3. Mapeo de la dinámica funcional del SIB
3.8 Funciones externas al SIB
3.8.1 Crecimiento económico (F8)
The U.S. Fed Funds Target Rate is obtained daily from the Federal Reserve.
The yield generated by the U.S. Fed Funds Target Rate between one day and the next business day, can be expressed as:
i t rt+∆t
=
t* ∆
360
where:rt+∆t = Yield of the U.S. Fed Funds Target Rate at day t+∆t.
it = Overnight U.S. Fed Funds Target Rate at day t.
t = Starting date of U.S. Fed Funds Target Rate.
∆t = Number of days between t and the next business day (e.g. ∆t equals three from Friday to Monday).
Daily performance of the U.S. Fed Funds Target Rate can be expressed as an index:
It+∆t = It (1 + rt+∆t) where:
It = Index level on day t(I = 100 on the index issuance date).
Repo – G2i
The Repo – G2i rate is created by Valmer and published on its website.
The yield generated by the Repo – G2i rate between one day and the next business day, can be expressed as:
i t rt+∆t
=
t* ∆
360
where:rt+∆t = Yield of the Repo – G2i rate at day t+∆t.
it = Overnight Repo – G2i rate at day t.
t = Starting date of Repo – G2i rate.
∆t = Number of days between t and the next business day (e.g. ∆t equals three Friday to Monday).
Daily performance of the Repo – G2i rate can be expressed as an index:
It+∆t = It (1 + rt+∆t) where:
It = Index level on day t (I = 100 on the index issuance date).
Appendix D
24hr Indices
Appendix D specifies the calculation details for the 24hr Indices.
Two components are used to in order to calculate the 24hr benchmarks:
• PL24H = The estimated clean price for the next 24 hour period.
• ID24H = The accrued interest for the next 24 hour period.
For any given trading date, t, the clean price (PLt) and yield to maturity (Yt) are known.
Assuming that the yield for the next 24 hour period is fixed, the dirty price for the next 24 hour period (DP24H) can be calculated accordingly:
PL24H = DP24H – ID24H
With PL24H and ID24H, the performance of a security in the 24hr Indices can be calculated with the standard equations in Appendix B.
Appendix E
S&P/Valmer Mexico Government CETES Index Monthly > 1 month MXN
S&P/Valmer Mexico Sovereign 7+ CETES Index Weekly >7 MXN
S&P/Valmer Mexico Sovereign 7 Day CETES Index Weekly = 7 MXN
S&P/Valmer Mexico Sovereign 28 Day CETES Index Weekly = 28 MXN
S&P/Valmer Mexico Sovereign 91 Day CETES Index Weekly = 91 MXN
S&P/Valmer Mexico Sovereign 182 Day CETES Index Weekly > 154 and < 183 MXN S&P/Valmer Mexico Sovereign 364 Day CETES Index Weekly > 308 and < 365 MXN
S&P/Valmer Mexico Sovereign MBONOS Index Weekly > 7 MXN
S&P/Valmer Mexico Sovereign 1-3 Year MBONOS Index Weekly > 360 and < 1080 MXN S&P/Valmer Mexico Sovereign 1500 Days+ MBONOS Index Weekly > 1500 MXN S&P/Valmer Mexico Sovereign 3-5 Year MBONOS Index Weekly > 1094 and < 1821 MXN S&P/Valmer Mexico Government 5-10 Year MBONOS Index Monthly > 1822 and < 3642 MXN S&P/Valmer Mexico Sovereign 10-20 Year MBONOS Index Weekly > 3643 and < 7305 MXN S&P/Valmer Mexico Sovereign 20+ Year MBONOS Index Weekly > 7305 MXN S&P/Valmer Mexico Government 1-5 Year MBONOS Index Monthly > 360 and < 1821 MXN S&P/Valmer Mexico Sovereign 600-1500 Day MBONOS Index Weekly > 600 and < 1500 MXN S&P/Valmer Mexico Government 10 Year MBONOS Index Weekly >1820 and <3641 MXN
S&P/Valmer Mexico Government 7+ Days Index Weekly >7 MXN
S&P/Valmer Mexico Sovereign Bond Index Monthly > 1 month MXN
S&P/Valmer Mexico Sovereign Inflation-Linked UDIBONOS Index Weekly > 7 MXV S&P/Valmer Mexico Government Inflation-Linked 1+ Month
UDIBONOS Index Monthly > 1 month MXV
S&P/Valmer Mexico Government Inflation-Linked 1+ Year UDIBONOS
Index Monthly > 353 MXV
S&P/Valmer Mexico Sovereign Inflation-Linked 3 Year UDIBONOS
Index Weekly > 360 and < 1080 MXV
S&P/Valmer Mexico Sovereign Inflation-Linked 5 Year UDIBONOS
Index Weekly > 1094 and < 1821 MXV
S&P/Valmer Mexico Sovereign Inflation-Linked 10 Year UDIBONOS
Index Weekly > 1822 and < 3642 MXV
S&P/Valmer Mexico Sovereign Inflation-Linked 20 Year UDIBONOS
Index Weekly > 3643 and < 7305 MXV
S&P/Valmer Mexico Sovereign Inflation-Linked 30 Year UDIBONOS
Index Weekly > 7306 MXV
S&P/Valmer Mexico Sovereign International UMS Index Weekly > 365 MXN S&P/Valmer Mexico Government International 1+ Year UMS Index Monthly > 360 MXN S&P/Valmer Mexico Sovereign International UMS Index (US Dollar) Weekly > 365 USD S&P/Valmer Mexico Sovereign International UMS Index (US Issued &
Dollar) Weekly > 365 USD
S&P/Valmer Mexico Sovereign International 5 Year UMS Index Weekly > 360 and < 1801 MXN S&P/Valmer Mexico Sovereign International 5 Year UMS Index (US
Dollar) Weekly > 360 and < 1801 USD
* Unless otherwise stated.
Index
Rebalance Frequency
Maturity Range (Days*)
Index Currency S&P/Valmer Mexico Sovereign International 5-10 Year UMS Index Weekly > 1800 and < 3605 MXN S&P/Valmer Mexico Sovereign International 5-10 Year UMS Index (US
Dollar) Weekly > 1800 and < 3605 USD
S&P/Valmer Mexico Sovereign International 10-20 Year UMS Index Weekly > 360 and < 7201 MXN S&P/Valmer Mexico Sovereign International 10-20 Year UMS Index (US
Dollar) Weekly > 360 and < 7201 USD
S&P/Valmer Mexico Sovereign International 20+ Year UMS Index Weekly > 7200 MXN S&P/Valmer Mexico Sovereign International 20+ Year UMS Index (US
Dollar) Weekly > 7200 USD
S&P/Valmer Mexico Sovereign Fixed Rate Index Weekly > 7 MXN
S&P/Valmer Mexico Sovereign Fixed Rate 185-365 Day Index Weekly > 185 and < 365 MXN S&P/Valmer Mexico Sovereign Fixed Rate 93-184 Day Index Weekly > 92 and < 185 MXN
S&P/Valmer Mexico Sovereign Real Rate Index Weekly > 7 MXV
S&P/Valmer Mexico Sovereign Floating Rate Index Weekly > 7 MXN
S&P/Valmer Mexico Sovereign Floating Rate BONDESD Index Weekly > 7 MXN S&P/Valmer Mexico Sovereign Floating Rate BONDESD 0-1 Index Weekly > 7 and < 365 MXN S&P/Valmer Mexico Sovereign Floating Rate BONDESD 1-3 Index Weekly > 365 and < 1080 MXN S&P/Valmer Mexico Sovereign Floating Rate BONDESD 3+ Index Weekly > 1081 MXN S&P/Valmer Mexico Sovereign Floating Rate IPAB BPAG28 Index Weekly > 7 MXN S&P/Valmer Mexico Sovereign Floating Rate IPAB BPAG91 Index Weekly > 7 MXN S&P/Valmer Mexico Sovereign Floating Rate IPAB BPA182 Index Weekly > 7 MXN S&P/Valmer Mexico Sovereign Floating Rate 7+ Day Index Weekly < 365 MXN
S&P/Valmer Mexico Quasi-Sovereign Index Monthly > 1 month MXN
S&P/Valmer Mexico Quasi-Sovereign Floating Rate Index Monthly > 1 month MXN S&P/Valmer Mexico Quasi-Sovereign Fixed Rate Index Monthly > 1 month MXN S&P/Valmer Mexico Quasi-Sovereign Inflation-Linked Index Monthly > 1 month MXV S&P/Valmer Mexico Quasi-Sovereign & Bank Floating Rate Index Monthly > 359 and < 1081 MXV
S&P/Valmer Mexico CEDEVIS Index Monthly >1 month MXV
S&P/Valmer Mexico TFOVIS Index Monthly >1 month MXV
* Unless otherwise stated.
Index
Currency Ratings
Ratings Agency
S&P/Valmer Mexico Corporate Index Monthly > 1 month MXN N/A N/A
S&P/Valmer Mexico Corporate 7-365 Day Index Monthly > 7 and < 365 MXN N/A N/A S&P/Valmer Mexico Corporate Duration 1-5
Index Monthly > 366 and < 1820 MXN N/A N/A
S&P/Valmer Mexico Corporate Duration 5-10
Index Monthly > 1821 and < 3640 MXN N/A N/A
S&P/Valmer Mexico Corporate Duration 10+
Index Monthly > 3641 MXN N/A N/A
S&P/Valmer Mexico Corporate AAA Rated
Index Monthly > 1 month MXN Minimum
AAA 2
S&P/Valmer Mexico Corporate Double AA
Rated Index Monthly > 1 month MXN Only AA-,
AA, AA+ 2 S&P/Valmer Mexico Corporate Single A Rated
Index Monthly > 1 month MXN Only A-,
A, A+ 2
S&P/Valmer Mexico Corporate Fixed Coupon
Index Monthly > 1 month7 MXN N/A N/A
S&P/Valmer Mexico Corporate Fixed Coupon
AAA Rated Index Monthly > 1 month MXN Minimum
AAA 2
S&P/Valmer Mexico Corporate Fixed Coupon
AA Rated Index Monthly > 1 month MXN Only AA-,
AA, AA+ 2 S&P/Valmer Mexico Corporate Variable
Coupon Index Monthly > 1 month7 MXN N/A N/A
S&P/Valmer Mexico Corporate Variable
Coupon AAA Rated Index Monthly > 1 month MXN Minimum
AAA 2
S&P/Valmer Mexico Corporate Variable
Coupon AA Rated Index Monthly > 1 month MXN Only AA-,
AA, AA+ 2 S&P/Valmer Mexico Corporate Inflation-Linked
Coupon Index Monthly > 1 month MXV N/A N/A
S&P/Valmer Mexico Corporate Inflation-Linked
Coupon AAA Rated Index Weekly > 1 month MXV Minimum
AAA 2
S&P/Valmer Mexico Corporate Inflation-Linked
Coupon AA Rated Index Monthly > 1 month MXV Only AA-,
AA, AA+ 2 S&P/Valmer Mexico Promissory Note Index Monthly > 1 month MXN N/A N/A S&P/Valmer Mexico Promissory Note 70-91
Day Index Monthly > 70 and < 91 MXN N/A N/A
S&P/Valmer Mexico Promissory Note 1- Year
Index Monthly > 30 and < 365 MXN N/A N/A
S&P/Valmer Mexico Bank Funding Over-Night
Rate Index N/A N/A Rate Index N/A N/A
S&P/Valmer Mexico Sovereign Funding Rate
Index N/A N/A Rate Index N/A N/A
S&P/Valmer Mexico 28 Day Interbank Interest
Rate Balance Index N/A N/A Rate Index N/A N/A
S&P/Valmer Mexico Promisory Note 28 Day
Rate Index N/A N/A Rate Index N/A N/A
S&P/Valmer Mexico Promisory Note 91 Day
Rate Index N/A N/A Rate Index N/A N/A
S&P/Valmer Mexico FDTR Rate Index N/A N/A Rate Index N/A N/A
* Unless otherwise stated.
Appendix F
Methodology Changes
Methodology changes since January 1, 2015 are as follows:
Change
Effective Date (After Close)
Methodology
Previous Updated
Corporate Indices:
Rebalancing Frequency Change
04/01/2015 All Corporate Indices were rebalanced weekly.
All Corporate Indices are rebalanced monthly.
04/01/2015 The indices making up the following index families all included “Government” in their index names: CETES, Fixed Rate, Floating Rate, Funding Rate, MBONOS, Real Rate, UDIBONOS and UMS.
Example: S&P/Valmer Mexico Government Floating Rate Index
The indices making up the following index families all include “Sovereign” in their index names: CETES, Fixed Rate, Floating Rate, Funding Rate, MBONOS, Real Rate, UDIBONOS and UMS.
Example: S&P/Valmer Mexico Sovereign Floating Rate Index
The following indices are exceptions to this methodology change and their names remain unchanged:
• S&P/Valmer Mexico Government CETES Index
• S&P/Valmer Mexico Government 5-10 Year MBONOS Index
• S&P/Valmer Mexico Government 1-5 Year MBONOS Index
• S&P/Valmer Mexico Government Inflation-Linked 1+ Year UDIBONOS Index
• S&P/Valmer Mexico Government International 1+
Year UMS Index