About the Sovereign Index

Definition

The index measures the effective value variation -in pesos- of a regular portfolio composed of National Public Securities

Eligible bonds

National Public Securities denominated in pesos
Liquidity: measured by bond share over national public securities total trades in pesos at MAE A liquidity value is considered reasonable when share reaches 2%. Additionally, to meet liquidity conditions a bond should have a significant outstanding amount ($ 500 millions at least).

Composition of the basket of bonds

String The basket of bonds is designed on a monthly basis. Each bond's basket share is String1 proportional to its share in the total volume of national public String2 securities traded in the last two months. Due to a diversification criterion String3 (similar to the one imposed on Mutual Funds) initial share String4 shall have a top limit of 30%.
Should one or more bonds exceed this limit, the surplus will be prorated among the remaining bonds according to their initial share.

Other methodological aspects

Paid coupons are reinvested in the same bond, at the price quoted on coupon payment date.
Portfolio valuation is performed using dirty prices following the sequential criteria corresponding to the trading method (closing prices in pesos 72 hours spot, spot, etc.) Valuation is in pesos.