ANALYSIS: A substantial decrease of overnight repo rates in November 2006 brought to money outflow from KASE's repo market

/IRBIS, Valeriy Khegay, Andrey Tsalyuk, December 8, 06/ - In November of 2006 Kazakhstan stock exchange (KASE) registered 4,601 deals in the repo transactions sector for a total of KZT1,512.9 bn. or USD11,826.8 m. at the current rate effective on deals making dates, which is 58.0% of the total turnover of KASE in this month (in October of 2006 - 67.2%). In comparison with October of 2006 volume of operations has decreased by KZT345.1 bn. ($2,724.5 m.) or by 18.6% (by 18.7% in dollar terms). Relative to November of 2005 volume of operations has grown by KZT904.9 bn. ($7,292.7 m.) or 2.5 times (2.6 times in dollar terms). Stake of exchange's turnover in total volume of repo deals on Kazakhstan market in November on comparable operations totaled 100.0%, in October of 2006 - 99.0%. Structure of repo market turnover on KASE in November was as follows: - the stake of automatic repo transactions was 93.9% of the sector's turnover (KZT1,420.5 bn.), including deals in government securities (GS) - 76.9% (KZT1,163.2 bn.), deals in corporate securities (CS) - 17.0% (KZT257.3 bn.); - the stake of repo transactions made by nego deals method was 6.1% of the sector's turnover (KZT92.4 bn.), including deals in GS - 0.3% (KZT4.2 bn.), deals in CS - 5.8% (KZT88.2 bn.). For comparison, structure of stock exchange repo market in October of 2006 was as follows: autorepo - 93.2% (GS - 76.8%; CS - 16.4%); repo by direct method - 6.8% (GS - 0.1%; CS - 6.7%). In the analyzed month the conjuncture of the most sizeable sector of the exchange market kept on changing in the direction that was designated as long ago as in the middle of September. Owing to the pressure growth of US dollar offer from the side of second tier banks and their clients on the domestic market the volume of dollar buying-up by the National Bank was growing. This caused the growth of tenge supply and tenge offer volume in KASE's repo sector, as a consequence of which overnight repo rate have decreased (weighted average value of TONIA indicator in November decreased to 2.10% APR from 4.02% APR in October). With a purpose of increasing attractiveness of its notes as well as within the frameworks of toughening of monetary and credit policy the National Bank increased yield of issued bonds from 4.05% APR in October to 4.18% APR in November. As a result, notes have become the object of more profitable investments in comparison with the most liquid instruments of the repo market. This was not slow in affecting' activity of traders KASE's repo sector, who took out a part of money from this floor in November and preferred using it at purchase of notes of the National Bank at initial auctions. The stated explains the reasons, which brought to the fall of repo market turnover on KASE in November. In December IRBIS analysts do not expect substantial changes. Repo market activity, most likely, will remain on the attained level, and repo rates might slightly grow. Below the tables are given, characterizing the main segments of repo sector of KASE in Kazakhstan in November 2006 on tenge opening operations (market share in titles of the tables is given according to the actual volume of operations, including deals of opening and closing of repo; information on direct deals in CS (5.8% of the market) is not published by IRBIS because of a very big volume of the table). Automatic repo with GS - 76.9% of the market ------------------------------------------------------------------------- Repo rate, % APR Instrument ------------------------------------- Volume, Num- Market (currency, on first mini- maxi- on last weighted m. ber of share, term, days) deal mum mum deal average KZT deals % ----------- -------- ----- ----- ------- -------- --------- ------ ------ KZT_001 4.50 0.00 6.50 0.30 2.10 525,175.2 1091 89.32 KZT_002 2.00 1.50 3.34 2.50 1.94 18,492.0 26 3.15 KZT_003 4.00 1.50 4.00 2.00 2.26 34,130.0 35 5.80 KZT_007 4.50 3.00 9.00 3.50 6.56 8,355.0 35 1.42 KZT_014 3.50 3.00 4.90 4.90 3.67 607.0 4 0.10 KZT_028 6.00 4.50 6.50 6.00 5.89 1,199.0 18 0.20 ----------- -------- ----- ----- ------- -------- --------- ------ ------ ИТОГО 587,958.3 1,209 100 ------------------------------------------------------------------------- Automatic repo with CS - 17.0% of the market ------------------------------------------------------------------------- Repo rate, % APR Instrument ------------------------------------- Volume, Num- Market (security, on first mini- maxi- on last weighted m. ber of share, term, days) deal mum mum deal average KZT deals % ----------- -------- ----- ----- ------- -------- --------- ------ ------ ASBNb3_007 6.00 167.0 1 0.14 ASBNb3_030 7.00 167.0 1 0.14 ASBNb4_001 2.50 2.50 4.50 4.50 3.32 207.0 2 0.18 ASBNb4_007 6.00 4.50 6.00 4.50 5.34 373.0 3 0.32 ASBNp1_001 4.00 3.50 4.00 3.50 3.96 328.0 3 0.28 ASBNp1_030 8.50 4.00 8.50 4.00 5.56 153.0 2 0.13 ASFI_014 8.50 8.50 8.50 8.50 8.50 1,000.0 4 0.86 ASFI_030 6.00 6.00 6.00 6.00 6.00 633.0 3 0.54 ASFIb5_003 2.50 2.50 2.50 2.50 2.50 780.0 2 0.67 ASFIb5_007 6.00 6.00 6.00 6.00 6.00 697.0 2 0.60 ASFIb5_014 6.50 6.50 6.50 6.50 6.50 690.0 2 0.59 ASFIb7_001 5.00 67.0 1 0.06 ASFIb7_003 2.50 67.0 1 0.06 ASFIb7_007 6.00 1,093.0 1 0.94 ASFIb7_014 6.50 66.0 1 0.06 ASFIb7_030 7.50 7.00 7.50 7.00 7.01 1,134.0 2 0.98 ATFB_001 2.50 97.0 1 0.08 ATFB_007 6.00 6.00 6.00 6.00 6.00 689.0 4 0.59 ATFB_014 7.00 7.00 7.00 7.00 7.00 380.0 3 0.33 ATFB_028 8.00 7.00 8.00 8.00 7.18 635.0 5 0.55 ATFB_090 9.00 45.0 1 0.04 ATFBb4_001 5.50 1.70 6.50 2.00 2.95 1,208.0 5 1.04 ATFBb4_014 7.50 7.50 7.50 7.50 7.50 562.0 3 0.48 ATFBp8_001 4.00 2.00 5.00 3.00 3.24 1,882.0 26 1.62 ATFBp8_007 6.00 6.00 6.00 6.00 6.00 153.0 4 0.13 BTAIb10028 5.80 760.0 1 0.65 BTAS_001 7.00 2.00 7.00 2.50 5.55 25,408.1 47 21.85 BTAS_007 6.00 5.00 8.00 8.00 7.04 3,050.3 9 2.62 BTAS_030 6.50 6.50 9.00 7.00 6.87 11,163.9 35 9.60 BTAS_090 9.00 9.00 9.00 9.00 9.00 28.1 2 0.02 BTASb5_007 6.90 1,000.0 1 0.86 BTASb7_090 7.00 437.0 1 0.38 CCBN_001 5.00 3.50 5.00 3.50 4.02 23.0 2 0.02 CCBN_030 7.00 177.0 1 0.15 CSBNb4_007 5.50 5.50 6.50 6.50 6.00 450.0 2 0.39 CSBNb5_001 2.50 197.0 1 0.17 CSBNb5_007 4.50 196.0 1 0.17 EUBNb3_001 4.00 3.00 4.00 4.00 3.83 302.0 13 0.26 KKAGb3_001 4.00 300.0 1 0.26 KKAGb3_030 9.00 4.00 9.00 4.00 7.61 360.0 2 0.31 KKGB_007 7.00 10.0 1 0.01 KKGB_028 8.00 42.0 1 0.04 KKGBp_001 4.00 2.50 5.00 3.80 3.89 2,054.0 27 1.77 KKGBp_003 4.50 4.50 4.50 4.50 4.50 105.0 2 0.09 KKGBp_007 6.00 78.0 1 0.07 KKGBp_014 6.00 6.00 6.00 6.00 6.00 96.0 3 0.08 KKGBp_028 7.00 14.0 1 0.01 KZTC_001 5.50 3.00 5.50 3.00 3.63 18,083.7 126 15.55 KZTC_007 7.50 4.80 8.00 6.00 6.55 14,237.5 90 12.24 KZTC_028 8.00 6.00 9.00 7.00 7.49 4,872.2 32 4.19 KZTCb1_001 5.00 3.80 5.00 3.80 4.32 120.0 3 0.10 KZTCb1_007 6.00 6.00 6.00 6.00 6.00 129.0 3 0.11 KZTK_007 7.00 9.0 1 0.01 KZZN_001 3.00 42.0 1 0.04 KZZN_003 3.00 35.0 1 0.03 NFBNb1_007 5.80 5.80 5.80 5.80 5.80 400.0 2 0.34 NFBNb1_028 8.70 7.50 8.70 7.50 8.55 574.0 4 0.49 NRBNb4_014 6.50 5.50 6.50 5.50 6.00 711.0 2 0.61 NRBNb5_003 2.50 692.0 1 0.60 NRBNb5_007 6.00 4.50 6.00 4.50 5.75 2,323.0 5 2.00 ORDB_090 10.00 10.00 10.00 10.00 10.00 140.0 2 0.12 RDGZ_001 3.50 1.70 6.50 2.50 3.28 4,706.1 25 4.05 RDGZ_007 6.75 22.0 1 0.02 RDGZ_014 6.00 6.00 7.00 7.00 6.99 1,553.0 4 1.34 RDGZ_028 8.20 8.20 8.20 8.20 8.20 650.0 2 0.56 RGBRb4_001 4.20 4.00 5.00 4.00 4.08 258.0 5 0.22 RGBRb4_007 5.70 5.00 5.70 5.00 5.33 211.0 4 0.18 ROSA_090 7.50 127.0 1 0.11 TSBNb1_001 5.00 2.50 5.00 4.00 3.63 1,678.0 20 1.44 TSBNb1_007 6.00 5.50 6.00 6.00 5.89 168.0 4 0.14 UTMK_030 8.00 8.00 9.00 9.00 8.68 4,876.1 9 4.19 VITAb4_028 9.00 150.0 1 0.13 ----------- -------- ----- ----- ------- -------- --------- ------ ------ TOTAL 116,292.0 587 100 ------------------------------------------------------------------------- Repo on direct deals with GS - 0.3% of the market --------------------------------------------------------------------------- Repo rate, % APR Term of ----------------------------------------- Volume, Num- Market repo, on first mini- maxi- on last weighted m. ber of share, days deal mum mum deal average KZT deals % ------- -------- ----- ----- ------- -------- ------- ------ ------ 1 1.50 1.50 10.50 10.50 5.66 901.3 9 39.53 4 6.67 22.5 1 0.98 5 3.54 1,100.0 1 48.25 17 3.61 26.3 1 1.15 22 3.71 3.71 3.71 3.71 3.71 230.0 4 10.09 ------- -------- ----- ----- ------- -------- ------- ------ ------ TOTAL 2,280.0 16 100 --------------------------------------------------------------------------- [2006-12-08]