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Disclaimer: This document is a draft, and provided as a courtesy. This document is not to be considered the final version, and all information contained herein is subject to change upon further review by TCA.

1 Introducción

Este estudio tiene un enfoque de simulación y busca determinar valores futuros de la cartera según se amortice al cierre de los periodos 2015 al 2020.

Se utilizó la base de información de cartera con corte al 30 de junio de 2015; cada observación corresponde a un crédito. La estructura comprende:

2 Estudios complementarios

2.1 Función de deterioro

Modelo de regresión

## 
## Call:
## lm(formula = FSR ~ EDAD, data = subset(x, EDAD > 0 & EDAD <= 
##     15))
## 
## Residuals:
##       Min        1Q    Median        3Q       Max 
## -0.022038 -0.011933  0.000984  0.006077  0.049599 
## 
## Coefficients:
##             Estimate Std. Error t value Pr(>|t|)    
## (Intercept) 0.004908   0.010019   0.490    0.632    
## EDAD        0.007491   0.001102   6.797 1.27e-05 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.01844 on 13 degrees of freedom
## Multiple R-squared:  0.7804, Adjusted R-squared:  0.7635 
## F-statistic:  46.2 on 1 and 13 DF,  p-value: 1.268e-05

2.2 Cartera REA

** Vencidos por regimen **

## 
##      REA      ROA 
## 10.42542 89.57458

La siguiente tabla presenta la composición de la cartera REA según la situación de la amortización y el número de omisos continuos.

Mayor o igual a 6 Menor a 6
A. Segregada 28.45072 0.2549219
B. Sin pago 38.04680 0.0000000
C. Pago insuficiente 0.00000 6.0391359
D. Amortización parcial 0.00000 7.7098917
E. Amortización plena 0.00000 19.4985339

2.3 Distribución de la originación en los últimos 3 años

Tasa N Importe
4.0 13883 146.7289
4.5 44644 192.7556
5.0 23093 206.1042
5.5 19090 215.2002
6.0 100949 283.1234

3 Evolución

3.1 Liquidaciones

La siguiente tabla muestra los créditos que sobreviven en los diferentes puntos de corte. La liquidación en este caso considera cuando el saldo se extingue o bien cuando el plazo se agota.

TASA N_0 N_2015 N_2016 N_2017 N_2018 N_2019 N_2020 N_2021 N_2022 N_2023 N_2024 N_2025 N_2026 N_2027 N_2028 N_2029 N_2030 N_2031 N_2032 N_2033 N_2034 N_2035 N_2036 N_2037 N_2038 N_2039 N_2040 N_2041 N_2042 N_2043 N_2044 N_2045
4.0 102437 76779 68757 60771 56982 53187 49617 46538 43706 40491 36496 33674 31530 29822 28208 26911 25518 24145 22723 21148 19656 18067 16405 14525 12772 10450 7832 5549 3862 2536 1088 0
4.5 83741 83562 81426 78650 77830 76848 75833 75223 74509 73729 72779 71565 70062 68316 66251 64002 61465 58650 55244 51624 47806 43586 39350 35221 31216 27334 23174 18578 13786 9741 4423 0
5.0 210437 200800 187375 171936 160995 148588 135453 122792 110878 100519 92109 85162 79349 74392 69945 65517 60969 56454 51883 46884 42492 38125 33697 29999 26173 18764 13530 10375 7344 4955 2320 0
5.5 33062 32958 31769 30019 29702 29369 28986 28804 28589 28302 27995 27626 27189 26691 26154 25526 24890 24093 23127 22109 20914 19711 18455 17067 15718 14372 12249 9871 7379 5071 2579 0
6.0 438499 420767 387443 336580 314326 293185 273242 257267 242011 227370 213537 199733 186074 173251 160383 148325 136743 125633 115371 105286 96042 87547 79282 71509 62793 53363 46195 40592 34673 28384 16203 0

3.2 Cartera en VSM

TIPO TASA SALDO_VSM_0 SALDO_VSM_2015 SALDO_VSM_2016 SALDO_VSM_2017 SALDO_VSM_2018 SALDO_VSM_2019 SALDO_VSM_2020 SALDO_VSM_2021 SALDO_VSM_2022 SALDO_VSM_2023 SALDO_VSM_2024 SALDO_VSM_2025 SALDO_VSM_2026 SALDO_VSM_2027 SALDO_VSM_2028 SALDO_VSM_2029 SALDO_VSM_2030 SALDO_VSM_2031 SALDO_VSM_2032 SALDO_VSM_2033 SALDO_VSM_2034 SALDO_VSM_2035 SALDO_VSM_2036 SALDO_VSM_2037 SALDO_VSM_2038 SALDO_VSM_2039 SALDO_VSM_2040 SALDO_VSM_2041 SALDO_VSM_2042 SALDO_VSM_2043 SALDO_VSM_2044 SALDO_VSM_2045
A. Segregada 4.0 2699539.5 0.0 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
A. Segregada 5.0 750136.0 0.0 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
A. Segregada 6.0 879486.3 0.0 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
B. Sin pago 4.0 1300403.1 533313.2 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
B. Sin pago 4.5 412661.3 384202.4 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
B. Sin pago 5.0 1454311.8 1028822.9 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
B. Sin pago 5.5 269422.1 247964.2 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
B. Sin pago 6.0 4228496.1 3250760.1 0.0 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
C. Pago insuficiente 4.0 741829.6 741634.1 733181.5 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
C. Pago insuficiente 4.5 303758.7 303758.7 296039.7 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
C. Pago insuficiente 5.0 901696.0 901638.5 880808.3 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
C. Pago insuficiente 5.5 309549.5 309549.5 299464.1 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
C. Pago insuficiente 6.0 8092499.3 8084167.8 7891685.2 0 0 0 0 0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.0000 0
D. Amortización parcial 4.0 1654355.9 1629059.1 1584559.6 1514396 1455601 1386871 1317663 1259329 1202279 1085905 883675.7 758610.8 688626.6 637657.1 593881.8 564546.8 537676 505920 475430.6 440772.8 406137.3 373008.8 337694.8 303999.3 265557.9 208603.2 154842.18 100535.51 59540.07 24026.55 6199.0964 0
D. Amortización parcial 4.5 2388752.3 2368747.7 2331601.7 2260597 2206306 2150475 2094038 2051162 2006316 1959410 1910349.0 1859034.1 1805361.8 1749223.8 1690506.8 1629092.4 1564857 1497670 1427396.5 1353894.8 1277016.5 1196606.4 1112502.3 1024534.4 932525.4 836289.4 691894.66 498931.36 285579.46 117131.74 28360.5096 0
D. Amortización parcial 5.0 4226777.8 4192757.1 4131270.7 4005599 3910825 3816534 3720000 3644944 3566047 3483114 3395937.3 3304162.7 3207630.6 3106367.0 2997283.9 2870290.6 2729539 2583570 2442857.6 2261931.8 2093857.1 1935669.6 1763325.8 1608442.6 1416016.5 940465.0 599384.98 403443.80 229825.44 97564.23 21494.7784 0
D. Amortización parcial 5.5 1976594.4 1964429.8 1941146.1 1891355 1854166 1813294 1773574 1745976 1716821 1686022 1653486.1 1619114.5 1582804.0 1544445.4 1503923.0 1461114.8 1415892 1368118 1317649.5 1264334.1 1208011.2 1148511.3 1085655.2 1019253.4 949106.1 875001.9 714718.30 528059.90 335282.01 152172.69 29297.2090 0
D. Amortización parcial 6.0 12378358.3 12302599.2 12142725.2 11832210 11599449 11362955 11107819 10931008 10743292 10543999 10332413.3 10107777.6 9869286.9 9616086.6 9346932.2 9056763.0 8731587 8393959 8040269.6 7582140.6 7118298.2 6641808.1 6116286.2 5557823.1 4861744.1 3844939.8 3047738.42 2439440.16 1797557.59 1195612.89 407196.5869 0
E. Amortización plena 4.0 5249766.9 4963332.4 4511746.2 4034508 3636935 3279182 2956068 2685609 2440476 2216757 2010701.6 1818924.9 1638335.5 1466571.3 1303517.0 1147987.4 1000569 861884 731556.1 611211.0 500076.0 398773.5 308468.3 230941.5 166701.0 115230.6 76281.28 47819.65 27370.09 12423.27 534.6748 0
E. Amortización plena 4.5 11926388.6 11669615.1 11206952.5 10573154 10012688 9442114 8873245 8365656 7849751 7324987 6792028.0 6254805.4 5717644.7 5183689.1 4656920.6 4140985.2 3639739 3155847 2696035.7 2266792.3 1871027.2 1514007.9 1199244.6 926631.1 697549.4 510521.7 362131.21 244419.70 150275.34 70655.82 3394.4084 0
E. Amortización plena 5.0 18205425.2 17239880.8 15627469.6 13840147 12274944 10828753 9527819 8443984 7492217 6657246 5915278.5 5245542.6 4631847.5 4063205.8 3532280.2 3036713.7 2577018 2155625 1775466.0 1437995.1 1140078.2 882876.6 668641.5 496410.4 360854.8 257708.8 179119.80 119241.70 72641.52 33982.37 2224.4901 0
E. Amortización plena 5.5 4275723.2 4195473.3 4049897.9 3849097 3665638 3481543 3288625 3121250 2949445 2773840 2594958.0 2413091.2 2229511.9 2044757.3 1859479.7 1674862.8 1491505 1311074 1136494.9 969644.7 812886.7 668404.9 536483.3 419520.2 319208.3 235423.5 167752.08 114838.24 72070.28 35590.14 3338.1497 0
E. Amortización plena 6.0 59449044.1 56604502.4 51911531.5 46775166 42374414 38299168 34541893 31266743 28177309 25261772 22516771.3 19944121.0 17563894.5 15373590.2 13376384.9 11568230.6 9946043 8502326 7229269.8 6108281.7 5123404.6 4261593.2 3508667.0 2853693.9 2281580.9 1782682.2 1342618.45 949835.14 597826.13 276994.83 24476.2541 0

3.3 Cartera en MXP

3.4 Flujos

3.4.1 Pago a capital

3.4.2 Pago de intereses