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Market and Company News
14.11.2007 21:36

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]