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

190207

2.80%

0.00%

0.00%

0.00%

0.00%

Bondes D

190411

2.92%

0.00%

0.00%

0.00%

0.00%

Bondes D

190606

3.65%

0.00%

0.00%

0.00%

0.00%

Bondes D

190808

6.59%

0.00%

0.00%

0.00%

0.00%

Bondes D

191003

2.92%

0.24%

0.19%

0.00%

0.00%

Bondes D

191205

3.31%

0.28%

0.21%

0.00%

0.00%

Bondes D

200130

0.00%

0.30%

0.23%

0.00%

0.00%

Bondes D

200402

0.00%

0.24%

0.19%

0.00%

0.00%

Bondes D

200528

0.00%

0.28%

0.22%

0.00%

0.00%

Bondes D

200702

0.00%

0.26%

0.20%

0.00%

0.00%

Bondes D

200730

0.00%

0.32%

0.25%

0.00%

0.00%

Bondes D

200924

0.00%

0.51%

0.39%

0.00%

0.00%

Bondes D

201126

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

210121

0.00%

0.36%

0.28%

0.00%

0.00%

Bondes D

210325

0.00%

0.33%

0.26%

0.00%

0.00%

Bondes D

210520

0.00%

0.69%

0.53%

0.00%

0.00%

Bondes D

210722

0.00%

0.24%

0.19%

0.00%

0.00%

Bondes D

210915

0.00%

0.24%

0.19%

0.00%

0.00%

Bondes D

211118

0.00%

0.33%

0.26%

0.00%

0.00%

Bondes D

220113

0.00%

0.50%

0.38%

0.00%

0.00%

Bondes D

220317

0.00%

0.39%

0.30%

0.00%

0.00%

Bondes D

220512

0.00%

0.35%

0.27%

0.00%

0.00%

Bondes D

220714

0.00%

0.30%

0.23%

0.00%

0.00%

Bondes D

220908

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

221110

0.00%

0.32%

0.24%

0.00%

0.00%

Bondes D

230105

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

230309

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

230504

0.00%

0.51%

0.39%

0.00%

0.00%

Bondes D

230706

0.00%

0.40%

0.31%

0.00%

0.00%

Bondes D

230831

0.00%

0.20%

0.16%

0.00%

0.00%

CETES

190131

14.36%

0.00%

0.00%

0.00%

0.00%

CETES

190214

6.69%

0.00%

0.00%

0.00%

0.00%

CETES

190228

6.86%

0.00%

0.00%

0.00%

0.00%

CETES

190314

7.03%

0.00%

0.00%

0.00%

0.00%

CETES

190328

14.01%

0.00%

0.00%

0.00%

0.00%

CETES

190523

12.56%

0.00%

0.00%

0.00%

0.00%

CETES

190704

0.00%

0.00%

0.00%

0.00%

0.00%

CETES

190718

0.00%

0.00%

0.00%

0.00%

0.00%

CETES

190912

0.00%

0.00%

0.00%

0.00%

0.00%

Bonos M

191211

0.00%

4.19%

3.21%

2.19%

0.00%

Bonos M

200611

0.00%

5.65%

4.33%

4.38%

0.00%

Bonos M

210610

0.00%

5.63%

4.31%

4.36%

4.27%

Bonos M

211209

0.00%

1.81%

1.38%

1.40%

1.37%

Bonos M

220609

0.00%

5.48%

4.20%

4.25%

4.16%

Bonos M

231207

0.00%

3.59%

2.75%

2.78%

2.72%

Bonos M

241205

0.00%

5.23%

4.01%

4.06%

3.97%

Bonos M

260305

0.00%

3.13%

2.40%

2.43%

2.38%

Bonos M

270603

0.00%

5.36%

4.11%

4.16%

4.07%

Bonos M

290531

0.00%

2.06%

1.58%

1.60%

1.56%

Bonos M

310529

0.00%

2.74%

2.10%

2.12%

2.08%

Bonos M

341123

0.00%

1.83%

1.40%

1.42%

1.39%

Bonos M

361120

0.00%

1.75%

1.34%

1.36%

1.33%

Bonos M

381118

0.00%

2.40%

1.84%

1.86%

1.82%

Bonos M

421113

0.00%

3.90%

2.98%

3.02%

2.95%

Bonos M

471107

0.00%

0.00%

0.00%

1.38%

1.35%

Udibonos

190613

16.31%

0.00%

0.00%

0.00%

0.00%

Udibonos

201210

0.00%

4.42%

3.38%

3.43%

1.19%

Udibonos

220609

0.00%

3.49%

2.67%

2.71%

2.65%

Udibonos

251204

0.00%

5.22%

4.00%

4.04%

3.96%

Udibonos

281130

0.00%

2.22%

1.70%

1.72%

1.68%

Udibonos

351122

0.00%

3.07%

2.35%

2.38%

2.33%

Udibonos

401115

0.00%

5.75%

4.40%

4.46%

4.36%

Udibonos

461108

0.00%

1.91%

2.52%

3.49%

3.41%

TOTAL

100%

100%

100%

100%

100%

* Portafolios de referencia determinados por el CAR el 10 de octubre de 2018.

Fuente Banco de México  

 

Autor:
Comisión Nacional del Sistema de Ahorro para el Retiro
Fecha de publicación:
22 de enero de 2019

Imprime la página completa

La legalidad, veracidad y la calidad de la información es estricta responsabilidad de la dependencia, entidad o
empresa productiva del Estado que la proporcionó en virtud de sus atribuciones y/o facultades normativas.