STATISTICS
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)
