ANALYSIS: In May 2007 the repo market was characterized by fall of rates and exchange turnover on the background of growth of short-term liquidity of banking sector

/IRBIS, Valeriy Khegay, Andrey Tsalyuk, June 11, 07/ - In May 2007 at Kazakhstan stock exchange (KASE) in the sector of repo operations 5,924 deals were registered for a total of KZT1,953.2 bn. or USD16,241.7 m. at the current rate on dates of concluding deals, which is 65.4% of the total turnover of KASE in the given month (in April 2007 - 71.4%). Compared to April 2007 the volume of transactions decreased by KZT213.9 bn. ($1,524.9 m.) or by 9.9% (by 8.6% in dollars). Relative to May 2006 the volume of transactions increased by KZT1,109.9 bn. ($9,353.5 m.) or 2.3 times (2.4 times in dollars). Stake of the exchange turnover in the total volume of repo deals on Kazakhstan market in May on comparable operations totaled 100.0%, in April 2007 the given indicator made 99.99%. Structure of repo market turnover at KASE in May was as follows: - the stake of automatic repo transactions was 92.3% of the sector's turnover (KZT1,803.0 bn.), including deals in government securities (GS) - 79.6% (KZT1,55.3 bn.), deals in corporate securities (CS) - 12.7% (KZT247.7 bn.); - the stake of repo transactions, conducted by nego deals method, was 7.7% of the sector's turnover (KZT150.2 bn.), including deals in GS - 0.1% (KZT2.0 bn.), deals in CS - 7.6% (KZT148.2 bn.). For comparison, structure of stock exchange's repo market in April 2007 was as follows: autorepo - 93.9% (GS - 78.2%; CS - 15.7%); repo by nego method - 6.1% (GS - 0.3%; CS - 5.8%). The given data show that activity of repo exchange market in May had significantly yielded to April market with almost the same structure of turnover. In the analyzed month there were a little bit more free money then in April. It had predetermined the decrease of average weighted value of TONIA indicator from 3.77 APR to 2.97% APR. It seems that the same reason had become the main while forming of exchange turnover of market. The decrease of need in short money had negatively reflected on the given indicator on month. It should be noted that despite the differences, listed above May did not differed from April in principle. The highest values of TONIA were observed in the period of budget payments' conduction, that is in the middle of month. Distribution of volume of deals according to repo terms in he sector of auto repo with GS was similar - a little bit more than 70% - repo "overnight", about 13% - repo for 7 days. Below tables are given, which characterize primary segments of repo market of KASE in May 2007 on opening operations in tenge (market's stake in titles of tables is given according to the actual volume of operations, including deals of opening and closing repo; information on direct deals with CS (7.6% of the market) are not published due to a very big volume of the table). Automatic repo with GS - 79.6% of the market ------------------------------------------------------------------------ Repo rate, % APR Instrument Volume, Num- Market ------------------------------------- ber (currency, on first mini- maxi- on last weighted KZT of share, term, days) deal mum mum deal average m. deals % ----------- -------- ----- ----- ------- -------- --------- ----- ------ KZT_001 4.00 0.50 7.70 2.00 2.97 599,248.2 1345 76.43 KZT_002 2.50 0.50 5.00 1.40 2.53 54,206.0 52 6.91 KZT_003 2.00 2.00 6.00 6.00 3.30 10,081.0 34 1.29 KZT_007 5.50 4.00 9.00 4.90 5.60 108,390.1 193 13.82 KZT_014 5.50 3.50 6.50 3.50 5.47 7,109.0 9 0.91 KZT_028 6.00 6.00 6.00 6.00 6.00 5,000.0 3 0.64 ----------- -------- ----- ----- ------- -------- --------- ----- ------ TOTAL 784,034.3 1,636 100 ------------------------------------------------------------------------ Automatic repo with CS - 12.7% 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 % ----------- -------- ----- ----- ------- -------- --------- ------ ------ ASBN_001 4.50 4.00 4.50 4.00 4.15 348.1 3 0.27 ASBN_030 7.50 1.0 1 0.001 ASBN_090 8.00 8.00 8.00 8.00 8.00 1,878.1 2 1.48 ASBNb3_001 5.00 3.00 5.00 5.00 4.67 515.0 4 0.41 ASBNb3_003 5.50 5.50 5.50 5.50 5.50 318.0 2 0.25 ASBNb3_007 6.50 6.50 7.50 6.80 6.93 480.0 3 0.38 ASBNb4_001 4.50 4.50 5.00 5.00 4.75 500.0 4 0.39 ASBNb4_007 6.50 6.50 7.50 6.80 6.93 375.0 3 0.30 ASFI_030 9.00 8.80 9.00 8.80 8.91 1,133.0 4 0.89 ASFIb5_003 5.50 4.00 7.50 5.50 6.17 2,360.0 14 1.86 ASFIb5_007 7.00 6.70 7.50 6.70 6.98 890.0 5 0.70 ASFIb5_014 7.50 20.0 1 0.02 ASFIb7_001 5.00 3.00 7.00 5.00 5.84 5,928.0 14 4.68 ASFIb7_003 5.50 5.50 5.50 5.50 5.50 716.0 2 0.57 ASFIb7_007 7.00 720.0 1 0.57 ATFB_028 8.50 8.50 8.50 8.50 8.50 100.0 2 0.08 ATFBb4_002 7.50 7.50 7.50 7.50 7.50 930.0 3 0.73 ATFBb4_014 9.00 7.20 9.00 7.20 7.63 967.0 4 0.76 ATFBb5_028 9.00 1,200.0 1 0.95 ATFBb6_028 8.50 8.00 8.50 8.00 8.08 304.0 4 0.24 ATFBp8_001 6.00 115.0 1 0.09 ATFBp8_007 7.00 7.00 8.00 8.00 7.61 165.0 2 0.13 ATFBp8_028 8.50 8.50 8.50 8.50 8.50 164.0 2 0.13 BTAIb10028 8.50 8.30 8.50 8.30 8.32 1,138.0 2 0.90 BTAIb12007 9.00 195.0 1 0.15 BTAIb5_014 7.50 7.50 7.60 7.60 7.55 311.0 2 0.25 BTAIb7_007 7.00 420.0 1 0.33 BTAS_001 5.00 2.00 8.00 5.00 5.35 13,057.7 68 10.30 BTAS_007 7.00 7.00 15.00 7.00 12.11 2,695.5 13 2.13 BTAS_030 7.50 6.00 15.00 9.50 9.61 27,195.0 74 21.46 BTASb4_014 7.50 7.50 7.60 7.60 7.55 88.0 2 0.07 BTASb5_007 8.00 7.00 8.00 7.60 7.62 1,086.0 10 0.86 BTASb7_001 4.50 4.50 7.00 7.00 6.02 788.0 6 0.62 BTASb7_007 6.80 6.80 7.00 7.00 6.93 1,430.0 9 1.13 BTASb7_030 8.20 8.20 15.00 15.00 10.66 4,087.0 12 3.23 CCBN_001 3.00 3.00 6.00 5.00 5.39 383.0 5 0.30 CCBN_003 5.50 90.0 1 0.07 CCBN_007 8.00 5.00 8.00 7.00 6.05 449.0 8 0.35 CCBN_014 6.80 6.80 6.80 6.80 6.80 75.0 5 0.06 CCBN_030 9.50 7.00 9.50 7.00 7.06 205.0 2 0.16 CCBN_090 9.00 500.0 1 0.39 CSBNb4_007 6.50 6.50 7.50 6.50 6.85 463.0 3 0.37 DNBN_028 11.50 10.00 11.50 11.50 11.43 333.0 8 0.26 EUBNb3_001 5.50 4.50 5.50 4.50 5.22 305.0 3 0.24 EUBNb3_007 7.50 6.70 7.50 6.70 7.13 182.0 2 0.14 EUBNb3_014 7.75 7.20 7.75 7.60 7.56 1,810.0 10 1.43 EUBNb3_028 10.00 93.0 1 0.07 KKGB_001 6.00 122.0 1 0.10 KKGB_007 8.00 7.00 8.00 7.00 7.80 152.0 2 0.12 KKGB_028 8.00 8.00 8.30 8.30 8.21 144.0 3 0.11 KKGBb2_014 7.50 7.50 7.75 7.75 7.62 606.2 4 0.48 KKGBp_001 4.50 4.50 7.00 5.00 5.21 1,207.0 14 0.95 KKGBp_007 7.00 6.50 7.00 6.50 6.86 207.0 3 0.16 KKGBp_028 3.00 3.00 3.00 3.00 3.00 8,218.0 36 6.49 KZTC_001 4.50 4.50 6.00 5.00 4.60 1,569.0 7 1.24 KZTC_007 6.50 6.50 7.00 7.00 6.58 6,624.1 24 5.23 KZTC_028 7.00 7.00 8.00 8.00 7.38 400.0 2 0.32 KZTCb1_001 8.00 5.00 8.00 5.00 6.37 119.0 3 0.09 KZTCb1_007 6.80 6.80 6.80 6.80 6.80 60.0 4 0.05 KZTK_001 8.00 4.50 8.00 4.50 4.94 343.0 2 0.27 KZTK_003 6.50 6.50 6.50 6.50 6.50 60.1 2 0.05 KZTK_007 6.50 6.50 6.50 6.50 6.50 1,200.1 4 0.95 KZTK_014 7.50 3.00 7.50 3.00 4.04 130.0 2 0.10 KZTK_028 3.00 3.00 8.50 3.00 5.57 2,652.3 11 2.09 NFBNb1_090 9.00 301.0 1 0.24 NRBNb2_001 7.00 430.0 1 0.34 NRBNb2_007 7.00 7.00 7.00 7.00 7.00 1,358.0 3 1.07 NRBNb4_007 10.00 10.00 10.00 10.00 10.00 717.0 3 0.57 NRBNb5_001 6.00 4.70 6.00 5.00 5.37 1,335.0 6 1.05 NRBNb5_003 5.50 5.50 6.50 6.00 5.70 684.0 3 0.54 NRBNb5_007 6.80 6.80 7.50 7.00 7.12 1,263.0 5 1.00 ORDB_007 9.00 9.00 11.00 11.00 10.96 1,579.0 14 1.25 ORDB_028 11.00 10.50 11.50 11.00 11.07 1,232.0 18 0.97 ORNKb1_028 8.60 8.60 9.00 9.00 8.96 840.0 4 0.66 PDES_028 12.00 12.00 12.00 12.00 12.00 499.0 2 0.39 PRKRb2_028 9.00 1,800.0 1 1.42 RDGZ_001 5.70 3.50 7.00 5.00 5.51 2,048.1 23 1.62 RDGZ_007 7.00 7.00 8.00 8.00 7.67 1,283.1 9 1.01 RDGZ_014 9.00 6.80 9.00 6.80 8.49 325.0 5 0.26 RDGZ_028 8.50 7.75 9.30 8.50 8.72 2,963.1 12 2.34 RGBRb3_007 8.00 51.0 1 0.04 RGBRb3_014 8.00 50.0 1 0.04 RGBRb3_028 8.50 52.0 1 0.04 RGBRb4_014 8.00 8.00 9.00 8.00 8.23 310.0 6 0.24 RGBRb4_028 9.00 8.50 9.00 8.50 8.79 466.0 8 0.37 ROSA_001 5.00 5.00 6.00 6.00 5.38 319.0 2 0.25 TEBNp_007 7.00 7.00 8.50 8.50 8.18 89.0 3 0.07 TSBN_001 4.50 168.0 1 0.13 TSBN_030 10.00 10.00 12.00 10.00 10.01 204.0 3 0.16 UTMK_030 9.00 9.00 9.00 9.00 9.00 4,896.1 9 3.86 VITAb4_060 9.50 138.0 1 0.11 ----------- -------- ----- ----- ------- -------- --------- ------ ------ TOTAL 126,720.9 601 100 ------------------------------------------------------------------------- Repo on direct deals with GS - 0.1% 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 2.25 1.70 2.25 1.70 1.72 345.0 4 58.04 3 4.00 227.0 1 38.19 5 3.00 22.5 1 3.78 ------- -------- ----- ----- ------- -------- ------- ------ ------ TOTAL 594.5 6 100 --------------------------------------------------------------------------- [2007-06-11]