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

190808

7.13%

0.00%

0.00%

0.00%

0.00%

Bondes D

191003

3.16%

0.00%

0.00%

0.00%

0.00%

Bondes D

191205

3.58%

0.00%

0.00%

0.00%

0.00%

Bondes D

200130

3.97%

0.00%

0.00%

0.00%

0.00%

Bondes D

200402

3.16%

0.23%

0.18%

0.00%

0.00%

Bondes D

200528

3.69%

0.27%

0.21%

0.00%

0.00%

Bondes D

200702

3.44%

0.25%

0.19%

0.00%

0.00%

Bondes D

200730

0.00%

0.31%

0.24%

0.00%

0.00%

Bondes D

200924

0.00%

0.48%

0.37%

0.00%

0.00%

Bondes D

201126

0.00%

0.37%

0.28%

0.00%

0.00%

Bondes D

210121

0.00%

0.35%

0.27%

0.00%

0.00%

Bondes D

210325

0.00%

0.32%

0.24%

0.00%

0.00%

Bondes D

210520

0.00%

0.66%

0.50%

0.00%

0.00%

Bondes D

210722

0.00%

0.23%

0.18%

0.00%

0.00%

Bondes D

210819

0.00%

0.02%

0.01%

0.00%

0.00%

Bondes D

210915

0.00%

0.23%

0.18%

0.00%

0.00%

Bondes D

211118

0.00%

0.34%

0.26%

0.00%

0.00%

Bondes D

220113

0.00%

0.48%

0.36%

0.00%

0.00%

Bondes D

220317

0.00%

0.48%

0.37%

0.00%

0.00%

Bondes D

220512

0.00%

0.33%

0.25%

0.00%

0.00%

Bondes D

220714

0.00%

0.29%

0.22%

0.00%

0.00%

Bondes D

220908

0.00%

0.36%

0.28%

0.00%

0.00%

Bondes D

221110

0.00%

0.30%

0.23%

0.00%

0.00%

Bondes D

230105

0.00%

0.36%

0.28%

0.00%

0.00%

Bondes D

230309

0.00%

0.37%

0.28%

0.00%

0.00%

Bondes D

230504

0.00%

0.48%

0.37%

0.00%

0.00%

Bondes D

230706

0.00%

0.39%

0.30%

0.00%

0.00%

Bondes D

230831

0.00%

0.39%

0.30%

0.00%

0.00%

Bondes D

231101

0.00%

0.43%

0.33%

0.00%

0.00%

Bondes D

231221

0.00%

0.58%

0.45%

0.00%

0.00%

Bondes D

240229

0.00%

0.21%

0.16%

0.00%

0.00%

CETES

190801

5.96%

0.00%

0.00%

0.00%

0.00%

CETES

190815

6.01%

0.00%

0.00%

0.00%

0.00%

CETES

190829

6.25%

0.00%

0.00%

0.00%

0.00%

CETES

190912

14.38%

0.00%

0.00%

0.00%

0.00%

CETES

190926

3.47%

0.00%

0.00%

0.00%

0.00%

CETES

191107

7.39%

0.00%

0.00%

0.00%

0.00%

CETES

200102

0.00%

0.00%

0.00%

0.00%

0.00%

CETES

200227

0.00%

0.00%

0.00%

0.00%

0.00%

Bonos M

191211

28.41%

0.00%

0.00%

0.00%

0.00%

Bonos M

200611

0.00%

5.21%

3.99%

2.19%

0.00%

Bonos M

210610

0.00%

5.22%

4.00%

4.16%

0.93%

Bonos M

211209

0.00%

2.95%

2.26%

2.35%

2.30%

Bonos M

220609

0.00%

5.06%

3.87%

4.02%

3.94%

Bonos M

231207

0.00%

4.61%

3.53%

3.67%

3.59%

Bonos M

240905

0.00%

0.69%

0.52%

0.55%

0.53%

Bonos M

241205

0.00%

4.99%

3.82%

3.97%

3.89%

Bonos M

260305

0.00%

3.06%

2.34%

2.44%

2.38%

Bonos M

270603

0.00%

5.50%

4.21%

4.38%

4.29%

Bonos M

290531

0.00%

2.80%

2.15%

2.23%

2.18%

Bonos M

310529

0.00%

2.64%

2.02%

2.10%

2.05%

Bonos M

341123

0.00%

1.75%

1.34%

1.39%

1.36%

Bonos M

361120

0.00%

1.67%

1.28%

1.33%

1.30%

Bonos M

381118

0.00%

2.50%

1.91%

1.99%

1.95%

Bonos M

421113

0.00%

3.72%

2.85%

2.96%

2.90%

Bonos M

471107

0.00%

0.00%

0.00%

1.52%

1.49%

Udibonos

201210

0.00%

4.32%

3.31%

3.44%

0.00%

Udibonos

220609

0.00%

4.19%

3.21%

3.33%

3.26%

Udibonos

251204

0.00%

5.10%

3.91%

4.06%

3.97%

Udibonos

281130

0.00%

2.86%

2.19%

2.28%

2.23%

Udibonos

351122

0.00%

3.01%

2.30%

2.39%

2.34%

Udibonos

401115

0.00%

5.62%

4.30%

4.47%

4.38%

Udibonos

461108

0.00%

3.01%

3.39%

3.79%

3.71%

TOTAL

100%

100%

100%

100%

100%

* Portafolios de referencia determinados por el CAR el 24 de abril de 2019.

Fuente Banco de México  

 

Autor:
Comisión Nacional del Sistema de Ahorro para el Retiro
Fecha de publicación:
17 de mayo de 2019

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