Haircuts

Haircuts applied to

Securities

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 by a Custodian Bank and an Agent Bank in the US.

The securities are received applying a discount “haircut” to their price in order to provide an adequate coverage of risk for the volatility of the market. The price is published by the price supplier “Valuación Operativa y Referencias de Mercado, S.A. de C.V.” The discount is determined by the Risk Management Subcommittee based on the" Value at Risk” and “Expected Shortfall " measures, estimated by the “Block Maxima” methodology, which allows to adjust heavy tailed return distributions.

In order to measure the credit risk of issuers, whose securities are accepted as Margins, the Merton methodology has been implemented. This method determines the probability of default, so that those issues that exhibit significant default probability, judged by the Risk Management Subcommittee, will not be accepted as Margins.

Finally, some indicators describing the liquidity of assets (securities) accepted as Margins have been introduced to the analysis to ensure that these securities satisfy the liquidity standards of the Risk Management Subcommittee, allowing their negotiation in the market, while considering their discounts, even under extreme conditions.

The haircuts to the securities accepted as Initial Margin Contributions are as follows:

Instrument	Haircut	Instrument	Haircut
AC *	6.50%	LAB B	16.50%
ALSEA *	9.50%	LACOMER UBC	7.50%
AMX B	6.50%	LIVEPOL C-1	9.50%
ASUR B	6.50%	MEGA CPO	9.50%
BIMBO A	9.50%	NAFTRAC ISHRS	6.50%
CHDRAUI B	6.50%	ORBIA *	16.50%
CEMEX CPO	16.50%	OMA B	7.50%
FEMSA UBD	6.50%	PE&OLES *	16.50%
GAP B	9.50%	PINFRA *	7.50%
GCARSO A1	16.50%	SIGMAF A	6.50%
GCC *	7.50%	TLEVISA CPO	16.50%
GRUMA B	6.50%	VESTA *	9.50%
GMEXICO B	16.50%	VOLAR A	16.50%
KIMBER A	7.50%	WALMEX *	7.50%
KOF UBL	7.50%

Instrument	Haircut	TBONDS	Haircut
CETES	0.50%	P ≤ 1 año	3.50%
T Bill	3.50%	1 < P ≤ 5 años	5.50%
		5 < P ≤ 10 años	5.50%
Instrument	Haircut	10 < P ≤ 15 años	7.00%
Dólares EUA	3.00%	15 < P ≤ 20 años	9.50%
		P > 20 años	11.00%
BONOS M	Haircut
P ≤ 1 año	0.50%	BONDES D	Haircut
1 < P ≤ 3 años	0.50%	P ≤ 1 año	0.50%
3 < P ≤ 5 años	1.50%	1 < P ≤ 3 años	0.50%
5 < P ≤ 10 años	2.50%	P > 3 años	0.50%
10 < P ≤ 20 años	3.50%
20 < P ≤ 30 años	5.00%	BONDES F	Haircut
		P ≤ 1 año	0.50%
UDIBONOS	Haircut	1 < P ≤ 3 años	0.50%
P ≤ 1 año	0.50%	P > 3 años	0.50%
1 < P ≤ 5 años	1.00%
5 < P ≤ 10 años	2.50%	TNOTES	Haircut
10 < P ≤ 15 años	2.50%	P ≤ 1 año	4.50%
15 < P ≤ 20 años	3.50%	1 < P ≤ 5 años	6.00%
P > 20 años	7.00%	P > 5 años	6.50%

Securities

Concentration Limits

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Last update: June 04^th, 2026.