/SUPPLEMENTED/ KASE ALTERS PROCEDURE FOR COMPOSING LISTS OF LIQUID AND ILLIQUID SECURITIES

17.03.11 17:09
/KASE, March 17, 11, the last 8 paragraphs have been amended and supplemented/ - Following a decision of Kazakhstan Stock Exchange (KASE) Management Board of March 15, 2011, amendments # 1 (Amendments) to KASE internal document "Methodology on determination of securities' liquidity indicators" (Methodology) have been approved and are effective from March 15, 2011. The Amendments stipulate the following: 1. The periodicity of composing lists of liquid and illiquid securities has been amended. According to the amendments, these lists will be composed by the Exchange once every two months, and not quarterly as was meant before. 2. Lists of liquid and illiquid securities will be formed on the twenty third date of each odd month of each year (or on the following day if such date coincides with a day-off or holiday in Kazakhstan) and will be effective beginning from the first date of the month following the month when the mentioned lists were composed. 3. A permanently valid threshold value for the securities' liquidity indicator has been set at 0.700. Securities characterized by an equal or higher value of the liquidity indicator will be included into the list of liquid securities, the rest - into the list of illiquid securities. Previously, KASE Management Board reviewed the threshold value on a quarterly basis. 4. For composing the lists of liquid and illiquid securities, KASE calculates values of the securities' liquidity indicator for each denomination out of securities included in KASE lists, based on parameters of transactions which were made in given securities in KASE trading system within sixty calendar days preceding the settlement date. Previously, calculations included parameters of deals made during two consecutive quarters preceding the month in which the mentioned lists were composed. The amendments have been made in order to simplify the composing procedure for lists of liquid and illiquid securities and for standardization of criteria according to which shares being traded on Kazakhstan's organized stock market are classified as liquid. Currently, in accordance with various KASE's internal documents and regulating acts of the Agency of the Republic of Kazakhstan on Regulation and Supervision of Financial Market and Financial Organizations (FSA), at least four shares lists considered as the most liquid depending on the purpose exist on Kazakhstan's market: - KASE Index's representative list formed by KASE in accordance with KASE's internal document "Methodology of Calculation of Stock market Indicators"; - list of liquid shares formed by KASE in accordance with the Methodology with purpose of using rules of KASE's internal document "Regulations of Trades and Confirmation System Operation"; - list of liquid shares composed by KASE on the first working day of each week with purpose of market valuation in accordance with KASE's internal document "Methodology of Securities Valuation"; - list of shares with an active market composed by KASE according to Rule # 109 for Assessment of Financial Instruments in Accumulative Pension Funds' Investment Portfolios, approved by FSA Management Board on March 28, 2005. Each of the above-mentioned lists is formed in line with equal basic liquidity criteria: volume and number of deals, number of effective trading days in a period, number of KASE members making deals in the considered period. However, digital values of criteria and their application methods are different, which effectively means existence of four lists. Amendments made to the Methodology will allow KASE to use lists of liquid and illiquid shares formed in accordance with the Methodology for establishing the schedule for trading in shares, as well as for carrying out market evaluation of shares (after introduction of respective amendments in to the Methodology of Securities Valuation). The Methodology's revised text is available on KASE website, at http://www.kase.kz/files/normative_base/metodika_liquid.pdf [2011-03-17]