GBMF3 GBM VALORES DE DEUDA, S.A. DE C.V. CARTERA DE VALORES AL 06 agosto, 2015 Tipo Valor Emisora Serie VALORES EN DIRECTO VALORES GUBERNAMENTALES FED. NAC. BI CETES 151001 M BONOS 181213 M BONOS 241205 BANCARIOS CHD BANAMEX 3811506 2U SHF0001 180614 94 BACOMER 15 94 BINBUR 13 94 BINBUR 13-4 94 BINBUR 14-6 94 SCOTIAB 13 94 VWBANK 12 97 HSBCCB 07 PRIVADOS D2 CONM151 351215 D2SP ARRUA25 190722 D2SP IDESA82 201218 D2SP POSA619 151118 D8 BAC 4-10 D8 METLIFE 1-06 D8 SANTAN 2-07 D8 SANTAN 3-07 91 ARCA 09-3 91 ARCA 10-2 91 BACHOCO 12 91 BNPMEX 11 91 CATFIN 12 91 CATFIN 14 91 DAIMLER 12-2 91 DAIMLER 14-2 91 DAIMLER 14-3 91 DAIMLER 15 91 DALTOCB 13 91 DHIC 14 91 FUNO 13 91 FUNO 13-2 91 GAP 15 91 GASN 15-2 91 GBM 14 91 GBM 14-2 91 GCARSO 12 91 HERDEZ 13-2 91 HICOAM 07 91 HOLCIM 14 91 HOLCIM 15 91 HSCCICB 06 91 IBDROLA 08 91 IDEAL 11-2 91 IENOVA 13-2 91 IJETCB 13 91 INCARSO 12 91 MONTPIO 14 91 NAVISCB 13 91 NEMAK 07 91 PCARFM 12 91 PCARFM 15 91 SCRECB 12 91 TLEVISA 14 91 TOYOTA 14 91 URBI 11 91 VTOSCB 13 91 VWLEASE 12 91 VWLEASE 13 91 VWLEASE 13-2 91 VWLEASE 14 91 XIGNUX 13 91 XIGNUX 14 95 CEDEVIS 06-4U 95 CEDEVIS 07U 95 CEDEVIS 10-6U 95 CFECB 06-2 95 CFEHCB 08 95 FNCOT 13 95 FNCOT 14 95 FOVIHIT 09U 95 IFCOTCB 13 95 PEMEX 12 95 PEMEX 14 95 TFOVIS 13-2U 95 TFOVIS 13-3U 95 TFOVIS 14U 95 TFOVIS 14-2U 97 BRHCCB 08U EMIT. POR MUNIC. Y EDOS. SIN AVAL DEL GOB. FED. 90 PAMMCB 14U ORGANISMOS INTERNACIONALES JI CABEI 1-13 JI CABEI 1-14 JI CABEI 1-15 91 BLADEX 14 VALORES RESTRINGIDOS O DADOS EN GARANTIA AIM FCSTONE 0002779 AIM GBM 0777641 BI CETES 151001 EAIM FCSTONE 0002779 SERVICIOS FINANCIEROS 1C CETETRC ISHRS 1C CORPTRC ISHRS TOTAL DIRECTO 91 OSM 15-2 VALORES EN REPORTO GUBERNAMENTALES LD BONDESD 200702 TOTAL REPORTO INSTRUMENTOS FINANCIEROS DERIVADOS FUTUROS FB DC24 SP15 FB DC24 SP15 FCSP PE U5 FCSP PE U5 FD DEUA SP15 FD DEUA SP15 FD EURO SP15 FD EURO SP15 OPCIONES OCSP ECQ5 C01125 OCSP RXU5 C15500 OCSP USU5 C15700 OCSP USU5 C15800 OCSP USU5 C15800 OCSP USU5 C15900 OCSP USU5 C16000 OD DA15900 I OD DA16000 I OD DA16500 I TOTAL DERIVADOS TOTAL DE INVERSION EN VALORES Calif. / Bursatilidad Cant. Títulos Valor Razonable Participación Porcentual HR+1 HR AAA HR AAA 278,846 1,900,000 900,000 2,775,062.57 212,590,344.50 116,495,948.70 0.04 2.88 1.58 AAA(mex) AAA(mex) mxAAA mxAAA mxAAA AAA(mex) mxAAA mxAA+ 333,788 31,781 384,100 256,282 1,500,000 1,500,000 1,000,000 591,668 6,000 5,453,031.84 4,590,590.72 38,477,566.65 25,719,513.79 150,583,629.00 150,116,220.00 100,849,123.00 59,466,895.19 113,538.70 0.07 0.06 0.52 0.35 2.04 2.04 1.37 0.81 0.00 BBB BBBBB A Aa3 BBB BBB+ AAA(mex) AAA(mex) AA+(mex) mxAAA mxAAA mxAAA AAA(mex) AAA(mex) AAA(mex) mxAAA mxAAA AA(mex) AAA(mex) AAA(mex) mxAAA mxAA+ HR AA+ HR AA+ AA+(mex) AA-(mex) Aaa.mx AAA(mex) AAA(mex) mxCC AAA(mex) Aa2.mx mxAAA HR AAAA(mex) HR AA mxAAA mxAA AAA(mex) mxAAA mxAAA AAA(mex) mxAAA C.mx mxAAA mxAAA mxAAA mxAAA mxAAA mxAA mxAA mxAAA AAA(mex) AAA(mex) AAA(mex) AAA(mex) AAA(mex) AAA(mex) AAA(mex) AAA(mex) Aaa.mx mxAAA AAA(mex) AAA(mex) AAA(mex) AAA(mex) B3.mx 1,000 1,833 800 5,000 35 2,500 139 134 5,755 214,180 700,000 250,000 243,431 500,000 168,333 528,584 460,000 498,054 500,000 700,000 737,867 250,000 569,895 900,000 1,240,000 1,000,000 1,281,139 934,279 3,944 600,000 1,186,392 100,000 8,151 161,152 786,438 30,000 899,499 500,789 700,000 1,076,878 364,992 357,883 1,055,300 400,000 508,885 60,000 553,577 52,259 428,000 600,000 1,810,000 200,000 267,265 77,473 213,000 59,994 651,832 1,150,000 800,000 121,110 1,511,255 2,100,000 4,336,678 2,600,000 169,316 396,944 175,108 55,475 144,300 10,473,885.26 29,626,561.15 13,863,000.06 80,303,841.72 35,119,093.66 26,058,863.14 138,980,534.20 196,249,559.66 610,508.31 21,448,953.94 70,627,832.10 25,072,037.00 24,457,714.62 50,130,451.00 16,859,875.07 53,098,620.81 46,097,792.78 49,960,528.88 50,315,675.00 70,087,559.50 74,975,761.60 26,694,210.50 57,146,410.90 90,206,185.50 124,281,160.08 100,154,551.00 128,651,668.34 93,615,138.85 413,110.13 60,162,871.80 118,980,617.52 801,513.50 872,862.43 16,234,486.97 78,670,021.42 1,808,932.95 90,461,160.84 50,468,055.12 70,296,248.40 110,904,292.44 36,510,218.38 35,868,322.28 106,615,250.47 40,123,134.00 50,980,576.13 0.00 55,506,870.73 5,242,998.57 43,030,338.04 60,128,258.40 181,472,004.56 21,707,023.40 27,191,587.60 9,970,442.82 43,143,837.56 17,701,596.86 6,536,458.53 28,846,292.95 80,125,432.80 12,133,675.91 83,201,090.68 210,802,815.30 434,292,186.23 259,390,146.60 68,652,604.57 175,530,688.60 84,864,365.99 26,680,868.34 4,371,754.21 0.14 0.40 0.19 1.09 0.48 0.35 1.89 2.66 0.01 0.29 0.96 0.34 0.33 0.68 0.23 0.72 0.63 0.68 0.68 0.95 1.02 0.36 0.78 1.22 1.69 1.36 1.75 1.27 0.01 0.82 1.61 0.01 0.01 0.22 1.07 0.02 1.23 0.68 0.95 1.50 0.50 0.49 1.45 0.54 0.69 0.00 0.75 0.07 0.58 0.82 2.46 0.29 0.37 0.14 0.59 0.24 0.09 0.39 1.09 0.16 1.13 2.86 5.89 3.52 0.93 2.38 1.15 0.36 0.06 187,311 106,990,516.43 1.45 1,120,000 1,686,708 1,139,925 1,100,000 112,396,315.36 169,153,954.13 114,222,109.39 110,566,258.00 1.52 2.29 1.55 1.50 14,892,932 9,963,824 621,154 11,280,686 14,892,932.00 9,964,685.00 6,181,696.03 11,280,686.00 0.20 0.14 0.08 0.15 293,400 1,571,007 30,214,332.00 14,610,365.10 6,083,568,302.76 48,917,437.98 0.41 0.20 82.52 0.66 12,553,670 1,243,141,333.24 1,243,141,333.24 16.86 16.86 126 954 20 251 42 40 71 200 -37,800.00 -286,200.00 39,208.24 492,063.41 -23,226.00 -22,120.00 22,649.00 63,800.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 20 30 35 20 20 40 35 160 110 25 -2,042.50 -98,020.80 -723,669.17 -275,683.50 -275,683.50 -357,367.52 -196,552.13 -865,600.00 -512,600.00 -46,250.00 -3,105,094.47 7,323,604,541.53 0.00 0.00 -0.01 0.00 0.00 0.00 0.00 -0.01 -0.01 0.00 -0.04 99.34 mxAAA mxAAA mxAAA mxAAA AAA(mex) HR+1 ALTB ALTB mxAA+ HR AAA 489,071 CLASIFICACIÓN Discrecional CALIFICACIÓN AA/4 VaR Promedio 0.038% Límite de VaR 0.533% Para llevar a cabo la estimación del Valor en Riesgo (VaR) de mercado para las Sociedades de Inversión administradas por Operadora GBM, se acordó con la empresa Valor de Mercado (Valmer) que sea ella quien lo realice, siguiendo los criterios metodológicos aprobados por la Unidad de Administración Integral de riesgos de la Operadora. El método utilizado para la estimación del VaR es el conocido como simulación histórica, con los parámetros que se presentan a continuación: - Un periodo de muestra de un año - El nivel de confianza para el VaR fijado al 95% - El horizonte temporal para el que se estime la posible minusvalía será de 1 día _________________________________________________ Lic. José Manuel Fierro von Mohr
© Copyright 2024 ExpyDoc
