1. No category

GBMF3 GBM VALORES DE DEUDA, S.A. DE C.V.
CARTERA DE VALORES AL 31 marzo, 2015
Tipo Valor
Emisora
Serie
VALORES EN DIRECTO
VALORES GUBERNAMENTALES FED. NAC.
BI
CETES
150528
M
BONOS
180614
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
12
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
BIMBO
09-2
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
11-2
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
KUO
10
91
MONTPIO
14
91
NAVISCB
13
91
NEMAK
07
91
PCARFM
12
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
10-3U
95
CEDEVIS
10-6U
95
CFECB
06-2
95
CFEHCB
08
95
FEFA
14
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
91
BLADEX
14
VALORES RESTRINGIDOS O DADOS EN GARANTIA
AIM
FCSTONE
0002779
AIM
GBM
0777641
BI
CETES
150528
EAIM
FCSTONE
0002779
SERVICIOS FINANCIEROS
1C
CETETRC
ISHRS
1C
CORPTRC
ISHRS
TOTAL DIRECTO
VALORES EN REPORTO
GUBERNAMENTALES
LD
BONDESD
200130
TOTAL REPORTO
INSTRUMENTOS FINANCIEROS DERIVADOS
FUTUROS
FB
DC24
JN15
FB
DC24
JN15
FC
PE
M5
FC
PE
M5
FC
PE
M5
FC
PE
M5
FC
RX
M5
FC
RX
M5
FC
UB
M5
FC
UB
M5
FC
US
M5
OPCIONES
OC
USK5
C16800
OC
USK5
C17000
OC
USK5
C17000
OD
DA15500
F
OD
DA15700
F
OD
DA15700
F
OD
DA15800
F
TOTAL DERIVADOS
TOTAL DE INVERSION EN VALORES
Calif. / Bursatilidad
Cant. Títulos
Valor Razonable
Participación Porcentual
HR+1
HR AAA
HR AAA
169,764
1,000,000
500,000
1,689,321.56
101,186,628.00
66,551,849.00
0.02
1.39
0.92
AAA(mex)
AAA(mex)
mxAAA
mxAAA
mxAAA
AAA(mex)
AAA(mex)
mxAAA
mxAA+
64,140
31,781
384,100
1,256,282
1,500,000
1,500,000
191,880
1,000,000
414,237
6,000
978,735.27
5,279,888.51
38,428,653.82
125,930,034.31
150,365,140.50
150,263,719.50
19,249,187.27
100,978,054.00
41,606,022.69
126,678.68
0.01
0.07
0.53
1.73
2.07
2.07
0.27
1.39
0.57
0.00
BBB
BBBBB
A
Aa3
BBB
BBB+
AAA(mex)
AAA(mex)
AA+(mex)
AA+(mex)
mxAAA
mxAAA
mxAAA
AAA(mex)
AAA(mex)
AAA(mex)
mxAAA
mxAAA
AA(mex)
AAA(mex)
AAA(mex)
mxAAA
AAA(mex)
AA(mex)
AA(mex)
AA+(mex)
AA(mex)
Aaa.mx
AAA(mex)
mxAAA
mxCC
mxAA+
Aa2.mx
mxAAA
HR AAAA(mex)
mxA
HR AA
mxAAA
mxAA
AAA(mex)
mxAAA
AAA(mex)
mxAAA
C.mx
mxAAA
mxAAA
mxAAA
mxAAA
mxAAA
AA(mex)
AA(mex)
mxAAA
AAA(mex)
AAA(mex)
AAA(mex)
AAA(mex)
AAA(mex)
mxAAA
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
1,050
5,000
35
2,500
139
134
5,755
214,180
700,000
300,000
250,000
324,575
500,000
168,333
528,584
460,000
498,054
500,000
700,000
737,867
250,000
579,913
1,201,445
1,240,000
1,000,000
1,281,139
800,000
3,944
600,000
1,186,392
100,000
8,151
161,152
786,438
30,000
899,499
857,800
500,000
700,000
1,076,878
364,992
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
58,905
59,994
651,832
1,150,000
350,000
800,000
500,000
1,858,938
2,100,000
4,340,678
2,600,000
169,316
396,944
175,108
117,031
144,300
10,633,508.09
26,333,451.82
16,964,073.76
73,447,402.13
35,146,940.40
26,685,685.43
139,398,930.00
197,272,862.05
627,998.36
21,491,710.05
70,753,080.30
33,252,704.40
25,016,758.00
32,591,182.38
50,151,030.50
16,896,049.32
53,031,087.86
46,028,177.76
49,865,527.57
50,543,734.00
70,204,625.40
75,196,694.48
27,323,821.25
58,060,151.91
120,371,138.18
124,077,527.28
100,276,781.00
128,924,639.35
80,756,073.60
420,958.46
60,340,736.40
118,786,375.49
1,588,147.00
890,513.68
16,170,247.75
78,737,769.12
2,008,427.88
90,694,210.24
86,824,471.86
50,293,028.50
70,242,596.90
111,631,156.01
36,589,666.19
106,531,001.65
40,171,277.20
51,049,670.50
0.00
55,609,753.57
5,235,427.50
42,982,459.82
60,275,556.60
181,580,470.62
21,912,704.00
26,967,229.33
11,484,077.13
47,084,809.15
3,447,515.79
19,185,736.29
9,842,815.08
34,791,765.35
35,019,569.90
80,237,836.80
50,029,731.50
102,136,416.86
210,889,098.00
435,396,294.89
259,517,286.60
71,697,635.84
182,715,848.95
88,505,552.81
58,028,482.40
6,489,511.98
0.15
0.36
0.23
1.01
0.48
0.37
1.92
2.72
0.01
0.30
0.97
0.46
0.34
0.45
0.69
0.23
0.73
0.63
0.69
0.70
0.97
1.04
0.38
0.80
1.66
1.71
1.38
1.77
1.11
0.01
0.83
1.64
0.02
0.01
0.22
1.08
0.03
1.25
1.20
0.69
0.97
1.54
0.50
1.47
0.55
0.70
0.00
0.77
0.07
0.59
0.83
2.50
0.30
0.37
0.16
0.65
0.05
0.26
0.14
0.48
0.48
1.10
0.69
1.41
2.90
5.99
3.57
0.99
2.52
1.22
0.80
0.09
mxAAA
mxAAA
mxAAA
AAA(mex)
HR+1
BAJB
BAJB
mxAAA
187,311
105,795,526.94
1.46
1,120,000
1,686,708
1,100,000
112,535,094.56
169,602,323.29
110,545,284.30
1.55
2.33
1.52
9,552,147
11,371,214
630,236
7,079,632
9,552,147.00
11,372,209.00
6,271,478.44
7,079,632.00
0.13
0.16
0.09
0.10
293,400
1,571,007
30,220,200.00
15,207,347.76
6,166,172,344.62
0.42
0.21
84.87
11,105,755
1,102,012,766.01
1,102,012,766.01
15.17
15.17
177
903
10
244
7
10
17
34
1
7
20
-106,200.00
-541,800.00
5,340.76
130,314.42
3,738.53
5,340.76
-78,023.73
-156,047.46
-10,490.59
-73,434.10
-123,981.81
0.00
-0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
35
15
15
400
200
200
200
-350,487.05
-78,680.77
-78,680.77
-848,000.00
-296,000.00
-296,000.00
-246,000.00
-3,139,091.81
7,265,046,018.82
0.00
0.00
0.00
-0.01
0.00
0.00
0.00
-0.04
100.00
CLASIFICACIÓN
Discrecional
CALIFICACIÓN
AA/4
VaR Promedio
0.077%
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