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17.09.2007 15:31

ANALYSIS: In August 2007 under influence of world liquidity crisis the repo rates on KASE increased to four years' maximum

/IRBIS, Valeriy Khegay, Andrey Tsalyuk, September 17, 07/ - In August 2007 at Kazakhstan stock exchange (KASE) in the sector of repo operations 6,307 deals were registered for a total of KZT2,282.5 bn. or USD18,263.9 m. at the current rate on dates of concluding deals, which is 58.2% of the total turnover of KASE in the given month (in July 2007 - 64.5%).

Compared to July 2007 the volume of transactions increased by KZT160.9 bn. ($880.3 m.) or by 7.6% (by 5.1% in dollars). Relative to August 2006 the volume of transactions increased by KZT727.8 bn. ($5,667.7 m.) or 1.5 times (1.4 times in dollars).

Stake of the exchange turnover in the total volume of repo deals at the Kazakhstan market in August on comparable operations totaled 99.9%, in July 2007 - 99.0%.

Structure of repo market turnover at KASE in analyzed month was as follows:

0. the stake of automatic repo transactions was 94.0% of the sector's turnover (KZT2,144.7 bn.), including deals in government securities (GS) - 84.5% (KZT1,928.3 bn.), deals in corporate securities (CS) - 9.5% (KZT216.4 bn.);

1. the stake of repo transactions, conducted by nego deals method, was 6.0% of the sector's turnover (KZT137.8 bn.), including deals in GS - 0.3% (KZT6.4 bn.), deals in CS - 5.7% (KZT131.4 bn.).

For comparison, structure of stock exchange's repo market in July 2007 was as follows: autorepo - 93.7% (GS - 82.4%; CS - 11.3%); repo by nego method - 6.3% (GS - 1.4%; CS - 4.9%).

The significant growth of repo rates on Kazakhstan market in the analyzed month had become the consequence of so-called global liquidity crisis. Under influence of it and also as then result of rushed purchasing by the population of the cash dollars, banks were actively purchasing the American currency on internal market. It had lead to increased need in tenge, which had become the main reason of growth of cost of short money.

Below tables are given, which characterize primary segments of repo market of KASE in August 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 (5.7% of the market) are not published due to a very big volume of the table).

Automatic repo with GS - 84.5% 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         6.00  0.00 17.00    7.00     8.36 513,099.20  1269  51.54
KZT_002        10.50  4.00 10.80   10.80     8.17   6,727.00    14   0.68
KZT_003         5.00  4.00 10.00    6.00     6.60   2,173.00     8   0.22
KZT_007         9.00  6.50 10.50    9.00     8.99 471,455.15   527  47.35
KZT_014         9.00  9.00 10.00    9.00     9.22   1,560.01    19   0.16
KZT_028         5.00  5.00  9.50    9.50     8.97     579.00     6   0.06
----------- -------- ----- ----- ------- -------- ---------- ----- ------
TOTAL                                              995,593.4 1,843    100
-------------------------------------------------------------------------

Automatic repo with CS - 9.5% 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      %
----------- -------- ----- ----- ------- -------- --------- ------ ------
ALLZb1_030                                  11.50     29.00      1   0.03
ASBN_030       10.75  7.00 10.75    8.00     8.04  1,947.05      6   1.77
ASBNb3_001      6.00  6.00  7.50    7.50     6.75    320.00      2   0.29
ASBNb3_007      9.50  9.50  9.50    9.50     9.50    480.00      3   0.44
ASBNb4_001                                   6.00    120.00      1   0.11
ASBNb4_014      9.00  9.00  9.50    9.50     9.12    250.00      4   0.23
ASFI_030                                    12.00     32.01      1   0.03
ASFIb5_003      9.00  9.00 10.50   10.50     9.46    490.00      2   0.45
ASFIb5_007      7.50  7.00 10.50   10.50     7.92    584.00      8   0.53
ASFIb5_014      9.50  9.50 10.00   10.00     9.73    769.00      6   0.70
ASFIb7_001      6.00  6.00 10.00   10.00     7.05  2,620.00      5   2.39
ASFIb7_014      9.50  9.50 11.20   11.20    10.35  1,639.00      8   1.49
ASFIp_014       9.57  9.57 13.17   13.17    10.88  2,200.00      3   2.01
ASFIp_028       9.57  9.57  9.57    9.57     9.57  3,263.01      5   2.97
ATFBb4_014     10.50 10.50 10.50   10.50    10.50  1,310.00      8   1.19
ATFBb5_007     13.00 13.00 13.00   13.00    13.00  1,990.00      4   1.81
ATFBb6_001                                   9.90    250.00      1   0.23
ATFBb6_014      9.00  9.00 13.00   13.00    11.71    163.00      5   0.15
ATFBb6_028     10.50  9.50 13.00    9.50    10.84    286.00      6   0.26
ATFBp8_028                                   9.30    120.00      1   0.11
BTAIb10028      9.50  8.30  9.50    8.30     8.75  1,608.00      2   1.47
BTAIb5_014      9.25  9.25 10.60   10.60     9.92    303.00      2   0.28
BTAIb7_007     10.00 10.00 10.00   10.00    10.00    200.00      2   0.18
BTAS_001        5.50  5.50 11.00    8.50     9.08  3,150.69     12   2.87
BTAS_007        7.00  7.00 10.00    9.80     8.57  3,859.79     26   3.52
BTAS_030        9.00  7.00 15.00   15.00     9.27 19,756.46     56  18.01
BTAS_090       12.00 12.00 12.00   12.00    12.00  4,570.50     10   4.17
BTASb1_028      8.50  8.50  9.50    9.50     9.44    235.02      4   0.21
BTASb2_028      9.30  8.50  9.50    9.50     9.30    432.02      4   0.39
BTASb3_014      9.00  9.00  9.00    9.00     9.00    212.02      2   0.19
BTASb4_014      9.00  7.50  9.20    9.00     8.85    755.03      6   0.69
BTASb5_007     10.50  9.00 10.50   10.00     9.77  1,580.03      8   1.44
BTASb7_001      6.50  6.50 10.50   10.50     9.29    655.03      9   0.60
BTASb7_007      9.00  9.00  9.00    9.00     9.00    400.01      2   0.36
BTASb7_030     10.00 10.00 15.00   15.00    13.17  1,084.01      5   0.99
CCBN_001        7.50  5.50  7.50    5.50     6.69    134.00      2   0.12
CCBN_007                                     7.00    203.00      1   0.19
CCBN_014                                    11.20    140.00      1   0.13
CCBN_030        9.50  9.50 12.00   12.00     9.96  1,335.01     13   1.22
CCBN_090       12.00 12.00 12.00   12.00    12.00  6,044.01      6   5.51
CCBNb12007     13.00 13.00 13.00   13.00    13.00  1,370.00      5   1.25
CSBNb4_007      9.50  9.20  9.50    9.20     9.40    717.01      3   0.65
CSBNb5_001     10.00 10.00 10.50   10.50    10.29    424.02      4   0.39
CSBNb5_007      9.50  9.00  9.50    9.00     9.37    363.05      7   0.33
CSBNb6_001     10.00 10.00 10.00   10.00    10.00    344.00      2   0.31
CSBNb6_003                                  10.50    174.01      1   0.16
CSBNb6_007      9.00  9.00  9.00    9.00     9.00    302.02      2   0.28
DNBN_028       13.00 13.00 13.00   13.00    13.00    209.01     10   0.19
EUBNb3_001      6.00  6.00 10.50   10.50     8.10    938.00      5   0.86
EUBNb3_007      7.50  7.00 10.00   10.00     8.17    750.00     13   0.68
EUBNb3_014      9.00  9.00  9.50    9.50     9.25    800.00      4   0.73
EUBNb3_028     10.00  9.50 10.00    9.80     9.68    855.00      3   0.78
GLOTb2_028                                  10.00     17.00      1   0.02
HSBKp1_001      8.00  8.00 11.00   10.00    10.45  2,350.00     12   2.14
HSBKp1_007      7.00  7.00 11.50   10.00    10.02  1,286.00      5   1.17
HSBKp1_030     10.00  9.00 10.00    9.00     9.38    803.00      2   0.73
KASTb1_028                                  12.00    500.00      1   0.46
KASTb2_007                                  12.00  1,000.00      1   0.91
KKGB_028        9.00  9.00 10.50   10.50     9.46    147.00      2   0.13
KKGBb2_007     10.00  9.00 10.00    9.00     9.27    915.17      7   0.83
KKGBb2_014      9.00  9.00  9.00    9.00     9.00    383.05      2   0.35
KKGBb2_028     10.00  8.50 10.00    9.50     9.74    520.18      5   0.47
KKGBp_001                                   10.00     80.00      1   0.07
KKGBp_007       7.50  7.00 10.00    7.00     7.62    408.00      4   0.37
KKGBp_014                                   11.20    255.00      1   0.23
KKGBp_028                                    8.00     12.00      1   0.01
KZIKb8_007     10.00 10.00 10.00   10.00    10.00    184.00      5   0.17
KZTC_001        7.00  7.00 11.00   11.00     9.58  5,025.43     39   4.58
KZTC_007        7.00  7.00 12.00   12.00     9.84  1,598.10     10   1.46
KZTCb1_007      9.00  9.00  9.00    9.00     9.00     48.00      4   0.04
KZTK_001       10.50  9.00 11.00    9.00    10.70    390.04      6   0.36
KZTK_003        8.00  8.00  8.00    8.00     8.00    203.06      3   0.19
KZTK_007                                     7.00     41.03      1   0.04
KZTK_028        9.50  9.00 13.00   12.00     9.49    926.13     10   0.84
NRBNb2_001     10.00 10.00 10.00   10.00    10.00  1,354.01      3   1.23
NRBNb2_003      9.00  9.00 10.50   10.50     9.90    754.01      2   0.69
NRBNb2_007                                   9.00    167.00      1   0.15
NRBNb2_014      8.00  8.00  8.50    8.50     8.07    115.01      2   0.10
NRBNb4_001      6.00  6.00 10.50   10.50     8.75  1,979.00     10   1.80
NRBNb4_007      8.00  8.00  9.00    9.00     8.50    140.00      2   0.13
NRBNb5_001                                  10.00     80.00      1   0.07
NRBNb5_003                                  10.50     80.00      1   0.07
NRBNb5_007                                   8.70     80.00      1   0.07
ORDB_007        7.00  7.00  9.00    9.00     8.85    150.00      3   0.14
ORDB_028       11.50 10.50 12.50   12.50    11.80    535.01     10   0.49
PRKRb2_028      9.50  9.00  9.50    9.00     9.07     84.00      5   0.08
RDGZ_001        9.00  7.00 12.00   12.00     9.32  3,734.12     17   3.40
RDGZ_007        7.00  7.00 12.00   12.00    11.93  1,880.03      8   1.71
RDGZ_014        8.50  8.50 11.00   10.00     9.66    259.02      4   0.24
RDGZ_028        9.00  9.00 12.00   10.00    10.00    588.04      5   0.54
RGBRb3_014                                   8.00     25.00      1   0.02
RGBRb4_014      8.00  8.00  8.00    8.00     8.00     50.00      2   0.05
RGBRb4_028      9.00  9.00  9.50    9.50     9.19    116.00      2   0.11
ROSA_001       10.00 10.00 10.00   10.00    10.00    116.00      2   0.11
TEBN_007        9.00  8.00  9.00    8.00     8.36    390.01      3   0.36
TEBN_014       11.00 11.00 11.00   11.00    11.00    400.01      2   0.36
TEBN_030                                    10.00    156.00      1   0.14
TEBNp_001       7.00  7.00 13.00   11.00     8.92  2,268.02     12   2.07
TEBNp_030       9.50  9.50  9.50    9.50     9.50    400.00      2   0.36
TSBN_030        7.50  7.50 11.50   11.50    11.14    550.00      2   0.50
UTMK_030       12.00 11.00 12.00   11.00    11.45  3,346.10      7   3.05
VITAb4_030                                  11.00     50.00      1   0.05
----------- -------- ----- ----- ------- -------- --------- ------ ------
ИТОГО                                             109,704.4    547    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      %
------- -------- ----- ----- ------- -------- -------- ------ ------
0                                               122.40      4   3.46
1           8.00  7.00  9.75    9.50     7.76 1,028.11      5  29.02
2           7.00  5.01 25.63   25.42    15.86   418.40      7  11.81
3           9.00  3.33 20.60    3.33    16.25   370.53      4  10.46
4           8.00  6.50 10.32    8.00     8.10   288.98      9   8.16
5                                        9.75    46.90      1   1.32
6           9.91  9.91  9.91    9.91     9.91   106.23      2   3.00
7                                       10.00    20.00      1   0.56
8           9.88  9.88 10.00   10.00     9.90   113.90      2   3.22
10                                       8.68    56.00      1   1.58
14                                       5.50   250.00      1   7.06
15                                       5.50   250.00      1   7.06
30                                       5.50   250.00      1   7.06
33                                       9.50    45.00      1   1.27
34         12.00  1.50 12.00   10.31     8.92   101.79     31   2.87
------- -------- ----- ----- ------- -------- -------- ------ ------
TOTAL                                          3,542.3     75    100
--------------------------------------------------------------------

[2007-09-17]