ANALYSIS: In October 2007 the repo market on KASE livened up as a result of certain growth of short-term tenge liquidity

/IRBIS, Valeriy Khegay, Andrey Tsalyuk, November 14, 07/ - In October 2007 on Kazakhstan stock exchange (KASE) in the sector of repo operations 8,162 deals were registered for a total of KZT2,535.0 bn. or USD20,979.5 m. at the current rate on dates of concluding deals, which is 77.8% of the total turnover of KASE in the given month (in September 2007 - 67.3%). Compared to September 2007 the volume of transactions increased by KZT210.8 bn. ($1,983.0 m.) or by 9.1% (by 10.4% in dollars). Relative to October 2006, the volume of transactions increased by KZT677.0 bn. ($6,428.2 m.) or 1.4 times (1.4 times in dollar terms). Stake of the exchange turnover in the total volume of repo deals on Kazakhstan market in October on comparable operations totaled 100.0%, in September 2007 the given indicator made 100%. Structure of repo market turnover at KASE in the analyzed month was as follows: 0. the stake of automatic repo transactions was 94.8% of the sector's turnover (KZT2,403.4 bn.), including deals in government securities (GS) - 80.0% (KZT2,027.0 bn.), deals in corporate securities (CS) - 14.8% (KZT376.4 bn.); 1. the stake of repo transactions, conducted by nego deals method, was 5.2% of the sector's turnover (KZT133.5 bn.), including deals in GS - 0.2% (KZT4.5 bn.), deals in CS - 5.0% (KZT127.0 bn.). For comparison, structure of stock exchange's repo market in September 2007 was as follows: autorepo - 92.6% (GS -82.1%; CS - 10.5%); repo by nego method - 7.4% (GS - 0.2%; CS - 7.2%). October turned to be the first "crisis" month, during which the repo rates decreased down to rather normal, pre-crisis level. The wait-and-see attitude of traders almost in all sectors of organized financial market became remarkable peculiarity of this month. Restrained behavior of banks on local market of foreign currency, that of brokers and clients on the securities market together with the renewal of inflow of deposits by natural and juridical persons in the banking system have formed certain stock of tenge liquidity which developed into growth of short-term money supply on exchange repo floor. Under the influence of the pointed factor, repo overnight rate on certain deals of October fell to 0.10% APR, and weighted average value of TONIA rate decreased from 7.30%APR to 4.43% APR. Below tables are given, which characterize primary segments of repo market of KASE in October 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 (5.0% of the market) are not published due to a very big volume of the table). Automatic repo with GS - 80.0% 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_000 2.20 2.20 2.20 2.20 2.20 2,900.0 7 0.29 KZT_001 5.00 0.10 15.00 2.50 4.43 780,991.7 1717 78.26 KZT_002 6.00 2.00 13.00 4.50 4.43 12,879.0 22 1.29 KZT_003 9.00 5.00 9.00 6.50 7.25 6,437.0 23 0.65 KZT_007 9.00 3.50 10.00 7.50 8.38 157,959.1 201 15.83 KZT_014 9.50 5.00 10.50 7.50 8.72 21,051.0 84 2.11 KZT_028 10.20 5.00 11.50 8.50 9.23 15,708.0 72 1.57 ----------- -------- ----- ----- ------- -------- --------- ----- ------ TOTAL 997,925.9 2,126 100 ------------------------------------------------------------------------ Automatic repo with CS - 14.8% 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 8.50 8.00 8.50 8.00 8.36 28.0 2 0.01 ASBN_030 13.00 80.0 1 0.04 ASBN_090 8.00 8.00 8.00 8.00 8.00 1,939.1 5 1.04 ASBNb3_001 9.00 3.00 12.00 8.00 7.86 1,348.0 11 0.72 ASBNb3_003 13.50 8.50 13.50 9.00 10.64 647.0 4 0.35 ASBNb4_001 13.50 5.00 13.50 8.00 8.61 1,108.0 11 0.59 ASBNb4_007 10.00 119.0 1 0.06 ASBNb4_014 11.00 16.0 1 0.01 ASFI_007 13.00 14.0 1 0.01 ASFIb5_001 6.00 395.0 1 0.21 ASFIb5_003 11.00 8.00 11.00 8.00 8.25 324.0 2 0.17 ASFIb5_007 11.60 8.00 11.60 8.50 10.39 385.0 7 0.21 ASFIb5_014 14.00 9.80 14.00 11.00 12.48 798.0 6 0.43 ASFIb7_001 9.00 5.00 12.00 6.00 9.01 4,058.0 20 2.17 ASFIb7_003 11.50 8.50 12.00 8.50 10.45 1,810.0 3 0.97 ASFIb7_007 11.50 10.00 11.50 10.00 10.30 470.0 2 0.25 ASFIb7_014 11.50 9.00 14.00 14.00 12.13 1,273.0 14 0.68 ATFBb4_001 10.50 3.00 10.50 3.00 6.75 700.0 2 0.37 ATFBb4_014 13.00 9.00 14.00 10.50 11.72 2,054.0 21 1.10 ATFBb5_007 5.00 1,200.0 1 0.64 ATFBb6_001 5.00 5.00 9.00 7.00 7.58 790.0 9 0.42 ATFBb6_007 11.50 9.00 11.50 9.00 10.10 775.0 10 0.41 ATFBb6_014 11.00 50.0 1 0.03 ATFBb6_028 12.00 10.00 12.50 10.00 11.85 188.0 7 0.10 ATFBp8_001 8.00 100.0 1 0.05 BTAIb12090 10.00 781.0 1 0.42 BTAIb14002 11.00 1,500.0 1 0.80 BTAIb5_014 10.50 10.50 12.00 10.50 10.97 515.0 3 0.28 BTAIb6_001 10.00 5.00 10.00 6.00 6.97 1,022.0 10 0.55 BTAIb6_003 11.00 8.50 12.00 9.00 10.05 696.0 4 0.37 BTAIb6_007 9.00 8.00 9.00 8.50 8.92 318.0 3 0.17 BTAIb6_014 12.00 62.0 1 0.03 BTAIb7_090 10.00 719.0 1 0.38 BTAIb8_028 10.50 125.0 1 0.07 BTAS_001 8.00 3.00 14.00 9.00 9.25 32,074.5 93 17.15 BTAS_007 10.00 4.00 12.00 4.00 10.15 5,682.4 52 3.04 BTAS_030 12.00 9.00 15.00 15.00 12.21 7,848.1 27 4.20 BTAS_090 12.00 12.00 12.00 12.00 12.00 3,200.3 7 1.71 BTASb1_028 11.50 745.0 1 0.40 BTASb2_028 11.50 620.0 1 0.33 BTASb3_014 10.50 10.50 10.50 10.50 10.50 101.0 4 0.05 BTASb4_001 9.00 6.00 9.50 9.50 7.52 542.0 6 0.29 BTASb4_007 9.75 9.00 9.75 9.00 9.38 486.0 2 0.26 BTASb4_014 10.50 275.0 1 0.15 BTASb4_028 11.50 10.50 11.50 10.50 11.37 230.0 2 0.12 BTASb5_001 9.50 4.50 9.50 5.00 7.02 2,867.1 12 1.53 BTASb5_003 7.50 5.00 7.50 7.50 6.54 421.0 3 0.23 BTASb5_007 10.00 8.00 10.00 8.50 9.78 370.0 5 0.20 BTASb5_014 9.50 9.50 11.00 11.00 9.62 169.0 3 0.09 BTASb7_001 8.50 8.50 11.50 11.50 10.16 1,108.0 8 0.59 BTASb7_007 10.00 244.0 1 0.13 BTASb7_030 12.50 12.50 15.00 15.00 14.28 992.0 4 0.53 CCBN_001 9.00 4.00 12.05 6.00 6.89 778.0 10 0.42 CCBN_007 12.00 12.00 12.00 12.00 12.00 503.0 3 0.27 CCBN_014 10.50 9.00 12.00 11.50 11.13 1,088.0 15 0.58 CCBN_030 12.00 9.00 14.50 12.50 12.21 2,313.0 19 1.24 CCBN_090 12.00 12.00 12.00 12.00 12.00 8,279.0 5 4.43 CCBNb13001 10.00 5.00 10.00 8.00 7.48 952.0 7 0.51 CCBNb13003 11.60 8.50 11.60 9.00 9.72 517.0 4 0.28 CCBNb13007 9.75 158.0 1 0.08 CCBNb7_003 9.00 419.0 1 0.22 CSBNb4_007 11.00 9.80 11.00 9.80 9.83 730.0 4 0.39 CSBNb5_007 13.00 13.00 13.00 13.00 13.00 899.0 5 0.48 CSBNb6_001 8.00 5.00 9.00 5.50 6.84 253.0 4 0.14 CSBNb6_003 8.50 40.0 1 0.02 CSBNb6_007 13.00 9.70 13.00 9.70 11.33 1,852.1 12 0.99 DNBN_028 12.00 1.0 1 0.00 EUBNb3_001 11.50 10.00 11.50 10.00 10.66 347.0 4 0.19 EUBNb3_007 11.50 9.75 11.50 9.75 10.05 681.0 5 0.36 EUBNb3_014 10.50 10.00 11.50 11.00 10.62 563.0 7 0.30 EUBNb3_028 13.00 10.00 14.00 10.00 13.12 942.0 7 0.50 GLOTb2_028 11.50 85.0 1 0.05 HSBKb3_014 9.00 250.0 1 0.13 HSBKb3_028 10.50 145.0 1 0.08 HSBKb9_001 10.00 9.50 10.00 9.50 9.73 333.0 5 0.18 HSBKb9_028 10.50 115.0 1 0.06 HSBKp1_001 7.30 3.00 9.00 9.00 8.35 11,157.0 47 5.97 HSBKp1_007 10.00 9.00 10.00 9.00 9.43 2,506.0 10 1.34 HSBKp1_030 11.50 11.50 11.50 11.50 11.50 467.0 2 0.25 KASTb2_007 9.00 1,000.0 1 0.53 KKGB_001 8.50 26.0 1 0.01 KKGB_007 10.50 10.00 11.50 11.50 10.77 264.0 7 0.14 KKGB_028 13.50 10.50 14.00 10.50 12.93 196.0 6 0.10 KKGBb2_007 9.75 203.1 1 0.11 KKGBb2_014 10.50 9.50 10.50 10.00 10.36 846.2 5 0.45 KKGBb2_028 14.00 10.00 14.00 10.50 12.08 674.2 4 0.36 KKGBb4_014 10.50 240.0 1 0.13 KKGBb5_014 10.50 50.0 1 0.03 KKGBb5_028 12.00 10.50 12.00 10.50 11.66 220.0 2 0.12 KKGBp_001 10.00 8.00 11.00 8.00 9.88 1,999.0 7 1.07 KKGBp_007 10.00 4.00 11.00 10.00 9.97 1,301.0 12 0.70 KKGBp_028 13.00 215.0 1 0.11 KZIKb10028 10.50 730.0 1 0.39 KZIKb12007 9.00 500.0 1 0.27 KZIKb12028 10.50 462.0 1 0.25 KZIKb2_028 10.50 250.0 1 0.13 KZIKb6_007 12.50 28.0 1 0.01 KZIKb6_028 10.50 100.0 1 0.05 KZIKb8_007 10.50 5.00 10.50 10.50 7.02 1,580.0 4 0.85 KZIKb9_001 3.00 292.0 1 0.16 KZIKb9_007 10.00 336.0 1 0.18 KZTCb1_007 10.00 8.00 10.00 9.70 9.17 115.0 7 0.06 KZTK_001 7.50 7.50 9.00 9.00 8.25 120.0 2 0.06 KZTK_007 8.00 8.00 8.00 8.00 8.00 28.0 2 0.01 KZTK_028 14.00 10.00 14.00 10.00 11.94 805.2 10 0.43 KZTKp_001 9.50 8.00 9.50 9.50 9.33 1,866.1 24 1.00 KZTKp_007 10.00 10.00 10.00 10.00 10.00 669.0 8 0.36 NFBN_028 13.00 13.00 13.00 13.00 13.00 500.0 4 0.27 NRBNb2_001 9.00 5.00 10.00 6.00 8.11 5,546.1 20 2.97 NRBNb2_003 11.50 8.50 11.50 9.00 8.78 861.0 3 0.46 NRBNb2_014 11.00 30.0 1 0.02 NRBNb2_028 11.00 9.0 1 0.00 NRBNb4_001 9.00 5.00 12.00 5.00 10.28 1,805.0 21 0.97 NRBNb4_007 10.00 9.00 11.00 10.00 9.73 486.0 5 0.26 NRBNb5_001 9.00 5.00 11.00 5.00 8.13 8,046.0 22 4.30 NRBNb5_003 12.00 8.50 12.00 9.00 9.63 1,940.0 5 1.04 NRBNb5_007 7.00 7.00 11.00 11.00 8.33 45.0 2 0.02 ORDB_007 12.30 12.30 12.30 12.30 12.30 1,080.0 7 0.58 ORDB_028 14.50 12.00 14.50 14.50 13.98 1,029.0 12 0.55 PRKRb2_028 10.00 10.00 13.00 10.00 10.61 1,305.0 10 0.70 RDGZ_001 10.00 3.00 10.00 9.00 7.76 1,597.0 8 0.85 RDGZ_007 9.90 5.00 10.00 10.00 9.91 3,651.0 6 1.95 RDGZ_014 9.00 9.00 9.00 9.00 9.00 127.0 2 0.07 RDGZ_028 12.00 11.00 14.00 11.00 11.67 2,754.1 11 1.47 RGBRb3_007 10.00 9.00 10.00 9.00 9.19 54.0 3 0.03 RGBRb4_001 5.00 5.00 5.00 5.00 5.00 162.0 3 0.09 RGBRb4_014 12.00 10.50 12.00 12.00 11.62 240.0 4 0.13 ROSA_001 10.00 120.0 1 0.06 ROSA_090 11.00 122.0 1 0.07 TEBN_001 7.50 7.50 11.00 10.00 8.72 14,873.2 69 7.95 TEBN_007 11.00 10.00 11.00 10.50 10.41 1,687.0 7 0.90 TEBN_014 12.00 200.0 1 0.11 TEBNb16001 10.00 172.0 1 0.09 TEBNp_001 9.00 9.00 9.50 9.50 9.26 48.0 2 0.03 TEBNp_007 11.00 4.00 11.00 4.00 7.01 93.0 2 0.05 TEBNp_014 13.00 13.00 13.00 13.00 13.00 16.0 2 0.01 TSBN_001 9.00 9.00 10.00 10.00 9.13 357.0 3 0.19 TSBN_003 10.00 42.0 1 0.02 TSBN_007 4.00 20.0 1 0.01 TSBN_030 9.00 9.00 13.50 13.50 13.29 536.0 3 0.29 UTMK_030 12.00 12.00 12.00 12.00 12.00 1,500.1 3 0.80 VITAb4_030 13.50 50.0 1 0.03 ----------- -------- ----- ----- ------- -------- --------- ------ ------ TOTAL 186,975.4 946 100 ------------------------------------------------------------------------- Repo on direct deals with GS - 0.2% 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 10.00 10.00 10.00 10.00 10.00 110.3 2 3.88 2 0.00 0.00 10.00 10.00 1.35 744.0 15 26.16 3 10.00 10.00 10.00 10.00 10.00 600.0 6 21.10 10 7.00 74.6 1 2.62 22 10.02 200.0 1 7.03 31 9.50 31.2 1 1.10 32 11.00 8.50 11.00 8.50 10.11 394.8 4 13.88 66 6.50 6.50 6.50 6.50 6.50 638.3 6 22.44 92 10.00 50.9 1 1.79 ------- -------- ----- ----- ------- -------- ------- ------ ------ TOTAL 2 844.1 37 100 ------------------------------------------------------------------- [2007-11-14]