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Market and Company News
06.12.2007 21:32

ANALYSIS: In November 2007 repo rates on KASE fell due to conserved high volume of short-term tenge liquidity

/IRBIS, Valeriy Khegay, December 6, 07/ - In November 2007 at Kazakhstan stock exchange (KASE) in the sector of repo operations 8,271 deals were registered for a total of KZT2,251.8 bn. or USD18,656.8 m. at the current rate on dates of concluding deals, which is 59.4% of the total turnover of KASE in the given month (in October 2007 - 77.8%).

Compared to October 2007 the volume of transactions decreased by KZT283.2 bn. ($2,322.7 m.) or by 11.2% (by 11.1% in dollar terms). Relative to November 2006 the volume of transactions increased by KZT738.9 bn. ($6,830.0 m.) or 1.5 times (1.6 times in dollar terms).

Stake of the exchange turnover in the total volume of repo deals at the Kazakhstan market in November on comparable operations totaled 100%, in October 2007 - 100%.

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

0. the stake of automatic repo transactions was 93.7% of the sector's turnover (KZT2,110.5 bn.), including deals in government securities (GS) - 78.4% (KZT1,765.4 bn.), deals in corporate securities (CS) - 15.3% (KZT345.1 bn.);

1. the stake of repo transactions, conducted by nego deals method, was 6.3% of the sector's turnover (KZT141.2 bn.), including deals in GS - 0.4% (KZT7.7 bn.), deals in CS - 5.9% (KZT133.5 bn.).

For comparison, structure of stock exchange's repo market in October, 2007 was as follows: autorepo - 94.8% (GS - 80.0%; CS - 14.8%); repo by nego method - 5.2% (GS - 0.2%; CS - 5.0%).

In November, 2007 on repo market, decrease in repo rates on autorepo deals with GS was observed; traditionally, they form the main stake of turnover of repo market on KASE. While in October, the weighted average repo overnight rate was at 4.43% APR, in the analyzed month, it totaled 3.28% APR. This allows supposing that the period of placing short money on repo market by the majority of participants who have been observing the reaction of the market of corporate securities on the consequences of August events from a "high mountain" has continued.

However, the volume of deals decreased in comparison with October while in the sector of purchase-sale of shares it grew almost six times. It is not unlikely that some investors start buying cheapened shares since no fundamental factors that would be able to push the market of shares further down have been seen.

Below tables are given, which characterize primary segments of repo market of KASE in November 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 (5.9% of the market) are not published due to a very big volume of the table).

Automatic repo with GS - 78.4% 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                                      4.00      77.0     1   0.01
KZT_001         4.00  0.20  9.50    0.50     3.28 705,452.5  1747  80.61
KZT_002         2.00  1.00  5.00    2.00     2.73  44,244.0    53   5.06
KZT_003         3.00  3.00  9.00    4.00     5.34   6,803.0    13   0.78
KZT_007         5.50  4.50  9.00    5.00     7.37  85,732.0   128   9.80
KZT_014         6.00  6.00  9.00    6.00     7.34   5,562.0    11   0.64
KZT_028         9.00  8.50 11.00    9.00     9.23  27,254.0   103   3.11
----------- -------- ----- ----- ------- -------- --------- ----- ------
TOTAL                                             875,124.6 2,056    100
------------------------------------------------------------------------

Automatic repo with CS - 15.3% 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_001                                    7.00      70.0      1   0.04
ASBN_007        9.00  9.00   9.00    9.00     9.00      15.0      3   0.01
ASBN_014       11.50 11.50  11.50   11.50    11.50      20.0      2   0.01
ASBNb3_001      5.00  5.00   8.50    7.00     7.13     901.0      8   0.53
ASBNb3_007      9.50  9.50  10.50   10.50    10.13     457.0      5   0.27
ASBNb4_001      5.00  5.00   8.00    6.00     7.27   1,196.0     12   0.71
ASBNb4_007      9.00  9.00  10.00   10.00     9.52     357.0      5   0.21
ASFIb5_001      6.00  4.80   8.00    5.00     6.14   2,547.0     16   1.50
ASFIb5_003      8.00  7.50   8.00    7.50     7.98     468.0      3   0.28
ASFIb5_007     10.00  9.00  10.00    9.00     9.85   1,543.0     13   0.91
ASFIb5_014                                   11.50     133.0      1   0.08
ASFIb7_001      6.00  5.50   8.50    5.50     6.89   6,279.0     19   3.71
ASFIb7_003      9.00  8.00   9.00    8.00     8.59   1,453.0      3   0.86
ASFIb7_007     10.00  9.50  10.00   10.00     9.68   2,148.0      8   1.27
ASFIb7_014     10.50 10.50  11.00   11.00    10.75     160.0      2   0.09
ATFBb3_001      6.00  6.00   7.00    6.00     6.35   2,309.0      7   1.36
ATFBb3_003                                    6.50      80.0      1   0.05
ATFBb3_007                                   10.00     503.0      1   0.30
ATFBb4_002      9.25  9.00  10.00    9.50     9.68   1,527.0      8   0.90
ATFBb4_014     11.50 10.00  12.50   10.00    11.07   1,146.0      6   0.68
ATFBb5_007     12.50 12.50  12.50   12.50    12.50     400.0      2   0.24
ATFBb6_001      8.00  6.00   9.00    8.00     7.84   1,693.0     21   1.00
ATFBb6_007                                   10.50      70.0      1   0.04
ATFBb6_028     11.50 11.50  11.50   11.50    11.50      38.0      3   0.02
BTAIb4_001      9.00  6.50   9.30    6.50     8.79     744.0     13   0.44
BTAIb5_014     11.50 11.00  11.50   11.00    11.27     271.0      2   0.16
BTAIb6_001      6.50  6.00   7.00    6.00     6.25   1,048.0      7   0.62
BTAIb6_003                                    7.50     298.0      1   0.18
BTAIb6_007      9.70  9.00   9.70    9.50     9.58     438.0      4   0.26
BTAIb6_014      9.00  9.00  12.00   12.00    11.67     146.0      3   0.09
BTAS_001        7.50  1.00  10.50    3.00     6.71  17,713.0     79  10.46
BTAS_007       10.00  8.00  12.50   10.00    10.14  11,438.1     72   6.75
BTAS_030       12.00  9.00  16.00   16.00    12.36   7,289.8     22   4.31
BTAS_090       12.00 12.00  16.00   16.00    12.01   4,703.4     13   2.78
BTASb1_007      9.50  9.00  10.00    9.00     9.76     832.1     12   0.49
BTASb1_030     10.60 10.60  10.60   10.60    10.60     206.0      2   0.12
BTASb2_028     10.50 10.50  10.50   10.50    10.50      32.0      2   0.02
BTASb3_014     10.50 10.00  10.50   10.00    10.26     201.0      2   0.12
BTASb4_001      8.00  6.00   9.30    7.00     6.79   1,314.0     12   0.78
BTASb4_007      9.00  9.00  10.00   10.00     9.50     446.0      5   0.26
BTASb4_014     10.50 10.50  10.75   10.75    10.63     821.0      3   0.48
BTASb4_028     12.50 12.50  12.50   12.50    12.50      40.0      2   0.02
BTASb5_001      7.50  5.50   8.00    5.50     6.65     842.0      5   0.50
BTASb5_003      9.50  7.00   9.50    7.50     8.74   1,622.0      3   0.96
BTASb5_007      9.50  6.50  10.00    9.00     8.37   2,900.1     18   1.71
BTASb5_014     12.00 10.75  12.00   10.75    11.04     435.0      2   0.26
BTASb7_001      2.00  2.00   8.50    6.00     7.59   4,892.0     10   2.89
BTASb7_007      8.00  8.00  10.00   10.00     9.42   1,331.0      3   0.79
BTASb7_090     12.00 12.00  16.00   16.00    13.24   2,320.0      7   1.37
CCBN_001        8.00  8.00  10.00   10.00     8.89   1,301.0     10   0.77
CCBN_007        9.50  9.50  11.50   10.00    10.63   1,018.0     13   0.60
CCBN_014       11.00 11.00  11.50   11.00    11.25   1,078.0     11   0.64
CCBN_030        9.00  9.00  12.50   12.50    10.56     384.0      3   0.23
CCBN_060                                     15.00     400.0      1   0.24
CCBN_090       14.00 14.00  14.00   14.00    14.00   1,524.0      3   0.90
CCBNb13001                                    6.00     250.0      1   0.15
CCBNb13007      9.25  9.25  10.00   10.00     9.79     567.0      3   0.33
CCBNb13014                                   11.00     159.0      1   0.09
CCBNb14001      8.50  8.50   9.00    9.00     8.63     219.0      4   0.13
CCBNb14007                                    9.50     150.0      1   0.09
CCBNb7_001      6.00  6.00   6.00    6.00     6.00     820.0      2   0.48
CCBNb7_003      9.00  7.00   9.00    7.00     7.67   1,244.0      3   0.73
CSBNb4_007     10.00 10.00  10.00   10.00    10.00     854.1      7   0.50
CSBNb5_001      7.50  6.50   7.50    6.50     6.87      79.0      3   0.05
CSBNb5_007      9.00  9.00  10.00   10.00     9.74     685.0      6   0.40
CSBNb6_001      6.00  5.50   7.50    5.50     6.31     470.0      6   0.28
CSBNb6_003                                    6.50      29.0      1   0.02
CSBNb6_007      9.00  9.00  11.00   10.00    10.30     635.0      6   0.38
EUBNb3_001      7.00  5.50   8.00    5.50     6.79   1,421.0     11   0.84
EUBNb3_007      9.50  8.50  10.00   10.00     9.69   1,983.0     13   1.17
EUBNb3_014     11.00 10.00  11.00   10.75    10.75   1,642.0     10   0.97
GLOTb2_028     12.00 12.00  14.00   14.00    13.73     149.0      2   0.09
HSBKb10003                                    6.50     155.0      1   0.09
HSBKb10007                                    9.00      24.0      1   0.01
HSBKb10030     10.50 10.50  10.50   10.50    10.50     220.0      2   0.13
HSBKb3_001     30.00  6.00  30.00    6.00    11.28     394.0      3   0.23
HSBKb3_003      6.50  6.50   9.50    9.50     7.21     478.0      3   0.28
HSBKb3_007                                    9.50     250.0      1   0.15
HSBKb3_014                                   11.00      76.0      1   0.04
HSBKb9_001      7.00  6.00   7.00    7.00     6.82     280.0      5   0.17
HSBKp1_001      5.50  5.50   8.00    6.50     6.28   3,150.0     15   1.86
HSBKp1_003      8.50  8.50   8.50    8.50     8.50   1,440.0      4   0.85
HSBKp1_007      9.50  9.00   9.50    9.50     9.49   3,275.0     12   1.93
HSBKp1_014     11.00 10.60  11.00   11.00    10.87   1,041.0      4   0.61
KKGB_001                                      7.00      72.0      1   0.04
KKGB_007       10.00  9.00 435.00    9.00    38.37     361.0      8   0.21
KKGB_028                                     10.50      47.0      1   0.03
KKGBb2_007      9.00  9.00  10.00   10.00     9.73   1,348.2      6   0.80
KKGBb2_014     10.50 10.00  11.00   10.00    10.42   1,007.3      5   0.59
KKGBb2_028     10.50 10.50  11.00   11.00    10.75     162.1      2   0.10
KKGBb5_028     12.00 12.00  12.00   12.00    12.00     340.0      2   0.20
KKGBp_007                                     9.50       8.0      1   0.00
KKGBp_014      10.00 10.00  10.00   10.00    10.00      16.0      2   0.01
KZIKb11001      6.00  6.00   6.00    6.00     6.00   1,200.0      4   0.71
KZIKb11003      7.00  7.00   7.00    7.00     7.00   1,200.0      4   0.71
KZIKb12001      6.00  6.00   6.00    6.00     6.00     490.0      2   0.29
KZIKb12003      7.00  7.00   7.00    7.00     7.00     490.0      2   0.29
KZIKb2_028                                   11.00     200.0      1   0.12
KZIKb3_028                                   10.50     134.0      1   0.08
KZIKb6_028                                   11.00     100.0      1   0.06
KZIKb9_001      6.00  6.00   6.00    6.00     6.00   1,935.0      3   1.14
KZIKb9_003      7.00  7.00   7.00    7.00     7.00   1,590.0      2   0.94
KZIKb9_007                                    6.50     790.0      1   0.47
KZTCb1_001                                    6.50      22.0      1   0.01
KZTCb1_007      9.70  9.50  11.00    9.50    10.31     115.0      4   0.07
KZTK_001        9.00  6.50   9.00    6.50     8.95   1,228.2     15   0.73
KZTK_007        9.70  9.50   9.70    9.50     9.60      50.0      2   0.03
KZTK_014       10.00 10.00  11.00   10.00    10.32      79.1      4   0.05
NFBN_028       13.00 13.00  13.00   13.00    13.00     600.0      5   0.35
NRBNb2_001      5.00  5.00   8.00    6.00     7.05   2,390.1     21   1.41
NRBNb2_003                                    7.50     102.0      1   0.06
NRBNb2_007      9.00  9.00  10.50   10.00    10.00   1,195.7     11   0.71
NRBNb4_001      5.00  5.00   9.50    6.00     7.29   3,120.0     16   1.84
NRBNb4_007      9.00  9.00  10.00   10.00     9.64     514.0      6   0.30
NRBNb5_001     10.00  5.00  10.00    6.00     7.32   5,586.0     20   3.30
NRBNb5_003      9.50  6.50   9.50    7.50     7.73   1,779.0      6   1.05
NRBNb5_007     11.00  9.50  11.00   10.00     9.90   1,039.0      4   0.61
ORDB_003                                     11.50     360.0      1   0.21
ORDB_007       12.30 12.30  12.30   12.30    12.30     270.0      2   0.16
ORDB_028       14.50 13.20  14.50   14.50    14.15   1,225.0     14   0.72
ORNKb1_001                                    9.50      57.0      1   0.03
PRKRb2_028     10.00 10.00  11.00   11.00    10.69     664.0      8   0.39
RDGZ_001        6.00  5.00  10.00    7.00     6.87   2,359.1     12   1.39
RDGZ_007       10.50  9.00  10.50    9.50     9.58   5,324.1     20   3.14
RDGZ_014       11.00 10.00  11.00   10.00    10.44   2,126.0      7   1.26
RDGZ_028                                     11.50     500.0      1   0.30
RGBRb3_007                                   10.00      65.0      1   0.04
RGBRb4_001      7.00  7.00   7.00    7.00     7.00     161.0      5   0.10
RGBRb4_014     12.00 12.00  12.00   12.00    12.00     205.0      4   0.12
TEBN_001        7.00  3.00   8.50    3.00     7.28   2,404.0     14   1.42
TEBN_007       10.00 10.00  10.00   10.00    10.00   2,050.0      9   1.21
TEBN_014       11.00 11.00  11.00   11.00    11.00     500.0      2   0.30
TEBNp_001                                     9.00      50.0      1   0.03
TSBN_001                                      7.50      34.0      1   0.02
TSBN_003        7.00  7.00   7.00    7.00     7.00      16.0      2   0.01
TSBN_014                                     11.50     350.0      1   0.21
TSBN_030                                     13.00     167.0      1   0.10
TSBNb3_003                                    9.50     450.0      1   0.27
TSBNb3_007                                    8.00     450.0      1   0.27
UTMK_007       12.00 12.00  12.00   12.00    12.00   4,500.2      9   2.66
VITAb4_030                                   14.50      49.0      1   0.03
----------- -------- ----- ------ ------- -------- --------- ------ ------
TOTAL                                              169,328.3    912    100
--------------------------------------------------------------------------

Repo on direct deals with GS - 0.4% 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           2.27  2.27 11.50   11.50     5.19   255.4      6   5.02
2           0.55  0.55  0.55    0.55     0.55    50.0      2   0.98
3           0.39  0.12  0.39    0.12     0.37    31.2      2   0.61
4           0.00  0.00  0.00    0.00     0.00   163.9      4   3.22
7           7.00  5.00  7.00    5.00     5.32 2,380.5      5  46.78
8                                        8.00   185.7      1   3.65
9                                        0.10    20.0      1   0.39
20                                      10.02   200.0      1   3.93
21          7.00  7.00  9.00    9.00     8.04   821.4      5  16.14
28          7.01  1.00  7.01    1.00     5.23   540.5      5  10.62
30          6.00  6.00  6.00    6.00     6.00   329.2      4   6.47
31                                       8.00    15.0      1   0.29
97                                       5.50    10.0      1   0.20
103                                      5.50    85.7      1   1.68
------- -------- ----- ----- ------- -------- ------- ------ ------
TOTAL                                         5,088.6     39    100
-------------------------------------------------------------------

[2007-12-06]