Handbook_web_2011.pdf

s 'PSFJHO&YDIBOHF.BSLFU

s 'JYFE*ODPNF.BSLFU

s *OUFSFTU3BUF%FSJWBUJWFT

s &RVJUZ.FYJDBO4UPDL&YDIBOHF

)BOECPPLPG.FYJDBO

'JOBODJBM*OTUSVNFOUT

Mexico 2011

Market & Client Strategy

)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

$POUFOUT

*OUSPEVDUJPO

##7"#BODPNFS4

'PSFJHO&YDIBOHF.BSLFU

4XBQT'VUVSFTBOE'PSXBSET7

$BTI5PNBOE5PN/FYUTXBQT05$7

'9'VUVSFT.&9%&3BOE$.&10

.9/'PSXBSETBOE/%'{T05$13

'9WPMBUJMJUJFT14

'90QUJPOT05$14

'90QUJPOT.&9%&318

'JYFE*ODPNF(PWFSONFOU

"VDUJPOTBOE.BSLFU.BLFST19

.POFZ.BSLFU$FUFT05$................................................................................................................................................................................................................22

'JYFE3BUF.#0/046%*#0/04BOE6.424

.#0/0405$24

6%*#0/0405$27

4PWFSFJHO#POET6.405$30

'MPBUJOH3BUF/PUFT'3/*1"##POET#1"#1"5#1"34

*OUFSFTU3BUF%FSJWBUJWFT

*OUFSFTU3BUF4XBQT5**&*3405$39

$SPTT$VSSFODZ4XBQT05$5**&ũ-JCPS6%*ũ5**&BOE6%*ũ-JCPS42

*OUFSFTU3BUF'VUVSFTBOE#POE'VUVSFT 46

EBZ$&5&4'VUVSFT.&9%&347

ũ%BZ5**&'VUVSFT.&9%&348

.#0/0'VUVSFTBOEZFBS.&9%&351

*OUFSFTU3BUF4XBQ'VUVSFT54

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Mexico 2011

ZFBSBOEZFBS5**&4XBQ'VUVSF.&9%&355

*OUFSFTUSBUFWPMBUJMJUJFT56

4XBQUJPO5**&05$56

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&RVJUZ.FYJDBO4UPDL&YDIBOHF

$VTUPNFS&YFDVUJPO4FSWJDFTBOE.BSLFU.BLJOH60

4UPDLT)JHIMJHIUT.4&61

&YDIBOHF5SBEFE'VOE&5'/BGUSBD.FYUSBDBOE#SUSBD65

&RVJUZ'VUVSFTBOE0QUJPOT.&9%&369

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*1$0QUJPOTPO'VUVSFT$POUSBDUTBOE4JOHMF4UPDL0QUJPOT72

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&RVJUZ'PSXBSET 74

&RVJUZ0QUJPOT75

&RVJUZ4XBQT76

"OOFY##7"#BODPNFS

"OOFY##7"#BODPNFS4FDVSJUJFT4FSWJDFT78

"OOFY##7"#BODPNFS5IFNPTUSFMJBCMFHBUFXBZUPUIF.FYJDBO%FSJWBUJWFT.BSLFU80

$POUBDU*OGPSNBUJPOBOE%JTDMBJNFS

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

*OUSPEVDUJPO

##7"#BODPNFS

(SVQP'JOBODJFSP##7"#BODPNFS('##JTUIFMFBEJOHQSJWBUFŢJOBODJBMJOTUJUVUJPOJO.FYJDPJOUFSNTPGBTTFUT

EFQPTJUT MPBO QPSUGPMJPTJ[F BOE OVNCFS PG CSBODIFT 8JUI B HPBM PG MPOHUFSN HSPXUI BOE QSPŢJUBCJMJUZ JUT

CVTJOFTTNPEFMJTCBTFEPOBTFHNFOUFEEJTUSJCVUJPOCZDVTUPNFSUZQFBOEGPMMPXTBQIJMPTPQIZPGSJTLDPOUSPM

##7"#BODPNFSIBTPWFSZFBSTPGFYQFSJFODFJOUIF.FYJDBONBSLFUXJUINPSFUIBONJMMJPODVTUPNFST

BOEFNQMPZFFT"TPGUIFTBNFEBUF('##TBTTFUTUPUBMMFECJMMJPOQFTPTXJUIUPUBMFRVJUZPG

CJMMJPOQFTPT

##7"#BODPNFSJTBDPOUSPMMJOHBţJMJBUFPG#BODP#JMCBP7J[DBZB"SHFOUBSJB##7"POFPGUIFMBSHFTUŢJOBODJBM

HSPVQTJOUIF&VSPQFBO6OJPO##7"JTBIJHIMZMJRVJEBOEQSPŢJUBCMFŢJOBODJBMHSPVQPQFSBUJOHJODPVOUSJFTXJUI

NPSFUIBONJMMJPODVTUPNFSTBOEPWFSFNQMPZFFT##7"JTPOFPGUIFXPSMETMFBEJOHŢJOBODJBMHSPVQT

BOEPOFPGUIFTUSPOHFTUJOTUJUVUJPOTJO-BUJO"NFSJDBCBDLFECZZFBSTPGFYQFSJFODF

5IF##7"#BODPNFS(MPCBM.BSLFUT6OJUEFTJHOTTUSVDUVSFTEJTUSJCVUFTBOENBOBHFTUIFSJTLPGŢJOBODJBMNBSLFUT

QSPEVDUTGPMMPXJOHBNPEFMUIBUTFFLTUPTBUJTGZDVTUPNFSTOFFETBOESJTLIFEHJOHTUSBUFHJFT5IF(MPCBM.BSLFUT

EJWJTJPOIBTQPTUFESFDVSSFOUHSPXUICPMTUFSFECZPŇFSJOHJOOPWBUJWFJOWFTUNFOUQSPEVDUTIFEHFBMUFSOBUJWFT

BOEUBJMPSNBEFTPMVUJPOTGPSFBDIDMJFOU

(MPCBMJTBUJPOPG QSPEVDU MJOFT DVTUPNFSTFSWJDF BOE DMPTF DPMMBCPSBUJPOXJUI.BSLFUT UFBNTJO PUIFS QBSUT PG

UIFXPSMEIBWFBMMPXFE##7"(MPCBM.BSLFUTUPNBLFDVTUPNJTFESJTLNBOBHFNFOUTPMVUJPOTBOEJOUFSOBUJPOBM

JOWFTUNFOUQSPEVDUTBWBJMBCMFUISPVHIPVUUIF##7"(SPVQ

Bloomberg: “BCMR” <Go>

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

'PSFJHO&YDIBOHF.BSLFU

General background

5ISPVHIPVUUIFMBSHFTUQBSUPGJUTFBSMZIJTUPSZUIFGPSFJHOFYDIBOHFTZTUFNJO.FYJDPXBTDIBSBDUFSJTFECZŢJYFE

QBSJUZCFUXFFOUIFQFTPBOEUIFEPMMBS)PXFWFSTJODFUIFSFIBWFCFFONBKPSDIBOHFT'SPN/PWFNCFS

UP%FDFNCFSBEJSUZŢMPBUJOHGPSFJHOFYDIBOHFSBUFTZTUFNXBTJOUSPEVDFE5IJTTZTUFNBMMPXFEUIFFYDIBOHF

SBUFUPŢMPBUXJUIJOBSBOHFUIBUCSPBEFOFEEBJMZ5IF$FOUSBM#BOL#BODPEF.ÈYJDPTPMEEPMMBSTXIFOUIFVQQFS

MJNJUPGUIFSBOHFXBTSFBDIFEBOEQVSDIBTFEEPMMBSTXIFOUIFMPXFSMJNJUXBTSFBDIFE1MBOOJOHNFFUJOHTIFME

CFUXFFOUIF GFEFSBM HPWFSONFOUBOE UIF DPVOUSZT CVTJOFTT VOJPO BOE DPNNFSDJBM MFBEFST LOPXO BT h1BDUTv

EFUFSNJOFEUPXIBUFYUFOUUIFVQQFSSBOHFXPVMEDIBOHFBOEGPSIPXMPOH

0O%FDFNCFSXIFOUIF.FYJDBOQFTPDSJTJTCFHBOBOFXŢMPBUJOHFYDIBOHFSBUFTZTUFNXBTBEPQUFE

#BODPEF.ÈYJDPIBTIBEUIFBVUIPSJUZUPJOUFSWFOFJOUIFGPSFJHOFYDIBOHFNBSLFUQVSDIBTJOHPSTFMMJOHEPMMBST

WJBFJUIFSTQPUUSBEFTPSBVDUJPOTPG'9PQUJPOTJOPSEFSUPQSFTFSWFQSJDFTUBCJMJUZJOUIFFDPOPNZ"O&YDIBOHF

3BUF$PNNJTTJPO

XBTGPSNFECZUIF4FDSFUBSJBUGPSUIF5SFBTVSZBOE1VCMJD$SFEJU4)$1BOE#BODPEF.ÈYJDP

XIJDIBVUIPSJTFTJOUFSWFOUJPOTPGBOZLJOE*UJTXPSUIOPUJOHIPXFWFSUIBUJOUFSWFOUJPOJTTQPSBEJDBMMZVTFEBT

BUPPMGPSFBTJOH.9/WPMBUJMJUZBOEBDDVNVMBUJOHJOUFSOBUJPOBMSFTFSWFT5IF#BODPEF.ÈYJDPBMTPBDDVNVMBUFT

SFTFSWFTCZBDUJOHBTUIFFYDIBOHFSBUFPQFSBUPSGPSUIFGFEFSBMHPWFSONFOUBTXFMMBTUIFTUBUFSVOPJMDPNQBOZ

1&.&9

Mechanisms used to ease exchange rate volatility

Over the years, the Exchange Rate Commission has approved the following interventions:

s n%JTDSFUJPOBSZJOUFSWFOUJPOJOUIFGPSFJHOFYDIBOHFNBSLFU

s "VHVTUn+VOFn"VDUJPOPG64%QVUPQUJPOT

s 'FCSVBSZn+VOFn64%BVDUJPOT

s .BZn+VMZn.FDIBOJTNUPTMPXSFTFSWFBDDVNVMBUJPO

s 0DUPCFSn64%FYUSBPSEJOBSZBVDUJPOT

s 0DUPCFSn"QSJMn64%BVDUJPOTXJUINJOJNVNQSJDF

s .BSDIn4FQUFNCFSn64%BVDUJPOTXJUIPVUNJOJNVNQSJDF

s "QSJMn'FCSVBSZn1SPWJTJPOPGTXBQMJOFXJUI64'FE

s 'FCSVBSZnUPEBUFn"VDUJPOPG64%QVUPQUJPOT

The main features of each mechanism

a) Dollar auctions in the event of pressure on the foreign exchange market

Description:

'SPNUP#BODPEF.ÈYJDPPŇFSFEBOEBVDUJPOFEVQUPNJMMJPO64%CFUXFFOUIFDPVOUSZT

CBOLTJO UISFFEJŇFSFOU TFTTJPOT UIF ŢJSTU CFUXFFO  BOE BNUIF TFDPOE CFUXFFO BOE

BNBOEUIFMBTUCFUXFFOBOEQNFWFSZCBOLCVTJOFTTEBZ#JETXFSFTVCNJUUFEWJB

FMFDUSPOJDTZTUFNT

5IFNJOJNVNBMMPDBUJPOQSJDFGPSEPMMBSTFMMTXBTEFUFSNJOFECZNVMUJQMZJOHUIF'*9&YDIBOHF3BUF

QVCMJTIFEJOUIF0GGJDJBM(B[FUUFPOUIFEBZCFGPSFUIFPGGFSJOHCZPSUIFSBUFPCUBJOFEBUUIFMBTU

BVDUJPO*GEPMMBSTXFSFBMMPDBUFEPOUIFGPMMPXJOHEBZGPSBTFDPOEDPOTFDVUJWFUJNFUIFNJOJNVN

BMMPDBUJPO FYDIBOHF SBUF XPVME CF UIF BWFSBHF BMMPDBUJPO SBUF UBLFO GSPN UIF QSFWJPVT BVDUJPO

NVMUJQMJFECZ



5IF&YDIBOHF3BUF$PNNJTTJPODPNQSJTFTUIF4FDSFUBSZBOEUXP6OEFS4FDSFUBSJFTPGUIF4FDSFUBSJBUGPSUIF5SFBTVSZBOE1VCMJD$SFEJUBOE

UIF(PWFSOPSBOEUXP7JDF(PWFSOPSTPGUIF#BODPEF.ÈYJDP5IFZBSFJODIBSHFPGEFUFSNJOJOHUIFDPVOUSZTFYDIBOHFSBUFQPMJDZ)PXFWFS

UIFDBTUJOHWPUFJTIFMECZUIF4FDSFUBSZGPSUIF5SFBTVSZBOE1VCMJD$SFEJU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

*OMJHIUPGUIFDSJTJTUIJTNFDIBOJTNXBTSFJOTUBUFEJO0DUPCFS5IFEBJMZBNPVOUXBTTFUBU

NJMMJPO64%XIJDIEFDSFBTFEUPNJMMJPO64%JO.BSDIBOEUPNJMMJPO64%JO+VOF

General advantages:

s 5IFFYDIBOHFNBSLFUXBTBŇPSEFEMJRVJEJUZEVSJOH QFSJPETPGKJUUFSTBOE XJUIPVUSVOOJOHUIF SJTLPG

MPTJOHFYDFTTJWFBNPVOUTPGJOUFSOBUJPOBMSFTFSWFT

s %FGFODFPGTQFDJŢJDFYDIBOHFSBUFMFWFMTXBTBWPJEFE

s &RVJMJCSJVNCFUXFFOTVQQMZBOEEFNBOEPGEPMMBSTXBTSBQJEMZSFBDIFE

s &YDIBOHFSBUFWPMBUJMJUZXBTSFJOFEJO

b) U.S. Dollar sell Auctions (mechanism for slowing reserve accumulation)

*OUIF&YDIBOHF3BUF$PNNJTTJPOTFUVQBNFDIBOJTNUPDIBOOFMQBSUPGUIFGPSFJHODVSSFODZŢMPXT

XIJDIXPVMEIBWFJODSFBTFSFTFSWFTJOUPUIFGPSFJHOFYDIBOHFNBSLFUJOPSEFSUPTMPXUIFBDDVNVMBUJPOUIFSFPG

5IJTEFDJTJPOXBTNBEFTJODFUIFUFOEFODZUPCVJMEVQJOUFSOBUJPOBMSFTFSWFTMPPLFETFUUPDPOUJOVFTPNFUIJOH

XIJDIXPVMEIBWFDBVTFENBJOUFOBODFDPTUTUPJODSFBTFUPUIFDPOUSBSZPGOFUQSPŢJUT"TTPPOBTBVUIPSJUJFT

SFWFBMFEUIFJSQMBOTUPBOBMZTFUIFOFXNFDIBOJTNUIF64%.9/FYDIBOHFSBUFESBNBUJDBMMZBQQSFDJBUFE4UJMM

UIFNFDIBOJTNXBTTVTQFOEFEJO"VHVTUJOSFTQPOTFUPUIBUZFBSTHMPCBMNBSLFUTDSJTJT

5IFNFDIBOJTNDPOTJTUFEPGEBJMZEPMMBSTFMMTEJSFDUMZJOUIFGPSFJHOFYDIBOHFNBSLFU"RVBSUFSMZTDIFEVMFPG

UIFBNPVOUTBWBJMBCMFGPSBVDUJPOXBTVTFEUIFBNPVOUXBTDBMDVMBUFEEFQFOEJOHPOUIFMFWFMPGSFTFSWFT

BDDVNVMBUFEJOQSFWJPVTRVBSUFSTUIFNJOJNVNCFJOH64%NJMMJPOXIJDIXBTJOEFQFOEFOUPGFYDIBOHF

SBUFEZOBNJDTBOENBSLFUDPOEJUJPOT

General advantages:

s 5SBOTQBSFOU SVMFT XIJDI NBEF BO FŇFDU PO .9/ QFSGPSNBODF QPTTJCMF TJODF SJTLT PG JOŢMBUJPOBSZ

EFUFSJPSBUJPOFYJTUFE

s &BTF PG TUBCJMJ[JOH UIF DVSSFODZ HJWFO UIF OFHBUJWF DPSSFMBUJPOCFUXFFO PJM QSJDFT DBQJUBM ŢMPXT BOE

HSPXUIJO64EPMMBST

s 3FEVDUJPOJOUIFDPTUPGJOUFSOBUJPOBMSFTFSWFBDDVNVMBUJPOEVFUPUIFJOUFSFTUSBUFEJŇFSFOUJBMCFUXFFO

UIF6OJUFE4UBUFTBOE.FYJDP

s 1SPHSFTTUPXBSETBNPSFŢMFYJCMFFYDIBOHFSBUFTZTUFN

c) Dollar put options

Description:

5IFTFPQUJPOTBVDUJPOFEBCBOLJOHJOTUJUVUJPOTSJHIUUPTFMMEPMMBSTUPUIF$FOUSBM#BOLXIFOUIFSFXBTBO

PŇFSJOHPGEPMMBSTTPJOUFSOBUJPOBMSFTFSWFTDPVMECFBDDVNVMBUFE"TFDPOEBVDUJPODPVMECFDBMMFEJGPG

UIFPQUJPOTJOBQBSUJDVMBSNPOUIXFSFFYFSDJTFECFGPSFUIFUIPGUIBUNPOUI5IFMBUUFSXPVMEPOMZCFWBMJE

GPSUIFSFTUPGUIBUHJWFONPOUI5IFŢJSTUBVDUJPOXBTIFMEPO'FCSVBSZ

GPSBUPUBMPG64%NJMMJPO

"VDUJPOTUPPLQMBDFVOUJM+VOF

5IFEPMMBS QVU PQUJPOT XFSFSFJOTUBUFEJO 'FCSVBSZXIFO #BODP EF.ÈYJDPCFHBOUPBVDUJPO .9/

QVUTUIBUFYFSDJTFEJOXIFOFWFSUIFEBJMZŢJYJOHGBMMTCFMPXUIFEBZNPWJOHBWFSBHF*GUIFPQUJPOTBSFJO

UIFNPOFZUIFEBJMZŢJYJOHJORVFTUJPOJTUIFTUSJLF"OPQUJPODBOCFFYFSDJTFEPOUIFGPMMPXJOHEBZ#BODP

EF .ÈYJDP IBT BVDUJPOFE 64%NJMMJPO UIF MBTU EBZ PG FWFSZ NPOUI 0QUJPOT FYQJSFBOE BSF SFOEFSFE

XPSUIMFTTPOUIFMBTUEBZPGFBDINPOUI

General advantages:

s 64%QVUBVDUJPOTMFBEUPBHSBEVBMJODSFBTFJOJOUFSOBUJPOBMSFTFSWFTXJUIPVUBŇFDUJOHGPSFJHOFYDIBOHF

SBUFUSFOET

Conclusions:

s 5IFBGPSFNFOUJPOFENFBTVSFTEJEOPUDIBOHFUIFQFTPTGSFFŢMPBUJOHTZTUFN/PCBOETXFSFTFUGPSUIF

TFMMBOEQVSDIBTFPGEPMMBSTCZUIF$FOUSBM#BOL

s *OUIFTIPSUUFSNUIFTFNFBTVSFTIBEUIFHSFBUFTUJNQBDUPOGPSFJHOJOWFTUPST*OUIFQBTUUIFPOMZXBZ

UPNBLFBEKVTUNFOUTXIFOQSFTTVSFXBTQMBDFEPOUIFQFTPXBTWJBQSJDJOHPSBQPUFOUJBMJOUFSWFOUJPO

CZUIF$FOUSBM#BOLJOUIFGPSFJHOFYDIBOHFNBSLFUPŇFSJOHEPMMBST/FJUIFSPGUIFTFTJUVBUJPOTXBT

QSFEJDUBCMF'PSUIFBCPWFSFBTPOTUIFTFNFDIBOJTNTFTUBCMJTIFEDMFBSSVMFTGPSNBSLFUQBSUJDJQBOUT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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

)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Reference: FIX exchange rate

4JODF"QSJM

UIF#BODPEF.ÈYJDPIBTTFUUIFBQQMJDBCMFFYDIBOHFSBUFUPTFUUMFMJBCJMJUJFTEFOPNJOBUFE

JOGPSFJHODVSSFODZQBZBCMFXJUIJO.FYJDBOUFSSJUPSZ5IJTJTDVSSFOUMZUIFNPTUSFQSFTFOUBUJWFDVSSFODZFYDIBOHF

SBUFJOUIFXIPMFTFMMNBSLFU#BOYJDPPCUBJOT64EPMMBSTFMMBOEQVSDIBTFFYDIBOHFSBUFTFWFSZCBOLJOHEBZGPS

PQFSBUJPOTQBZBCMFPOUXPCBOLCVTJOFTTEBZTMBUFSGSPNDSFEJUJOTUJUVUJPOTXIPTFPQFSBUJPOTJOJUTWJFXSFŢMFDU

UIFQSFWBJMJOHDPOEJUJPOTPGUIFXIPMFTFMMGPSFJHOFYDIBOHFNBSLFU

1BSUJDVMBSMZUIF'*9FYDIBOHFSBUFJTDPNQVUFEEBJMZCZ#BODPEF.ÈYJDPBTBOBWFSBHFPGRVPUFTJOUIFXIPMFTFMM

GPSFJHOFYDIBOHFNBSLFU5IFTFRVPUFTBSFHBUIFSFEGSPNFMFDUSPOJDUSBOTBDUJPOQMBUGPSNTUISFFUJNFTBEBZGSPN

BNUPQNBOEUIFTBNQMFBWFSBHFPS'*9JTSFQSFTFOUBUJWFPGUIFNBSLFUDPOEJUJPOTBOESFMFBTFECZ

#BODPEF.ÈYJDPGSPNPDMPDLPOXBSETFBDICBOLJOHEBZ

4XBQT'VUVSFTBOE'PSXBSET

2.1.1. Cash-Tom and Tom-Next swaps (OTC)

Deinition

&YDIBOHFPQFSBUJPOTXIJDIFOBCMFDVTUPNFSTUPPCUBJOTIPSUUFSNŢJOBODJOHPSNBLFJOWFTUNFOUTJOFJUIFS.9/

PS64%CZTJNVMUBOFPVTMZCVZJOHBOETFMMJOHUIFTBNFBNPVOUPGPOFDVSSFODZXJUIEJŇFSFOUNBUVSJUZEBUFT

5IFNBJOBEWBOUBHFTBSFQFSNJUUJOHTZOUIFUJDJOWFTUNFOUJO64%PS.9/JOMJOFXJUIDVTUPNFSSFRVJSFNFOUTBOE

QFSNJUUJOHTZOUIFUJDGVOEJOHPGBQPTJUJPOJOEPMMBSTPSQFTPT

General characteristics

Amount: Variable, agreed by the parties concerned

Hours: 6:30 to 13:30 (GMT -06:00)

Currency: USD/MXN

Period: The maximum period is 48 business hours

Swap points: The dierence between the exchange rates of the currencies involved in

the operation. This is determined by the interest rate dierential between

the two currencies and the currency’s recent performance.

Swap or basis points are the daily interbank trading reference rate. It is

worth noting that calendar days must be taken into account to obtain the

inal exchange rate

Settlement: Physical delivery. There are two settlement times:

At inception, the purchase/sell of a reference currency

At maturity, the sell/purchase of said currency

Classiication

s $BTI5PNTFMMQVSDIBTFPGDVSSFODZUPEBZBOEQVSDIBTFTFMMJOIPVST5PNUPNPSSPX

s $BTI4QPUTFMMQVSDIBTFPGDVSSFODZUPEBZBOEQVSDIBTFTFMMJOIPVST

s 5PN/FYUTFMMQVSDIBTFPGDVSSFODZJOIPVSTBOEQVSDIBTFTFMMJOIPVST

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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

)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Formula

USDMEX

360

*1* −+

MEXUSD

360

*1* −

*NQMJDJUJOUFSFTUSBUFTJOQFTPTBOEEPMMBST

8IFSF

MEX

*OUFSFTUSBUFJO.FYJDP

''JOBMFYDIBOHFSBUF*OJUJBMFYDIBOHFSBUFQMVTTXBQQPJOUT

4*OJUJBMFYDIBOHFSBUF

USD

*OUFSFTUSBUFJO64%

%$POUSBDUQFSJPEJOEBZT

Examples

1. Sell-purchase SWAP CASHSPOT Type: USD liability

%VFUPBOVOGPSFTFFOFWFOUBDVTUPNFSNVTUQBZ64%NJMMJPOUPBTVQQMJFSPOUIFTFDPOEEBZPGUIFNPOUI

5IFDVTUPNFSBMTPIBTBOJOWFTUNFOUJO64%XIJDINBUVSFTPOUIFGPVSUIEBZPGUIFTBNFNPOUINFBOJOH

IFUIFSFGPSFSFRVJSFTEBZTGVOEJOHJOEPMMBST)FEFDJEFTUPVTFB64%.9/TXBQ

Procedure

 0OUIFOEPGUIFNPOUIUIFDVTUPNFSQFSGPSNTBTXBQXJUIUIFCBOLWJBXIJDIIFSFDFJWFT64%NJMMJPO

BOEBHSFFTUPSFUVSOUIFBNPVOUJOEBZTBUBTQFDJŢJFEGPSXBSEFYDIBOHFSBUF

 0OUIJTEBUFUIFDVTUPNFSSFDFJWFT64%NJMMJPOGSPNUIFCBOLBOBNPVOUXIJDIIFJNNFEJBUFMZTFOET

UPIJTTVQQMJFSUPNFFUIJTMJBCJMJUZ

 "MTPPOUIFOEUIFDVTUPNFSNVTUQBZ UIFCBOL.9/NJMMJPO GPSUIF EPMMBS TXBQBU UIF TQPU

FYDIBOHFSBUFPG64%

 0OUIFUIUIFQSPEVDUPGUIFDVTUPNFST64%NJMMJPOJOWFTUNFOUJTXJSFEJOUPIJTBDDPVOU0OUIJTTBNF

EBUFUIFDVTUPNFSNVTUQBZUIFCBOL64%NOGPSXIJDIIFSFDFJWFT.9/JFUIFBNPVOU

PCUBJOFEGSPNUIFGPMMPXJOHGPSNVMB

5$CQYE"NPVOU4FUUMFNFOU

XIFSF

5$JTUIFFYDIBOHFSBUFBUJODFQUJPOPGUIFUSBOTBDUJPOJOUIJTDBTF

CQCBTJTQPJOUTQFSEBZBHSFFEFHQFSEBZ

EOVNCFSPGEBZTJOUIFDPOUSBDUFHEBZT

"NPVOUBNPVOUJOEPMMBSTPCKFDUPGUIFTXBQ64%NJMMJPO

Substituting

YY64%.9/

"TTVNJOHUIBUUIFGVOEJOHSBUFJOQFTPTJO.FYJDPGPSEBZTJTBOEVTJOHUIFBGPSFNFOUJPOFEGPSNVMBXFDBO

TBZUIBUUIFJNQMJDJUJOUFSFTUSBUFJOEPMMBSTXIJDIUIFDPNQBOZIBEUPQBZXBTBUUXPEBZTJOBOOVBMUFSNT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

SWAP CASHSPOT: USD liability

CustomerSupplier Bank

US $ 1mn

MXN 12.12 mn

Customer Bank

US $ 1mn

MXN 12.1226 mn

4PVSDF##7"3FTFBSDI.ÈYJDP

2. Sell-purchase SWAP CASHSPOT Type: USD asset

"DVTUPNFSIBTBTVSQMVTPG64%NJMMJPOPOUIFOEPGUIFNPOUIXIJDIIFNVTUQBZUPBTVQQMJFSPOUIF

UIEBZPGUIFTBNFNPOUIIFUIFSFGPSFEFDJEFTUPQFSGPSNBEPMMBSMFOEJOHPQFSBUJPOMBTUJOHEBZTJOUIF

64%.9/'9TXBQNBSLFU

Procedure

 0OUIFOEPGUIFNPOUIUIFDVTUPNFSQFSGPSNTBTFMMQVSDIBTFTXBQXJUIUIFCBOLJOXIJDIIFTFMMT

64%NJMMJPOBUBOFYDIBOHFSBUFPG5IFCBOLBHSFFTUPSFUVSOUIJTBNPVOUJOEBZTBUBTQFDJŢJFE

GPSXBSEFYDIBOHFSBUF

 0OUIF OE UIF DVTUPNFSTFUUMFT UIF PQFSBUJPOGPS64%NJMMJPOBOESFDFJWFT.9/  NJMMJPO BO

BNPVOUXIJDIIFJOWFTUTGPSEBZT

 0OUIFUIUIFDVTUPNFSSFDFJWFT64%NOGSPNUIFCBOLGPSXIJDIIFQBZT.9/5IF

BNPVOUJTPCUBJOFEGSPNBQQMZJOHUIFGPMMPXJOHGPSNVMB

5$CQE"NPVOUTFUUMFNFOU

XIFSF

5$JTUIFFYDIBOHFSBUFBUJODFQUJPO64%JOUIJTDBTF

CQCBTJTQPJOUTQFSEBZBHSFFEFHCQQFSEBZ

EOVNCFSPGEBZTJODPOUSBDUFHEBZT

"NPVOUBNPVOUJOEPMMBSTPCKFDUPGUIFTXBQ64%NJMMJPO

Substituting

64%CQ64%.9/

"TTVNJOHUIBUUIFJOWFTUNFOUSBUFJO.FYJDPGPSEBZTJTBOEVTJOHUIFBGPSFNFOUJPOFEGPSNVMBXF

DBOTBZUIBUUIFJNQMJDJUSFUVSOJOEPMMBSTPCUBJOFECZUIFDPNQBOZXBTBUUXPEBZTJOBOOVBMUFSNT

5.50 % *

1.94 %

360

1224

1200.12

USD

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

SWAP CASHSPOT Type: USD asset

Customer

Investment

Bank

US $ 1 mn

US $ 12.12 mn

MXN $ 12.12 mn

Customer

Bank

US $ 1mn

MXN $ 12.1224 mn

4PVSDF##7"3FTFBSDI.ÈYJDP

2.1.2. FX Futures (MEXDER and CME)

Description

5IFTFEFSJWBUJWFJOTUSVNFOUTBSFVTFEGPSQSPUFDUJPOBHBJOTUFYDIBOHFSBUFEFWBMVBUJPOPSBQQSFDJBUJPO5IFTF

TUBOEBSEDPOUSBDUTBSFMJTUFEPOFJUIFS.&9%&3PSUIF$IJDBHP.FSDBOUJMF&YDIBOHF$.&TVCKFDUUPPOHPJOH

NBSLFUWBMVBUJPOXIJDIFOUBJMTQPTTJCMFhNBSHJODBMMTvUPDPWFSHVBSBOUFFT

0OFBEWBOUBHFPGVTJOHUIJTUZQFPGDPOUSBDUPO.&9%&3JTUIBUNJOJNVNOPUJPOBMTBSFMPXFSUIBOPOUIF$.&

XIJDIDBOBUUSBDUBCSPBEFSCBTFPGJOWFTUPST"OPUIFSBEWBOUBHFJTUIBUBDDPVOUTNBZCFIFMEJO.FYJDPJO.9/

XIFSFBTXJUIUIF$.&BDDPVOUTNVTUCFIFMEBCSPBEJO64%

Characteristics

MEXDER CME

Participants: Mexican or foreign nationals Mexican or foreign nationals.

Contract size: USD10,000 MXN500,000

Maturity period

or date:

The maturity dates of futures contracts in pesos are the third Wednesday of the month. On MEXDER, they are traded

in a monthly and quarterly cycle for up to three years. When the maturity date falls on a bank holiday, it is transferred

to the bank business day immediately prior thereto (Preceding Business Day convention). The last trading date is on

the Monday of the week in which the maturity date falls, or the preceding business day in the event of a bank holiday.

Settlement date: The second business day following the maturity date (T+2). The settlement date must be a working day in both

Mexico and the United States.

Agreed

exchange rate:

The applicable exchange rate as agreed by the parties concerned, traded in pesos per U.S. dollar on MEXDER.

Ticker symbol: DA followed by two numbers to identify the speciic date

of maturity, the irst letter and the following consonant of

the maturity month, and the last two digits of the maturity

year (e.g. DAMR10 (March 2010).

Contracts quoted with a monthly series will appear as DEUA

and those with a daily series as DA

MP (Mexican Peso) plus code for the month

(e.g. F: January, G: February, H: March, etc.) and year

of maturity: MPM10 (June 2010).

Minimum price

luctuation (Tick):

MXN0.0001 per USD USD0.000025 per MXN increment

(12.50 USD per contract)

Trading hours: Business days from 7:30 a.m. to 2:00 p.m. Bids and oers

for trading at daily settlement price are submitted between

2:25 p.m. to 2:35 p.m.

Business days from 7:20 a.m. to

2:00 p.m. Last trade is at 9:16 a.m.

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Characteristics (continues)

Initial margin: The amount in dollars that must be deposited by the customer with the clearing house, ASIGNA, when the irst order

is executed. The aim is to guarantee coverage of the variation margins or daily settlement amounts while positions

are open.

Maintenance margin: The minimum amount per contract that the customer must keep in the account with the clearing house (clearing

broker) to cover his open positions.

Variation margins: Debits and credits that the clearing house applies to the customer’s account in order to relect the daily gain and/or loss

resulting from the revaluation of the contracts. If the maintenance margin is lower than required, the clearing house

will ask the customer to deposit the remainder (margin calls). If it is higher than required, however, the customer will

withdraw the amount over the maintenance margin (margin withdrawals) from his account.

Formula

5IFUIFPSFUJDBMEPMMBSGVUVSFTFYDIBOHFSBUFJTDBMDVMBUFEBTUIFJOUFSFTUSBUFEJŇFSFOUJBMCFUXFFO.FYJDPBOEUIF

6OJUFE4UBUFTVTJOHUIFGPMMPXJOHGPSNVMB

=*SpotFuture

360

USA

Mex

8IFSF

4QPU1FTPTQFSEPMMBSFYDIBOHFSBUFWBMVFEBUFIPVST

USA

64JOUFSFTUSBUF

Mex

.FYJDBOJOUFSFTUSBUF

UQFSJPEJOEBZT

5PEFUFSNJOFUIFWBSJBUJPONBSHJOTBQQMJDBCMF UPUIFBDDPVOUT PG FBDIDVTUPNFSUIFhDMFBSJOHCSPLFSv POUIF

$IJDBHP.FSDBOUJMF&YDIBOHFBQQMJFTEFCJUTPSDSFEJUTCBTFEPOUIFSFTVMUPGUIFGPMMPXJOHGPSNVMB

() () ()

{}TfTfTLTbTbTSM

ttttt

−−−=

+++ 111

*)()(*)(*000,500

8IFSF

U

7BSJBUJPONBSHJOJOEBZUFYQSFTTFEJO64EPMMBST

45/VNCFSPGTIPSUDPOUSBDUT4FMMGPSNBUVSJUZJONPOUI5

U

51VSDIBTFQSJDFCJEQSJDFGPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU

U

51VSDIBTFQSJDFCJEQSJDFGPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU

-5/VNCFSPGMPOHDPOUSBDUTQVSDIBTFGPSNBUVSJUZJONPOUI5

U

54FMMQSJDFPŇFSQSJDFGPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU

U

54FMMQSJDFPŇFSQSJDFGPSUIFDPOUSBDUJO.FYJDBOQFTPTPOEBZU

8IFO.

U

JTHSFBUFSUIBO[FSPBUDMPTJOHPOEBZUBEFCJUJTBQQMJFEGPSUIFBNPVOUJOUIFDVTUPNFSTBDDPVOU

XJUIUIFDMFBSJOHIPVTFPSDMFBSJOHCSPLFSSFŢMFDUJOHUIFHBJOPCUBJOFE

0UIFSXJTFUIFMPTTXJMMCFWBMVFEWJBBDSFEJUJOUIFTBNFBDDPVOU

Examples

“Purchase” of dollar futures on MEXDER

"DPNQBOZQVSDIBTFTJNQPSUFEHPPETQBZBCMFBGUFSEBZTXPSUI64%

5IFDPNQBOZFYQFDUTUIFQFTPUPEFQSFDJBUFBHBJOTUUIFEPMMBSBOEJTUIFSFGPSFJOUFSFTUFEJOIFEHJOHBHBJOTUUIF

FYDIBOHFSJTL$POTFRVFOUMZJUQVSDIBTFTEPMMBSGVUVSFTPO.&9%&3UIBUXJMMNBUVSFJO%FDFNCFSEBZT

5IF DVTUPNFS JT TIPSU B GVUVSFT DPOUSBDU NBUVSJOH JO %FDFNCFS BU  QFTPT QFS EPMMBS XIJMF UIF TQPU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

FYDIBOHFSBUFJT QFTPTUPUIFEPMMBS8IFOUIF DPOUSBDUNBUVSFTUIFJNQPSUFSXJMM SFDFJWFUIFEPMMBST

BHSFFEJOFYDIBOHFGPSUIFFRVJWBMFOUBNPVOUJOQFTPT*GPONBUVSJUZUIFFYDIBOHFSBUFIBTEFQSFDJBUFEUP

BTUIFDVTUPNFSFYQFDUTUIFTBWJOHTXPVMECF

Exercise of future

64%.9/64% .9/

"NPVOUXJUIPVUGVUVSF

64%.9/64% .9/

4BWJOHFYQFOTF .9/

5IFJNQPSUFSTFUTUIFHMPCBMDPTUPGUIFJNQPSUTJOBEWBODFh*GUIFIFEHJOHUSBOTBDUJPOIBEOPUCFFODBSSJFEPVU

UIFJNQPSUTXPVMEIBWFDPTU.9/v

)PXFWFSUIFPQQPTJUFDPVMEIBWFPDDVSSFEXIFSFUIFQFTPDPVMEIBWFBQQSFDJBUFE*OUIJTDBTFUIFSFXPVME

CFOPTVSQSJTFTTJODFUIFDPTUIBECFFOTFUJOBEWBODFWJBUIFGVUVSFTDPOUSBDUUIVTSFEVDJOHWPMBUJMJUZJOUIF

DPNQBOZTŢJOBODJBMSFTVMUT

“Purchase” of peso futures on the CME

*OEBZTBDPNQBOZXJMMSFDFJWF64%GPSFYQPSUT*UXJTIFTUPFOTVSFUPEBZUIFBNPVOUJOQFTPT

UIBUJUXJMMSFDFJWFPOUIFFYQPSUTBOEJUEPFTTPCZQVSDIBTJOHBQFTPGVUVSFTDPOUSBDU*OPUIFSXPSETJUXJTIFT

UPTFMMJUTEPMMBSTBOECVZQFTPT

5IFDPNQBOZQVSDIBTFTUXPQFTPGVUVSFTDPOUSBDUTGPS%FDFNCFSEBZTBUEPMMBSTQFSQFTPBOE

NVTUUIFSFGPSFQBZBDPNNJTTJPOPG64%BOEEFQPTJU64%GPSFBDIPGUIFDPOUSBDUTBTUIFJOJUJBM

HVBSBOUFFNBSHJO

$POTFRVFOUMZUIFFYQPSUFSSFRVFTUTBMPBOPG64%DPNNJTTJPOJOJUJBMNBSHJOBUEBZTBOE

BOOVBMMZ"UNBUVSJUZIFNVTUUIFSFGPSFQBZDBQJUBMQMVTJOUFSFTUFRVJWBMFOUUP

8IFOUIFDPOUSBDUNBUVSFTUIFJNQPSUFSXJMMSFDFJWFUIFJOJUJBMNBSHJOQMVTBSFUVSOPGBOOVBMMZBUEBZT

FRVJWBMFOUUP64%

5IFJNQPSUFSJTJNQMJDJUMZFOTVSJOHBOFYDIBOHFSBUFPGQFTPTQFSEPMMBSSFTVMUJOHGSPNUIFQFTPTIFXJMM

SFDFJWFGSPNUIFGVUVSFTDPOUSBDUBNPOHUIFEPMMBSTBWBJMBCMFXIJDIJOUFSNTPGDBTIŢMPXTJTBTGPMMPXT

Futures exercise

  64%

8JUIESBXBMPGJOJUJBMNBSHJOJOUFSFTU  64%

-PBOSFQBZNFOU  64%

%PMMBSTBWBJMBCMF  64%

*NQMJDJUFYDIBOHFSBUFQFTPT64%QFTPTQFSEPMMBS

8IFOUIFDPOUSBDUNBUVSFEUIFQFTPBQQSFDJBUFEUSBEJOHPOUIFDBTINBSLFUBUQFTPTQFSEPMMBSIJHIFS

UIBOFYQFDUFE)PXFWFSUIFFYQPSUFSIBEIFEHFEBHBJOTUUIFFYDIBOHFSJTLCZDPOUSBDUJOHQFTPGVUVSFTTFUUJOH

IJTFYQPSU SFWFOVFTBUQFTPTh)BE JU OPUCFFOGPSUIF IFEHF USBOTBDUJPOUIF SFWFOVFTPO FYQPSUT

XPVMEIBWFCFFOQFTPTJFMPXFSUIBOUIFSFTVMUVTJOHQFTPGVUVSFTv

*OTIPSUJOBOZPGUIFBGPSFNFOUJPOFEBMUFSOBUJWFTUIFFYQPSUFSTFUTUIFHMPCBMSFWFOVFTPOUIFFYQPSUTJOQFTPT

JOBEWBODFUIVTFMJNJOBUJOHFYDIBOHFSBUFVODFSUBJOUZ

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

2.1.3. MXN Forwards and NDF`s (OTC)

Description

5IJTEFSJWBUJWFJOTUSVNFOUFMJNJOBUFTFYDIBOHFSJTLCZQSPUFDUJOHBHBJOTUUIFQFTPTEFWBMVBUJPOPSBQQSFDJBUJPO

BHBJOTUUIFVTE%FMJWFSBCMFGPSXBSETHVBSBOUFFQIZTJDBMEFMJWFSZPGGPSFJHODVSSFODZ/POEFMJWFSBCMFGPSXBSET

BSFDBTITFUUMFE

Advantages for customers in using dollar forwards are:

&MJNJOBUFTVODFSUBJOUZSFHBSEJOHUIFDPTUSFWFOVFTPGJNQPSUTFYQPSUTBOEPSPQFSBUJPOTJOEPMMBST)FEHFT

BHBJOTUFYDIBOHFSJTL1PTTJCJMJUZPGBSCJUSBHFPCUBJOJOHGVOEJOHPSJOWFTUJOHSBUFTJOQFTPTBUNPSFBUUSBDUJWF

JOUFSFTUSBUFTUIBOEPNFTUJDPOFT4FUUMFNFOUBUNBUVSJUZEPFTOPUJOWPMWFBEJTCVSTFNFOUPGGVOETBUJODFQUJPO

BOE'MFYJCJMJUZSFHBSEJOHOPUJPOBMTBOENBUVSJUZEBUFTBTPQQPTFEUPGVUVSFTDPOUSBDUT

General characteristics

Participants: Mexican or foreign persons or entities.

Reference amount: Variable. The hedged amount is established in line with the customer’s

needs.

Period: Agreed upon freely by the customer and bank, from 1 day to 5 years. The

most liquid periods are up to 3 years.

Exchange rate: The forward exchange rate is calculated based on the spot date exchange

rate (48 hours value) of the peso against the dollar plus some basis points

(forward points). The following factors determine how many basis points

are added:

a. Dierence between the interest rates in pesos and in dollars –

Formula (1).

b. Market expectations with respect to prevailing cash exchange rates

in the future.

Settlement: On maturity, both parties deliver the total amount of the currencies

involved in the contract to each other. In the case of an NDF, there is a cash

settlement at maturity, either in USD or MXN.

Average daily volume: USD5.8billion

Bid/Ask spread: 1M – 12M 5 pips

1Y – 10Y 44 pips

Bloomberg ticker: “BCMR 6 <GO>”

Formula 1

TCspot

Tusd

360

plazo*

360

plazo*$

rateexchangeFwd

8IFSF

5*OUFSFTUSBUFJOQFTPT

5VTE*OUFSFTUSBUFJOEPMMBST

1MB[P1FSJPEPGSFGFSFODFJOUFSFTUSBUFBOEGPSXBSEDPOUSBDU

5$TQPU4QPUFYDIBOHFSBUFIPVSTWBMVFEBUF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Example

“Purchase” of dollar forwards

"DPNQBOZQVSDIBTFTJNQPSUFEHPPETPODSFEJUBUEBZTQBZJOHBOOVBMJOUFSFTUJO64%JOUIFBNPVOUPG

64%*OEBZTUJNFJUXJMMIBWFUPQBZUIFDBQJUBMQMVTJOUFSFTUFRVJWBMFOUUP

100,000.00 usd*

[

0.0131*91

]

= 100,331.14 usd

360

5IJTJTUIFBNPVOUTVCKFDUUPFYDIBOHFSJTL

5IFDPNQBOZUIJOLTUIBUUIFQFTPJTMJLFMZUPEFQSFDJBUFBHBJOTUUIFEPMMBSBOEJTUIFSFGPSFJOUFSFTUFEJOIFEHJOH

BHBJOTUFYDIBOHFSBUFSJTL$POTFRVFOUMZJUQVSDIBTFT64%GPSXBSETBUEBZT

5IFCBOLRVPUFTBGPSXBSEFYDIBOHFSBUFPGBTLQSJDFQFTPTQFSEPMMBSUIFSFGPSFBUNBUVSJUZUIFDVTUPNFS

JTPCMJHFEUPCVZGSPNUIFCBOLUIFBNPVOUJOEPMMBSTUIBUJTUIFPCKFDUPGUIFDPOUSBDU64%BUUIF

BHSFFEFYDIBOHFSBUF

8IFOUIFDPOUSBDUNBUVSFTBTUIFDVTUPNFSBTTVNFEUIFQFTPIBTEFWBMVFEBOEJTOPXUSBEJOHJOUIFGPSFJHO

FYDIBOHFNBSLFUBUQFTPTQFSEPMMBS)PXFWFSUIFJNQPSUFSIFEHFEBHBJOTUFYDIBOHFSBUFSJTLCZDPOUSBDUJOH

EPMMBSGPSXBSETBUBMPXFSSBUFUIFSFCZTBWJOH.9/PCUBJOFEBTGPMMPXT

1VSDIBTFPGEPMMBSTJOEBZTXJUIPVUGPSXBSEDPOUSBDU

64%.9/

GVUVSFEPMMBSQVSDIBTFXJUIGPSXBSEDPOUSBDU

64%.9/

4BWJOHPCUBJOFE.9/

5IFJNQPSUFSHVBSBOUFFEJOBEWBODFUIFHMPCBMDPTUPGUIFJNQPSUTBUSFHBSEMFTTPGUIFGVUVSFEPMMBS

FYDIBOHFSBUFIFMQJOHUIFDPNQBOZTŢJOBODJBMQMBOOJOH

$MFBSMZ DPOUSBSZ UP UIF DVTUPNFST FYQFDUBUJPOT UIF PQQPTJUF NJHIU IBWF IBQQFOFE OBNFMZ UIBU UIF QFTP

NJHIUIBWFBQQSFDJBUFE*OUIJTSFHBSEUIFSFBSFOPTVSQSJTFT5IFDPTUPGJNQPSUTSFNBJOTUIFTBNFEFTQJUFUIF

BQQSFDJBUJPOJOUIFFYDIBOHFSBUFTJODFJUXBTŢJYFEJOBEWBODFBOEUIFDPNQBOZTŢJOBODJBMSFTVMUTBSFUIFSFGPSF

VOBŇFDUFE

*GUIJTFYBNQMFXFSFBO/%'UIFOUIFTFUUMFNFOUXPVMEIBWFCFFOJO64%BUUIFQSFWBJMJOH'*9BUUJNFPGFYQJSBUJPO

'9WPMBUJMJUJFT

2.2.1. FX Options (OTC)

Description

5IJTEFSJWBUJWFJOTUSVNFOUQSPUFDUTBHBJOTUDVSSFODZJF64%.9/HPJOHGPSXBSEBQQSFDJBUJPOEFQSFDJBUJPOJO

XIJDIBCVZFSBDRVJSFTUIFSJHIUCVUOPUUIFPCMJHBUJPOUPQVSDIBTFDBMMPQUJPOPSTFMMQVUPQUJPO64%POB

GVUVSFEBUFTBUBQSJDFTQFDJŢJFEJOBEWBODFTUSJLFJOSFUVSOGPSUIFQBZNFOUPGBQSFNJVN8IFOUIFPQUJPOJT

FYFSDJTFEUIFOPUJPOBMNBZCFGVMMEFMJWFSFEPSDBTITFUUMFEJOFJUIFS64%PS.9/

5IFBEWBOUBHFTPGPQUJPOTBSFFYDIBOHFSJTLJTIFEHFEMJRVJEJUZJTTBWFETJODFUIFSFJTOPOFFEUPQVSDIBTFUIF

EPMMBSTTVCKFDUUPUIFPQFSBUJPOJOBEWBODFBOEUIFBNPVOUBOEUFSNBSFFTUBCMJTIFECBTFEPOUIFDVTUPNFST

SFRVJSFNFOUT*OBEEJUJPOUPIFEHJOHBOEFMJNJOBUJOHFYDIBOHFSJTLBOPUIFSCFOFŢJUJTUIBUDBTIŢMPXTJOQFTPTDBO

CFBOUJDJQBUFEBUUIFTUBSUPGUIFPQFSBUJPOSFHBSEMFTTPGUIFGVUVSFQFSGPSNBODFPGUIFFYDIBOHFSBUF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

General characteristics

Participants: Mexican and foreign nationals.

Reference amount: Variable. Based on the customer’s needs. Must not be less than 100,000

USD.

Period: Up to 3 years

Types of option: This is depends on the day on which or the period of time within which the

option buyer’s right is exercised. They may be:

- European: The buyer may only exercise the option at maturity.

- American: The buyer may exercise the option on any bank business

day between the outset of the operation (premium payment) and the

date the option matures.

FIX reference

exchange rate:

Exchange rate published by the Banco de México in the Oicial Gazette, and

www.banxico.org.mx .

Strike: Exchange rate agreed on by the parties that will be used on the maturity or

exercise date in the event of a cash settle.

Trade date: Date on which the parties close the transaction.

Option premium: Amount in pesos or dollars that the buyer must pay the seller at the start of

the operation to acquire the operation’s underlying right. It is paid on the

second business day following the date of arrangement of the operation.

Exercise date: Date on which the buyer exercises his right, assuming he decides to do so.

Settlement date: The option will be settled on the second bank business day immediately

following the exercise date and may be performed in two ways:

a. Physical delivery of the currencies (payment in kind)

b. Cash settlement in either USD or MXN

Maturity date: Date on which the buyer’s right to exercise a sell or purchase option expires.

Types of operation

a. Call options

s Purchase of a call:5IFDVTUPNFSCVZTUIFSJHIUUPCVZ64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFE

EBUFJOFYDIBOHFGPSBOPQUJPOQSJDFQSFNJVN

s Sell of a call: 5IFDVTUPNFSTFMMTUIFSJHIUUPCVZ64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFEEBUFJO

FYDIBOHFGPSBOPQUJPOQSJDFQSFNJVN5IVTIFSFDFJWFTUIFQSFNJVNCVUIFJTPCMJHFEUPTFMM64%.9/

JOUIFFWFOUUIFPQUJPOIPMEFSEFDJEFTUPFYFSDJTFJU

b. Put options

s Purchase of a put:5IFDVTUPNFSCVZTUIFSJHIUUPTFMM64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFE

EBUFJOFYDIBOHFGPSBOPQUJPOQSJDFQSFNJVN

s Sell of a put:5IFDVTUPNFSTFMMTUIFSJHIUUPTFMM64%.9/BUBOBHSFFETUSJLFQSJDFPOBTQFDJŢJFEEBUF

JOFYDIBOHFGPSBOPQUJPO QSJDF QSFNJVN5IVTIF SFDFJWFT UIF QSFNJVNCVUIF JT PCMJHFE UP CVZ

64%.9/JOUIFFWFOUUIFPQUJPOIPMEFSEFDJEFTUPFYFSDJTFJU

Examples

Purchase of call option

"OJNQPSUFSXJTIFTUPIFEHFBHBJOTUUIFSJTLPGBQPTTJCMFEFQSFDJBUJPOPGUIFQFTPCFGPSFQVSDIBTJOHHPPET

XPSUI64%QBZBCMFJONPOUIT5IFDVSSFOUTQPUFYDIBOHFSBUFJTQFTPTQFSEPMMBS

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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

)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

5IFJNQPSUFSEFDJEFTUPQVSDIBTFB&VSPQFBOTUZMFEPMMBSDBMMPQUJPOGSPNUIFCBOLBUBOFYFSDJTFQSJDFPG

QFTPTQFSEPMMBS5IFQSJDFQSFNJVNPGUIFPQUJPOXIJDIUIFCBOLNVTUQBZJTQFTPTQFSEPMMBSBOEUIF

UPUBMBNPVOUQBZBCMFJTUIFSFGPSF

64%.9/.9/

5IJT BNPVOU JT UIFDPTU PG IFEHJOH UIF JNQPSUT BHBJOTU BQPTTJCMF EFQSFDJBUJPO*GUIF JNQPSUFSFYFSDJTFT UIF

PQUJPOIFJTJNQMJDJUMZBDRVJSJOHBOFYDIBOHFSBUFPGQFTPTQFSEPMMBSPCUBJOFEGSPNUIFGPMMPXJOH

QFTPTQFTPT.9/

5IJTJTUIFQSJDFPGUIFVOEFSMZJOHTFDVSJUZ4BQQMJDBCMFPOUIFFYFSDJTFEBUFGSPNXIJDIUIFPQUJPOHFOFSBUFT

BQSPŢJU*GUIFTQPUFYDIBOHFSBUFJOEBZTJTIJHIFSUIBOQFTPTQFSEPMMBSUIFJNQPSUFSXJMMCFOFŢJUGSPN

FYFSDJTJOHUIFDBMMPQUJPO

Risk proile in the purchase of a call in the line with the price of the underlying security

Option price = $ 0.3474

+ Profit

-Loss

S* = $ 13.3474

13.00

4PVSDF##7"3FTFBSDI.ÈYJDP

8IFOUIFDPOUSBDUNBUVSFTUIFFYDIBOHFSBUFEFQSFDJBUFTBTUIFDVTUPNFSFYQFDUFEUSBEJOHBUQFTPTQFS

EPMMBSBOEUIFJNQPSUFSUIFSFGPSFFYFSDJTFTUIFSJHIUUPQVSDIBTF64%BUUIFFYFSDJTFFYDIBOHFSBUFPG

QFTPTQFSEPMMBS

$POTFRVFOUMZ UIF UPUBM BNPVOU QBZBCMF JO QFTPT PO NBUVSJUZ PG UIF PQUJPO UP QVSDIBTF  64% JT

.9/DBMDVMBUFEBTGPMMPXT

Exercise of the option

64%QFTPTQFSEPMMBS .9/

DPTUPGUIFPQUJPOTQSFNJVN .9/

UPUBMDPTUJOQFTPTPGUIFJNQPSU .9/

5IJTŢJHVSFJTMPXFSUIBOUIFBNPVOUQBZBCMFJGIFIBEOPUIFEHFEBHBJOTUUIFEFWBMVBUJPOSJTLEFUFSNJOFECZUIF

FYDIBOHFSBUFBUUIFUJNF.9/QFS64%64%.9/TBWJOH.9/

)PXFWFSUIFNBSLFUFYDIBOHFSBUFBQQMJDBCMFPOUIFEBZUIFDPOUSBDUNBUVSFTNJHIUCFMPXFSUIBOUIFFYDIBOHF

SBUFJNQMJDJUJOUIFPQUJPOJOXIJDIDBTFUIFJNQPSUFSXPVMEOPUFYFSDJTFUIFPQUJPOTJODFJUXPVMECFDIFBQFSGPS

IJNUPBDRVJSFUIFEPMMBSTJOUIFTQPUNBSLFU*OUIJTDBTFUIFMPTTJTMJNJUFEUPUIFPQUJPOTQSFNJVN.9/

Purchase of USD Puts

*ONPOUITBDPNQBOZXJMMSFDFJWF64%GSPNFYQPSUT*UXJTIFTUPUPEBZŢJYUIFBNPVOUJOQFTPTGSPN

JUTFYQPSUTJOWJFXPGUIFQPTTJCJMJUZUIBUUIFQFTPNBZBQQSFDJBUFBOEDPOTFRVFOUMZEFDJEFTUPQVSDIBTFEPMMBS

QVUPQUJPOT

5IFFYQPSUFSEFDJEFTUPQVSDIBTFB&VSPQFBOTUZMFEPMMBSQVUPQUJPOBUBOFYFSDJTFQSJDFPGQFTPTQFSEPMMBS

5IFQSJDFQSFNJVNPGUIFPQUJPOJTQFTPTQFSEPMMBSBOEUIFUPUBMBNPVOUQBZBCMFJTUIFSFGPSF

64%.9/QFS64%.9/

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

5IJTBNPVOUJTUIFDPTUPGIFEHJOHUIFFYQPSUTBHBJOTUBQPTTJCMFBQQSFDJBUJPO*GUIFFYQPSUFSFYFSDJTFTUIFPQUJPO

IFXJMMJNQMJDJUMZCFBDRVJSJOHBOFYDIBOHFSBUFPGQFTPTQFSEPMMBSPCUBJOFECZ

.9/.9/.9/

5IJTJTUIFQSJDFPGUIFVOEFSMZJOHTFDVSJUZ4BQQMJDBCMFPOUIFEBUFPGFYFSDJTFGSPNXIJDIUIFPQUJPOHFOFSBUFT

BQSPŢJU*OPUIFSXPSETJGUIFFYDIBOHFSBUFJOEBZTJTMPXFSUIBOQFTPTQFSEPMMBSUIFFYQPSUFSXJMM

CFOFŢJUGSPNFYFSDJTJOHUIFEPMMBSTFMMPQUJPO

Risk proile in the purchase of a put option acording to the price of the underlying security

+Loss

- Profit

S* = $ 12.2526

Option price = $ 0.3474

12.6

4PVSDF##7"3FTFBSDI.ÈYJDP

8IFOUIFPQUJPONBUVSFEUIFFYDIBOHFSBUFIBEBQQSFDJBUFEBTUIFDVTUPNFSFYQFDUFEBOETUPPEBUQFTPT

QFSEPMMBS5IFFYQPSUFSUIFSFGPSFFYFSDJTFEUIFSJHIUUPTFMM64%BUUIFBHSFFEFYDIBOHFSBUFPG

QFTPTQFSEPMMBS

$POTFRVFOUMZUIFUPUBMOFUBNPVOUSFDFJWBCMFJOQFTPTPOUIFPQUJPOTNBUVSJUZGPSTFMMJOH64%JT

.9/XIJDIBGUFSEJTDPVOUJOHQBZNFOUPGUIFPQUJPOQSFNJVNMFBWFT.9/*O

PUIFSXPSET

Option exercise

64%QFTPTQFSEPMMBS .9/

$PTUPGPQUJPOQSFNJVN .9/

3FWFOVFTJOQFTPTPGUIFFYQPSU .9/

5IJTŢJHVSFJTIJHIFSUIBOUIFPOFUIFDVTUPNFSXPVMEIBWFSFDFJWFEJGIFIBEOPUIFEHFEBHBJOTUUIFSJTLPG

BQQSFDJBUJPOEFUFSNJOFECZUIFFYDIBOHFSBUFBUUIFUJNF.9/64%.9/

4BWJOH.9/

)PXFWFSUIFNBSLFUFYDIBOHFSBUFBQQMJDBCMFPOUIFDPOUSBDUTNBUVSJUZNJHIUCFIJHIFSUIBOUIFFYDIBOHFSBUF

JNQMJDJUJOUIFPQUJPO*OUIJTDBTFUIFFYQPSUFSXPVMEOPUFYFSDJTFIJTSJHIUUPTFMM5IVTUIFDPTUPGIFEHJOHXJMMCF

MJNJUFEUPUIFPQUJPOTQSFNJVN

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

2.2.2. FX Options (MEXDER)

Description

5IFTFEFSJWBUJWFDPOUSBDUTBSFVTFEGPSIFEHJOHBHBJOTUPSTQFDVMBUJOHPO64%.9/ŢMVDUVBUJPOTBOEBSFUSBEFE

PO .&9%&3 UIF TUBOEBSEJTFE NBSLFU 5IF CVZFS BDRVJSFTUIF SJHIU CVU OPU UIF PCMJHBUJPO UP QVSDIBTF DBMM

PQUJPOPSTFMMQVUPQUJPO64%POBGVUVSFEBUFBUBTUSJLFQSJDFBHSFFEJOBEWBODF5IFDPOUSBDUTUZMFVTFEPO

.&9%&3JT&VSPQFBO8IFOUIFPQUJPOJTFYFSDJTFEBUNBUVSJUZUIFPQFSBUJPOJTQIZTJDBMMZTFUUMFE

Contract characteristics

Face value: 10,000.00 USD (ten thousand dollars 00/100).

Contract kind: Call and Put

Contract style: European

Delivery months: Quarterly cycle for up to one year (for both call and put options):

March, June, September, and December.

Strike price: It will be expressed in Mexican pesos in accordance with the spot price

of the USD and in multiples of 0.05 MXN. For each maturity, MEXDER

will list one strike price (ATM) equivalent to the USDMXN spot value of

the previous day, and two higher and two lower strike prices.

Trading symbols: “DA” plus 5 digits to specify the strike price and another digit to

specify the contract type and maturity month (Call: March, “C”;

June, “F”; September, “I”; December, “L”. Put: March, “O”; June, “R”;

September, “U”; December, “X”). For example, “DA 13850C” = call op-

tion maturing March with a strike price of 13.850 and “DA 13100X” =

put option maturing December with a strike price of 13.100.

Unit quoted: Pesos to three decimals per linked unit.

Minimum luctuation (Tick): 0.001 MXN (one thousandth of a Mexican peso).

Trading hours: 07:30 a.m. to 2:00 p.m. (GMT -06:00)

Last day of trading and maturity date: The maturity date of the monthly USDMXN futures contract listed

on MEXDER.

Settlement day: Second business day following maturity date.

Settlement at maturity: Performed by the automatic exercise of all positions with a

positive intrinsic value equal to or greater than the self-exercise

threshold established by the clearing house (ASIGNA).

Intrinsic value at maturity: A call option has a positive intrinsic value when the strike price

is lower than the closing spot value of USDMXN published by

MEXDER.

A put option has a positive intrinsic value when the strike price

is higher than the closing spot value of USDMXN published by

MEXDER.

Otherwise, the intrinsic value on the maturity date shall be zero.

Daily settlement: ASIGNA will carry out the daily settlement of investor obligations

including all premiums agreed upon negotiation, the maintenance

margin, accrued interest, and corresponding fees. The daily price

settlement is calculated by MEXDER for each series.

Initial margin: Amount needed to start the contract in order to guarantee

obligations.

Maintenance margin: Margin “calls” or margin “withdrawals” as a function of open

positions.

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

'JYFE*ODPNF(PWFSONFOU

"VDUJPOTBOE.BSLFU.BLFST

5IF#BODPEF.ÈYJDPBTUIFŢJOBODJBMBHFOUPGUIF.FYJDBO'FEFSBM(PWFSONFOUIBTUIFNBOEBUFUPDBSSZPVU

XFFLMZQSJNBSZBVDUJPOTPGJUTTFDVSJUJFTBDDPSEJOHUPBQSFEFUFSNJOFEDBMFOEBSBTXFMMBTBOJTTVBODFTUSBUFHZ

SFMFBTFECZUIF4FDSFUBSJBUPG'JOBODFBOE1VCMJD$SFEJUFBDIRVBSUFS

5IFDPNQFUJUJWFCJEEJOHQSPDFTTDBOCFTVNNBSJTFEJOGPVSTUFQT

Auctions of CETES, BONDES, UDIBONOS and ixed-rate MBONOS

s 0ŇFSJOHQSFWJPVT'SJEBZBUQN

s #JEEJOH5VFTEBZUPBN

s 3FTVMU%JTDMPTVSF5VFTEBZBN

s 4FUUMFNFOU5IVSTEBZ

Auctions of Savings Protection Bonds (BPAs)

s 0ŇFSJOHQSFWJPVT'SJEBZBUQN

s #JEEJOH8FEOFTEBZBNUPBN

s 3FTVMU%JTDMPTVSF8FEOFTEBZQN

s 4FUUMFNFOU5IVSTEBZ

Oering

&WFSZ'SJEBZBUQN(.5#BODPEF.ÈYJDPTQFDJŢJFTUIFFYBDUJOTUSVNFOUNBUVSJUZBOEBNPVOUUP

CFJTTVFEUIFGPMMPXJOHXFFL"EEJUJPOBMMZ#BODPEF.ÈYJDPQSPWJEFTUIFUZQFPGBVDUJPONFDIBOJTNTJOHMFQSJDF

PSNVMUJQMFQSJDFT5IFNBJONFDIBOJTNGPMMPXTUIFQSJODJQMFTPGB%VUDIQSJDF

BVDUJPO

Bidding

5IFBVUIPSJTFEQBSUJDJQBOUTJOQSJNBSZ BVDUJPOTBSFNBJOMZ DPNNFSDJBMCBOLT CSPLFSBHFIPVTFT BOE NVUVBM

GVOET&BDIJOTUJUVUJPOTVCNJUTJUTCJETCPUIBNPVOUTBOEQSJDFTFJUIFSJOBTFBMFEFOWFMPQFPSUISPVHIFODSZQUFE

FMFDUSPOJDŢJMF5IFTVNPGBMMUIFBNPVOUTTVCNJUUFECZBTJOHMFJOWFTUPSJOBQSJNBSZBVDUJPONVTUOPUFYDFFE

PGUIFUPUBMBNPVOUPGTFDVSJUJFTPŇFSFEJOUIFBVDUJPO5IFQSJDFJTBGVODUJPOPGOFUTVQQMZPGCPOETBNPVOU

PŇFSFEMFTTSFEFFNTJOUIFXFFLMJRVJEJUZQSFGFSFODFTSJTLBQQFUJUFBOEJOŢMBUJPOFYQFDUBUJPOT

Allocation

"TJOBOZ%VUDIBVDUJPOXIFSFUIFSFBSFNVMUJQMFXJOOJOHCJEEFSTTFDVSJUJFTBSFBMMPDBUFEJOMJOFXJUIUIFBTDFOEJOH

PSEFSPGUIFDPSSFTQPOEJOHEJTDPVOUSBUFTXJUIPVUFYDFFEJOHUIFNBYJNVNBNPVOUJOEJDBUFEJOUIFPŇFSJOH5IF

BMMPDBUFEJOUFSFTUSBUFPSQSJDFDPVMECFFJUIFSUIFTBNFGPSBMMQBSUJDJQBOUTTJOHMFQSJDFPSUIFSBUFSFRVFTUFEGPS

FBDIXJOOFSQBSUJDJQBOUNVMUJQMFQSJDF

*OUIFDBTFPG.#0/04BOE6%*#0/04CJETBSFBMMPDBUFEJOMJOFXJUIUIFEFTDFOEJOHPSEFSPGUIFVOJUQSJDFT

XJUIPVUFYDFFEJOHUIFNBYJNVNBNPVOUJOEJDBUFEJOUIFPŇFSJOH5IFTJOHMFQSJDFJTUIFPOFDPSSFTQPOEJOHUP

UIFMBTUCJEBMMPDBUFE

5IJTUZQFPGBVDUJPOFODPVSBHFTNPSFBHHSFTTJWFCJETGSPNJOUFSNFEJBSJFTUIVTQSPNPUJOHMPXFSJOUFSFTUSBUFT

5IFBCPWFOPUXJUITUBOEJOHUIF#BODPEF.ÈYJDPIBTUIFSJHIUUPFJUIFSQPTUQPOFBOZBVDUJPOPSUPBMMPDBUFB

GSBDUJPOPGBMMTFDVSJUJFTPŇFSFEJGUIFQSFWBJMJOHNBSLFUDPOEJUJPOTEPOPUNFFUJUTCFODINBSLT

*OB%VUDIBVDUJPOUIFBVDUJPOFFSCFHJOTXJUIBIJHIBTLJOHQSJDFXIJDIJTMPXFSFEVOUJMTPNFQBSUJDJQBOUJTXJMMJOHUPBDDFQUUIFBVDUJPOFFST

QSJDFPSUIFTFMMFSTNJOJNVNBDDFQUBCMFQSJDFSFTFSWFQSJDFJTSFBDIFE5IJTUZQFPGBVDUJPOJTBMTPLOPXOBTBhDMPDLBVDUJPOvPSBEFTDFOEJOH

QSJDFBVDUJPO

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Single Price allocation

100

120

140

160

Bidder I: 4% Bidder II: 5% Bidder III: 6% Bidder IV: 7% Bidder V: 8%

Amount oered by Banxico

at single 7% rate

4PVSDF##7"3FTFBSDI.ÈYJDP

*Omultiple pricesBVDUJPOTUIFBMMPDBUJPOXPVMECF

*OUIFDBTFUIFTFDVSJUJFTBSFBMMPDBUFEJOBTDFOEJOHPSEFSPGUIFDPSSFTQPOEJOHEJTDPVOUSBUFTXJUIPVUFYDFFEJOH

UIF NBYJNVN BNPVOU JOEJDBUFE JO UIF PŇFSJOH 5IF SBUF BMMPDBUFE JT UIF SBUFSFRVFTUFE JO FBDI QBSUJDJQBOUT

CJE $&5&4 #0/%&4 #1"TBOE #1"5BSFBMMPDBUFE JO EFTDFOEJOH PSEFSPG VOJUQSJDFT XJUIPVU FYDFFEJOHUIF

NBYJNVNBNPVOUJOEJDBUFEJOUIFPŇFSJOH

Single price allocation 2

Bidding Rate

1.5 Std. Dev.

Maximun

rate

Minimun

rate

Weighted

demand rate

Allocation Rate

Weighted

allocation rate

Maximun

rate

Minimun

rate

10%9%7%5%4%

4PVSDF##7"3FTFBSDI.ÈYJDP

5IJTUZQFPGBVDUJPOFODPVSBHFTDBSFGVMEFUFSNJOBUJPOPGCJETXIJMFTFFLJOHMFWFMTUIBUBSFNPSFSFQSFTFOUBUJWF

PGUIFNBSLFU

5IFBWFSBHFXFJHIUFESBUFPSBWFSBHFXFJHIUFEQSJDFPGUIFBVDUJPOJTEFUFSNJOFEPOUIFCBTJTPGUIFCJETUP

XIJDITFDVSJUJFTIBWFCFFOBMMPDBUFE

Traditional auctions:#JEEFSTIBWFOPJOGPSNBUJPOPOPUIFSCJEEFSTCFIBWJPSVOUJMUIFSFTVMUTBSFQVCMJTIFE

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Interactive auctions:4FDVSJUJFTBSFBMMPDBUFEBUNBSHJOBMSBUFTSFRVFTUFECZUIFJOUFSNFEJBSJFTVOUJMUIFBNPVOU

VQGPSBVDUJPOIBTCFFOGVMMZBMMPDBUFE

Syndicated Bond Auction.#0/04BOE6EJCPOPTTJODF'FCSVBSZ5IFCJEEFSTBSFPOMZNBSLFUNBLFST

BOEUIFQVCMJDPŇFSJTSFMFBTFEPOFEBZCFGPSFUIFBVDUJPO5IFPŇFSSFMFBTFJODMVEFTBEFUBJMFEMJTUPGJOTUSVNFOUT

BNPVOUTBOEBTDIFEVMFGPSUIFBVDUJPO5IFCJEEJOHQSPDFTTJTVOEFS%VUDIBVDUJPOSVMFTUIFSFGPSFBVOJRVF

QSJDFJTQBJECZBMMUIFXJOOFSTBOEBMMPDBUJPOJTNBEFUPUIPTFPŇFSJOHBIJHIFSQSJDF

Market makers

0CKFDUJWFTPGNBSLFUNBLFSTBSFUPJODSFBTFMJRVJEJUZJOUIFTFDPOEBSZHPWFSONFOUEFCUNBSLFUBOEUPFODPVSBHF

HSFBUFSJOWFTUNFOUJOHPWFSONFOUTFDVSJUJFT

5PHVBSBOUFFJOWFTUPSTBQQFUJUFGPSMPOHUFSNŢJYFESBUFJOTUSVNFOUTUIFSFNVTUCFBEFFQBOEMJRVJETFDPOEBSZ

NBSLFU0O TVDIBNBSLFU UIFTFTFDVSJUJFTDBO CF CPVHIUBOETPME BUBOZUJNF BOEBUMPXUSBOTBDUJPODPTUT

)FODFUIF4FDSFUBSJBUPG'JOBODFBOE1VCMJD$SFEJUXJUIUIFTVQQPSUPG#BODPEF.ÈYJDPDSFBUFEUIFŢJHVSFPG

NBSLFUNBLFST0O'FCSVBSZ

UIFHFOFSBMSVMFTGPSTFMFDUJOHNBSLFUNBLFSTXFSFVOWFJMFEXJUIPQFSBUJPOT

TUBSUJOHJO/PWFNCFS

*OPSEFSUPBDIJFWFUIFPCKFDUJWFTTFUCZUIFBVUIPSJUJFTNBSLFUNBLFSTIBWFUIFGPMMPXJOHPCMJHBUJPOTBOESJHIUT

Obligations:

B 4JHOJŢJDBOUQBSUJDJQBUJPOJOUIFQSJNBSZŢJYFESBUFHPWFSONFOUEFCUNBSLFU5IFNJOJNVNQFSDFOUBHFPG

QBSUJDJQBUJPOPGFBDINBSLFUNBLFSJTUIFMPXFSPGBOEOPGUIFUPUBMBNPVOUBVDUJPOFEGPSFBDI

ŢJYFESBUFTFDVSJUZhOvJTUIFOVNCFSPGNBSLFUNBLFST

C 4JHOJŢJDBOUQBSUJDJQBUJPOJOUIFTFDPOEBSZHPWFSONFOUEFCUNBSLFU.BSLFUNBLFSTNVTURVPUFCJEBOE

BTLQSJDFTEBJMZCFUXFFOBNBOEQNGPSBMMSFMFWBOUSBOHFTJOXIJDIŢJYFESBUFTFDVSJUJFTPQFSBUF

GPSBNJOJNVNOPNJOBMBNPVOUPG.9/NJMMJPO

D .BJOUBJOBEFRVBUFSJTLNBOBHFNFOUJOMJOFXJUI#BODPEF.ÈYJDPSFHVMBUJPOT

E 3FQPSUPQFSBUJPOTUPBVUIPSJUJFT

Rights:

B 1VCMJDSFDPHOJUJPOPGNBSLFUNBLFSTUBUVTUISPVHIUIF4FDSFUBSJBUPG'JOBODF|TRVBSUFSMZMJTUPGSFDPHOJ[FE

NBSLFUNBLFSJOTUJUVUJPOT

C 5IFSJHIU UPFYFSDJTFBOPQUJPO UPCVZ GSPNUIF#BODPEF.ÈYJDP0OFEBZBGUIFSUIF SFMFBTFPGUIF

QSJNBSZ BVDUJPOT GSPN  BN UP  BN NBSLFU NBLFST BSF FOUJUMFE UP QVSDIBTF BO BEEJUJPOBM

BNPVOUPGTFDVSJUJFTUPFOBCMFUIFNUPNFFUUIFJSDMJFOUTSFRVJSFNFOUT

The maximum amount exercisable is the lower of:

 PGUIFUPUBMBNPVOUPGHPWFSONFOUTFDVSJUJFTBMMPDBUFEGPSFBDIQFSJPE

 5IFUPUBMBNPVOUPGDPNQVUBCMFCJETQSFTFOUFECZUIFNBSLFUNBLFSJORVFTUJPO

$PNQVUBCMF CJET BSF UIPTF XIPTF ZJFME JT MFTT UIBO PS FRVBM UP UIF IJHIFTU ZJFME BMMPDBUFE JO FBDI NBUVSJUZ

NVMUJQMJFECZBGBDUPSPGCFUXFFOBOE5IJTGBDUPSXJMM EFQFOEPOUIF BDUJWJUZ JOEFYMFWFMPGFBDI

NBSLFUNBLFS

Securities lending

.BSLFUNBLFSTNBZSFRVFTUBOZJTTVBODFPG$&5&4PGŢJYFESBUF#0/04JODJSDVMBUJPOGSPN#BODPEF.ÈYJDPBT

BMPBOSFOFXBCMFPOBEBJMZCBTJT&BDINBSLFUNBLFSNBZSFRVFTUVQUPPGUIFUPUBMPGUIFTFHPWFSONFOU

TFDVSJUJFTJODJSDVMBUJPOBOEVQUPPGUIFBNPVOUPGFBDIPGUIFJTTVBODFT

5IFPQFSBUJPOTXJMMCFDPMMBUFSBMJTFEEBJMZXJUI$&5&4PSŢJYFESBUF#0/04VTJOHUIFMBUFTUQSJDFWFDUPSQVCMJTIFE

CZ#BODPEF.ÈYJDP5IFWBMVFPGTFDVSJUJFTVTFEBTDPMMBUFSBMJTBUMFBTUPGUIFWBMVFPGUIFTFDVSJUJFTMPBOFE

QMVT UIF BHSFFE QSFNJVN 5IF DPTU PG FBDI TFDVSJUJFT MPBO PQFSBUJPO JT FRVJWBMFOU UP  PG UIF HPWFSONFOU

GVOEJOHSBUFQVCMJTIFEEBJMZCZUIF#BODPEF.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

&WFSZZFBSPOUIFMBTUUSBEJOHEBZPG+BOVBSZ"QSJM+VMZBOE0DUPCFSUIF4FDSFUBSJBUPG'JOBODFBOE1VCMJD$SFEJUT

XFCTJUFXJMMSFMFBTFUIFOBNFTPGUIFŢJOBODJBMJOTUJUVUJPOTBVUIPSJTFEBTNBSLFUNBLFST5IFTFOBNFTBSFQMBDFE

JOEFTDFOEJOHPSEFSPGUIFBDUJWJUZJOEFYPGFBDIJOUFSNFEJBSZJOUIFQSFDFEJOHCSPLFSBHFQFSJPE

'JOBODJBM JOUFSNFEJBSJFT BSF BQQPJOUFE BT NBSLFU NBLFST GPS BO JOEFŢJOJUF QFSJPE PG UJNF QSPWJEFE UIBU UIFZ

DPOUJOVFUPNFFUBMMBQQMJDBCMFSFHVMBUJPOTBOESFRVJSFNFOUT

.POFZ.BSLFU$FUFT05$

Description

5IF'FEFSBM5SFBTVSZ#JMMT$&5&4BSFPOF PGUIFMFBEJOHJOTUSVNFOUTJO UIF .FYJDBONPOFZ NBSLFUBOE BSF

DPNNPOMZ VTFE BT B CFODINBSL GPS ŢJOBODJBM USBOTBDUJPOT 4JODF  $&5&4 IBWFCFFO UIF NBJO TPVSDFPG

GFEFSBMHPWFSONFOUGVOEJOH$&5&4BSF[FSPDPVQPOCPOETXJUIŢMFYJCMFJOWFTUNFOUUFSNTJNNFEJBUFMJRVJEJUZ

BOEBUUSBDUJWFZJFMET

Advantages:

s *OWFTUPSTDBOŢJOEWBSJPVTNBUVSJUJFTJOUIF$&5&4NBSLFUXIJDIBMMPXTUIFNUPDPOTUSVDUQPSUGPMJPTUIBUUBLF

MJRVJEJUZDPOTUSBJOUTJOUPBDDPVOU

s $SFEJUSJTLJTMPXBTUIFTFDVSJUJFTBSFGVMMZCBDLFECZUIF.FYJDBOGFEFSBMHPWFSONFOU

s 5IFSFJTBCSPBEBOEMJRVJETFDPOEBSZNBSLFUXIFSFUIFTFDVSJUJFTDBOCFTPMEFJUIFSUISPVHISFQVSDIBTF

BHSFFNFOUTSFQPTPS4QPUQSJPSUPNBUVSJUZ5IFZDBOBMTPCFVTFEJOTFDVSJUJFTMFOEJOHUSBOTBDUJPOT

s 5IFSFUVSOPO$&5&4JTVTFEBTBSFGFSFODFJOUFSFTUSBUFGPSBMBSHFOVNCFSPGŢJOBODJBMUSBOTBDUJPOTTBGVUVSFT

BOEPQUJPOT

Disadvantages:

s -JLFBOZNPOFZNBSLFUJOTUSVNFOU$&5&4BSFTVCKFDUUPQSJDFŢMVDUVBUJPOTNBSLFUSJTLXIFOTPMECFGPSF

NBUVSJUZ5IFSFGPSFUIFSFUVSOGPSJOWFTUPSTNBZOPUCFBTJOJUJBMMZQMBOOFE5IFMPOHFSUIFUJNFSFNBJOJOHVOUJM

NBUVSJUZUIFHSFBUFSUIFQSJDFŢMVDUVBUJPOT

Contract characteristics

Issuer: Federal Government, via Banco de México

Guarantee: Federal Government

Amount: Variable

Face value: MXN $10 pesos

Maturity: CETES are normally issued for 28, 91, 175182, and 364 days. To enhance

marketability, CETES are fungible; that is, the number of issuances is

reduced while the volume of placement is increased. Consequently, in

a single one-year issuance, CETES are placed in maturity periods of 335

and 364 days and, for six-month issues, between 153 and 182 days.

Yield: As any zero-coupon bond, the yield comes from the price discount rela-

tive to par value. The return is obtained from the dierence between the

under-par purchase price and the redemption or sell price. The price is

set freely in the market (OTC) in terms of interest rate or discount rate.

However, CETES are normally quoted with yield rate.

Amortization: Bullet payment on maturity

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Contract characteristics (Continues)

Placement: Public auction, multiple-price

Deposits under management: Banco de México is the custodian of the securities.

Intermediation: Banks and brokerage houses

Ticker symbol: “BI”, year, month, and day (i.e. “BI100729” for a CETE to mature on July

29, 2010)

Bloomberg Ticker: MPTBA BCMR <CURNCY> for 1-month; MPTBB BCMR <CURNCY> for

2-months; MPTBC BCMR <CURNCY> for 3-months; MPTBF BCMR <CURN-

CY> for 6-months; MPTBI BCMR <CURNCY> for 9-months; MPTB1 BCMR

<CURNCY> for 12-months.

Oicial reference: http://www.banxico.org.mx/sitioingles/portalesEspecializados/tasasIn-

teres/auctplacesec.html

Main formulas

360*

-1

TD1)

360

n*TR

P4)

TR* n

+360

+ 360TR

TD2)

360

n*TD

-1

*VNP5)

360

TR3)

D-VNP6) =

360 + TR * n

n*TR

*VND7)

8IFSF

1$&5&4QSJDFSPVOEFEUPEFDJNBMQMBDFT

%%JTDPVOUJOQFTPT

7/'BDFWBMVFPG$&5&4

533FUVSOSBUFJOUIFQFSJPEhOvBTBQFSDFOUBHF

5%%JTDPVOUSBUFJOUIFQFSJPEhOvBTBQFSDFOUBHF

O1FSJPEJOEBZT

Examples

Spot trade

"DPNQBOZXJTIFT UPJOWFTUJUT TVSQMVTDBTIJOBNPOFZNBSLFUJOTUSVNFOU BOE IPME UIF JOTUSVNFOU VOUJM

NBUVSJUZ$POTFRVFOUMZJUBDRVJSFTEBZ$&5&4XJUIBOBOOVBMEJTDPVOUSBUFPG5IF$&5&4QSJDFJT

QFTPTQFSTFDVSJUZJF

securityperpesos9533.9$

360

28*%6

1*10P =

8JUIJO EBZTUIFDPNQBOZSFDFJWFT QFTPT QFS TFDVSJUZ 5IF OPNJOBM SFUVSOPOUIFJOWFTUNFOUJT

UIFSFGPSFBOOVBMMZJF

%0281.6

360

9533.9

00.10

returnofrateNominal =

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Outright trade

"OJOWFTUPSBDRVJSFTEBZ$&5&4XJUIBOBOOVBMSBUFPGSFUVSOPGBUBQSJDFPGQFTPTQFSTFDVSJUZ

XIJDIJTFRVJWBMFOUUPUIFQSFTFOUGBDFWBMVFJF

securityperpesos8261.9$

360

91*%7

P =

"GUFSEBZTUIFJOWFTUPSOFFETDBTIBOEUIFSFGPSFEFDJEFTUPTFMMIJT$&5&4QPTJUJPOEBZTQSJPSUPNBUVSJUZ

5IFNBSLFUDPOEJUJPOTBSFGBWPVSBCMFTJODF$&5&4BSFJOEFNBOEBOEIFUIFSFGPSFNBOBHFTUPTFMMUIFQPTJUJPO

BUBOOVBMMZGPSEBZTJNQMZJOHBQSJDFPGQFTPTQFSTFDVSJUZ

securityperpesos8875.9$

360

*%50.61

P =

$POTFRVFOUMZUIFBOOVBMZJFMEHFOFSBUFEJTJOEBZT5IJTJTIJHIFSUIBOUIFBNPVOUJOJUJBMMZQMBOOFE

BOEPWFSBTIPSUFSJOWFTUNFOUQFSJPEJF

%79.31

360

8261.9$

8875.9$

<=Yield

5IFZJFMEHFOFSBUFEJOUIFBCPWFFYBNQMFQSJNBSJMZEFQFOETPOUIFQSFWBJMJOHNBSLFUDPOEJUJPOT3FUVSOTBSF

IJHIFSXIFOJOUFSFTUSBUFTESPQBOEMPXFSXIFOUIFSBUFTJODSFBTF

'JYFE3BUF.#0/046EJCPOPTBOE6.4

3.3.1. MBONOS (OTC)

Description

.FYJDBO 'FEFSBM (PWFSONFOU %FWFMPQNFOU #POET XJUI B 'JYFE*OUFSFTU 3BUF .#0/04 BSFUIF MBUFTU TFU PG

HPWFSONFOUTFDVSJUJFTUIFZBSFJTTVFEBOEQMBDFEGPSQFSJPETPGNPSFUIBOPOFZFBSBOEQBZŢJYFETFNJBOOVBM

DPVQPOT

5IFQMBDFNFOUPGUIFTFCPOETQSPWJEFTFWJEFODFPGJOWFTUPSDPOŢJEFODFCPUIJOUIF.FYJDBOFDPOPNZBOEPG

UIFGFEFSBMHPWFSONFOUTDPNNJUNFOUUPSFEVDJOHJOŢMBUJPOBSZBOETPWFSFJHOSJTLUISPVHIQSVEFOUNPOFUBSZBOE

ŢJTDBMQPMJDJFT

-POHUFSN'FEFSBM(PWFSONFOUCPOETIBWFCFFOJTTVFEXJUIUIFBJNPGFTUBCMJTIJOHBCFODINBSLSJTLGSFFSBUF

DSFEJUSJTLBOEEFWFMPQJOHBNFEJVNBOEMPOHUFSNQSJWBUFEFCU NBSLFU.#0/04IBWFB CSPBETFDPOEBSZ

NBSLFU*UJTOPXQPTTJCMFUPVOEFSUBLFPVUSJHIUTFMMTSFQVSDIBTFBHSFFNFOUTSFQPTBTXFMMBTTFDVSJUJFTMFOEJOH

USBOTBDUJPOTPO.#0/04%JSFDUUSBOTBDUJPOTDBOCFNBEFCZRVPUJOHUIFJSDMFBOQSJDFCVUNBSLFUDPOWFOUJPOJT

UPNBLFRVPUBUJPOTJOUFSNTPGZJFMEUPNBUVSJUZ

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



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Mexico 2011

Contract characteristics

Name: Mexican Federal Government Development Bonds with a Fixed Interest

Rate (MBONOS)

Issuer: Mexican Federal Government

Calendar: This is released each quarter in advance and the Bank of Mexico

notiies the auction of MBONOS (of each maturity) on the Friday prior to

the placement date

Guarantee: Mexican Federal Government

Amount: Variable

Face value: 100 pesos

Maturity: MBONOS may be issued for any maturity period provided that it is a

multiple of 182 days, since they pay a ixed coupon every six months.

However, to date they have been issued at periods of 3, 5, 10, 20 and

30 years. They are commonly known as BONOS M3, M5, M10, M20

and M30

Interest period: The securities accrue interest in pesos every six months (182 days)

Interest rate: The interest rate payable is determined at the auction of government

securities in line with the single-rate procedure

Interest payment: The interest rate is ixed throughout the period and interest is paid

every 182 days on the face value

Payment of principal: At maturity

Placement: In a primary auction for the corresponding maturity period with the

frequency indicated in the quarterly placement schedule released by

the Secretariat of Finance and Public Credit

Ticker symbol: “M” plus a space followed by six digits identifying the bond’s maturity

date (e.g. “M 130620” for the issue maturing June 20, 2013)

Fungibility: Each issue’s interest rate is ixed from issuance to maturity, so that

the bonds may not be interchangeable unless exactly the same

interest rate is paid

Bloomberg Tickers: “BCMR1 <GO>” for BBVA Bancomer contributions; “MBONO <CORP>”

for Mexican Fixed Rate page

Oicial reference: http://www.banxico.org.mx/sitioingles/portalesEspecializados/tasasIn-

teres/auctplacesec.html

Formulas:

Interest payment

*OUFSFTUJTDBMDVMBUFECBTFEPOUIFOVNCFSPGFŇFDUJWFEBZTQBTTFECFUXFFOTFUUMFNFOUEBUFTCBTFEPOZFBSTPG

EBZTBOEQBJEPODPNQMFUJOHFBDIPGUIFDPVQPOTFSJFT

Ij=VN*

[

Nj *TC

]

360

XIFSF

*KJOUFSFTUQBZBCMFBUUIFFOEPGQFSJPEK

5$BOOVBMJOUFSFTUSBUFPODPVQPO

7/GBDFWBMVFPGUIFTFDVSJUZJO.9/

NBUVSJUZQFSJPEPGDPVQPOKJOEBZT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

1SJNBSZBVDUJPOTPGUFOPGGFSTFDVSJUJFTJTTVFEQSJPSUPUIFJSQMBDFNFOUEBUF*OUIFTFDBTFTUIFBVDUJPOT

BSFQFSGPSNFEBUUIFJSDMFBOQSJDFJFXJUIPVUJOUFSFTUBDDSVFE5PMJRVJEBUFUIFTFTFDVSJUJFTJUJTOFDFTTBSZ

UPBEEUIFJOUFSFTUBDDSVFEPOUIFDVSSFOUDPVQPOUPUIFBMMPDBUJPOQSJDFPGUIFBVDUJPOBDDPSEJOHUPUIF

GPMMPXJOHGPSNVMB

360

TCd

VNI

dev

XIFSF

EFW

JOUFSFTUBDDSVFESPVOEFEUPEFDJNBMQMBDFTEVSJOHUIFQFSJPEK

5$BOOVBMJOUFSFTUSBUFPOUIFDPVQPO

7/GBDFWBMVFPGUIFTFDVSJUZJO.9/

EEBZTQBTTFECFUXFFOUIFJTTVBODFEBUFPSMBTUJOUFSFTUQBZNFOUKXIJDIFWFSJTBQQMJDBCMFBOEUIFWBMVBUJPOEBUF

5IFHFOFSBMGPSNVMBGPSWBMVJOHUIFTFCPOETJTBTGPMMPXT

CVNFFCP

XIFSF

1DMFBOQSJDFPGUIFCPOESPVOEFEUPEFDJNBMQMBDFT

7/GBDFWBMVFPGUIFTFDVSJUZJOQFTPT

,OVNCFSPGDPVQPOTQFOEJOHMJRVJEBUJPOJODMVEJOHDVSSFOUDPVQPO

EOVNCFSPGEBZTQBTTFEJOUIFDVSSFOUDPVQPOQFSJPE

QFSJPEJOEBZTPGDPVQPOK

DPVQPOKXIJDIJTPCUBJOFEBTGPMMPXT

360

*TC

=VN *

5$BOOVBMDPVQPOJOUFSFTUSBUF

'KEJTDPVOUGBDUPSGPSKDBTIŢMPX0CUBJOFEVTJOHUIFGPSNVMB

360

[

1–r

]

SFMFWBOUJOUFSFTUSBUFGPSEJTDPVOUJOHDPVQPOK

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UIFQSFTFOUWBMVFPGUIFQSJODJQBMBOEUIFJOUFSFTUBDDSVFEPOUIFDVSSFOUDPVQPO*UJTBMTPPCTFSWFEUIBUFBDI

PGUIFDPVQPOTBOEUIFQSJODJQBMBSFEJTDPVOUFEBUBEJŇFSFOUJOUFSFTUSBUFGPSFBDIEJTDPVOUGBDUPSBOEJUJT

UIFSFGPSFOFDFTTBSZUPLOPXPSUPBTTVNFBZJFMEDVSWFJOPSEFSUPEJTDPVOUFBDIPGUIFN

*ONBOZNBSLFUTTFDVSJUJFTXJUIUIFDIBSBDUFSJTUJDTPG.#0/04BSFRVPUFECZUIFJSZJFMEUPNBUVSJUZ:5.

5IJTDBOCFEFŢJOFEBTUIFSFUVSOXIJDIUIFJOWFTUPSXJMMPCUBJOJGIFEFDJEFTUPIPMEUIFTFDVSJUZVOUJMNBUVSJUZ

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TBNFSBUFBMMUIFDBTIŢMPXTPGUIFJOTUSVNFOUDPVQPOTBOEQSJODJQBM

,OPXJOHUIFTFDVSJUZT:5.GPSNVMBJTTJNQMJŢJFETJODFUIFSBUFTS

VTFEUPEJTDPVOUUIFWBSJPVTDBTIŢMPXT

CFDPNFUIFTBNFJOBMMEJTDPVOUGBDUPST$POTFRVFOUMZJG:5.JTLOPXOBOEUIFQFSJPEJOEBZTPGBMMDPVQPOT

JTBTTVNFEUPCFFRVBMUIFPSJHJOBMGPSNVMBNBZCFFYQSFTTFEBTGPMMPXT

182

R1*R

*cc

182

1K1K

−+

−

−−

XIFSF

SSFUVSOPOBOOVBMNBUVSJUZ

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"

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Mexico 2011

360

TC*182

*VNC

360

182

*rR

Example

"OJOWFTUPSXJTIFTUPQVSDIBTFBMPOHUFSNŢJYFEJOUFSFTUJOTUSVNFOUBOEEFDJEFTUPJOWFTUJOŢJYFESBUF.#0/04

0O+VOF

UIFGFEFSBMHPWFSONFOUJTTVFT.#0/04XJUIUIFGPMMPXJOHDIBSBDUFSJTUJDT

s 'BDFWBMVF.9/

s *TTVBODFEBUF+VOF



s .BUVSJUZEBUF+VOF

s .BUVSJUZQFSJPEEBZT

s $PVQPOSBUF

s $PVQPOQFSJPEEBZT

0O+VMZUIFGFEFSBMHPWFSONFOUEFDJEFTUPBVDUJPO.#0/04UPCFJTTVFEPO+VOF

5IFMJRVJEBUJPO

EBUFPGUIFTFDVSJUJFTJT+VMZ

0OUIBUMJRVJEBUJPOEBUFUIFTFDVSJUJFTXJMMCFEBZTTIPSUPGNBUVSJUZBOE

EBZTXJMMIBWFQBTTFEJOUIFŢJSTUDPVQPOQFSJPE5IFTFDVSJUZXJMMCFBVDUJPOFEJOUIFTBNFXBZBTJUXBTQMBDFE

XIFOJTTVFEOBNFMZBUJUThDMFBOQSJDFvOFUPGJOUFSFTUBDDSVFETPUIBUJOUFSFTUBDDSVFEPOUIFŢJSTUDPVQPONVTU

CFBEEFEUPUIFBMMPDBUJPOQSJDFUPDBMDVMBUFUIFMJRVJEBUJPOPGSFTVMUT

-FUVTTVQQPTFUIBUUIFJOWFTUPSXJTIFTUPQBSUJDJQBUFJOUIFBVDUJPOPGUIFTFTFDVSJUJFTQSFTFOUJOHBCJEXIJDIJT

FRVJWBMFOUUPBOBOOVBMSFUVSOPGUPŢJOEUIFDPSSFTQPOEJOHDMFBOQSJDFGPSNVMBJTBQQMJFE

273359.99$

18 2

*4.4084

1.0455

1.04550.0455

0.0455

4.0844.4084

18 216 1

5IFJOWFTUPSQSFTFOUTBCJEPGJOIJTBQQMJDBUJPOGPSFBDITFDVSJUZXIJDIIFJTXJMMJOHUPQVSDIBTF

"TTVNJOHUIBUIJTCJEJTBMMPDBUFEPO+VMZUIFJOWFTUPSXJMMIBWFUPQBZGPSFBDITFDVSJUZ

782026.99$

360

0872.0*21

*100273359.99$273359.99$=

+=+

dev

*O DPODMVTJPO JU JT PG QBSBNPVOU JNQPSUBODF UP DBSFGVMMZ DPOTJEFS JO BEWBODF UIF QSJDF PG .#0/04 XIFO

QVSDIBTFE BT MPOHUFSNŢJYFESBUFJOTUSVNFOUTTJODF B DIBOHF JO QSFWBJMJOH NBSLFUDPOEJUJPOT DPVME SFTVMUJO

TJHOJŢJDBOUMPTTFT

3.3.2. UDIBONOS (OTC)

Description

6%*#0/04BSF.FYJDBO 'FEFSBM(PWFSONFOU%FWFMPQNFOU#POET %FOPNJOBUFEJO*OŢMBUJPO*OWFTUNFOU6OJUT

6OJEBEFTEF*OWFSTJÑOPS6%*5IFTFCPOETPŇFSBSFUVSOXIJDIQSPUFDUTJOWFTUPSTBHBJOTUJOŢMBUJPOQBZJOHB

SFUVSOJOSFBMUFSNTFBDITFNFTUFSCBTFEPOBSFBMŢJYFEJOUFSFTUSBUFXIJDIJTEFUFSNJOFEPOUIFJTTVFEBUFPGFBDI

TFDVSJUZ5IFZBSFSFDPNNFOEFEBTBNFEJVNBOEMPOHUFSNBTTFUJOWFTUNFOU

6%*#0/04BSFJEFBMGPSJOTUJUVUJPOBMJOWFTUPSTTVDIBTJOTVSBODFDPNQBOJFTQFOTJPOBOESFUJSFNFOUGVOETTJODF

UIFTFTFDVSJUJFTBMMPXTBWJOHTHSPXUIJOSFBMUFSNTGPSOBUJPOBMT6%*#0/04BSFBWBJMBCMFJOUIFTFDPOEBSZNBSLFU

XIJDIFOBCMFTUIFJSTFMMQSJPSUPNBUVSJUZ

)PXFWFSTPNFESBXCBDLTDPVMECFIJHIMJHIUFE5IFOPNJOBMSFUVSOJTTFBTPOBMTJODFJUEFQFOETPOOPOTFBTPOBM

BEKVTUFE$1*WBSJBUJPOTXIFOJOŢMBUJPOEJNJOJTIFTTPEPFTUIFSFUVSOUIFSFGPSFJUDPVMEJNQMZIJHIPQQPSUVOJUZ

DPTUT"MTPBTBOZPUIFSMPOHUFSNJOTUSVNFOUMJRVJEJUZQSPCMFNTNBZBSJTFJODBTFPGTIBSQNBSLFUDPSSFDUJPOT

5IF#BODP EF.ÈYJDPDPNQVUFTUIF6%*CBTFE POUIF CJXFFLMZJOŢMBUJPOJOEFYSFMFBTFEUXJDFBNPOUIXJUI

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



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Mexico 2011

EBZTMBH0OUIFUIBOEUIPGFBDINPOUIUIF#BODPEF.ÈYJDPUBLFTJOUPBDDPVOUUIFQSJPSEBZ$1*

WBSJBUJPOBOEVOJGPSNMZQSPKFDUTUIFMFWFMPGUIF6%*GPSUIFOFYUEBZTPSVOUJMUIFOFYUEBZPG6%*DPNQVUBUJPO

Contract characteristics

Issuer: Mexican Federal Government, via the Banco de México

Amount: Variable issuance, according to a quarterly calendar

Face value: 100 UDIS

Maturity: They can be issued for any tenor, provided it accounts for

182-day coupons. Current issuances are 3, 5, 10 and 30 years

Ticker symbol: UDIBONOS are not fungible because they have a dierent ixed

real interest rate. The identiication code is a letter “S” followed by

a space and then a six-igure maturity date (yy/mm/dd). E.g. a

10-year UDIBONO maturing on June 13, 2019 is: “S190613”

Placement: Primary auction

Interest payment period: UDIBONOS pay interest in MXN every six months (182 days)

Interest rate: Fixed by the federal government upon issuance of the securities

and is speciied to investors in the primary auction

Return: The return in domestic currency on the UDIBONOS depends on

acquisition price, interest rate (coupon) corresponding to 182

days, value of UDIS and capital gains obtained on the dierence

between acquisition price and sell price

Amortization: Single bullet payment on maturity, face value of the securities

converted into domestic currency

Conversion to domestic currency: Placement and payment is in MXN which is converted at the value

of the UDI released on the day of payment

Secondary market: UDIBONOS may be listed in the secondary market at Yield To

Maturity (YTM). In trading, the amount is expressed in current

pesos, but at settlement the amount is actualized through UDI

exchange rate in relation to face value

Bloomberg Tickers: “MUDI Govt”; “UDI Curncy”

Further references: http://www.banxico.org.mx/sitioingles/portalesEspecializados/

tasasInteres/auctplacesec.html

http://www.banxico.org.mx/politica-monetaria-e-inlacion/estadis-

ticas/inlacion/indices-precios.html (for UDI statistics)

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Formula (clean price)

TTT

PCV

DCV

360

182

360

182

360

182

*1*

360

182

360

182

360

182

−+

−−

XIFSF

1QSJDFPGPOF6%*#0/0JO6%*4

DPVQPOSBUFFYQSFTTFEJOBOOVBMUFSNT

SFBM:5.FTQSFTTFEJOBOOVBMUFSNT

$OVNCFSPGDPVQPOTMFGUUPSFEFFN

%$7EBZTUPNBUVSJUZJODVSSFOUDPVQPO

1$7QFSJPEPGDVSSFOUDPVQPO

7/GBDFWBMVFPGB6%*#0/0

7/"O7/6%*O

XIFSF

7/"OGBDFWBMVFBEKVTUFEJOQFTPTUPEBZhOv

7/GBDFWBMVF6%*4

6%*OWBMVFPGUIF6%*BUEBZhOv

OSFGFSFODFEBZ

Examples

"OJOTVSBODFDPNQBOZXBOUTUPQVSDIBTFBTFDVSJUZUIBUQSPWJEFTBSFUVSOBCPWFJOŢMBUJPOBOEUIFSFGPSFEFDJEFT

UPBDRVJSF6%*#0/04NBUVSJOHJOEBZTXJUIBDPVQPOSBUFPGDPVQPOTGPSSFEFNQUJPO

EBZTUPSFEFFNUIFDVSSFOUDPVQPOBOEBSFBMSBUFPG

8FSFQMBDFUIFEBUBJOQSFWJPVTGPSNVMBUPDBMDVMBUFUIFQVSDIBTFQSJDFBTGPMMPXT

100*

360

182

*%5.71

360

182

*%5.71

360

182

*%5.71*

360

182

*%5.7

360

182

*%5.7

360

182

*%0.7

182

150

1616

−

−−

5IFSFGPSF UIF QSJDF PG UIF 6%*#0/0 JT  6%*4 5IF WBMVF PG UIF 6%* PO UIF EBUFPG QVSDIBTJOHUIF

6%*#0/0JT.9/TPUIBUUIFQSJDFQFSTFDVSJUZJTFRVBMUPUIF.9/SFTVMUJOHGSPNNVMUJQMZJOH

UIFQSJDFPG6%*#0/0CZUIFWBMVFPGUIF6%*6%*4.9/QFS6%*

5IFDPNQBOZSFDFJWFTBDPVQPOQBZNFOUEBZTMBUFSFRVBMUP.9/QFSTFDVSJUZXIJDIJTUIFSFTVMU

PGNVMUJQMZJOHUIFGBDFWBMVFPGUIFTFDVSJUZ6%*4CZUIFEBZSFGFSFODFSBUFBOEUIFOCZUIFWBMVF

PGUIF6%*4POUIFDPVQPOSFEFNQUJPOEBUF.9/

.9/.9/

"GUFSEBZTEBZTQSJPSUPNBUVSJUZPGUIF6%*#0/0XJUIDPVQPOTVOUJMNBUVSJUZBOEEBZTBDDSVFE

JOUFSFTUPOUIFDVSSFOUDPVQPOUIFJOWFTUPSEFDJEFTUPTFMMUIFTFDVSJUJFTBUBSFBMSBUFPG3FQMBDJOHUIFEBUB

JOQSFWJPVTGPSNVMBUIFQSJDFJT6%*45IFWBMVFPGUIF6%*4POTFMMEBUFJT.9/UIFSFGPSFUIF

JOWFTUPSTFMMTFBDITFDVSJUZBU.9/XIJDIJTUIFSFTVMUPGNVMUJQMZJOHUIFTFMMQSJDFPGUIF6%*#0/0

CZUIFWBMVFPGUIF6%*4JF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

100*

360

182

*%5.71

360

182

*%5.71

360

182

*%5.71*

360

182

*%5.7

360

182

*%5.7

360

182

*%0.7

182

150

15<15<

.9/.9/

4VNNBSJTJOHUIFDBTIŢMPXTBSFBTGPMMPXT

 1VSDIBTFPG6%*#0/04TFDVSJUJFT.9/.9/

 $PVQPOQBZNFOU.9/.9/

 4FMMPG6%*#0/04TFDVSJUJFT.9/.9/

5PEFUFSNJOFUIFOPNJOBMSFUVSOPOUIFJOWFTUNFOUXFOFFEUPDBMDVMBUFUIFJOUFSOBMSBUFPGSFUVSO*33BU

EBZTVTJOHUIFŢMPXTJOUIFBCPWFUBCMF5IVT

973.956,168$

360

182*

1.934,5$

713,161,154$0

182

150

360

182*

TIRTIR

MXN

4PMWJOHGPS5*3XFPCUBJOBOPNJOBMSFUVSOPGGPSEBZT

5PWFSJGZUIBUJOFŇFDUUIFSFBMSBUFPCUBJOFEXBTXFEJTDPVOUFEUIFOPNJOBMSFUVSOFŇFDUJWFJOŢMBUJPOBT

GPMMPXT

%5.7

182

360

552272.1

697768.1

360

182%76.26

T.real =

−

"TWFSJŢJFEBCPWFUIFJOWFTUPSPCUBJOFEBSFBMSFUVSOPGPOIJTJOWFTUNFOUUIFNBJOWJSUVFPGUIF6%*#0/04

CFJOHUIBUUIFZFOTVSFBOBCPWFJOŢMBUJPOJODSFBTFJOUIFJOWFTUNFOU

3.3.3. Sovereign Bonds: UMS (OTC)

Description

6OJUFE.FYJDBO4UBUFT4PWFSFJHO#POET6.4BSFŢJYFEJODPNFJOTUSVNFOUTJTTVFECZUIFGFEFSBMHPWFSONFOUJO

JOUFSOBUJPOBMDBQJUBMNBSLFUT&BDIJTTVBODFIBTTQFDJŢJDDIBSBDUFSJTUJDTUFSNDVSSFODZDPVQPOTFUD6.4CPOET

BSFQSFGFSSFECZGPSFJHOJOWFTUPSTPWFSPUIFS-BU"NJTTVFSTEVFUPUIFJSJOWFTUNFOUHSBEFTUBUVTBOEMJRVJEJUZ

-JLFNBOZDPVOUSJFTJO-BUJO"NFSJDB.FYJDPJTTVFEBTJ[FBCMFBNPVOUPGFYUFSOBMEFCUJOUIFTBOET*O

UIFXBLFPGUIFDSJTJTTFWFSBMEFCUSFTUSVDUVSJOHQSPHSBNTIBEUPCFVOEFSUBLFOŢJSTUUISPVHICBOLMPBOTXJUI

NPSFGBWPVSBCMFDPOEJUJPOTGPSUIFDPVOUSZCVUXJUIMJNJUFEBDDFTTUPEFCUDBQJUBMNBSLFUT5IJTCBDLHSPVOEMFE

UPBOPWFMQSPHSBNUIBUSFQMBDFECBOLMPBOTXJUICPOEJTTVBODFTUPGBDJMJUBUFUIFSFUVSOPGDBQJUBMJOŢMPXTUPXBSET

-BUJO"NFSJDB5IJTJOJUJBUJWFXBTUIFCSBJODIJMEPGUIFUIFO644FDSFUBSZPGUIF5SFBTVSZ/JDIPMBT#SBEZ BOE

XBTXJEFMZBDDFQUFECZEFCUPSTBOEDSFEJUPSTBMJLFTJODFJUHFOFSBUFENVUVBMCFOFŢJUT5IVTCFHBOUIFFSBPGUIF

#SBEZ#POET"HBJOTUUIJTCBDLESPQJUXBTJO.BSDIXIFO.FYJDPJNQMFNFOUFEUIFSFTUSVDUVSJOHBHSFFNFOU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

PGJUTFYUFSOBMEFCUXJUICBOLJOHDSFEJUPSTUISPVHIXIJDIBTJHOJŢJDBOUQPSUJPOPGUIFEFCUXBTDPOWFSUFEJOUPUXP

EJŇFSFOUDPNQPOFOUT

 h%JTDPVOUv#SBEZ#POETXIJDIPŇFSFEBEJTDPVOUPOUIFJSQSFWJPVTGBDFWBMVFBOEBWBSJBCMFJOUFSFTU

SBUF PG  CBTJT QPJOUT PWFS-*#03 SFWJTBCMFFWFSZ TJY NPOUIT BOE GPSBO BNPVOU PG 64%

NJMMJPO

 h1BSv #SBEZ #POET XJUIPVU EJTDPVOU CVU BU B GJYFE JOUFSFTUSBUFPG  BOE GPSBO BNPVOU PG

64%NJMMJPO

#PUICPOETXFSFJTTVFEGPSBZFBSQFSJPENBUVSJOHPO%FDFNCFS

5IFSFXFSFUXPUZQFTPGHVBSBOUFF

POFPONPOUITPGJOUFSFTUQBZNFOUTUISFFDPVQPOTBOEBOPUIFSHVBSBOUFFJOHUIFQSJODJQBMDPWFSFEXJUI

64%NJMMJPOJO[FSPDPVQPO645SFBTVSZ#POETBMTPNBUVSJOHBGUFSZFBST5IFTFCPOETBMTPQSPWJEFE

UIFJSIPMEFSTXJUIhWBMVFSFDPWFSZSJHIUTvBDUJOHBTXBSSBOUTPOUIFQSJDFPG.FYJDBOPJMJOUIFFWFOUUIBUDFSUBJO

MFWFMTXFSFFYDFFEFEUIVTBMMPXJOHIPMEFSTUPCFOFŢJUGSPNUIFJODSFBTFJOPJMQSJDFT

*O"QSJMUIFGFEFSBMHPWFSONFOUPŇFSFE#SBEZ#POEIPMEFSTUIFPQQPSUVOJUZUPFYDIBOHFUIFTFJOTUSVNFOUT

GPS B OFX (MPCBM #POE NBUVSJOH JO  LOPXO BT 6.4  5IF 6.4 CPOE EJE OPU JODMVEF UIF DPMMBUFSBM

HVBSBOUFFPG64USFBTVSZCPOETBOEUIF.FYJDBO(PWFSONFOUBTTVNFEBMMUIFSJTL5IFSFGPSF6.4CPOETQBZ

BMBSHFSDPVQPOUIBO#SBEZ#POET

Mexico: Long-Term

Foreign Currency Debt

S&P´s Fitch Moody´s

BBB dic-09 BBB nov-09 Baa1 ene-05

BBB+ oct-07 BBB+ sep-07 Baa2 feb-02

BBB ene-05 BBB dic-05 Baa3 mar-00

BBB- feb-02 BBB- ene-02 Ba1 feb-00

BB+ mar-00 BB+ may-00 Ba1 ago-99

BB feb-95 BB abr-00 Ba2 jun-99

BB+ jul-92 BB ago-95 Ba2 feb-99

Foreign Public Debt: UMS and

Total (% GDP and outstanding)

6.7

3.2

3.6

4.1

5.5

6.7

7.0

6.0

6.2

5.7

12.4

10.0

8.7

7.8

8.7

10.8

12.8

13.9

13.0

11.4

42.7

46.5

34.7

58.7

37.0

38.6

51.1

48.8

42.5

36.1

00 01 02 03 04 05 06 07 08 09

UMS (% GDP) Total (% GDP)

Outstanding (USD billions)

/PUFTEBSLCMVFEPXOHSBZVQBOECMBDLOFVUSBM

4PVSDF##7"3FTFBSDIXJUI#MPPNCFSH

4PVSDF##7"3FTFBSDIXJUI4)$1EBUB

*O.BZBOE+VOFUIFHPWFSONFOUBOOPVODFEUIFFBSMZBNPSUJ[BUJPOPG#SBEZ#POET64%CJMMJPOUISPVHI

XIJDIUIFHPWFSONFOUDPNQMFUFMZTFUUMFEJUTGPSFJHOQVCMJDEFCUBTTPDJBUFEXJUIUIFSFOFHPUJBUJPOPGUIFT

5PŢJOBODFQBSUPGUIFPQFSBUJPOUIFGFEFSBMHPWFSONFOUQMBDFEUXPHMPCBMCPOETXJUINBUVSJUJFTPGBOE

ZFBSTUPUBMMJOH64%CJMMJPOBOEQBZJOHDPVQPOTPGBOESFTQFDUJWFMZ'VSUIFSNPSFUIFTFJTTVBODFT

JODMVEFEUIF$PMMFDUJWF"DUJPO$MBVTFT$"$XIJDIGBDJMJUBUFUIFSFOFHPUJBUJPOQSPDFTTJGOFDFTTBSZ

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

UMS: Portfolio Diversiication

by Currency (% total)

UMS: Portfolio Duration (years)

JPY

CHF; 1%

GBP; 2%

EUR

USD

83%9%

7.2

4.6

8.9

2.1

8.6

USD EUR GBP CHF JPY Weigth

Avg.

4PVSDF##7"3FTFBSDIXJUI4)$1EBUB 4PVSDF##7"3FTFBSDIXJUI4)$1EBUB

5IFGFEFSBMHPWFSONFOUIBTDIBOHFEUIFQSPŢJMFBOEDPNQPTJUJPOPGJUTFYUFSOBMEFCUDPOTJEFSBCMZBOEIBTFWFO

SFEVDFEJUTUPUBMBNPVOUWJBWBSJPVTPQFSBUJPOTUIBUIBWFFOBCMFEUIFNBUVSJUZQFSJPEUPCFFYUFOEFEHVBSBOUFFT

UP CF SFEVDFEBOE ŢJOBODJOH DPTUT UP EJNJOJTI $POTFRVFOUMZ UPUBM GPSFJHO QVCMJD EFCU IBT CFFO TJHOJŢJDBOUMZ

SFEVDFEGSPNPG(%1JOUPPG(%164%CJMMJPOJOBOEJO64%CJMMJPO

5PUBMPVUTUBOEJOH6.4EFCUTUPPEBUPGUPUBMGPSFJHOQVCMJDEFCUCZUIFFOEPG

UMS: Portfolio Diversiication

by Currency (% total)

UMS: Portfolio

Diversiication by Rate (% total)

73.8

75.1

70.5

73.8

76.7

76.0

80.5

78.9

81.7

77.7

82.0

80.1

83.1

16.2

14.5

17.7

15.2

16.7

18.4

9.0

11.3

10.4

18.6

15.2

12.3

9.2

7.2 7.9

9.7 9.0

5.6

5.4

3.1

1.9

4.7 4.8

2.8 2.5 2.1 2.0 1.0 0.2 7.4 7.9 7.9 3.7 2.92.92.8

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

USD EUR JPY Other

96.1

95.5

96.4

99.5

78.5

99.8

95.8

96.5

92.3

86.5

77.9

7.7 0.20.20.54.23.63.54.54.03.913.521.522.1

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Fixed-Rate Floating-Rate

4PVSDF##7"3FTFBSDIXJUI4)$1EBUB 4PVSDF##7"3FTFBSDIXJUI4)$1EBUB

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

UMS characteristics

Guarantee: Federal government

Amount & currencies: Variable in US dollars (mainly), Euro, JPY, and other currencies

Placement: Global markets

Guarantee: Mexican Federal Government

Maturity: The yield curve is complete, with maturity periods ranging from six

months to 30 years, and they are among the most liquid emerging

bonds while their inancial characteristics have made it a reference for

private debt issuances in foreign currency

Issue price: The notes may be issued at par, or at a premium over, or discount to,

par and either on a fully paid or partially paid basis

Coupon: Half-yearly or yearly payments based on the US Treasury Bond yield

plus a Mexican sovereign risk premium

Yield: UMS could pay a ixed or loating coupon rate. In the latter case, the

base rate could be the CD Rate, Commercial Paper Rate, EURIBOR,

LIBOR, Federal Funds Rate, Treasury Rate, or any other

Redemption, repurchase

and early repayment:

In some cases, Mexico has the option to redeem or discretionarily

repurchase in whole or in part any note under contract terms

Taxes: Subject to exceptions, Mexico makes all payments on the notes without

withholding or deducting any Mexican taxes

)FSFGPMMPXTBTVNNBSZPGUIF6.4JTTVBODFTPVUTUBOEJOHVQUP+VMZ

Bloomberg

Ticker

ISIN Maturity

Amount

Outstanding

Issue

date

Year to

Aturity

Duration Coupon

EC503543 Corp US91086QAH11 14Jan-12 864,137,000 14Jan-02 1.49 1.41 7.500

EC816262 Corp US91086QAK40 16Jan-13 1,191,414,000 16Jan-03 2.50 2.33 6.375

EF285422 Corp US9108M0AB33 15Feb-13 3,030,000 24Feb-06 2.58 2.38 5.100

ED177627 Corp US91086QAQ10 15Jan-14 1,291,108,000 14Oct-03 3.50 3.20 5.875

EH722075 Corp US91086QAX60 17Feb-14 1,500,000,000 17Feb-09 3.59 3.20 5.875

EC880518 Corp US91086QAL23 3Mar-15 1,343,649,000 3Mar-03 4.63 3.99 6.625

TT330484 Corp US593048BA88 15Sep-16 1,681,197,000 24Sep-96 6.17 4.72 11.375

EF312914 Corp US91086QAU22 15Jan-17 3,500,000,000 10Mar-06 6.51 5.56 5.625

EH664032 Corp US91086QAW87 19Mar-19 3,000,000,000 23Dec-08 8.69 6.87 5.950

EC366269 Corp US593048BN00 30Dec19 1,352,366,000 30Mar-01 9.47 7.09 8.125

EI 106006 Corp US91086QAY44 15Jan-20 2,000,000,000 15Jan-10 9.52 7.67 5.125

EC 690671 Corp US91086QAJ76 24Sep-22 714,348,000 24Sep-02 12.22 8.43 8.000

ED301508 Corp XS0184889490 6Feb-24 476,526,000 9Feb-04 13.59 9.12 6.750

TT325005 Corp US593048AX90 15May-26 338,580,000 7May-96 15.87 9.37 11.500

EC434486 Corp US91086QAG38 15Aug-31 1,641,047,000 13Aug-01 21.14 11.48 8.300

EC933575 Corp US91086QAN88 8Apr-33 1,105,207,000 11Apr-03 22.79 12.28 7.500

ED626293 Corp US91086QAS75 27Sep-34 3,333,444,000 27Sep-04 24.27 12.92 6.750

EH154466 Corp US91086QAV05 11Jan-40 3,250,000,000 11Jan-08 29.57 14.65 6.060

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

'MPBUJOH3BUF/PUFT'3/*1"##POET

#1"#1"5#1"

Description

#BOLEFQPTJUQSPUFDUJPOCPOETBSFMPOHUFSNDSFEJUTFDVSJUJFTQBZJOHJOUFSFTUFWFSZEBZT#1"TEBZT#1"5T

PSEBZT#1"T5IFJOUFSFTUSBUFGPSUIFTFTFDVSJUJFTDBOCFBEKVTUFEXJUIJOUIFTBNFQFSJPE

5IF *OTUJUVUF GPS#BOL %FQPTJU *OTVSBODF*1"# JTTVFT UIFTF CPOET JO PSEFSUP NFFU JUT QBZNFOUPCMJHBUJPOT

QSPWJEFMJRVJEJUZUPJUTTFDVSJUJFTBOEJNQSPWFJUTEFCUNBUVSJUZQSPŢJMF5IFSFJTBCSPBECBTFETFDPOEBSZNBSLFU

GPSUIFTFTFDVSJUJFT5PEBZJUJTQPTTJCMFUPDBSSZPVUPVUSJHIUTFMMTSFQVSDIBTFBHSFFNFOUTSFQPTBOETFDVSJUJFT

MFOEJOHUSBOTBDUJPOT

Contract characteristics

Issuer: Institute for Bank Deposit Insurance (IPAB)

Calendar: The IPAB provides advance notice of its calendar of issuances on a quarterly basis.

The Bank of Mexico issues notiication of the auction of BPAs and BPATs on the

Friday preceding the placement date

Guarantee: Federal government

Placing agent: Banco de México

Amount: Variable

Face value: MXN100

Maturity: - BPAs can be issued for any term multiple of 28 days (28-day CETES as the

coupon reference). So far, only 1- to 3-year maturities have been issued.

- BPATs can be issued for any term multiple of 91 days (91-day CETES as the

coupon reference). So far, only 5-year (1820-day) maturities have been issued.

- BPA182s can be issued for any term multiple of 182 days (182-day CETES as the

coupon reference). So far, only 7-year (2548-day) maturities have been issued

Interest rate: - For BPAs, the interest rate is the rate of return on 28-day CETES as determined

in a primary auction.

- For BPATs, the interest rate is the rate of return on 91-day CETES as determined

in a primary auction. Interest is payable every 91 days or during an alternate

period in the event of any non-trading days.

- For BPA182s, the interest rate is composed of a market reference rate determined

at the beginning of each interest period, and an option for protection against

inlation

Reference rate: - The reference rate is the rate of return on 28, 91, and 182-day CETES issue in a

primary auction.

Inlation protection: - Whenever the percentage increase of an inlation-indexed investment unit (UDI)

over the interest period is greater than the 182-day CETE return, the security

pays the holder the reference rate, plus an inlationary premium (dierence

between the percentage increase in the UDI value and the reference return).

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Contract characteristics (Continues)

Yield: The yield is referenced to the face value of the securities and the interest rate

accrued on the acquisition value of the securities. When an issuance is purchased

at maturity, the return is a capital gain, plus the net interest paid while the security

was held. When a transaction is performed prior at maturity, the return is the capital

gain between the acquisition price and the sell price, plus the net interest for each

of the monthly periods

Interest payment: - BPAs: every 28 days on face value

- BPATs: every 91 days on face value

- BPA182s: every 182 days on face value

Payment

of principal:

At maturity

Placement: In primary auction (these securities are currently auctioned on Wednesdays)

Deposits under

management:

Custody is performed by Indeval, which in turn deposits the securities in the central

deposits of the Banco de México

Intermediation: Banks and brokerage houses

Secondary market: IPAB bonds may be traded on the secondary market based on their clean price or

their yield at maturity

Ticker symbol: - BPAs: “IP” plus six digits for the maturity date: year, month, and day

(i.e. “IP110804” for a BPA maturing on 4 August 2011)

- BPATs: “IT” plus six digits for the maturity date: year, month, and day

(i.e. “IT150702” for a BPAT maturing on 2 July 2015)

- BPA182: “IS” plus six digits for the maturity date: year, month, and day

(i.e. “IS170629” for a BPA182 maturing 29 June 2017)

Oicial reference: http://www.banxico.org.mx/sitioingles/portalesEspecializados/tasasInteres/

auctplacesec.html

Formula for BPAs

8IFSF

11SJDFPG*1"#CPOE

%'DVQ%BZTMFGUPODVSSFOUDPVQPO

%53"/DVQ%BZTFMBQTFEJODPVQPOQFSJPE

5DVQ$PVQPOSBUF

451SFNJVN

$5-BTULOPXOSBUF$&5&4

//VNCFSPGDPVQPOTUPCFSFEFFNFE

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Formula for BPATs

360

DTRANcup*Tcup

360

91*STCT

360

91*Tcup

STCT

360

91*STCT

STCT

-1

*100P

DFcup

8IFSF

11SJDFPG*1"#CPOE

%'DVQ%BZTMFGUPODVSSFOUDPVQPO

%53"/DVQ%BZTFMBQTFEJODPVQPOQFSJPE

5DVQ$PVQPOSBUFEFŢJOFEBUBXFFLMZBVDUJPO

451SFNJVN

$5-BTULOPXOSBUFJOUIFNBSLFUEBZ$&5&4

//VNCFSPGDPVQPOTUPCFSFEFFNFE

Formulas for BPA182s

Protection against Inlation (PaI)

360

182

PaI

UDI

8IFSF

6%*

+/+

6%*WBMVFDPSSFTQPOEJOHUPUIFQBZNFOUEBZPGDPVQPO+

6%*

+

6%*WBMVFDPSSFTQPOEJOHUPUIFŢJSTUEBZPGDPVQPO+

6%*5FSNPGDPVQPO+JOEBZT

$5182

EBZ$&5&JOUFSFTUSBUFJTTVFEJOUIFQSJNBSZBVDUJPOBUUIFCFHJOOJOHPGDPVQPO+

360

DTRANcup*Tcup

360

182

STCT

360

182*Tcup

STCT

360

182*

STCT

-1

*100P

182

DFcup

8IFSF

11SJDFPG*1"#CPOE

%'DVQ%BZTMFGUPODVSSFOUDPVQPO

%53"/DVQ%BZTFMBQTFEJODPVQPOQFSJPE

5DVQ$PVQPOSBUFEFŢJOFEBUBXFFLMZBVDUJPO

451SFNJVN

//VNCFSPGDPVQPOTUPCFSFEFFNFE

CTCT

360

,182max

UDI

Example of BPAs

"OJOWFTUPSJOUFSFTUFEJO PCUBJOJOHBHPPESFUVSOXJUIPVUNBLJOHBEJSFDUJPOBMCFUPOJOUFSFTUSBUFTXJTIFT UP

QVSDIBTFBMPOHUFSNJOTUSVNFOUPŇFSJOHBŢMPBUJOHJOUFSFTUSBUF5IFJOWFTUPSUIFSFGPSFEFDJEFTUPJOWFTUJO#1"T

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

5IF JOWFTUPS EFDJEFT UP BDRVJSF PO UIF TFDPOEBSZ NBSLFU  #1" TFDVSJUJFT XJUI  EBZT UP NBUVSJUZ

USBEJOHBUBQSFNJVNPGQFSDFOUBHFQPJOUTXJUIDPVQPOSFWJTJPOFWFSZEBZTTJNJMBSUPUIFXBZ#1"5TBSF

DBMDVMBUFEXJUISFQSJDJOHFWFSZEBZT5IFSFBSFDPVQPOTMFGUUPSFEFFNBOEEBZTIBWFFMBQTFEJOUIF

DVSSFOUDPVQPOQFSJPE5IFSFBSFEBZTUPNBUVSJUZBOEUIFSBUFQBJEJTDPVQPOSBUF5IFMBTULOPXO

SFGFSFODFSBUFJTEBZ$&5&4JOUIFQSJNBSZBVDUJPO

"QQMZJOHUIFDMFBOQSJDFGPSNVMBUIFVOJUQSJDFPGUIF*1"#CPOETJTPCUBJOFEBTGPMMPXT

()









360

14*6.89%

360

28*0.78%8.06%

360

28*6.89%

0.78%8.06%

8.06%

360

28*0.78%8.06%

0.78%8.06%

8.06%

-1

*100P

138

5IFDMFBOQSJDFPGFBDITFDVSJUZJTBTGPMMPXT

1.9/

5IJTJTUIFQSJDFPGFBDI*1"#CPOEXJUIPVUJOUFSFTU

5IJTQSJDFNVTUCFJODSFBTFECZUIFJOUFSFTUUIFJOWFTUPSXJMMSFDFJWFPOUIFOFYUDPVQPOBNPSUJ[BUJPODPSSFTQPOEJOH

UPUIFEBZTJOXIJDIIFEJEOPUPXOUIFTFDVSJUJFTBDDSVFEJOUFSFTU5IFJOUFSFTUPOUIFEBZTJT

267944.0$100*

360

14*6.89%

interest =

$POTFRVFOUMZUIFJOWFTUPSXJMMIBWFUPQBZQFSTFDVSJUZ

%JSUZQSJDF.9/.9/

%JSUZQSJDF.9/

5IJTJTUIFQSJDFQBZBCMFGPSFBDITFDVSJUZ$POTFRVFOUMZUIFUPUBMBNPVOUQBZBCMFCZUIFJOWFTUPSGPSUIF

TFDVSJUJFTJT

5PUBMBNPVOUQBZBCMF.9/

5PUBMBNPVOUQBZBCMF.9/

5IJTJTUIFBNPVOUUIFJOWFTUPSXPVMEQBZUPBDRVJSF*1"#CPOETFDVSJUJFTPOUIFTFDPOEBSZNBSLFU

/PX JNBHJOF UIBU  EBZT BGUFS BDRVJSJOH UIF TFDVSJUJFT UIF JOWFTUPS EFDJEFT UP TFMM  TFDVSJUJFT PO UIF

TFDPOEBSZNBSLFUUPDPWFSIJTDBTIOFFET5IFTFDVSJUJFTBSFUSBEJOHBUBQSFNJVNPGBOEUIFZBSFEVF

UPNBUVSFJOEBZTXJUIDPVQPOTQFOEJOHBNPSUJ[BUJPO4FWFOEBZTIBWFFMBQTFEJOUIFDVSSFOUDPVQPO

QFSJPEBOE EBZTSFNBJOUPNBUVSJUZ 5IFMBTULOPXOSFGFSFODFSBUFJTBOE UIFDVSSFOUDPVQPOSBUFJT

5IFDMFBOVOJUTFMMQSJDFPGUIFTFDVSJUJFTJTDBMDVMBUFEBTGPMMPXT

()









360

7*6.80%

360

28*0.67%8.15%

360

28*6.80%

0.67%8.15%

8.15%

360

28*0.67%8.15%

0.67%8.15%

8.15%

-1

*100P

137

5IFDMFBOVOJUTFMMQSJDFGPSFBDITFDVSJUZJT.9/

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

5IJTQSJDFNVTUCFJODSFBTFECZUIFJOUFSFTUGSPNUIFEBZTPGUIFDVSSFOUDPVQPOEVSJOHXIJDIUIFJOWFTUPS

PXOFEUIFTFDVSJUJFT

132222.0$100*

360

7*6.80%

interest ==

$POTFRVFOUMZGPSFBDITFDVSJUZUIFJOWFTUPSXJMMSFDFJWF

%JSUZQSJDF.9/.9/

%JSUZQSJDF.9/

5IJTJTUIFQSJDFUIFJOWFTUPSXJMMSFDFJWFGPSFBDITFDVSJUZIFTFMMT

*GUIFJOWFTUPSTFMMTPGUIFTFDVSJUJFTPXOFEIFXJMMSFDFJWFBUPUBMPG.9/

5IJTZJFMETBDBQJUBMHBJOPG.9/

*OUIJTDBTFCFDBVTFPGUIFNBSLFUDPOEJUJPOTUIFJOWFTUPSPCUBJOFEBDBQJUBMHBJO)PXFWFSEFQFOEJOHPOUIF

QSFWBJMJOH DPOEJUJPOT JO UIF TFDPOEBSZ NBSLFU UIFSF JT B SJTL UIBUJOWFTUPSTNBZ FJUIFS HBJO PS MPTF PO UIFTF

JOWFTUNFOUT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

*OUFSFTU3BUF%FSJWBUJWFT

General Background

5IFNPTUVTFEEFSJWBUJWFJOTUSVNFOUTJOUIF.FYJDBONPOFZNBSLFUBSF'PSXBSE3BUFBHSFFNFOUT'3"*OUFSFTU

3BUF4XBQT*34'VUVSFTBOE4XBQ'VUVSFTSFGFSFODFEUPUIFEBZ*OUFSCBOL&RVJMJCSJVN*OUFSFTU3BUF5**&

*OŢMBUJPO6%*EBZ$&5&4SBUFBOE.#0/04SBUFT5IFSFBSFBMTP$SPTT$VSSFODZ#BTJT4XBQT$$#4XIJDI

JOWPMWFUIFFYDIBOHFPGQSJODJQBMBOEDPVQPOTEFOPNJOBUFEJOEJŇFSFOUDVSSFODJFT

5IF5**&JTUIFNBJOSFGFSFODFSBUFJOUIFJOUFSCBOLNBSLFU*UXBTJOUSPEVDFEJO.BSDIXJUIBEBZUFOPS

BOEIBTCFFODPNQVUFEPOBEBJMZCBTJTTJODF.BSDI*O+BOVBSZUIFEBZ5**&XBTJOUSPEVDFEBOE

DBMDVMBUFEPOBEBJMZCBTJT5IFBOEEBZ5**&BSFDPNQVUFEVTJOHDPNNFSDJBMCBOLRVPUFTGPS$FOUSBM#BOL

SFTPVSDFT

*OBEEJUJPOUPUIF5**&CBOL BOEHPWFSONFOUGVOEJOHSBUFTDBOCFVTFE BTSFQSFTFOUBUJWFSBUFTGPSXIPMFTBMF

PQFSBUJPOTDBSSJFEPVUCZCBOLTBOECSPLFSBHFŢJSNT

s 5IF#BOLGVOEJOHSBUFJTBXFJHIUFEBWFSBHFGPSPOFEBZSFQPBOEPOFEBZPVUSJHIUUSBOTBDUJPOTXJUICBOL

QSPNJTTPSZ OPUFT DFSUJŢJDBUFT PG EFQPTJU BOE CBOLFSTBDDFQUBODFT TFUUMFE UISPVHIUIF .FYJDBO EFMJWFSZ

WFSTVTQBZNFOU%71TZTUFN*/%&7"-TFDVSJUJFTDMFBSJOHIPVTF

s 5IF (PWFSONFOUGVOEJOH JT BSFQSFTFOUBUJWF JOUFSFTUSBUFPO POF EBZ SFQPUSBOTBDUJPOTXJUIHPWFSONFOU

TFDVSJUJFTTFUUMFEUISPVHI*/%&7"-*OBTFQBSBUFDBMDVMBUJPOUIFGVOEJOHSBUFGPSTFDVSJUJFTXJUITPWFSFJHOSJTL

JTDPNQVUFEJODMVEJOHHPWFSONFOUTFDVSJUJFTBOE#1"T

'PSJOŢMBUJPOSFGFSFODFJOTUSVNFOUTUIF6OJEBEEF*OWFSTJÑO*OWFTUNFOU6OJUPS6%*JTVTFE6%*XBTJOUSPEVDFE

JO.FYJDPJOBTBQSJDFMFWFMBEKVTUJOHVOJUPGBDDPVOUPGSFBMDPOTUBOUWBMVFXIJDIFMJNJOBUFTUIFJOŢMBUJPO

FŇFDU6%*T BSFOVNFSJDBMVOJUTPGNFBTVSFNFOUGPSDSFEJUJOTUSVNFOUT USBEJOHDPOUSBDUTBOE PUIFS ŢJOBODJBM

PQFSBUJPOT5IFWBMVFPGUIF6%*DIBOHFTFWFSZEBZBOEJTDBMDVMBUFECBTFEPOUIFJOŢMBUJPOJOGPSNBUJPOGSPN

UIFQSFWJPVTUXPXFFLTXIJDIJTDBMDVMBUFEBOEQVCMJTIFECZUIF#BODPEF.ÈYJDPTFFDIBQUFSGPSEFUBJMT

*OUFSFTU3BUF4XBQT5**&*3405$

"O*OUFSFTU3BUF4XBQ*34JTUIFBHSFFNFOUCFUXFFOUXPQBSUJFTUPFYDIBOHFUIFDBTIŢMPXTPGŢJYFEJOUFSFTU

QBZNFOUTGPS ŢMPBUJOH JOUFSFTUSBUFSFMBUFEUPBOPUJPOBM BNPVOU*34 IFEHFT BHBJOTU VODFSUBJO NPWFNFOUTJO

JOUFSFTUSBUFTJOPSEFSUPŢJYUIFDPTUPGGVOEJOHUPHVBSBOUFFBQPSUGPMJPSFUVSOPSUPTQFDVMBUFPOJOUFSFTUSBUF

USFOET.FYJDBO*34USBEFBDDPSEJOHUPUIFOVNCFSPGDPVQPOTPSJOUFSFTUSBUFSFWJTJPOTFWFSZEBZTEVSJOH

BOENPOUIBTXFMMBTBOEVQUPZFBST5IFOPNFODMBUVSFDPNNPOMZVTFEJTUIFOVNCFSPGDPVQPOT

GPMMPXFECZhYvhUJNFTPOFv5IVTJOUIFNBSLFUUIFZSBOHFGSPNYYYYBOETPPOVOUJMY5IF

TUSFBNFYDIBOHFJTUIFQBZNFOUPGBŢJYFEJOUFSFTUSBUFGPSŢMPBUJOHSBUFSFGFSFODFEUPUIFEBZ5**&

5XPUZQFTPGPQFSBUJPONBZCFQFSGPSNFEJOUIJTNBSLFU

s h1BZvŢJYFEJOUFSFTUSBUFBOEh3FDFJWFvŢMPBUJOHJOUFSFTUSBUFCVZUIF4XBQ

s h1BZvŢMPBUJOHJOUFSFTUSBUFBOEh3FDFJWFvŢJYFEJOUFSFTUSBUFTFMMUIF4XBQ

Analysis

h1BZ'JYFEvhSFDFJWFŢMPBUJOHv

.BUFSJBMJTFTUIFWJFXUIBUSBUFTXJMMSJTFBOEUIFGMPBUJOHSBUFXJMMUIFSFGPSFFYDFFEUIFDVSSFOUGJYFESBUFJO

UIFGVUVSF

h1BZ'MPBUJOHvh3FDFJWF'JYFEv

.BUFSJBMJTFTUIFWJFXUIBUJOUFSFTUSBUFTXJMMGBMMBOEUIFŢMPBUJOHSBUFXJMMUIFSFGPSFGBMMTIPSUPGUIFDVSSFOUŢJYFESBUF

JOUIFGVUVSF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Example

Floating for Fixed IRS

"DPNQBOZQBZTEBZ5**&POBMPBOGPSBQFSJPEPGZFBSJFDPVQPOTFBDIEBZT5IFDVTUPNFSFYQFDUT

EBZ5**&UPSJTFBOEEFDJEFTUPIFEHFUIJTSJTLCZFOUFSJOHJOUPB9*34UIJSUFFODPVQPOTBQQSPYJNBUFMZ

NPOUIT

Costumer Expectations

Rate

Time

TIIE 28

Saving

Fixed rate

4PVSDF##7"3FTFBSDI.ÈYJDP

Customer Expectations

s /PUJPOBM8FBTTVNFUIBUJUJTFRVBMUPUIFMPBOBNPVOU

s 5IFDVSSFOUEBZT5**&JT

s 5IFQVSDIBTFBOETBMFPGBO*34YJOUIFNBSLFUJT #*%QBZT0''&3SFDFJWFTJFUIFNBSLFU

JTXJMMJOHUPQBZFWFSZEBZTJOFYDIBOHFGPSSFDFJWJOHEBZT5**&XJUIUIFTBNFGSFRVFODZPSJOUIF

FWFOUUPSFDFJWFŢMPXTDBMDVMBUFEBUBSBUFPGJOFYDIBOHFGPSQBZJOHBUUIFSBUFPGEBZT5**&

*OMJOFXJUIJUTFYQFDUBUJPOTBOEQSFGFSFODFTUIFDPNQBOZQSFGFSTUPQBZJOBŢJYFETUSFBNSBUIFSUIBOUIF

EBZT5**&SBUFTPUIBUJOFBDIBOEFWFSZPOFPGUIFDPVQPOTPGEBZTIFXJMMQBZBOESFDFJWFUIF

EBZT5**&'PSUIFŢJSTUDPVQPOUIFDVTUPNFSXJMMSFDFJWFUIFDVSSFOUEBZT5**&PGJOEBZTXIJDIXJMMPŇTFU

UIFMPBOQBZNFOUTBOEJOUVSOUIFDVTUPNFSXJMMQBZUIF4XBQTFMMFS

Floating for Fixed IRS

Creditor Client

IRS

Intermediary

Pays TIIE 28

Receives

Floating 28d TIIE

Pays fixed

7.90%

4PVSDF##7"3FTFBSDI.ÈYJDP

8JUIPVUUIJTBHSFFNFOUUIFDMJFOUXPVMEIBWFQBJEEBZ5**& 

8JUIUIJTIFEHFUIFDMJFOUQBZT 

"EEJUJPOBMQBZNFOU 

"GUFSEBZTJOUIFSFWJTJPOPGUIFE5**&SBUFUIFMBUUFSJODSFBTFEBTUIFDPNQBOZIBEFYQFDUFEBOEJTBUMFWFMT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

PG)PXFWFSEVFUPUIFIFEHJOHUIFDVTUPNFSXJMMPOMZIBWFUPQBZXIBUIFPSJHJOBMMZFOWJTBHFE

BOEUIFSFXJMMUIFSFGPSFCFBEJŇFSFODFJOIJTGBWPVS

8JUIPVUDPWFSBHFUIFDMJFOUXPVMEIBWFQBJEEBZT5**& 9.3650%

8JUIDPWFSBHFUIFDMJFOUJTQBZJOH 7.9000%

4BWJOHPSBEEJUJPOBMQBZNFOUEJŇFSFODF 

0OUIJTPDDBTJPOUIFEBZT5**&QFSGPSNFEJOMJOFXJUIUIFDMJFOUTFYQFDUBUJPOTIFODFIFJTTBWJOHPG

BOOVBMJOUFSFTUSBUFGPSBQFSJPEPGEBZTPOUIFBNPVOUDPOUSBDUFE*OUIFPQQPTJUFTDFOBSJPBEFDMJOFPGE

5**&PWFSUJNFUIFDMJFOUIBTUIFBEWBOUBHFPGEJTQFMMJOHUIFVODFSUBJOUZPOIJTGVUVSFJOUFSFTUQBZNFOUTBOEDBTI

ŢMPXCVEHFU

'PMMPXJOHUIFFYBNQMFBIZQPUIFUJDBMQFSGPSNBODFPGUIFEBZT5**&BHSFFNFOUJTEFUBJMFECFMPX-FUVTBTTVNF

UIBUUIFDVTUPNFSBHSFFTUIF*34SBUFPO+BOVBSZXIFOUIFEBZT5**&XBTBUBOEBHSFFTUPBMFWFMPG

TPUIBUBTUIFEBZQFSJPETFMBQTFUIFEBZT5**&MFWFMJTSFDPSEFE

Savings or Payments of the 28 days TIIE agreement

1st coupon 2nd coupon 3rd coupon 4th coupon

TIIE 28: 7.55% 9.3650% 8.80% 6.50%

With coverage 7.90% 7.90% 7.90% 7.90%

Saving (+) or additional payment (-): -0.35% 1.4650% 0.90% -1.40%

5th coupon 6th coupon 7th coupon 8th coupon

TIIE 28: 7.95% 8.20% 8.53% 7.85%

With coverage 7.90% 7.90% 7.90% 7.90%

Saving (+) or additional payment (-): 0.05% 0.30% 0.63% -0.05%

9th coupon 10th coupon 11th coupon 12th coupon

TIIE 28: 7.50% 9.20% 8.30% 7.99%

With coverage 7.90% 7.90% 7.90% 7.90%

Saving (+) or additional payment (-): -0.40% 1.30% 0.40% 0.09%

13th coupon

TIIE 28: 8.30%

With coverage 7.90%

Saving (+) or additional payment (-): 0.40%

4PVSDF##7"3FTFBSDI.ÈYJDP

*OUIJTFYBNQMFDVTUPNFSFYQFDUBUJPOTXFSFNFUPOPVUPGSFWJTJPOTBOEUIFZUIFSFGPSFXPVMEIBWFPCUBJOFE

QSPŢJUTCZVTJOHJOUFSFTUSBUFTXBQT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

28d TIIE performance over agreement life

8.3000

7.9900

8.3000

9.2000

7.5000

7.8500

8.5300

8.2000

7.9500

6.5000

8.8000

7.5500

9.3650

6.3000

6.8000

7.3000

7.8000

8.3000

8.8000

9.3000

9.8000

10.3000

2-Jan

2-Feb

2-Mar

2-Apr

2-May

2-Jun

2-Jul

2-Aug

2-Sep

2-Oct

2-Nov

2-Dec

2-Jan

Starts IRS

13x1

1st coupon

7.90% Agreed Fixed

rate of IRS 13x1

4PVSDF##7"3FTFBSDI.ÈYJDPBOE##7"#BODPNFS

$SPTT$VSSFODZ4XBQT05$5**&ũ-JCPS6%*ũ5**&BOE

6%*ũ-JCPS

Deinition

$SPTTDVSSFODZTXBQT$$4JOWPMWFUIFFYDIBOHFPGBTFSJFTPGDBTIŢMPXTJOPOFDVSSFODZGPSBTFSJFTPGQBZNFOUT

JOBOPUIFSDVSSFODZ5IFDPOEJUJPOTBOEGSFRVFODZPGTXBQQBZNFOUTBSFBHSFFEJOBEWBODFCZUIFQBSUJFT5IF

$$4NBZCFTFUBUBŢJYFESBUFGPSŢJYFESBUFŢJYFEGPSŢMPBUJOHBOEWJDFWFSTBPSŢMPBUJOHGPSŢMPBUJOH*OSFDFOU

ZFBSTUIFSFIBTCFFOJODSFBTJOHEFNBOEGPSUIJTUZQFPGPQFSBUJPO5IFZBMMPXUIF TVCTUJUVUJPOPG EFCU ŢMPXT

QSJODJQBMBOEPSJOUFSFTUQBZNFOUTGSPNPOFDVSSFODZUPBOPUIFSBOEFWFOGSPNPOFJOUFSFTUSBUFUZQFUPBOPUIFS

ŢJYFEGPSŢMPBUJOHBOEWJDFWFSTB5IJTUZQFPGTXBQTBSFHFOFSBMMZUSBOTBDUFE05$PWFSUIFDPVOUFSJFCFUXFFO

DPVOUFSQBSUJFTTJODFUIFZBSFDPOUSBDUTUBJMPSFEUPDVTUPNFSTSFRVJSFNFOUT8IFO$$4BSFUSBEFEUIFCVZFSBOE

TFMMFSBHSFFPOUIFhSFGFSFODFBNPVOUvUIFhOVNCFSPGDPVQPOTvUIFhNBUVSJUZEBUFvPGUIFPQFSBUJPO/PUJPOBM

BNPVOUTFYDIBOHFTPGUIFQSJODJQBMBNPSUJ[BUJPOTXIFSFBQQMJDBCMFFUD

5IFSFJTBSFMBUJWFMZTUBOEBSEJ[FE05$NBSLFUGPS64%.9/DSPTTDVSSFODZTXBQT5IFSFJTIJHIMJRVJEJUZBOEGBJSMZ

DPNQFUJUJWFRVPUFTGPSDPOTUBOUNBUVSJUJFTUIBUSBOHFGSPNNPOUITUPZST

General characteristics

Participants: Mexicans or foreign nationals

Reference amount: Variable, agreed by the parties

Trading hours: 07:30 AM to 2 PM (GMT -6:00)

Period: Variable, established in line with customer needs.

Principal is usually exchanged at inception and at maturity at

spot rate

Exchange rate USD and MXN

Rate: Fixed and/or loating, any combination

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

The most liquid maturities

Instrument TERM Days to maturuty Instrument details:

3x1 3 Month 84 MXN leg USD leg

6x1 6 Month 168 Index TIIE28 LIBOR1M

9x1 9 Month 252 Coupon 28 day roll 28 day roll

13x1 1 Year 364 Rate convention ACT/360 ACT/360

26x1 2 Year 728 Holidays MEX + NY MEX + NY

39x1 3 Year 1092 Holiday convention Following Following

52x1 4 Year 1456 Initial & Final exchange YES YES

65x1 5 Year 1820

91x1 7 Year 2548

130x1 10 Year 3640

195x1 15 Year 5460

260x1 20 Year 7280

360x1 30 Year 36400

4PVSDF##7"3FTFBSDI

Types of operation

a) TIIE – Libor Swaps

" DSPTTDVSSFODZ CBTJT TXBQJOWPMWFT BO FYDIBOHFPG ŢMPBUJOH SBUFT JO CPUI 64% -JCPS BOE .9/ 5**& 5IF

RVPUBUJPOSFQSFTFOUTUIFCBTJTQPJOUTUIBUBSFVTFEBTTQSFBEPWFS-JCPSBTFRVJWBMFOUUP5**&$PVQPOTBSFQBJE

FWFSZEBZT"$5BOEBSFQIZTJDBMMZFYDIBOHFE.BUVSJUJFTHPVQUPZFBST

Example:

"DVTUPNFSJTTVFT: EFCUEFOPNJOBUFEJO64% BU-JCPS 5IFDVTUPNFSTGVODUJPOBMDVSSFODZJTUIF.9/BOE

IFUIFSFGPSF XJTIFT UP USBOTGPSNUIJT MJBCJMJUZ JOUP.9/ UIVTIFEHJOH BHBJOTU FYDIBOHF SJTL 5IFPQFSBUJPOJT

TUSVDUVSFEBTGPMMPXT

TIIELibor Swaps

Customer

Libor +/-

spread

Investors

Libor 28 +/-

spread

Customer Bank

Bank

US $ 1mn

US $ 1mn*12.5

=MXN12.5mn

Investors

Customer

US $ 1mn

Investors

TIIE 28

US $ 1mn*12.8

=MXN12.8mn*

*Exchange at maturity

is made at initial spot

US $ 1mn

Inception

Coupons

Maturity

USD Bonds

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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

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Mexico 2011

b) Inlation Swaps

5IFNFYJDBOJOŢMBUJPOTXBQNBSLFUPŇFSTUXPUZQFTPGJOTUSVNFOUTŢJSTUJOŢMBUJPOJOEFYTXBQQFEGPSEBZ5**&

BOE TFDPOE JOŢMBUJPO JOEFY TXBQQFE GPS -JCPSN 5IFTF JOTUSVNFOUT PŇFS HSFBU PQQPSUVOJUJFT UP FOHBHF JO

.FYJDBOJOŢMBUJPOCFUTCSFBLFWFOJOŢMBUJPOCFUTBSCJUSBHFCFUXFFOGVOEJOHTPVSDFTJTTVJOHJOŢMBUJPOJOEFYFEEFCU

BOETXBQQJOHJUUPOPNJOBMSBUFEFCUBOEBIFEHFGPS6%*#0/04'PSBEFUBJMFEEFUFSNJOBUJPOPGUIF6%*TFF

DIBQUFS

UDI – Libor Swaps

5IJTTUSVDUVSFJOWPMWFTBOFYDIBOHFPG64%ŢMPBUJOHSBUFTGPS.9/SFBMSBUFTŢJYFESBUFQMVTJOŢMBUJPO5IFRVPUBUJPO

SFQSFTFOUTUIFŢJYFESBUFUIBUJTQBJEJO.9/BEKVTUFEGPS6%*$PVQPOTBSFQBJETFNJBOOVBMMZDPOWFOUJPOJT

"$5GPSCPUIMFHTBOEQBZNFOUTBSFQIZTJDBMMZFYDIBOHFE.BUVSJUJFTHPVQUPZFBST

The Most Liquid Maturities

UDI/LIBOR

Term Days to Maturity Instruments datails:

1 Year 360

UDI leg USD leg

3 Year 1080 Index Fixed real rate LIBOR 6M

5 Year 1800 Fixing date N/A T2

7 Year 2520 Coupon SEMI ANNUAL SEMI ANNUAL

10 Year 3600 Rate Convention ACT/360 ACT/360

15 Year 5400 Holiday MEX DF + NY MEX DF + NY

20 Year 7200 Holiday convention Modfol Modfol

Initial exchange YES YES

Final exchange YES YES

4PVSDF##7"3FTFBSDI.ÈYJDP

Example:

"NVMUJOBUJPOBMDPSQPSBUFJTTVFTSFBMSBUFCPOETJO.FYJDP6EJCPOPTIPXFWFSHJWFOUIBUNPTUPGJUTSFWFOVFT

BSFEFOPNJOBUFEJO64%NBOBHFNFOUEFDJEFTUPTXBQJOUP64%5IFPQFSBUJPOJTTUSVDUVSFEBTGPMMPXT

UDILibor Swaps

Investors

Udibono Fixed rate

Customer

Bank

MXN 100mn/12.5=

US $ 8mn

Investors

*Exchange at maturity

is made at prevailing

USDUDI

Udibonos MXN 100mn,

UDIS 22.6mn,

UDI=4.420042

Inception

Coupons

Maturity

Udibonos MXN100mn,

UDIS 22.6mn,

UDI=4.420042

Libor

UDIS 22.6mn

UDIS 22.6mn*UDI/spot*

Udibono Fixed rate

Udibonos

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

UDI – TIIE Swaps

6%*ũ5**&JOWPMWFTBOFYDIBOHFPG.9/GPS6%*EFOPNJOBUFEEFCUJFOPNJOBMŢMPBUJOHSBUFGPSSFBMŢJYFESBUF5IF

RVPUBUJPOSFQSFTFOUTUIFŢJYFESBUFUIBUJTQBJEJO.9/BEKVTUFEGPS6%*GPSOPNJOBMŢMPBUJOH5**&$PVQPOTBSFQBJE

TFNJBOOVBMMZDPOWFOUJPOJT"$5GPSCPUIMFHTBOEQBZNFOUTBSFQIZTJDBMMZFYDIBOHFE.BUVSJUZQFSJPEJT

VQUPZFBST

The Most Liquid Maturities

UDI/TIIE

Term Days to Maturity Instruments datails:

1 Year 364

UDI leg MXN leg

3 Year 728 Index Fixed real rate TIIE

5 Year 1820 Fixing date N/A T1

7 Year 2548 Coupon 182 day roll 28 dat roll

10 Year 3640 Rate Convention ACT/360 ACT/360

15 Year 5460 Holiday MEX DF MEX DF

20 Year 7280 Holiday convention Following Following

Initial exchange NO NO

Final exchange YES YES

4PVSDF##7"3FTFBSDI.ÈYJDP

Example:

"DVTUPNFSXJTIFTUPFYDIBOHFIJTOPNJOBMEFCUUPSFBMSBUFTBTIJTJOŢMBUJPOFYQFDUBUJPOTBSFMPXFSUIBOUIPTF

JNQMJFEJOUIF6%*#0/04DVSWF5IFPQFSBUJPOJTTUSVDUVSFEBTGPMMPXT

UDITIIE Swaps

Investors

TIIE

Customer

Bank

MXN 100mn/4.420042

=UDI 22.6mn

Investors

*Exchange at maturity

is made at prevailing

UDI

MXN Bounds

Inception

Coupons

Maturity

MXN 100mn,

Udibono Fixed rate

MXN 100mn

UDIS 22.6mn*UDI*

TIEE

MXN 100mn

4PVSDF##7"3FTFBSDI.ÈYJDP

c) Asset Swap (combination of instruments)

"OBTTFU TXBQJOWPMWFT UIF TBNF NFDIBOJD PGBQMBJO WBOJMMB TXBQ XJUI UIF EJŇFSFODFUIBU UIF VOEFSMZJOH PG

UIFDPOUSBDUJT BOBTTFU SBUIFSUIBOB MJBCJMJUZ*OUIJTTFOTFB CVZFSPGBEFCUTFDVSJUZDPVMEFYDIBOHFJUGPSB

TZOUIFUJDPOFXJUIEJŇFSFOUDIBSBDUFSJTUJDTJFŢJYFEGPSŢMPBUJOHSBUFBOEPS64%GPS.9/XJUIUIFPCKFDUJWFPG

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

FJUIFSFOIBODJOHZJFMEJFCZUBLJOHBEWBOUBHFPGBOBSCJUSBHFPQQPSUVOJUZPSDSFBUJOHBTFUPGDBTIŢMPXTUIBU

DPVMECFVOBWBJMBCMFEJSFDUMZJOMPDBMNBSLFUT*O.FYJDPJOWFTUPSTVTVBMMZCVZ64%CPOETBOEFYDIBOHFUIFNGPS

.9/TFDVSJUJFT

Example:

"DVTUPNFSPXOTBCPOEJO64%BUBŢJYFEJOUFSFTUSBUFBOEIFFYQFDUTUIFQFTPUPBQQSFDJBUFUIVTEFDSFBTJOH

IJTSFUVSO5IFDVTUPNFSNJHIUNBLFUIFTUSBUFHJDEFDJTJPOUPIFEHFUIFFYDIBOHFSJTLCZTXBQQJOHIJTEPMMBS

EFOPNJOBUFEEFCUJOUPQFTPTFJUIFSBUBŢJYFEPSŢMPBUJOHJOUFSFTUSBUF

Asset Swap

US fixed Rate

Investor

Customer

Bank

US $ 10mn

Bond

issuer

Bond

issuer

Bond

issuer

*Exchange at maturity

is made at initial spot

US $ 10mn

Inception

Coupons

Maturity

US $ 10mn*12.5=

MXN12.5mn

US fixed rate

US $ 10mn

US $ 10mn*12.5=

MXN 12.5mn

US $ 10mn

TIEE+/-spread

USD Bonds

4PVSDF##7"3FTFBSDI.ÈYJDP

*OUFSFTU3BUF'VUVSFTBOE#POE'VUVSFT

Description

*OUFSFTU3BUF'VUVSFTBSFJOTUSVNFOUTUSBEFEPOUIF.FYJDBO%FSJWBUJWFT&YDIBOHF.&9%&3UPIFEHFBHBJOTU

BEWFSTFWBSJBUJPOTJOUIFNPOFZBOECPOENBSLFU5IJTJTEPOFUPQSPUFDUJOWFTUNFOUTUPTFUBEFCUDPTUPSUP

EJTQFMVODFSUBJOUZ$VSSFOUMZJOUFSFTUSBUFGVUVSFTPQFSBUFEPOUIF.&9%&3BSFUIFEBZ$&5&4EBZ5**&BOE

UIFBOEZFBSŢJYFESBUF.#0/04DBMMFE..BOE.

.&9%&3JTUIFMPDBMEFSJWBUJWFTFYDIBOHFXIFSFTUBOEBSEJTFEDPOUSBDUTBSFOFHPUJBUFE)PXFWFSEFSJWBUJWFTNBZ

CFUSBEFEPVUTJEFUIJTNBSLFUJOh0WFS5IF$PVOUFSv05$PQFSBUJPOTVOEFSNPSFŢMFYJCMFUFSNTPGWPMVNFBOE

NBUVSJUZJOPSEFSUPGVMŢJMUIFOFFETPGFBDIDVTUPNFS*UJTXPSUIOPUJOHUIBUhUBJMPSNBEFDPOUSBDUTvIBWFIJHIFS

DSFEJUSJTLTJODFDPNQMJBODFMBSHFMZEFQFOETPOUIFDPVOUFSQBSUZTTPMWFODZ5IJTJTPOFPGUIFNBJOEJŇFSFODFT

XJUIPSHBOJTFENBSLFUTTVDIBTUIF.&9%&3XIJDIFNQMPZUIFTFSWJDFTPGBDMFBSJOHIPVTF"4*(/"JOUIFDBTF

PG.&9%&3UIVTNJOJNJTJOHDSFEJUSJTL

5ZQFT PG PQFSBUJPO 8IFO QFSGPSNJOH GVUVSFT PQFSBUJPOT PO EBZ $&5&4  EBZ 5**& PS   BOE ZFBS

.#0/04UIFCVZFSBOETFMMFSXJMMTXBQXIPMFNVMUJQMFTPGTUBOEBSEJTFEDPOUSBDUTJOUFSNTPGBNPVOUDVSSFODZ

NBUVSJUZEBUFBOE JOUFSFTUSBUFXIFOQBZNFOUJTQFSGPSNFEJOLJOE PSCZEJŇFSFODFTJONBSLFUQSJDFBOEUIF

BHSFFEQSJDF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

4.3.1. 91-day CETES Futures (MEXDER)

Contract characteristics

MEXDER

Underlying security: 91-day CETES

Contract size: 1,000,000 MXN (10,000 CETES)

Delivery months: Monthly cycle for up to twelve months and quarterly cycle for up to 24

cycles (seven years). MEXDER is able to open dierent series in line with

market demand.

Ticker symbol: CE91 plus two letters for the month and two numbers for year of maturity

(i.e. CE91 JN10, June 2010)

Quotation: Rate of annualized yield expressed to two decimal places.

Minimum

luctuation (Tick):

One basis point (0.01%) also called PUJA

Trading hours: 07:30 to 14:15 hours Mexico City time (GMT -06:00)

Last trading day

and maturity date:

The day of the primary auction of the week of the third Wednesday of the

month of maturity.

Settlement date: Next business day after maturity date.

Interest rate or

price agreed:

Agreed by the parties. Said interest rate of return must be expressed as an

annual percentage on the basis of 360 days.

Delivery Method: By cash dierences between the primary CETES 91 rate on the last day of

trading and the price agreed.

Daily Settlement:

Initial margin: It is the amount deposited by the customer in the clearing house (ASIGNA)

at the time of executing the irst order. The aim is to guarantee coverage of

the variation margins while positions remain open.

Maintenance

margin:

It is the minimum amount per contract which the customer must keep in the

clearing house for open positions. MXN and CETES are accepted as collateral

(ensuring a maturity of less than one year).

Variation

margins:

These are the debits and credits which the clearing house applies to the

customer’s account in order to relect the daily gain and/or loss resulting

from revaluing his contracts. Where the maintenance margin is lower than

the required amount, the clearing house will “call for margin” to the investor.

The customer may withdraw any surplus in the opposite situation (“margin

withdrawals”).

Bloomberg

Tickers:

“MMDD <GO>” for MEXDER page, “MMDF <GO>” for MEXDER Future

Contracts.

Further references: http://www.mexder.com.mx/MEX/home_ingles.html

4PVSDF##7"3FTFBSDI.ÈYJDP

Formula and examples (See section 4.3.2.)

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

4.3.2. 28-day TIIE Futures (MEXDER)

Contract characteristics

MEXDER

Underlying security: 28-day TIIE calculated by Banco de México

Contract size: MXN $ 100,000

Delivery months: Monthly cycle for up to ive years (120 months). MEXDER is able to open dif-

ferent series for negotiation in line with market demand.

Ticker symbol: “TE28” plus two letters for the maturity month (EN, FB, MR, AB, MY, JN, JL,

AG, SP, OC, NV, DC) and two last digits of the maturity year (i.e.: “TE28 JN06”

for June 2006).

Quotation: The future rate is the annualized percentage rate of return, expressed in two

decimals.

Minimum luctuation (Tick): One basis point (0.01%) also called PUJA

Trading hours: 07:30 to 14:15 hours Mexico City time (GMT -06:00)

Last trading day and

maturity date:

The next business day before the primary auction on the third Wednesday

of the maturity month.

Settlement day: Next business day after maturity date.

Interest rate or price agreed: Agreed by the parties. Said interest rate of return must be expressed as an

annual percentage on the basis of 360 days.

Delivery Method: By cash dierences between the TIIE rate on the last trading day and the

price agreed.

Daily Settlement:

Initial margin: It is the amount deposited by the customer in the Clearing House (ASIGNA)

at the time of executing the irst order. The aim is to guarantee coverage of

the variation margins while positions remain open.

Maintenance margin: It is the minimum amount per contract which the customer must keep in the

Clearing House for open positions. MXN pesos and CETES are accepted as

collateral (ensuring a maturity less than one year).

Variation

margins:

These are the debits and credits which the Clearing House applies to the

customer’s account in order to relect the daily gain and/or loss resulting

from revaluing his contracts. Where the maintenance margin is lower than

the required amount, the Clearing House will “call for margin” to the investor.

The customer may withdraw any surplus in the opposite situation (“margin

withdrawals”).

Bloomberg

Tickers:

“MMDD <GO>” for MEXDER page, “MMDF <GO>” for MEXDER Future

Contracts.

Further references: http://www.mexder.com.mx/MEX/home_ingles.html

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Formula and examples (91-day CETES and 28-day TIIE futures)

*OUFSFTUSBUFGVUVSFTDPOUSBDUTBSFDMBTTJŢJFECBTFEPOUIFSJHIUTBOEPCMJHBUJPOTDPOGFSSFEVQPOQBSUJDJQBOUTJO

a. Buying interest rate futures

s 5IFCVZFSXJMMCFFOUJUMFEUPSFDFJWFGSPNUIFTFMMFSJOUIFFWFOUUIBUUIFhDVSSFOUvJOUFSFTUSBUFPOUIBUEBZ

JTMPXFSUIBOUIFhBHSFFEvJOUFSFTUSBUFBOBNPVOUJO.FYJDBOQFTPTGPSUIFDPOUSBDUFRVBMUPUIFBNPVOU

SFTVMUJOHGSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB

s 5IFCVZFSXJMMCFPCMJHFEUPQBZUIFTFMMFSJOUIFFWFOUUIBUUIFhDVSSFOUvJOUFSFTUSBUFPOUIBUEBZJTIJHIFS

UIBOUIFhBHSFFEvJOUFSFTUSBUFBOBNPVOUJO.FYJDBOQFTPTCZDPOUSBDUFRVBMUPUIFBNPVOUSFTVMUJOH

GSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB

b. Selling interest rate futures

s 5IFCVZFSXJMMCFFOUJUMFEUPSFDFJWFGSPNUIFTFMMFSJOUIFFWFOUUIBUUIFhDVSSFOUvJOUFSFTUSBUFPOUIBUEBZ

JTIJHIFSUIBOUIFhBHSFFEvJOUFSFTUSBUFBOBNPVOUJO.FYJDBOQFTPTCZDPOUSBDUFRVBMUPUIFBNPVOU

SFTVMUJOHGSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB

s 5IF CVZFS XJMM CF PCMJHFE UP QBZ UIF TFMMFS JO UIF FWFOUUIBU UIF hBDUVBMvJOUFSFTU SBUFPO UIBU EBZ JT

MPXFSUIBOUIFhBHSFFEvJOUFSFTUSBUFBOBNPVOUJO.FYJDBOQFTPTGPSUIFDPOUSBDUFRVBMUPUIFBNPVOU

SFTVMUJOHGSPNNVMUJQMZJOHUIFhSFGFSFODFBNPVOUvCZGPSNVMB

5PSFEVDFSJTLPWFSUJNFEFSJWBUJWFTFYDIBOHFT.&9%&3QFSGPSNEBJMZTFUUMFNFOUhNBSHJODBMMTvXIFSFUIF

DPNQBSJTPOJTNBEFCFUXFFOUIFDMPTJOHSBUFPOBQBSUJDVMBSEBZBOEUIFDMPTJOHSBUFPOUIFQSFWJPVTEBZXIJMF

UIFDVTUPNFSNBJOUBJOTIJTGVUVSFTDPOUSBDU

5IFTVNPGUIFTFEBJMZNBSHJOTJTFRVBMUPUIFBNPVOUPGTFUUMFNFOUPONBUVSJUZDBMDVMBUFECBTFEPOUIFGPMMPXJOH

GPSNVMB

(1)

36000/

+ nr

fix

fixa

(2)

36000/

+ nr

fix

afix

8IFSF

BHSFFEJOUFSFTUSBUF

ŢJY

BDUVBMJOUFSFTUSBUFPGEBZ$&5&4PSEBZ5**&XIFSFBQQMJDBCMF

OQFSJPEPG$&5&4EBZTPS5**&EBZTXIFSFBQQMJDBCMF

Examples

5IFTFFYBNQMFTBSFVTFEJOUIF05$JOUFSFTUSBUFGVUVSFTNBSLFUBOENBZBMTPCFBQQMJDBCMFDPODFQUVBMMZGPS

.&9%&3DPOUSBDUT$MFBSJOHJTQFSGPSNFEEBJMZ

Buying interest rate futures

"OJOWFTUPSJTVODFSUBJOBCPVUIPXUPSFJOWFTUBTVSQMVTPG.9/JOWJFXPGUIFQPTTJCJMJUZPGBOJOUFSFTU

SBUFDVU)FUIFSFGPSFEFDJEFTUPBDRVJSFBGVUVSFTQVSDIBTFDPOUSBDUGPSEBZ$&5&4JOUIF.&9%&3NBUVSJOH

JOEBZTBUBOJOUFSFTUSBUFPG

5IFCBOLDIBSHFTUIFJOWFTUPSBDPNNJTTJPOGPSFOUFSJOHJOUPUIFGVUVSFTDPOUSBDU5IFDMFBSJOHIPVTF"4*(/"

BTLTUIFJOWFTUPSUPEFQPTJU.9/BTBOJOJUJBMNBSHJOJOPSEFSUPHVBSBOUFFDPWFSBHFPGUIFWBSJBUJPO



NBSHJOT



"TUIFDVTUPNFSFYQFDUFEXIFOUIFDPOUSBDUNBUVSFEJOUFSFTUSBUFTIBECFFODVU5IFXFJHIUFEJOUFSFTUSBUFPO

EBZ$&5&4JOQSJNBSZBVDUJPOXBTTPUIFJOWFTUPSSFDFJWFTDPNQFOTBUJPOGPSUIFSFEVDUJPOJOSFUVSO



5IFTFŢJHVSFTBTTVNFUIBUUIFSFJTOPHSFBUWPMBUJMJUZJOJOUFSFTUSBUFTBOEUIFSFGPSFBEEJUJPOBMNBSHJODBMMTBSFOPUSFRVJSFEEVSJOHUIFPQFSB

UJPOXIJDIXPVMEJNQMZIJHIFSDPTUPSIJHIFSQSPŢJU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

5IFQSFTFOUEJŇFSFODFCFUXFFOUIFJOUFSFTUHFOFSBUFECZ.9/BUUIFBHSFFESBUFPGBOEUIF

QVCMJTIFEEBZ$&5&4SBUFPGJTDBMDVMBUFEBTGPMMPXT

pesos45.488,1$MXN

3600

*50.71

36000

*)50.780.7(

*000,000,2 =









5IFDVTUPNFSXJMMUIFSFGPSFQVSDIBTF$&5&4BUCVUXJMMPCUBJOUIFIFEHFEJOUFSFTUSBUFPGBTGPMMPXT

Desired initial investment: MXN$ 2,000,000.00

(+) Compensation received in futures contract: MXN$ 1,488.44

(=) Total to be invested in 91-day CETES at 7.50%

36000

91*50.7

1*44.448,001'2

MXN$ 2,001,448.45

Future value of the investment:

360

000,000'2

56.392,039,2

MXN$ 2,039,392.56

Rate of return 7.8%

5IFDVTUPNFSSFDFJWFTUIFJOJUJBMNBSHJO.9/XIJDIIFEFQPTJUFEBUUIFPVUTFUPGUIFDPOUSBDUJO

PSEFSUPHVBSBOUFFDPWFSBHFPGWBSJBUJPONBSHJOTQMVTUIFJOUFSFTUHFOFSBUFEGSPNUIFDMFBSJOHIPVTF"4*(/"

XIFOUIFDPOUSBDUNBUVSFT5IFJOUFSFTUSBUFQBJECZUIFDMFBSJOHIPVTF"4*(/"XBTBOOVBMMZGPSUIFEBZT

PGUIFDPOUSBDUTEVSBUJPOTPUIBUUIFJOWFTUPSSFDFJWFTPONBUVSJUZ

78.027,10$MXN

360

25*%4

1*000,10 =

"TTIPXOQSFWJPVTMZUIFDVTUPNFSFOTVSFEJOBEWBODFBOJOUFSFTUSBUFPGBUEBZT)PXFWFSUIFPQQPTJUF

DPVMEIBQQFOOBNFMZBOJODSFBTFJOJOUFSFTUSBUFT*OUIJTDBTFUIFJOWFTUPSXJMMSFDFJWFBIJHIFSUIBOFYQFDUFE

SBUFPGSFUVSOPOIJTTBWJOHTCVUIFXJMMIBWFUPQBZUIFEJŇFSFODFGPSQVSDIBTJOHUIFGVUVSFPQUJPOUPPCUBJOUIF

BHSFFEJOUFSFTUSBUFPG)FXJMMUIVTPCUBJOUIFSFUVSOJOJUJBMMZFOWJTBHFEBOEXJMMOPUSFDFJWFBOZTVSQSJTFT

XJUISFTQFDUUPIJTPSJHJOBMQMBOT

Selling interest rate futures

" DPNQBOZ FYQFDUT JOUFSFTU SBUFT UP SJTF BOE UIFSFGPSF EFDJEFT UP EFUFSNJOF JO BEWBODF UIF DPTU PG B MPBO

BNPVOUJOHUP.9/GPSBQFSJPEPGEBZTXIJDIJUXJMMSFRVFTUJOEBZT*UUIFSFGPSFTFMMTEBZ

5**&GVUVSFTPOUIF.&9%&3XIJDINBUVSFJOEBZTBUBOJOUFSFTUSBUFPG

5IF DMFBSJOH IPVTF "4*(/" BTLT UIF DPNQBOZ UP EFQPTJU .9/  BT BO JOJUJBM NBSHJO JO PSEFS UP

HVBSBOUFFDPWFSBHFPGWBSJBUJPONBSHJOT

"TUIFDVTUPNFSFYQFDUFEXIFOUIFDPOUSBDUNBUVSFEJOUFSFTUSBUFTIBESJTFO5IF5**&JOUFSFTUSBUFBUEBZT

QVCMJTIFECZ#BOLPG.FYJDPPOUIFDPOUSBDUTNBUVSJUZEBUFXBTBOEUIFDPNQBOZUIFSFGPSFSFDFJWFT

DPNQFOTBUJPO GPS UIF JODSFBTF JO SFUVSO 5IF QSFTFOU EJŇFSFODF CFUXFFO UIF JOUFSFTU HFOFSBUFE CZ .9/

BUUIFQVCMJTIFE5**&PGBOEUIFBHSFFESBUFPGJTDBMDVMBUFEBTGPMMPXT

pesos45.205,1MXN$

3600

*40.81

3600

*)14.840.8(

*000,000,6 =









5IBU JT UP TBZ UIF DPNQBOZ XJMM QBZ JUT MPBO BU UIF OFX DVSSFOU JOUFSFTU SBUF  CVU XJMM SFDFJWF UIF

5IFTFŢJHVSFTBTTVNFUIBUUIFSFJTOPHSFBUWPMBUJMJUZJOJOUFSFTUSBUFTBOEUIFSFGPSFBEEJUJPOBMNBSHJODBMMTBSFOPUSFRVJSFEEVSJOHUIFPQFSBUJPO

XIJDIXPVMEJNQMZIJHIFSDPTUPSIJHIFSQSPŢJU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

BGPSFNFOUJPOFEDPNQFOTBUJPOFOBCMJOHJUUPSFEVDFUIFDPTUPGJUTŢJOBODJOHBOEPOMZEJTCVSTFUIFBNPVOUJOJUJBMMZ

BHSFFE*OPUIFSXPSETJUTDPTUXJMMCFPOMZUIFIFEHFEJOUFSFTUSBUFPGXIJDIXBTUIFSBUFJOJUJBMMZFOWJTBHFE

$BQJUBMJOUFSFTUQBZBCMFPOMPBONBUVSJUZBUNBSLFUSBUF

99.199,039'6$MXN

36000

28*40.81

*00.000,000,6 =

DPNQFOTBUJPOSFDFJWFEPOGVUVSFTDPOUSBDU.9/

5PUBMBNPVOUQBZBCMF.9/

$PTUPGŢJOBODJOHVTJOHFOTVSFESBUF5**&GVUVSF

%14.8

360

00.000,000,6

54.994,037,6

5IFDPNQBOZSFDFJWFTUIFJOJUJBMNBSHJO.9/XIJDIJUEFQPTJUFEBUUIFPVUTFUPGUIFDPOUSBDUJOPSEFS

UPHVBSBOUFFDPWFSBHFPGUIFWBSJBUJPONBSHJOTQMVTUIFJOUFSFTUHFOFSBUFEGSPNUIFDMFBSJOHIPVTF"4*(/"

XIFOUIFDPOUSBDUNBUVSFT5IFJOUFSFTUSBUFQBJECZ"4*(/"XBTGPSUIFEBZTPGUIFDPOUSBDUTEVSBUJPO

BOEPONBUVSJUZUIFDPNQBOZUIFSFGPSFSFDFJWFT

77.027,10$MXN

360

25*%4

1*000,10 =

"TTIPXOQSFWJPVTMZUIFDPNQBOZFOTVSFEJOBEWBODFBOJOUFSFTUSBUFPGBUEBZT)PXFWFSUIFPQQPTJUF

NJHIUIBWFIBQQFOFEOBNFMZBGBMMJOJOUFSFTUSBUFT*OUIJTDBTFUIFDPNQBOZXPVMEQBZPŇUIFMPBOBUBMPXFS

UIBOFYQFDUFESBUFCVUXPVMEIBWFUPQBZUIFEJŇFSFODFGPSUIFGVUVSFTQVSDIBTFJOPSEFSUPPCUBJOUIFSBUF

PSJHJOBMMZBHSFFE5IFSFBSFUIFSFGPSFOPTVSQSJTFTXJUISFTQFDUUPXIBUXBTJOJUJBMMZFOWJTBHFE

4.3.3. MBONO Futures: 3, 10 and 20-year (MEXDER)

Contract characteristics

Underlying security: - M3: 3Year Fixed Interest Rate Government Development Bonds (3-year

Bond)

- M10: 10Year Fixed Interest Rate Government Development Bonds (10-year

Bond)

- M20: 20Year Fixed Interest Rate Government Development Bonds (20-

year Bond)

Deliverable BONDS: Fixed Interest Rate Government Development Bonds, which throughout the

delivery period have a term of maturity of:

- M3: No less than 2 years (728 days) and no more than 3 years six months

(1,274 days).

- M10: No less than 7 years (2,730 days) and no more than 12 years (4,550

days).

- M20: No less than 17 years (6,188 days) and no more than 22 years (8,008

days).

- Physical delivery. Cheapest to deliver.

Contract size: 1,000 Bonds, equivalent to 100,000.00 MXN (one hundred thousand Mexican

pesos 00/100)

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Contract characteristics (Continues)

Delivery months: Quarterly cycle for up to 12 cycles (3 years)

Ticker symbol: - “M3” plus two letters for the maturity month and two last digits of the

maturity year; e.g., “M3 DC10” (for December 2010).

- “M10” plus two letters for the maturity month and two last digits of the

maturity year; e.g., “M10 JN10” (for June 2010).

- “M20” plus two letters for the maturity month and two last digits of the

maturity year; e.g., “M20 SP10” (for September 2010).

Quotation: Mexican pesos.

Minimum

luctuation (Tick):

0.025 MXN

Trading hours: 7:30 a.m. to 2:15 p.m. Mexico City time (GMT -06:00)

Last day of trading and

maturity date:

The last trading day will be the third business day before the date of maturity

of the series. The maturity date will be the last business day of the month of

maturity of the series.

Settlement day: In kind settlement according to the General Conditions for Futures Contracts.

Daily Settlement:

Initial margin: Amount that the customer must deposit with ASIGNA when executing the irst

order. The aim is to guarantee coverage of variation margins while positions

are open.

Maintenance margin: The minimum amount per contract that the customer must keep in the account

with ASIGNA for open positions.

Variation

margins:

Refers to the debits and credits that ASIGNA applies to the customer’s ac-

count to relect the daily gain and/or loss resulting from the daily revaluation

of contracts. “Margin calls” and “margin withdrawals” will take place relative

to maintenance margin.

Bloomberg

Tickers:

“MMDD <GO>” for MEXDER page, “MMDF <GO>” for MEXDER Future Contracts

“MAA <CMDTY> CT” for 3-year MBONO; “DWA <CMDTY> CT” for 10-year

MBONO; and “VYBA <CMDTY> CT” for 20-year MBONO

Further references: http://www.mexder.com.mx/MEX/home_ingles.html

Formula

5IFEBJMZTFUUMFNFOUQSJDFJTFTUJNBUFEXJUIUIF$&5&4ZJFMEDVSWFVTJOHUIFGPMMPXJOHGPSNVMBT









360

1)()(

rtPtF

8IFSF

'U1SJDFPGUIFCPOEGVUVSFDPOUSBDU

1U1SJDFPGUIFCPOEPOEBZU

3BUFPGZJFMEPO.FYJDBO5SFBTVSZ#JMMT$&5&4PCTFSWFEPOEBZUGPSUIFNBUVSJUZUFSNPGUIFGVUVSFTEFSJWFEGSPNUIF$&5&4ZJFMEDVSWF

TVQQMJFECZUIFQSJDFWFOEPS

.U/VNCFSPGEBZTUPNBUVSJUZPGUIFGVUVSFDPOUSBDU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

4FUUMFNFOUQSJDFBUNBUVSJUZEBJMZTFUUMFNFOUQSJDF9DPOWFSTJPOGBDUPSBDDSVFEJOUFSFTU

100/

–

1-s

rr 1r

182

factorConversion

182

1-s

8IFSF

7/'BDFWBMVFPGUIFCPOE

4/VNCFSPGDPVQPOTUPCFTFUUMFE

$$PVQPOWBMVF

S*OUFSFTUSBUFVTFEUPEJTDPVOUUIFŢMPXTUIBUNVTUCFTFUUMFE

E/VNCFSPGEBZTFMBQTFEPODVSSFOUDPVQPO

Examples

"OJOWFTUPSEFDJEFTUPQVSDIBTF.#0/0GVUVSFTDPOUSBDUT.#0/04QFSDPOUSBDUPO.&9%&3UIBU

XJMMNBUVSFJOEBZT5IFNJOJNVNJOJUJBMDPOUSJCVUJPOEFQPTJUFECZUIFJOWFTUPSJO"4*(/"JT.9/

.9/ QFS DPOUSBDU (JWFOUIJT TJUVBUJPO UIFSFBSF CPOET PO UIF NBSLFUUIBU NFFU UIF CPOE CBTLFU

DPOEJUJPOTCPOETXJUINBUVSJUJFTCFUXFFOBOEEBZT5IFNBSLFUEBUBJTBTGPMMPXT

MBono Futures

BOND 1 BOND 2 BOND 3 BOND 4

Coupon rate 9% 13.50% 10.50% 9.50%

Days to maturity 800 863 1038 1234

Return rate 6.80% 6.37% 6.53% 6.61%

Clean price MXN$104.4483 MXN$115.5989 MXN$110.2624 MXN$108.7214

Clean price at maturity MXN$103.76 MXN$114.1261 MXN$109.3253 MXN$107.9606

Conversion factor 0.947455 1.027802 0.966075 0.93432

Settlement price at maturity MXN$109.5145 MXN$111.0390 MXN$113.1644 MXN$115.5500

4PVSDF##7"3FTFBSDI.ÈYJDP

5IFGVOEJOHSBUFJOUIFNBSLFUJT(JWFOUIFTFNBSLFUDPOEJUJPOTUIFGVUVSFQSJDFJT.9/GPS#POE

XIJDIJTUIFDIFBQFTUUPEFMJWFS5IFGPMMPXJOHBSFUXPDPOUSBDUNBUVSJUZSBUFTDFOBSJPT

Scenario 1

5IFCPOETSFUVSOSBUFJODSFBTFTCZCBTJTQPJOUT5IFDBMDVMBUJPOTXPVMECFBTGPMMPXT

MBono Futures

BOND 1 BOND 2 BOND 3 BOND 4

Coupon rate 9% 13.50% 10.50% 9.50%

Days to maturity 729 792 967 1,163

Yield 7.80% 7.37% 7.53% 7.61%

Clean price MXN$102.2074 MXN$112.2122 MXN$107.0801 MXN$105.3018

Clean price on maturity MXN$102.1878 MXN$112.1961 MXN$107.0630 MXN$105.2840

Conversion factor 0.947455 1.027802 0.966075 0.93432

Settlement price on maturity MXN$107.8551 MXN$109.1612 MXN$110.8227 MXN$112.6852

4PVSDF##7"3FTFBSDI.ÈYJDP

5IF GVOEJOH SBUFJO UIF NBSLFU JT (JWFOUIFTF ŢJOBM DPOEJUJPOT UIF JOWFTUPS SFDFJWFT#POE  DIFBQFTU UP

EFMJWFSBOEXJMMUIFSFGPSFJODVSBMPTT5IFSFTVMUTBSFBTGPMMPXTũ.9/

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



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Mexico 2011

Scenario 2

5IFCPOETSFUVSOSBUFEFDSFBTFTCZCBTJTQPJOUT5IFDBMDVMBUJPOTXPVMECFBTGPMMPXT

MBono Futures

BOND 1 BOND 2 BOND 3 BOND 4

Coupon rate 9% 13.50% 10.50% 9.50%

Days to maturity 729 792 967 1,163

Yield 5.80% 5.37% 5.53% 5.61%

Clean price MXN$106.0306 MXN$116.6369 MXN$112.2319 MXN$111.3318

Clean price on maturity MXN$106.0043 MXN$116.6151 MXN$112.2085 MXN$111.3075

Conversion factor 0.947455 1.027802 0.966075 0.93432

Settlement price on maturity MXN$111.8832 MXN$113.4607 MXN$116.1489 MXN$119.1321

4PVSDF##7"3FTFBSDI.ÈYJDP

5IF GVOEJOH SBUFJO UIF NBSLFU JT  (JWFO UIFTF ŢJOBM DPOEJUJPOT UIF JOWFTUPSSFDFJWFT #POE  DIFBQFTU UP

EFMJWFSBOEXJMMUIFSFGPSFQPTUBHBJO5IFSFTVMUTBSFBTGPMMPXTũ.9/

*OUFSFTU3BUF4XBQ'VUVSFT

Description

5IFTFBSFGVUVSFTDPOUSBDUTPO .9/ UIBU QSPWJEFVTFSTXJUI B TUBOEBSEJTFEWFIJDMFJO .&9%&3 GPSIFEHJOH

ŢJOBODJBMDPTUT

5IFVOEFSMZJOHBTTFUPGUIFDPOUSBDUJTUIFJOUFSFTUSBUFTXBQUIBUFYDIBOHFTŢJYFESBUFQBZNFOUTGPSŢMPBUJOHSBUF

QBZNFOUTBUUFOPSTPGPSZFBSTBUUIFEBZ5**&DBMDVMBUFECZ#BODPEF.ÈYJDP5IFDPOUSBDUJTTFUUMFE

UISPVHIEFMJWFSZ

5IF5**&JTRVPUFECZUIF#BODPEF.ÈYJDPJOBDDPSEBODFXJUIBQSFEFUFSNJOFENFDIBOJTNUPSFŢMFDU.FYJDBO

NPOFZNBSLFUDPOEJUJPOTTFF#VMMFUJO5IFEBZ5**&JTUIFEPNFTUJDTIPSUUFSNJOUFSCBOLSFGFSFODF

SBUFJO.FYJDP

The sell of TIIE swap futures entails a

gain/loss to the issuer if swap rates rise/fall. The hedge position is

designed to oset issuer’s inancing costs in debt at maturity of each contract

Margin

funding

Floating

rate

Gain//loss

Sell swap

future

ISSUERINVESTOR MEXDER

4PVSDF##7"3FTFBSDI.ÈYJDP

5IFCFOFŢJUTPGUIFTFDPOUSBDUTGPSUIFJOWFTUPSBSF4UBOEBSEJTBUJPOXIJDIJODSFBTFTMJRVJEJUZ5IF&MFDUSPOJD

5SBEJOH4ZTUFNHVBSBOUFFTUSBOTQBSFODZ5IFDMFBSJOHIPVTF"4*(/"XJUIUIFIJHIFTUSBUJOHCZUIFMFBEJOH

SBUJOHBHFODJFTWJSUVBMMZFMJNJOBUFTDPVOUFSQBSUZSJTL

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

4.4.1. 2-year and 10-year TIIE Swap Future (Exchange Mexder)

Contract characteristics

Contract size: 1,000,000 MXN (One million Mexican pesos 00/100)

Delivery Months: Monthly or quarterly cycle for up to one year

Ticker symbol

(Swap settlement):

Two digits for the year (“02”/“10” for 2/10-year TIIE) plus two digits for

the exact maturity day of the month (e.g. “27”); plus two letters for the

maturity month (EN, FB, MR, AB, MY, JN, JL, AG, SP, OC, NV, DC) and the

last two digits of the maturity year (e.g. 1027FB09 for 10-year TIIE Swap

Future with a maturity date of February 27, 2009)

Quotation: Future Rate of annualised Swap level, expressed in percentage points to

three decimal places

Minimum price

luctuation (Tick):

One half of a basis point, i.e. 0.005 of the annual percentage rate

Futures Contract Tick Value: The tick value of the Swap Futures Contract is calculated as the change

in the price of the 2 or 10-year Swap Futures Contract

Trading Platform: MEXDER’s Electronic Trading System

Trading Hours: Trading hours between 7:30 am - 2:15 p.m., Mexico City time (GMT -06:00)

Last day of trading

and maturity date:

The next business day before the primary auction of government

securities on the third Wednesday of the maturity month

Settlement day: Next business day after maturity date

Delivery Method: Cash settlement // Centrally Cleared Swaps

Daily Settlement: Clearing member and clearing house (ASIGNA) must carry out the

daily settlement of their clients’ obligations and this settlement shall

incorporate, proits and losses, update of Margins (Clearing Fund),

accrued interests, and any fees incurred

Position limits: The maximum number of Open Contracts in one Class that a Client may

hold is established by MEXDER and the clearing house, and published

through the Derivatives Market Indicators Bulletin. Clients may open

new positions in excess, in order to hedge risks The maximum number

of Open Contracts in one Class that a Client may hold is established by

MEXDER and the clearing house, and published through the Derivatives

Market Indicators Bulletin. Clients may open new positions in excess, in

order to hedge risks

Bloomberg Tickers: “MMDD <GO>” for MEXDER page, “MMDF <GO>” for MEXDER Future

Contracts.

Further references: http://www.mexder.com.mx/MEX/home_ingles.html

Formulas

PPVp <=

8IFSF

7Q7BMVFPGUIFUJDLSPVOEFEUPUXPEFDJNBMQPJOUT7BSJBCMFEFQFOEBOUPOUIFBOOVBMZJFMESBUFPGUIF4XBQ'VUVSFTUSBEFEPO.&9%&3

1Z15IFQSJDFTPG4XBQ'VUVSFT$POUSBDUTDBMDVMBUFEXJUIBIBMGCBTJTQPJOUJOUFSWBMJOUIFSBUF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

5IF1SJDFPGUIF4XBQ'VUVSF$POUSBDUJTDBMDVMBUFEVTJOHUIFGPMMPXJOHGPSNVMB

+−+=

36000

*1*1*VNPn

− δ

8IFSF

bGPSZFBS4XBQBOEGPSZFBS4XBQ

1/1SJDFPGUIF4XBQ'VUVSFT$POUSBDUSPVOEFEUPEFDJNBMQMBDFT

7/'BDF7BMVFPGUIF4XBQ'VUVSFT$POUSBDU

5G'JYFE3BUFQVCMJTIFECZ.&9%&3JOJUTCVMMFUJOUPEFDJNBMQMBDFT

S'VUVSF3BUFPGBOOVBMJTFEZJFMEPGUIFZFBSPSZFBS4XBQEFQFOEJOHPOUIFDPOUSBDUBUUIFNBUVSJUZUFSNPGUIF'VUVSFTDPOUSBDUFYQSFT

TFEJOQFSDFOUBHFUFSNTBOESPVOEFEUPUIFOFBSFTUUJDL5SBEF3BUF%BJMZ4FUUMFNFOU3BUFPS4FUUMFNFOU3BUFBU.BUVSJUZBTUIFDBTFNBZCF

5IFGSBDUJPO5

SJTUSVODBUFEUPEFDJNBMQMBDFT

5IFUJNFGBDUPS'5PCUBJOFEGSPNUPNBLFUIFSBUFBQFSDFOUBHFJTUSVODBUFEUPEFDJNBMQMBDFT'5



5IFFYQSFTTJPOS'5

?

"JTUSVODBUFEUPEFDJNBMQMBDFT

4JNJMBSMZUIFFYQSFTTJPO5

S#JTUSVODBUFEUPEFDJNBMQMBDFT

5IFQSPEVDUPG"Y#JTUSVODBUFEUPEFDJNBMQMBDFT

*OUFSFTUSBUFWPMBUJMJUJFT

4.5.1. Swaption TIIE (OTC)

Description:

"&VSPQFBOTXBQUJPOJTBOPQUJPOPOB5**&TXBQXIJDIHSBOUTUIFCVZFSMPOHQPTJUJPOUIFSJHIUCVUOPUUIF

PCMJHBUJPOUPFOUFSJOUPB5**&TXBQBUBGVUVSFEBUFFYFSDJTFEBUFJOFYDIBOHFGPSUIFQBZNFOUPGBQSFNJVNUP

UIFTFMMFSTIPSUQPTJUJPO5IJTLJOEPGPQUJPOJTUSBEFE05$PWFSUIFDPVOUFSJFEJSFDUMZCFUXFFODPVOUFSQBSUJFT

TJODFUIFZBSFDPOUSBDUTUBJMPSFEUPDVTUPNFSTSFRVJSFNFOUT

5IFSFBSFUXPNBJOLJOETPGTXBQUJPOT

s 1BZFSTXBQUJPOTXIJDIHJWFUIFCVZFSUIFSJHIUUPFOUFSJOUPBOJOUFSFTUSBUFTXBQXIFSFUIFZQBZUIFŢJYFE

SBUFQBZFSBOESFDFJWFUIFŢMPBUJOHSBUF)PMEFSTPGQBZFSTXBQUJPOTFOUFSJOUPUIFVOEFSMZJOHTXBQXIFOUIF

QSFWBJMJOHQBSTXBQSBUFBUUIFNBUVSJUZPGUIFPQUJPOJTBCPWFUIFQSFEFŢJOFESBUFTUSJLF

s 3FDFJWFSTXBQUJPOTXIJDIBMMPXUIFCVZFSUPFOUFSJOUPBOJOUFSFTUSBUFTXBQXIFSFUIFZSFDFJWFUIFŢJYFESBUF

BOEQBZUIFŢMPBUJOHSBUF)PMEFSTPGSFDFJWFSTXBQUJPOTFOUFSJOUPUIFVOEFSMZJOHTXBQJGUIFQSFWBJMJOHQBS

TXBQSBUFBUUIFNBUVSJUZPGUIFPQUJPOJTMPXFSUIBOUIFQSFEFŢJOFESBUFTUSJLF

General Characteristics

Payer swaption

Swaption seller BBVA or the client

Swaption Buyer The client or BBVA

Option Style European

Premium % of the notional amount expressed in basis points

Premium Payment Date To Be Deined

Swaption Exercise Date To Be Deined

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Contract characteristics (Continues)

Settlement Swap delivery: If the buyer exercises their option, both parties enter

into the underlying swap.

Cash: If the buyer exercises their option, two business days after the

exercise date, they will receive the market price of the underlying

swap on the exercise date.

Underlying Swap

Notional Amount To Be Deined

Swap Eective Date To Be Deined

Swap Maturity Date To Be Deined

Business Day Convention Modiied following

Short position pays 28-day TIIE

Short position Payment Dates 28 days

Short position Daycount Act/360

Long position pays MXN Fixed rate (strike) To Be Deined

Long position Payment Dates 28 days

Long position Day Count Act/360

Calculation Agent BBVA

Receiver swaption

Swaption seller BBVA or the client

Swaption Buyer The client or BBVA

Option Style European

Premium % of the notional amount expressed in basis points

Premium Payment Date To Be Deined

Swaption Exercise Date To Be Deined

Settlement Swap Delivery: If the buyer exercises their option, both parties enter

into the underlying swap.

Cash: If the buyer exercises their option, two business days after the

exercise date they will receive the market value of the underlying swap

on the exercise date.

Underlying Swap

Notional Amount To Be Deined

Eective Date To Be Deined

Maturity Date To Be Deined

Business Day Convention Modiied following

Short position pays MXN Fixed rate (strike) To Be Deined

Short position Payment Dates 28 days

Short position Day Count Act/360

Long position pays 28d TIIE

Long position Payment Dates 28 days

Long position Day Count Act/360

Calculation Agent BBVA

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Example

"DMJFOUXIPQBZTE5**&POBMPBOXBOUTUPTXBQUIJTMJBCJMJUZGPSBŢJYFESBUFJOTUSVNFOU)PXFWFSUIFDMJFOU

JTXPSSJFEUIBUJOUIFOFYUNPOUIUIF5**&XJMMGBMM5IFSFGPSFUIFDMJFOUDBOCVZBQBZFSTXBQUJPOUIBUXPVMEHJWF

UIFNUIFSJHIUUPTXBQUPBŢJYFESBUFJOBNPOUITUJNF*OBNPOUIJGUIF5**&IBTSJTFOJOUIFNBSLFUUIFDMJFOUXJMM

FYFSDJTFUIFTXBQUJPOPUIFSXJTFUIFZXJMMOPUFYFSDJTFUIFTXBQUJPO

4.5.2. Caps/Floors TIIE (OTC)

$BQTDBMMPQUJPOTBSFDPOUSBDUTCFUXFFOUXPQBSUJFTXIFSFCZUIFTFMMFSTIPSUQPTJUJPOBHSFFTUPQBZUIFCVZFS

MPOHQPTJUJPOBUTQFDJŢJDUJNFQFSJPETUIFEJŇFSFODFCFUXFFOUIFE5**&BOEBTQFDJŢJFEMFWFMTUSJLFSBUFPWFS

UIFPVUTUBOEJOHOPUJPOBMGPSUIFDPSSFTQPOEJOHZFBSGSBDUJPOSFMBUFEUPUIFQFSJPEJOFYDIBOHFGPSBOVQGSPOU

QSFNJVN

Cap TIIE Flows

Max (TIIE-Strike, 0)

Client Cap provider

Cap Premium payment

4PVSDF##7"3FTFBSDI.ÈYJDP

'MPPSTQVUPQUJPOBSFBHSFFNFOUTXIFSFCZUIFTFMMFSBHSFFTUPQBZUIFCVZFSXIFOUIFSFGFSFODFSBUFGBMMTCFMPX

UIFTUSJLFSBUF"CVZFSŢMPPSIFEHFTBHBJOTUBGBMMJOUIFSFGFSFODFSBUFGPSBTQFDJŢJFEQFSJPE

Floor TIIE Flows

Client Floor provider

Max (Strike - TIIE, 0)

Floor Premium payment

4PVSDF##7"3FTFBSDI.ÈYJDP

$BQTBOEŢMPPSTBSFUSBOTBDUFE05$BOEDBOCFDPNCJOFEUPDSFBUFDPMMBSTTJNVMUBOFPVTMZCVZJOHB5**&DBQBOE

TFMMJOHB5**&ŢMPPSJFCVZJOHBDPMMBSPSTFMMJOHB5**&DBQBOECVZJOHB5**&ŢMPPSJFTFMMJOHBDPMMBS"OPUIFS

QPQVMBSDPNCJOBUJPOJTBTUSBEEMFMPOHTUSBEEMFCVZDBQBOEŢMPPSXJUIUIFTBNFTUSJLFTIPSUTUSBEEMFTFMMDBQ

BOEŢMPPSXJUIUIFTBNFTUSJLF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

General Characteristics

Notional Amount To Be Deined

Eective Date To Be Deined

Maturity Date To Be Deined

Business Day Convention Modiied following

Option Cap Floor

Premium Payer Cap buyer Floor buyer

Premium % of the notional amount

expressed in basis points

% of the notional amount

expressed in basis points

Floating Amounts

Premium Payment Date Eective Date Eective Date

Payo Max(0%,Index-Cap Strike)

*Notional*(# of days/360)

Max(Floor Strike – Index,0%)

*Notional*(# of days/360)

Strike X% To Be Deined

Index 28d TIIE

Payment Dates 28 days

Day Count Act/360

Calculation Agent BBVA

Example

$MJFOUh$vCVZTB$BQGSPN##7"CBTFEPOUIFEBZ5**&XJUIBTUSJLFPGPOBOPUJPOBMBNPVOUPG.9/NO

5IFDPOUSBDUJTGPSŢJWFZFBST6OEFSUIJTBHSFFNFOUFWFSZEBZTGPSUIFOFYUŢJWFZFBST##7"XJMMQBZ$XIFOFWFS

UIFE5**&FYDFFET'PSJOTUBODFJGEBZTGSPNOPXUIFEBZT5**&JT##7"XJMMQBZ$

()

155,555.56=

360

0100,000,005%-7%

)PXFWFSJGUIFEBZT5**&JTPSMPXFS##7"EPFTOPUIBWFUPQBZBOZUIJOHUP$

'PSŢMPPSDPOUSBDUTBTTVNJOHUIFTBNFUFSNTBTUIPTFGPSUIFDBQDPOUSBDUJGUIFE5**&JT##7"EPFTOPU

IBWFUPQBZBOZUIJOHUP$)PXFWFSBTTVNJOHUIFEBZT5**&JT$XJMMSFDFJWFUIFGPMMPXJOH

()

77,777.78=

360

0100,000,004%-5%

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

&RVJUZ.FYJDBO4UPDL&YDIBOHF

4IBSFTBSFMJTUFEPOUIF#PMTB.FYJDBOBEF7BMPSFT#.7PS.FYJDBO4UPDL&YDIBOHF5IF.FYJDBOFRVJUZNBSLFU

JTDPNQPTFEPGMPDBMTIBSFTGPSFJHOMJTUFETIBSFTTUPDLTUSBEFEPOUIF4*$*OUFSOBUJPOBM2VPUJOH4ZTUFNBOE

USBDLFSTXJUIFRVJUZBOEŢJYFEJODPNFVOEFSMZJOHBTTFUT

Mexican Stock Exchange

Issuers

Domestic (Fully Listed) 134

“Sociedad Anónima Promotora de Inversión Bursátil”

(SAPIB)

Foreign 5

SIC 572

Trackers 14

4PVSDF##7"3FTFBSDI.ÈYJDP

5IFTFDUPSCSFBLEPXOTGPSUIFEPNFTUJDNBSLFUBOEUIF*1$UIFNPTUSFQSFTFOUBUJWFJOEFYBSFUIFGPMMPXJOH

Domestic market breakdowns

(% of market capitalization)

Most representative index, IPC breakdown (%

of market capitalization)

Basic Materials

9.1%

Consumer

Goods

18.0%

Consumer

Services

21.1%

Telecommunications

35.2%

Financials

Health Care, 0.5%

Industrials

6.9%

9.1%

Basic Materials

Consumer

Goods

Consumer

Services

Telecommunications

Financials

Industrials

10.3%

15.8%

22.0%

29.8%

13.9%

8.2%

4PVSDF##7"3FTFBSDI.ÈYJDP 4PVSDF##7"3FTFBSDI.ÈYJDP

5IF#.7IBTBNBSLFUDBQJUBMJ[BUJPOPGBSPVOECJMMJPO64%XIJMFUIF*1$TNBSLFUDBQJUBMJ[BUJPOJTBSPVOEB

UIJSEPGUIJTŢJHVSF8IFSFBTUIFNBSLFUDBQJUBMJ[BUJPOPGUIFTIBSFTMJTUFEPOUIF*1$BDDPVOUTGPSBCJUNPSFUIBO

PGUIF.FYJDBONBSLFUUIFJOEFYJODMVEFTPOMZUIFŢMPBUFETIBSFTPGUIFTFSJFTMJTUFEPOUIFJOEFY

$VTUPNFS&YFDVUJPO4FSWJDFTBOE.BSLFU.BLJOH

5IFNBJOTFSWJDFTBWBJMBCMFJOUIF.FYJDPFRVJUZNBSLFUBSFJJOUFSNTPGTUPDLTMJTUFEPOUIF#.7DVTUPNFS

FYFDVUJPOBOENBSLFUNBLJOHTFSWJDFTGPSUIFNPTUMJRVJETUPDLTJJJOUFSNTPGTIBSFTMJTUFEPOUIF4*$DVTUPNFS

FYFDVUJPO TFSWJDFT BOE JJJ JO UFSNT PG &YDIBOHF5SBEFE 'VOET &5' GPS /BGUSBD .FYUSBD BOE #SUSBD ##7"

#BODPNFSJTUIFTQPOTPSPGUIFMBUUFSUXP&5'TGPSXIJDIJUQSPWJEFTNBSLFUNBLJOHTFSWJDFT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



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Mexico 2011

5.1.1. Stocks Highlights (MSE)

Stocks: Brief description

Name Generals Company Description

ALFA, S.A.B. DE C.V. Ticker BMV: ALFA

Bloomberg: ALFAA MM

Reuters: ALFAA.MX

Web: www.alfa.com.mx

ALFA is a Mexican company made up of four business groups: Alpek (petrochemi-

cals), Nemak (aluminium auto parts), Sigma (refrigerated foods), and Alestra

(telecommunications). Internationally, Alfa is a leading manufacturer of aluminium

engine heads and monoblocks. It is one of the world’s leading producers of PTA, a

petrochemical product, and has a privileged market position in other petrochemi-

cals in Mexico.

ALSEA, S.A.B. DE C.V. Ticker BMV: ALSEA

Bloomberg: ALSEA* MM

Reuters: ALSEA.MX

Web: www.alsea.com.mx

ALSEA is a leading developer and operator of fast-food restaurants, with brands

of proven success. In Mexico and Brazil, it operates Domino’s Pizza, and in Mexico,

Starbucks Coee, El Pan Caliente, and Burger King.

AMERICA MOVIL, S.A.B.

DE C.V.

Ticker BMV: AMX

Bloomberg: AMXL MM

Reuters: AMXL.MX

Web: www.americamovil.com

AMX provides national and international telecommunication services to residen-

tial and commercial customers, through a wide range of activities.

CONSORCIO ARA, S.A.B.

DE C.V.

Ticker BMV: ARA

Bloomberg: ARA* MM

Reuters: ARA.MX

Web: www.consorcioara.com.mx

ARA has extensive experience in the construction of entry-level, middle-income,

upper-income and tourist homes, and continues to position itself as a leading irm,

with enviable inancial strength. It has been recognised by the Mexican Stock

Exchange and has built more than 150,000 homes to date.

EMBOTELLADORAS

ARCA, S.A.B. DE C.V.

Ticker BMV: ARCA

Bloomberg: ARCA* MM

Reuters: ARCA.MX

Web: www.e-arca.com.mx

ARCA is a holding company whose main subsidiaries are engaged in the produc-

tion and sale of carbonated and non-carbonated soft drinks. Arca was created in

2001 through the integration of three of Mexico’s oldest bottling groups, and has

become the second largest bottler of Coca-Cola Products in Mexico and Latin

America.

GRUPO

AEROPORTUARIO DEL

SURESTE, S.A.B. DE C.V.

Ticker BMV: ASUR

Bloomberg: ASURB MM

Reuters: ASURB.MX

Web: www.asur.com.mx

Manages and operates airports and supplies airports with complementary and

commercial services, and builds and/or exploits civil air landing ields under the

terms of the Airport Law.

COMPAÑIA MINERA

AUTLAN, S.A.B.

DE C.V.

Ticker BMV: AUTLAN

Bloomberg: AUTLANB MM

Reuters: AUTLANB.MX

Web: www.autlan.com.mx

AUTLAN produces and sells various kinds of manganese minerals and ferroalloys.

AXTEL, S.A.B. DE C.V. Ticker BMV: AXTEL

Bloomberg: AXTELCPO MM

Reuters: AXTELCPO.MX

Web: www.axtel.com.mx

AXTEL is a company that supplies telecommunication services.

GRUPO BIMBO, S.A.B.

DE C.V.

Ticker BMV: BIMBO

Bloomberg: BIMBOA MM

Reuters: BIMBOA.MX

Web: www.grupobimbo.com

BIMBO owns companies engaged in the preparation and distribution of food

products.

CEMEX, S.A.B.

DE C.V.

Ticker BMV: CEMEX

Bloomberg: CEMEXCP MM

Reuters: CEMEXCPO.MX

Web: www.cemex.com

CEMEX is a global construction industry solutions provider that oers high-quality

products and reliable services to clients and communities in four continents.

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Stocks: Brief description (Continues)

Name Generals Company Description

CORPORACION MOCT-

EZUMA,

S.A.B. DE C.V.

Ticker BMV: CMOCTEZ

Bloomberg:

Reuters: CMOCTEZ.MX

Web: www.cmoctezuma.com.mx

CMOCTEZ is a controlling company whose subsidiaries specialise in the produc-

tion, transportation and pumping of read-mix concrete.

CONTROLADORA COM-

ERCIAL

MEXICANA,

S.A.B. DE C.V.

Ticker BMV: COMERCI

Bloomberg: COMERUBC MM

Reuters: COMERCIUBC.MX

Web: www.comerci.com.mx

COMERCI is a holding company of irms engaged primarily in the operation of

supermarkets selling a wide variety of merchandise, and in restaurant operations.

GRUPO

CONTINENTAL, S.A.B.

Ticker BMV: CONTAL

Bloomberg: CONTAL* MM

Reuters: CONTAL.MX

Web: www.contal.com

CONTAL is a holding company of subsidiaries involved in a variety of areas, pri-

marily the bottling of Coca-Cola products.

CYDSA, S.A.B. DE C.V. Ticker BMV: CYDSASA

Bloomberg: CYDSASAA MM

Reuters: CYDSASAA.MX

Web: www.cydsa.com.mx

CYDSASA, a holding company of industrial, commercial and service companies

operating in a variety of areas.

GRUPO ELEKTRA, S.A.

DE C.V.

Ticker BMV: ELEKTRA

Bloomberg: ELEKTRA* MM

Reuters: ELEKTRA.MX

Web: www.elektra.com.mx

ELEKTRA is a holding and real-estate company engaged in the acquisition,

management, and leasing of property to Salinas y Rocha, S.A., for its commercial

operation.

FOMENTO

ECONOMICO

MEXICANO,

S.A.B. DE C.V.

Ticker BMV: FEMSA

Bloomberg: FEMSAUBD MM

Reuters: FEMSAUBD.MX

Web: www.femsa.com

FEMSA makes, distributes, and sells soft drinks and beer, and also owns the largest

convenience store chain in Mexico.

GRUPO

AEROPORTUARIO DEL

PACIFICO,

S.A.B. DE C.V.

Ticker BMV: GAP

Bloomberg: GAPB MM

Reuters: GAPB.MX

Web: www.aeropuertosgap.com.mx

GAP supplies airport services through the twelve airports the company operates

in the Paciic region.

GRUPO CARSO, S.A.B.

DE C.V.

Ticker BMV: GCARSO

Bloomberg: GCARSOA1 MM

Reuters: GCARSOA1.MX

Web: www.gcarso.com.mx

GCARSO is a conglomerate that owns subsidiaries engaged in various areas of

economic activity.

GRUPO CEMENTOS DE

CHIHUAHUA, S.A.B. DE

C .V.

Ticker BMV: GCC

Bloomberg: GCC* MM

Reuters: GCC.MX

Web: www.gcc.com

GCC is a leading producer and seller of cement, ready-mix, aggregates, and ser-

vices relating to the construction industry in Mexico and the United States, and it

has a signiicant stake in the Bolivian cement market leader.

CORPORACION GEO,

S.A.B. DE C.V.

Ticker BMV: GEO

Bloomberg: GEOB MM

Reuters: GEOB.MX

Web: www.casasgeo.com

GEO designs, develops, builds, and sells housing units.

GRUPO FAMSA, S.A.B.

DE C.V.

Ticker BMV: GFAMSA

Bloomberg: GFAMSAA MM

Reuters: GFAMSAA.MX

Web: www.grupofamsa.com

GFAMSA sells domestic and imported household appliances, furniture, and cloth-

ing, in Mexico.

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Stocks: Brief description (Continues)

Name Generals Company Description

GRUPO FINANCIERO

INBURSA, S.A.B. DE C.V.

Ticker BMV: GFINBUR

Bloomberg: GFINBURO MM

Reuters: GFINBURO.MX

Web: www.inbursa.com

GFINBUR is a pure holding company of stock in companies that supply inancial

services.

GRUPO FINANCIERO

BANORTE, S.A.B. DE C.V.

Ticker BMV: GFNORTE

Bloomberg: GFNORTEO MM

Reuters: GFNORTEO.MX

Web: www.banorte.com

GFNORTE is a holding company of irms that provide inancial services.

GRUPO MEXICO, S.A.B.

DE C.V.

Ticker BMV: GMEXICO

Bloomberg: GMEXICOB MM

Reuters: GMEXICOB.MX

Web: www.gmexico.com

GMEXICO is a mining company engaged in the processing of copper, zinc, silver,

gold, lead, and molybdenum.

GRUPO MODELO, S.A.B.

DE C.V.

Ticker BMV: GMODELO

Bloomberg: GMODELOC MM

Reuters: GMODELOC.MX

Web: www.gmodelo.com.mx

GMODELO is a leader in the production, distribution, and sale of beer in Mexico.

GRUMA, S.A.B. DE C.V. Ticker BMV: GRUMA

Bloomberg: GRUMAB MM

Reuters: GRUMAB.MX

Web: www.gruma.com

GRUMA, S.A. de C.V., is the world´s largest producer of corn and lour tortillas.

GRUPO HERDEZ, S.A.B.

DE C.V.

Ticker BMV: HERDEZ

Bloomberg:

Reuters: HERDEZ.MX

Web: www.grupoherdez.com.mx

Herdez is a company that processes food products

CONSORCIO

HOGAR, S.A.B.

DE C.V.

Ticker BMV: HOGAR

Bloomberg: HOGARB MM

Reuters: HOGARB.MX

Web: www.hogar.com.mx

HOGAR is a company that develops and promotes real-estate projects, with more

than 13 years of experience in the industry. Hogar’s objective is to create highly

competitive real-estate investment alternatives for its clients.

DESARROLLADORA

HOMEX, S.A.B.

DE C.V.

Ticker BMV: HOMEX

Bloomberg: HOMEX* MM

Reuters: HOMEX.MX

Web: www.homex.com.mx

HOMEX is a housing developer.

EMPRESAS ICA, S.A.B.

DE C.V.

Ticker BMV: ICA

Bloomberg: ICA* MM

Reuters: ICA.MX

Web: www.ica.com.mx

ICA is a holding company of irms engaged in heavy construction, industrial and

urban construction, and various engineering and service projects.

INDUSTRIAS CH, S.A.B.

DE C.V.

Ticker BMV: ICH

Bloomberg: ICHB MM

Reuters: ICHB.MX

Web: www.industriasch.com.mx

ICH is a Mexican company engaged in the production of steel, with plants in

Mexico, the United States, and Canada. Its main product lines are specialty steels,

welded pipe, commercial proiles, structural proiles, and rebar.

KIMBERLY - CLARK DE

MEXICO, S.A.B. DE C.V.

Ticker BMV: KIMBER

Bloomberg: KIMBERA MM

Reuters: KIMBERA.MX

Web: www.kimberly-clark.com.mx

KIMBER is engaged in the manufacturing and marketing of consumer products for

personal health care and institutions.

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Stocks: Brief description (Continues)

Name Generals Company Description

COCACOLA FEMSA,

S.A.B. DE C.V.

Ticker BMV: KOF

Bloomberg: KOFL MM

Reuters: KOFL.MX

Web: www.coca-cola-femsa.com.mx

KOF is a holding company that owns shares in the operating companies of Grupo

Femsa’s soft drink division.

MAXCOM TELECOMUNI-

CACIONES, S.A.B. DE C.V.

Ticker BMV: MAXCOM

Bloomberg: MAXCOMCPO MM

Reuters: MXCMCPO.MX

Web: http://www.maxcom.com/

Maxcom is a telecommunication irm that supplies local, long- distance, voice over

IP, public telephone, data, Internet, pay TV over IP, administrative, and mobile tele-

phony services, through state-of- the-art technology to create solutions designed

to exceed the speciic needs of its customers and provide them greater beneits.

MEGACABLE

HOLDINGS, S.A.B. DE C.V.

Ticker BMV: MEGA

Bloomberg: MEGACPO MM

Reuters: MEGACPO.MX

Web: www.megacable.com.mx

Mega is a holding company that controls companies engaged in activities relating

to cable television services.

MEXICHEM, S.A.B. DE

C .V.

Ticker BMV: MEXCHEM

Bloomberg: MEXCHEM* MM

Reuters: MEXCHEM.MX

Web: www.mexichem.com.mx

MEXCHEM is a company engaged in the production of chemical products, petro-

chemicals, and hydroluoric acid and the extraction of luorite.

GRUPO AEROPORTU-

ARIO DEL CENTRO

NORTE, SAB DE CV

Ticker BMV: OMA

Bloomberg: OMAB MM

Reuters: OMAB.MX

Web: www.oma.aero

OMA operates and administers 13 international airports in nine states of central

and northern Mexico, located in the cities of Monterrey (Mexico’s third largest

metropolitan area); Acapulco, Mazatlan, and Zihuatanejo, which are major tourist

destinations, and nine other regional centres and border cities.

INDUSTRIAS

PEÑOLES, S.A.B. DE C.V.

Ticker BMV: PE&OLES

Bloomberg: PE&OLES* MM

Reuters: PENOLES.MX

Web: www.penoles.com.mx

PEÑOLES is a holding company of subsidiaries engaged in the mining, foundry,

reinery, and manufacture of non-ferrous metals and the manufacture of chemical

products and refractory products.

SARE HOLDING, S.A.B.

DE C.V.

Ticker BMV: SARE

Bloomberg: SARE MM

Reuters: SAREB.MX

Web: www.sare.com.mx

SARE is engaged in the development, promotion, design, construction, and sale of

entry-level, low-, middle-, upper-income and tourist homes, and also supplies other

real-estate services. The company has a leadership position in market niches like

middle- and upper-income housing in Mexico City. It currently has a presence in

10 states of Mexico. SARE owns capital stock in subsidiaries that promote housing

for entry-level, middle- and upper-income homes, as well as the provision of real-

estate services.

GRUPO SIMEC, S.A.B.

DE C.V.

Ticker BMV: SIMEC

Bloomberg: SIMECB MM

Reuters: SIMECB.MX

Web: www.simec.com.mx

SIMEC is a Mexican company engaged in the production of steel, with plants in

Mexico, the United States, and Canada.

ORGANIZACION SORI-

ANA, S.A.B.

DE C.V.

Ticker BMV: SORIANA

Bloomberg: SORIANAB MM

Reuters: SORIANAB.MX

Web: www.soriana.com

SORIANA is a company engaged in the sale of basic articles like groceries, clothing,

and house wares, through supermarket formats.

CARSO GLOBAL TELE-

COM, S.A.B.

DE C.V.

Ticker BMV: TELECOM

Bloomberg: TELECOA1 MM

Reuters: TELECOMA1.MX

Web: www.cgtelecom.com.mx

TELECOM is a holding company of irms whose economic activities are related to

the telecommunication industry.

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

Stocks: Brief description (Continues)

Name Generals Company Description

TELEFONOS DE MEXICO,

S.A.B.

DE C.V.

Ticker BMV: TELMEX

Bloomberg: TELMEXL MM

Reuters: TELMEXL.MX

Web: www.telmex.com.mx

TELMEX is a leader in the Mexican telecommunication industry. Telmex and its

subsidiaries oer a wide range of communication, data and video transmission,

and Internet services, and comprehensive telecommunication services to corpo-

rate clients.

GRUPO TELEVISA, S.A. Ticker BMV: TLEVISA

Bloomberg: TLEVICPO MM

Reuters: TLEVISACPO.MX

Web: www.televisa.com.mx

TLEVISA is the world´s largest Spanish-speaking media company. Through its

subsidiaries and joint ventures, it produces and transmits television programs for

the domestic and international market, and develops and operates direct-to-home

television services via satellite.

TV AZTECA, S.A.

DE C.V.

Ticker BMV: TVAZTCA

Bloomberg: TVAZTCPO MM

Reuters: TVAZTCACPO.MX

Web: www.tvazteca.com.mx

TVAZTCA is a company engaged in the production of programming for transmis-

sion through its own networks, as well as its sale on the domestic market, and the

sale of advertising time.

URBI DESARROLLOS

URBANOS, S.A.B.

DE C.V.

Ticker BMV: URBI

Bloomberg: URBI* MM

Reuters: URBI.MX

Web: www.urbi.com

URBI is a company engaged in the construction, promotion, and sale of housing.

VITRO, S.A.B. DE C.V. Ticker BMV: VITRO

Bloomberg: VITROA MM

Reuters: VITROA.MX

Web: www.vitro.com

VITRO is a holding company of irms in a variety of areas, primarily the glass

business.

WALMART DE

MEXICO, S.A.B.

DE C.V.

Ticker BMV: WALMEX

Bloomberg: WALMEXV MM

Reuters: WALMEXV.MX

Web: www.walmartmexico.com.mx

WALMEX is a company that controls discount and clothing stores chains and

restaurants.

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Naftrac

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restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"

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Mexico 2011

Mextrac

##7"ũ#BODPNFSJTUIFTQPOTPSPG.FYUSBD&5'T

MEXTRAC: General Characteristics

BMV Ticker MEXTRAC

First Day of Trading Dec-2909

Expense (%) 0.25%

ISIN MX1BME0F0008

Bloomberg Ticker for ETF MEXTRAC

Bloomberg Ticker for Underlying Index RENTABLE

Reuters Ticker for ETF MEXTRAC09.MX

Reuters Ticker for Underlying Index .DT

4PVSDF##7"3FTFBSDI.ÈYJDP

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Sector Breakdown MEXTRAC, %

Basic Materials

Consumer Goods

Consumer Services

Telecommunications

Financials

Industrials

15.3%

9.7%

19.1%

18.3%

19.3%

18.4%

4PVSDF##7"3FTFBSDI.ÈYJDP

Company Weightings

Index Composition

Short Name Weight

AMERICA MOVIL SAB DE CSER L 10

FOMENTO ECONOMICO MEXICAUBD 10

GRUPO MEXICO SAB DE CVSER B 10

GRUPO TELEVISA SASER CPO 10

WALMART DE MEXICOSER V 10

CEMEX SABCPO 9.79

GRUPO FINANCIERO BANORTEO 6.32

ALFA S.A.B.-A 4.38

GRUPO FINANCIERO INBURSAO 3.92

TELEFONOS DE MEXICO SAB SER 3.88

KIMBERLYCLARK DE MEXICOA 3.72

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"

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Mexico 2011

Company Weightings (Continues)

Index Composition

Short Name Weight

GRUPO BIMBO SAB- SERIES A 3.69

GRUPO MODELO S.A.B.-SER C 3.56

GRUPO CARSO SAB DE CVSER A1 2.86

INDUSTRIAS PENOLES SAB DE CV 2.78

MEXICHEM SAB DE CV-* 2.17

GRUPO AEROPORTUARIO DELB SH 1.2

CONSORCIO ARA S.A.B.-SER * 0.68

GRUPO AEROPORTUARIO DE SURB 0.6

EMBOTELLADORAS ARCA SABNOM 0.45

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BRTRAC

##7"ũ#BODPNFSJTUIFTQPOTPSPG#353"$&5'T

BRTRAC: General Characteristics

BMV Ticker BRTRAC

First Day of Trading Mar-0410

Expense (%) 0.50%

ISIN MX1BBR060001

Bloomberg Ticker for ETF BRTRAC

Bloomberg Ticker for Underlying Index BMBRATM

Reuters Ticker for ETF BRTRAC10.MX

Reuters Ticker for Underlying Index .BMB

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



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Mexico 2011

5IFCSFBLEPXOPGUIFVOEFSMZJOHJOEFYGPSUIF#35"$CZTFDUPSJTBTGPMMPXT

Sector Breakdown BRTRAC, %

Basic Materials

Consumer Goods

Consumer Services

Telecommunications

Financials

Industrials

Utilities

Oil & Gas

32.0%

8.3%

24.1%

7.3%

10.4%

5.1%

11.4%

1.4%

4PVSDF##7"3FTFBSDI.ÈYJDP

Company Weightings

Index Composition

Short Name Weight

PETROLEO BRASILEIRO S.A.-ADR 10.42

GERDAU SA -SPON ADR 10.3

VALE SASP ADR 10.2

CIA SIDERURGICA NACLSP ADR 10.15

BANCO BRADESCOADR 9.74

COMPANHIA DE BEBIDASPRF ADR 9.64

ITAU UNIBANCO HLDNGPREF ADR 9.53

EMPRESA BRASILEIRA DE AEADR 7.34

CEMIG SA -SPONS ADR 5.08

VIVO PARTICIPACOES SAADR 4.98

BANCO SANTANDER BRASILADS 4.84

TELE NORTE LESTE PARTADR 3.31

GAFISA SAADR 1.77

TAM SASPONSORED ADR 1.38

FIBRIA CELULOSE SASPON ADR 1.32

4PVSDF##7"3FTFBSDI.ÈYJDP

#353"$T PCKFDUJWF JT UP SFQMJDBUF UIF #.7T #SBTJM  *OEFY CFGPSF DPNNJTTJPOT BOE DPTUT &BDI #353"$

NJOJNVNDPOWFSTJPOVOJUJTDPNQPTFEPGUIFTBNFQSPQPSUJPOPGFBDITUPDLXJUIJOUIF#.7T#SBTJM*OEFY

5IF#SBTJM*OEFYJTDPNQPTFEPGUIFNPTUMJRVJE#SB[JMJBOTUPDLTMJTUFEPOUIF.FYJDBONBSLFUUISPVHIUIF

4*$XJUI"%3QSPHSBNT5IFTFMFDUJPONFUIPEPMPHZJTUIFGPMMPXJOH5IFNPTUMJRVJETUPDLTCBTFEPO.

NPOUIMZEBUBPGUIFNBSLFUBCJMJUZJOEFYPGUIF#.75IFSFBSFOPDPNQBOJFTGPSXIJDIBIPMEJOHPSTVCTJEJBSZ

JTBMTPBQBSUPGUIFJOEFY

5IFJOEFYXFJHIUJOHTBSFEFUFSNJOFEPOBNBSLFUDBQJUBMJTBUJPOCBTJTXJUIFBDITUPDLXFJHIUJOHOPNPSFUIBO

BUUIFCFHJOOJOHPGFBDISFCBMBODJOHJOPSEFSUPDPNQMZXJUIMJNJUTJNQPTFECZSFHVMBUJPO

5IFFYDFTTXFJHIUTIPVMECFEJTUSJCVUFEQSPQPSUJPOBUFMZBNPOHUIFSFNBJOJOHTUPDLT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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

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Mexico 2011

5IF #.7 IBT TQFDJBM DPOTJEFSBUJPOT UP UBLF JOUP BDDPVOU UP FOTVSF UIF DPOUJOVJUZ BOE WJBCJMJUZ PG UIF JOEFY

SFQMJDBUJPO*GBOZDPSQPSBUFBDUJWJUZBŇFDUTUIFTUPDLTJOUIFTBNQMFUIF#.7XJMMBEKVTUBDDPSEJOHMZUPNBJOUBJO

MJRVJEJUZBOESFQMJDBUJPODIBSBDUFSJTUJDT*GGPSBOZSFBTPOBDPNQBOZMJTUFEJOUIFJOEFYJTBUBSHFUGPSBDRVJTJUJPO

NFSHFSPSEFMJTUJOHUIF#.7XJMMSFQMBDFJUXJUIUIFTIBSFTPGUIFOFYUDPNQBOZUIBUNFFUTUIFJOJUJBMSFRVJSFNFOUT

&RVJUZ'VUVSFTBOE0QUJPOT.&9%&3

5.2.1. IPC and Single Stocks Futures

Deinition

5IFTFEFSJWBUJWFJOTUSVNFOUTBSFVTFEGPSIFEHJOHBHBJOTUŢMVDUVBUJPOTPOUIF#.7TUPDLQPSUGPMJPTXJUITJNJMBS

WPMBUJMJUZPSTJOHMFTUPDLTPOUIF#.75IFNBJOVTFSTPG*1$GVUVSFTBSFJOTUJUVUJPOBMJOWFTUPSTXIPIFEHFUIFJS

PQFOQPTJUJPOTJOTUPDLQPSUGPMJPT4QFDVMBUPSTBMTPQBSUJDJQBUFJOPSEFSUPUBLFBEWBOUBHFPGQFSDFJWFEBSCJUSBHF

PQQPSUVOJUJFTPSUPBDIJFWFIJHIFSSFUVSOTJOMJOFXJUIUIFJSFYQFDUBUJPOT

5IFVOEFSMZJOHBTTFUJTUIF*1$UIFNPTUJNQPSUBOU.FYJDBO*OEFYXIJDIUSBDLTBXFJHIUFEBOESFQSFTFOUBUJWF

TBNQMFPGTUPDLTPOUIF#.75IF*1$TBNQMFJTSFWJFXFEPOBZFBSMZCBTJT

"GVUVSFTDPOUSBDUPOTUPDLNBSLFUJOEJDFTJTBDPOUSBDUXIFSFCZUIFCVZFSTFMMFSVOEFSUBLFTUIFPCMJHBUJPOUP

QBZSFDFJWFUIFEJŇFSFODFCFUXFFOUIFŢJOBMWBMVFPGUIFJOEFYUIBUJTUIFTVCKFDUPGUIFDPOUSBDUMFTTUIFBHSFFE

WBMVFGPSXBSENVMUJQMJFECZUIFOPUJPOBM5IJTNVMUJQMFJTUIFQSJDFPGPOFJOEFYQPJOU

.&9%&3BMTPMJTUTGVUVSFTXIPTFVOEFSMZJOHBTTFUTBSFJOEJWJEVBMTUPDLTTVDIBT"NÈSJDB.ÑWJM-$FNFY$10

(.ÈYJDP#'&.4"6#%($"340"5&-.&9-BOE8BMNFY78IFOUIFGVUVSFNBUVSFTUIFPQFSBUJPOJTTFUUMFE

CZQIZTJDBMEFMJWFSZ

IPC Futures

Contract characteristics

Face value: 10.00 MXN (ten pesos 00/100) multiplied by IPC value

Delivery months: Quarterly cycle for up to one year: March, June, September, and December.

Contracts are permanently available for trading. Open interest indicates the

number of contracts outstanding.

Ticker symbol: 1,000 Bonds, equivalent to 100,000.00 MXN (one hundred thousand Mexi-

can pesos 00/100)

Delivery months: Quarterly cycle for up to 12 cycles (3 years)

Ticker symbol: IPC plus month and year of maturity, i.e. IPCDC03 (December 03)

Price units: Absolute value of IPC

Minimum

luctuation (Tick):

5.00 points of the IPC is worth 10.00 pesos per contract

Maximum daily

luctuation:

There is no maximum luctuation of the future price during a single trading

session

Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00)

Last day of trading: Third Friday of the maturity month

Settlement on maturity: First business day following the maturity date.

$POUJOVFEPOOFYUQBHF

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



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Mexico 2011

Contract characteristics (Continues)

Settlement: Settlement is in cash and determined by the dierence between the pur-

chase price and the IPC price at maturity

Daily settlement: ASIGNA will carry out the daily settlement of investor positions, including all

proits and losses, the maintenance margin, and accrued interest, etc. The

daily price settlement is calculated by MEXDER for each series

Initial margin: Amount needed to start the contract in order to guarantee obligations. De-

posit could be in cash or liquid securities in pesos (CETES, MBONOS, etc.)

Maintenance margin: Margin “calls” for the buyer’s account or margin “withdraws” for the seller’s

account must be done if the price agreed in the contract is higher than the

daily settled price or vice versa.

Types of operation

*1$GVUVSFTBSFDMBTTJŢJFECBTFEPOUIFSJHIUTBOEPCMJHBUJPOTUIBUUIFZDPOGFSVQPOQBSUJDJQBOUTBTGPMMPXT

B #VZJOH*1$GVUVSFT5IFCVZFSXJMMCFFOUJUMFEUPSFDFJWFUIFTFUUMFNFOUBUNBUVSJUZJO.9/GPSNVMB#JGUIF

hDVSSFOU*1$MFWFMvJTIJHIFSUIBOUIFhBHSFFE*1$MFWFMvPUIFSXJTFIFNVTUQBZUIFTFUUMFNFOUGPSNVMB"

C 4FMMJOH*1$GVUVSFT5IFTFMMFSXJMMCFFOUJUMFEUPSFDFJWFUIFOPUJPOBMBNPVOUJO.9/GPSNVMB"JGUIFhDVSSFOU

*1$MFWFMvJTMPXFSUIBOUIFhBHSFFE*1$MFWFMvPUIFSXJTFIFNVTUQBZUIFOPUJPOBMGPSNVMB#

Formula

A) Settlement on maturity MXN$10.00 * (IPC

- IPC

)

B) Settlement on maturity MXN$10.00 * (IPC

- IPC

)

8IFSF

*1$

$MPTJOHMFWFMPG*1$POEBZhUv

*1$

"HSFFEMFWFMPG*1$

U$POUSBDUNBUVSJUZEBZ

Examples

1. “Sell” IPC futures

"OJOTUJUVUJPOBMJOWFTUPSXPVMEMJLFUPIFEHFBSFUVSOPOIJTQPSUGPMJPGPS%FDFNCFSBOEUIFSFGPSFIFTFMMTBO

*1$GVUVSFTJOTUSVNFOU*GUIF*1$POUIFNBUVSJUZEBUFJTMPXFSUIBOFYQFDUFEUIFJOWFTUPSXJMMSFDFJWFBTFUUMFNFOU

UIBUHVBSBOUFFTBNJOJNVNQPSUGPMJPSFUVSO*GUIF*1$SJTFTBCPWFUIFQSJDFBHSFFEPONBUVSJUZEBUFUIFJOWFTUPS

NVTUQBZUIFEJŇFSFODFCVUHFOFSBUFTBTVSQMVTJOIJTMPOHQPTJUJPOJOTUPDLT

*OBOZDBTFUIFŢJOBMPVUDPNFJTUIBUUIFJOWFTUPSIBTBIFEHFETUPDLQPTJUJPOBOETFUTBŢMPPSPOUIFQPSUGPMJP

SFUVSOSFHBSEMFTTPGUIF#.7TQFSGPSNBODF

s Initial data:

- /VNCFSPGDPOUSBDUTQVSDIBTFECZUIFJOWFTUPS*1$%$GVUVSFT

- -FWFMBHSFFEGPSUIFGVUVSFTBU%FDFNCFSQUT

4DFOBSJPUIFTUPDLNBSLFUEFDMJOFT

"DUVBMMFWFMBUNBUVSJUZPGUIFGVUVSFJO%FDFNCFSQUT

"NPVOUQBZBCMFTFDVSJUJFT.9/

*OUIJTFYBNQMFUIFJOWFTUPSSFDFJWFTBTVSQMVTCZVTJOH*1$GVUVSFTPOUIF.&9%&3TJODFUIFBHSFFEMFWFMXBT

IJHIFSUIBOUIFBDUVBMMFWFM

4DFOBSJP UIFTUPDLNBSLFUPVUQFSGPSNTFYQFDUBUJPOT

"DUVBMMFWFMPOUIFGVUVSFTNBUVSJUZJO%FDFNCFSQUT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

1¤(*/"



)BOECPPLPG.FYJDBO'JOBODJBM*OTUSVNFOUT

Mexico 2011

"NPVOUPGTFUUMFNFOUBHBJOTUTFDVSJUJFTn.9/

5IF*1$FYDFFEFEUIFNJOJNVNMFWFMQSPKFDUFE5IFDVTUPNFSUIFSFGPSFQBJEUIFEJŇFSFODFBOEPCUBJOFEUIF

SFUVSOFTUJNBUFEJOJUJBMMZ

2. “Buy” IPC futures

*OUIF PQQPTJUFDBTFBO JOWFTUPSOFFETUPFOTVSFQVSDIBTFPGBTUPDLQPSUGPMJPJO %FDFNCFSIFODFIF

EFDJEFTUPCVZBO*1$GVUVSFTJOTUSVNFOU

s Initial data:

- /VNCFSPGDPOUSBDUTQVSDIBTFECZUIFJOWFTUPSGVUVSFT*1$%$

- -FWFMBHSFFEGPSUIFGVUVSFTBU%FDFNCFSQUT

4DFOBSJPUIFTUPDLNBSLFUPVUQFSGPSNTUIFGVUVSFT

"DUVBMMFWFMPOUIFGVUVSFTNBUVSJUZJO%FDFNCFSQUT

"NPVOUQBZBCMFTFDVSJUJFT.9/

*OUIJTDBTFUIFJOWFTUPSSFDFJWFTBTVSQMVTBTMPOHBTUIFDVSSFOUMFWFMXBTIJHIFSUIBOUIFQSJDFPGUIFGVUVSF

4DFOBSJP5IFTUPDLNBSLFUVOEFSQFSGPSNTUIFGVUVSFT

"DUVBMMFWFMPOUIFGVUVSFTNBUVSJUZJO%FDFNCFSQUT

"NPVOUPGTFUUMFNFOUBHBJOTUTFDVSJUJFTũ.9/

*GUIF*1$VOEFSQFSGPSNTUIFBHSFFEMFWFMUIFDVTUPNFSXPVMEIBWFUPQBZUIFEJŇFSFODF

Single Stocks Futures

Contract characteristics

Face value: 100 shares of the underlying stock and its price

Delivery months: Maturity months in March, June, September, and December will be available

at all times for call (buy) and put (sell) options.

Ticker symbol: Maturity months in March, June, September, and December will be available

at all times for call (buy) and put (sell) options.

Unit of price: Pesos and cents of peso per share

Minimum

luctuation (Tick):

The bid size will be equal to the one used in the underlying negotiation on

the BMV

Maximum daily

luctuation:

There is no maximum luctuation of the future price during a single trading

session

Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00)

Last day of trading: Third Friday of the maturity month

Settlement on maturity: Third bank business day after the maturity date.

Settlement: Settlement is in cash and is based on the dierence in the purchase price

and the underlying stock price at maturity

Daily settlement: ASIGNA will carry out the daily settlement of investor obligations, including

all proits and losses, the maintenance margin, and accrued interest, etc. The

daily price settlement is calculated by MEXDER for each series

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

5.2.2. IPC Options on Futures Contracts and Single Stock Options

Deinition

0QUJPOTPOBO*1$GVUVSFTDPOUSBDUDPVMECFVTFEBTBIFEHJOHJOTUSVNFOUPSUPJODSFBTFTUPDLQPSUGPMJPFYQPTVSF

5IFDPOUSBDUTUZMFVTFEPO.&9%&3JT&VSPQFBOUIFVOEFSMZJOHBTTFUPGXIJDIJTUIF#.7*OEFYh*1$vGVUVSFT

DPOUSBDU

"MTPPQUJPOTGPSJOEJWJEVBMTUPDLTBSFMJTUFEPO.&9%&3UIFJOEJWJEVBMDIBSBDUFSJTUJDTPGXIJDIBSFQVCMJTIFECZ

.&9%&35IFVOEFSMZJOHTUPDLTBSF"NÈSJDB.ÑWJM-$FNFY$10(.ÈYJDP#/BGUSBD5MFWJTB$108BMNFY

75FMNFY-BOE&5'T4QFDJŢJD5FSNT8IFOBOPQUJPOJTFYFSDJTFEUIFPQFSBUJPOJTTFUUMFECZQIZTJDBMEFMJWFSZ

IPC Options on Futures Contracts

Contract characteristics

Face value: 10.00 MXN multiplied by the premium of the option contract

Contract kind: Call and put

Contract style: European

Delivery months: Quarterly cycle for up to one year (for both call and put options): March,

June, September, and December

Strike price: It is expressed in whole points of the IPC Index and multiples of 50 units.

Trading symbols: IP plus 5 digits to specify the strike price and another digit to specify the

contract type and maturity month (call: March, “C”; June, “F”; September, “I”;

December, “L”. put: March, “O”; June, “R”; September, “U”; December, “X”).

For example, “IP 32100C” = call option March and “IP 31900X” = put option

December

Unit quoted: Absolute value of IPC

Minimum

luctuation (Tick):

One point of the IPC

Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00)

Last day of trading

and maturity date:

Third Friday of the maturity month.

Settlement day: First business day following maturity date

Intrinsic value at maturity: A call option shall have a positive intrinsic value when the strike price is

lower than the closing price of the IPC future with the same maturity date.

A put option shall have a positive intrinsic value when the strike price is

higher than the closing price of the IPC future with the same maturity date.

Otherwise, the intrinsic value on the maturity date shall be zero.

Daily settlement: ASIGNA will carry out the daily settlement of investor obligations, including

all proits and losses, the maintenance margin, and accrued interest, etc. The

daily price settlement is calculated by MEXDER for each series

Initial margin: Amount needed to start the contract in order to guarantee obligations.

Maintenance margin: Margin “calls” or margin “withdraws” as a function of open positions

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Single Stocks Options

Contract characteristics

Face value: 100 shares of the underlying stock and its price

Contract types: Calls and Puts

Contract style: American (as a general rule)

Delivery months: Maturity months in March, June, September, and December will be available

at all times for call (buy) and put (sell) options

Strike price: Each will vary depending on the price of the underlying stock. They will

always be multiples of an interval deined by MEXDER

Trading symbols: The irst two digits for the underlying asset (“AX”; “CX”; “GM”; “NA”; “TV”;

“WA”; and “TX”), plus 5 digits to specify the strike price (three whole digits

and two decimals) and another digit to specify the contract type and ma-

turity month (Call: March, “C”; June, “F”; September, “I”; December, “L”. Put:

March, “O”; June, “R”; September, “U”; December, “X”). For example:

América Móvil L (“AX”) AX 2400L = Call option December

Cemex CPO (“CX”) CX 2400X = Put option December

GMéxico B (“GM”) GM 2400I = Call option September

Naftrac 02 (“NA”) NA 1030C = Call option March

Tlevisa CPO (“TV”) TV 2400O = Put option March

Walmex V (“WA”) WA 2400U = Put option September

Telmex L (“TX”) TX 2400F = Call option June

Unit quoted: Contracts quoted in pesos and hundredths of a peso (cents) per underlying

asset

Minimum

luctuation (Tick):

0.01 MXN (exceptions may apply)

Trading hours: 7:30 a.m. to 3:00 p.m. (GMT -06:00)

Last day of trading

and maturity date:

Established by each underlying asset, but is usually the third Friday of the

maturity month

Settlement day: Established by each underlying asset, but is usually the third business day

following the maturity date

Intrinsic value at maturity: A call option has a positive intrinsic value when the strike price is lower than

the closing stock price on the maturity date.

A put option has a positive intrinsic value when the strike price is higher

than the closing stock price on the maturity date.

Otherwise, the intrinsic value on the maturity date shall be zero.

Daily settlement: ASIGNA will carry out the daily settlement of investor obligations, including

all proits and losses, the maintenance margin, and accrued interest, etc. The

daily price settlement is calculated by MEXDER for each series

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

&RVJUZ'PSXBSET0QUJPOTBOE4XBQT05$

5.3.1. Equity Forwards

Description

&RVJUZ'PSXBSETBU##7"#BODPNFSBSFMJOFBMEFSJWBUJWFTUIBUDBOCFVTFEBTBIFEHJOHJOTUSVNFOUPSUPUBLF

MFWFSBHFECFUTPOUIFTUPDLNBSLFU.BJOBEWBOUBHFTBSFUIBUJUBDDPNQMJTIFTBTZOUIFUJDBMMZMPOHPSTIPSUQPTJUJPO

POBOZTUPDLJOEFYPS"%3BOEJTŢMFYJCMFJOUFSNTPGTJ[FBOEUFOPS"TXJUIBOZPUIFS05$FRVJUZEFSJWBUJWF

TIPSUDPNJOHTBSFFYQPTVSFUPNBSLFUSJTLWPMBUJMJUZBOEDSFEJUSJTL

Contract characteristics

Issuer: BBVA Bancomer

Guarantee BBVA Bancomer

Nominal value: Variable

Maturity: Up to 5 years subject to underlying asset

Underlying assets are stocks listed on the BMV,

according to the list below, which includes maximum tenors as well:

Index Description Max Tenor Stock

BMBBRART Índice Brasil 15 RT BMV 1 year AMX ADR HOMEX ADR

BMBRA15 Índice Brasil 15 BMV 1 year BBD ADR ICA ADR

Construye Índice BMV Construye RT 5 years BVN ADR NETC ADR

Consumo Índice BMV Consumo frecuente RT 5 years CAIGY ADR OMA ADR

Enlace Índice BMV Enlace RT 5 years CEMEX ADR PBR ADR

IPC Índice de Precios y

Cotizaciones BMV

5 years CIG ADR RIO ADR

Rentable Índice BMV Rentable RT 5 years ENI ADR SDA ADR

EOC ADR SIMEC ADR

FEMSA ADR TELMEX ADR

GAP ADR TLEVISA ADR

GGB ADR USNZY ADR

4PVSDF##7"3FTFBSDI.ÈYJDP

Formulas and Examples

e*I-S=F

8IFSF

''PSXBSE-FWFM

44QPU

*/FU1SFTFOU7BMVFPGUIF%JWJEFOE

S*OUFSFTUSBUFPGUIFQFSJPE

U5FSNZFBST

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

-rt

e*N*F-F=est_ValueOpen_Inter

8IFSF

'"HSFFE'PSXBSE1SJDFMFWFM

'$VSSFOU'PSXBSEQSJDFMFWFM

./PUJPOBM

S*OUFSFTUSBUFPGUIFQFSJPE

U5FSNZFBST

Example

" DPNQBOZ TFMMT B GPSXBSEXJUI OPUJPOBM ".9 UP  NPOUIT XJUI OPUJPOBM PG  TIBSFTBOE TQPU QSJDF PG

.9/BOEUIFGPSXBSEQSJDFJT.9/BUNBUVSJUZ5ISFFNPOUITMBUFS

s Scenario 1: $VSSFOUQSJDFPG".9JT.9/XJUIBGPSXBSEQSJDFPG.9/)FODFUIFPQFOQPTJUJPO

WBMVFJTn.9/

s Scenario 2: $VSSFOUQSJDFPG".9JT.9/XJUIBGPSXBSEQSJDFPG.9/)FODFUIFPQFOQPTJUJPO

WBMVFJTn.9/

5.3.2. Equity Options

Description

&RVJUZPQUJPOTJO##7"#BODPNFSDPVMECFVTFEBTBIFEHJOHJOTUSVNFOUPSUPJODSFBTFFYQPTVSFUPUIFTUPDL

NBSLFU

5IFNBJOBEWBOUBHFTBSFŢMFYJCJMJUZBTSFHBSETTJ[FUFOPSBOEDVSSFODZ&63.9/PS64%.9/PQUJPOTDBOCF

&VSPQFBO"NFSJDBOQMBJOWBOJMMBPS&VSPQFBOCJOBSZEJHJUBMTCJOBSZ"TXJUIBOZPUIFS05$FRVJUZEFSJWBUJWF

TIPSUDPNJOHTBSFFYQPTVSFUPNBSLFUSJTLWPMBUJMJUZBOEDSFEJUSJTL

Contract characteristics

Issuer: BBVA Bancomer

Guarantee BBVA Bancomer

Nominal value: Variable

Maturity: Up to 5 years subject to underlying asset

4PVSDF##7"3FTFBSDI.ÈYJDP

5IFVOEFSMZJOHBTTFUTBOENBUVSJUJFTUSBEFEBU##7"#BODPNFSBSF

Stock

Description Max. Term

AMXL América Móvil SAB de CV 2 years

CEMEXCPO Cemex SAB de CV 2 years

FEMSAUBD Fomento Económico Mexicano SAB de CV 1 year

GAPB Grupo Aeroportuario del Pacíico SAB de CV 1 year

GMEXICOB Grupo México SAB de CV 1 year

HOMEX* Desarrolladora Homex SA de CV 1 year

SIMEC Grupo Simec SAB de CV 1 year

TELMEX Teléfonos de México SAB de CV 1 year

TLEVICPO Grupo Televisa SA 1 year

WALMEXV Wal-Mart de México SAB de CV 1 year

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Index

BMBBRART Índice Brasil 15 RT BMV 14 months

IPC Índice de Precios y Cotizaciones BMV 4 years

5IFUFSNJTVQUPZFBST

4PVSDF##7"3FTFBSDI.ÈYJDP

ADR

AMX ADR ENI ADR PBR ADR

BBD ADR FEMSA ADR SIMEC ADR

BVN ADR GAP ADR TELMEX ADR

CEMEX ADR GGB ADR TLEVISA ADR

CIG ADR HOMEX ADR

4PVSDF##7"3FTFBSDI.ÈYJDP

5.3.3. Equity Swaps

Description

&RVJUZ TXBQT BU ##7" #BODPNFS BSF JOTUSVNFOUT UIBU TZOUIFUJDBMMZ SFQMJDBUF B MPOH PS TIPSU QPTJUJPO PO UIF

VOEFSMZJOH BTTFU JOEJWJEVBM TUPDLT PS TUPDL JOEJDFT SFHBSEJOH UIF TUSFBN PG QBZPŇT QSJDF EJWJEFOET BOE

ŢJOBODJOH5IFSFGPSFDBTIŢMPXTTXBQQFEBSFVTVBMMZUIFŢMVDUVBUJPOTJOUIFTUPDLQSJDFUIFŢJOBODJOHPWFSUIF

OPUJPOBMBNPVOUPGUIFUSBOTBDUJPOBOEUIFBHSFFEEJWJEFOESBUJP5IFFRVJUZTXBQCVZFSBTTVNFTBMPOHQPTJUJPO

POBTZOUIFUJDTUPDLPSJOEFYXIFSFBTUIFCVZFSUBLFTUIFTIPSUTJEF6OEFSMZJOHBTTFUTBSFUIFTBNFBTGPSXBSET

PQFSBUFEPOUIF05$NBSLFUUISPVHI##7"#BODPNFS

5IFBEWBOUBHFTPGFRVJUZTXBQTBSFUIFJSŢMFYJCJMJUZJOTJ[FBOENBUVSJUZBMFWFSBHFEFYQPTVSFUPFRVJUZSFUVSOT

TUPDLTJOEFYFTPS"%3TFYQPTVSFUPEJWFSTFZJFMEDVSWFT5**&-*#03BOE&63*#03MFWFSBHFETIPSUBOEMPOH

QPTJUJPOTBOEIFEHJOHQPSUGPMJPSJTLT5IFNBJOESBXCBDLJTDPVOUFSQBSUZSJTLDSFEJUSJTL

Contract characteristics

Issuer: BBVA Bancomer

Guarantee BBVA Bancomer

Nominal value: Variable

Maturity: Up to 5 years subject to underlying asset

4PVSDF##7"3FTFBSDI.ÈYJDP

Formula

&WFSZEFMJWFSZEBZŢMPXTBSFTFUUMFECFUXFFOCVZFSBOETFMMFSJOGVODUJPOPGTUPDLPSJOEFYSFUVSOBTGPMMPXT

Payable: (S – S0) / S0 * M

Receivable: M * (1 + r * t / 360)

8IFSF

44QPUQSJDFBUUIFCFHJOOJOHPGUIFQFSJPE

44USJLFQSJDFBUUIFFOEPGUIFQFSJPE

./PUJPOBM

S*OUFSFTUSBUF

UUFSNEBZT

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Example

"OJOWFTUPSCVZTBOFRVJUZTXBQQBZJOHEBZ5**&BOESFDFJWJOHUIF*1$SFUVSOXJUIŢMPXTTFUUMFEFBDINPOUI

EVSJOHPOFZFBS5IFTQPU*1$JTBOEUIFOPUJPOBMJT.9/.9/

Equity Swap TIIEIPC

One month later Two months later

TIIE28 4.90% 4.95%

IPC 32,500 32,400

Flows

Payer 100,000,000 * ( (4.9% + 1%) * 30 / 360) = 491,667 100,000,000 * ( (4.95% + 1%) * 30 / 360) =

495,833

Receiver (32,500 – 32,000) / 32,000 * 100,000,000 =

1,562,500

(32,400 – 32,500) / 32,400 * 100,000,000 =

-307,692

Net 803,526

4PVSDF##7"3FTFBSDI.ÈYJDP

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

"OOFY##7"#BODPNFS4FDVSJUJFT

4FSWJDFT

##7"#BODPNFSJTUIFMFBEJOHQSPWJEFSPGTFDVSJUJFTTFSWJDFTBU.FYJDPXJUINPSFUIBOZFBSTPGDPNNJUNFOU

BTBTQFDJBMJ[FEBSFBQSPWJEJOHXPSMEDMBTTDVTUPEZBOEDMFBSJOHTFSWJDFTUPHMPCBMDVTUPEJBOTGVOENBOBHFST

QSJWBUFUSFBTVSJFTJOTVSBODFDPNQBOJFTCSPLFSEFBMFSTXPSMEXJEF

5ISPVHI##7"TOFUXPSLBOEPVSTVCDVTUPEJBOSFMBUJPOTIJQT#BODPNFS$VTUPEZBOE$MFBSJOHCVTJOFTTTDPQF

SFBDIFTDMPTFUPNBSLFUTXPSMEXJEFMFWFSBHJOHPVSPQFSBUJPOBMFYQFSUJTFDPNNJUNFOUBOEUFDIOPMPHZUP

EFMJWFSBWBMVFBEEFETFSWJDFJOPVSDMJFOUTDSPTTCPSEFSJOWFTUNFOUT

"TBMPDBMJOEVTUSZMFBEFS##7"4#BODPNFS4FDVSJUJFT4FSWJDFTIBTSFDFJWFEUIF EJTUJODUJPOPGCFJOH UIFCFTU

EPNFTUJDDVTUPEJBOCZUIF(MPCBM$VTUPEJBO.BHB[JOFXJOOJOHUIFh5PQ3BUFEvBDDPMBEFGPSUFOUIUJNFJOUIFMBTU

UIJSUFFOZFBSTSBUFEGBSBCPWFUIFMPDBMCFODINBSLBOEDPNQFUJUPST

What do we oer

##7"#BODPNFSPŇFSTBGVMMSBOHFPGTFUUMFNFOUBOEDVTUPEZTFSWJDFTUPJOWFTUPSTGPSTFDVSJUJFTBOEŢJYFEJODPNF

TFDVSJUJFT

s )PMEJOH JO TBGFLFFQJOH UIF DVTUPNFST QPSUGPMJP BOE BSSBOHF TFUUMFNFOUT PG BOZ QVSDIBTFT BOE TBMFT PG

UIFBTTFUTVOEFSDVTUPEZDPODFOUSBUJOHJOPOFQMBDFBMMUIFUSBOTBDUJPOTPVSDVTUPNFSUSBEFJOUIFMPDBMBM

JOUFSOBUJPOBMNBSLFUTTVQQPSUJOHUIFGPMMPXJOHPQFSBUJPOT

s 3FDFQUJPOEFMJWFSZWFSTVTQBZNFOU371%71

s 3FDFQUJPOEFMJWFSZGSFFPGQBZNFOU3'01%'01

s 0WFSOJHIUPQFSBUJPOT

s "%3TJTTVFBOEDBODFMJOH

s 8BSSBOUJFTNBOBHFNFOU

- GPSDPMMBUFSBMJ[FEPWFSOJHIUPQFSBUJPO

- GPSEFSJWBUFTPQFSBUJPOT

s 1FSJPEJDSFQPSUJOH1PSUGPMJPEJTUSJCVUJPODBTIJODPNFTBOEPVUDPNFTBOEUSBOTBDUJPOT

s $PSQPSBUFBDUJPOSFQPSUJOHBOEBENJOJTUSBUJPO

s %JWJEFOEBOEJODPNFDPMMFDUJPO

s 1SPYZTFSWJDFT

s 'PSFJHOFYDIBOHFBOEDBTINBOBHFNFOUTFSWJDFT

s $VSSFOUOFXTCVMMFUJOTBOENBSLFUJOGPSNBUJPO

s 0OMJOFTZTUFNXIJDIBMMPXPVSDMJFOUTUSBDLUIFJSPQFSBUJPOTPOBSFBMUJNFTDIFEVMF

Beneits

8FXPSLXJUIPVSDVTUPNFSTJOBXBZUIBUTVJUTUIFJSBJNTBOEPQFSBUJPOT1SPWJEJOHUIFNXJUIUBJMPSFETPMVUJPOT

CBTFEPOUIFJSOFFETPŇFSJOHUIFGPMMPXJOHCFOFŢJUT

s 0OMJOFTZTUFNDPOUJOVPVTMZFOIBODFEXIJDIBMMPXPVSDMJFOUTUSBDLUIFJSPQFSBUJPOTPOBSFBMUJNFTDIFEVMF

UISPVHIBGSJFOEMZJOUFSGBDF

s 48*'5NFTTBHJOHQMBUGPSNDPOTUBOUMZVQEBUFEXJUIFWFSZZFBST48*'5SFMFBTF

s $VTUPNJ[FEDMJFOUBOESFHVMBUPSZSFQPSUJOH

s %JSFDUSFMBUJPOTIJQXJUIBVUIPSJUJFT$4%TUPDLNBSLFUBOEJTTVFST

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

s $PNQFUJUJWF BOE DVTUPNJ[FE UBSJŇ GPS FBDI DVTUPNFS CBTFE PO BTTFU TJ[FT WPMVNFT NBSLFUT DMJFOUT

PQFSBUJPOBMOFFET

s $VSSFOUOFXTCVMMFUJOTBOENBSLFUJOGPSNBUJPO

s 0NOJCVTBDDPVOUNBOBHFNFOU

s 4ZOFSHZXJUIPUIFSBSFBTPGUIFCBOLJOPSEFSUPGVMŢJMMTQFDJBMDMJFOUOFFET

"U##7"#BODPNFS4FDVSJUJFT4FSWJDFTXFXPSLVOEFSBSJHPSPVTDPOŢJEFOUJBMJUZQIJMPTPQIZXIFONBOBHJOHUIF

DVTUPNFSTPQFSBUJPOBOEJOGPSNBUJPOCVUHJWJOHBMMUIFUSBOTQBSFODZOFFEFEGPSUIFDVTUPNFSUPLFFQUSBDLPG

BMMJUTPQFSBUJPOT

'PS UIJT SFBTPOT XF DPNQMZ XJUI UIF h$IJOFTF XBMMv QPMJDZ NBOBHJOH UIF DVTUPNFST QPSUGPMJP JO TFHSFHBUFE

BDDPVOUTGSPNUIFSFTUPGUIFCBOLBOEPUIFSBSFBTQPTJUJPO

0VSTZTUFNTBSFIPTUFEJOBEJŇFSFOUQIZTJDBMMPDBUJPOXJUIUXPCBDLVQTJUFTMPDBUFEJOTUSBUFHJDHFPHSBQIJDBM

QPTJUJPOT XJUI BO *5 EFQBSUNFOU SFBEZ UP HJWF UFDIOJDBM TVQQPSU UP UIF PQFSBUJPO JO PSEFS UP HVBSBOUFF UIF

DPOUJOVJUZPGUIFTFSWJDF

"OZGVSUIFSJOGPSNBUJPOEPOPUIFTJUBUFPODPOUBDUVT

8FC1BHF

IUUQXXXCBODPNFSDPNNFSDBEPNFSDBEPTBTQ NBJOGNFSDB@DVTJOIUNMSJHIUGNFSDB@BDDFTP@TVCIPNFIUNM

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

"OOFY##7"#BODPNFS5IFNPTUSFMJBCMF

HBUFXBZUPUIF.FYJDBO%FSJWBUJWFT

.BSLFU

Who is BBVA Bancomer Derivatives?

##7" #BODPNFS %FSJWBUJWFT QSPWJEFT CSPLFSBHF FYFDVUJPO BOE DMFBSJOH TFSWJDFT GPS .FY%FS UIF .FYJDBO

%FSJWBUJWFT &YDIBOHF BOE JT POF PG UIF GPVOEJOH DMFBSJOH NFNCFST PG "TJHOB $ÁNBSB EF $PNQFOTBDJÑO Z

-JRVJEBDJÑO

.FY%FSBOE"TJHOBBSFTFMGSFHVMBUPSZJOTUJUVUJPOTUIFZBSFTVQFSWJTFECZŢJOBODJBMBVUIPSJUJFT$/#7.FYJDBO

/BUJPOBM #BOLJOH $PNNJTTJPO 4)$1 .JOJTUSZ PG 'JOBODF BOE 1VCMJD $SFEJU BOE #"/9*$0 $FOUSBM #BOL PG

.FYJDP

Today BBVA Bancomer Derivatives oers:

s "EWBODFEUFDIOPMPHJDBMJOGSBTUSVDUVSFXJUIJUTQSPQSJFUBSZ0OMJOF5SBOTBDUJPO4ZTUFN

s 'BTUDPOOFDUJWJUZVTJOHUIFXFC'*9ũ1SPUPDPM

s $SFEJUMJOFTBSFBWBJMBCMFGPSMPDBMBOEJOUFSOBUJPOBMŢJOBODJBMJOTUJUVUJPOT

s $POUJOHFODZQSPDFTTFTUIBUHVBSBOUFFDPOUJOVJUZUPPVSDMJFOUTPQFSBUJPOT

s %BJMZUSBEFDPOŢJSNBUJPOTBOENPOUIMZBDDPVOUTUBUFNFOUT

s &YUSFNFDPOŢJEFOUJBMJUZBTUIFSFTVMUPGUIFDPOTUJUVUJPOBTBUSVTU

s .BOBHFNFOUPG´NOJCVTBDDPVOU

How can you participate?

s As a Client::PVCFDPNFBDVTUPNFSPG##7"#BODPNFSGPSCPUIUSBEJOHBOEDMFBSJOH

s As an Omnibus Account::PVDBOPQFOBO0NOJCVT"DDPVOUBOEUSBEFUISPVHIB#SPLFS"MMQPTJUJPOTDBO

CFOFUEPXOVQPOZPVSSFRVFTU##7"#BODPNFSDBONBOBHFJOEJWJEVBMTVCBDDPVOUT

s As a Remote Member (Proprietary or Third Party Broker)::PVXJMMUSBEFEJSFDUMZJO.FY%FSTŢMPPSPOCFIBMG

PGZPVSDVTUPNFSTPSZPVSQSPQSJFUBSZBDDPVOU

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Futures & Options Products

##7"#BODPNFS%FSJWBUJWFTUSBEFTBOEDMFBSTBMMGVUVSFTBOEPQUJPOTMJTUFEPOUIF.FY%FS

Futures Contracts

CURRENCIES

United States of America-Dollar DEUA

Legal currency of the European

Monetary Union

EURO

INDEX IPC Index of the BMV (Mexican

Stock Exchange)

IPC

INTEREST RATES

28 day Interbank Interest Rate TE28

91 day Treasury Bill Certiicate CE91

3 Year Bond M3

10 Year Bond M10

20 Year Bond M20

Inlation Index UDI

10 year Interest Rate Swap

Futures

SW10

2 year Interest Rate Swap Futures SW02

10 year Interest Rate Swap Fu-

tures (Centrally Cleared Swaps)

SW10

2 year Interest Rate Swap Futures

(Centrally Cleared Swaps)

SW02

SINGLE STOCKS

América Móvil L AXL

Cemex CPO CXC

Femsa UBD FEM

Gcarso A1 GCA

Telmex L TMXL

Walmex V WAL

Options Contracts

INDEX Futures on the Mexican Stock

Exchange

SINGLE STOCK

América Móvil L AX

Cemex CPO CX

Walmex V WA

GMéxico B GM

Tlevisa, CPO TV

Naftrac 02 NA

Telmex L TX

ETF ETF´S Speciic Terms ETF

CURRENCIES United States of America-Dollar DA

*OGPSNBUJPOBTPG"VHVTU

.FY%FST'VUVSFT0QUJPOT(FOFSBM$POEJUJPOTDBOCFGPVOEJOUIFGPMMPXJOHMJOLT

IUUQXXXNFYEFSDPNNY.&9'VUVSFT@$POUSBDUTIUNM

IUUQXXXNFYEFSDPNNY.&90QUJPOT@$POUSBDUTIUNM

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

Risk Management

*OJUJBM.BSHJO$POUSJCVUJPOTSFRVJSFNFOUTBSFŢJOBODJBMSFTPVSDFTUIBU"TJHOBEFNBOETUPUIFNFNCFSTUIBUNBJOUBJO

PQFODPOUSBDUTJOUIFNBSLFUUIFTFSFTPVSDFTBSFDPOTUJUVUFEJODBTIPSTFDVSJUJFTBOEBSFNBOBHFECZ"TJHOB

&YDFTTJO*OJUJBM.BSHJO$POUSJCVUJPOTBSFEFUFSNJOFECZ##7"#BODPNFS%FSJWBUJWFTUSPVHIBŢJOBODJBMBTTFTTNFOU

CBTFEVQPOUIFDVTUPNFSTZFBSMZJODPNFBOECBMBODFTIFFUT

Payment Options

##7"#BODPNFS JT BCMF UP SFDFJWFQBZNFOUTJO DBTI FJUIFS JT .FYJDBO 1FTPT.91 PS 64 %PMMBST 64% BOE

TFDVSJUJFTEFQPTJUFEJO645ũ#JMMTBOE5ũ/PUFTBOEEFQPTJUFEJO.FYJDPFMJHJCMF.FYJDBO4UPDLTFMJHJCMF.FYJDBO

CPOETBOE $&5&4.FYJDBO5SFBTVSZ#JMMT 5IF#BOL PG/FX:PSL#/:JTUIF DVTUPEJBOGPSUIF645SFBTVSZ

4FDVSJUJFTHSBOUFEBTDPMMBUFSBMGPSEFSJWBUJWFTDMFBSJOHBOETFUUMFNFOUUISPVHI"4*(/"$MFBSJOHIPVTF

5IF DVTUPEZ PG UIF TFDVSJUJFT XJMM CF EPOF UISPVHI BO 4% *OEFWBM "DDPVOU JO UIF $VTUPEJBO #BOL *OEFWBM

4FDVSJUJFT%FQPTJUPSZ*OTUJUVUJPOXIJDIXJMMGVODUJPOBTBTVCDVTUPEJBOGPSUIFTFDVSJUJFTBOE"TJHOBXJMMGVODUJPO

BTUIFŢJOBMCFOFŢJDJBSZBOEPXOFSPGUIFTFDVSJUJFT

Tax Regime

"TPGJOUIFNBKPSJUZPG.FY%FSDPOUSBDUTUIFSFBSFOPUXJUIIPMEJOHUBYFT



Clients are able to take advantage of volume pricing, reduced back-oice processing

and a more eicient use of margins by clearing all futures and options transactions with

BBVA Bancomer.

"OZGVSUIFSJOGPSNBUJPOEPOPUIFTJUBUFPODPOUBDUVT

8FC1BHFIUUQXXXCBODPNFSDPNNFSDBEPEFSJWBEPT@JOHJOEFYIUNM

"TJHOB|TNBSHJOSFRVFSJNFOUTDBOCFGPVOEJOUIFGPMMPXJOHMJOL

IUUQXXXBTJHOBDPNNYXCXC"4( FYUFSOB"4(@GPSUBMF[B@ŢJOBODJFSBMBOHVBHFFO

%FUBJMFEJOGPSNBUJPOXJMMCFGPVOEFEBT"OFY

restrictions may breach the laws of the relevant jurisdiction.

PLEASE SEE ANALYST CERTIFICATION AND OTHER IMPORTANT DISCLOSURES AT THE END OF THIS REPORT

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Mexico 2011

IMPORTANT DISCLOSURES

This document and the information, opinions, estimates and recommendations expressed herein, have been prepared by BBVA Global Markets and BBVA

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Mexico 2011

Editorial Board:

Global Markets:

José Antonio Ordas

Alvaro Vaqueiro

Erick Moreno

BBVA Research:

Jorge Sicilia

Adolfo Albo (2004 edition)

Octavio Gutiérrez-Engelmann

Claudia Ceja

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Global Markets, Mexico

Managing Director Global Markets

Alvaro Vaqueiro

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

Credit

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

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

Equity Sales

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Mexico 2011

BBVA Research

Group Chief Economist

Jorge Sicilia

[email protected]

Chief Economists & Chief Strategists:

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Pensions:

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Market & Client Strategy:

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Emerging Markets:

Alicia García-Herrero

alicia.garcia-herrero@bbva.com.hk

Spain and Europe:

Rafael Doménech

r[email protected]

United States and Mexico:

Mexico

Adolfo Albo

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Macro Analysis Mexico

Julián Cubero

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Market & Client Strategy

Director

Antonio Pulido

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+34 91 374 31 81

Global Equity and Credit Global Fixed Income

Director

Ana Munera

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+34 91 374 36 72

Director

Luis Enrique Rodríguez, CFA

luisen.rodriguez@grupobbva.com

+34 91 537 35 87

Equity Latam FX Latam Interest Rates Latam

Chief Analyst

Rodrigo Ortega

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+52 55 5621 9701

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Francisco Chávez

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Mexico 2011

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