%

0.00%

0.45%

0.44%

TOTAL

100%

100%

100%

100%

100%

* Portafolios de referencia determinados por el CAR el 04 de octubre de 2019.

Fuente Banco de México  

 

Autor:
Comisión Nacional del Sistema de Ahorro para el Retiro
Fecha de publicación:
13 de noviembre de 2019

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