Informe de operatividad y nivel de riesgo al 5 de Octubre

STATISTICS

 

 

 

 


Operational Statistics 2020

January

February

March

April

May

June

July

August

September

 

 

 

 

 

 

 

 

Operational levels and risk levels report (to october 5th)

 

1. Operacional levels

 

Traded amounts in the Stock Exchange vs fails amounts (thousands of millions MXP)

 

Most relevant fails during september

 

Day:

Traded Amount

 (Mill MXP)

Mailing Stocks

(Mill MXP)

# Trades

Sept 2th

$50 (17%)

C.*: $26.4

ACWI.*:$23.5

54 (6%)

Sept 8th

$64 (22%)

TWM.*: $60.2

45 (5%)

Sept 9th

$41 (14%)

AIG.*:$39.9

39 (4%)

TOTAL

$155 (54%)

 

138 (16%)

 

 

Stocks most frequently failed during September and October

 

 

             

Agents that most frequently failed during September and October

 

 

 

Comparison of domestic and foreign stocks failed

 

 

 

Number of trades an number of failed trades

 

 

 

2. Collateral management and risk levels

 

Guarantee funds, VaR and traded amounts (MXP)

 

 

 

Collateral surplus by Agent

 

 

Guarantee funds composition (Contribution and Compensation Fund)

 

 

 

 

3. Back Testing and Stress Testing

 

Back Testing

 

Var (99%) Histórico

Excepciones

7

Eficiencia del Modelo

98.6%

 

 

Stress Testing

 

Var (99%) Histórico

Excepciones

9

Eficiencia del Modelo

98.2%

 

 

4. Responsability Limits and Compensation Fund by Agents (MXP)

 

Responsability Limit

 

 

 

 

Compensation Fund

 

 

5. Settlement during the Grace Period and Securities Lending (millions MXP)

 

 

 

 



 

 
 

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