PARAMETERS OF SUBGROUPS OF NON-INDEXED GS DEFINED FOR CURRENT QUARTER AND PARAMETERS OF SUBGROUPS OF THESE SECURITIES FOR THE THIRD QUARTER FOR PURPOSES OF THEIR MARKET VALUATION

21.06.19 18:48
/KASE, June 21, 2019/ – Kazakhstan Stock Exchange (KASE) announces that due to the change in non-indexed government securities (GS) market conditions, the Market Risks Committee of KASE (the Committee) has revised the parameters of non-indexed GS subgroups used by KASE for their market valuation in an extraordinary order and has set GS parameters for Q3 2019. According to the Committee’s decision, for purposes of GS valuation for the current and for the third quarter of 2019 those GS were divided into two sub- groups with the following values of their limits: I subgroup – from 0 to 1,080 days left to maturity, II subgroup – from 180 and more days left to maturity. A polynomial trend equation of the second degree will be used for building the yield curves for the mentioned subgroups. The Committee has made this decision after studying the analytical data and in accordance with item 17-2 of the Methodology for Securities Valuation, which stipulates that the Committee has the right to make a decision in respect of the number and parameters of subgroups of non-indexed GS for their market valuation in an extraordinary order in the course of the quarter, if there is a significant change in the GS market conditions and/or significant changes in the makeup of government securities of the Republic of Kazakhstan of the second group and if any events occur that may cause incorrect calculation of market prices of Kazakhstan’s GS. Change in the GS market conditions is related to the issuance of notes of the National Bank of the Republic of Kazakhstan on June 17 and June 19, 2019 with maturity terms of 93, 184 and 364 days with weighted average yield to maturity of 9.30 %, 9.76 % and 9.94 % APR, accordingly. Earlier, the notes with such maturity terms were issued with yield of 8.82 %, 8.70 % and 8.65 % APR. Let us remind that it was decided on March 26, 2019 not to divide non-indexed GS to subgroups and to use a polynomial trend equation of the second degree for building the yield curve for the purposes of GS valuation. In accordance with the Methodology for Securities Valuation, the number of subgroups, their limits and types of polynomial trend equations used must be determined at least five working days before the start of the quarter. The text of the Methodology for Securities Valuation is available on KASE website at http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf All persons interested in the Methodology and procedure of calculation of market prices can contact the Information and Statistics Department of KASE: tel. (727) 237 53 18, e-mail: info@kase.kz [2019-06-21]