S&P/Valmer Indices Methodology

Transcription

1 S&P/Valmer Indices Mehodology S&P Dow Jones Indices: Mehodology January 2016

2 Table of Conens Inroducion 4 Families 4 Eligibiliy Crieria 6 Eligible Securiies 6 Pricing 7 Timing of Changes 7 Sub- Rules 8 CETES Indices 8 Governmen MBONOS Indices 8 Inflaion-Linked UDIBONOS Indices 9 Inernaional UMS Indices 10 Sovereign 7+ Indices 11 Quasi-Sovereign Indices 12 Corporae Bond Indices 12 Money Marke Indices 14 Money Marke Rae Indices 14 Consrucion 15 Calculaions 15 Mainenance 16 Rebalancing 16 Base Daes and Hisory Availabiliy 16 Governance 21 Commiee 21 S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 1

3 Policy 22 Announcemens 22 Holiday Schedule 22 End-of-Day Calculaion 22 Releases 22 Recalculaion Policy 22 Disseminaion 24 Tickers 24 FTP 26 Web sie 26 Appendix A 27 Calculaion for CETES 27 Calculaion for UMS, UDIS and MBONOS Indices 27 Adjusmen for Coupon Paymen for MBONOS 28 Adjusmen for Coupon for UMS and UDIS Indices 28 Appendix B 30 Calculaions 30 Coupon Reinvesmen 31 Appendix C 33 Bank Funding (Same Day) 33 Governmenal Funding (Same Day) 33 TIIE 28 (Same Day) 34 TPFGN 35 Promissory Noe 28 Day Rae 35 Three Monh Fixed Term Deposis 36 U.S. Fed Funds Targe Rae 37 Repo G2i 37 Appendix D 39 24hr Indices 39 Appendix E 40 Deails 40 S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 2

4 Appendix F 43 Mehodology Changes 43 S&P Dow Jones Indices Conac Informaion 44 Managemen 44 Produc Managemen 44 Media Relaions 44 Clien Services 44 Disclaimer 45 S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 3

5 Inroducion The S&P/Valmer Indices are designed o objecively measure he performance of he Mexican fixed income marke and are comprised of a universe of fixed income securiies issued in he domesic Mexican marke and inernaionally. Valmer provides daily updaed prices for he valuaion of financial insrumens, as well as comprehensive calculaion, reporing, analysis, and risk managemen associaed wih hese prices. Valmer, founded in 2000, is regulaed and supervised by he Naional Banking and Securiies Commission. consrucion begins wih he selecion of index consiuens from he universe of available insrumens. Indices are caegorized under four disinc index families: Sovereign Bond Indices Quasi-Sovereign Bond Indices Corporae Bond Indices Money Marke Indices Families The S&P/Valmer Indices includes he following indices caegorized ino four index families by index ype: Type Sovereign Bond Indices Quasi-Sovereign Bond Indices Sovereign CETES 7+ Sovereign MBONOS Sovereign Inflaion-Linked UDIBONOS Sovereign Inernaional UMS Sovereign 7+ Days Sovereign Bond Quasi-Sovereign Quasi-Sovereign Floaing Rae Quasi-Sovereign Fixed Rae Quasi-Sovereign Inflaion-Linked CEDEVIS TFOVIS S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 4

6 Type Corporae Bond Indices Money Marke Indices Corporae Corporae Fixed Coupon Corporae Variable Coupon Corporae Inflaion-Linked Coupon Promissory Noe This mehodology was creaed by S&P Dow Jones Indices o achieve he aforemenioned objecive of measuring he underlying ineres of each index governed by his mehodology documen. Any changes o or deviaions from his mehodology are made in he sole judgmen and discreion of S&P Dow Jones Indices so ha he index coninues o achieve is objecive. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 5

7 Eligibiliy Crieria Eligible Securiies Sovereign Bond Indices. The able below describes he eligible securiies for he sovereign bond headline indices. Sovereign CETES 7+ Sovereign MBONOS Sovereign Inflaion-Linked UDIBONOS Sovereign Inernaional UMS Sovereign 7+ Days Sovereign Bond Eligible Securiies Consiuens mus be Mexican governmen securiies wih a mauriy greaer han or equal o seven days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy greaer han 7 days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy greaer han or equal o 31 days, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy greaer han 31 days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy greaer han or equal o seven days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy of more han one monh and denominaed in Mexican pesos. Quasi-Sovereign Bond Indices. The able below describes he eligible securiies for he quasi-sovereign bond headline index. Quasi- Sovereign Eligible Securiies Consiuens mus be governmen agency issued quasisovereign bonds wih a mauriy greaer han 31 days and denominaed in Mexican pesos. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 6

8 Corporae Bond Indices. The able below describes he eligible securiies for he corporae bond headline index. Corporae Eligible Securiies Consiuens mus be corporae issued bonds wih a mauriy greaer han or equal o 31 days, and denominaed in Mexican pesos. Money Marke Indices. The able below describes he eligible securiies for he money marke headline index. Promissory Noe Eligible Securiies Consiuens mus be bank issued promissory noes wih a mauriy greaer han or equal o 31 days, and denominaed in Mexican pesos. Pricing Daily pricing is provided by Valmer. Timing of Changes Please refer o Appendix E for index rebalancing frequency. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 7

9 Sub- Rules Eligible securiies for sub-indices are described in he following ables. CETES Indices Sub- Governmen CETES Sovereign 7 Day CETES Sovereign 28 Day CETES Sovereign 91 Day CETES Sovereign182 Day CETES Sovereign 365 Day CETES Eligible Securiies Consiuens mus be Mexican governmen securiies wih a mauriy greaer han han one monh and less han one year and denominaed in Mexican pesos. The bonds included in he index mus be issued afer January 2003 and are subjec o income ax. Consiuens mus be Mexican governmen securiies wih a mauriy equal o seven days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy equal o 28 days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy equal o 91 days denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy beween 154 and 183 days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy beween 308 and 365 days, and denominaed in Mexican pesos. Governmen MBONOS Indices Sub- Governmen 1-5 Year MBONOS Sovereign 1-3 Year MBONOS Sovereign 3-5 Year MBONOS Eligible Securiies Consiuens mus be Mexican governmen securiies wih a mauriy beween one and five years, and denominaed in Mexican pesos. The bonds included in he index mus be issued afer January 2003 and are subjec o income ax. Consiuens mus be Mexican governmen securiies wih a mauriy beween one and hree years, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy beween hree and five years, and denominaed in Mexican pesos. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 8

10 Governmen MBONOS Indices (coninued) Sub- Governmen 5-10 Year MBONOS Sovereign 10 Year MBONOS Sovereign Year MBONOS Sovereign 20+ Year MBONOS Sovereign Day MBONOS Sovereign 1500 Days+ MBONOS Eligible Securiies Consiuens mus be Mexican governmen securiies wih a mauriy beween five and 10 years, and denominaed in Mexican pesos. The bonds included in he index mus be issued afer January 2003 and are subjec o income ax. Consiuens mus be Mexican governmen securiies wih a mauriy beween five and 10 years, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy beween 10 and 20 years, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy greaer han 20 years and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy beween 600 and 1500 days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies wih a mauriy greaer han or equal o 1500 days, and denominaed in Mexican pesos. Inflaion-Linked UDIBONOS Indices Sub- Sovereign Inflaion-Linked 1+ Monh UDIBONOS Governmen Inflaion- Linked 1+ Year UDIBONOS Sovereign Inflaion-Linked 3 Year UDIBONOS Sovereign Inflaion-Linked 5 Year UDIBONOS Sovereign Inflaion-Linked 10 Year UDIBONOS Eligible Securiies Consiuens mus be Mexican governmen securiies wih a mauriy greaer han or equal o one monh, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). The bonds included in he index mus be issued afer January 2003 and are subjec o income ax. Consiuens mus be Mexican governmen securiies wih a mauriy greaer han or equal o one year, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). The bonds included in he index mus be issued afer January 2003 and are subjec o income ax. Consiuens mus be Mexican governmen securiies wih a mauriy beween 360 and 1080 days, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be Mexican governmen securiies wih a mauriy beween 1094 and 1821 days, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be Mexican governmen securiies wih a mauriy beween 1822 and 3641 days, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 9

11 Inflaion-Linked UDIBONOS Indices (coninued) Sub- Sovereign Inflaion-Linked 20 Year UDIBONOS Sovereign Inflaion-Linked 30 Year UDIBONOS Eligible Securiies Consiuens mus be Mexican governmen securiies wih a mauriy beween 3651 and 7300 days, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be Mexican governmen securiies wih a mauriy greaer han 7282 days, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Inernaional UMS Indices Sub- Sovereign Inernaional UMS Governmen Inernaional 1+ Year UMS Sovereign Inernaional UMS (US Dollar) Sovereign Inernaional UMS (US Issued & Dollar) Sovereign Inernaional 5 Year UMS (US Dollar) Sovereign Inernaional 5-10 Year UMS (US Dollar) Sovereign Inernaional Year UMS (US Dollar) Sovereign Inernaional 20+ Year UMS (US Dollar) Eligible Securiies Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy greaer han 31 days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy greaer han 360 days and denominaed in Mexican pesos. The bonds included in he index mus be issued afer January 2003 and are subjec o income ax. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy greaer han 31 days and denominaed in U.S. dollars. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy greaer han 360 days and denominaed in U.S. dollars. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy less han or equal o five years and denominaed in U.S. dollars. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy beween five and 10 years, and denominaed in U.S. dollars. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy beween 10 and 20 years, and denominaed in U.S. dollars. Consiuens mus be Mexican governmen securiies issued ouside of Mexico wih a mauriy greaer han 20 years and denominaed in U.S. dollars. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 10

12 Sovereign 7+ Indices Sub- Sovereign Fixed Rae Sovereign Fixed Rae Day Sovereign Fixed Rae Day Sovereign Floaing Rae Sovereign Floaing Rae 7+ Day Sovereign Floaing Rae BONDESD Sovereign Floaing Rae BONDESD 0-1 Sovereign Floaing Rae BONDESD 1-3 Sovereign Floaing Rae BONDESD 3+ Governmen Floaing Rae IPAB BPAG28 Governmen Floaing Rae IPAB BPAG91 Governmen Floaing Rae IPAB BPAG182 Eligible Securiies Consiuens mus be Mexican governmen fixed rae coupon bonds wih a mauriy greaer han seven days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen fixed rae coupon bonds wih a mauriy beween 93 and 184 days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen fixed rae coupon bonds wih a mauriy beween 185 and 365 days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy greaer han seven days and denominaed in Mexican pesos. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy beween seven and 366 days, and denominaed in Mexican pesos. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy greaer han seven days, he coupon paid every 28 days, and denominaed in Mexican pesos. The coupon rae is he Bank Funding rae. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy beween seven and 365 days, he coupon paid every 28 days, and denominaed in Mexican pesos. The coupon rae is he Bank Funding rae. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy beween one and hree years, he coupon paid every 28 days, and denominaed in Mexican pesos. The coupon rae is he Bank Funding rae. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy greaer han hree years, he coupon paid every 28 days, and denominaed in Mexican pesos. The coupon rae is he Bank Funding rae. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy greaer han seven days, he coupon paid every 28 days, and denominaed in Mexican pesos. The coupon rae is he greaer of 28 days CETES yield or Governmen Funding Rae. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy greaer han seven days, he coupon paid every 91 days, and denominaed in Mexican pesos. The coupon rae is he greaer of 91 days CETES yield or Governmen Funding Rae. Consiuens mus be Mexican governmen floaing rae coupon bonds wih a mauriy greaer han seven days, he coupon paid every 182 days, and denominaed in Mexican pesos. The coupon rae is he greaer of 182 days CETES yield or Governmen Funding Rae. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 11

13 Sovereign 7+ Indices (coninued) Sub- Sovereign Real Rae Eligible Securiies Consiuens mus be Mexican governmen real-rae coupon bonds wih a mauriy greaer han seven days and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Quasi-Sovereign Indices Sub- Quasi- Sovereign Floaing Rae Quasi- Sovereign Fixed Rae Quasi- Sovereign Inflaion-Linked Quasi- Sovereign & Bank Floaing Rae CEDEVIS TFOVIS Eligible Securiies Consiuens of mus be quasi-sovereign, floaing-rae bonds wih a mauriy greaer han one monh and denominaed in Mexican pesos. Consiuens mus be quasi-sovereign, fixed-rae bonds wih a mauriy greaer han one monh and denominaed in Mexican pesos. Consiuens mus be quasi-sovereign, real-rae bonds wih a mauriy greaer han one monh and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be quasi-sovereign bonds wih a mauriy beween one and hree years, and denominaed in Mexican pesos. Consiuens mus be INFONAVIT-issued, quasi-sovereign bonds wih a mauriy greaer han one monh and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be FOVISSSTE-issued quasi-sovereign bonds wih a mauriy greaer han one monh and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Corporae Bond Indices Sub- Corporae Day Corporae Duraion 1-5 Corporae Duraion 5-10 Corporae Duraion 10+ Eligible Securiies Consiuens mus be corporae issued bonds wih a mauriy beween seven and 365 days, and denominaed in Mexican pesos. Consiuens mus be corporae issued bonds wih duraion beween one and five years, and denominaed in Mexican pesos. Consiuens mus be corporae issued bonds wih duraion beween five and 10 years, and denominaed in Mexican pesos. Consiuens mus be corporae issued bonds wih duraion greaer han 10 years, and denominaed in Mexican pesos. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 12

14 Corporae Bond Indices (coninued) Sub- Corporae AAA Raed Corporae Double AA Raed Corporae Single A Raed Corporae Fixed Coupon Corporae Fixed Coupon AAA Raed Corporae Fixed Coupon AA Raed Corporae Inflaion-Linked Coupon Corporae Inflaion-Linked Coupon AAA Raed Corporae Inflaion-Linked Coupon AA Raed Corporae Variable Coupon Corporae Variable Coupon AAA Raed Corporae Variable Coupon AA Raed Eligible Securiies Consiuens mus be corporae issued AAA-raed bonds wih a mauriy greaer han one monh and denominaed in Mexican pesos. Consiuens mus be corporae issued AA-raed bonds wih a mauriy greaer han one monh and denominaed in Mexican pesos. Consiuens mus be corporae issued A-raed bonds wih a mauriy greaer han one monh and denominaed in Mexican pesos. Consiuens mus be corporae issued bonds wih a fixed coupon rae, a mauriy greaer han one monh, and denominaed in Mexican pesos. Consiuens mus be corporae issued AAA-raed bonds wih a fixed coupon rae, a mauriy greaer han one monh, and denominaed in Mexican pesos. Consiuens mus be corporae issued AA-raed bonds wih a fixed coupon rae, a mauriy greaer han one monh, and denominaed in Mexican pesos. Consiuens mus be corporae issued bonds wih a fixed coupon rae, a mauriy greaer han one monh, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be corporae issued AAA-raed bonds wih a fixed coupon rae, a mauriy greaer han one monh, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be corporae issued AA-raed bonds wih a fixed coupon rae, a mauriy greaer han one monh, and denominaed in Inflaion Invesmen Unis (Unidades de Inversion or UDI). Consiuens mus be corporae issued bonds wih a variable coupon rae, a mauriy greaer han one monh, and denominaed in Mexican pesos. Consiuens mus be corporae issued AAA-raed bonds wih a variable coupon rae, a mauriy greaer han one monh, and denominaed in Mexican pesos. Consiuens mus be corporae issued AA-raed bonds wih a variable coupon rae, a mauriy greaer han one monh, and denominaed in Mexican pesos. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 13

15 Money Marke Indices Sub- Promissory Noe Day Promissory Noe 1- Year Eligible Securiies Consiuens mus be bank issued promissory noes wih a mauriy beween 70 and 91 days, and denominaed in Mexican pesos. Consiuens mus be bank issued promissory noes wih a mauriy beween one and 12 monhs, and denominaed in Mexican pesos. Money Marke Rae Indices Sub-* Bank Funding Over-Nigh Rae Governmen Funding Rae FDTR Rae Promissory Noe 28 Day Rae Promissory Noe 91 Day Rae 28 day Inerbank Ineres Rae Balance Descripion The index measures he Mexican banking funding rae and is denominaed in Mexican pesos. The index measures he Mexican governmen funding rae and is denominaed in Mexican pesos. The index measures he Federal Funds Targe Rae upper bound in he U.S. and is denominaed in Mexican pesos. The index measures he rae of Mexican banking noes wih a mauriy of 28 days and is denominaed in Mexican pesos. The index measures he rae of Mexican banking noes wih a mauriy of 91 days and is denominaed in Mexican pesos. The index measures he 28 day TIIE rae and is denominaed in Mexican pesos. * The index is a rae index and does no conain any index consiuens. See Appendix C for calculaion deails. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 14

16 Consrucion Calculaions The S&P/Valmer Indices are marke-value-weighed indices. The oal reurn is calculaed by aggregaing he ineres reurn, reflecing he reurn due o paid and accrued ineres, and price reurn, reflecing he gains or losses due o changes in he end-of-day price and principal repaymens. For furher deails regarding Calculaions please refer o he Appendices A-D. For furher informaion regarding index rebalance schedules, mauriy ranges, currency and raings crieria, please refer o Appendix E. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 15

17 Mainenance Rebalancing The S&P/Valmer Indices are reviewed and rebalanced on a predefined schedule as noed in Appendix E. The Commiee, neverheless, reserves he righ o make adjusmens o he index a any ime ha i believes appropriae. For indices wih a monhly rebalancing schedule, addiions, deleions and oher changes o he arising from he monhly rebalancing are published, afer he close of business, hree business days prior o he las business day of he monh ( he Announcemen Dae ). Publicly available informaion, up o and including he Close on he fourh Business Day preceding he Rebalancing Dae, is considered in he rebalancing. changes published in he announcemen are normally subjec o revision and become effecive afer he Close on he las business day of he monh ( he Rebalancing Dae ). Base Daes and Hisory Availabiliy hisory availabiliy, base daes and base values for he S&P/Valmer Indices are shown below. Launch Dae Firs Value Dae Base Value Base Dae Governmen CETES 1 06/03/ /02/ /02/ Governmen 1-5 Year MBONOS 2 06/03/ /02/ /02/ Governmen 5-10 Year MBONOS 3 06/03/ /02/ /02/ Governmen Inflaion- 03/04/ /31/ /31/ Linked 1+ Monh UDIBONOS Governmen Inflaion- Linked 1+ Year UDIBONOS 4 06/03/ /02/ /02/ Formerly he Dow Jones LATixx Mexico Governmen CETES prior o January 1, Formerly he Dow Jones LATixx Mexico Governmen BONOS 1-5 Year prior o January 1, Formerly he Dow Jones LATixx Mexico Governmen BONOS 5-10 Year prior o January 1, Formerly he Dow Jones LATixx Mexico Governmen UDIS prior o January 1, S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 16

18 Launch Dae Firs Value Dae Base Value Base Dae Governmen Inernaional 1+ Year UMS 5 06/08/ /02/ /02/ Sovereign Bond 03/04/ /02/ /02/ Sovereign MBONOS Sovereign 1-3 Year MBONOS Sovereign 3-5 Year MBONOS Sovereign 20+ Year MBONOS Sovereign Year MBONOS Sovereign Day MBONOS Sovereign 1500 Days+ MBONOS Sovereign Inflaion- Linked 3 Year UDIBONOS Sovereign Inflaion- Linked UDIBONOS Sovereign Inflaion- Linked 10 Year UDIBONOS Sovereign Inflaion- Linked 5 Year UDIBONOS Sovereign Inflaion- Linked 30 Year UDIBONOS Sovereign Inflaion- Linked 20 Year UDIBONOS Sovereign 28 Day CETES Sovereign 7 Day CETES Sovereign 182 Day CETES Sovereign 91 Day CETES Sovereign 7+ CETES Sovereign 364 Day CETES Sovereign Floaing Rae IPAB BPA182 Sovereign Floaing Rae IPAB BPAG28 Sovereign Floaing Rae 7+ Day 04/01/ /24/ /24/ /01/ /01/ /01/ /01/ /01/ /01/ /01/ /20/ /20/ /01/ /17/ /17/ /01/ /31/ /31/ /01/ /06/ /06/ /01/ /04/ /04/ /01/ /04/ /04/ /01/ /05/ /05/ Formerly he Dow Jones LATixx Mexico Governmen UMS prior o January 1, S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 17

19 Launch Dae Firs Value Dae Base Dae Base Value Sovereign Floaing Rae BONDESD 04/01/ /17/ /17/ Sovereign Floaing Rae BONDESD /19/ /04/ /04/ Sovereign Floaing Rae BONDESD /19/ /04/ /04/ Sovereign Floaing Rae BONDESD 3+ 01/19/ /04/ /04/ Corporae Inflaion- Linked Coupon Sovereign Floaing Rae IPAB BPAG91 04/01/ /03/ /03/ Sovereign Floaing Rae Corporae Fixed Coupon AA Raed Corporae Variable Coupon AAA Raed 04/01/ /10/ /10/ Corporae Day Corporae Duraion /19/ /02/ /02/ Corporae Duraion /19/ /02/ /02/ Corporae Duraion /19/ /02/ /02/ Corporae Double AA Raed Corporae Variable Coupon Corporae AAA Raed 04/01/ /20/ /20/ Corporae Single A Raed Corporae Inflaion- Linked Coupon AAA Raed Corporae Fixed Coupon AAA Raed 04/01/ /20/ /20/ Corporae Variable Coupon AA Raed Corporae Fixed Coupon Corporae Inflaion- Linked Coupon AA Raed Sovereign Fixed Rae Day Sovereign Fixed Rae Corporae S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 18

20 Launch Dae Firs Value Dae Base Dae Base Value Sovereign Fixed Rae Day Sovereign Inernaional Year UMS 04/01/ /31/ /31/ Sovereign Inernaional 5-10 Year UMS 04/01/ /31/ /31/ Sovereign Inernaional 5 Year UMS 04/01/ /31/ /31/ Sovereign Real Rae Quasi-Sovereign Fixed Rae 04/01/ /24/ /24/ Quasi-Sovereign Inflaion-Linked 04/01/ /19/ /19/ Sovereign Inernaional 20+ Year UMS 04/01/ /31/ /31/ Sovereign Inernaional UMS 04/01/ /02/ /02/ Promissory Noe Promissory Noe 1- Year Promissory Noe Day 04/01/ /30/ /30/ Quasi-Sovereign Floaing Rae 04/01/ /11/ /11/ CEDEVIS 04/01/ /22/ /22/ TFOVIS 04/01/ /11/ /11/ Quasi-Sovereign & Bank Floaing Rae 04/01/ /10/ /10/ Sovereign 7+ Days Sovereign Inernaional UMS (US Dollar) 04/01/ /31/ /31/ Sovereign Inernaional 20+ Year UMS (US Dollar) 04/01/ /31/ /31/ Sovereign Inernaional 5-10 Year UMS (US Dollar) 04/01/ /31/ /31/ Sovereign Inernaional 5 Year UMS (US Dollar) 04/01/ /31/ /31/ Promisory Noe 28 Day Rae 04/01/ /30/ /30/ Promisory Noe 91 Day Rae 04/01/ /29/ /29/ FDTR Rae Sovereign Funding Rae 04/01/ /04/ /04/ Day Inerbank Ineres Rae Balance Bank Funding Over- Nigh Rae S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 19

21 Launch Dae Firs Value Dae Base Dae Base Value Sovereign Inernaional Year UMS (US Dollar) 04/01/ /31/ /31/ Sovereign Inernaional UMS (US Issued & Dollar) 04/01/ /04/ /04/ Sovereign 10 Year MBONOS 04/01/ /25/ /25/ Quasi-Sovereign 04/01/ /11/ /11/ S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 20

22 Governance Commiee The S&P/Valmer Commiee mainains he indices. Commiee members are fullime professionals a S&P Dow Jones Indices as well as members from Valmer. Meeings are held semi-annually, bu inerim meeings may be held whenever deemed appropriae. The Commiee oversees he managemen of he indices, including deerminaions of inra-rebalancing changes o an index, mainenance and inclusion policies, and oher maers affecing he mainenance and calculaion of he indices. In fulfilling is responsibiliies, he Commiee has full and complee discreion o (i) amend, apply, or exemp he applicaion of index rules and policies as circumsances may require and (ii) add, remove, or by-pass any bond in deermining he composiion of an index. The Commiee may rely on any informaion or documenaion submied o i or gahered by i ha he Commiee believes o be accurae. The Commiee reserves he righ o reinerpre publicly available informaion and o make changes o an index based on a new inerpreaion of ha informaion a is sole discreion. All Commiee discussions are confidenial. For informaion on Qualiy Assurance and Inernal Reviews of Mehodology, please refer o S&P Dow Jones Indices Fixed Income Policies & Pracices documen locaed on our Web sie, S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 21

23 Policy Announcemens Announcemens of any relevan informaion peraining o he S&P/Valmer Indices are made a approximaely 05:30 PM ET. Press releases are posed on S&P Dow Jones Indices Web sie a Holiday Schedule The S&P/Valmer Indices are calculaed when he Mexican fixed income markes are open. End-of-Day Calculaion levels are calculaed a he end of each business day, a approximaely 10:00 PM ET, via S&P Dow Jones Indices Web sie. Releases Releases are issued by S&P Dow Jones Indices a he end of he business day. The release ime is generally 05:30 PM ET. Recalculaion Policy S&P Dow Jones Indices reserves he righ o recalculae an index under cerain limied circumsances. S&P Dow Jones Indices may choose o recalculae and republish an index if i is found o be incorrec or inconsisen wihin wo rading days of he publicaion of he index level in quesion for one of he following reasons: 1. mehodology even 2. Lae announcemen 3. Revised source daa Any oher resaemen or recalculaion of an index is only done under exraordinary circumsances o reduce or avoid possible marke impac or disrupion as solely deermined by he Commiee. For more informaion on he recalculaion policy please refer o S&P Dow Jones Indices Fixed Income Policies & Pracices documen locaed on our Web sie, S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 22

24 For informaion on Calculaions and Pricing Disrupions, Exper Judgmen and Daa Hierarchy, please refer o S&P Dow Jones Indices Fixed Income Policies & Pracices documen locaed on our Web sie, S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 23

25 Disseminaion levels are available hrough S&P Dow Jones Indices Web sie a major quoe vendors (see codes below), numerous invesmen-oriened Web sies, and various prin and elecronic media. Tickers Governmen CETES Governmen 1-5 Year MBONOS Governmen 5-10 Year MBONOS Governmen Inflaion-Linked 1+ Monh UDIBONOS Governmen Inflaion-Linked 1+ Year UDIBONOS Governmen Inernaional 1+ Year UMS Sovereign Bond Sovereign MBONOS Sovereign 1-3 Year MBONOS Sovereign 3-5 Year MBONOS Sovereign 20+ Year MBONOS Sovereign Year MBONOS Sovereign Day MBONOS Sovereign 1500 Days+ MBONOS Sovereign Inflaion-Linked 3 Year UDIBONOS Sovereign Inflaion-Linked UDIBONOS Sovereign Inflaion-Linked 10 Year UDIBONOS Sovereign Inflaion-Linked 5 Year UDIBONOS Sovereign Inflaion-Linked 30 Year UDIBONOS Sovereign Inflaion-Linked 20 Year UDIBONOS Sovereign 28 Day CETES Sovereign 7 Day CETES Sovereign 182 Day CETES Sovereign 91 Day CETES Sovereign 7+ CETES Sovereign 364 Day CETES Sovereign Floaing Rae IPAB BPA182 Sovereign Floaing Rae IPAB BPAG28 Sovereign Floaing Rae 7+ Day Sovereign Floaing Rae BONDESD Sovereign Floaing Rae BONDESD 0-1 Sovereign Floaing Rae BONDESD 1-3 Sovereign Floaing Rae BONDESD 3+ Corporae Inflaion-Linked Coupon Sovereign Floaing Rae IPAB BPAG91 Sovereign Floaing Rae Corporae Fixed Coupon AA Raed Ticker SPVMCETT SPVMBN4T SPVMB10T SPVIF0U SPVIF1UT SPVUMS1T SPVSOVG SPVMBNS SPVMBN3 SPVMBN5 SPVM20B SPVMB20 SPVM11K SPVM15K SPVIFB3 SPVIFUB SPVIF10 SPVIFB5 SPVIF30 SPVIF20 SPVM28X SPVMC7X SPV182X SPVM91X SPVMGC7 SPV364X SPVFRBP SPVFRIP SPVFLR7 SPVFRBS SPVFBS0 SPVFBS1 SPVFBS3 SPVILC- SPVFRAB SPVFLR- SPVF-2A S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 24

26 Corporae Variable Coupon AAA Raed Corporae Day Corporae Duraion 1-5 Corporae Duraion 5-10 Corporae Duraion 10+ Corporae Double AA Raed Corporae Variable Coupon Corporae AAA Raed Corporae Single A Raed Corporae Inflaion-Linked Coupon AAA Raed Corporae Fixed Coupon AAA Raed Corporae Variable Coupon AA Raed Corporae Fixed Coupon Corporae Inflaion-Linked Coupon AA Raed Sovereign Fixed Rae Day Sovereign Fixed Rae Corporae Sovereign Fixed Rae Day Sovereign Inernaional Year UMS Sovereign Inernaional 5-10 Year UMS Sovereign Inernaional 5 Year UMS Sovereign Real Rae Quasi-Sovereign Fixed Rae Quasi-Sovereign Inflaion-Linked Sovereign Inernaional 20+ Year UMS Sovereign Inernaional UMS Promissory Noe Promissory Noe 1- Year Promissory Noe Day Quasi-Sovereign Floaing Rae CEDEVIS TFOVIS Quasi-Sovereign & Bank Floaing Rae Sovereign 7+ Days Sovereign Inernaional UMS (US Dollar) Sovereign Inernaional 20+ Year UMS (US Dollar) Sovereign Inernaional 5-10 Year UMS (US Dollar) Sovereign Inernaional 5 Year UMS (US Dollar) Promissory Noe 28 Day Rae Promissory Noe 91 Day Rae FDTR Rae Sovereign Funding Rae 28 day Inerbank Ineres Rae Balance Bank Funding Over-Nigh Rae Sovereign Inernaional Year UMS (US Dollar) Sovereign Inernaional UMS (US Issued & Dollar) Sovereign 10 Year MBONOS Quasi-Sovereign Ticker SPVVC3A SPV7365 SPVCRD1 SPVCRD5 SPVCD10 SPVCP2A SPVVRCP SPVCP3A SPVCP1A SPVIL3A SPVF-3A SPVVC2A SPVMFCN SPVIL2A SPVF365 SPVMFXR SPVCORP SPVF90D SPVUM20 SPVUM10 SPVUM5S SPVMRR SPVQSFR SPVQILR SPVU20U SPVIUMS SPVMNT SPVN1LS SPVN21D SPVQSFL SPVCDVS SPVTFVS SPVSBFR SPVMGO7 SPVUMDS SPV20UD SPVU10D SPVUM5D SPVN28D SPVN91D SPVFDTR SPVFURT SPVIIRB SPVFONR SPVU20D SPVUMDD SPVMBO1 SPVQUSO S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 25

27 FTP Daily index levels and index daa are available via FTP subscripion. For produc informaion, please conac S&P Dow Jones Indices, Web sie For furher informaion, please refer o S&P Dow Jones Indices Web sie a S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 26

28 Appendix A Appendix A specifies he calculaion deails for he CETES, MBONOS, UDIBONOS, UMS and all oher Sovereign Indices. Calculaion for CETES The index reurn (same day) a day versus -1 is calculaed according o he following equaion: r i = i Q ( P Q ( P i i i, i, 1 ) 1 ) where: Base: 100 = January 2, 2004 Q i = Curren debenures in he monh of bond i, adjused by amorizaions, reopening or repurchases by he issuer, ec. P i, = Clean price of bond i a he end of day. Given he index value a day -1 and he daily reurn, he value of he index for day is given by: Ind = Ind -1 (1 + r ) Calculaion for UMS, UDIS and MBONOS Indices The index reurn (same day) a day versus -1 is calculaed according o he following equaion: r i = i Q ( P i i, Q ( P i i, 1 + CD + CD i, 1,24 i, 1 ) 1 ) Base: 100 = January 2, 2004 S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 27

29 where: Q i = Curren debenures in he monh of bond i, adjused by amorizaions, reopening or repurchases by he issuer, ec. P i, = Clean price of bond i a he end of day. CD i,-1,24 = Accrued coupon 24 hours by bond i a day -1. CD i,-1 = Accrued coupon by bond i a day -1. Given he index value a day -1 and he daily reurn, he value of he index for day is given by: Ind = Ind -1 (1 + r ) Adjusmen for Coupon Paymen for MBONOS r = i d,, fm Qi Pi K y, fm * 360 Q ( P + CD ) i i i, 1 i, where: dic, fm K (1 + yic, fm * ) 360 = Qi * CDic 1,24 i Represens he income generaed by coupons and invesed a a governmen repo rae corresponding o he curve a he erm d ic,fm, he number of days o monh end. This invesmen remains fixed a a given rae deermined by he marke a he coupon paymen dae. d, fm 1 (1 + y, fm * ) = The discoun facor of he governmen repo rae a day for he 360 dae corresponding o he end of he monh. Adjusmen for Coupon for UMS and UDIS Indices r = i d,, fm Qi Pi K y, fm * 360 Q ( P + CD ) i i i, 1 i, where: di c, fm K (1 + yi c, fm * ) 360 = U i * Qi * CD c ic 1,24 i S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 28

30 Represens he income obained from he accrued coupon in U.S. dollars for UMS and UDI for UDIS from bond i, muliplied by he fixed rae of exchange of he day and invesed a a repo rae in U.S. dollars for UMS or UDI for UDIS corresponding o he curve a he erm (y ic,fm ), corresponding o he curve a erm d ic,fm, he number of days o monh end. The invesmen remains fixed a a given rae deermined by he marke a he coupon paymen dae. CD ic-1, 24 = Accrued coupon in U.S. dollars for UMS or UDI for UDIS. U ic = Fixed exchange rae of he day of he coupon paymen. (1 + y d 360, fm 1, fm * ) = The discoun facor of he governmen repo rae in U.S. dollars for UMS or UDI for UDIS a day or he dae corresponding o he end of he monh. y ic,fm d ic,fm = The repo rae in U.S. dollars for UMS or UDI for UDIS or pesos for oher indices corresponding o he remaining days o he end of he monh when he coupon paymen occurs. = The number of days from he coupon paymen dae of bond i o he monh end dae. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 29

31 Appendix B Appendix B denoes he calculaions used for calculaing for he Corporae Bond Indices. Calculaions The reurn on a single componen can be deermined as follows. The yield r is represened by: r = r 1 PL + ID + I PL [ ID = 0 ] 1 + ID C + I 1 [ A = 0 ] A (1) where: PL = Clean price of he asse on day. ID = Accrued ineres on day. I = An indicaor where if equal o 1, refers o he coupon clipping; Oherwise i is zero. C = Coupon paymen on day. A = Parial sinking on day. The iniial value r of an asse is equal o 100. The index reurn can be calculaed as: where: r i, R k, = Rk, 1 wi, *, 1 (2) * i A k ri, 1 * = Las rebalance dae. w i,*,-1 = Weigh of he securiy i. * A k = Number of componens in he index. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 30

32 The weigh of a componen can be defined as: j ( PLi, 1 + IDi, 1) * ( PL + ID ) q * i, w i, *, 1 = (3) q * A k j, j, 1 j, 1 Where q i, * can be defined as he number of ousanding issues. * (1) q = NT i, i, * The index value can be calculaed as: RB = RB (1 + R ) (4) 1 * k, This formula mus saisfy he following propery: n k = 1 wp k, *, 1 = 1 Coupon Reinvesmen This secion will review he fac ha he consrucion given in (1) assumes ha he coupon given by an insrumen is immediaely reinvesed in he same insrumen. Sar on dae, anoher dae where he asse has coupon clipping c, and an addiional dae prior o rebalancing, so < c <. I is assumed ha c is he only dae where he coupon is clipped beween and before (inclusive). By he ieraion of (1), we can express he reurn performance as follows: r ' PL c + ID c + C = r PL + ID c PL ' + c PL + ID ID ' c Anoher way o wrie his las expression is: r ' where: ρ PL = r c, ' = ' PL + ID ' + C c ( 1+ r c ), ' PL + ID + ID ) ( PL PL + ID ( ' ' + ID ) S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 31

33 This is he reinvesmen rae of he coupon. So he coupon on dae is immediaely reinvesed in he same asse. From his derives he need o calculae he benchmark on a daily basis, alhough he frequency of rebalancing is no daily. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 32

34 Appendix C Appendix C specifies he calculaion deails for he Money Marke Indices. Bank Funding (Same Day) The funding rae is obained daily from he financial indicaors of Banco de Mexico (Banxico). The yield generaed by he inerbank funding rae beween one day and he nex business day, can be expressed as: r where: i = * r + = Yield of he overnigh inerbank fund rae a day +. i = Overnigh inerbank fund rae a day. = Saring dae of overnigh inerbank fund rae. = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). The daily performance of he overnigh inerbank fund rae can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he issuance dae). Governmenal Funding (Same Day) The governmenal funding rae is obained daily from he financial indicaors of Banco de Mexico (Banxico). The yield generaed by he governmenal funding rae beween one day and he nex business day, can be expressed as: r i = * S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 33

35 where: r + = Yield of he overnigh governmenal fund rae a day +. i = Overnigh governmenal fund rae a day. = Saring dae of overnigh governmenal fund rae. = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). The daily effecive yield performance can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he issuance dae). TIIE 28 (Same Day) The TIIE28 rae is obained daily from financial indicaors of BANXICO s Web page. Given a deposi of US$ 1 a he rae i, he fuure value a he end of he deposi horizon can be expressed as: FV = 1+ i * 360 where: i = TIIE28 rae a day. = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). The presen value of he same deposi on he nex business day of, is he fuure value discouned a he appropriae rae: where: PV + FV = i+ 1+ * = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). i + = Curren TIIE28 in + equivalen o 27 days. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 34

36 The yield on day of he nex business day is he percenage increase of he presen value: r + = PV + PV PV Because PV equals 1, he yield can be simplified as: r + = PV + -1 Finally, he daily yield can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he issuance dae). TPFGN The yield generaed by he TPFGN rae beween one day and he nex business day, can be expressed as: r where: i = * r + = Yield generaed by TPFGN a dae +. i = TPFGN rae a ime. = Saring dae of TPFGN rae. = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). Daily yield performance of TPFGN can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he index issuance dae). Promissory Noe 28 Day Rae The yield o mauriy 28 day promissory noes rae is obained daily from he financial indicaors of Banco de México (Banxico), available a hp:// nsularcuadro&idcuadro=cf117&secor=18&locale=en. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 35

37 The yield generaed by he yield o mauriy 28 day promissory noes rae beween one day and he nex business day, can be expressed as: r where: i + = * 360 r + = Yield of he promissory noes 28 day rae a day +. i = Yield o mauriy promissory noes 28 day rae day. = Saring dae of yield o mauriy promissory noes 28 day rae. = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). Daily performance of he yield o mauriy promissory noes 28 day rae can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he index issuance dae). Three Monh Fixed Term Deposis The hree monh fixed erm deposi rae is obained monhly from he financial indicaors of Banco de Mexico (Banxico) available a hp:// nsularcuadro&idcuadro=cf117&secor=18&locale=en. The yield generaed by he hree monh fixed erm deposi rae beween one day and he nex business day, can be expressed as: r where: i = * r + = Yield of he hree monh fixed erm deposi rae a day +. i = Three monh fixed erm deposi rae a day. = Saring dae of he hree monh fixed erm deposi rae. = Number of days beween and he nex business day (e.g equals hree from Friday o Monday). S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 36

38 Daily performance of he hree monh fixed erm deposi rae can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he index issuance dae). U.S. Fed Funds Targe Rae The U.S. Fed Funds Targe Rae is obained daily from he Federal Reserve. The yield generaed by he U.S. Fed Funds Targe Rae beween one day and he nex business day, can be expressed as: r where: i = * r + = Yield of he U.S. Fed Funds Targe Rae a day +. i = Overnigh U.S. Fed Funds Targe Rae a day. = Saring dae of U.S. Fed Funds Targe Rae. = Number of days beween and he nex business day (e.g. equals hree from Friday o Monday). Daily performance of he U.S. Fed Funds Targe Rae can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he index issuance dae). Repo G2i The Repo G2i rae is creaed by Valmer and published on is websie. The yield generaed by he Repo G2i rae beween one day and he nex business day, can be expressed as: r where: i = * r + = Yield of he Repo G2i rae a day +. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 37

39 i = Overnigh Repo G2i rae a day. = Saring dae of Repo G2i rae. = Number of days beween and he nex business day (e.g. equals hree Friday o Monday). Daily performance of he Repo G2i rae can be expressed as an index: where: I + = I (1 + r + ) I = level on day (I = 100 on he index issuance dae). S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 38

40 Appendix D 24hr Indices Appendix D specifies he calculaion deails for he 24hr Indices. Two componens are used o in order o calculae he 24hr benchmarks: PL24H = The esimaed clean price for he nex 24 hour period. ID24H = The accrued ineres for he nex 24 hour period. For any given rading dae,, he clean price (PL ) and yield o mauriy (Y ) are known. Assuming ha he yield for he nex 24 hour period is fixed, he diry price for he nex 24 hour period (DP24H) can be calculaed accordingly: PL24H = DP24H ID24H Wih PL24H and ID24H, he performance of a securiy in he 24hr Indices can be calculaed wih he sandard equaions in Appendix B. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 39

41 Appendix E Deails Rebalance Mauriy Range Frequency (Days*) Currency Governmen CETES Monhly > 1 monh MXN Sovereign 7+ CETES Weekly >7 MXN Sovereign 7 Day CETES Weekly = 7 MXN Sovereign 28 Day CETES Weekly = 28 MXN Sovereign 91 Day CETES Weekly = 91 MXN Sovereign 182 Day CETES Weekly > 154 and < 183 MXN Sovereign 364 Day CETES Weekly > 308 and < 365 MXN Sovereign MBONOS Weekly > 7 MXN Sovereign 1-3 Year MBONOS Weekly > 360 and < 1080 MXN Sovereign 1500 Days+ MBONOS Weekly > 1500 MXN Sovereign 3-5 Year MBONOS Weekly > 1094 and < 1821 MXN Governmen 5-10 Year MBONOS Monhly > 1822 and < 3642 MXN Sovereign Year MBONOS Weekly > 3643 and < 7305 MXN Sovereign 20+ Year MBONOS Weekly > 7305 MXN Governmen 1-5 Year MBONOS Monhly > 360 and < 1821 MXN Sovereign Day MBONOS Weekly > 600 and < 1500 MXN Governmen 10 Year MBONOS Weekly >1820 and <3641 MXN Governmen 7+ Days Weekly >7 MXN Sovereign Bond Monhly > 1 monh MXN Sovereign Inflaion-Linked UDIBONOS Weekly > 7 MXV Governmen Inflaion-Linked 1+ Monh UDIBONOS Monhly > 1 monh MXV Governmen Inflaion-Linked 1+ Year UDIBONOS Monhly > 353 MXV Sovereign Inflaion-Linked 3 Year UDIBONOS Weekly > 360 and < 1080 MXV Sovereign Inflaion-Linked 5 Year UDIBONOS Weekly > 1094 and < 1821 MXV Sovereign Inflaion-Linked 10 Year UDIBONOS Weekly > 1822 and < 3642 MXV Sovereign Inflaion-Linked 20 Year UDIBONOS Weekly > 3643 and < 7305 MXV Sovereign Inflaion-Linked 30 Year UDIBONOS Weekly > 7306 MXV Sovereign Inernaional UMS Weekly > 365 MXN Governmen Inernaional 1+ Year UMS Monhly > 360 MXN Sovereign Inernaional UMS (US Dollar) Weekly > 365 USD Sovereign Inernaional UMS (US Issued & Weekly > 365 USD Dollar) Sovereign Inernaional 5 Year UMS Weekly > 360 and < 1801 MXN Sovereign Inernaional 5 Year UMS (US Dollar) Weekly > 360 and < 1801 USD * Unless oherwise saed. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 40

42 Rebalance Mauriy Range Frequency (Days*) Currency Sovereign Inernaional 5-10 Year UMS Weekly > 1800 and < 3605 MXN Sovereign Inernaional 5-10 Year UMS (US Weekly > 1800 and < 3605 USD Dollar) Sovereign Inernaional Year UMS Weekly > 360 and < 7201 MXN Sovereign Inernaional Year UMS (US Weekly > 360 and < 7201 USD Dollar) Sovereign Inernaional 20+ Year UMS Weekly > 7200 MXN Sovereign Inernaional 20+ Year UMS (US Weekly > 7200 USD Dollar) Sovereign Fixed Rae Weekly > 7 MXN Sovereign Fixed Rae Day Weekly > 185 and < 365 MXN Sovereign Fixed Rae Day Weekly > 92 and < 185 MXN Sovereign Real Rae Weekly > 7 MXV Sovereign Floaing Rae Weekly > 7 MXN Sovereign Floaing Rae BONDESD Weekly > 7 MXN Sovereign Floaing Rae BONDESD 0-1 Weekly > 7 and < 365 MXN Sovereign Floaing Rae BONDESD 1-3 Weekly > 365 and < 1080 MXN Sovereign Floaing Rae BONDESD 3+ Weekly > 1081 MXN Sovereign Floaing Rae IPAB BPAG28 Weekly > 7 MXN Sovereign Floaing Rae IPAB BPAG91 Weekly > 7 MXN Sovereign Floaing Rae IPAB BPA182 Weekly > 7 MXN Sovereign Floaing Rae 7+ Day Weekly < 365 MXN Quasi-Sovereign Monhly > 1 monh MXN Quasi-Sovereign Floaing Rae Monhly > 1 monh MXN Quasi-Sovereign Fixed Rae Monhly > 1 monh MXN Quasi-Sovereign Inflaion-Linked Monhly > 1 monh MXV Quasi-Sovereign & Bank Floaing Rae Monhly > 359 and < 1081 MXV CEDEVIS Monhly >1 monh MXV TFOVIS Monhly >1 monh MXV * Unless oherwise saed. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 41

43 Rebalance Mauriy Range Raings Frequency (Days*) Currency Raings Agency Corporae Monhly > 1 monh MXN N/A N/A Corporae Day Monhly > 7 and < 365 MXN N/A N/A Corporae Duraion 1-5 Monhly > 366 and < 1820 MXN N/A N/A Corporae Duraion 5-10 Monhly > 1821 and < 3640 MXN N/A N/A Corporae Duraion 10+ Monhly > 3641 MXN N/A N/A Corporae AAA Raed Minimum Monhly > 1 monh MXN AAA 2 Corporae Double AA Only AA-, Monhly > 1 monh MXN Raed AA, AA+ 2 Corporae Single A Raed Only A-, Monhly > 1 monh MXN A, A+ 2 Corporae Fixed Coupon Monhly > 1 monh7 MXN N/A N/A Corporae Fixed Coupon Minimum Monhly > 1 monh MXN AAA Raed AAA 2 Corporae Fixed Coupon Only AA-, Monhly > 1 monh MXN AA Raed AA, AA+ 2 Corporae Variable Coupon Monhly > 1 monh7 MXN N/A N/A Corporae Variable Minimum Monhly > 1 monh MXN Coupon AAA Raed AAA 2 Corporae Variable Only AA-, Monhly > 1 monh MXN Coupon AA Raed AA, AA+ 2 Corporae Inflaion-Linked Coupon Monhly > 1 monh MXV N/A N/A Corporae Inflaion-Linked Minimum Weekly > 1 monh MXV Coupon AAA Raed AAA 2 Corporae Inflaion-Linked Only AA-, Monhly > 1 monh MXV 2 Coupon AA Raed AA, AA+ Promissory Noe Monhly > 1 monh MXN N/A N/A Promissory Noe Day Monhly > 70 and < 91 MXN N/A N/A Promissory Noe 1- Year Monhly > 30 and < 365 MXN N/A N/A Bank Funding Over-Nigh Rae N/A N/A Rae N/A N/A Sovereign Funding Rae N/A N/A Rae N/A N/A 28 Day Inerbank Ineres Rae Balance N/A N/A Rae N/A N/A Promisory Noe 28 Day Rae N/A N/A Rae N/A N/A Promisory Noe 91 Day N/A N/A Rae N/A N/A Rae FDTR Rae N/A N/A Rae N/A N/A * Unless oherwise saed. S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 42

44 Appendix F Mehodology Changes Mehodology changes since January 1, 2015 are as follows: Change Corporae Indices: Effecive Dae (Afer Close) Previous 04/01/2015 All Corporae Indices were rebalanced weekly. Mehodology Updaed All Corporae Indices are rebalanced monhly. Rebalancing Frequency Change Name Change: Governmen Indices o Sovereign Indices 04/01/2015 The indices making up he following index families all included Governmen in heir index names: CETES, Fixed Rae, Floaing Rae, Funding Rae, MBONOS, Real Rae, UDIBONOS and UMS. Example: Governmen Floaing Rae The indices making up he following index families all include Sovereign in heir index names: CETES, Fixed Rae, Floaing Rae, Funding Rae, MBONOS, Real Rae, UDIBONOS and UMS. Example: Sovereign Floaing Rae The following indices are excepions o his mehodology change and heir names remain unchanged: Governmen CETES Governmen 5-10 Year MBONOS Governmen 1-5 Year MBONOS Governmen Inflaion-Linked 1+ Year UDIBONOS Governmen Inernaional 1+ Year UMS S&P Dow Jones Indices: S&P/Valmer Indices Mehodology 43