|
Haircuts |
|
The Initial Margin
Contributions can be covered with certain domestic and foreign securities,
both equity and government, these securities are transferred and guarded by
SD Indeval “Institución
para el Depósito de Valores, S.A. de C.V. (S.D. Indeval)”.The
international government securities and Dollars of the United States of
America are guarded there by a Custodian Bank and an Agent Bank.
Haircuts to securities
accepted as Initial Margin Contributions, determined by Asigna are as follows:
* Accepted underlying assets: ARA *, ALFA A,
AMX L, AXTEL CPO, BIMBO A, CEMEX CPO, FEMSA UBD, GCARSO A1, GEO B, GFNORTE O,
GFINBUR O, GMODELO C,GMEXICO B, ICA *,
KIMBER A, MEXCHEM *, NAFTRAC, SORIANA B.TELMEX L,TELMEX INT L, TELEVISA CPO,
URBI *WALMART V.
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Non-Paralel Haircuts by liquidity bands applied to
US Treasury Bills, US Treasury Notes, US Treasury Bonds in all terms |
|||
|
Security |
Type |
Term |
Haircut |
|
T-Note
& T-Bond |
D5SP
& D6SP |
T ≤ 1 year |
6.00% |
|
T-Note
& T-Bond |
D5SP
& D6SP |
1 < T ≤ 5 years |
14.00% |
|
T-Note
& T-Bond |
D5SP
& D6SP |
5 < T ≤ 10 years |
17.00% |
|
T-Note
& T-Bond |
D5SP
& D6SP |
10 < T ≤ 15 years |
17.00% |
|
T-Note
& T-Bond |
D5SP
& D6SP |
15 < T ≤ 20 years |
18.00% |
|
T-Note
& T-Bond |
D5SP
& D6SP |
T > 20 years |
19.00% |
|
Non-Paralel Haircuts by liquidity bands applied
to fixed interest rate government
bonds linked to inflation (udibonos) |
||
|
Security |
Term |
Haircut |
|
|
||
|
UDIBONOS |
T ≤ 1 año |
10.00% |
|
UDIBONOS |
1 < T ≤ 5 años |
15.00% |
|
UDIBONOS |
5 < T ≤ 15 años |
20.00% |