)BOECPPLPG.FYJDBO 'JOBODJBM*OTUSVNFOUT
Mexico 2011 s 'PSFJHO&YDIBOHF.BSLFU Market & Client Strategy s 'JYFE*ODPNF.BSLFU
s *OUFSFTU3BUF%FSJWBUJWFT
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$POUFOUT
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'JYFE*ODPNF (PWFSONFOU "VDUJPOTBOE.BSLFU.BLFST19 .POFZ.BSLFU$FUFT 05$ ...... 22 'JYFE3BUF.#0/04 6%*#0/04BOE6.424 .#0/04 05$ 24 6%*#0/04 05$ 27 4PWFSFJHO#POET6.4 05$ 30 'MPBUJOH3BUF/PUFT '3/ *1"##POET #1" #1"5 #1" 34
*OUFSFTU3BUF%FSJWBUJWFT *OUFSFTU3BUF4XBQT5**&*34 05$ 39 $SPTT$VSSFODZ4XBQT 05$ 5**&ũ-JCPS 6%*ũ5**& BOE6%*ũ-JCPS42 *OUFSFTU3BUF'VUVSFTBOE#POE'VUVSFT46 EBZ$&5&4'VUVSFT .&9%&3 47 ũ%BZ5**&'VUVSFT .&9%&3 48 .#0/0'VUVSFT BOEZFBS .&9%&3 51 *OUFSFTU3BUF4XBQ'VUVSFT54
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
ZFBSBOEZFBS5**&4XBQ'VUVSF .&9%&3 55 *OUFSFTUSBUFWPMBUJMJUJFT56 4XBQUJPO5**& 05$ 56 $BQT'MPPST5**& 05$ 58
&RVJUZ .FYJDBO4UPDL&YDIBOHF $VTUPNFS&YFDVUJPO4FSWJDFTBOE.BSLFU.BLJOH60 4UPDLT)JHIMJHIUT .4& 61 &YDIBOHF5SBEFE'VOE &5'/BGUSBD .FYUSBD BOE#SUSBD65 &RVJUZ'VUVSFTBOE0QUJPOT .&9%&3 69 *1$BOE4JOHMF4UPDLT'VUVSFT69 *1$0QUJPOTPO'VUVSFT$POUSBDUTBOE4JOHMF4UPDL0QUJPOT72 &RVJUZ'PSXBSET 0QUJPOTBOE4XBQT 05$ 74 &RVJUZ'PSXBSET74 &RVJUZ0QUJPOT75 &RVJUZ4XBQT76
"OOFY##7"#BODPNFS "OOFY##7"#BODPNFS4FDVSJUJFT4FSWJDFT78 "OOFY##7"#BODPNFS 5IFNPTUSFMJBCMFHBUFXBZUPUIF.FYJDBO%FSJWBUJWFT.BSLFU80
$POUBDU*OGPSNBUJPOBOE%JTDMBJNFS
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
*OUSPEVDUJPO
##7"#BODPNFS (SVQP'JOBODJFSP##7"#BODPNFS ('## JTUIFMFBEJOHQSJWBUFŢJOBODJBMJOTUJUVUJPOJO.FYJDPJOUFSNTPGBTTFUT EFQPTJUT MPBO QPSUGPMJP TJ[F BOE OVNCFS PG CSBODIFT 8JUI B HPBM PG MPOHUFSN HSPXUI BOE QSPŢJUBCJMJUZ JUT CVTJOFTTNPEFMJTCBTFEPOBTFHNFOUFEEJTUSJCVUJPOCZDVTUPNFSUZQFBOEGPMMPXTBQIJMPTPQIZPGSJTLDPOUSPM ##7"#BODPNFSIBTPWFSZFBSTPGFYQFSJFODFJOUIF.FYJDBONBSLFU XJUINPSFUIBONJMMJPODVTUPNFST BOE FNQMPZFFT"TPGUIFTBNFEBUF ('##TBTTFUTUPUBMMFE CJMMJPOQFTPT XJUIUPUBMFRVJUZPG CJMMJPOQFTPT ##7"#BODPNFSJTBDPOUSPMMJOHBţJMJBUFPG#BODP#JMCBP7J[DBZB"SHFOUBSJB ##7" POFPGUIFMBSHFTUŢJOBODJBM HSPVQTJOUIF&VSPQFBO6OJPO##7"JTBIJHIMZMJRVJEBOEQSPŢJUBCMFŢJOBODJBMHSPVQPQFSBUJOHJODPVOUSJFT XJUI NPSFUIBONJMMJPODVTUPNFSTBOEPWFS FNQMPZFFT##7"JTPOFPGUIFXPSMETMFBEJOHŢJOBODJBMHSPVQT BOEPOFPGUIFTUSPOHFTUJOTUJUVUJPOTJO-BUJO"NFSJDB CBDLFECZZFBSTPGFYQFSJFODF 5IF##7"#BODPNFS(MPCBM.BSLFUT6OJUEFTJHOT TUSVDUVSFT EJTUSJCVUFT BOENBOBHFTUIFSJTLPGŢJOBODJBMNBSLFUT QSPEVDUTGPMMPXJOHBNPEFMUIBUTFFLTUPTBUJTGZDVTUPNFSTOFFETBOESJTLIFEHJOHTUSBUFHJFT5IF(MPCBM.BSLFUT EJWJTJPOIBTQPTUFESFDVSSFOUHSPXUICPMTUFSFECZPŇFSJOHJOOPWBUJWFJOWFTUNFOUQSPEVDUT IFEHFBMUFSOBUJWFT BOEUBJMPSNBEFTPMVUJPOTGPSFBDIDMJFOU (MPCBMJTBUJPOPGQSPEVDUMJOFT DVTUPNFSTFSWJDFBOEDMPTFDPMMBCPSBUJPOXJUI.BSLFUTUFBNTJOPUIFSQBSUTPG UIFXPSMEIBWFBMMPXFE##7"(MPCBM.BSLFUTUPNBLFDVTUPNJTFESJTLNBOBHFNFOUTPMVUJPOTBOEJOUFSOBUJPOBM JOWFTUNFOUQSPEVDUTBWBJMBCMFUISPVHIPVUUIF##7"(SPVQ
Bloomberg: “BCMR”
4PVSDF##7"3FTFBSDI.ÈYJDP
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
'PSFJHO&YDIBOHF.BSLFU
General background 5ISPVHIPVUUIFMBSHFTUQBSUPGJUTFBSMZIJTUPSZ UIFGPSFJHOFYDIBOHFTZTUFNJO.FYJDPXBTDIBSBDUFSJTFECZŢJYFE QBSJUZCFUXFFOUIFQFTPBOEUIFEPMMBS)PXFWFS TJODFUIFSFIBWFCFFONBKPSDIBOHFT'SPN/PWFNCFS UP%FDFNCFS BEJSUZŢMPBUJOHGPSFJHOFYDIBOHFSBUFTZTUFNXBTJOUSPEVDFE5IJTTZTUFNBMMPXFEUIFFYDIBOHF SBUFUPŢMPBUXJUIJOBSBOHFUIBUCSPBEFOFEEBJMZ5IF$FOUSBM#BOL #BODPEF.ÈYJDP TPMEEPMMBSTXIFOUIFVQQFS MJNJUPGUIFSBOHFXBTSFBDIFEBOEQVSDIBTFEEPMMBSTXIFOUIFMPXFSMJNJUXBTSFBDIFE1MBOOJOHNFFUJOHTIFME CFUXFFO UIF GFEFSBM HPWFSONFOU BOE UIF DPVOUSZT CVTJOFTT VOJPO BOE DPNNFSDJBM MFBEFST LOPXO BT h1BDUTv EFUFSNJOFEUPXIBUFYUFOUUIFVQQFSSBOHFXPVMEDIBOHFBOEGPSIPXMPOH 0O%FDFNCFSXIFOUIF.FYJDBOQFTPDSJTJTCFHBO BOFXŢMPBUJOHFYDIBOHFSBUFTZTUFNXBTBEPQUFE #BODPEF.ÈYJDPIBTIBEUIFBVUIPSJUZUPJOUFSWFOFJOUIFGPSFJHOFYDIBOHFNBSLFU QVSDIBTJOHPSTFMMJOHEPMMBST WJBFJUIFSTQPUUSBEFTPSBVDUJPOTPG'9PQUJPOTJOPSEFSUPQSFTFSWFQSJDFTUBCJMJUZJOUIFFDPOPNZ"O&YDIBOHF 3BUF$PNNJTTJPO1XBTGPSNFECZUIF4FDSFUBSJBUGPSUIF5SFBTVSZBOE1VCMJD$SFEJU 4)$1 BOE#BODPEF.ÈYJDP XIJDIBVUIPSJTFTJOUFSWFOUJPOTPGBOZLJOE*UJTXPSUIOPUJOH IPXFWFS UIBUJOUFSWFOUJPOJTTQPSBEJDBMMZVTFEBT BUPPMGPSFBTJOH.9/WPMBUJMJUZBOEBDDVNVMBUJOHJOUFSOBUJPOBMSFTFSWFT5IF#BODPEF.ÈYJDPBMTPBDDVNVMBUFT SFTFSWFTCZBDUJOHBTUIFFYDIBOHFSBUFPQFSBUPSGPSUIFGFEFSBMHPWFSONFOU BTXFMMBTUIFTUBUFSVOPJMDPNQBOZ 1&.&9
Mechanisms used to ease exchange rate volatility Over the years, the Exchange Rate Commission has approved the following interventions: s n%JTDSFUJPOBSZJOUFSWFOUJPOJOUIFGPSFJHOFYDIBOHFNBSLFU s "VHVTUn+VOFn"VDUJPOPG64%QVUPQUJPOT s 'FCSVBSZn+VOFn64%BVDUJPOT s .BZn+VMZn.FDIBOJTNUPTMPXSFTFSWFBDDVNVMBUJPO s 0DUPCFSn64%FYUSBPSEJOBSZBVDUJPOT s 0DUPCFSn"QSJMn64%BVDUJPOTXJUINJOJNVNQSJDF s .BSDIn4FQUFNCFSn64%BVDUJPOTXJUIPVUNJOJNVNQSJDF s "QSJMn'FCSVBSZn1SPWJTJPOPGTXBQMJOFXJUI64'FE s 'FCSVBSZnUPEBUFn"VDUJPOPG64%QVUPQUJPOT
The main features of each mechanism a) Dollar auctions in the event of pressure on the foreign exchange market Description: 'SPNUP #BODPEF.ÈYJDPPŇFSFEBOEBVDUJPOFEVQUPNJMMJPO64%CFUXFFOUIFDPVOUSZT CBOLTJOUISFFEJŇFSFOUTFTTJPOTUIFŢJSTUCFUXFFOBOEBN UIFTFDPOECFUXFFOBOE BN BOEUIFMBTUCFUXFFOBOEQN FWFSZCBOLCVTJOFTTEBZ#JETXFSFTVCNJUUFEWJB FMFDUSPOJDTZTUFNT 5IFNJOJNVNBMMPDBUJPOQSJDFGPSEPMMBSTFMMTXBTEFUFSNJOFECZNVMUJQMZJOHUIF'*9&YDIBOHF3BUF QVCMJTIFEJOUIF0GGJDJBM(B[FUUFPOUIFEBZCFGPSFUIFPGGFSJOHCZPSUIFSBUFPCUBJOFEBUUIFMBTU BVDUJPO*GEPMMBSTXFSFBMMPDBUFEPOUIFGPMMPXJOHEBZ GPSBTFDPOEDPOTFDVUJWFUJNF UIFNJOJNVN BMMPDBUJPO FYDIBOHF SBUF XPVME CF UIF BWFSBHF BMMPDBUJPO SBUF UBLFO GSPN UIF QSFWJPVT BVDUJPO NVMUJQMJFECZ
5IF&YDIBOHF3BUF$PNNJTTJPODPNQSJTFTUIF4FDSFUBSZBOEUXP6OEFS4FDSFUBSJFTPGUIF4FDSFUBSJBUGPSUIF5SFBTVSZBOE1VCMJD$SFEJU BOE UIF(PWFSOPSBOEUXP7JDF(PWFSOPSTPGUIF#BODPEF.ÈYJDP5IFZBSFJODIBSHFPGEFUFSNJOJOHUIFDPVOUSZTFYDIBOHFSBUFQPMJDZ)PXFWFS UIFDBTUJOHWPUFJTIFMECZUIF4FDSFUBSZGPSUIF5SFBTVSZBOE1VCMJD$SFEJU
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
*OMJHIUPGUIFDSJTJT UIJTNFDIBOJTNXBTSFJOTUBUFEJO0DUPCFS5IFEBJMZBNPVOUXBTTFUBU NJMMJPO64% XIJDIEFDSFBTFEUPNJMMJPO64%JO.BSDIBOEUPNJMMJPO64%JO+VOF General advantages: s 5IFFYDIBOHFNBSLFUXBTBŇPSEFEMJRVJEJUZEVSJOHQFSJPETPGKJUUFSTBOEXJUIPVUSVOOJOHUIFSJTLPG MPTJOHFYDFTTJWFBNPVOUTPGJOUFSOBUJPOBMSFTFSWFT s %FGFODFPGTQFDJŢJDFYDIBOHFSBUFMFWFMTXBTBWPJEFE s &RVJMJCSJVNCFUXFFOTVQQMZBOEEFNBOEPGEPMMBSTXBTSBQJEMZSFBDIFE s &YDIBOHFSBUFWPMBUJMJUZXBTSFJOFEJO b) U.S. Dollar sell Auctions (mechanism for slowing reserve accumulation) *O UIF&YDIBOHF3BUF$PNNJTTJPOTFUVQBNFDIBOJTNUPDIBOOFMQBSUPGUIFGPSFJHODVSSFODZŢMPXT XIJDIXPVMEIBWFJODSFBTFSFTFSWFTJOUPUIFGPSFJHOFYDIBOHFNBSLFUJOPSEFSUPTMPXUIFBDDVNVMBUJPOUIFSFPG 5IJTEFDJTJPOXBTNBEFTJODFUIFUFOEFODZUPCVJMEVQJOUFSOBUJPOBMSFTFSWFTMPPLFETFUUPDPOUJOVF TPNFUIJOH XIJDIXPVMEIBWFDBVTFENBJOUFOBODFDPTUTUPJODSFBTFUPUIFDPOUSBSZPGOFUQSPŢJUT"TTPPOBTBVUIPSJUJFT SFWFBMFEUIFJSQMBOTUPBOBMZTFUIFOFXNFDIBOJTN UIF64%.9/FYDIBOHFSBUFESBNBUJDBMMZBQQSFDJBUFE4UJMM UIFNFDIBOJTNXBTTVTQFOEFEJO"VHVTUJOSFTQPOTFUPUIBUZFBSTHMPCBMNBSLFUTDSJTJT 5IFNFDIBOJTNDPOTJTUFEPGEBJMZEPMMBSTFMMTEJSFDUMZJOUIFGPSFJHOFYDIBOHFNBSLFU"RVBSUFSMZTDIFEVMFPG UIFBNPVOUTBWBJMBCMFGPSBVDUJPOXBTVTFE UIFBNPVOUXBTDBMDVMBUFEEFQFOEJOHPOUIFMFWFMPGSFTFSWFT BDDVNVMBUFEJOQSFWJPVTRVBSUFSTUIFNJOJNVNCFJOH64%NJMMJPO XIJDIXBTJOEFQFOEFOUPGFYDIBOHF SBUFEZOBNJDTBOENBSLFUDPOEJUJPOT General advantages: s 5SBOTQBSFOU SVMFT XIJDI NBEF BO FŇFDU PO .9/ QFSGPSNBODF QPTTJCMF TJODF SJTLT PG JOŢMBUJPOBSZ EFUFSJPSBUJPOFYJTUFE s &BTF PG TUBCJMJ[JOH UIF DVSSFODZ HJWFO UIF OFHBUJWF DPSSFMBUJPO CFUXFFO PJM QSJDFT DBQJUBM ŢMPXT BOE HSPXUIJO64EPMMBST s 3FEVDUJPOJOUIFDPTUPGJOUFSOBUJPOBMSFTFSWFBDDVNVMBUJPOEVFUPUIFJOUFSFTUSBUFEJŇFSFOUJBMCFUXFFO UIF6OJUFE4UBUFTBOE.FYJDP s 1SPHSFTTUPXBSETBNPSFŢMFYJCMFFYDIBOHFSBUFTZTUFN c) Dollar put options Description: 5IFTFPQUJPOTBVDUJPOFEBCBOLJOHJOTUJUVUJPOTSJHIUUPTFMMEPMMBSTUPUIF$FOUSBM#BOLXIFOUIFSFXBTBO PŇFSJOHPGEPMMBSTTPJOUFSOBUJPOBMSFTFSWFTDPVMECFBDDVNVMBUFE"TFDPOEBVDUJPODPVMECFDBMMFEJGPG UIFPQUJPOTJOBQBSUJDVMBSNPOUIXFSFFYFSDJTFECFGPSFUIFUIPGUIBUNPOUI5IFMBUUFSXPVMEPOMZCFWBMJE GPSUIFSFTUPGUIBUHJWFONPOUI5IFŢJSTUBVDUJPOXBTIFMEPO'FCSVBSZTUGPSBUPUBMPG64%NJMMJPO "VDUJPOTUPPLQMBDFVOUJM+VOF 5IFEPMMBSQVUPQUJPOTXFSFSFJOTUBUFEJO'FCSVBSZXIFO#BODPEF.ÈYJDPCFHBOUPBVDUJPO.9/ QVUTUIBUFYFSDJTFEJOXIFOFWFSUIFEBJMZŢJYJOHGBMMTCFMPXUIFEBZNPWJOHBWFSBHF*GUIFPQUJPOTBSFJO UIFNPOFZ UIFEBJMZŢJYJOHJORVFTUJPOJTUIFTUSJLF"OPQUJPODBOCFFYFSDJTFEPOUIFGPMMPXJOHEBZ#BODP EF .ÈYJDP IBT BVDUJPOFE 64%NJMMJPO UIF MBTU EBZ PG FWFSZ NPOUI 0QUJPOT FYQJSF BOE BSF SFOEFSFE XPSUIMFTTPOUIFMBTUEBZPGFBDINPOUI General advantages: s 64%QVUBVDUJPOTMFBEUPBHSBEVBMJODSFBTFJOJOUFSOBUJPOBMSFTFSWFTXJUIPVUBŇFDUJOHGPSFJHOFYDIBOHF SBUFUSFOET Conclusions: s 5IFBGPSFNFOUJPOFENFBTVSFTEJEOPUDIBOHFUIFQFTPTGSFFŢMPBUJOHTZTUFN/PCBOETXFSFTFUGPSUIF TFMMBOEQVSDIBTFPGEPMMBSTCZUIF$FOUSBM#BOL s *OUIFTIPSUUFSN UIFTFNFBTVSFTIBEUIFHSFBUFTUJNQBDUPOGPSFJHOJOWFTUPST*OUIFQBTU UIFPOMZXBZ UPNBLFBEKVTUNFOUTXIFOQSFTTVSFXBTQMBDFEPOUIFQFTPXBTWJBQSJDJOHPSBQPUFOUJBMJOUFSWFOUJPO CZUIF$FOUSBM#BOLJOUIFGPSFJHOFYDIBOHFNBSLFU PŇFSJOHEPMMBST /FJUIFSPGUIFTFTJUVBUJPOTXBT QSFEJDUBCMF'PSUIFBCPWFSFBTPOT UIFTFNFDIBOJTNTFTUBCMJTIFEDMFBSSVMFTGPSNBSLFUQBSUJDJQBOUT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Reference: FIX exchange rate 4JODF"QSJMOE UIF#BODPEF.ÈYJDPIBTTFUUIFBQQMJDBCMFFYDIBOHFSBUFUPTFUUMFMJBCJMJUJFTEFOPNJOBUFE JOGPSFJHODVSSFODZQBZBCMFXJUIJO.FYJDBOUFSSJUPSZ5IJTJTDVSSFOUMZUIFNPTUSFQSFTFOUBUJWFDVSSFODZFYDIBOHF SBUFJOUIFXIPMFTFMMNBSLFU#BOYJDPPCUBJOT64EPMMBSTFMMBOEQVSDIBTFFYDIBOHFSBUFTFWFSZCBOLJOHEBZGPS PQFSBUJPOTQBZBCMFPOUXPCBOLCVTJOFTTEBZTMBUFSGSPNDSFEJUJOTUJUVUJPOTXIPTFPQFSBUJPOT JOJUTWJFX SFŢMFDU UIFQSFWBJMJOHDPOEJUJPOTPGUIFXIPMFTFMMGPSFJHOFYDIBOHFNBSLFU 1BSUJDVMBSMZ UIF'*9FYDIBOHFSBUFJTDPNQVUFEEBJMZCZ#BODPEF.ÈYJDPBTBOBWFSBHFPGRVPUFTJOUIFXIPMFTFMM GPSFJHOFYDIBOHFNBSLFU5IFTFRVPUFTBSFHBUIFSFEGSPNFMFDUSPOJDUSBOTBDUJPOQMBUGPSNTUISFFUJNFTBEBZGSPN BNUPQNBOEUIFTBNQMFBWFSBHF PS'*9 JTSFQSFTFOUBUJWFPGUIFNBSLFUDPOEJUJPOTBOESFMFBTFECZ #BODPEF.ÈYJDPGSPNPDMPDLPOXBSETFBDICBOLJOHEBZ
4XBQT 'VUVSFTBOE'PSXBSET
2.1.1. Cash-Tom and Tom-Next swaps (OTC)
Definition &YDIBOHFPQFSBUJPOTXIJDIFOBCMFDVTUPNFSTUPPCUBJOTIPSUUFSNŢJOBODJOHPSNBLFJOWFTUNFOUTJOFJUIFS.9/ PS64%CZTJNVMUBOFPVTMZCVZJOHBOETFMMJOHUIFTBNFBNPVOUPGPOFDVSSFODZXJUIEJŇFSFOUNBUVSJUZEBUFT 5IFNBJOBEWBOUBHFTBSFQFSNJUUJOHTZOUIFUJDJOWFTUNFOUJO64%PS.9/JOMJOFXJUIDVTUPNFSSFRVJSFNFOUTBOE QFSNJUUJOHTZOUIFUJDGVOEJOHPGBQPTJUJPOJOEPMMBSTPSQFTPT
General characteristics Amount: Variable, agreed by the parties concerned Hours: 6:30 to 13:30 (GMT -06:00) Currency: USD/MXN Period: The maximum period is 48 business hours Swap points: The difference between the exchange rates of the currencies involved in the operation. This is determined by the interest rate differential between the two currencies and the currency’s recent performance. Swap or basis points are the daily interbank trading reference rate. It is worth noting that calendar days must be taken into account to obtain the final exchange rate Settlement: Physical delivery. There are two settlement times: At inception, the purchase/sell of a reference currency At maturity, the sell/purchase of said currency
Classification s $BTI5PNTFMMQVSDIBTFPGDVSSFODZUPEBZBOEQVSDIBTFTFMMJOIPVST 5PNUPNPSSPX s $BTI4QPUTFMMQVSDIBTFPGDVSSFODZUPEBZBOEQVSDIBTFTFMMJOIPVST s 5PN/FYUTFMMQVSDIBTFPGDVSSFODZJOIPVSTBOEQVSDIBTFTFMMJOIPVST
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Formula
F D 360 RMEX = * 1+ RUSD * − 1 * S 360 D
S D 360 RUSD = * 1+ RMEX * − 1 * F 360 D
*NQMJDJUJOUFSFTUSBUFTJOQFTPTBOEEPMMBST 8IFSF
3MEX*OUFSFTUSBUFJO.FYJDP ''JOBMFYDIBOHFSBUF*OJUJBMFYDIBOHFSBUFQMVTTXBQQPJOUT 4*OJUJBMFYDIBOHFSBUF
3USD *OUFSFTUSBUFJO64% %$POUSBDUQFSJPEJOEBZT
Examples 1. Sell-purchase SWAP CASH-SPOT Type: USD liability %VFUPBOVOGPSFTFFOFWFOU BDVTUPNFSNVTUQBZ64%NJMMJPOUPBTVQQMJFSPOUIFTFDPOEEBZPGUIFNPOUI 5IFDVTUPNFSBMTPIBTBOJOWFTUNFOUJO64%XIJDINBUVSFTPOUIFGPVSUIEBZPGUIFTBNFNPOUI NFBOJOH IFUIFSFGPSFSFRVJSFTEBZTGVOEJOHJOEPMMBST)FEFDJEFTUPVTFB64%.9/TXBQ Procedure 0OUIFOEPGUIFNPOUI UIFDVTUPNFSQFSGPSNTBTXBQXJUIUIFCBOLWJBXIJDIIFSFDFJWFT64%NJMMJPO BOEBHSFFTUPSFUVSOUIFBNPVOUJOEBZTBUBTQFDJŢJFEGPSXBSEFYDIBOHFSBUF 0OUIJTEBUF UIFDVTUPNFSSFDFJWFT64%NJMMJPOGSPNUIFCBOL BOBNPVOUXIJDIIFJNNFEJBUFMZTFOET UPIJTTVQQMJFSUPNFFUIJTMJBCJMJUZ "MTPPOUIFOE UIFDVTUPNFSNVTUQBZUIFCBOL.9/NJMMJPOGPSUIFEPMMBSTXBQBUUIFTQPU FYDIBOHFSBUFPG64% 0OUIFUI UIFQSPEVDUPGUIFDVTUPNFST64%NJMMJPOJOWFTUNFOUJTXJSFEJOUPIJTBDDPVOU0OUIJTTBNF EBUF UIFDVTUPNFSNVTUQBZUIFCBOL64%NOGPSXIJDIIFSFDFJWFT.9/ JFUIFBNPVOU PCUBJOFEGSPNUIFGPMMPXJOHGPSNVMB
5$ CQYE "NPVOU4FUUMFNFOU XIFSF 5$JTUIFFYDIBOHFSBUFBUJODFQUJPOPGUIFUSBOTBDUJPO JOUIJTDBTF CQCBTJTQPJOUTQFSEBZBHSFFE FHQFSEBZ EOVNCFSPGEBZTJOUIFDPOUSBDU FHEBZT "NPVOUBNPVOUJOEPMMBSTPCKFDUPGUIFTXBQ 64%NJMMJPO
Substituting Y Y 64%.9/ "TTVNJOHUIBUUIFGVOEJOHSBUFJOQFTPTJO.FYJDPGPSEBZTJTBOEVTJOHUIFBGPSFNFOUJPOFEGPSNVMB XFDBO TBZUIBUUIFJNQMJDJUJOUFSFTUSBUFJOEPMMBSTXIJDIUIFDPNQBOZIBEUPQBZXBTBUUXPEBZTJOBOOVBMUFSNT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
SWAP CASH-SPOT: USD liability
T1 MXN 12.12 mn US $ 1mn Supplier Customer Bank US $ 1mn
T2 US $ 1mn Customer Bank MXN 12.1226 mn
4PVSDF##7"3FTFBSDI.ÈYJDP
2. Sell-purchase SWAP CASH-SPOT Type: USD asset "DVTUPNFSIBTBTVSQMVTPG64%NJMMJPOPOUIFOEPGUIFNPOUI XIJDIIFNVTUQBZUPBTVQQMJFSPOUIF UIEBZPGUIFTBNFNPOUI IFUIFSFGPSFEFDJEFTUPQFSGPSNBEPMMBSMFOEJOHPQFSBUJPOMBTUJOHEBZTJOUIF 64%.9/'9TXBQNBSLFU Procedure 0OUIFOEPGUIFNPOUI UIFDVTUPNFSQFSGPSNTBTFMMQVSDIBTFTXBQXJUIUIFCBOLJOXIJDIIFTFMMT 64%NJMMJPOBUBOFYDIBOHFSBUFPG5IFCBOLBHSFFTUPSFUVSOUIJTBNPVOUJOEBZTBUBTQFDJŢJFE GPSXBSEFYDIBOHFSBUF 0OUIFOE UIFDVTUPNFSTFUUMFTUIFPQFSBUJPOGPS64%NJMMJPOBOESFDFJWFT.9/NJMMJPO BO BNPVOUXIJDIIFJOWFTUTGPSEBZT 0OUIFUI UIFDVTUPNFSSFDFJWFT64%NOGSPNUIFCBOL GPSXIJDIIFQBZT.9/ 5IF BNPVOUJTPCUBJOFEGSPNBQQMZJOHUIFGPMMPXJOHGPSNVMB
5$ CQ E "NPVOUTFUUMFNFOU XIFSF 5$JTUIFFYDIBOHFSBUFBUJODFQUJPO 64%JOUIJTDBTF CQCBTJTQPJOUTQFSEBZBHSFFE FHCQQFSEBZ EOVNCFSPGEBZTJODPOUSBDU FHEBZT "NPVOUBNPVOUJOEPMMBSTPCKFDUPGUIFTXBQ 64%NJMMJPO
Substituting 64% CQ 64%.9/ "TTVNJOHUIBUUIFJOWFTUNFOUSBUFJO.FYJDPGPSEBZTJTBOEVTJOHUIFBGPSFNFOUJPOFEGPSNVMB XF DBOTBZUIBUUIFJNQMJDJUSFUVSOJOEPMMBSTPCUBJOFECZUIFDPNQBOZXBTBUUXPEBZTJOBOOVBMUFSNT
12 .1200 2 360 RUSD = * 1 + 5.50 % * 1 * = 1.94 % 12 .1224 360 2
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
SWAP CASH-SPOT Type: USD asset
T1 US $ 1 mn US $ 12.12 mn Investment Customer Bank MXN $ 12.12 mn
T2
MXN $ 12.1224 mn Customer Bank US $ 1mn
4PVSDF##7"3FTFBSDI.ÈYJDP
2.1.2. FX Futures (MEXDER and CME)
Description 5IFTFEFSJWBUJWFJOTUSVNFOUTBSFVTFEGPSQSPUFDUJPOBHBJOTUFYDIBOHFSBUFEFWBMVBUJPOPSBQQSFDJBUJPO5IFTF TUBOEBSEDPOUSBDUTBSFMJTUFEPOFJUIFS.&9%&3PSUIF$IJDBHP.FSDBOUJMF&YDIBOHF $.& TVCKFDUUPPOHPJOH NBSLFUWBMVBUJPO XIJDIFOUBJMTQPTTJCMFhNBSHJODBMMTvUPDPWFSHVBSBOUFFT 0OFBEWBOUBHFPGVTJOHUIJTUZQFPGDPOUSBDUPO.&9%&3JTUIBUNJOJNVNOPUJPOBMTBSFMPXFSUIBOPOUIF$.& XIJDIDBOBUUSBDUBCSPBEFSCBTFPGJOWFTUPST"OPUIFSBEWBOUBHFJTUIBUBDDPVOUTNBZCFIFMEJO.FYJDPJO.9/ XIFSFBTXJUIUIF$.& BDDPVOUTNVTUCFIFMEBCSPBEJO64%
Characteristics MEXDER CME Participants: Mexican or foreign nationals Mexican or foreign nationals. Contract size: USD10,000 MXN500,000 Maturity period The maturity dates of futures contracts in pesos are the third Wednesday of the month. On MEXDER, they are traded or date: in a monthly and quarterly cycle for up to three years. When the maturity date falls on a bank holiday, it is transferred to the bank business day immediately prior thereto (Preceding Business Day convention). The last trading date is on the Monday of the week in which the maturity date falls, or the preceding business day in the event of a bank holiday. Settlement date: The second business day following the maturity date (T+2). The settlement date must be a working day in both Mexico and the United States. Agreed The applicable exchange rate as agreed by the parties concerned, traded in pesos per U.S. dollar on MEXDER. exchange rate: Ticker symbol: DA followed by two numbers to identify the specific date MP (Mexican Peso) plus code for the month of maturity, the first letter and the following consonant of (e.g. F: January, G: February, H: March, etc.) and year the maturity month, and the last two digits of the maturity of maturity: MPM10 (June 2010). year (e.g. DAMR10 (March 2010). Contracts quoted with a monthly series will appear as DEUA and those with a daily series as DA Minimum price MXN0.0001 per USD USD0.000025 per MXN increment fluctuation (Tick): (12.50 USD per contract) Trading hours: Business days from 7:30 a.m. to 2:00 p.m. Bids and offers Business days from 7:20 a.m. to for trading at daily settlement price are submitted between 2:00 p.m. Last trade is at 9:16 a.m. 2:25 p.m. to 2:35 p.m. $POUJOVFEPOOFYUQBHF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Characteristics (continues) Initial margin: The amount in dollars that must be deposited by the customer with the clearing house, ASIGNA, when the first order is executed. The aim is to guarantee coverage of the variation margins or daily settlement amounts while positions are open. Maintenance margin: The minimum amount per contract that the customer must keep in the account with the clearing house (clearing broker) to cover his open positions. Variation margins: Debits and credits that the clearing house applies to the customer’s account in order to reflect the daily gain and/or loss resulting from the revaluation of the contracts. If the maintenance margin is lower than required, the clearing house will ask the customer to deposit the remainder (margin calls). If it is higher than required, however, the customer will withdraw the amount over the maintenance margin (margin withdrawals) from his account.
Formula 5IFUIFPSFUJDBMEPMMBSGVUVSFTFYDIBOHFSBUFJTDBMDVMBUFEBTUIFJOUFSFTUSBUFEJŇFSFOUJBMCFUXFFO.FYJDPBOEUIF 6OJUFE4UBUFT VTJOHUIFGPMMPXJOHGPSNVMB
R * t 1 + Mex 360 A. Future =*Spot R * t 1 + USA 360
8IFSF 4QPU1FTPTQFSEPMMBSFYDIBOHFSBUFWBMVFEBUFIPVST
3USA64JOUFSFTUSBUF
3Mex.FYJDBOJOUFSFTUSBUF UQFSJPEJOEBZT
5PEFUFSNJOFUIFWBSJBUJPONBSHJOTBQQMJDBCMFUPUIFBDDPVOUTPGFBDIDVTUPNFS UIFhDMFBSJOHCSPLFSvPOUIF $IJDBHP.FSDBOUJMF&YDIBOHFBQQMJFTEFCJUTPSDSFEJUTCBTFEPOUIFSFTVMUPGUIFGPMMPXJOHGPSNVMB
M = S T b T − b T − L T f T − f T B. t +1 500,000 * {}( ) * t +1( ) t ( ) ()* t +1 ()t ()
8IFSF
.U 7BSJBUJPONBSHJOJOEBZU FYQSFTTFEJO64EPMMBST 4 5 /VNCFSPGTIPSUDPOUSBDUT 4FMM GPSNBUVSJUZJONPOUI5
CU 5 1VSDIBTFQSJDF CJEQSJDF GPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU
CU 5 1VSDIBTFQSJDF CJEQSJDF GPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU - 5 /VNCFSPGMPOHDPOUSBDUT QVSDIBTF GPSNBUVSJUZJONPOUI5
GU 5 4FMMQSJDF PŇFSQSJDF GPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU
GU 5 4FMMQSJDF PŇFSQSJDF GPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU
8IFO.U JTHSFBUFSUIBO[FSPBUDMPTJOHPOEBZU BEFCJUJTBQQMJFEGPSUIFBNPVOUJOUIFDVTUPNFSTBDDPVOU XJUIUIFDMFBSJOHIPVTF PSDMFBSJOHCSPLFS SFŢMFDUJOHUIFHBJOPCUBJOFE 0UIFSXJTF UIFMPTTXJMMCFWBMVFEWJBBDSFEJUJOUIFTBNFBDDPVOU
Examples “Purchase” of dollar futures on MEXDER "DPNQBOZQVSDIBTFTJNQPSUFEHPPETQBZBCMFBGUFSEBZTXPSUI64% 5IFDPNQBOZFYQFDUTUIFQFTPUPEFQSFDJBUFBHBJOTUUIFEPMMBS BOEJTUIFSFGPSFJOUFSFTUFEJOIFEHJOHBHBJOTUUIF FYDIBOHFSJTL$POTFRVFOUMZ JUQVSDIBTFTEPMMBSGVUVSFTPO.&9%&3UIBUXJMMNBUVSFJO%FDFNCFS EBZT 5IF DVTUPNFS JT TIPSU B GVUVSFT DPOUSBDU NBUVSJOH JO %FDFNCFS BU QFTPT QFS EPMMBS XIJMF UIF TQPU
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
FYDIBOHFSBUFJTQFTPTUPUIFEPMMBS8IFOUIFDPOUSBDUNBUVSFT UIFJNQPSUFSXJMMSFDFJWFUIFEPMMBST BHSFFEJOFYDIBOHFGPSUIFFRVJWBMFOUBNPVOUJOQFTPT*GPONBUVSJUZUIFFYDIBOHFSBUFIBTEFQSFDJBUFEUP BTUIFDVTUPNFSFYQFDUT UIFTBWJOHTXPVMECF Exercise of future 64% .9/64% .9/ "NPVOUXJUIPVUGVUVSF 64% .9/64% .9/ 4BWJOHFYQFOTF .9/ 5IFJNQPSUFSTFUTUIFHMPCBMDPTUPGUIFJNQPSUTJOBEWBODFh*GUIFIFEHJOHUSBOTBDUJPOIBEOPUCFFODBSSJFEPVU UIFJNQPSUTXPVMEIBWFDPTU.9/ v )PXFWFS UIFPQQPTJUFDPVMEIBWFPDDVSSFE XIFSFUIFQFTPDPVMEIBWFBQQSFDJBUFE*OUIJTDBTF UIFSFXPVME CFOPTVSQSJTFTTJODFUIFDPTUIBECFFOTFUJOBEWBODFWJBUIFGVUVSFTDPOUSBDU UIVTSFEVDJOHWPMBUJMJUZJOUIF DPNQBOZTŢJOBODJBMSFTVMUT “Purchase” of peso futures on the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
8IFOUIFDPOUSBDUNBUVSFT UIFJNQPSUFSXJMMSFDFJWFUIFJOJUJBMNBSHJOQMVTBSFUVSOPGBOOVBMMZBUEBZT FRVJWBMFOUUP 64%
5IFJNQPSUFSJTJNQMJDJUMZFOTVSJOHBOFYDIBOHFSBUFPGQFTPTQFSEPMMBS SFTVMUJOHGSPNUIFQFTPTIFXJMM SFDFJWFGSPNUIFGVUVSFTDPOUSBDUBNPOHUIFEPMMBSTBWBJMBCMF XIJDIJOUFSNTPGDBTIŢMPXTJTBTGPMMPXT Futures exercise 64% 8JUIESBXBMPGJOJUJBMNBSHJO JOUFSFTU 64% -PBOSFQBZNFOU 64% %PMMBSTBWBJMBCMF 64% *NQMJDJUFYDIBOHFSBUF QFTPT 64%QFTPTQFSEPMMBS 8IFOUIFDPOUSBDUNBUVSFE UIFQFTPBQQSFDJBUFE USBEJOHPOUIFDBTINBSLFUBUQFTPTQFSEPMMBS IJHIFS UIBOFYQFDUFE )PXFWFS UIFFYQPSUFSIBEIFEHFEBHBJOTUUIFFYDIBOHFSJTLCZDPOUSBDUJOHQFTPGVUVSFT TFUUJOH IJTFYQPSUSFWFOVFTBU QFTPTh)BEJUOPUCFFOGPSUIFIFEHFUSBOTBDUJPO UIFSFWFOVFTPOFYQPSUT XPVMEIBWFCFFO QFTPT JFMPXFSUIBOUIFSFTVMUVTJOHQFTPGVUVSFTv *OTIPSU JOBOZPGUIFBGPSFNFOUJPOFEBMUFSOBUJWFT UIFFYQPSUFSTFUTUIFHMPCBMSFWFOVFTPOUIFFYQPSUTJOQFTPT JOBEWBODF UIVTFMJNJOBUJOHFYDIBOHFSBUFVODFSUBJOUZ
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
2.1.3. MXN Forwards and NDF`s (OTC)
Description 5IJTEFSJWBUJWFJOTUSVNFOUFMJNJOBUFTFYDIBOHFSJTLCZQSPUFDUJOHBHBJOTUUIFQFTPTEFWBMVBUJPOPSBQQSFDJBUJPO BHBJOTUUIFVTE%FMJWFSBCMFGPSXBSETHVBSBOUFFQIZTJDBMEFMJWFSZPGGPSFJHODVSSFODZ/POEFMJWFSBCMFGPSXBSET BSFDBTITFUUMFE
Advantages for customers in using dollar forwards are: &MJNJOBUFTVODFSUBJOUZSFHBSEJOHUIFDPTUSFWFOVFTPGJNQPSUTFYQPSUTBOEPSPQFSBUJPOTJOEPMMBST )FEHFT BHBJOTUFYDIBOHFSJTL 1PTTJCJMJUZPGBSCJUSBHF PCUBJOJOHGVOEJOH PSJOWFTUJOH SBUFTJOQFTPTBUNPSFBUUSBDUJWF JOUFSFTUSBUFTUIBOEPNFTUJDPOFT 4FUUMFNFOUBUNBUVSJUZEPFTOPUJOWPMWFBEJTCVSTFNFOUPGGVOETBUJODFQUJPO BOE 'MFYJCJMJUZSFHBSEJOHOPUJPOBMTBOENBUVSJUZEBUFT BTPQQPTFEUPGVUVSFTDPOUSBDUT
General characteristics Participants: Mexican or foreign persons or entities. Reference amount: Variable. The hedged amount is established in line with the customer’s needs. Period: Agreed upon freely by the customer and bank, from 1 day to 5 years. The most liquid periods are up to 3 years. Exchange rate: The forward exchange rate is calculated based on the spot date exchange rate (48 hours value) of the peso against the dollar plus some basis points (forward points). The following factors determine how many basis points are added: a. Difference between the interest rates in pesos and in dollars – Formula (1). b. Market expectations with respect to prevailing cash exchange rates in the future. Settlement: On maturity, both parties deliver the total amount of the currencies involved in the contract to each other. In the case of an NDF, there is a cash settlement at maturity, either in USD or MXN. Average daily volume: USD5.8billion Bid/Ask spread: 1M – 12M 5 pips 1Y – 10Y 44 pips Bloomberg ticker: “BCMR 6
Formula 1
T $ * plazo 1+ Fwd exchange rate = 360 *TCspot Tusd * plazo 1+ 360
8IFSF 5*OUFSFTUSBUFJOQFTPT 5VTE*OUFSFTUSBUFJOEPMMBST 1MB[P1FSJPEPGSFGFSFODFJOUFSFTUSBUFBOEGPSXBSEDPOUSBDU 5$TQPU4QPUFYDIBOHFSBUF IPVSTWBMVFEBUF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Example “Purchase” of dollar forwards "DPNQBOZQVSDIBTFTJNQPSUFEHPPETPODSFEJUBUEBZTQBZJOHBOOVBMJOUFSFTUJO64% JOUIFBNPVOUPG 64% *OEBZTUJNF JUXJMMIBWFUPQBZUIFDBQJUBMQMVTJOUFSFTU FRVJWBMFOUUP
0.0131*91 100,000.00 usd* 1+ = 100,331.14 usd [ 360 ]
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ŢJOBODJBMQMBOOJOH $MFBSMZ DPOUSBSZ UP UIF DVTUPNFST FYQFDUBUJPOT UIF PQQPTJUF NJHIU IBWF IBQQFOFE OBNFMZ UIBU UIF QFTP NJHIUIBWFBQQSFDJBUFE*OUIJTSFHBSE UIFSFBSFOPTVSQSJTFT5IFDPTUPGJNQPSUTSFNBJOTUIFTBNFEFTQJUFUIF BQQSFDJBUJPOJOUIFFYDIBOHFSBUF TJODFJUXBTŢJYFEJOBEWBODF BOEUIFDPNQBOZTŢJOBODJBMSFTVMUTBSFUIFSFGPSF VOBŇFDUFE *GUIJTFYBNQMFXFSFBO/%' UIFOUIFTFUUMFNFOUXPVMEIBWFCFFOJO64%BUUIFQSFWBJMJOH'*9BUUJNFPGFYQJSBUJPO
'9WPMBUJMJUJFT
2.2.1. FX Options (OTC)
Description 5IJTEFSJWBUJWFJOTUSVNFOUQSPUFDUTBHBJOTUDVSSFODZ JF 64%.9/HPJOHGPSXBSE BQQSFDJBUJPOEFQSFDJBUJPOJO XIJDI BCVZFSBDRVJSFTUIFSJHIU CVUOPUUIFPCMJHBUJPO UPQVSDIBTF DBMMPQUJPO PSTFMM QVUPQUJPO 64%POB GVUVSFEBUF T BUBQSJDFTQFDJŢJFEJOBEWBODF TUSJLF JOSFUVSOGPSUIFQBZNFOUPGBQSFNJVN8IFOUIFPQUJPOJT FYFSDJTFE UIFOPUJPOBMNBZCFGVMMEFMJWFSFEPSDBTITFUUMFEJOFJUIFS64%PS.9/ 5IFBEWBOUBHFTPGPQUJPOTBSFFYDIBOHFSJTLJTIFEHFEMJRVJEJUZJTTBWFETJODFUIFSFJTOPOFFEUPQVSDIBTFUIF EPMMBSTTVCKFDUUPUIFPQFSBUJPOJOBEWBODFBOEUIFBNPVOUBOEUFSNBSFFTUBCMJTIFECBTFEPOUIFDVTUPNFST SFRVJSFNFOUT*OBEEJUJPOUPIFEHJOHBOEFMJNJOBUJOHFYDIBOHFSJTL BOPUIFSCFOFŢJUJTUIBUDBTIŢMPXTJOQFTPTDBO CFBOUJDJQBUFEBUUIFTUBSUPGUIFPQFSBUJPOSFHBSEMFTTPGUIFGVUVSFQFSGPSNBODFPGUIFFYDIBOHFSBUF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
General characteristics Participants: Mexican and foreign nationals. Reference amount: Variable. Based on the customer’s needs. Must not be less than 100,000 USD. Period: Up to 3 years Types of option: This is depends on the day on which or the period of time within which the option buyer’s right is exercised. They may be: - European: The buyer may only exercise the option at maturity. - American: The buyer may exercise the option on any bank business day between the outset of the operation (premium payment) and the date the option matures. FIX reference Exchange rate published by the Banco de México in the Official Gazette, and exchange rate: www.banxico.org.mx . Strike: Exchange rate agreed on by the parties that will be used on the maturity or exercise date in the event of a cash settle. Trade date: Date on which the parties close the transaction. Option premium: Amount in pesos or dollars that the buyer must pay the seller at the start of the operation to acquire the operation’s underlying right. It is paid on the second business day following the date of arrangement of the operation. Exercise date: Date on which the buyer exercises his right, assuming he decides to do so. Settlement date: The option will be settled on the second bank business day immediately following the exercise date and may be performed in two ways: a. Physical delivery of the currencies (payment in kind) b. Cash settlement in either USD or MXN Maturity date: Date on which the buyer’s right to exercise a sell or purchase option expires.
Types of operation a. Call options s Purchase of a call:5IFDVTUPNFSCVZTUIFSJHIUUPCVZ64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFE EBUFJOFYDIBOHFGPSBOPQUJPOQSJDF QSFNJVN s Sell of a call: 5IFDVTUPNFSTFMMTUIFSJHIUUPCVZ64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFEEBUFJO FYDIBOHFGPSBOPQUJPOQSJDF QSFNJVN 5IVT IFSFDFJWFTUIFQSFNJVNCVUIFJTPCMJHFEUPTFMM64%.9/ JOUIFFWFOUUIFPQUJPOIPMEFSEFDJEFTUPFYFSDJTFJU b. Put options s Purchase of a put:5IFDVTUPNFSCVZTUIFSJHIUUPTFMM64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFE EBUFJOFYDIBOHFGPSBOPQUJPOQSJDF QSFNJVN s Sell of a put:5IFDVTUPNFSTFMMTUIFSJHIUUPTFMM64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFEEBUF JOFYDIBOHFGPSBOPQUJPOQSJDF QSFNJVN 5IVT IFSFDFJWFTUIFQSFNJVNCVUIFJTPCMJHFEUPCVZ 64%.9/JOUIFFWFOUUIFPQUJPOIPMEFSEFDJEFTUPFYFSDJTFJU
Examples Purchase of call option "OJNQPSUFSXJTIFTUPIFEHFBHBJOTUUIFSJTLPGBQPTTJCMFEFQSFDJBUJPOPGUIFQFTPCFGPSFQVSDIBTJOHHPPET XPSUI 64%QBZBCMFJONPOUIT5IFDVSSFOUTQPUFYDIBOHFSBUFJTQFTPTQFSEPMMBS
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
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ŢJU*GUIFTQPUFYDIBOHFSBUFJOEBZTJTIJHIFSUIBOQFTPTQFSEPMMBS UIFJNQPSUFSXJMMCFOFŢJUGSPN FYFSDJTJOHUIFDBMMPQUJPO
Risk profile in the purchase of a call in the line with the price of the underlying security + Profit
S* = $ 13.3474
13.00 S
Option price = $ 0.3474
-Loss
4PVSDF##7"3FTFBSDI.ÈYJDP 8IFOUIFDPOUSBDUNBUVSFT UIFFYDIBOHFSBUFEFQSFDJBUFTBTUIFDVTUPNFSFYQFDUFE USBEJOHBUQFTPTQFS EPMMBS BOEUIFJNQPSUFSUIFSFGPSFFYFSDJTFTUIFSJHIUUPQVSDIBTF 64%BUUIFFYFSDJTFFYDIBOHFSBUFPG QFTPTQFSEPMMBS $POTFRVFOUMZ UIF UPUBM BNPVOU QBZBCMF JO QFTPT PO NBUVSJUZ PG UIF PQUJPO UP QVSDIBTF 64% JT .9/ DBMDVMBUFEBTGPMMPXT Exercise of the option 64% QFTPTQFSEPMMBS .9/ DPTUPGUIFPQUJPOTQSFNJVN .9/ UPUBMDPTUJOQFTPTPGUIFJNQPSU .9/
5IJTŢJHVSFJTMPXFSUIBOUIFBNPVOUQBZBCMFJGIFIBEOPUIFEHFEBHBJOTUUIFEFWBMVBUJPOSJTLEFUFSNJOFECZUIF FYDIBOHFSBUFBUUIFUJNF .9/QFS64% 64% .9/ TBWJOH .9/ )PXFWFS UIFNBSLFUFYDIBOHFSBUFBQQMJDBCMFPOUIFEBZUIFDPOUSBDUNBUVSFTNJHIUCFMPXFSUIBOUIFFYDIBOHF SBUFJNQMJDJUJOUIFPQUJPO JOXIJDIDBTFUIFJNQPSUFSXPVMEOPUFYFSDJTFUIFPQUJPOTJODFJUXPVMECFDIFBQFSGPS IJNUPBDRVJSFUIFEPMMBSTJOUIFTQPUNBSLFU*OUIJTDBTF UIFMPTTJTMJNJUFEUPUIFPQUJPOTQSFNJVN .9/
Purchase of USD Puts *ONPOUIT BDPNQBOZXJMMSFDFJWF 64%GSPNFYQPSUT*UXJTIFTUPUPEBZŢJYUIFBNPVOUJOQFTPTGSPN JUTFYQPSUT JOWJFXPGUIFQPTTJCJMJUZUIBUUIFQFTPNBZBQQSFDJBUF BOEDPOTFRVFOUMZEFDJEFTUPQVSDIBTFEPMMBS QVUPQUJPOT 5IFFYQPSUFSEFDJEFTUPQVSDIBTFB&VSPQFBOTUZMFEPMMBSQVUPQUJPOBUBOFYFSDJTFQSJDFPGQFTPTQFSEPMMBS 5IFQSJDF QSFNJVN PGUIFPQUJPOJTQFTPTQFSEPMMBS BOEUIFUPUBMBNPVOUQBZBCMFJTUIFSFGPSF 64% .9/QFS64% .9/
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
5IJTBNPVOUJTUIFDPTUPGIFEHJOHUIFFYQPSUTBHBJOTUBQPTTJCMFBQQSFDJBUJPO*GUIFFYQPSUFSFYFSDJTFTUIFPQUJPO IFXJMMJNQMJDJUMZCFBDRVJSJOHBOFYDIBOHFSBUFPGQFTPTQFSEPMMBSPCUBJOFECZ
.9/.9/.9/
5IJTJTUIFQSJDFPGUIFVOEFSMZJOHTFDVSJUZ 4 BQQMJDBCMFPOUIFEBUFPGFYFSDJTF GSPNXIJDIUIFPQUJPOHFOFSBUFT BQSPŢJU*OPUIFSXPSET JGUIFFYDIBOHFSBUFJOEBZTJTMPXFSUIBOQFTPTQFSEPMMBS UIFFYQPSUFSXJMM CFOFŢJUGSPNFYFSDJTJOHUIFEPMMBSTFMMPQUJPO
Risk profile in the purchase of a put option acording to the price of the underlying security
+Loss
S* = $ 12.2526
12.6 S
Option price = $ 0.3474
- Profit
4PVSDF##7"3FTFBSDI.ÈYJDP 8IFOUIFPQUJPONBUVSFE UIFFYDIBOHFSBUFIBEBQQSFDJBUFEBTUIFDVTUPNFSFYQFDUFE BOETUPPEBUQFTPT QFSEPMMBS5IFFYQPSUFSUIFSFGPSFFYFSDJTFEUIFSJHIUUPTFMM 64%BUUIFBHSFFEFYDIBOHFSBUFPG QFTPTQFSEPMMBS
$POTFRVFOUMZ UIFUPUBMOFUBNPVOUSFDFJWBCMFJOQFTPTPOUIFPQUJPOTNBUVSJUZ GPSTFMMJOH 64% JT .9/ XIJDI BGUFSEJTDPVOUJOHQBZNFOUPGUIFPQUJPOQSFNJVN MFBWFT .9/*O PUIFSXPSET
Option exercise
64% QFTPTQFSEPMMBS .9/ $PTUPGPQUJPOQSFNJVN .9/ 3FWFOVFTJOQFTPTPGUIFFYQPSU .9/
5IJTŢJHVSFJTIJHIFSUIBOUIFPOFUIFDVTUPNFSXPVMEIBWFSFDFJWFEJGIFIBEOPUIFEHFEBHBJOTUUIFSJTLPG BQQSFDJBUJPOEFUFSNJOFECZUIFFYDIBOHFSBUFBUUIFUJNF .9/ 64%.9/ 4BWJOH.9/
)PXFWFS UIFNBSLFUFYDIBOHFSBUFBQQMJDBCMFPOUIFDPOUSBDUTNBUVSJUZNJHIUCFIJHIFSUIBOUIFFYDIBOHFSBUF JNQMJDJUJOUIFPQUJPO*OUIJTDBTF UIFFYQPSUFSXPVMEOPUFYFSDJTFIJTSJHIUUPTFMM5IVT UIFDPTUPGIFEHJOHXJMMCF MJNJUFEUPUIFPQUJPOTQSFNJVN
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
2.2.2. FX Options (MEXDER)
Description 5IFTFEFSJWBUJWFDPOUSBDUTBSFVTFEGPSIFEHJOHBHBJOTU PSTQFDVMBUJOHPO 64%.9/ŢMVDUVBUJPOTBOEBSFUSBEFE PO .&9%&3 UIF TUBOEBSEJTFE NBSLFU 5IF CVZFS BDRVJSFT UIF SJHIU CVU OPU UIF PCMJHBUJPO UP QVSDIBTF DBMM PQUJPO PSTFMM QVUPQUJPO 64%POBGVUVSFEBUF BUBTUSJLFQSJDFBHSFFEJOBEWBODF5IFDPOUSBDUTUZMFVTFEPO .&9%&3JT&VSPQFBO8IFOUIFPQUJPOJTFYFSDJTFEBUNBUVSJUZ UIFPQFSBUJPOJTQIZTJDBMMZTFUUMFE
Contract characteristics Face value: 10,000.00 USD (ten thousand dollars 00/100). Contract kind: Call and Put Contract style: European Delivery months: Quarterly cycle for up to one year (for both call and put options): March, June, September, and December. Strike price: It will be expressed in Mexican pesos in accordance with the spot price of the USD and in multiples of 0.05 MXN. For each maturity, MEXDER will list one strike price (ATM) equivalent to the USDMXN spot value of the previous day, and two higher and two lower strike prices. Trading symbols: “DA” plus 5 digits to specify the strike price and another digit to specify the contract type and maturity month (Call: March, “C”; June, “F”; September, “I”; December, “L”. Put: March, “O”; June, “R”; September, “U”; December, “X”). For example, “DA 13850C” = call op- tion maturing March with a strike price of 13.850 and “DA 13100X” = put option maturing December with a strike price of 13.100. Unit quoted: Pesos to three decimals per linked unit. Minimum fluctuation (Tick): 0.001 MXN (one thousandth of a Mexican peso). Trading hours: 07:30 a.m. to 2:00 p.m. (GMT -06:00) Last day of trading and maturity date: The maturity date of the monthly USDMXN futures contract listed on MEXDER. Settlement day: Second business day following maturity date. Settlement at maturity: Performed by the automatic exercise of all positions with a positive intrinsic value equal to or greater than the self-exercise threshold established by the clearing house (ASIGNA). Intrinsic value at maturity: A call option has a positive intrinsic value when the strike price is lower than the closing spot value of USDMXN published by MEXDER. A put option has a positive intrinsic value when the strike price is higher than the closing spot value of USDMXN published by MEXDER. Otherwise, the intrinsic value on the maturity date shall be zero. Daily settlement: ASIGNA will carry out the daily settlement of investor obligations including all premiums agreed upon negotiation, the maintenance margin, accrued interest, and corresponding fees. The daily price settlement is calculated by MEXDER for each series. Initial margin: Amount needed to start the contract in order to guarantee obligations. Maintenance margin: Margin “calls” or margin “withdrawals” as a function of open positions.
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011 'JYFE*ODPNF (PWFSONFOU
"VDUJPOTBOE.BSLFU.BLFST 5IF#BODPEF.ÈYJDP BTUIFŢJOBODJBMBHFOUPGUIF.FYJDBO'FEFSBM(PWFSONFOUIBTUIFNBOEBUFUPDBSSZPVU XFFLMZQSJNBSZBVDUJPOTPGJUTTFDVSJUJFTBDDPSEJOHUPBQSFEFUFSNJOFEDBMFOEBSBTXFMMBTBOJTTVBODFTUSBUFHZ SFMFBTFECZUIF4FDSFUBSJBUPG'JOBODFBOE1VCMJD$SFEJUFBDIRVBSUFS 5IFDPNQFUJUJWFCJEEJOHQSPDFTTDBOCFTVNNBSJTFEJOGPVSTUFQT
Auctions of CETES, BONDES, UDIBONOS and fixed-rate MBONOS s 0ŇFSJOH QSFWJPVT'SJEBZBUQN s #JEEJOH 5VFTEBZUPBN s 3FTVMU%JTDMPTVSF 5VFTEBZBN s 4FUUMFNFOU 5IVSTEBZ
Auctions of Savings Protection Bonds (BPAs) s 0ŇFSJOH QSFWJPVT'SJEBZBUQN s #JEEJOH 8FEOFTEBZBNUPBN s 3FTVMU%JTDMPTVSF 8FEOFTEBZQN s 4FUUMFNFOU 5IVSTEBZ
Offering &WFSZ'SJEBZBUQN (.5 #BODPEF.ÈYJDPTQFDJŢJFTUIFFYBDUJOTUSVNFOU NBUVSJUZ BOEBNPVOUUP CFJTTVFEUIFGPMMPXJOHXFFL"EEJUJPOBMMZ #BODPEF.ÈYJDPQSPWJEFTUIFUZQFPGBVDUJPONFDIBOJTN TJOHMFQSJDF PSNVMUJQMFQSJDFT 5IFNBJONFDIBOJTNGPMMPXTUIFQSJODJQMFTPGB%VUDIQSJDFBVDUJPO1.
Bidding 5IFBVUIPSJTFEQBSUJDJQBOUTJOQSJNBSZBVDUJPOTBSFNBJOMZDPNNFSDJBMCBOLT CSPLFSBHFIPVTFT BOENVUVBM GVOET&BDIJOTUJUVUJPOTVCNJUTJUTCJET CPUIBNPVOUTBOEQSJDFT FJUIFSJOBTFBMFEFOWFMPQFPSUISPVHIFODSZQUFE FMFDUSPOJDŢJMF5IFTVNPGBMMUIFBNPVOUTTVCNJUUFECZBTJOHMFJOWFTUPSJOBQSJNBSZBVDUJPONVTUOPUFYDFFE PGUIFUPUBMBNPVOUPGTFDVSJUJFTPŇFSFEJOUIFBVDUJPO5IFQSJDFJTBGVODUJPOPGOFUTVQQMZPGCPOET BNPVOU PŇFSFEMFTTSFEFFNTJOUIFXFFL MJRVJEJUZQSFGFSFODFT SJTLBQQFUJUF BOEJOŢMBUJPOFYQFDUBUJPOT
Allocation "TJOBOZ%VUDIBVDUJPO XIFSFUIFSFBSFNVMUJQMFXJOOJOHCJEEFST TFDVSJUJFTBSFBMMPDBUFEJOMJOFXJUIUIFBTDFOEJOH PSEFSPGUIFDPSSFTQPOEJOHEJTDPVOUSBUFT XJUIPVUFYDFFEJOHUIFNBYJNVNBNPVOUJOEJDBUFEJOUIFPŇFSJOH5IF BMMPDBUFEJOUFSFTUSBUFPSQSJDFDPVMECFFJUIFSUIFTBNFGPSBMMQBSUJDJQBOUT TJOHMFQSJDF PSUIFSBUFSFRVFTUFEGPS FBDIXJOOFSQBSUJDJQBOU NVMUJQMFQSJDF *OUIFDBTFPG.#0/04BOE6%*#0/04 CJETBSFBMMPDBUFEJOMJOFXJUIUIFEFTDFOEJOHPSEFSPGUIFVOJUQSJDFT XJUIPVUFYDFFEJOHUIFNBYJNVNBNPVOUJOEJDBUFEJOUIFPŇFSJOH5IFTJOHMFQSJDFJTUIFPOFDPSSFTQPOEJOHUP UIFMBTUCJEBMMPDBUFE 5IJTUZQFPGBVDUJPOFODPVSBHFTNPSFBHHSFTTJWFCJETGSPNJOUFSNFEJBSJFT UIVTQSPNPUJOHMPXFSJOUFSFTUSBUFT 5IFBCPWFOPUXJUITUBOEJOH UIF#BODPEF.ÈYJDPIBTUIFSJHIUUPFJUIFSQPTUQPOFBOZBVDUJPOPSUPBMMPDBUFB GSBDUJPOPGBMMTFDVSJUJFTPŇFSFEJGUIFQSFWBJMJOHNBSLFUDPOEJUJPOTEPOPUNFFUJUTCFODINBSLT
1*OB%VUDIBVDUJPOUIFBVDUJPOFFSCFHJOTXJUIBIJHIBTLJOHQSJDFXIJDIJTMPXFSFEVOUJMTPNFQBSUJDJQBOUJTXJMMJOHUPBDDFQUUIFBVDUJPOFFST QSJDF PSUIFTFMMFSTNJOJNVNBDDFQUBCMFQSJDF SFTFSWFQSJDF JTSFBDIFE5IJTUZQFPGBVDUJPOJTBMTPLOPXOBTBhDMPDLBVDUJPOvPSBEFTDFOEJOH QSJDFBVDUJPO
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Single Price allocation 160
140
120 Amount offered by Banxico at single 7% rate 100 30 80
60 35 40
20 20 15 0 Bidder I: 4% Bidder II: 5% Bidder III: 6% Bidder IV: 7% Bidder V: 8%
4PVSDF##7"3FTFBSDI.ÈYJDP *Omultiple pricesBVDUJPOTUIFBMMPDBUJPOXPVMECF *OUIFDBTF UIFTFDVSJUJFTBSFBMMPDBUFEJOBTDFOEJOHPSEFSPGUIFDPSSFTQPOEJOHEJTDPVOUSBUFT XJUIPVUFYDFFEJOH UIF NBYJNVN BNPVOU JOEJDBUFE JO UIF PŇFSJOH 5IF SBUF BMMPDBUFE JT UIF SBUF SFRVFTUFE JO FBDI QBSUJDJQBOUT CJE$&5&4 #0/%&4 #1"TBOE#1"5BSFBMMPDBUFEJOEFTDFOEJOHPSEFSPGVOJUQSJDFT XJUIPVUFYDFFEJOHUIF NBYJNVNBNPVOUJOEJDBUFEJOUIFPŇFSJOH
Single price allocation 2 Bidding Rate
1.5 Std. Dev.
Minimun Weighted Maximun rate demand rate rate
Allocation Rate
Minimun Weighted Maximun rate allocation rate rate
4% 5% 7% 9% 10%
4PVSDF##7"3FTFBSDI.ÈYJDP
5IJTUZQFPGBVDUJPOFODPVSBHFTDBSFGVMEFUFSNJOBUJPOPGCJET XIJMFTFFLJOHMFWFMTUIBUBSFNPSFSFQSFTFOUBUJWF PGUIFNBSLFU 5IFBWFSBHFXFJHIUFESBUFPSBWFSBHFXFJHIUFEQSJDFPGUIFBVDUJPOJTEFUFSNJOFEPOUIFCBTJTPGUIFCJETUP XIJDITFDVSJUJFTIBWFCFFOBMMPDBUFE Traditional auctions:#JEEFSTIBWFOPJOGPSNBUJPOPOPUIFSCJEEFSTCFIBWJPSVOUJMUIFSFTVMUTBSFQVCMJTIFE
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Interactive auctions:4FDVSJUJFTBSFBMMPDBUFEBUNBSHJOBMSBUFTSFRVFTUFECZUIFJOUFSNFEJBSJFT VOUJMUIFBNPVOU VQGPSBVDUJPOIBTCFFOGVMMZBMMPDBUFE Syndicated Bond Auction .#0/04BOE6EJCPOPTTJODF'FCSVBSZ 5IFCJEEFSTBSFPOMZNBSLFUNBLFST BOEUIFQVCMJDPŇFSJTSFMFBTFEPOFEBZCFGPSFUIFBVDUJPO5IFPŇFSSFMFBTFJODMVEFTBEFUBJMFEMJTUPGJOTUSVNFOUT BNPVOUTBOEBTDIFEVMFGPSUIFBVDUJPO5IFCJEEJOHQSPDFTTJTVOEFS%VUDIBVDUJPOSVMFT UIFSFGPSFBVOJRVF QSJDFJTQBJECZBMMUIFXJOOFSTBOEBMMPDBUJPOJTNBEFUPUIPTFPŇFSJOHBIJHIFSQSJDF
Market makers 0CKFDUJWFTPGNBSLFUNBLFSTBSFUPJODSFBTFMJRVJEJUZJOUIFTFDPOEBSZHPWFSONFOUEFCUNBSLFUBOEUPFODPVSBHF HSFBUFSJOWFTUNFOUJOHPWFSONFOUTFDVSJUJFT 5PHVBSBOUFFJOWFTUPSTBQQFUJUFGPSMPOHUFSNŢJYFESBUFJOTUSVNFOUT UIFSFNVTUCFBEFFQBOEMJRVJETFDPOEBSZ NBSLFU0OTVDIBNBSLFU UIFTFTFDVSJUJFTDBOCFCPVHIUBOETPMEBUBOZUJNFBOEBUMPXUSBOTBDUJPODPTUT )FODF UIF4FDSFUBSJBUPG'JOBODFBOE1VCMJD$SFEJU XJUIUIFTVQQPSUPG#BODPEF.ÈYJDP DSFBUFEUIFŢJHVSFPG NBSLFUNBLFST0O'FCSVBSZUI UIFHFOFSBMSVMFTGPSTFMFDUJOHNBSLFUNBLFSTXFSFVOWFJMFE XJUIPQFSBUJPOT TUBSUJOHJO/PWFNCFS *OPSEFSUPBDIJFWFUIFPCKFDUJWFTTFUCZUIFBVUIPSJUJFT NBSLFUNBLFSTIBWFUIFGPMMPXJOHPCMJHBUJPOTBOESJHIUT Obligations: B 4JHOJŢJDBOUQBSUJDJQBUJPOJOUIFQSJNBSZŢJYFESBUFHPWFSONFOUEFCUNBSLFU5IFNJOJNVNQFSDFOUBHFPG QBSUJDJQBUJPOPGFBDINBSLFUNBLFSJTUIFMPXFSPGBOEOPGUIFUPUBMBNPVOUBVDUJPOFEGPSFBDI ŢJYFESBUFTFDVSJUZ hOvJTUIFOVNCFSPGNBSLFUNBLFST C 4JHOJŢJDBOUQBSUJDJQBUJPOJOUIFTFDPOEBSZHPWFSONFOUEFCUNBSLFU.BSLFUNBLFSTNVTURVPUFCJEBOE BTLQSJDFTEBJMZ CFUXFFOBNBOEQN GPSBMMSFMFWBOUSBOHFTJOXIJDIŢJYFESBUFTFDVSJUJFTPQFSBUF GPSBNJOJNVNOPNJOBMBNPVOUPG.9/NJMMJPO D .BJOUBJOBEFRVBUFSJTLNBOBHFNFOU JOMJOFXJUI#BODPEF.ÈYJDPSFHVMBUJPOT E 3FQPSUPQFSBUJPOTUPBVUIPSJUJFT Rights: B 1VCMJDSFDPHOJUJPOPGNBSLFUNBLFSTUBUVT UISPVHIUIF4FDSFUBSJBUPG'JOBODF|TRVBSUFSMZMJTUPGSFDPHOJ[FE NBSLFUNBLFSJOTUJUVUJPOT C 5IFSJHIUUPFYFSDJTFBOPQUJPOUPCVZGSPNUIF#BODPEF.ÈYJDP0OFEBZBGUIFSUIFSFMFBTFPGUIF QSJNBSZ BVDUJPOT GSPN BN UP BN NBSLFU NBLFST BSF FOUJUMFE UP QVSDIBTF BO BEEJUJPOBM BNPVOUPGTFDVSJUJFTUPFOBCMFUIFNUPNFFUUIFJSDMJFOUTSFRVJSFNFOUT The maximum amount exercisable is the lower of: PGUIFUPUBMBNPVOUPGHPWFSONFOUTFDVSJUJFTBMMPDBUFEGPSFBDIQFSJPE 5IFUPUBMBNPVOUPGDPNQVUBCMFCJETQSFTFOUFECZUIFNBSLFUNBLFSJORVFTUJPO $PNQVUBCMF CJET BSF UIPTF XIPTF ZJFME JT MFTT UIBO PS FRVBM UP UIF IJHIFTU ZJFME BMMPDBUFE JO FBDI NBUVSJUZ NVMUJQMJFECZBGBDUPSPGCFUXFFOBOE5IJTGBDUPSXJMMEFQFOEPOUIFBDUJWJUZJOEFYMFWFMPGFBDI NBSLFUNBLFS
Securities lending .BSLFUNBLFSTNBZSFRVFTUBOZJTTVBODFPG$&5&4PGŢJYFESBUF#0/04JODJSDVMBUJPOGSPN#BODPEF.ÈYJDPBT BMPBO SFOFXBCMFPOBEBJMZCBTJT&BDINBSLFUNBLFSNBZSFRVFTUVQUPPGUIFUPUBMPGUIFTFHPWFSONFOU TFDVSJUJFTJODJSDVMBUJPOBOEVQUPPGUIFBNPVOUPGFBDIPGUIFJTTVBODFT 5IFPQFSBUJPOTXJMMCFDPMMBUFSBMJTFEEBJMZXJUI$&5&4PSŢJYFESBUF#0/04 VTJOHUIFMBUFTUQSJDFWFDUPSQVCMJTIFE CZ#BODPEF.ÈYJDP5IFWBMVFPGTFDVSJUJFTVTFEBTDPMMBUFSBMJTBUMFBTUPGUIFWBMVFPGUIFTFDVSJUJFTMPBOFE QMVT UIF BHSFFE QSFNJVN 5IF DPTU PG FBDI TFDVSJUJFT MPBO PQFSBUJPO JT FRVJWBMFOU UP PG UIF HPWFSONFOU GVOEJOHSBUFQVCMJTIFEEBJMZCZUIF#BODPEF.ÈYJDP
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
&WFSZZFBS POUIFMBTUUSBEJOHEBZPG+BOVBSZ "QSJM +VMZBOE0DUPCFS UIF4FDSFUBSJBUPG'JOBODFBOE1VCMJD$SFEJUT XFCTJUFXJMMSFMFBTFUIFOBNFTPGUIFŢJOBODJBMJOTUJUVUJPOTBVUIPSJTFEBTNBSLFUNBLFST5IFTFOBNFTBSFQMBDFE JOEFTDFOEJOHPSEFSPGUIFBDUJWJUZJOEFYPGFBDIJOUFSNFEJBSZJOUIFQSFDFEJOHCSPLFSBHFQFSJPE 'JOBODJBM JOUFSNFEJBSJFT BSF BQQPJOUFE BT NBSLFU NBLFST GPS BO JOEFŢJOJUF QFSJPE PG UJNF QSPWJEFE UIBU UIFZ DPOUJOVFUPNFFUBMMBQQMJDBCMFSFHVMBUJPOTBOESFRVJSFNFOUT
.POFZ.BSLFU$FUFT 05$
Description 5IF'FEFSBM5SFBTVSZ#JMMT $&5&4 BSFPOFPGUIFMFBEJOHJOTUSVNFOUTJOUIF.FYJDBONPOFZNBSLFUBOEBSF DPNNPOMZ VTFE BT B CFODINBSL GPS ŢJOBODJBM USBOTBDUJPOT 4JODF $&5&4 IBWF CFFO UIF NBJO TPVSDF PG GFEFSBMHPWFSONFOUGVOEJOH$&5&4BSF[FSPDPVQPOCPOETXJUIŢMFYJCMFJOWFTUNFOUUFSNT JNNFEJBUFMJRVJEJUZ BOEBUUSBDUJWFZJFMET
Advantages: s *OWFTUPSTDBOŢJOEWBSJPVTNBUVSJUJFTJOUIF$&5&4NBSLFU XIJDIBMMPXTUIFNUPDPOTUSVDUQPSUGPMJPTUIBUUBLF MJRVJEJUZDPOTUSBJOUTJOUPBDDPVOU s $SFEJUSJTLJTMPX BTUIFTFDVSJUJFTBSFGVMMZCBDLFECZUIF.FYJDBOGFEFSBMHPWFSONFOU s 5IFSFJTBCSPBEBOEMJRVJETFDPOEBSZNBSLFUXIFSFUIFTFDVSJUJFTDBOCFTPME FJUIFSUISPVHISFQVSDIBTF BHSFFNFOUT SFQPTPS4QPU QSJPSUPNBUVSJUZ5IFZDBOBMTPCFVTFEJOTFDVSJUJFTMFOEJOHUSBOTBDUJPOT s 5IFSFUVSOPO$&5&4JTVTFEBTBSFGFSFODFJOUFSFTUSBUFGPSBMBSHFOVNCFSPGŢJOBODJBMUSBOTBDUJPOT TBGVUVSFT BOEPQUJPOT
Disadvantages: s -JLFBOZNPOFZNBSLFUJOTUSVNFOU $&5&4BSFTVCKFDUUPQSJDFŢMVDUVBUJPOT NBSLFUSJTL XIFOTPMECFGPSF NBUVSJUZ5IFSFGPSF UIFSFUVSOGPSJOWFTUPSTNBZOPUCFBTJOJUJBMMZQMBOOFE5IFMPOHFSUIFUJNFSFNBJOJOHVOUJM NBUVSJUZ UIFHSFBUFSUIFQSJDFŢMVDUVBUJPOT
Contract characteristics Issuer: Federal Government, via Banco de México Guarantee: Federal Government Amount: Variable Face value: MXN $10 pesos Maturity: CETES are normally issued for 28, 91, 175-182, and 364 days. To enhance marketability, CETES are fungible; that is, the number of issuances is reduced while the volume of placement is increased. Consequently, in a single one-year issuance, CETES are placed in maturity periods of 335 and 364 days and, for six-month issues, between 153 and 182 days. Yield: As any zero-coupon bond, the yield comes from the price discount rela- tive to par value. The return is obtained from the difference between the under-par purchase price and the redemption or sell price. The price is set freely in the market (OTC) in terms of interest rate or discount rate. However, CETES are normally quoted with yield rate. Amortization: Bullet payment on maturity $POUJOVFEPOOFYUQBHF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Contract characteristics (Continues) Placement: Public auction, multiple-price Deposits under management: Banco de México is the custodian of the securities. Intermediation: Banks and brokerage houses Ticker symbol: “BI”, year, month, and day (i.e. “BI100729” for a CETE to mature on July 29, 2010) Bloomberg Ticker: MPTBA BCMR
Main formulas
VN P 4) P = 1) TD = 1 - * 360 TR * n VN 1 + 360
TR + 360 TD * n 2) TD = 5) P = VN * 1 - 360 + TR* n 360
D 360 3) TR = * 6)P = VN - D P n
TR * n 7) D = VN * 360 + TR * n
8IFSF 1$&5&4QSJDF SPVOEFEUPEFDJNBMQMBDFT %%JTDPVOUJOQFTPT 7/'BDFWBMVFPG$&5&4 533FUVSOSBUFJOUIFQFSJPEhO vBTBQFSDFOUBHF 5%%JTDPVOUSBUFJOUIFQFSJPEhO vBTBQFSDFOUBHF O1FSJPEJOEBZT
Examples Spot trade "DPNQBOZXJTIFTUPJOWFTUJUTTVSQMVTDBTIJOBNPOFZNBSLFUJOTUSVNFOUBOEIPMEUIFJOTUSVNFOUVOUJM NBUVSJUZ$POTFRVFOUMZ JUBDRVJSFTEBZ$&5&4XJUIBOBOOVBMEJTDPVOUSBUFPG5IF$&5&4QSJDFJT QFTPTQFSTFDVSJUZ JF
£ 6% * 28 ¥ P = 10 * ²1< ´ = $9.9533 pesos per security ¤ 360 ¦
8JUIJOEBZT UIFDPNQBOZSFDFJWFTQFTPTQFSTFDVSJUZ5IFOPNJOBMSFUVSOPOUIFJOWFTUNFOUJT UIFSFGPSFBOOVBMMZ JF
£ 10.00 ¥ £ 360 ¥ Nominal rate of return = ² < 1´ * ² ´ = 6.0281% ¤ 9.9533 ¦ ¤ 28 ¦
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Outright trade "OJOWFTUPSBDRVJSFTEBZ$&5&4XJUIBOBOOVBMSBUFPGSFUVSOPG BUBQSJDFPGQFTPTQFSTFDVSJUZ XIJDIJTFRVJWBMFOUUPUIFQSFTFOUGBDFWBMVF JF
10 P = = $9.8261pesos per security £ 7% * 91¥ ²1+ ´ ¤ 360 ¦
"GUFSEBZT UIFJOWFTUPSOFFETDBTI BOEUIFSFGPSFEFDJEFTUPTFMMIJT$&5&4QPTJUJPOEBZTQSJPSUPNBUVSJUZ 5IFNBSLFUDPOEJUJPOTBSFGBWPVSBCMFTJODF$&5&4BSFJOEFNBOE BOEIFUIFSFGPSFNBOBHFTUPTFMMUIFQPTJUJPO BUBOOVBMMZGPSEBZT JNQMZJOHBQSJDFPGQFTPTQFSTFDVSJUZ
10 P = = $9.8875 pesos per security 1+ 6.50% * 63 360
$POTFRVFOUMZ UIFBOOVBMZJFMEHFOFSBUFEJTJOEBZT5IJTJTIJHIFSUIBOUIFBNPVOUJOJUJBMMZQMBOOFE BOEPWFSBTIPSUFSJOWFTUNFOUQFSJPE JF
£ $9.8875 ¥ £ 360 ¥ Yield = ² < 1´ * ² ´ = 31.79% ¤ $9.8261 ¦ ¤ 28 ¦
5IFZJFMEHFOFSBUFEJOUIFBCPWFFYBNQMFQSJNBSJMZEFQFOETPOUIFQSFWBJMJOHNBSLFUDPOEJUJPOT3FUVSOTBSF IJHIFSXIFOJOUFSFTUSBUFTESPQBOEMPXFSXIFOUIFSBUFTJODSFBTF
'JYFE3BUF.#0/04 6EJCPOPTBOE6.4
3.3.1. MBONOS (OTC)
Description .FYJDBO 'FEFSBM (PWFSONFOU %FWFMPQNFOU #POET XJUI B 'JYFE*OUFSFTU 3BUF .#0/04 BSF UIF MBUFTU TFU PG HPWFSONFOUTFDVSJUJFTUIFZBSFJTTVFEBOEQMBDFEGPSQFSJPETPGNPSFUIBOPOFZFBSBOEQBZŢJYFETFNJBOOVBM DPVQPOT 5IFQMBDFNFOUPGUIFTFCPOETQSPWJEFTFWJEFODFPGJOWFTUPSDPOŢJEFODFCPUIJOUIF.FYJDBOFDPOPNZBOEPG UIFGFEFSBMHPWFSONFOUTDPNNJUNFOUUPSFEVDJOHJOŢMBUJPOBSZBOETPWFSFJHOSJTLUISPVHIQSVEFOUNPOFUBSZBOE ŢJTDBMQPMJDJFT -POHUFSN'FEFSBM(PWFSONFOUCPOETIBWFCFFOJTTVFEXJUIUIFBJNPGFTUBCMJTIJOHBCFODINBSLSJTLGSFFSBUF DSFEJUSJTL BOEEFWFMPQJOHBNFEJVNBOEMPOHUFSNQSJWBUFEFCUNBSLFU.#0/04IBWFBCSPBETFDPOEBSZ NBSLFU*UJTOPXQPTTJCMFUPVOEFSUBLFPVUSJHIUTFMMT SFQVSDIBTFBHSFFNFOUT SFQPT BTXFMMBTTFDVSJUJFTMFOEJOH USBOTBDUJPOTPO.#0/04%JSFDUUSBOTBDUJPOTDBOCFNBEFCZRVPUJOHUIFJSDMFBOQSJDF CVUNBSLFUDPOWFOUJPOJT UPNBLFRVPUBUJPOTJOUFSNTPGZJFMEUPNBUVSJUZ
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Contract characteristics Name: Mexican Federal Government Development Bonds with a Fixed Interest Rate (MBONOS) Issuer: Mexican Federal Government Calendar: This is released each quarter in advance and the Bank of Mexico notifies the auction of MBONOS (of each maturity) on the Friday prior to the placement date Guarantee: Mexican Federal Government Amount: Variable Face value: 100 pesos Maturity: MBONOS may be issued for any maturity period provided that it is a multiple of 182 days, since they pay a fixed coupon every six months. However, to date they have been issued at periods of 3, 5, 10, 20 and 30 years. They are commonly known as BONOS M3, M5, M10, M20 and M30 Interest period: The securities accrue interest in pesos every six months (182 days) Interest rate: The interest rate payable is determined at the auction of government securities in line with the single-rate procedure Interest payment: The interest rate is fixed throughout the period and interest is paid every 182 days on the face value Payment of principal: At maturity Placement: In a primary auction for the corresponding maturity period with the frequency indicated in the quarterly placement schedule released by the Secretariat of Finance and Public Credit Ticker symbol: “M” plus a space followed by six digits identifying the bond’s maturity date (e.g. “M 130620” for the issue maturing June 20, 2013) Fungibility: Each issue’s interest rate is fixed from issuance to maturity, so that the bonds may not be interchangeable unless exactly the same interest rate is paid Bloomberg Tickers: “BCMR1
Formulas: Interest payment *OUFSFTUJTDBMDVMBUFECBTFEPOUIFOVNCFSPGFŇFDUJWFEBZTQBTTFECFUXFFOTFUUMFNFOUEBUFT CBTFEPOZFBSTPG EBZTBOEQBJEPODPNQMFUJOHFBDIPGUIFDPVQPOTFSJFT
Nj *TC Ij=VN* [ 360 ]
XIFSF *KJOUFSFTUQBZBCMFBUUIFFOEPGQFSJPEK 5$BOOVBMJOUFSFTUSBUFPODPVQPO 7/GBDFWBMVFPGUIFTFDVSJUZJO.9/
/KNBUVSJUZQFSJPEPGDPVQPOKJOEBZT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
1SJNBSZBVDUJPOTPGUFOPGGFSTFDVSJUJFTJTTVFEQSJPSUPUIFJSQMBDFNFOUEBUF*OUIFTFDBTFT UIFBVDUJPOT BSFQFSGPSNFEBUUIFJSDMFBOQSJDF JFXJUIPVUJOUFSFTUBDDSVFE5PMJRVJEBUFUIFTFTFDVSJUJFT JUJTOFDFTTBSZ UPBEEUIFJOUFSFTUBDDSVFEPOUIFDVSSFOUDPVQPOUPUIFBMMPDBUJPOQSJDFPGUIFBVDUJPO BDDPSEJOHUPUIF GPMMPXJOHGPSNVMB
dev d * TC I j = VN * 360
XIFSF EFW *K JOUFSFTUBDDSVFE SPVOEFEUPEFDJNBMQMBDFT EVSJOHUIFQFSJPEK 5$BOOVBMJOUFSFTUSBUFPOUIFDPVQPO 7/GBDFWBMVFPGUIFTFDVSJUZJO.9/ EEBZTQBTTFECFUXFFOUIFJTTVBODFEBUFPSMBTUJOUFSFTUQBZNFOU K XIJDIFWFSJTBQQMJDBCMF BOEUIFWBMVBUJPOEBUF
5IFHFOFSBMGPSNVMBGPSWBMVJOHUIFTFCPOETJTBTGPMMPXT
K d P = C j * Fj + Fk *VN C 1 * 1 N1 j =1
XIFSF 1DMFBOQSJDFPGUIFCPOE SPVOEFEUPEFDJNBMQMBDFT 7/GBDFWBMVFPGUIFTFDVSJUZJOQFTPT ,OVNCFSPGDPVQPOTQFOEJOHMJRVJEBUJPO JODMVEJOHDVSSFOUDPVQPO EOVNCFSPGEBZTQBTTFEJOUIFDVSSFOUDPVQPOQFSJPE
/KQFSJPEJOEBZTPGDPVQPOK C KDPVQPOK XIJDIJTPCUBJOFEBTGPMMPXT
N *TC C =VN J j * 360
5$BOOVBMDPVQPOJOUFSFTUSBUF 'KEJTDPVOUGBDUPSGPSKDBTIŢMPX0CUBJOFEVTJOHUIFGPSNVMB
1 FJ = d j- Nj N1 1–rj* [ 360 ]
SKSFMFWBOUJOUFSFTUSBUFGPSEJTDPVOUJOHDPVQPOK
)FODF .#0/04UPUBM EJSUZ QSJDFJTEFUFSNJOFECZUISFFEJŇFSFOUFMFNFOUTUIFQSFTFOUWBMVFPGUIFDPVQPOT UIFQSFTFOUWBMVFPGUIFQSJODJQBMBOEUIFJOUFSFTUBDDSVFEPOUIFDVSSFOUDPVQPO*UJTBMTPPCTFSWFEUIBUFBDI PGUIFDPVQPOTBOEUIFQSJODJQBMBSFEJTDPVOUFEBUBEJŇFSFOUJOUFSFTUSBUFGPSFBDIEJTDPVOUGBDUPS BOEJUJT UIFSFGPSFOFDFTTBSZUPLOPXPSUPBTTVNFBZJFMEDVSWFJOPSEFSUPEJTDPVOUFBDIPGUIFN *ONBOZNBSLFUT TFDVSJUJFTXJUIUIFDIBSBDUFSJTUJDTPG.#0/04BSFRVPUFECZUIFJSZJFMEUPNBUVSJUZ :5. 5IJTDBOCFEFŢJOFEBTUIFSFUVSOXIJDIUIFJOWFTUPSXJMMPCUBJOJGIFEFDJEFTUPIPMEUIFTFDVSJUZVOUJMNBUVSJUZ 5PEFUFSNJOFUIFQSJDFPGBO.#0/0 PODFJUTZJFMEPONBUVSJUZJTLOPXO JUJTOFDFTTBSZUPEJTDPVOUBUUIF TBNFSBUFBMMUIFDBTIŢMPXTPGUIFJOTUSVNFOU DPVQPOTBOEQSJODJQBM
,OPXJOHUIFTFDVSJUZT:5. GPSNVMB JTTJNQMJŢJFETJODFUIFSBUFTSKVTFEUPEJTDPVOUUIFWBSJPVTDBTIŢMPXT CFDPNFUIFTBNFJOBMMEJTDPVOUGBDUPST$POTFRVFOUMZ JG:5.JTLOPXOBOEUIFQFSJPEJOEBZTPGBMMDPVQPOT JTBTTVNFEUPCFFRVBM UIFPSJHJOBMGPSNVMBNBZCFFYQSFTTFEBTGPMMPXT
+ 1 − 1 + VN c c * − − R R * 1+ R K 1 1+ R K 1 d P = C * 2 d 1− 182 1+ R 182
XIFSF SSFUVSOPOBOOVBMNBUVSJUZ
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182 * TC 182 C = VN * R = r * 360 360
Example "OJOWFTUPSXJTIFTUPQVSDIBTFBMPOHUFSNŢJYFEJOUFSFTUJOTUSVNFOUBOEEFDJEFTUPJOWFTUJOŢJYFESBUF.#0/04 0O+VOFUI UIFGFEFSBMHPWFSONFOUJTTVFT.#0/04XJUIUIFGPMMPXJOHDIBSBDUFSJTUJDT s 'BDFWBMVF.9/ s *TTVBODFEBUF+VOFUI s .BUVSJUZEBUF+VOF s .BUVSJUZQFSJPE EBZT s $PVQPOSBUF s $PVQPOQFSJPEEBZT 0O+VMZ UIFGFEFSBMHPWFSONFOUEFDJEFTUPBVDUJPO.#0/04UPCFJTTVFEPO+VOFUI 5IFMJRVJEBUJPO EBUFPGUIFTFDVSJUJFTJT+VMZUI0OUIBUMJRVJEBUJPOEBUF UIFTFDVSJUJFTXJMMCF EBZTTIPSUPGNBUVSJUZBOE EBZTXJMMIBWFQBTTFEJOUIFŢJSTUDPVQPOQFSJPE5IFTFDVSJUZXJMMCFBVDUJPOFEJOUIFTBNFXBZBTJUXBTQMBDFE XIFOJTTVFE OBNFMZBUJUThDMFBOQSJDFv OFUPGJOUFSFTUBDDSVFE TPUIBUJOUFSFTUBDDSVFEPOUIFŢJSTUDPVQPONVTU CFBEEFEUPUIFBMMPDBUJPOQSJDFUPDBMDVMBUFUIFMJRVJEBUJPOPGSFTVMUT -FUVTTVQQPTFUIBUUIFJOWFTUPSXJTIFTUPQBSUJDJQBUFJOUIFBVDUJPOPGUIFTFTFDVSJUJFTQSFTFOUJOHBCJEXIJDIJT FRVJWBMFOUUPBOBOOVBMSFUVSOPG UPŢJOEUIFDPSSFTQPOEJOHDMFBOQSJDFGPSNVMB JTBQQMJFE
1 1 VN 4.4084 + 4.084 + 0.0455 0.0455 1.0455 5 1.0455 5 21 P = 4.4084 * = $ 99.273359 16 1 18 2 1.0455 18 2
5IFJOWFTUPSQSFTFOUTBCJEPGJOIJTBQQMJDBUJPOGPSFBDITFDVSJUZXIJDIIFJTXJMMJOHUPQVSDIBTF "TTVNJOHUIBUIJTCJEJTBMMPDBUFE PO+VMZUIFJOWFTUPSXJMMIBWFUPQBZGPSFBDITFDVSJUZ
21 * 0.0872 $=99.273359 + I dev = $ 99.273359 + 100 * $ 99.782026 360
*O DPODMVTJPO JU JT PG QBSBNPVOU JNQPSUBODF UP DBSFGVMMZ DPOTJEFS JO BEWBODF UIF QSJDF PG .#0/04 XIFO QVSDIBTFEBTMPOHUFSNŢJYFESBUFJOTUSVNFOUT TJODFBDIBOHFJOQSFWBJMJOHNBSLFUDPOEJUJPOTDPVMESFTVMUJO TJHOJŢJDBOUMPTTFT
3.3.2. UDIBONOS (OTC)
Description 6%*#0/04BSF.FYJDBO'FEFSBM(PWFSONFOU%FWFMPQNFOU#POET%FOPNJOBUFEJO*OŢMBUJPO*OWFTUNFOU6OJUT 6OJEBEFTEF*OWFSTJÑOPS6%* 5IFTFCPOETPŇFSBSFUVSOXIJDIQSPUFDUTJOWFTUPSTBHBJOTUJOŢMBUJPO QBZJOHB SFUVSOJOSFBMUFSNTFBDITFNFTUFSCBTFEPOBSFBMŢJYFEJOUFSFTUSBUFXIJDIJTEFUFSNJOFEPOUIFJTTVFEBUFPGFBDI TFDVSJUZ5IFZBSFSFDPNNFOEFEBTBNFEJVNBOEMPOHUFSNBTTFUJOWFTUNFOU 6%*#0/04BSFJEFBMGPSJOTUJUVUJPOBMJOWFTUPSTTVDIBTJOTVSBODFDPNQBOJFT QFOTJPOBOESFUJSFNFOUGVOET TJODF UIFTFTFDVSJUJFTBMMPXTBWJOHTHSPXUIJOSFBMUFSNTGPSOBUJPOBMT6%*#0/04BSFBWBJMBCMFJOUIFTFDPOEBSZNBSLFU XIJDIFOBCMFTUIFJSTFMMQSJPSUPNBUVSJUZ )PXFWFS TPNFESBXCBDLTDPVMECFIJHIMJHIUFE5IFOPNJOBMSFUVSOJTTFBTPOBM TJODFJUEFQFOETPOOPOTFBTPOBM BEKVTUFE$1*WBSJBUJPOTXIFOJOŢMBUJPOEJNJOJTIFT TPEPFTUIFSFUVSO UIFSFGPSFJUDPVMEJNQMZIJHIPQQPSUVOJUZ DPTUT"MTP BTBOZPUIFSMPOHUFSNJOTUSVNFOU MJRVJEJUZQSPCMFNTNBZBSJTFJODBTFPGTIBSQNBSLFUDPSSFDUJPOT 5IF#BODPEF.ÈYJDPDPNQVUFTUIF6%*CBTFEPOUIFCJXFFLMZJOŢMBUJPOJOEFY SFMFBTFEUXJDFBNPOUIXJUI
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EBZTMBH 0OUIFUIBOEUIPGFBDINPOUI UIF#BODPEF.ÈYJDPUBLFTJOUPBDDPVOUUIFQSJPSEBZ$1* WBSJBUJPOBOEVOJGPSNMZQSPKFDUTUIFMFWFMPGUIF6%*GPSUIFOFYUEBZT PSVOUJMUIFOFYUEBZPG6%*DPNQVUBUJPO
Contract characteristics Issuer: Mexican Federal Government, via the Banco de México Amount: Variable issuance, according to a quarterly calendar Face value: 100 UDIS Maturity: They can be issued for any tenor, provided it accounts for 182-day coupons. Current issuances are 3, 5, 10 and 30 years Ticker symbol: UDIBONOS are not fungible because they have a different fixed real interest rate. The identification code is a letter “S” followed by a space and then a six-figure maturity date (yy/mm/dd). E.g. a 10-year UDIBONO maturing on June 13, 2019 is: “S190613” Placement: Primary auction Interest payment period: UDIBONOS pay interest in MXN every six months (182 days) Interest rate: Fixed by the federal government upon issuance of the securities and is specified to investors in the primary auction Return: The return in domestic currency on the UDIBONOS depends on acquisition price, interest rate (coupon) corresponding to 182 days, value of UDIS and capital gains obtained on the difference between acquisition price and sell price Amortization: Single bullet payment on maturity, face value of the securities converted into domestic currency Conversion to domestic currency: Placement and payment is in MXN which is converted at the value of the UDI released on the day of payment Secondary market: UDIBONOS may be listed in the secondary market at Yield To Maturity (YTM). In trading, the amount is expressed in current pesos, but at settlement the amount is actualized through UDI exchange rate in relation to face value Bloomberg Tickers: “MUDI Govt”; “UDI Curncy” Further references: http://www.banxico.org.mx/sitioingles/portalesEspecializados/ tasasInteres/auctplacesec.html http://www.banxico.org.mx/politica-monetaria-e-inflacion/estadis- ticas/inflacion/indices-precios.html (for UDI statistics)
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Formula (clean price)
182 1 1 1 T * * 1+ − + c T 182 c −1 c −1 360 r * T * 182 * 1+ T * 182 1+ T * 182 360 r 360 r 360 r 360 P = VN DCV * 1+ T * 182 PCV r 360
XIFSF 1QSJDFPGPOF6%*#0/0JO6%*4
5DDPVQPOSBUFFYQSFTTFEJOBOOVBMUFSNT
5SSFBM:5.FTQSFTTFEJOBOOVBMUFSNT $OVNCFSPGDPVQPOTMFGUUPSFEFFN %$7EBZTUPNBUVSJUZJODVSSFOUDPVQPO 1$7QFSJPEPGDVSSFOUDPVQPO 7/GBDFWBMVFPGB6%*#0/0
7/"O7/ 6%*O XIFSF 7/"OGBDFWBMVFBEKVTUFEJOQFTPTUPEBZhOv 7/GBDFWBMVF 6%*4 6%*OWBMVFPGUIF6%*BUEBZhOv OSFGFSFODFEBZ
Examples "OJOTVSBODFDPNQBOZXBOUTUPQVSDIBTFBTFDVSJUZUIBUQSPWJEFTBSFUVSOBCPWFJOŢMBUJPO BOEUIFSFGPSFEFDJEFT UPBDRVJSF 6%*#0/04NBUVSJOHJO EBZT XJUIBDPVQPOSBUFPG DPVQPOTGPSSFEFNQUJPO EBZTUPSFEFFNUIFDVSSFOUDPVQPOBOEBSFBMSBUFPG 8FSFQMBDFUIFEBUBJOQSFWJPVTGPSNVMB UPDBMDVMBUFUIFQVSDIBTFQSJDFBTGPMMPXT
182 1 1 1 7.0% * * 1+ − + 182 6−1 6−1 360 7.5% * 7.5% * 182 * 1+ 7.5% * 182 1+ 7.5% * 182 360 360 360 360 P = * 100 150 1+ 7.5% * 182 182 360
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182 1 1 1 7.0% * * 1+ < + 182 5<1 5<1 360 7.5% * 7.5% *182 * 1+ 7.5% *182 1+ 7.5% *182 360 360 360 360 P * 100 150 1+ 7.5% * 182 182 360
.9/.9/ 4VNNBSJTJOH UIFDBTIŢMPXTBSFBTGPMMPXT 1VSDIBTFPG 6%*#0/04TFDVSJUJFT.9/ .9/ $PVQPOQBZNFOU.9/ .9/ 4FMMPG 6%*#0/04TFDVSJUJFT.9/ .9/ 5PEFUFSNJOFUIFOPNJOBMSFUVSOPOUIFJOWFTUNFOU XFOFFEUPDBMDVMBUFUIFJOUFSOBMSBUFPGSFUVSO *33 BU EBZTVTJOHUIFŢMPXTJOUIFBCPWFUBCMF5IVT
$ 5,934.1 $ 168,956.973 0 = MXN $ 154 ,161 ,713 + + 150 TIR * 182 182 TIR * 182 1 + 1 + 360 360
4PMWJOHGPS5*3 XFPCUBJOBOPNJOBMSFUVSOPGGPSEBZT 5PWFSJGZUIBUJOFŇFDUUIFSFBMSBUFPCUBJOFEXBT XFEJTDPVOUFEUIFOPNJOBMSFUVSO FŇFDUJWFJOŢMBUJPOBT GPMMPXT
26.76% −182 1+ 360 T.real = 360 − 1 * = 7.5% 1.697768 182 1.552272
"TWFSJŢJFEBCPWF UIFJOWFTUPSPCUBJOFEBSFBMSFUVSOPGPOIJTJOWFTUNFOU UIFNBJOWJSUVFPGUIF6%*#0/04 CFJOHUIBUUIFZFOTVSFBOBCPWFJOŢMBUJPOJODSFBTFJOUIFJOWFTUNFOU
3.3.3. Sovereign Bonds: UMS (OTC)
Description 6OJUFE.FYJDBO4UBUFT4PWFSFJHO#POET 6.4 BSFŢJYFEJODPNFJOTUSVNFOUTJTTVFECZUIFGFEFSBMHPWFSONFOUJO JOUFSOBUJPOBMDBQJUBMNBSLFUT&BDIJTTVBODFIBTTQFDJŢJDDIBSBDUFSJTUJDT UFSN DVSSFODZDPVQPOT FUD 6.4CPOET BSFQSFGFSSFECZGPSFJHOJOWFTUPSTPWFSPUIFS-BU"NJTTVFSTEVFUPUIFJSJOWFTUNFOUHSBEFTUBUVTBOEMJRVJEJUZ -JLFNBOZDPVOUSJFTJO-BUJO"NFSJDB .FYJDPJTTVFEBTJ[FBCMFBNPVOUPGFYUFSOBMEFCUJOUIFTBOET*O UIFXBLFPGUIFDSJTJT TFWFSBMEFCUSFTUSVDUVSJOHQSPHSBNTIBEUPCFVOEFSUBLFO ŢJSTUUISPVHICBOLMPBOTXJUI NPSFGBWPVSBCMFDPOEJUJPOTGPSUIFDPVOUSZ CVUXJUIMJNJUFEBDDFTTUPEFCUDBQJUBMNBSLFUT5IJTCBDLHSPVOEMFE UPBOPWFMQSPHSBNUIBUSFQMBDFECBOLMPBOTXJUICPOEJTTVBODFTUPGBDJMJUBUFUIFSFUVSOPGDBQJUBMJOŢMPXTUPXBSET -BUJO"NFSJDB5IJTJOJUJBUJWFXBTUIFCSBJODIJMEPGUIFUIFO644FDSFUBSZPGUIF5SFBTVSZ /JDIPMBT#SBEZ BOE XBTXJEFMZBDDFQUFECZEFCUPSTBOEDSFEJUPSTBMJLF TJODFJUHFOFSBUFENVUVBMCFOFŢJUT5IVTCFHBOUIFFSBPGUIF #SBEZ#POET"HBJOTUUIJTCBDLESPQ JUXBTJO.BSDIXIFO.FYJDPJNQMFNFOUFEUIFSFTUSVDUVSJOHBHSFFNFOU
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
PGJUTFYUFSOBMEFCUXJUICBOLJOHDSFEJUPST UISPVHIXIJDIBTJHOJŢJDBOUQPSUJPOPGUIFEFCUXBTDPOWFSUFEJOUPUXP EJŇFSFOUDPNQPOFOUT h%JTDPVOUv#SBEZ#POETXIJDIPŇFSFEBEJTDPVOUPOUIFJSQSFWJPVTGBDFWBMVFBOEBWBSJBCMFJOUFSFTU SBUF PG CBTJT QPJOUT PWFS -*#03 SFWJTBCMF FWFSZ TJY NPOUIT BOE GPS BO BNPVOU PG 64% NJMMJPO h1BSv #SBEZ #POET XJUIPVU EJTDPVOU CVU BU B GJYFE JOUFSFTU SBUF PG BOE GPS BO BNPVOU PG 64% NJMMJPO #PUICPOETXFSFJTTVFEGPSBZFBSQFSJPE NBUVSJOHPO%FDFNCFSTU 5IFSFXFSFUXPUZQFTPGHVBSBOUFF POFPONPOUITPGJOUFSFTUQBZNFOUT UISFFDPVQPOT BOEBOPUIFSHVBSBOUFFJOHUIFQSJODJQBMDPWFSFEXJUI 64% NJMMJPOJO[FSPDPVQPO645SFBTVSZ#POET BMTPNBUVSJOHBGUFSZFBST5IFTFCPOETBMTPQSPWJEFE UIFJSIPMEFSTXJUIhWBMVFSFDPWFSZSJHIUT vBDUJOHBTXBSSBOUTPOUIFQSJDFPG.FYJDBOPJMJOUIFFWFOUUIBUDFSUBJO MFWFMTXFSFFYDFFEFE UIVTBMMPXJOHIPMEFSTUPCFOFŢJUGSPNUIFJODSFBTFJOPJMQSJDFT *O"QSJM UIFGFEFSBMHPWFSONFOUPŇFSFE#SBEZ#POEIPMEFSTUIFPQQPSUVOJUZUPFYDIBOHFUIFTFJOTUSVNFOUT GPS B OFX (MPCBM #POE NBUVSJOH JO LOPXO BT 6.4 5IF 6.4 CPOE EJE OPU JODMVEF UIF DPMMBUFSBM HVBSBOUFFPG64USFBTVSZCPOET BOEUIF.FYJDBO(PWFSONFOUBTTVNFEBMMUIFSJTL5IFSFGPSF 6.4CPOETQBZ BMBSHFSDPVQPOUIBO#SBEZ#POET
Mexico: Long-Term Foreign Public Debt: UMS and Foreign Currency Debt Total (% GDP and outstanding) S&P´s Fitch Moody´s 58.7 48.8 51.1 BBB dic-09 BBB nov-09 Baa1 ene-05 42.5 46.5 42.7 38.6 BBB+ oct-07 BBB+ sep-07 Baa2 feb-02 36.1 37.0 34.7 BBB ene-05 BBB dic-05 Baa3 mar-00 12.4 13.9 13.0 12.8 8.7 8.7 10.0 BBB- feb-02 BBB- ene-02 Ba1 feb-00 11.4 10.8 7.8 7.0 6.7 6.7 BB+ mar-00 BB+ may-00 Ba1 ago-99 5.7 6.2 6.0 5.5 4.1 3.6 3.2 BB feb-95 BB abr-00 Ba2 jun-99 00 01 02 03 04 05 06 07 08 09 UMS (% GDP) Total (% GDP) BB+ jul-92 BB ago-95 Ba2 feb-99 Outstanding (USD billions)
/PUFTEBSLCMVFEPXOHSBZVQBOECMBDLOFVUSBM 4PVSDF##7"3FTFBSDIXJUI4)$1EBUB 4PVSDF##7"3FTFBSDIXJUI#MPPNCFSH
*O.BZBOE+VOF UIFHPWFSONFOUBOOPVODFEUIFFBSMZBNPSUJ[BUJPOPG#SBEZ#POET 64%CJMMJPO UISPVHI XIJDIUIFHPWFSONFOUDPNQMFUFMZTFUUMFEJUTGPSFJHOQVCMJDEFCUBTTPDJBUFEXJUIUIFSFOFHPUJBUJPOPGUIFT 5PŢJOBODFQBSUPGUIFPQFSBUJPO UIFGFEFSBMHPWFSONFOUQMBDFEUXPHMPCBMCPOETXJUINBUVSJUJFTPGBOE ZFBSTUPUBMMJOH64%CJMMJPOBOEQBZJOHDPVQPOTPGBOE SFTQFDUJWFMZ'VSUIFSNPSF UIFTFJTTVBODFT JODMVEFEUIF$PMMFDUJWF"DUJPO$MBVTFT $"$ XIJDIGBDJMJUBUFUIFSFOFHPUJBUJPOQSPDFTT JGOFDFTTBSZ
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UMS: Portfolio Diversification by Currency (% total) UMS: Portfolio Duration (years)
8.9 8.6
7.2 7 JPY
CHF; 1% 5% 4.6 GBP; 2% EUR 9% 83% 2.1 USD
USD EUR GBP CHF JPY Weigth Avg.
4PVSDF##7"3FTFBSDIXJUI4)$1EBUB 4PVSDF##7"3FTFBSDIXJUI4)$1EBUB
5IFGFEFSBMHPWFSONFOUIBTDIBOHFEUIFQSPŢJMFBOEDPNQPTJUJPOPGJUTFYUFSOBMEFCUDPOTJEFSBCMZ BOEIBTFWFO SFEVDFEJUTUPUBMBNPVOUWJBWBSJPVTPQFSBUJPOTUIBUIBWFFOBCMFEUIFNBUVSJUZQFSJPEUPCFFYUFOEFE HVBSBOUFFT UP CF SFEVDFE BOE ŢJOBODJOH DPTUT UP EJNJOJTI $POTFRVFOUMZ UPUBM GPSFJHO QVCMJD EFCU IBT CFFO TJHOJŢJDBOUMZ SFEVDFEGSPNPG(%1JOUPPG(%1 64%CJMMJPO JOBOEJO 64%CJMMJPO 5PUBMPVUTUBOEJOH6.4EFCUTUPPEBUPGUPUBMGPSFJHOQVCMJDEFCUCZUIFFOEPG
UMS: Portfolio Diversification UMS: Portfolio by Currency (% total) Diversification by Rate (% total) 2.8 2.5 2.1 2.0 1.0 0.2 7.4 7.9 7.9 3.72.8 2.9 2.9 22.1 21.5 13.5 7.73.9 4.0 4.5 3.5 3.6 4.2 0.5 0.2 0.2 5.6 5.4 4.7 4.8 7.2 7.9 9.7 9.0 3.1 1.9 15.2 9.2 10.4 12.3 9.0 18.6 11.3 16.7 18.4 14.5 15.2 16.2 17.7 96 78.5 92.3 95.8 96.5 99.8 96.1 77.9 95.5 86.5 99.5 96.4 99.8 73.8 75.1 70.5 73.8 76.7 76.0 80.5 78.9 81.7 77.7 82.0 80.1 83.1 1998 1998 1999 1999 2001 2010 2001 2010 2003 2007 2003 2002 2005 2007 2002 2005 2004 2004 2008 2008 2009 2006 2009 2006 2000 2000 USD EUR JPY Other Fixed-Rate Floating-Rate
4PVSDF##7"3FTFBSDIXJUI4)$1EBUB 4PVSDF##7"3FTFBSDIXJUI4)$1EBUB
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UMS characteristics Guarantee: Federal government Amount & currencies: Variable in US dollars (mainly), Euro, JPY, and other currencies Placement: Global markets Guarantee: Mexican Federal Government Maturity: The yield curve is complete, with maturity periods ranging from six months to 30 years, and they are among the most liquid emerging bonds while their financial characteristics have made it a reference for private debt issuances in foreign currency Issue price: The notes may be issued at par, or at a premium over, or discount to, par and either on a fully paid or partially paid basis Coupon: Half-yearly or yearly payments based on the US Treasury Bond yield plus a Mexican sovereign risk premium Yield: UMS could pay a fixed or floating coupon rate. In the latter case, the base rate could be the CD Rate, Commercial Paper Rate, EURIBOR, LIBOR, Federal Funds Rate, Treasury Rate, or any other Redemption, repurchase In some cases, Mexico has the option to redeem or discretionarily and early repayment: repurchase in whole or in part any note under contract terms Taxes: Subject to exceptions, Mexico makes all payments on the notes without withholding or deducting any Mexican taxes )FSFGPMMPXTBTVNNBSZPGUIF6.4JTTVBODFTPVUTUBOEJOHVQUP+VMZ
Bloomberg Amount Issue Year to Ticker ISIN Maturity Outstanding date Aturity Duration Coupon EC503543 Corp US91086QAH11 14-Jan-12 864,137,000 14-Jan-02 1.49 1.41 7.500 EC816262 Corp US91086QAK40 16-Jan-13 1,191,414,000 16-Jan-03 2.50 2.33 6.375 EF285422 Corp US9108M0AB33 15-Feb-13 3,030,000 24-Feb-06 2.58 2.38 5.100 ED177627 Corp US91086QAQ10 15-Jan-14 1,291,108,000 14-Oct-03 3.50 3.20 5.875 EH722075 Corp US91086QAX60 17-Feb-14 1,500,000,000 17-Feb-09 3.59 3.20 5.875 EC880518 Corp US91086QAL23 3-Mar-15 1,343,649,000 3-Mar-03 4.63 3.99 6.625 TT330484 Corp US593048BA88 15-Sep-16 1,681,197,000 24-Sep-96 6.17 4.72 11.375 EF312914 Corp US91086QAU22 15-Jan-17 3,500,000,000 10-Mar-06 6.51 5.56 5.625 EH664032 Corp US91086QAW87 19-Mar-19 3,000,000,000 23-Dec-08 8.69 6.87 5.950 EC366269 Corp US593048BN00 30-Dec19 1,352,366,000 30-Mar-01 9.47 7.09 8.125 EI 106006 Corp US91086QAY44 15-Jan-20 2,000,000,000 15-Jan-10 9.52 7.67 5.125 EC 690671 Corp US91086QAJ76 24-Sep-22 714,348,000 24-Sep-02 12.22 8.43 8.000 ED301508 Corp XS0184889490 6-Feb-24 476,526,000 9-Feb-04 13.59 9.12 6.750 TT325005 Corp US593048AX90 15May-26 338,580,000 7-May-96 15.87 9.37 11.500 EC434486 Corp US91086QAG38 15Aug-31 1,641,047,000 13-Aug-01 21.14 11.48 8.300 EC933575 Corp US91086QAN88 8-Apr-33 1,105,207,000 11-Apr-03 22.79 12.28 7.500 ED626293 Corp US91086QAS75 27-Sep-34 3,333,444,000 27-Sep-04 24.27 12.92 6.750 EH154466 Corp US91086QAV05 11-Jan-40 3,250,000,000 11-Jan-08 29.57 14.65 6.060
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'MPBUJOH3BUF/PUFT '3/ *1"##POET #1" #1"5 #1"
Description #BOLEFQPTJUQSPUFDUJPOCPOETBSFMPOHUFSNDSFEJUTFDVSJUJFTQBZJOHJOUFSFTUFWFSZEBZT #1"T EBZT #1"5T PSEBZT #1"T 5IFJOUFSFTUSBUFGPSUIFTFTFDVSJUJFTDBOCFBEKVTUFEXJUIJOUIFTBNFQFSJPE 5IF *OTUJUVUF GPS #BOL %FQPTJU *OTVSBODF *1"# JTTVFT UIFTF CPOET JO PSEFS UP NFFU JUT QBZNFOU PCMJHBUJPOT QSPWJEFMJRVJEJUZUPJUTTFDVSJUJFT BOEJNQSPWFJUTEFCUNBUVSJUZQSPŢJMF5IFSFJTBCSPBECBTFETFDPOEBSZNBSLFU GPSUIFTFTFDVSJUJFT5PEBZ JUJTQPTTJCMFUPDBSSZPVUPVUSJHIUTFMMT SFQVSDIBTFBHSFFNFOUT SFQPT BOETFDVSJUJFT MFOEJOHUSBOTBDUJPOT
Contract characteristics Issuer: Institute for Bank Deposit Insurance (IPAB) Calendar: The IPAB provides advance notice of its calendar of issuances on a quarterly basis. The Bank of Mexico issues notification of the auction of BPAs and BPATs on the Friday preceding the placement date Guarantee: Federal government Placing agent: Banco de México Amount: Variable Face value: MXN100 Maturity: - BPAs can be issued for any term multiple of 28 days (28-day CETES as the coupon reference). So far, only 1- to 3-year maturities have been issued. - BPATs can be issued for any term multiple of 91 days (91-day CETES as the coupon reference). So far, only 5-year (1820-day) maturities have been issued. - BPA182s can be issued for any term multiple of 182 days (182-day CETES as the coupon reference). So far, only 7-year (2548-day) maturities have been issued Interest rate: - For BPAs, the interest rate is the rate of return on 28-day CETES as determined in a primary auction. - For BPATs, the interest rate is the rate of return on 91-day CETES as determined in a primary auction. Interest is payable every 91 days or during an alternate period in the event of any non-trading days. - For BPA182s, the interest rate is composed of a market reference rate determined at the beginning of each interest period, and an option for protection against inflation Reference rate: - The reference rate is the rate of return on 28, 91, and 182-day CETES issue in a primary auction. Inflation protection: - Whenever the percentage increase of an inflation-indexed investment unit (UDI) over the interest period is greater than the 182-day CETE return, the security pays the holder the reference rate, plus an inflationary premium (difference between the percentage increase in the UDI value and the reference return). $POUJOVFEPOOFYUQBHF
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Contract characteristics (Continues) Yield: The yield is referenced to the face value of the securities and the interest rate accrued on the acquisition value of the securities. When an issuance is purchased at maturity, the return is a capital gain, plus the net interest paid while the security was held. When a transaction is performed prior at maturity, the return is the capital gain between the acquisition price and the sell price, plus the net interest for each of the monthly periods Interest payment: - BPAs: every 28 days on face value - BPATs: every 91 days on face value - BPA182s: every 182 days on face value Payment At maturity of principal: Placement: In primary auction (these securities are currently auctioned on Wednesdays) Deposits under Custody is performed by Indeval, which in turn deposits the securities in the central management: deposits of the Banco de México Intermediation: Banks and brokerage houses Secondary market: IPAB bonds may be traded on the secondary market based on their clean price or their yield at maturity Ticker symbol: - BPAs: “IP” plus six digits for the maturity date: year, month, and day (i.e. “IP110804” for a BPA maturing on 4 August 2011) - BPATs: “IT” plus six digits for the maturity date: year, month, and day (i.e. “IT150702” for a BPAT maturing on 2 July 2015) - BPA182: “IS” plus six digits for the maturity date: year, month, and day (i.e. “IS170629” for a BPA182 maturing 29 June 2017) Official reference: http://www.banxico.org.mx/sitioingles/portalesEspecializados/tasasInteres/ auctplacesec.html
Formula for BPAs
8IFSF 11SJDFPG*1"#CPOE %'DVQ%BZTMFGUPODVSSFOUDPVQPO %53"/DVQ%BZTFMBQTFEJODPVQPOQFSJPE 5DVQ$PVQPOSBUF 451SFNJVN $5-BTULOPXOSBUF $&5&4 //VNCFSPGDPVQPOTUPCFSFEFFNFE
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Formula for BPATs
CT 1 - CT + ST CT Tcup * 91 + + N 1 CT + ST * 91 CT + ST 360 + 1 360 Tcup * DTRANcup P = 100 * DFcup 360 CT + ST * 91 91 + 1 360
8IFSF 11SJDFPG*1"#CPOE %'DVQ%BZTMFGUPODVSSFOUDPVQPO %53"/DVQ%BZTFMBQTFEJODPVQPOQFSJPE 5DVQ$PVQPOSBUFEFŢJOFEBUBXFFLMZBVDUJPO 451SFNJVN $5-BTULOPXOSBUFJOUIFNBSLFU EBZ$&5&4 //VNCFSPGDPVQPOTUPCFSFEFFNFE
Formulas for BPA182s Protection against Inflation (PaI)
UDIJ N NJ J 360 PaI = 1 CT 182 J UDI 360 N J1 j
8IFSF
6%*+/+6%*WBMVFDPSSFTQPOEJOHUPUIFQBZNFOUEBZPGDPVQPO+
6%*+6%*WBMVFDPSSFTQPOEJOHUPUIFŢJSTUEBZPGDPVQPO+
/K6%*5FSNPGDPVQPO+JOEBZT 182 $5 KEBZ$&5&JOUFSFTUSBUFJTTVFEJOUIFQSJNBSZBVDUJPOBUUIFCFHJOOJOHPGDPVQPO+
CT 1 - CT + ST + CT + Tcup * 182 CT + ST * 182 N 1 CT + ST 360 + 1 360 Tcup * DTRANcup P = 100 * < DFcup 360 CT + ST * 182 182 + 1 360
8IFSF 11SJDFPG*1"#CPOE %'DVQ%BZTMFGUPODVSSFOUDPVQPO %53"/DVQ%BZTFMBQTFEJODPVQPOQFSJPE 5DVQ$PVQPOSBUFEFŢJOFEBUBXFFLMZBVDUJPO 451SFNJVN //VNCFSPGDPVQPOTUPCFSFEFFNFE
UDI J NJ 360 CT = max CT 182 J , 1 UDI N j J1
Example of BPAs "OJOWFTUPSJOUFSFTUFEJOPCUBJOJOHBHPPESFUVSOXJUIPVUNBLJOHBEJSFDUJPOBMCFUPOJOUFSFTUSBUFTXJTIFTUP QVSDIBTFBMPOHUFSNJOTUSVNFOUPŇFSJOHBŢMPBUJOHJOUFSFTUSBUF5IFJOWFTUPSUIFSFGPSFEFDJEFTUPJOWFTUJO#1"T
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
5IF JOWFTUPS EFDJEFT UP BDRVJSF PO UIF TFDPOEBSZ NBSLFU #1" TFDVSJUJFT XJUI EBZT UP NBUVSJUZ USBEJOHBUBQSFNJVNPGQFSDFOUBHFQPJOUT XJUIDPVQPOSFWJTJPOFWFSZEBZT TJNJMBSUPUIFXBZ#1"5TBSF DBMDVMBUFE XJUISFQSJDJOHFWFSZEBZT 5IFSFBSFDPVQPOTMFGUUPSFEFFNBOEEBZTIBWFFMBQTFEJOUIF DVSSFOUDPVQPOQFSJPE5IFSFBSFEBZTUPNBUVSJUZBOEUIFSBUFQBJEJT DPVQPOSBUF 5IFMBTULOPXO SFGFSFODFSBUFJT EBZ$&5&4JOUIFQSJNBSZBVDUJPO "QQMZJOHUIFDMFBOQSJDFGPSNVMB UIFVOJUQSJDFPGUIF*1"#CPOETJTPCUBJOFEBTGPMMPXT
8.06% 1- ³ 8.06% + 0.78% 8.06% 6.89% * 28 µ ³ + + ()38<1 + µ ³ £ ()8.06% + 0.78% * 28 ¥ 8.06% 0.78% 360 µ ² + 1´ ³ ² 360 ´ 6.89% * 14 µ P = 100 * ³ ¤ ¦ < µ £ 14 ¥ ³ ² ´ 360 µ £ ()8.06% + 0.78% * 28 ¥¤ 28 ¦ ³ ² + 1´ µ ³ ² 360 ´ µ ³ ¤ ¦ µ ³ µ
5IFDMFBOQSJDFPGFBDITFDVSJUZJTBTGPMMPXT 1.9/ 5IJTJTUIFQSJDFPGFBDI*1"#CPOE XJUIPVUJOUFSFTU 5IJTQSJDFNVTUCFJODSFBTFECZUIFJOUFSFTUUIFJOWFTUPSXJMMSFDFJWFPOUIFOFYUDPVQPOBNPSUJ[BUJPODPSSFTQPOEJOH UPUIFEBZTJOXIJDIIFEJEOPUPXOUIFTFDVSJUJFT BDDSVFEJOUFSFTU 5IFJOUFSFTUPOUIFEBZTJT
£ 6.89% * 14 ¥ = interest² ´ * 100 $0.267944 ¤ 360 ¦
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
8.15% 1- ³ 8.15% + 0.67% 8.15% 6.80% * 28 µ ³ + + ()37<1 + µ ³ £ ()8.15% + 0.67% * 28 ¥ 8.15% 0.67% 360 µ ² + 1´ ³ ² 360 ´ 6.80% * 7 µ P = 100 * ³ ¤ ¦ < µ £ 21 ¥ ³ ² ´ 360 µ £ ()8.15% + 0.67% * 28 ¥¤ 28 ¦ ³ ² + 1´ µ ³ ² 360 ´ µ ³ ¤ ¦ µ ³ µ
5IFDMFBOVOJUTFMMQSJDFGPSFBDITFDVSJUZJT.9/
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5IJTQSJDFNVTUCFJODSFBTFECZUIFJOUFSFTUGSPNUIFEBZTPGUIFDVSSFOUDPVQPOEVSJOHXIJDIUIFJOWFTUPS PXOFEUIFTFDVSJUJFT
6.80% * 7 interest = * 100 = $0.132222 360
$POTFRVFOUMZ GPSFBDITFDVSJUZUIFJOWFTUPSXJMMSFDFJWF %JSUZQSJDF.9/ .9/ %JSUZQSJDF.9/ 5IJTJTUIFQSJDFUIFJOWFTUPSXJMMSFDFJWFGPSFBDITFDVSJUZIFTFMMT *GUIFJOWFTUPSTFMMT PGUIF TFDVSJUJFTPXOFE IFXJMMSFDFJWFBUPUBMPG.9/ 5IJTZJFMETBDBQJUBMHBJOPG.9/ *OUIJTDBTF CFDBVTFPGUIFNBSLFUDPOEJUJPOT UIFJOWFTUPSPCUBJOFEBDBQJUBMHBJO)PXFWFS EFQFOEJOHPOUIF QSFWBJMJOHDPOEJUJPOTJOUIFTFDPOEBSZNBSLFU UIFSFJTBSJTLUIBUJOWFTUPSTNBZFJUIFSHBJOPSMPTFPOUIFTF JOWFTUNFOUT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
*OUFSFTU3BUF%FSJWBUJWFT
General Background 5IFNPTUVTFEEFSJWBUJWFJOTUSVNFOUTJOUIF.FYJDBONPOFZNBSLFUBSF'PSXBSE3BUFBHSFFNFOUT '3" *OUFSFTU 3BUF4XBQT *34 'VUVSFTBOE4XBQ'VUVSFTSFGFSFODFEUPUIFEBZ*OUFSCBOL&RVJMJCSJVN*OUFSFTU3BUF 5**& *OŢMBUJPO 6%* EBZ$&5&4SBUF BOE.#0/04SBUFT5IFSFBSFBMTP$SPTT$VSSFODZ#BTJT4XBQT $$#4 XIJDI JOWPMWFUIFFYDIBOHFPGQSJODJQBMBOEDPVQPOTEFOPNJOBUFEJOEJŇFSFOUDVSSFODJFT 5IF5**&JTUIFNBJOSFGFSFODFSBUFJOUIFJOUFSCBOLNBSLFU*UXBTJOUSPEVDFEJO.BSDIXJUIBEBZUFOPS BOEIBTCFFODPNQVUFEPOBEBJMZCBTJTTJODF.BSDI*O+BOVBSZ UIFEBZ5**&XBTJOUSPEVDFEBOE DBMDVMBUFEPOBEBJMZCBTJT5IFBOEEBZ5**&BSFDPNQVUFEVTJOHDPNNFSDJBMCBOLRVPUFTGPS$FOUSBM#BOL SFTPVSDFT *OBEEJUJPOUPUIF5**& CBOLBOEHPWFSONFOUGVOEJOHSBUFTDBOCFVTFEBTSFQSFTFOUBUJWFSBUFTGPSXIPMFTBMF PQFSBUJPOTDBSSJFEPVUCZCBOLTBOECSPLFSBHFŢJSNT s 5IF#BOLGVOEJOHSBUFJTBXFJHIUFEBWFSBHFGPSPOFEBZSFQPBOEPOFEBZPVUSJHIUUSBOTBDUJPOTXJUICBOL QSPNJTTPSZ OPUFT DFSUJŢJDBUFT PG EFQPTJU BOE CBOLFST BDDFQUBODFT TFUUMFE UISPVHI UIF .FYJDBO EFMJWFSZ WFSTVTQBZNFOU %71 TZTUFN*/%&7"- TFDVSJUJFTDMFBSJOHIPVTF s 5IF(PWFSONFOUGVOEJOHJTBSFQSFTFOUBUJWFJOUFSFTUSBUFPOPOFEBZSFQPUSBOTBDUJPOTXJUIHPWFSONFOU TFDVSJUJFTTFUUMFEUISPVHI*/%&7"-*OBTFQBSBUFDBMDVMBUJPO UIFGVOEJOHSBUFGPSTFDVSJUJFTXJUITPWFSFJHOSJTL JTDPNQVUFEJODMVEJOHHPWFSONFOUTFDVSJUJFTBOE#1"T 'PSJOŢMBUJPOSFGFSFODFJOTUSVNFOUT UIF6OJEBEEF*OWFSTJÑO *OWFTUNFOU6OJU PS6%*JTVTFE6%*XBTJOUSPEVDFE JO.FYJDPJOBTBQSJDFMFWFMBEKVTUJOHVOJUPGBDDPVOUPGSFBMDPOTUBOUWBMVF XIJDIFMJNJOBUFTUIFJOŢMBUJPO FŇFDU 6%*TBSFOVNFSJDBMVOJUTPGNFBTVSFNFOUGPSDSFEJUJOTUSVNFOUT USBEJOHDPOUSBDUT BOEPUIFSŢJOBODJBM PQFSBUJPOT5IFWBMVFPGUIF6%*DIBOHFTFWFSZEBZBOEJTDBMDVMBUFECBTFEPOUIFJOŢMBUJPOJOGPSNBUJPOGSPN UIFQSFWJPVTUXPXFFLT XIJDIJTDBMDVMBUFEBOEQVCMJTIFECZUIF#BODPEF.ÈYJDP TFFDIBQUFSGPSEFUBJMT
*OUFSFTU3BUF4XBQT5**&*34 05$ "O*OUFSFTU3BUF4XBQ *34 JTUIFBHSFFNFOUCFUXFFOUXPQBSUJFTUPFYDIBOHFUIFDBTIŢMPXTPGŢJYFEJOUFSFTU QBZNFOUTGPSŢMPBUJOHJOUFSFTUSBUFSFMBUFEUPBOPUJPOBMBNPVOU*34IFEHFTBHBJOTUVODFSUBJONPWFNFOUTJO JOUFSFTUSBUFTJOPSEFSUPŢJYUIFDPTUPGGVOEJOH UPHVBSBOUFFBQPSUGPMJPSFUVSO PSUPTQFDVMBUFPOJOUFSFTUSBUF USFOET.FYJDBO*34USBEFBDDPSEJOHUPUIFOVNCFSPGDPVQPOTPSJOUFSFTUSBUFSFWJTJPOTFWFSZEBZTEVSJOH BOENPOUI BTXFMMBT BOEVQUPZFBST5IFOPNFODMBUVSFDPNNPOMZVTFEJTUIFOVNCFSPGDPVQPOT GPMMPXFECZhYv hUJNFTPOFv 5IVT JOUIFNBSLFUUIFZSBOHFGSPNY Y Y Y BOETPPOVOUJMY5IF TUSFBNFYDIBOHFJTUIFQBZNFOUPGBŢJYFEJOUFSFTUSBUFGPSŢMPBUJOHSBUFSFGFSFODFEUPUIFEBZ5**& 5XPUZQFTPGPQFSBUJPONBZCFQFSGPSNFEJOUIJTNBSLFU s h1BZvŢJYFEJOUFSFTUSBUFBOEh3FDFJWFvŢMPBUJOHJOUFSFTUSBUF CVZUIF4XBQ s h1BZvŢMPBUJOHJOUFSFTUSBUFBOEh3FDFJWFvŢJYFEJOUFSFTUSBUF TFMMUIF4XBQ
Analysis h1BZ'JYFEv hSFDFJWFŢMPBUJOHv .BUFSJBMJTFTUIFWJFXUIBUSBUFTXJMMSJTF BOEUIFGMPBUJOHSBUFXJMMUIFSFGPSFFYDFFEUIFDVSSFOUGJYFESBUFJO UIFGVUVSF h1BZ'MPBUJOHv h3FDFJWF'JYFEv .BUFSJBMJTFTUIFWJFXUIBUJOUFSFTUSBUFTXJMMGBMM BOEUIFŢMPBUJOHSBUFXJMMUIFSFGPSFGBMMTIPSUPGUIFDVSSFOUŢJYFESBUF JOUIFGVUVSF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Example Floating for Fixed IRS "DPNQBOZQBZTEBZ5**&POBMPBO GPSBQFSJPEPGZFBS JFDPVQPOT FBDIEBZT 5IFDVTUPNFSFYQFDUT EBZ5**&UPSJTF BOEEFDJEFTUPIFEHFUIJTSJTLCZFOUFSJOHJOUPB9*34 UIJSUFFODPVQPOTBQQSPYJNBUFMZ NPOUIT
Costumer Expectations
Rate
Saving
Fixed rate
TIIE 28
Time
4PVSDF##7"3FTFBSDI.ÈYJDP
Customer Expectations s /PUJPOBM8FBTTVNFUIBUJUJTFRVBMUPUIFMPBOBNPVOU s 5IFDVSSFOUEBZT5**&JT s 5IFQVSDIBTFBOETBMFPGBO*34YJOUIFNBSLFUJT #*% QBZT 0''&3 SFDFJWFT JF UIFNBSLFU JTXJMMJOHUPQBZFWFSZEBZTJOFYDIBOHFGPSSFDFJWJOHEBZT5**&XJUIUIFTBNFGSFRVFODZ PS JOUIF FWFOU UPSFDFJWFŢMPXTDBMDVMBUFEBUBSBUFPGJOFYDIBOHFGPSQBZJOHBUUIFSBUFPGEBZT5**& *OMJOFXJUIJUTFYQFDUBUJPOTBOEQSFGFSFODFT UIFDPNQBOZQSFGFSTUPQBZJOBŢJYFETUSFBNSBUIFSUIBOUIF EBZT5**&SBUF TPUIBUJOFBDIBOEFWFSZPOFPGUIFDPVQPOTPGEBZT IFXJMMQBZBOESFDFJWFUIF EBZT5**&'PSUIFŢJSTUDPVQPO UIFDVTUPNFSXJMMSFDFJWFUIFDVSSFOUEBZT5**&PGJOEBZT XIJDIXJMMPŇTFU UIFMPBOQBZNFOUT BOEJOUVSOUIFDVTUPNFSXJMMQBZUIF4XBQTFMMFS
Floating for Fixed IRS Receives Pays TIIE 28 Floating 28d TIIE IRS Creditor Client Intermediary Pays fixed 7.90%
4PVSDF##7"3FTFBSDI.ÈYJDP
8JUIPVUUIJTBHSFFNFOU UIFDMJFOUXPVMEIBWFQBJEEBZ5**& 8JUIUIJTIFEHF UIFDMJFOUQBZT "EEJUJPOBMQBZNFOU
"GUFSEBZT JOUIFSFWJTJPOPGUIFE5**&SBUF UIFMBUUFSJODSFBTFEBTUIFDPNQBOZIBEFYQFDUFEBOEJTBUMFWFMT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
PG)PXFWFS EVFUPUIFIFEHJOH UIFDVTUPNFSXJMMPOMZIBWFUPQBZXIBUIFPSJHJOBMMZFOWJTBHFE BOEUIFSFXJMMUIFSFGPSFCFBEJŇFSFODFJOIJTGBWPVS
8JUIPVUDPWFSBHF UIFDMJFOUXPVMEIBWFQBJEEBZT5**& 9.3650% 8JUIDPWFSBHF UIFDMJFOUJTQBZJOH 7.9000% 4BWJOH PSBEEJUJPOBMQBZNFOU EJŇFSFODF
0OUIJTPDDBTJPO UIFEBZT5**&QFSGPSNFEJOMJOFXJUIUIFDMJFOUTFYQFDUBUJPOTIFODFIFJTTBWJOHPG BOOVBMJOUFSFTUSBUFGPSBQFSJPEPGEBZTPOUIFBNPVOUDPOUSBDUFE*OUIFPQQPTJUFTDFOBSJP BEFDMJOFPGE 5**&PWFSUJNF UIFDMJFOUIBTUIFBEWBOUBHFPGEJTQFMMJOHUIFVODFSUBJOUZPOIJTGVUVSFJOUFSFTUQBZNFOUTBOEDBTI ŢMPXCVEHFU 'PMMPXJOHUIFFYBNQMF BIZQPUIFUJDBMQFSGPSNBODFPGUIFEBZT5**&BHSFFNFOUJTEFUBJMFECFMPX-FUVTBTTVNF UIBUUIFDVTUPNFSBHSFFTUIF*34SBUFPO+BOVBSZ XIFOUIFEBZT5**&XBTBUBOEBHSFFTUPBMFWFMPG TPUIBUBTUIFEBZQFSJPETFMBQTFUIFEBZT5**&MFWFMJTSFDPSEFE
Savings or Payments of the 28 days TIIE agreement 1st coupon 2nd coupon 3rd coupon 4th coupon TIIE 28: 7.55% 9.3650% 8.80% 6.50% With coverage 7.90% 7.90% 7.90% 7.90% Saving (+) or additional payment (-): -0.35% 1.4650% 0.90% -1.40% 5th coupon 6th coupon 7th coupon 8th coupon TIIE 28: 7.95% 8.20% 8.53% 7.85% With coverage 7.90% 7.90% 7.90% 7.90% Saving (+) or additional payment (-): 0.05% 0.30% 0.63% -0.05% 9th coupon 10th coupon 11th coupon 12th coupon TIIE 28: 7.50% 9.20% 8.30% 7.99% With coverage 7.90% 7.90% 7.90% 7.90% Saving (+) or additional payment (-): -0.40% 1.30% 0.40% 0.09% 13th coupon TIIE 28: 8.30% With coverage 7.90% Saving (+) or additional payment (-): 0.40% 4PVSDF##7"3FTFBSDI.ÈYJDP
*OUIJTFYBNQMF DVTUPNFSFYQFDUBUJPOTXFSFNFUPOPVUPGSFWJTJPOT BOEUIFZUIFSFGPSFXPVMEIBWFPCUBJOFE QSPŢJUTCZVTJOHJOUFSFTUSBUFTXBQT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
28d TIIE performance over agreement life 10.3000 1st coupon 9.8000 9.3650 9.3000 9.2000 8.8000 8.8000 8.2000 8.5300 8.3000 8.3000 7.9500 7.8500 8.3000 7.9900 7.8000 7.5500 7.90% Agreed Fixed 7.3000 7.5000 rate of IRS 13x1 6.8000 Starts IRS 13x1 6.5000 6.3000 2-Jul 2-Jan 2-Jan 2-Oct 2-Apr 2-Jun 2-Sep 2-Feb 2-Mar 2-Dec 2-Aug 2-Nov 2-May
4PVSDF##7"3FTFBSDI.ÈYJDPBOE##7"#BODPNFS
$SPTT$VSSFODZ4XBQT 05$ 5**&ũ-JCPS 6%*ũ5**& BOE 6%*ũ-JCPS
Definition $SPTTDVSSFODZTXBQT $$4 JOWPMWFUIFFYDIBOHFPGBTFSJFTPGDBTIŢMPXTJOPOFDVSSFODZ GPSBTFSJFTPGQBZNFOUT JOBOPUIFSDVSSFODZ5IFDPOEJUJPOTBOEGSFRVFODZPGTXBQQBZNFOUTBSFBHSFFEJOBEWBODFCZUIFQBSUJFT5IF $$4NBZCFTFUBUBŢJYFESBUFGPSŢJYFESBUF ŢJYFEGPSŢMPBUJOH BOEWJDFWFSTB PSŢMPBUJOHGPSŢMPBUJOH*OSFDFOU ZFBST UIFSFIBTCFFOJODSFBTJOHEFNBOEGPSUIJTUZQFPGPQFSBUJPO5IFZBMMPXUIFTVCTUJUVUJPOPGEFCUŢMPXT QSJODJQBMBOEPSJOUFSFTUQBZNFOUT GSPNPOFDVSSFODZUPBOPUIFSBOEFWFOGSPNPOFJOUFSFTUSBUFUZQFUPBOPUIFS ŢJYFEGPSŢMPBUJOHBOEWJDFWFSTB 5IJTUZQFPGTXBQTBSFHFOFSBMMZUSBOTBDUFE05$ PWFSUIFDPVOUFS JFCFUXFFO DPVOUFSQBSUJFT TJODFUIFZBSFDPOUSBDUTUBJMPSFEUPDVTUPNFSTSFRVJSFNFOUT8IFO$$4BSFUSBEFE UIFCVZFSBOE TFMMFSBHSFFPOUIFhSFGFSFODFBNPVOUv UIFhOVNCFSPGDPVQPOTv UIFhNBUVSJUZEBUFvPGUIFPQFSBUJPO /PUJPOBM BNPVOUT FYDIBOHFTPGUIFQSJODJQBM BNPSUJ[BUJPOT XIFSFBQQMJDBCMF FUD 5IFSFJTBSFMBUJWFMZTUBOEBSEJ[FE05$NBSLFUGPS64%.9/DSPTTDVSSFODZTXBQT5IFSFJTIJHIMJRVJEJUZBOEGBJSMZ DPNQFUJUJWFRVPUFTGPSDPOTUBOUNBUVSJUJFTUIBUSBOHFGSPNNPOUITUPZST
General characteristics Participants: Mexicans or foreign nationals Reference amount: Variable, agreed by the parties Trading hours: 07:30 AM to 2 PM (GMT -6:00) Period: Variable, established in line with customer needs. Principal is usually exchanged at inception and at maturity at spot rate Exchange rate USD and MXN Rate: Fixed and/or floating, any combination
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
The most liquid maturities Instrument TERM Days to maturuty Instrument details: 3x1 3 Month 84 MXN leg USD leg 6x1 6 Month 168 Index TIIE28 LIBOR1M 9x1 9 Month 252 Coupon 28 day roll 28 day roll 13x1 1 Year 364 Rate convention ACT/360 ACT/360 26x1 2 Year 728 Holidays MEX + NY MEX + NY 39x1 3 Year 1092 Holiday convention Following Following 52x1 4 Year 1456 Initial & Final exchange YES YES 65x1 5 Year 1820 91x1 7 Year 2548 130x1 10 Year 3640 195x1 15 Year 5460 260x1 20 Year 7280 360x1 30 Year 36400 4PVSDF##7"3FTFBSDI Types of operation a) TIIE – Libor Swaps " DSPTT DVSSFODZ CBTJT TXBQ JOWPMWFT BO FYDIBOHF PG ŢMPBUJOH SBUFT JO CPUI 64% -JCPS BOE .9/ 5**& 5IF RVPUBUJPOSFQSFTFOUTUIFCBTJTQPJOUTUIBUBSFVTFEBTTQSFBEPWFS-JCPSBTFRVJWBMFOUUP5**&$PVQPOTBSFQBJE FWFSZEBZT "$5 BOEBSFQIZTJDBMMZFYDIBOHFE.BUVSJUJFTHPVQUPZFBST Example: "DVTUPNFSJTTVFT:EFCUEFOPNJOBUFEJO64%BU-JCPS5IFDVTUPNFSTGVODUJPOBMDVSSFODZJTUIF.9/ BOE IFUIFSFGPSFXJTIFTUPUSBOTGPSNUIJTMJBCJMJUZJOUP.9/ UIVTIFEHJOHBHBJOTUFYDIBOHFSJTL5IFPQFSBUJPOJT TUSVDUVSFEBTGPMMPXT
TIIE-Libor Swaps
Inception US $ 1mn*12.5 US $ 1mn =MXN12.5mn Investors Customer Bank USD Bonds US $ 1mn
Coupons Libor +/- Libor 28 +/- spread spread Investors Customer Bank TIIE 28
Maturity US $ 1mn US $ 1mn Investors Customer Bank
US $ 1mn*12.8 *Exchange at maturity =MXN12.8mn* is made at initial spot
4PVSDF##7"3FTFBSDI.ÈYJDP
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
b) Inflation Swaps 5IFNFYJDBOJOŢMBUJPOTXBQNBSLFUPŇFSTUXPUZQFTPGJOTUSVNFOUTŢJSTUJOŢMBUJPOJOEFYTXBQQFEGPSEBZ5**& BOE TFDPOE JOŢMBUJPO JOEFY TXBQQFE GPS -JCPSN 5IFTF JOTUSVNFOUT PŇFS HSFBU PQQPSUVOJUJFT UP FOHBHF JO .FYJDBOJOŢMBUJPOCFUT CSFBLFWFOJOŢMBUJPOCFUT BSCJUSBHFCFUXFFOGVOEJOHTPVSDFT JTTVJOHJOŢMBUJPOJOEFYFEEFCU BOETXBQQJOHJUUPOPNJOBMSBUFEFCU BOEBIFEHFGPS6%*#0/04'PSBEFUBJMFEEFUFSNJOBUJPOPGUIF6%*TFF DIBQUFS UDI – Libor Swaps 5IJTTUSVDUVSFJOWPMWFTBOFYDIBOHFPG64%ŢMPBUJOHSBUFTGPS.9/SFBMSBUFT ŢJYFESBUFQMVTJOŢMBUJPO 5IFRVPUBUJPO SFQSFTFOUTUIFŢJYFESBUFUIBUJTQBJEJO.9/BEKVTUFEGPS6%*$PVQPOTBSFQBJETFNJBOOVBMMZ DPOWFOUJPOJT "$5GPSCPUIMFHT BOEQBZNFOUTBSFQIZTJDBMMZFYDIBOHFE.BUVSJUJFTHPVQUPZFBST
The Most Liquid Maturities UDI/LIBOR Term Days to Maturity Instruments datails: 1 Year 360 UDI leg USD leg 3 Year 1080 Index Fixed real rate LIBOR 6M 5 Year 1800 Fixing date N/A T-2 7 Year 2520 Coupon SEMI ANNUAL SEMI ANNUAL 10 Year 3600 Rate Convention ACT/360 ACT/360 15 Year 5400 Holiday MEX DF + NY MEX DF + NY 20 Year 7200 Holiday convention Modfol Modfol Initial exchange YES YES Final exchange YES YES 4PVSDF##7"3FTFBSDI.ÈYJDP Example: "NVMUJOBUJPOBMDPSQPSBUFJTTVFTSFBMSBUFCPOETJO.FYJDP 6EJCPOPT IPXFWFS HJWFOUIBUNPTUPGJUTSFWFOVFT BSFEFOPNJOBUFEJO64% NBOBHFNFOUEFDJEFTUPTXBQJOUP64%5IFPQFSBUJPOJTTUSVDUVSFEBTGPMMPXT
UDI-Libor Swaps
Udibonos MXN 100mn, Inception UDIS 22.6mn, MXN 100mn/12.5= UDI=4.420042 US $ 8mn Investors Customer Bank Udibonos Udibonos MXN100mn, UDIS 22.6mn, UDI=4.420042 Coupons Udibono Fixed rate Udibono Fixed rate Investors Customer Bank Libor
Maturity UDIS 22.6mn UDIS 22.6mn Investors Customer Bank UDIS 22.6mn*UDI/spot* *Exchange at maturity is made at prevailing USDUDI
4PVSDF##7"3FTFBSDI.ÈYJDP
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
UDI – TIIE Swaps 6%*ũ5**&JOWPMWFTBOFYDIBOHFPG.9/GPS6%*EFOPNJOBUFEEFCU JFOPNJOBMŢMPBUJOHSBUFGPSSFBMŢJYFESBUF 5IF RVPUBUJPOSFQSFTFOUTUIFŢJYFESBUFUIBUJTQBJEJO.9/BEKVTUFEGPS6%*GPSOPNJOBMŢMPBUJOH5**&$PVQPOTBSFQBJE TFNJBOOVBMMZ DPOWFOUJPOJT"$5GPSCPUIMFHT BOEQBZNFOUTBSFQIZTJDBMMZFYDIBOHFE.BUVSJUZQFSJPEJT VQUPZFBST
The Most Liquid Maturities UDI/TIIE Term Days to Maturity Instruments datails: 1 Year 364 UDI leg MXN leg 3 Year 728 Index Fixed real rate TIIE 5 Year 1820 Fixing date N/A T-1 7 Year 2548 Coupon 182 day roll 28 dat roll 10 Year 3640 Rate Convention ACT/360 ACT/360 15 Year 5460 Holiday MEX DF MEX DF 20 Year 7280 Holiday convention Following Following Initial exchange NO NO Final exchange YES YES 4PVSDF##7"3FTFBSDI.ÈYJDP
Example: "DVTUPNFSXJTIFTUPFYDIBOHFIJTOPNJOBMEFCUUPSFBMSBUFTBTIJTJOŢMBUJPOFYQFDUBUJPOTBSFMPXFSUIBOUIPTF JNQMJFEJOUIF6%*#0/04DVSWF5IFPQFSBUJPOJTTUSVDUVSFEBTGPMMPXT
UDI-TIIE Swaps
Inception MXN 100mn/4.420042 MXN Bounds =UDI 22.6mn Investors Customer Bank MXN 100mn MXN 100mn,
Coupons TIEE TIIE Investors Customer Bank Udibono Fixed rate
Maturity MXN 100mn MXN 100mn Investors Customer Bank UDIS 22.6mn*UDI* *Exchange at maturity is made at prevailing UDI
4PVSDF##7"3FTFBSDI.ÈYJDP
c) Asset Swap (combination of instruments) "OBTTFUTXBQJOWPMWFTUIFTBNFNFDIBOJDPGBQMBJOWBOJMMBTXBQXJUIUIFEJŇFSFODFUIBUUIFVOEFSMZJOHPG UIFDPOUSBDUJTBOBTTFUSBUIFSUIBOBMJBCJMJUZ*OUIJTTFOTF BCVZFSPGBEFCUTFDVSJUZDPVMEFYDIBOHFJUGPSB TZOUIFUJDPOFXJUIEJŇFSFOUDIBSBDUFSJTUJDT JFŢJYFEGPSŢMPBUJOHSBUFBOEPS64%GPS.9/ XJUIUIFPCKFDUJWFPG
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
FJUIFSFOIBODJOHZJFME JFCZUBLJOHBEWBOUBHFPGBOBSCJUSBHFPQQPSUVOJUZ PSDSFBUJOHBTFUPGDBTIŢMPXTUIBU DPVMECFVOBWBJMBCMFEJSFDUMZJOMPDBMNBSLFUT*O.FYJDP JOWFTUPSTVTVBMMZCVZ64%CPOETBOEFYDIBOHFUIFNGPS .9/TFDVSJUJFT
Example: "DVTUPNFSPXOTBCPOEJO64%BUBŢJYFEJOUFSFTUSBUFBOEIFFYQFDUTUIFQFTPUPBQQSFDJBUF UIVTEFDSFBTJOH IJTSFUVSO5IFDVTUPNFSNJHIUNBLFUIFTUSBUFHJDEFDJTJPOUPIFEHFUIFFYDIBOHFSJTLCZTXBQQJOHIJTEPMMBS EFOPNJOBUFEEFCUJOUPQFTPTFJUIFSBUBŢJYFEPSŢMPBUJOHJOUFSFTUSBUF
Asset Swap
Inception US $ 10mn US $ 10mn Bond Investor Bank issuer USD Bonds US $ 10mn*12.5= MXN12.5mn
Coupons TIEE+/-spread US fixed Rate Bond Investor Bank issuer US fixed rate
Maturity US $ 10mn*12.5= MXN 12.5mn US $ 10mn Bond Customer Bank issuer US $ 10mn *Exchange at maturity is made at initial spot
4PVSDF##7"3FTFBSDI.ÈYJDP
*OUFSFTU3BUF'VUVSFTBOE#POE'VUVSFT
Description *OUFSFTU3BUF'VUVSFTBSFJOTUSVNFOUTUSBEFEPOUIF.FYJDBO%FSJWBUJWFT&YDIBOHF .&9%&3 UPIFEHFBHBJOTU BEWFSTFWBSJBUJPOTJOUIFNPOFZBOECPOENBSLFU5IJTJTEPOFUPQSPUFDUJOWFTUNFOUT UPTFUBEFCUDPTU PSUP EJTQFMVODFSUBJOUZ$VSSFOUMZ JOUFSFTUSBUFGVUVSFTPQFSBUFEPOUIF.&9%&3BSFUIFEBZ$&5&4 EBZ5**&BOE UIF BOEZFBSŢJYFESBUF.#0/04 DBMMFE. .BOE. .&9%&3JTUIFMPDBMEFSJWBUJWFTFYDIBOHF XIFSFTUBOEBSEJTFEDPOUSBDUTBSFOFHPUJBUFE)PXFWFS EFSJWBUJWFTNBZ CFUSBEFEPVUTJEFUIJTNBSLFU JOh0WFS5IF$PVOUFSv 05$ PQFSBUJPOT VOEFSNPSFŢMFYJCMFUFSNTPGWPMVNFBOE NBUVSJUZJOPSEFSUPGVMŢJMUIFOFFETPGFBDIDVTUPNFS*UJTXPSUIOPUJOHUIBUhUBJMPSNBEFDPOUSBDUTvIBWFIJHIFS DSFEJUSJTL TJODFDPNQMJBODFMBSHFMZEFQFOETPOUIFDPVOUFSQBSUZTTPMWFODZ5IJTJTPOFPGUIFNBJOEJŇFSFODFT XJUIPSHBOJTFENBSLFUT TVDIBTUIF.&9%&3 XIJDIFNQMPZUIFTFSWJDFTPGBDMFBSJOHIPVTF "4*(/"JOUIFDBTF PG.&9%&3 UIVTNJOJNJTJOHDSFEJUSJTL 5ZQFT PG PQFSBUJPO 8IFO QFSGPSNJOH GVUVSFT PQFSBUJPOT PO EBZ $&5&4 EBZ 5**& PS BOE ZFBS .#0/04 UIFCVZFSBOETFMMFSXJMMTXBQXIPMFNVMUJQMFTPGTUBOEBSEJTFEDPOUSBDUTJOUFSNTPGBNPVOU DVSSFODZ NBUVSJUZEBUFBOEJOUFSFTUSBUFXIFOQBZNFOUJTQFSGPSNFEJOLJOEPSCZEJŇFSFODFTJONBSLFUQSJDFBOEUIF BHSFFEQSJDF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
4.3.1. 91-day CETES Futures (MEXDER) Contract characteristics MEXDER Underlying security: 91-day CETES Contract size: 1,000,000 MXN (10,000 CETES) Delivery months: Monthly cycle for up to twelve months and quarterly cycle for up to 24 cycles (seven years). MEXDER is able to open different series in line with market demand. Ticker symbol: CE91 plus two letters for the month and two numbers for year of maturity (i.e. CE91 JN10, June 2010) Quotation: Rate of annualized yield expressed to two decimal places. Minimum One basis point (0.01%) also called PUJA fluctuation (Tick): Trading hours: 07:30 to 14:15 hours Mexico City time (GMT -06:00) Last trading day The day of the primary auction of the week of the third Wednesday of the and maturity date: month of maturity. Settlement date: Next business day after maturity date. Interest rate or Agreed by the parties. Said interest rate of return must be expressed as an price agreed: annual percentage on the basis of 360 days. Delivery Method: By cash differences between the primary CETES 91 rate on the last day of trading and the price agreed. Daily Settlement: Initial margin: It is the amount deposited by the customer in the clearing house (ASIGNA) at the time of executing the first order. The aim is to guarantee coverage of the variation margins while positions remain open. Maintenance It is the minimum amount per contract which the customer must keep in the margin: clearing house for open positions. MXN and CETES are accepted as collateral (ensuring a maturity of less than one year). Variation These are the debits and credits which the clearing house applies to the margins: customer’s account in order to reflect the daily gain and/or loss resulting from revaluing his contracts. Where the maintenance margin is lower than the required amount, the clearing house will “call for margin” to the investor. The customer may withdraw any surplus in the opposite situation (“margin withdrawals”). Bloomberg “MMDD
Formula and examples (See section 4.3.2.)
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4.3.2. 28-day TIIE Futures (MEXDER) Contract characteristics MEXDER Underlying security: 28-day TIIE calculated by Banco de México Contract size: MXN $ 100,000 Delivery months: Monthly cycle for up to five years (120 months). MEXDER is able to open dif- ferent series for negotiation in line with market demand. Ticker symbol: “TE28” plus two letters for the maturity month (EN, FB, MR, AB, MY, JN, JL, AG, SP, OC, NV, DC) and two last digits of the maturity year (i.e.: “TE28 JN06” for June 2006). Quotation: The future rate is the annualized percentage rate of return, expressed in two decimals. Minimum fluctuation (Tick): One basis point (0.01%) also called PUJA Trading hours: 07:30 to 14:15 hours Mexico City time (GMT -06:00) Last trading day and The next business day before the primary auction on the third Wednesday maturity date: of the maturity month. Settlement day: Next business day after maturity date. Interest rate or price agreed: Agreed by the parties. Said interest rate of return must be expressed as an annual percentage on the basis of 360 days. Delivery Method: By cash differences between the TIIE rate on the last trading day and the price agreed. Daily Settlement: Initial margin: It is the amount deposited by the customer in the Clearing House (ASIGNA) at the time of executing the first order. The aim is to guarantee coverage of the variation margins while positions remain open. Maintenance margin: It is the minimum amount per contract which the customer must keep in the Clearing House for open positions. MXN pesos and CETES are accepted as collateral (ensuring a maturity less than one year). Variation These are the debits and credits which the Clearing House applies to the margins: customer’s account in order to reflect the daily gain and/or loss resulting from revaluing his contracts. Where the maintenance margin is lower than the required amount, the Clearing House will “call for margin” to the investor. The customer may withdraw any surplus in the opposite situation (“margin withdrawals”). Bloomberg “MMDD
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Formula and examples (91-day CETES and 28-day TIIE futures) *OUFSFTUSBUFGVUVSFTDPOUSBDUTBSFDMBTTJŢJFECBTFEPOUIFSJHIUTBOEPCMJHBUJPOTDPOGFSSFEVQPOQBSUJDJQBOUTJO a. Buying interest rate futures s 5IFCVZFSXJMMCFFOUJUMFEUPSFDFJWFGSPNUIFTFMMFS JOUIFFWFOUUIBUUIFhDVSSFOUvJOUFSFTUSBUFPOUIBUEBZ JTMPXFSUIBOUIFhBHSFFEvJOUFSFTUSBUF BOBNPVOUJO.FYJDBOQFTPTGPSUIFDPOUSBDUFRVBMUPUIFBNPVOU SFTVMUJOHGSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB s 5IFCVZFSXJMMCFPCMJHFEUPQBZUIFTFMMFS JOUIFFWFOUUIBUUIFhDVSSFOUvJOUFSFTUSBUFPOUIBUEBZJTIJHIFS UIBOUIFhBHSFFEvJOUFSFTUSBUF BOBNPVOUJO.FYJDBOQFTPTCZDPOUSBDUFRVBMUPUIFBNPVOUSFTVMUJOH GSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB b. Selling interest rate futures s 5IFCVZFSXJMMCFFOUJUMFEUPSFDFJWFGSPNUIFTFMMFS JOUIFFWFOUUIBUUIFhDVSSFOUvJOUFSFTUSBUFPOUIBUEBZ JTIJHIFSUIBOUIFhBHSFFEvJOUFSFTUSBUF BOBNPVOUJO.FYJDBOQFTPTCZDPOUSBDUFRVBMUPUIFBNPVOU SFTVMUJOHGSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB s 5IF CVZFS XJMM CF PCMJHFE UP QBZ UIF TFMMFS JO UIF FWFOU UIBU UIF hBDUVBMv JOUFSFTU SBUF PO UIBU EBZ JT MPXFSUIBOUIFhBHSFFEvJOUFSFTUSBUF BOBNPVOUJO.FYJDBOQFTPTGPSUIFDPOUSBDUFRVBMUPUIFBNPVOU SFTVMUJOHGSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB 5PSFEVDFSJTLPWFSUJNF EFSJWBUJWFTFYDIBOHFT .&9%&3 QFSGPSNEBJMZTFUUMFNFOU hNBSHJODBMMTv XIFSFUIF DPNQBSJTPOJTNBEFCFUXFFOUIFDMPTJOHSBUFPOBQBSUJDVMBSEBZBOEUIFDMPTJOHSBUFPOUIFQSFWJPVTEBZ XIJMF UIFDVTUPNFSNBJOUBJOTIJTGVUVSFTDPOUSBDU 5IFTVNPGUIFTFEBJMZNBSHJOTJTFRVBMUPUIFBNPVOUPGTFUUMFNFOUPONBUVSJUZDBMDVMBUFECBTFEPOUIFGPMMPXJOH GPSNVMB
a fix fix a r r * n /36000 r r * n /36000 (1) (2) 1 + r fix * n /36000 1 + r fix * n /36000
8IFSF SBBHSFFEJOUFSFTUSBUF SŢJYBDUVBMJOUFSFTUSBUFPGEBZ$&5&4PSEBZ5**& XIFSFBQQMJDBCMF OQFSJPEPG$&5&4 EBZT PS5**& EBZT XIFSFBQQMJDBCMF
Examples 5IFTFFYBNQMFTBSFVTFEJOUIF05$JOUFSFTUSBUFGVUVSFTNBSLFUBOENBZBMTPCFBQQMJDBCMFDPODFQUVBMMZGPS .&9%&3DPOUSBDUT$MFBSJOHJTQFSGPSNFEEBJMZ Buying interest rate futures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
5IFTFŢJHVSFTBTTVNFUIBUUIFSFJTOPHSFBUWPMBUJMJUZJOJOUFSFTUSBUFTBOEUIFSFGPSFBEEJUJPOBMNBSHJODBMMTBSFOPUSFRVJSFEEVSJOHUIFPQFSB UJPO XIJDIXPVMEJNQMZIJHIFSDPTUPSIJHIFSQSPŢJU
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
5IFQSFTFOUEJŇFSFODFCFUXFFOUIFJOUFSFTUHFOFSBUFECZ.9/ BUUIFBHSFFESBUFPGBOEUIF QVCMJTIFEEBZ$&5&4SBUFPGJTDBMDVMBUFEBTGPMMPXT
(7.80 < 7.50) * 91 2,000,000 * ³ 36000 µ = MXN$1,488.45pesos ³ 1+ 7.50 * 91 µ 3600
5IFDVTUPNFSXJMMUIFSFGPSFQVSDIBTF$&5&4BUCVUXJMMPCUBJOUIFIFEHFEJOUFSFTUSBUFPGBTGPMMPXT
Desired initial investment: MXN$ 2,000,000.00 (+) Compensation received in futures contract: MXN$ 1,488.44 (=) Total to be invested in 91-day CETES at 7.50% MXN$ 2,001,448.45
£ 7.50 * 91¥ 2'001,448.44 * ²1+ ´ = ¤ 36000 ¦ Future value of the investment: MXN$ 2,039,392.56
£ 2,039,392.56 ¥ £ 360 ¥ = ² < 1´ * ² ´ ¤ 2'000,000 ¦ ¤ 91 ¦ Rate of return 7.8% 5IFDVTUPNFSSFDFJWFTUIFJOJUJBMNBSHJO .9/ XIJDIIFEFQPTJUFEBUUIFPVUTFUPGUIFDPOUSBDUJO PSEFSUPHVBSBOUFFDPWFSBHFPGWBSJBUJPONBSHJOT QMVTUIFJOUFSFTUHFOFSBUFEGSPNUIFDMFBSJOHIPVTF "4*(/" XIFOUIFDPOUSBDUNBUVSFT5IFJOUFSFTUSBUFQBJECZUIFDMFBSJOHIPVTF "4*(/" XBTBOOVBMMZGPSUIFEBZT PGUIFDPOUSBDUTEVSBUJPO TPUIBUUIFJOWFTUPSSFDFJWFTPONBUVSJUZ
£ 4% * 25 ¥ 10,000 * ²1+ ´ = MXN$10,027.78 ¤ 360 ¦
"TTIPXOQSFWJPVTMZ UIFDVTUPNFSFOTVSFEJOBEWBODFBOJOUFSFTUSBUFPGBUEBZT)PXFWFS UIFPQQPTJUF DPVMEIBQQFOOBNFMZBOJODSFBTFJOJOUFSFTUSBUFT*OUIJTDBTFUIFJOWFTUPSXJMMSFDFJWFBIJHIFSUIBOFYQFDUFE SBUFPGSFUVSOPOIJTTBWJOHT CVUIFXJMMIBWFUPQBZUIFEJŇFSFODFGPSQVSDIBTJOHUIFGVUVSFPQUJPOUPPCUBJOUIF BHSFFEJOUFSFTUSBUFPG)FXJMMUIVTPCUBJOUIFSFUVSOJOJUJBMMZFOWJTBHFEBOEXJMMOPUSFDFJWFBOZTVSQSJTFT XJUISFTQFDUUPIJTPSJHJOBMQMBOT Selling interest rate futures " DPNQBOZ FYQFDUT JOUFSFTU SBUFT UP SJTF BOE UIFSFGPSF EFDJEFT UP EFUFSNJOF JO BEWBODF UIF DPTU PG B MPBO BNPVOUJOHUP.9/ GPSBQFSJPEPGEBZTXIJDIJUXJMMSFRVFTUJOEBZT*UUIFSFGPSFTFMMTEBZ 5**&GVUVSFTPOUIF.&9%&3 XIJDINBUVSFJOEBZTBUBOJOUFSFTUSBUFPG 5IF DMFBSJOH IPVTF "4*(/" BTLT UIF DPNQBOZ UP EFQPTJU .9/ BT BO JOJUJBM NBSHJO JO PSEFS UP HVBSBOUFFDPWFSBHFPGWBSJBUJPONBSHJOT2. "TUIFDVTUPNFSFYQFDUFE XIFOUIFDPOUSBDUNBUVSFEJOUFSFTUSBUFTIBESJTFO5IF5**&JOUFSFTUSBUFBUEBZT QVCMJTIFECZ#BOLPG.FYJDPPOUIFDPOUSBDUTNBUVSJUZEBUFXBT BOEUIFDPNQBOZUIFSFGPSFSFDFJWFT DPNQFOTBUJPO GPS UIF JODSFBTF JO SFUVSO 5IF QSFTFOU EJŇFSFODF CFUXFFO UIF JOUFSFTU HFOFSBUFE CZ .9/ BUUIFQVCMJTIFE5**&PGBOEUIFBHSFFESBUFPGJTDBMDVMBUFEBTGPMMPXT
(8.40 < 8.14) * 28 6,000,000 * ³ 3600 µ = MXN$1,205.45pesos ³ 1+ 8.40 * 28 µ 3600
5IBU JT UP TBZ UIF DPNQBOZ XJMM QBZ JUT MPBO BU UIF OFX DVSSFOU JOUFSFTU SBUF CVU XJMM SFDFJWF UIF
25IFTFŢJHVSFTBTTVNFUIBUUIFSFJTOPHSFBUWPMBUJMJUZJOJOUFSFTUSBUFTBOEUIFSFGPSFBEEJUJPOBMNBSHJODBMMTBSFOPUSFRVJSFEEVSJOHUIFPQFSBUJPO XIJDIXPVMEJNQMZIJHIFSDPTUPSIJHIFSQSPŢJU
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
BGPSFNFOUJPOFEDPNQFOTBUJPO FOBCMJOHJUUPSFEVDFUIFDPTUPGJUTŢJOBODJOHBOEPOMZEJTCVSTFUIFBNPVOUJOJUJBMMZ BHSFFE*OPUIFSXPSET JUTDPTUXJMMCFPOMZUIFIFEHFEJOUFSFTUSBUFPG XIJDIXBTUIFSBUFJOJUJBMMZFOWJTBHFE $BQJUBM JOUFSFTUQBZBCMFPOMPBONBUVSJUZBUNBSLFUSBUF
£ 1+ 8.40 * 28 ¥ 6,000,000.00 * ² ´ = MXN$6'039,199.99 ¤ 36000 ¦
DPNQFOTBUJPOSFDFJWFEPOGVUVSFTDPOUSBDU.9/ 5PUBMBNPVOUQBZBCMF.9/ $PTUPGŢJOBODJOHVTJOHFOTVSFESBUF 5**&GVUVSF
£ 6,037,994.54 ¥ £ 360 ¥ = ² < 1´ * ² ´ 8.14% ¤ 6,000,000.00 ¦ ¤ 28 ¦
5IFDPNQBOZSFDFJWFT UIFJOJUJBMNBSHJO .9/ XIJDIJUEFQPTJUFEBUUIFPVUTFUPGUIFDPOUSBDUJOPSEFS UPHVBSBOUFFDPWFSBHFPGUIFWBSJBUJPONBSHJOT QMVTUIFJOUFSFTUHFOFSBUFE GSPNUIFDMFBSJOHIPVTF "4*(/" XIFOUIFDPOUSBDUNBUVSFT5IFJOUFSFTUSBUFQBJECZ"4*(/"XBTGPSUIFEBZTPGUIFDPOUSBDUTEVSBUJPO BOEPONBUVSJUZUIFDPNQBOZUIFSFGPSFSFDFJWFT
£ 4% * 25 ¥ 10,000 * ²1+ ´ = MXN$10,027.77 ¤ 360 ¦
"TTIPXOQSFWJPVTMZ UIFDPNQBOZFOTVSFEJOBEWBODFBOJOUFSFTUSBUFPGBUEBZT)PXFWFS UIFPQQPTJUF NJHIUIBWFIBQQFOFEOBNFMZBGBMMJOJOUFSFTUSBUFT*OUIJTDBTF UIFDPNQBOZXPVMEQBZPŇUIFMPBOBUBMPXFS UIBOFYQFDUFESBUF CVUXPVMEIBWFUPQBZUIFEJŇFSFODFGPSUIFGVUVSFTQVSDIBTFJOPSEFSUPPCUBJOUIFSBUF PSJHJOBMMZBHSFFE5IFSFBSFUIFSFGPSFOPTVSQSJTFTXJUISFTQFDUUPXIBUXBTJOJUJBMMZFOWJTBHFE
4.3.3. MBONO Futures: 3, 10 and 20-year (MEXDER) Contract characteristics Underlying security: - M3: 3-Year Fixed Interest Rate Government Development Bonds (3-year Bond) - M10: 10-Year Fixed Interest Rate Government Development Bonds (10-year Bond) - M20: 20-Year Fixed Interest Rate Government Development Bonds (20- year Bond) Deliverable BONDS: Fixed Interest Rate Government Development Bonds, which throughout the delivery period have a term of maturity of: - M3: No less than 2 years (728 days) and no more than 3 years six months (1,274 days). - M10: No less than 7 years (2,730 days) and no more than 12 years (4,550 days). - M20: No less than 17 years (6,188 days) and no more than 22 years (8,008 days). - Physical delivery. Cheapest to deliver. Contract size: 1,000 Bonds, equivalent to 100,000.00 MXN (one hundred thousand Mexican pesos 00/100) $POUJOVFEPOOFYUQBHF
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Contract characteristics (Continues) Delivery months: Quarterly cycle for up to 12 cycles (3 years) Ticker symbol: - “M3” plus two letters for the maturity month and two last digits of the maturity year; e.g., “M3 DC10” (for December 2010). - “M10” plus two letters for the maturity month and two last digits of the maturity year; e.g., “M10 JN10” (for June 2010). - “M20” plus two letters for the maturity month and two last digits of the maturity year; e.g., “M20 SP10” (for September 2010). Quotation: Mexican pesos. Minimum 0.025 MXN fluctuation (Tick): Trading hours: 7:30 a.m. to 2:15 p.m. Mexico City time (GMT -06:00) Last day of trading and The last trading day will be the third business day before the date of maturity maturity date: of the series. The maturity date will be the last business day of the month of maturity of the series. Settlement day: In kind settlement according to the General Conditions for Futures Contracts. Daily Settlement: Initial margin: Amount that the customer must deposit with ASIGNA when executing the first order. The aim is to guarantee coverage of variation margins while positions are open.
Maintenance margin: The minimum amount per contract that the customer must keep in the account with ASIGNA for open positions. Variation Refers to the debits and credits that ASIGNA applies to the customer’s ac- margins: count to reflect the daily gain and/or loss resulting from the daily revaluation of contracts. “Margin calls” and “margin withdrawals” will take place relative to maintenance margin. Bloomberg “MMDD
Formula 5IFEBJMZTFUUMFNFOUQSJDFJTFTUJNBUFEXJUIUIF$&5&4ZJFMEDVSWFVTJOHUIFGPMMPXJOHGPSNVMBT
M t F t = P t + r £ < ¥ ( ) ( )³1 M ² ´µ ¤ 360 ¦
8IFSF ' U 1SJDFPGUIFCPOEGVUVSFDPOUSBDU 1 U 1SJDFPGUIFCPOEPOEBZU
S.3BUFPGZJFMEPO.FYJDBO5SFBTVSZ#JMMT $&5&4 PCTFSWFEPOEBZU GPSUIFNBUVSJUZUFSNPGUIFGVUVSFT EFSJWFEGSPNUIF$&5&4ZJFMEDVSWF TVQQMJFECZUIFQSJDFWFOEPS .U/VNCFSPGEBZTUPNBUVSJUZPGUIFGVUVSFDPOUSBDU
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
4FUUMFNFOUQSJDFBUNBUVSJUZEBJMZTFUUMFNFOUQSJDF9DPOWFSTJPOGBDUPS BDDSVFEJOUFSFTU
1 1 VN C + C – + r r 1 + r s-1 1 + r s-1 d Conversion factor = C / 100 dl 1 182 182 1 +r
8IFSF 7/'BDFWBMVFPGUIFCPOE 4/VNCFSPGDPVQPOTUPCFTFUUMFE $$PVQPOWBMVF S*OUFSFTUSBUFVTFEUPEJTDPVOUUIFŢMPXTUIBUNVTUCFTFUUMFE E/VNCFSPGEBZTFMBQTFEPODVSSFOUDPVQPO
Examples "OJOWFTUPSEFDJEFTUPQVSDIBTF .#0/0GVUVSFTDPOUSBDUT .#0/04QFSDPOUSBDU PO.&9%&3UIBU XJMMNBUVSFJOEBZT5IFNJOJNVNJOJUJBMDPOUSJCVUJPOEFQPTJUFECZUIFJOWFTUPSJO"4*(/"JT.9/ .9/ QFS DPOUSBDU (JWFO UIJT TJUVBUJPO UIFSF BSF CPOET PO UIF NBSLFU UIBU NFFU UIF CPOE CBTLFU DPOEJUJPOT CPOETXJUINBUVSJUJFTCFUXFFOBOE EBZT 5IFNBSLFUEBUBJTBTGPMMPXT
MBono Futures BOND 1 BOND 2 BOND 3 BOND 4 Coupon rate 9% 13.50% 10.50% 9.50% Days to maturity 800 863 1038 1234 Return rate 6.80% 6.37% 6.53% 6.61% Clean price MXN$104.4483 MXN$115.5989 MXN$110.2624 MXN$108.7214 Clean price at maturity MXN$103.76 MXN$114.1261 MXN$109.3253 MXN$107.9606 Conversion factor 0.947455 1.027802 0.966075 0.93432 Settlement price at maturity MXN$109.5145 MXN$111.0390 MXN$113.1644 MXN$115.5500 4PVSDF##7"3FTFBSDI.ÈYJDP
5IFGVOEJOHSBUFJOUIFNBSLFUJT(JWFOUIFTFNBSLFUDPOEJUJPOT UIFGVUVSFQSJDFJT.9/GPS#POE XIJDIJTUIFDIFBQFTUUPEFMJWFS5IFGPMMPXJOHBSFUXPDPOUSBDUNBUVSJUZSBUFTDFOBSJPT
Scenario 1 5IFCPOETSFUVSOSBUFJODSFBTFTCZCBTJTQPJOUT5IFDBMDVMBUJPOTXPVMECFBTGPMMPXT
MBono Futures BOND 1 BOND 2 BOND 3 BOND 4 Coupon rate 9% 13.50% 10.50% 9.50% Days to maturity 729 792 967 1,163 Yield 7.80% 7.37% 7.53% 7.61% Clean price MXN$102.2074 MXN$112.2122 MXN$107.0801 MXN$105.3018 Clean price on maturity MXN$102.1878 MXN$112.1961 MXN$107.0630 MXN$105.2840 Conversion factor 0.947455 1.027802 0.966075 0.93432 Settlement price on maturity MXN$107.8551 MXN$109.1612 MXN$110.8227 MXN$112.6852 4PVSDF##7"3FTFBSDI.ÈYJDP
5IF GVOEJOH SBUF JO UIF NBSLFU JT (JWFO UIFTF ŢJOBM DPOEJUJPOT UIF JOWFTUPS SFDFJWFT #POE DIFBQFTU UP EFMJWFS BOEXJMMUIFSFGPSFJODVSBMPTT5IFSFTVMUTBSFBTGPMMPXT ũ .9/
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Scenario 2 5IFCPOETSFUVSOSBUFEFDSFBTFTCZCBTJTQPJOUT5IFDBMDVMBUJPOTXPVMECFBTGPMMPXT
MBono Futures BOND 1 BOND 2 BOND 3 BOND 4 Coupon rate 9% 13.50% 10.50% 9.50% Days to maturity 729 792 967 1,163 Yield 5.80% 5.37% 5.53% 5.61% Clean price MXN$106.0306 MXN$116.6369 MXN$112.2319 MXN$111.3318 Clean price on maturity MXN$106.0043 MXN$116.6151 MXN$112.2085 MXN$111.3075 Conversion factor 0.947455 1.027802 0.966075 0.93432 Settlement price on maturity MXN$111.8832 MXN$113.4607 MXN$116.1489 MXN$119.1321 4PVSDF##7"3FTFBSDI.ÈYJDP
5IF GVOEJOH SBUF JO UIF NBSLFU JT (JWFO UIFTF ŢJOBM DPOEJUJPOT UIF JOWFTUPS SFDFJWFT #POE DIFBQFTU UP EFMJWFS BOEXJMMUIFSFGPSFQPTUBHBJO5IFSFTVMUTBSFBTGPMMPXT ũ .9/
*OUFSFTU3BUF4XBQ'VUVSFT
Description 5IFTFBSFGVUVSFTDPOUSBDUTPO.9/UIBUQSPWJEFVTFSTXJUIBTUBOEBSEJTFEWFIJDMF JO.&9%&3 GPSIFEHJOH ŢJOBODJBMDPTUT 5IFVOEFSMZJOHBTTFUPGUIFDPOUSBDUJTUIFJOUFSFTUSBUFTXBQUIBUFYDIBOHFTŢJYFESBUFQBZNFOUTGPSŢMPBUJOHSBUF QBZNFOUTBUUFOPSTPGPSZFBSTBUUIFEBZ5**&DBMDVMBUFECZ#BODPEF.ÈYJDP5IFDPOUSBDUJTTFUUMFE UISPVHIEFMJWFSZ 5IF5**&JTRVPUFECZUIF#BODPEF.ÈYJDPJOBDDPSEBODFXJUIBQSFEFUFSNJOFENFDIBOJTNUPSFŢMFDU.FYJDBO NPOFZNBSLFUDPOEJUJPOT TFF#VMMFUJO 5IFEBZ5**&JTUIFEPNFTUJDTIPSUUFSNJOUFSCBOLSFGFSFODF SBUFJO.FYJDP
The sell of TIIE swap futures entails a gain/loss to the issuer if swap rates rise/fall. The hedge position is designed to offset issuer’s financing costs in debt at maturity of each contract Floating Gain//loss rate
INVESTOR ISSUER MEXDER
Margin Sell swap funding future
4PVSDF##7"3FTFBSDI.ÈYJDP
5IFCFOFŢJUTPGUIFTFDPOUSBDUTGPSUIFJOWFTUPSBSF 4UBOEBSEJTBUJPOXIJDIJODSFBTFTMJRVJEJUZ 5IF&MFDUSPOJD 5SBEJOH4ZTUFNHVBSBOUFFTUSBOTQBSFODZ 5IFDMFBSJOHIPVTF "4*(/" XJUIUIFIJHIFTUSBUJOHCZUIFMFBEJOH SBUJOHBHFODJFTWJSUVBMMZFMJNJOBUFTDPVOUFSQBSUZSJTL
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4.4.1. 2-year and 10-year TIIE Swap Future (Exchange Mexder) Contract characteristics Contract size: 1,000,000 MXN (One million Mexican pesos 00/100) Delivery Months: Monthly or quarterly cycle for up to one year Ticker symbol Two digits for the year (“02”/“10” for 2/10-year TIIE) plus two digits for (Swap settlement): the exact maturity day of the month (e.g. “27”); plus two letters for the maturity month (EN, FB, MR, AB, MY, JN, JL, AG, SP, OC, NV, DC) and the last two digits of the maturity year (e.g. 1027FB09 for 10-year TIIE Swap Future with a maturity date of February 27, 2009) Quotation: Future Rate of annualised Swap level, expressed in percentage points to three decimal places Minimum price One half of a basis point, i.e. 0.005 of the annual percentage rate fluctuation (Tick): Futures Contract Tick Value: The tick value of the Swap Futures Contract is calculated as the change in the price of the 2 or 10-year Swap Futures Contract Trading Platform: MEXDER’s Electronic Trading System Trading Hours: Trading hours between 7:30 am - 2:15 p.m., Mexico City time (GMT -06:00) Last day of trading The next business day before the primary auction of government and maturity date: securities on the third Wednesday of the maturity month Settlement day: Next business day after maturity date Delivery Method: Cash settlement // Centrally Cleared Swaps Daily Settlement: Clearing member and clearing house (ASIGNA) must carry out the daily settlement of their clients’ obligations and this settlement shall incorporate, profits and losses, update of Margins (Clearing Fund), accrued interests, and any fees incurred Position limits: The maximum number of Open Contracts in one Class that a Client may hold is established by MEXDER and the clearing house, and published through the Derivatives Market Indicators Bulletin. Clients may open new positions in excess, in order to hedge risks The maximum number of Open Contracts in one Class that a Client may hold is established by MEXDER and the clearing house, and published through the Derivatives Market Indicators Bulletin. Clients may open new positions in excess, in order to hedge risks Bloomberg Tickers: “MMDD
Formulas = Vp P2 < P1
8IFSF 7Q7BMVFPGUIFUJDL SPVOEFEUPUXPEFDJNBMQPJOUT7BSJBCMFEFQFOEBOUPOUIFBOOVBMZJFMESBUFPGUIF4XBQ'VUVSFTUSBEFEPO.&9%&3 1Z15IFQSJDFTPG4XBQ'VUVSFT$POUSBDUTDBMDVMBUFEXJUIBIBMGCBTJTQPJOUJOUFSWBMJOUIFSBUF
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5IF1SJDFPGUIF4XBQ'VUVSF$POUSBDUJTDBMDVMBUFEVTJOHUIFGPMMPXJOHGPSNVMB
T T − δ = f + − f + r 28 Pn VN * r 1 r * 1 * 36000
8IFSF bGPSZFBS4XBQBOEGPSZFBS4XBQ 1/1SJDFPGUIF4XBQ'VUVSFT$POUSBDUSPVOEFEUPEFDJNBMQMBDFT 7/'BDF7BMVFPGUIF4XBQ'VUVSFT$POUSBDU 5G'JYFE3BUFQVCMJTIFECZ.&9%&3JOJUTCVMMFUJO UPEFDJNBMQMBDFT S'VUVSF3BUFPGBOOVBMJTFEZJFMEPGUIFZFBSPSZFBS4XBQEFQFOEJOHPOUIFDPOUSBDU BUUIFNBUVSJUZUFSNPGUIF'VUVSFTDPOUSBDU FYQSFT TFEJOQFSDFOUBHFUFSNTBOESPVOEFEUPUIFOFBSFTUUJDL 5SBEF3BUF %BJMZ4FUUMFNFOU3BUF PS4FUUMFNFOU3BUFBU.BUVSJUZ BTUIFDBTFNBZCF
5IFGSBDUJPO5GSJTUSVODBUFEUPEFDJNBMQMBDFT 5IFUJNFGBDUPS '5 PCUBJOFEGSPN UPNBLFUIFSBUFBQFSDFOUBHF JTUSVODBUFEUPEFDJNBMQMBDFT '5 5IFFYQSFTTJPO S '5 ?" JTUSVODBUFEUPEFDJNBMQMBDFT 4JNJMBSMZ UIFFYQSFTTJPO 5GS # JTUSVODBUFEUPEFDJNBMQMBDFT 5IFQSPEVDUPG"Y#JTUSVODBUFEUPEFDJNBMQMBDFT
*OUFSFTUSBUFWPMBUJMJUJFT
4.5.1. Swaption TIIE (OTC)
Description: "&VSPQFBOTXBQUJPOJTBOPQUJPOPOB5**&TXBQXIJDIHSBOUTUIFCVZFS MPOHQPTJUJPO UIFSJHIUCVUOPUUIF PCMJHBUJPOUPFOUFSJOUPB5**&TXBQBUBGVUVSFEBUF FYFSDJTFEBUF JOFYDIBOHFGPSUIFQBZNFOUPGBQSFNJVNUP UIFTFMMFS TIPSUQPTJUJPO 5IJTLJOEPGPQUJPOJTUSBEFE05$ PWFSUIFDPVOUFS JFEJSFDUMZCFUXFFODPVOUFSQBSUJFT TJODFUIFZBSFDPOUSBDUTUBJMPSFEUPDVTUPNFSTSFRVJSFNFOUT 5IFSFBSFUXPNBJOLJOETPGTXBQUJPOT s 1BZFSTXBQUJPOT XIJDIHJWFUIFCVZFSUIFSJHIUUPFOUFSJOUPBOJOUFSFTUSBUFTXBQXIFSFUIFZQBZUIFŢJYFE SBUFQBZFSBOESFDFJWFUIFŢMPBUJOHSBUF)PMEFSTPGQBZFSTXBQUJPOTFOUFSJOUPUIFVOEFSMZJOHTXBQXIFOUIF QSFWBJMJOHQBSTXBQSBUFBUUIFNBUVSJUZPGUIFPQUJPOJTBCPWFUIFQSFEFŢJOFESBUF TUSJLF s 3FDFJWFSTXBQUJPOT XIJDIBMMPXUIFCVZFSUPFOUFSJOUPBOJOUFSFTUSBUFTXBQXIFSFUIFZSFDFJWFUIFŢJYFESBUF BOEQBZUIFŢMPBUJOHSBUF)PMEFSTPGSFDFJWFSTXBQUJPOTFOUFSJOUPUIFVOEFSMZJOHTXBQJGUIFQSFWBJMJOHQBS TXBQSBUFBUUIFNBUVSJUZPGUIFPQUJPOJTMPXFSUIBOUIFQSFEFŢJOFESBUF TUSJLF
General Characteristics
Payer swaption Swaption seller BBVA or the client Swaption Buyer The client or BBVA Option Style European Premium % of the notional amount expressed in basis points Premium Payment Date To Be Defined Swaption Exercise Date To Be Defined $POUJOVFEPOOFYUQBHF
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Contract characteristics (Continues) Settlement Swap delivery: If the buyer exercises their option, both parties enter into the underlying swap. Cash: If the buyer exercises their option, two business days after the exercise date, they will receive the market price of the underlying swap on the exercise date. Underlying Swap Notional Amount To Be Defined Swap Effective Date To Be Defined Swap Maturity Date To Be Defined Business Day Convention Modified following Short position pays 28-day TIIE Short position Payment Dates 28 days Short position Daycount Act/360 Long position pays MXN Fixed rate (strike) To Be Defined Long position Payment Dates 28 days Long position Day Count Act/360 Calculation Agent BBVA
Receiver swaption Swaption seller BBVA or the client Swaption Buyer The client or BBVA Option Style European Premium % of the notional amount expressed in basis points Premium Payment Date To Be Defined Swaption Exercise Date To Be Defined Settlement Swap Delivery: If the buyer exercises their option, both parties enter into the underlying swap. Cash: If the buyer exercises their option, two business days after the exercise date they will receive the market value of the underlying swap on the exercise date. Underlying Swap Notional Amount To Be Defined Effective Date To Be Defined Maturity Date To Be Defined Business Day Convention Modified following Short position pays MXN Fixed rate (strike) To Be Defined Short position Payment Dates 28 days Short position Day Count Act/360 Long position pays 28d TIIE Long position Payment Dates 28 days Long position Day Count Act/360 Calculation Agent BBVA
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Example "DMJFOUXIPQBZTE5**&POBMPBOXBOUTUPTXBQUIJTMJBCJMJUZGPSBŢJYFESBUFJOTUSVNFOU)PXFWFS UIFDMJFOU JTXPSSJFEUIBUJOUIFOFYUNPOUIUIF5**&XJMMGBMM5IFSFGPSF UIFDMJFOUDBOCVZBQBZFSTXBQUJPOUIBUXPVMEHJWF UIFNUIFSJHIUUPTXBQUPBŢJYFESBUFJOBNPOUITUJNF*OBNPOUI JGUIF5**&IBTSJTFOJOUIFNBSLFU UIFDMJFOUXJMM FYFSDJTFUIFTXBQUJPO PUIFSXJTF UIFZXJMMOPUFYFSDJTFUIFTXBQUJPO
4.5.2. Caps/Floors TIIE (OTC) $BQT DBMMPQUJPOT BSFDPOUSBDUTCFUXFFOUXPQBSUJFTXIFSFCZUIFTFMMFS TIPSUQPTJUJPO BHSFFTUPQBZUIFCVZFS MPOHQPTJUJPO BUTQFDJŢJDUJNFQFSJPET UIFEJŇFSFODFCFUXFFOUIFE5**&BOEBTQFDJŢJFEMFWFM TUSJLFSBUF PWFS UIFPVUTUBOEJOHOPUJPOBMGPSUIFDPSSFTQPOEJOHZFBSGSBDUJPOSFMBUFEUPUIFQFSJPE JOFYDIBOHFGPSBOVQGSPOU QSFNJVN
Cap TIIE Flows
Max (TIIE-Strike, 0)
Client Cap provider
Cap Premium payment
4PVSDF##7"3FTFBSDI.ÈYJDP
'MPPST QVUPQUJPO BSFBHSFFNFOUTXIFSFCZUIFTFMMFSBHSFFTUPQBZUIFCVZFSXIFOUIFSFGFSFODFSBUFGBMMTCFMPX UIFTUSJLFSBUF"CVZFSŢMPPSIFEHFTBHBJOTUBGBMMJOUIFSFGFSFODFSBUFGPSBTQFDJŢJFEQFSJPE
Floor TIIE Flows Max (Strike - TIIE, 0)
Client Floor provider
Floor Premium payment
4PVSDF##7"3FTFBSDI.ÈYJDP
$BQTBOEŢMPPSTBSFUSBOTBDUFE05$BOEDBOCFDPNCJOFEUPDSFBUFDPMMBSTTJNVMUBOFPVTMZCVZJOHB5**&DBQBOE TFMMJOHB5**&ŢMPPS JFCVZJOHBDPMMBS PSTFMMJOHB5**&DBQBOECVZJOHB5**&ŢMPPS JFTFMMJOHBDPMMBS "OPUIFS QPQVMBSDPNCJOBUJPOJTBTUSBEEMF MPOHTUSBEEMFCVZDBQBOEŢMPPSXJUIUIFTBNFTUSJLFTIPSUTUSBEEMFTFMMDBQ BOEŢMPPSXJUIUIFTBNFTUSJLF
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General Characteristics Notional Amount To Be Defined Effective Date To Be Defined Maturity Date To Be Defined Business Day Convention Modified following Option Cap Floor Premium Payer Cap buyer Floor buyer Premium % of the notional amount % of the notional amount expressed in basis points expressed in basis points Floating Amounts Premium Payment Date Effective Date Effective Date Payoff Max(0%,Index-Cap Strike) Max(Floor Strike – Index,0%) *Notional*(# of days/360) *Notional*(# of days/360) Strike X% To Be Defined Index 28d TIIE Payment Dates 28 days Day Count Act/360 Calculation Agent BBVA
Example $MJFOUh$vCVZTB$BQGSPN##7"CBTFEPOUIFEBZ5**&XJUIBTUSJLFPG POBOPUJPOBMBNPVOUPG.9/NO 5IFDPOUSBDUJTGPSŢJWFZFBST6OEFSUIJTBHSFFNFOU FWFSZEBZTGPSUIFOFYUŢJWFZFBST ##7"XJMMQBZ$XIFOFWFS UIFE5**&FYDFFET'PSJOTUBODF JGEBZTGSPNOPXUIFEBZT5**&JT ##7"XJMMQBZ$
28 ()7% - 5% 100,000,000 = 155,555.56 360
)PXFWFS JGUIFEBZT5**&JTPSMPXFS ##7"EPFTOPUIBWFUPQBZBOZUIJOHUP$ 'PSŢMPPSDPOUSBDUT BTTVNJOHUIFTBNFUFSNTBTUIPTFGPSUIFDBQDPOUSBDU JGUIFE5**&JT ##7"EPFTOPU IBWFUPQBZBOZUIJOHUP$)PXFWFS BTTVNJOHUIFEBZT5**&JT $XJMMSFDFJWFUIFGPMMPXJOH
28 ()5% - 4% 100,000,000 = 77,777.78 360
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&RVJUZ .FYJDBO4UPDL&YDIBOHF 4IBSFTBSFMJTUFEPOUIF#PMTB.FYJDBOBEF7BMPSFT #.7 PS.FYJDBO4UPDL&YDIBOHF5IF.FYJDBOFRVJUZNBSLFU JTDPNQPTFEPGMPDBMTIBSFT GPSFJHOMJTUFETIBSFT TUPDLTUSBEFEPOUIF4*$ *OUFSOBUJPOBM2VPUJOH4ZTUFN BOE USBDLFSTXJUIFRVJUZBOEŢJYFEJODPNFVOEFSMZJOHBTTFUT
Mexican Stock Exchange Issuers Domestic (Fully Listed) 134 “Sociedad Anónima Promotora de Inversión Bursátil” 2 (SAPIB) Foreign 5 SIC 572 Trackers 14 4PVSDF##7"3FTFBSDI.ÈYJDP
5IFTFDUPSCSFBLEPXOTGPSUIFEPNFTUJDNBSLFUBOEUIF*1$ UIFNPTUSFQSFTFOUBUJWFJOEFY BSFUIFGPMMPXJOH
Domestic market breakdowns Most representative index, IPC breakdown (% (% of market capitalization) of market capitalization)
Telecommunications Basic Materials Telecommunications Basic Materials
9.1% Consumer Consumer Goods 10.3% Goods 29.8% 35.2% 18.0% 15.8%
Consumer 13.9% Consumer 21.1% 22.0% 9.1% Services Industrials Services Industrials 6.9% 8.2% Health Care, 0.5% Financials Financials
4PVSDF##7"3FTFBSDI.ÈYJDP 4PVSDF##7"3FTFBSDI.ÈYJDP
5IF#.7IBTBNBSLFUDBQJUBMJ[BUJPOPGBSPVOECJMMJPO64% XIJMFUIF*1$TNBSLFUDBQJUBMJ[BUJPOJTBSPVOEB UIJSEPGUIJTŢJHVSF8IFSFBTUIFNBSLFUDBQJUBMJ[BUJPOPGUIFTIBSFTMJTUFEPOUIF*1$BDDPVOUTGPSBCJUNPSFUIBO PGUIF.FYJDBONBSLFU UIFJOEFYJODMVEFTPOMZUIFŢMPBUFETIBSFTPGUIFTFSJFTMJTUFEPOUIFJOEFY
$VTUPNFS&YFDVUJPO4FSWJDFTBOE.BSLFU.BLJOH 5IFNBJOTFSWJDFTBWBJMBCMFJOUIF.FYJDPFRVJUZNBSLFUBSF J JOUFSNTPGTUPDLTMJTUFEPOUIF#.7 DVTUPNFS FYFDVUJPOBOENBSLFUNBLJOHTFSWJDFTGPSUIFNPTUMJRVJETUPDLT JJ JOUFSNTPGTIBSFTMJTUFEPOUIF4*$ DVTUPNFS FYFDVUJPO TFSWJDFT BOE JJJ JO UFSNT PG &YDIBOHF5SBEFE 'VOET &5' GPS /BGUSBD .FYUSBD BOE #SUSBD ##7" #BODPNFSJTUIFTQPOTPSPGUIFMBUUFSUXP&5'T GPSXIJDIJUQSPWJEFTNBSLFUNBLJOHTFSWJDFT
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5.1.1. Stocks Highlights (MSE) Stocks: Brief description Name Generals Company Description ALFA, S.A.B. DE C.V. Ticker BMV: ALFA ALFA is a Mexican company made up of four business groups: Alpek (petrochemi- Bloomberg: ALFAA MM cals), Nemak (aluminium auto parts), Sigma (refrigerated foods), and Alestra Reuters: ALFAA.MX (telecommunications). Internationally, Alfa is a leading manufacturer of aluminium Web: www.alfa.com.mx engine heads and monoblocks. It is one of the world’s leading producers of PTA, a petrochemical product, and has a privileged market position in other petrochemi- cals in Mexico. ALSEA, S.A.B. DE C.V. Ticker BMV: ALSEA ALSEA is a leading developer and operator of fast-food restaurants, with brands Bloomberg: ALSEA* MM of proven success. In Mexico and Brazil, it operates Domino’s Pizza, and in Mexico, Reuters: ALSEA.MX Starbucks Coffee, El Pan Caliente, and Burger King. Web: www.alsea.com.mx AMERICA MOVIL, S.A.B. Ticker BMV: AMX AMX provides national and international telecommunication services to residen- DE C.V. Bloomberg: AMXL MM tial and commercial customers, through a wide range of activities. Reuters: AMXL.MX Web: www.americamovil.com CONSORCIO ARA, S.A.B. Ticker BMV: ARA ARA has extensive experience in the construction of entry-level, middle-income, DE C.V. Bloomberg: ARA* MM upper-income and tourist homes, and continues to position itself as a leading firm, Reuters: ARA.MX with enviable financial strength. It has been recognised by the Mexican Stock Web: www.consorcioara.com.mx Exchange and has built more than 150,000 homes to date. EMBOTELLADORAS Ticker BMV: ARCA ARCA is a holding company whose main subsidiaries are engaged in the produc- ARCA, S.A.B. DE C.V. Bloomberg: ARCA* MM tion and sale of carbonated and non-carbonated soft drinks. Arca was created in Reuters: ARCA.MX 2001 through the integration of three of Mexico’s oldest bottling groups, and has Web: www.e-arca.com.mx become the second largest bottler of Coca-Cola Products in Mexico and Latin America. GRUPO Ticker BMV: ASUR Manages and operates airports and supplies airports with complementary and AEROPORTUARIO DEL Bloomberg: ASURB MM commercial services, and builds and/or exploits civil air landing fields under the SURESTE, S.A.B. DE C.V. Reuters: ASURB.MX terms of the Airport Law. Web: www.asur.com.mx COMPAÑIA MINERA Ticker BMV: AUTLAN AUTLAN produces and sells various kinds of manganese minerals and ferroalloys. AUTLAN, S.A.B. Bloomberg: AUTLANB MM DE C.V. Reuters: AUTLANB.MX Web: www.autlan.com.mx AXTEL, S.A.B. DE C.V. Ticker BMV: AXTEL AXTEL is a company that supplies telecommunication services. Bloomberg: AXTELCPO MM Reuters: AXTELCPO.MX Web: www.axtel.com.mx GRUPO BIMBO, S.A.B. Ticker BMV: BIMBO BIMBO owns companies engaged in the preparation and distribution of food DE C.V. Bloomberg: BIMBOA MM products. Reuters: BIMBOA.MX Web: www.grupobimbo.com CEMEX, S.A.B. Ticker BMV: CEMEX CEMEX is a global construction industry solutions provider that offers high-quality DE C.V. Bloomberg: CEMEXCP MM products and reliable services to clients and communities in four continents. Reuters: CEMEXCPO.MX Web: www.cemex.com $POUJOVFEPOOFYUQBHF
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Stocks: Brief description (Continues) Name Generals Company Description CORPORACION MOCT- Ticker BMV: CMOCTEZ CMOCTEZ is a controlling company whose subsidiaries specialise in the produc- EZUMA, Bloomberg: tion, transportation and pumping of read-mix concrete. S.A.B. DE C.V. Reuters: CMOCTEZ.MX Web: www.cmoctezuma.com.mx CONTROLADORA COM- Ticker BMV: COMERCI COMERCI is a holding company of firms engaged primarily in the operation of ERCIAL Bloomberg: COMERUBC MM supermarkets selling a wide variety of merchandise, and in restaurant operations. MEXICANA, Reuters: COMERCIUBC.MX S.A.B. DE C.V. Web: www.comerci.com.mx GRUPO Ticker BMV: CONTAL CONTAL is a holding company of subsidiaries involved in a variety of areas, pri- CONTINENTAL, S.A.B. Bloomberg: CONTAL* MM marily the bottling of Coca-Cola products. Reuters: CONTAL.MX Web: www.contal.com CYDSA, S.A.B. DE C.V. Ticker BMV: CYDSASA CYDSASA, a holding company of industrial, commercial and service companies Bloomberg: CYDSASAA MM operating in a variety of areas. Reuters: CYDSASAA.MX Web: www.cydsa.com.mx GRUPO ELEKTRA, S.A. Ticker BMV: ELEKTRA ELEKTRA is a holding and real-estate company engaged in the acquisition, DE C.V. Bloomberg: ELEKTRA* MM management, and leasing of property to Salinas y Rocha, S.A., for its commercial Reuters: ELEKTRA.MX operation. Web: www.elektra.com.mx FOMENTO Ticker BMV: FEMSA FEMSA makes, distributes, and sells soft drinks and beer, and also owns the largest ECONOMICO Bloomberg: FEMSAUBD MM convenience store chain in Mexico. MEXICANO, Reuters: FEMSAUBD.MX S.A.B. DE C.V. Web: www.femsa.com GRUPO Ticker BMV: GAP GAP supplies airport services through the twelve airports the company operates AEROPORTUARIO DEL Bloomberg: GAPB MM in the Pacific region. PACIFICO, Reuters: GAPB.MX S.A.B. DE C.V. Web: www.aeropuertosgap.com.mx GRUPO CARSO, S.A.B. Ticker BMV: GCARSO GCARSO is a conglomerate that owns subsidiaries engaged in various areas of DE C.V. Bloomberg: GCARSOA1 MM economic activity. Reuters: GCARSOA1.MX Web: www.gcarso.com.mx GRUPO CEMENTOS DE Ticker BMV: GCC GCC is a leading producer and seller of cement, ready-mix, aggregates, and ser- CHIHUAHUA, S.A.B. DE Bloomberg: GCC* MM vices relating to the construction industry in Mexico and the United States, and it C.V. Reuters: GCC.MX has a significant stake in the Bolivian cement market leader. Web: www.gcc.com CORPORACION GEO, Ticker BMV: GEO GEO designs, develops, builds, and sells housing units. S.A.B. DE C.V. Bloomberg: GEOB MM Reuters: GEOB.MX Web: www.casasgeo.com GRUPO FAMSA, S.A.B. Ticker BMV: GFAMSA GFAMSA sells domestic and imported household appliances, furniture, and cloth- DE C.V. Bloomberg: GFAMSAA MM ing, in Mexico. Reuters: GFAMSAA.MX Web: www.grupofamsa.com $POUJOVFEPOOFYUQBHF
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Stocks: Brief description (Continues) Name Generals Company Description GRUPO FINANCIERO Ticker BMV: GFINBUR GFINBUR is a pure holding company of stock in companies that supply financial INBURSA, S.A.B. DE C.V. Bloomberg: GFINBURO MM services. Reuters: GFINBURO.MX Web: www.inbursa.com GRUPO FINANCIERO Ticker BMV: GFNORTE GFNORTE is a holding company of firms that provide financial services. BANORTE, S.A.B. DE C.V. Bloomberg: GFNORTEO MM Reuters: GFNORTEO.MX Web: www.banorte.com GRUPO MEXICO, S.A.B. Ticker BMV: GMEXICO GMEXICO is a mining company engaged in the processing of copper, zinc, silver, DE C.V. Bloomberg: GMEXICOB MM gold, lead, and molybdenum. Reuters: GMEXICOB.MX Web: www.gmexico.com GRUPO MODELO, S.A.B. Ticker BMV: GMODELO GMODELO is a leader in the production, distribution, and sale of beer in Mexico. DE C.V. Bloomberg: GMODELOC MM Reuters: GMODELOC.MX Web: www.gmodelo.com.mx GRUMA, S.A.B. DE C.V. Ticker BMV: GRUMA GRUMA, S.A. de C.V., is the world´s largest producer of corn and flour tortillas. Bloomberg: GRUMAB MM Reuters: GRUMAB.MX Web: www.gruma.com GRUPO HERDEZ, S.A.B. Ticker BMV: HERDEZ Herdez is a company that processes food products DE C.V. Bloomberg: Reuters: HERDEZ.MX Web: www.grupoherdez.com.mx CONSORCIO Ticker BMV: HOGAR HOGAR is a company that develops and promotes real-estate projects, with more HOGAR, S.A.B. Bloomberg: HOGARB MM than 13 years of experience in the industry. Hogar’s objective is to create highly DE C.V. Reuters: HOGARB.MX competitive real-estate investment alternatives for its clients. Web: www.hogar.com.mx DESARROLLADORA Ticker BMV: HOMEX HOMEX is a housing developer. HOMEX, S.A.B. Bloomberg: HOMEX* MM DE C.V. Reuters: HOMEX.MX Web: www.homex.com.mx EMPRESAS ICA, S.A.B. Ticker BMV: ICA ICA is a holding company of firms engaged in heavy construction, industrial and DE C.V. Bloomberg: ICA* MM urban construction, and various engineering and service projects. Reuters: ICA.MX Web: www.ica.com.mx INDUSTRIAS CH, S.A.B. Ticker BMV: ICH ICH is a Mexican company engaged in the production of steel, with plants in DE C.V. Bloomberg: ICHB MM Mexico, the United States, and Canada. Its main product lines are specialty steels, Reuters: ICHB.MX welded pipe, commercial profiles, structural profiles, and rebar. Web: www.industriasch.com.mx KIMBERLY - CLARK DE Ticker BMV: KIMBER KIMBER is engaged in the manufacturing and marketing of consumer products for MEXICO, S.A.B. DE C.V. Bloomberg: KIMBERA MM personal health care and institutions. Reuters: KIMBERA.MX Web: www.kimberly-clark.com.mx $POUJOVFEPOOFYUQBHF
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Stocks: Brief description (Continues) Name Generals Company Description COCA-COLA FEMSA, Ticker BMV: KOF KOF is a holding company that owns shares in the operating companies of Grupo S.A.B. DE C.V. Bloomberg: KOFL MM Femsa’s soft drink division. Reuters: KOFL.MX Web: www.coca-cola-femsa.com.mx MAXCOM TELECOMUNI- Ticker BMV: MAXCOM Maxcom is a telecommunication firm that supplies local, long- distance, voice over CACIONES, S.A.B. DE C.V. Bloomberg: MAXCOMCPO MM IP, public telephone, data, Internet, pay TV over IP, administrative, and mobile tele- Reuters: MXCMCPO.MX phony services, through state-of- the-art technology to create solutions designed Web: http://www.maxcom.com/ to exceed the specific needs of its customers and provide them greater benefits. MEGACABLE Ticker BMV: MEGA Mega is a holding company that controls companies engaged in activities relating HOLDINGS, S.A.B. DE C.V. Bloomberg: MEGACPO MM to cable television services. Reuters: MEGACPO.MX Web: www.megacable.com.mx MEXICHEM, S.A.B. DE Ticker BMV: MEXCHEM MEXCHEM is a company engaged in the production of chemical products, petro- C.V. Bloomberg: MEXCHEM* MM chemicals, and hydrofluoric acid and the extraction of fluorite. Reuters: MEXCHEM.MX Web: www.mexichem.com.mx GRUPO AEROPORTU- Ticker BMV: OMA OMA operates and administers 13 international airports in nine states of central ARIO DEL CENTRO Bloomberg: OMAB MM and northern Mexico, located in the cities of Monterrey (Mexico’s third largest NORTE, SAB DE CV Reuters: OMAB.MX metropolitan area); Acapulco, Mazatlan, and Zihuatanejo, which are major tourist Web: www.oma.aero destinations, and nine other regional centres and border cities. INDUSTRIAS Ticker BMV: PE&OLES PEÑOLES is a holding company of subsidiaries engaged in the mining, foundry, PEÑOLES, S.A.B. DE C.V. Bloomberg: PE&OLES* MM refinery, and manufacture of non-ferrous metals and the manufacture of chemical Reuters: PENOLES.MX products and refractory products. Web: www.penoles.com.mx SARE HOLDING, S.A.B. Ticker BMV: SARE SARE is engaged in the development, promotion, design, construction, and sale of DE C.V. Bloomberg: SARE MM entry-level, low-, middle-, upper-income and tourist homes, and also supplies other Reuters: SAREB.MX real-estate services. The company has a leadership position in market niches like Web: www.sare.com.mx middle- and upper-income housing in Mexico City. It currently has a presence in 10 states of Mexico. SARE owns capital stock in subsidiaries that promote housing for entry-level, middle- and upper-income homes, as well as the provision of real- estate services. GRUPO SIMEC, S.A.B. Ticker BMV: SIMEC SIMEC is a Mexican company engaged in the production of steel, with plants in DE C.V. Bloomberg: SIMECB MM Mexico, the United States, and Canada. Reuters: SIMECB.MX Web: www.simec.com.mx ORGANIZACION SORI- Ticker BMV: SORIANA SORIANA is a company engaged in the sale of basic articles like groceries, clothing, ANA, S.A.B. Bloomberg: SORIANAB MM and house wares, through supermarket formats. DE C.V. Reuters: SORIANAB.MX Web: www.soriana.com CARSO GLOBAL TELE- Ticker BMV: TELECOM TELECOM is a holding company of firms whose economic activities are related to COM, S.A.B. Bloomberg: TELECOA1 MM the telecommunication industry. DE C.V. Reuters: TELECOMA1.MX Web: www.cgtelecom.com.mx $POUJOVFEPOOFYUQBHF
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Stocks: Brief description (Continues) Name Generals Company Description TELEFONOS DE MEXICO, Ticker BMV: TELMEX TELMEX is a leader in the Mexican telecommunication industry. Telmex and its S.A.B. Bloomberg: TELMEXL MM subsidiaries offer a wide range of communication, data and video transmission, DE C.V. Reuters: TELMEXL.MX and Internet services, and comprehensive telecommunication services to corpo- Web: www.telmex.com.mx rate clients. GRUPO TELEVISA, S.A. Ticker BMV: TLEVISA TLEVISA is the world´s largest Spanish-speaking media company. Through its Bloomberg: TLEVICPO MM subsidiaries and joint ventures, it produces and transmits television programs for Reuters: TLEVISACPO.MX the domestic and international market, and develops and operates direct-to-home Web: www.televisa.com.mx television services via satellite. TV AZTECA, S.A. Ticker BMV: TVAZTCA TVAZTCA is a company engaged in the production of programming for transmis- DE C.V. Bloomberg: TVAZTCPO MM sion through its own networks, as well as its sale on the domestic market, and the Reuters: TVAZTCACPO.MX sale of advertising time. Web: www.tvazteca.com.mx URBI DESARROLLOS Ticker BMV: URBI URBI is a company engaged in the construction, promotion, and sale of housing. URBANOS, S.A.B. Bloomberg: URBI* MM DE C.V. Reuters: URBI.MX Web: www.urbi.com VITRO, S.A.B. DE C.V. Ticker BMV: VITRO VITRO is a holding company of firms in a variety of areas, primarily the glass Bloomberg: VITROA MM business. Reuters: VITROA.MX Web: www.vitro.com WAL-MART DE Ticker BMV: WALMEX WALMEX is a company that controls discount and clothing stores chains and MEXICO, S.A.B. Bloomberg: WALMEXV MM restaurants. DE C.V. Reuters: WALMEXV.MX Web: www.walmartmexico.com.mx 4PVSDF##7"3FTFBSDI.ÈYJDPXJUI$PNQBOZ%BUB
5.1.2. Exchange-Traded Fund, ETF: Naftrac, Mextrac, and Brtrac &YDIBOHF5SBEFE'VOET &5'T BSFJOWFTUNFOUGVOETUSBEFEPOUIFTUPDLFYDIBOHFJO.FYJDPBOEPS4QBJO&5'T BSFJOEFYGVOETUIBUIPMETUPDLTGSPN.FYJDPBOEPS#SB[JM5IFBEWBOUBHFTPGJOWFTUJOHJO&5'TBSFEJWFSTJŢJDBUJPO PGBGVOEXJUIMPXFSUSBOTBDUJPODPTUTDPNQBSFEUPNVUVBMGVOET JNNFEJBUFMJRVJEJUZ BOEUIFBCJMJUZUPTFMMTIPSU BTXFMMBTCVZPONBSHJOBOEQVSDIBTFBTMJUUMFBTPOFTIBSF
Naftrac 5IF/BGUSBDJTUIFMBSHFTUUSBDLFSPGUIF.FYJDBONBSLFU5IJTUSBDLFSSFQMJDBUFTUIFDPNQPTJUJPOPGUIF*1$T DPNQBOZNJY CSPLFOEPXOBTGPMMPXT5FMFDPNNVOJDBUJPOT 3FUBJMFST .JOJOH $POTUSVDUJPO NBUFSJBMT #BOLT BOE#FWFSBHFT /BGUSBDJTMJTUFEPOUIF#.7BOE-BUJCFYJO4QBJO
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Mextrac ##7"ũ#BODPNFSJTUIFTQPOTPSPG.FYUSBD&5'T
MEXTRAC: General Characteristics BMV Ticker MEXTRAC First Day of Trading Dec-29-09 Expense (%) 0.25% ISIN MX1BME0F0008 Bloomberg Ticker for ETF MEXTRAC Bloomberg Ticker for Underlying Index RENTABLE Reuters Ticker for ETF MEXTRAC09.MX Reuters Ticker for Underlying Index .DT 4PVSDF##7"3FTFBSDI.ÈYJDP
5IFCSFBLEPXOPGUIFVOEFSMZJOHJOEFYGPSUIF.&953"$CZTFDUPSJTBTGPMMPXT
Sector Breakdown MEXTRAC, %
Telecommunications Basic Materials 18.3% 15.3% Consumer Goods
19.3% 19.1% Industrials
9.7% 18.4% Financials Consumer Services
4PVSDF##7"3FTFBSDI.ÈYJDP
Company Weightings Index Composition Short Name Weight AMERICA MOVIL SAB DE C-SER L 10 FOMENTO ECONOMICO MEXICA-UBD 10 GRUPO MEXICO SAB DE CV-SER B 10 GRUPO TELEVISA SA-SER CPO 10 WALMART DE MEXICO-SER V 10 CEMEX SAB-CPO 9.79 GRUPO FINANCIERO BANORTE-O 6.32 ALFA S.A.B.-A 4.38 GRUPO FINANCIERO INBURSA-O 3.92 TELEFONOS DE MEXICO SAB SER 3.88 KIMBERLY-CLARK DE MEXICO-A 3.72 $POUJOVFEPOOFYUQBHF
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Company Weightings (Continues) Index Composition Short Name Weight GRUPO BIMBO SAB- SERIES A 3.69 GRUPO MODELO S.A.B.-SER C 3.56 GRUPO CARSO SAB DE CV-SER A1 2.86 INDUSTRIAS PENOLES SAB DE CV 2.78 MEXICHEM SAB DE CV-* 2.17 GRUPO AEROPORTUARIO DEL-B SH 1.2 CONSORCIO ARA S.A.B.-SER * 0.68 GRUPO AEROPORTUARIO DE SUR-B 0.6 EMBOTELLADORAS ARCA SAB-NOM 0.45 4PVSDF##7"3FTFBSDI.ÈYJDP
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BRTRAC ##7"ũ#BODPNFSJTUIFTQPOTPSPG#353"$&5'T
BRTRAC: General Characteristics BMV Ticker BRTRAC First Day of Trading Mar-04-10 Expense (%) 0.50% ISIN MX1BBR060001 Bloomberg Ticker for ETF BRTRAC Bloomberg Ticker for Underlying Index BMBRATM Reuters Ticker for ETF BRTRAC10.MX Reuters Ticker for Underlying Index .BMB 4PVSDF##7"3FTFBSDI.ÈYJDP
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5IFCSFBLEPXOPGUIFVOEFSMZJOHJOEFYGPSUIF#35"$CZTFDUPSJTBTGPMMPXT
Sector Breakdown BRTRAC, % Utilities 5.1% Telecommunications Basic Materials 8.3% Oil & Gas 10.4% 32.0%
Industrials 7.3%
11.4% Consumer Goods 24.1% Financials 1.4% Consumer Services
4PVSDF##7"3FTFBSDI.ÈYJDP
Company Weightings Index Composition Short Name Weight PETROLEO BRASILEIRO S.A.-ADR 10.42 GERDAU SA -SPON ADR 10.3 VALE SA-SP ADR 10.2 CIA SIDERURGICA NACL-SP ADR 10.15 BANCO BRADESCO-ADR 9.74 COMPANHIA DE BEBIDAS-PRF ADR 9.64 ITAU UNIBANCO HLDNG-PREF ADR 9.53 EMPRESA BRASILEIRA DE AE-ADR 7.34 CEMIG SA -SPONS ADR 5.08 VIVO PARTICIPACOES SA-ADR 4.98 BANCO SANTANDER BRASIL-ADS 4.84 TELE NORTE LESTE PART-ADR 3.31 GAFISA SA-ADR 1.77 TAM SA-SPONSORED ADR 1.38 FIBRIA CELULOSE SA-SPON ADR 1.32 4PVSDF##7"3FTFBSDI.ÈYJDP
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5IF #.7 IBT TQFDJBM DPOTJEFSBUJPOT UP UBLF JOUP BDDPVOU UP FOTVSF UIF DPOUJOVJUZ BOE WJBCJMJUZ PG UIF JOEFY SFQMJDBUJPO*GBOZDPSQPSBUFBDUJWJUZBŇFDUTUIFTUPDLTJOUIFTBNQMF UIF#.7XJMMBEKVTUBDDPSEJOHMZUPNBJOUBJO MJRVJEJUZBOESFQMJDBUJPODIBSBDUFSJTUJDT*GGPSBOZSFBTPOBDPNQBOZMJTUFEJOUIFJOEFYJTBUBSHFUGPSBDRVJTJUJPO NFSHFSPSEFMJTUJOH UIF#.7XJMMSFQMBDFJUXJUIUIFTIBSFTPGUIFOFYUDPNQBOZUIBUNFFUTUIFJOJUJBMSFRVJSFNFOUT
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5.2.1. IPC and Single Stocks Futures
Definition 5IFTFEFSJWBUJWFJOTUSVNFOUTBSFVTFEGPSIFEHJOHBHBJOTUŢ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ŇFSFODFCFUXFFOUIFŢJOBMWBMVFPGUIFJOEFYUIBUJTUIFTVCKFDUPGUIFDPOUSBDU MFTTUIFBHSFFE WBMVF GPSXBSE NVMUJQMJFECZUIFOPUJPOBM5IJTNVMUJQMFJTUIFQSJDFPGPOFJOEFYQPJOU .&9%&3BMTPMJTUTGVUVSFTXIPTFVOEFSMZJOHBTTFUTBSFJOEJWJEVBMTUPDLTTVDIBT"NÈSJDB.ÑWJM-$FNFY$10 (.ÈYJDP#'&.4"6#%($"340"5&-.&9-BOE8BMNFY78IFOUIFGVUVSFNBUVSFT UIFPQFSBUJPOJTTFUUMFE CZQIZTJDBMEFMJWFSZ
IPC Futures
Contract characteristics Face value: 10.00 MXN (ten pesos 00/100) multiplied by IPC value Delivery months: Quarterly cycle for up to one year: March, June, September, and December. Contracts are permanently available for trading. Open interest indicates the number of contracts outstanding. Ticker symbol: 1,000 Bonds, equivalent to 100,000.00 MXN (one hundred thousand Mexi- can pesos 00/100) Delivery months: Quarterly cycle for up to 12 cycles (3 years) Ticker symbol: IPC plus month and year of maturity, i.e. IPCDC03 (December 03) Price units: Absolute value of IPC Minimum 5.00 points of the IPC is worth 10.00 pesos per contract fluctuation (Tick): Maximum daily There is no maximum fluctuation of the future price during a single trading fluctuation: session Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00) Last day of trading: Third Friday of the maturity month Settlement on maturity: First business day following the maturity date. $POUJOVFEPOOFYUQBHF
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Contract characteristics (Continues) Settlement: Settlement is in cash and determined by the difference between the pur- chase price and the IPC price at maturity Daily settlement: ASIGNA will carry out the daily settlement of investor positions, including all profits and losses, the maintenance margin, and accrued interest, etc. The daily price settlement is calculated by MEXDER for each series Initial margin: Amount needed to start the contract in order to guarantee obligations. De- posit could be in cash or liquid securities in pesos (CETES, MBONOS, etc.) Maintenance margin: Margin “calls” for the buyer’s account or margin “withdraws” for the seller’s account must be done if the price agreed in the contract is higher than the daily settled price or vice versa.
Types of operation *1$GVUVSFTBSFDMBTTJŢJFECBTFEPOUIFSJHIUTBOEPCMJHBUJPOTUIBUUIFZDPOGFSVQPOQBSUJDJQBOUT BTGPMMPXT B #VZJOH*1$GVUVSFT5IFCVZFSXJMMCFFOUJUMFEUPSFDFJWFUIFTFUUMFNFOUBUNBUVSJUZJO.9/ GPSNVMB# JGUIF hDVSSFOU*1$MFWFMvJTIJHIFSUIBOUIFhBHSFFE*1$MFWFMvPUIFSXJTFIFNVTUQBZUIFTFUUMFNFOU GPSNVMB" C 4FMMJOH*1$GVUVSFT5IFTFMMFSXJMMCFFOUJUMFEUPSFDFJWFUIFOPUJPOBMBNPVOUJO.9/ GPSNVMB" JGUIFhDVSSFOU *1$MFWFMvJTMPXFSUIBOUIFhBHSFFE*1$MFWFMvPUIFSXJTFIFNVTUQBZUIFOPUJPOBM GPSNVMB#
Formula
A) Settlement on maturity MXN$10.00 * (IPCA - IPCt )
B) Settlement on maturity MXN$10.00 * (IPCt - IPCA ) 8IFSF
*1$U$MPTJOHMFWFMPG*1$POEBZhUv
*1$""HSFFEMFWFMPG*1$ U$POUSBDUNBUVSJUZEBZ
Examples 1. “Sell” IPC futures "OJOTUJUVUJPOBMJOWFTUPSXPVMEMJLFUPIFEHFBSFUVSOPOIJTQPSUGPMJPGPS%FDFNCFS BOEUIFSFGPSFIFTFMMTBO *1$GVUVSFTJOTUSVNFOU*GUIF*1$POUIFNBUVSJUZEBUFJTMPXFSUIBOFYQFDUFE UIFJOWFTUPSXJMMSFDFJWFBTFUUMFNFOU UIBUHVBSBOUFFTBNJOJNVNQPSUGPMJPSFUVSO*GUIF*1$SJTFTBCPWFUIFQSJDFBHSFFEPONBUVSJUZEBUF UIFJOWFTUPS NVTUQBZUIFEJŇFSFODFCVUHFOFSBUFTBTVSQMVTJOIJTMPOHQPTJUJPOJOTUPDLT *OBOZDBTF UIFŢJOBMPVUDPNFJTUIBUUIFJOWFTUPSIBTBIFEHFETUPDLQPTJUJPOBOETFUTBŢMPPSPOUIFQPSUGPMJP SFUVSOSFHBSEMFTTPGUIF#.7TQFSGPSNBODF s Initial data: - /VNCFSPGDPOUSBDUTQVSDIBTFECZUIFJOWFTUPS*1$%$GVUVSFT - -FWFMBHSFFEGPSUIFGVUVSFTBU%FDFNCFS QUT 4DFOBSJP UIFTUPDLNBSLFUEFDMJOFT "DUVBMMFWFMBUNBUVSJUZPGUIFGVUVSFJO%FDFNCFS QUT "NPVOUQBZBCMFTFDVSJUJFT .9/ *OUIJTFYBNQMF UIFJOWFTUPSSFDFJWFTBTVSQMVTCZVTJOH*1$GVUVSFTPOUIF.&9%&3TJODFUIFBHSFFEMFWFMXBT IJHIFSUIBOUIFBDUVBMMFWFM 4DFOBSJP UIFTUPDLNBSLFUPVUQFSGPSNTFYQFDUBUJPOT "DUVBMMFWFMPOUIFGVUVSFTNBUVSJUZJO%FDFNCFS QUT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
"NPVOUPGTFUUMFNFOUBHBJOTUTFDVSJUJFT n .9/ 5IF*1$FYDFFEFEUIFNJOJNVNMFWFMQSPKFDUFE5IFDVTUPNFSUIFSFGPSFQBJEUIFEJŇFSFODFBOEPCUBJOFEUIF SFUVSOFTUJNBUFEJOJUJBMMZ 2. “Buy” IPC futures *OUIFPQQPTJUFDBTF BOJOWFTUPSOFFETUPFOTVSFQVSDIBTFPGBTUPDLQPSUGPMJPJO%FDFNCFSIFODF IF EFDJEFTUPCVZBO*1$GVUVSFTJOTUSVNFOU s Initial data: - /VNCFSPGDPOUSBDUTQVSDIBTFECZUIFJOWFTUPSGVUVSFT*1$%$ - -FWFMBHSFFEGPSUIFGVUVSFTBU%FDFNCFS QUT 4DFOBSJP UIFTUPDLNBSLFUPVUQFSGPSNTUIFGVUVSFT "DUVBMMFWFMPOUIFGVUVSFTNBUVSJUZJO%FDFNCFS QUT "NPVOUQBZBCMFTFDVSJUJFT .9/ *OUIJTDBTF UIFJOWFTUPSSFDFJWFTBTVSQMVTBTMPOHBTUIFDVSSFOUMFWFMXBTIJHIFSUIBOUIFQSJDFPGUIFGVUVSF 4DFOBSJP 5IFTUPDLNBSLFUVOEFSQFSGPSNTUIFGVUVSFT "DUVBMMFWFMPOUIFGVUVSFTNBUVSJUZJO%FDFNCFS QUT "NPVOUPGTFUUMFNFOUBHBJOTUTFDVSJUJFT ũ .9/ *GUIF*1$VOEFSQFSGPSNTUIFBHSFFEMFWFM UIFDVTUPNFSXPVMEIBWFUPQBZUIFEJŇFSFODF
Single Stocks Futures
Contract characteristics Face value: 100 shares of the underlying stock and its price Delivery months: Maturity months in March, June, September, and December will be available at all times for call (buy) and put (sell) options. Ticker symbol: Maturity months in March, June, September, and December will be available at all times for call (buy) and put (sell) options. Unit of price: Pesos and cents of peso per share Minimum The bid size will be equal to the one used in the underlying negotiation on fluctuation (Tick): the BMV Maximum daily There is no maximum fluctuation of the future price during a single trading fluctuation: session Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00) Last day of trading: Third Friday of the maturity month Settlement on maturity: Third bank business day after the maturity date. Settlement: Settlement is in cash and is based on the difference in the purchase price and the underlying stock price at maturity Daily settlement: ASIGNA will carry out the daily settlement of investor obligations, including all profits and losses, the maintenance margin, and accrued interest, etc. The daily price settlement is calculated by MEXDER for each series
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
5.2.2. IPC Options on Futures Contracts and Single Stock Options
Definition 0QUJPOTPOBO*1$GVUVSFTDPOUSBDUDPVMECFVTFEBTBIFEHJOHJOTUSVNFOUPSUPJODSFBTFTUPDLQPSUGPMJPFYQPTVSF 5IFDPOUSBDUTUZMFVTFEPO.&9%&3JT&VSPQFBO UIFVOEFSMZJOHBTTFUPGXIJDIJTUIF#.7*OEFYh*1$vGVUVSFT DPOUSBDU "MTP PQUJPOTGPSJOEJWJEVBMTUPDLTBSFMJTUFEPO.&9%&3 UIFJOEJWJEVBMDIBSBDUFSJTUJDTPGXIJDIBSFQVCMJTIFECZ .&9%&35IFVOEFSMZJOHTUPDLTBSF"NÈSJDB.ÑWJM-$FNFY$10(.ÈYJDP#/BGUSBD5MFWJTB$108BMNFY 75FMNFY-BOE&5'T4QFDJŢJD5FSNT8IFOBOPQUJPOJTFYFSDJTFE UIFPQFSBUJPOJTTFUUMFECZQIZTJDBMEFMJWFSZ
IPC Options on Futures Contracts
Contract characteristics Face value: 10.00 MXN multiplied by the premium of the option contract Contract kind: Call and put Contract style: European Delivery months: Quarterly cycle for up to one year (for both call and put options): March, June, September, and December Strike price: It is expressed in whole points of the IPC Index and multiples of 50 units. Trading symbols: IP plus 5 digits to specify the strike price and another digit to specify the contract type and maturity month (call: March, “C”; June, “F”; September, “I”; December, “L”. put: March, “O”; June, “R”; September, “U”; December, “X”). For example, “IP 32100C” = call option March and “IP 31900X” = put option December Unit quoted: Absolute value of IPC Minimum One point of the IPC fluctuation (Tick): Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00) Last day of trading Third Friday of the maturity month. and maturity date: Settlement day: First business day following maturity date Intrinsic value at maturity: A call option shall have a positive intrinsic value when the strike price is lower than the closing price of the IPC future with the same maturity date. A put option shall have a positive intrinsic value when the strike price is higher than the closing price of the IPC future with the same maturity date. Otherwise, the intrinsic value on the maturity date shall be zero. Daily settlement: ASIGNA will carry out the daily settlement of investor obligations, including all profits and losses, the maintenance margin, and accrued interest, etc. The daily price settlement is calculated by MEXDER for each series Initial margin: Amount needed to start the contract in order to guarantee obligations. Maintenance margin: Margin “calls” or margin “withdraws” as a function of open positions
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Single Stocks Options
Contract characteristics Face value: 100 shares of the underlying stock and its price Contract types: Calls and Puts Contract style: American (as a general rule) Delivery months: Maturity months in March, June, September, and December will be available at all times for call (buy) and put (sell) options Strike price: Each will vary depending on the price of the underlying stock. They will always be multiples of an interval defined by MEXDER Trading symbols: The first two digits for the underlying asset (“AX”; “CX”; “GM”; “NA”; “TV”; “WA”; and “TX”), plus 5 digits to specify the strike price (three whole digits and two decimals) and another digit to specify the contract type and ma- turity month (Call: March, “C”; June, “F”; September, “I”; December, “L”. Put: March, “O”; June, “R”; September, “U”; December, “X”). For example: América Móvil L (“AX”) AX 2400L = Call option December Cemex CPO (“CX”) CX 2400X = Put option December GMéxico B (“GM”) GM 2400I = Call option September Naftrac 02 (“NA”) NA 1030C = Call option March Tlevisa CPO (“TV”) TV 2400O = Put option March Walmex V (“WA”) WA 2400U = Put option September Telmex L (“TX”) TX 2400F = Call option June
Unit quoted: Contracts quoted in pesos and hundredths of a peso (cents) per underlying asset Minimum 0.01 MXN (exceptions may apply) fluctuation (Tick): Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00) Last day of trading Established by each underlying asset, but is usually the third Friday of the and maturity date: maturity month Settlement day: Established by each underlying asset, but is usually the third business day following the maturity date Intrinsic value at maturity: A call option has a positive intrinsic value when the strike price is lower than the closing stock price on the maturity date. A put option has a positive intrinsic value when the strike price is higher than the closing stock price on the maturity date. Otherwise, the intrinsic value on the maturity date shall be zero. Daily settlement: ASIGNA will carry out the daily settlement of investor obligations, including all profits and losses, the maintenance margin, and accrued interest, etc. The daily price settlement is calculated by MEXDER for each series
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
&RVJUZ'PSXBSET 0QUJPOT BOE4XBQT 05$
5.3.1. Equity Forwards
Description &RVJUZ'PSXBSETBU##7"#BODPNFSBSFMJOFBMEFSJWBUJWFTUIBUDBOCFVTFEBTBIFEHJOHJOTUSVNFOUPSUPUBLF MFWFSBHFECFUTPOUIFTUPDLNBSLFU.BJOBEWBOUBHFTBSFUIBUJUBDDPNQMJTIFTBTZOUIFUJDBMMZMPOHPSTIPSUQPTJUJPO POBOZTUPDL JOEFYPS"%3 BOEJTŢMFYJCMFJOUFSNTPGTJ[FBOEUFOPS"TXJUIBOZPUIFS05$FRVJUZEFSJWBUJWF TIPSUDPNJOHTBSFFYQPTVSFUPNBSLFUSJTL WPMBUJMJUZBOEDSFEJUSJTL
Contract characteristics Issuer: BBVA Bancomer Guarantee BBVA Bancomer Nominal value: Variable Maturity: Up to 5 years subject to underlying asset
Underlying assets are stocks listed on the BMV, according to the list below, which includes maximum tenors as well: Index Description Max Tenor Stock BMBBRART Índice Brasil 15 RT BMV 1 year AMX ADR HOMEX ADR BMBRA15 Índice Brasil 15 BMV 1 year BBD ADR ICA ADR Construye Índice BMV Construye RT 5 years BVN ADR NETC ADR Consumo Índice BMV Consumo frecuente RT 5 years CAIGY ADR OMA ADR Enlace Índice BMV Enlace RT 5 years CEMEX ADR PBR ADR IPC Índice de Precios y 5 years CIG ADR RIO ADR Cotizaciones BMV Rentable Índice BMV Rentable RT 5 years ENI ADR SDA ADR EOC ADR SIMEC ADR FEMSA ADR TELMEX ADR GAP ADR TLEVISA ADR GGB ADR USNZY ADR 4PVSDF##7"3FTFBSDI.ÈYJDP
Formulas and Examples
F = S - I * ert
8IFSF ''PSXBSE-FWFM 44QPU */FU1SFTFOU7BMVFPGUIF%JWJEFOE S*OUFSFTUSBUFPGUIFQFSJPE U5FSN ZFBST
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
-rt Open_Interest_Value = F - F0 * N * e
8IFSF '"HSFFE'PSXBSE1SJDFMFWFM '$VSSFOU'PSXBSEQSJDFMFWFM ./PUJPOBM S*OUFSFTUSBUFPGUIFQFSJPE U5FSN ZFBST
Example " DPNQBOZ TFMMT B GPSXBSE XJUI OPUJPOBM ".9 UP NPOUIT XJUI OPUJPOBM PG TIBSFT BOE TQPU QSJDF PG .9/BOEUIFGPSXBSEQSJDFJT.9/BUNBUVSJUZ5ISFFNPOUITMBUFS s Scenario 1: $VSSFOUQSJDFPG".9JT.9/XJUIBGPSXBSEQSJDFPG.9/)FODF UIFPQFOQPTJUJPO WBMVFJT n .9/ s Scenario 2: $VSSFOUQSJDFPG".9JT.9/XJUIBGPSXBSEQSJDFPG.9/)FODF UIFPQFOQPTJUJPO WBMVFJT n .9/
5.3.2. Equity Options
Description &RVJUZPQUJPOTJO##7"#BODPNFSDPVMECFVTFEBTBIFEHJOHJOTUSVNFOUPSUPJODSFBTFFYQPTVSFUPUIFTUPDL NBSLFU 5IFNBJOBEWBOUBHFTBSFŢMFYJCJMJUZBTSFHBSETTJ[F UFOPSBOEDVSSFODZ &63.9/PS64%.9/ PQUJPOTDBOCF &VSPQFBO "NFSJDBO QMBJOWBOJMMB PS&VSPQFBOCJOBSZEJHJUBMT CJOBSZ "TXJUIBOZPUIFS05$FRVJUZEFSJWBUJWF TIPSUDPNJOHTBSFFYQPTVSFUPNBSLFUSJTL WPMBUJMJUZBOEDSFEJUSJTL
Contract characteristics Issuer: BBVA Bancomer Guarantee BBVA Bancomer Nominal value: Variable Maturity: Up to 5 years subject to underlying asset 4PVSDF##7"3FTFBSDI.ÈYJDP
5IFVOEFSMZJOHBTTFUTBOENBUVSJUJFTUSBEFEBU##7"#BODPNFSBSF
Stock Description Max. Term AMXL América Móvil SAB de CV 2 years CEMEXCPO Cemex SAB de CV 2 years FEMSAUBD Fomento Económico Mexicano SAB de CV 1 year GAPB Grupo Aeroportuario del Pacífico SAB de CV 1 year GMEXICOB Grupo México SAB de CV 1 year HOMEX* Desarrolladora Homex SA de CV 1 year SIMEC Grupo Simec SAB de CV 1 year TELMEX Teléfonos de México SAB de CV 1 year TLEVICPO Grupo Televisa SA 1 year WALMEXV Wal-Mart de México SAB de CV 1 year 4PVSDF##7"3FTFBSDI.ÈYJDP
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Index BMBBRART Índice Brasil 15 RT BMV 14 months IPC Índice de Precios y Cotizaciones BMV 4 years 5IFUFSNJTVQUPZFBST 4PVSDF##7"3FTFBSDI.ÈYJDP
ADR AMX ADR ENI ADR PBR ADR BBD ADR FEMSA ADR SIMEC ADR BVN ADR GAP ADR TELMEX ADR CEMEX ADR GGB ADR TLEVISA ADR CIG ADR HOMEX ADR 4PVSDF##7"3FTFBSDI.ÈYJDP
5.3.3. Equity Swaps
Description &RVJUZ TXBQT BU ##7" #BODPNFS BSF JOTUSVNFOUT UIBU TZOUIFUJDBMMZ SFQMJDBUF B MPOH PS TIPSU QPTJUJPO PO UIF VOEFSMZJOH BTTFU JOEJWJEVBM TUPDLT PS TUPDL JOEJDFT SFHBSEJOH UIF TUSFBN PG QBZPŇT QSJDF EJWJEFOET BOE ŢJOBODJOH 5IFSFGPSF DBTIŢMPXTTXBQQFEBSFVTVBMMZUIFŢMVDUVBUJPOTJOUIFTUPDLQSJDF UIFŢJOBODJOHPWFSUIF OPUJPOBMBNPVOUPGUIFUSBOTBDUJPO BOEUIFBHSFFEEJWJEFOESBUJP5IFFRVJUZTXBQCVZFSBTTVNFTBMPOHQPTJUJPO POBTZOUIFUJDTUPDLPSJOEFYXIFSFBTUIFCVZFSUBLFTUIFTIPSUTJEF6OEFSMZJOHBTTFUTBSFUIFTBNFBTGPSXBSET PQFSBUFEPOUIF05$NBSLFUUISPVHI##7"#BODPNFS 5IFBEWBOUBHFTPGFRVJUZTXBQTBSFUIFJSŢMFYJCJMJUZJOTJ[FBOENBUVSJUZ BMFWFSBHFEFYQPTVSFUPFRVJUZSFUVSOT TUPDLT JOEFYFTPS"%3T FYQPTVSFUPEJWFSTFZJFMEDVSWFT 5**& -*#03 BOE&63*#03 MFWFSBHFETIPSUBOEMPOH QPTJUJPOT BOEIFEHJOHQPSUGPMJPSJTLT5IFNBJOESBXCBDLJTDPVOUFSQBSUZSJTL DSFEJUSJTL
Contract characteristics Issuer: BBVA Bancomer Guarantee BBVA Bancomer Nominal value: Variable Maturity: Up to 5 years subject to underlying asset 4PVSDF##7"3FTFBSDI.ÈYJDP
Formula &WFSZEFMJWFSZEBZ ŢMPXTBSFTFUUMFECFUXFFOCVZFSBOETFMMFSJOGVODUJPOPGTUPDLPSJOEFYSFUVSOBTGPMMPXT
Payable: (S – S0) / S0 * M Receivable: M * (1 + r * t / 360) 8IFSF 44QPUQSJDFBUUIFCFHJOOJOHPGUIFQFSJPE 44USJLFQSJDF BUUIFFOEPGUIFQFSJPE ./PUJPOBM S*OUFSFTUSBUF UUFSN EBZT
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
Example "OJOWFTUPSCVZTBOFRVJUZTXBQQBZJOHEBZ5**& BOESFDFJWJOHUIF*1$SFUVSOXJUIŢMPXTTFUUMFEFBDINPOUI EVSJOHPOFZFBS5IFTQPU*1$JT BOEUIFOPUJPOBMJT.9/ .9/
Equity Swap TIIE-IPC One month later Two months later TIIE28 4.90% 4.95% IPC 32,500 32,400 Flows Payer 100,000,000 * ( (4.9% + 1%) * 30 / 360) = 491,667 100,000,000 * ( (4.95% + 1%) * 30 / 360) = 495,833 Receiver (32,500 – 32,000) / 32,000 * 100,000,000 = (32,400 – 32,500) / 32,400 * 100,000,000 = 1,562,500 -307,692 Net 803,526 4PVSDF##7"3FTFBSDI.ÈYJDP
No part of this report may be copied, conveyed or distributed into the countries in which distribution is prohibited by law, or furnished to any person or entity in those countries. The failure to comply with these restrictions may breach the laws of the relevant jurisdiction. PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT 1¤(*/" )BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT Mexico 2011
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h5PQ3BUFEvBDDPMBEFGPSUFOUIUJNFJOUIFMBTU UIJSUFFOZFBST SBUFEGBSBCPWFUIFMPDBMCFODINBSLBOEDPNQFUJUPST
What do we offer ##7"#BODPNFSPŇFSTBGVMMSBOHFPGTFUUMFNFOUBOEDVTUPEZTFSWJDFTUPJOWFTUPSTGPSTFDVSJUJFTBOEŢJYFEJODPNF TFDVSJUJFT s )PMEJOH JO TBGFLFFQJOH UIF DVTUPNFST QPSUGPMJP BOE BSSBOHF TFUUMFNFOUT PG BOZ QVSDIBTFT BOE TBMFT PG UIFBTTFUTVOEFSDVTUPEZ DPODFOUSBUJOHJOPOFQMBDFBMMUIFUSBOTBDUJPOTPVSDVTUPNFSUSBEFJOUIFMPDBMBM JOUFSOBUJPOBMNBSLFUT TVQQPSUJOHUIFGPMMPXJOHPQFSBUJPOT s 3FDFQUJPOEFMJWFSZWFSTVTQBZNFOU 371%71 s 3FDFQUJPOEFMJWFSZGSFFPGQBZNFOU 3'01%'01 s 0WFSOJHIUPQFSBUJPOT s "%3TJTTVFBOEDBODFMJOH s 8BSSBOUJFTNBOBHFNFOU - GPSDPMMBUFSBMJ[FEPWFSOJHIUPQFSBUJPO - GPSEFSJWBUFTPQFSBUJPOT s 1FSJPEJDSFQPSUJOH1PSUGPMJPEJTUSJCVUJPO DBTIJODPNFTBOEPVUDPNFTBOEUSBOTBDUJPOT s $PSQPSBUFBDUJPOSFQPSUJOHBOEBENJOJTUSBUJPO s %JWJEFOEBOEJODPNFDPMMFDUJPO s 1SPYZTFSWJDFT s 'PSFJHOFYDIBOHFBOEDBTINBOBHFNFOUTFSWJDFT s $VSSFOUOFXTCVMMFUJOTBOENBSLFUJOGPSNBUJPO s 0OMJOFTZTUFNXIJDIBMMPXPVSDMJFOUTUSBDLUIFJSPQFSBUJPOTPOBSFBMUJNFTDIFEVMF
Benefits 8FXPSLXJUIPVSDVTUPNFSTJOBXBZUIBUTVJUTUIFJSBJNTBOEPQFSBUJPOT1SPWJEJOHUIFNXJUIUBJMPSFETPMVUJPOT CBTFEPOUIFJSOFFET PŇFSJOHUIFGPMMPXJOHCFOFŢJUT s 0OMJOFTZTUFNDPOUJOVPVTMZFOIBODFEXIJDIBMMPXPVSDMJFOUTUSBDLUIFJSPQFSBUJPOTPOBSFBMUJNFTDIFEVMF UISPVHIBGSJFOEMZJOUFSGBDF s 48*'5NFTTBHJOHQMBUGPSNDPOTUBOUMZVQEBUFEXJUIFWFSZZFBST48*'5SFMFBTF s $VTUPNJ[FEDMJFOUBOESFHVMBUPSZSFQPSUJOH s %JSFDUSFMBUJPOTIJQXJUIBVUIPSJUJFT $4% TUPDLNBSLFUBOEJTTVFST
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IMPORTANT DISCLOSURES This document and the information, opinions, estimates and recommendations expressed herein, have been prepared by BBVA Global Markets and BBVA 5HVHDUFKDQDI¿OLDWHRI%DQFR%LOEDR9L]FD\D$UJHQWDULD6$ %%9$ DQGRU%%9$%DQFRPHUWRSURYLGHWKHLURULWVFXVWRPHUVZLWKJHQHUDOLQIRUPDWLRQDVRI the date of the report and are subject to changes without prior notice. BBVA Bancomer is not liable for giving notice of such changes or for updating the contents hereof. This document and its contents do not constitute an offer, invitation or solicitation to purchase or subscribe to any securities or other instruments, or to undertake or divest investments. Neither shall this document nor its contents form the basis of any contract, commitment or decision of any kind. For more information please contact the persons included in the directory of this document. The determination of a price target does not imply any warranty that it will be attained. For a discussion of the risks associated with the attainment of price targets, which depend on intrinsic and extrinsic factors that affect both the performance and trends prevailing in the market on which the recommended VHFXULWLHVLVWUDGHGDQGRURIIHUHGSOHDVHUHIHUWRRXUUHFHQWO\SXEOLVKHGGRFXPHQWVZKLFKDUHDYDLODEOHYLDHPDLOFRQWDFWRXUDQDO\VWVRUYLVLWRXULQWHUQHW site www.bancomer.com. Investors who have access to this document should be aware that the securities, instruments or investments to which it refers may not be appropriate for them due to WKHLUVSHFL¿FLQYHVWPHQWJRDO¿QDQFLDOSRVLWLRQRUULVNSUR¿OHIRUWKHVHKDYHQRWEHHQWDNHQLQWRDFFRXQWLQWKHSUHSDUDWLRQRIWKLVUHSRUW7KHUHIRUHLQYHVWRUVVKRXOG make their own investment decisions considering the said circumstances and obtaining such specialized advice as may be necessary. The contents of this document are based upon information available to the public that has been obtained from sources considered to be reliable. 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Editorial Board:
Global Markets: BBVA Research: José Antonio Ordas Jorge Sicilia Octavio Gutiérrez-Engelmann Alvaro Vaqueiro Adolfo Albo (2004 edition) Claudia Ceja Erick Moreno
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Managing Director Global Markets Alvaro Vaqueiro BWBRVFJSP!CCWBCBODPNFSDPN Equity
José Alberto Galván [email protected] Credit
Ricardo Cano [email protected] Rates Currencies & Commodities Sales
Francisco Rivera [email protected] Equity Sales
Juan Carlos Rodríguez [email protected]
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Group Chief Economist Jorge Sicilia [email protected]
Chief Economists & Chief Strategists:
Financial System, Regulation and Public Policies, and Emerging Markets: Pensions: Alicia García-Herrero Santiago Fernández de Lis [email protected] [email protected]
Market & Client Strategy: Antonio Pulido [email protected]
Spain and Europe: United States and Mexico: Rafael Doménech [email protected] Mexico Adolfo Albo [email protected]
Macro Analysis Mexico Julián Cubero [email protected]
Market & Client Strategy
Director Antonio Pulido [email protected] +34 91 374 31 81
Global Equity and Credit Global Fixed Income
Director Director Ana Munera Luis Enrique Rodríguez, CFA [email protected] [email protected] +34 91 374 36 72 +34 91 537 35 87
Equity Latam FX Latam Interest Rates Latam
Chief Analyst Global FX, Chief Strategist Global Interest Rates, Chief Strategist Rodrigo Ortega Dustin T. Reid Pablo Zaragoza [email protected] [email protected] [email protected] +52 55 5621 9701 +5255 5621 9715 +5255 5621 96 16
Equity Mexico, Chief Analyst FX Latam Interest Rates Mexico - Brazil, Chief Strategist Francisco Chávez FX Latam / Mexico Ociel Hernández [email protected] [email protected] +52 55 5621 9703 Claudia Ceja [email protected] +5255 5621 96 16 +5255 5621 9715 Liliana Solís [email protected] +5255 5621 98 77
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