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26.11.2008 22:56 #KASE news

ANALYSIS: In October 2008 accumulated tenge liquidity led to the regular record on KASE repo market

/IRBIS, Valeriy Khegay, November 26, 08/ - In October 2008 on Kazakhstan Stock Exchange (KASE) in the sector of repo operations 9,209 deals were registered for a total of KZT2,910.7 bn. or USD24,287.3 m. at the current rate on dates of concluding deals, which is 64.2 % of the total turnover of KASE in the given month (in September 2008 - 55.0 %).

The mentioned value is the biggest monthly turnover of repo transactions on KASE for the whole Exchange history. The previous record was reached in September 2008, when volume of repo transactions reached KZT2,818.2 bn. or $23,426.5 m.

Compared to September 2008 the volume of transactions increased by KZT92.5 bn. ($860.8 m.) or by 3.3%. Relative to October 2007 the volume of transactions increased by KZT375.7 bn. ($3 307.8 m.) or by 14.8 % (by 15.8 % in dollar terms).

Stake of the exchange turnover in the total volume of repo deals at the Kazakhstan market in October on comparable operations totaled 99.9 %, in September 2008 - 98.7%.

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

0. the stake of automatic repo transactions was 92.4 % of the sector's turnover (KZT2,689.0 bn.), including deals in government securities (GS) - 81.2% (KZT2,363.4 bn.), deals in corporate securities (CS) - 11.2 % (KZT325.6 bn.);

1. the stake of repo transactions, conducted by nego deals method was 7.6 % of the sector's turnover (KZT221.7 bn.), including deals in GS - 1.4 % (KZT41.5 bn.), deals in CS - 6.2 % (KZT180.2 bn.).

For comparison, structure of stock exchange's repo market in September, 2008 was as follows: autorepo - 94.7 % (GS - 84.6 %; CS - 10.1 %); repo by nego method - 5.3 % (GS - 0.6 %; CS - 4.7 %).

Under the outmost caution and high distrust conditions the main participants of KASE repo market - Kazakhstan banks continue holding accumulated tenge liquidity, investing in more qualitative instruments - government securities. Note that the major volume of placed GS in October came to these banks and their clients, but the volume of demand on these instruments insignificantly increased supply.

Budget payments by results of the quarter were conducted in the analyzed month, which activated the market. The result of described situation became the new record turnover on repo market 3 month in row.

TONIA indicator increased insignificantly from 3.06 % APR in September to 3.23 % APR in October.

Beginning November 18 minimum reserve requirements for commercial banks have been reduced. According to the National Bank estimation, this reduce will release KZT350 bn. ($2.9 bn), what may insignificantly decreased rates on repo deals in future.

Below tables are given, which characterize primary segments of repo market of KASE in October 2008 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 (6.2 % of the market) are not published by IRBIS due to a very big volume of the table).

Automatic repo with GS - 81.2 % 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                                      1.00     1,000.0     1   0.09
KZT_001         2.50  0.00 10.00    0.70     3.23   987,506.5  2051  84.35
KZT_002         2.25  1.00  6.50    4.45     3.63    51,786.0    82   4.42
KZT_003         3.00  3.00  5.00    4.44     3.80     9,168.0    32   0.78
KZT_007         4.20  4.00 10.50    4.00     5.96    91,259.0   146   7.79
KZT_014         5.00  5.00  5.00    5.00     5.00     1,950.0     2   0.17
KZT_028         6.00  3.95  6.00    6.00     4.43    28,079.0    21   2.40
----------- -------- ----- ----- ------- -------- ----------- ----- ------
TOTAL                                             1,170,748.6 2,335    100
--------------------------------------------------------------------------

Automatic repo with CS - 11.2 % 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_090        8.00  8.00  8.00    8.00     8.00   2,070.0      4   1.50
ASBNb10_007                                 10.00     205.0      1   0.15
ASBNb10_028                                 11.00   1,293.0      1   0.94
ASBNb3_001      5.00  5.00  5.00    5.00     5.00     276.0      2   0.20
ASBNb3_003                                   5.20     138.0      1   0.10
ASBNb3_007                                   9.50     139.0      1   0.10
ASBNb3_014                                   8.70     120.0      1   0.09
ASBNp1_090                                   8.00      20.0      1   0.01
ASFI_001        3.00  3.00  8.00    4.50     5.88   1,045.1     13   0.76
ASFI_007        8.00  8.00  8.00    8.00     8.00   2,196.1      5   1.59
ASFI_030       12.00 11.00 14.00   14.00    11.55  19,586.3     32  14.21
ASFIb15_001     7.00  7.00  7.00    7.00     7.00     114.0      3   0.08
ASFIb15_003                                  5.50     180.0      1   0.13
ASFIb15_007     7.50  7.00  8.00    8.00     7.48   1,264.0     14   0.92
ASFIb15_014                                 10.50      50.0      1   0.04
ASFIb5_001      4.50  4.00  6.20    5.80     4.99   1,899.0     12   1.38
ASFIb5_003      5.00  5.00  5.00    5.00     5.00     560.0      2   0.41
ASFIb5_007      7.50  7.50 12.00   12.00     8.10     346.0      4   0.25
ASFIb5_014                                   8.50      99.0      1   0.07
ASFIb9_001                                   4.50     150.0      1   0.11
ASFIp_028      11.84 11.84 11.84   11.84    11.84  13,822.2     21  10.03
ATFBb3_007      7.80  7.80  8.00    8.00     7.90     789.0      4   0.57
ATFBb3_014      9.00  9.00 10.00    9.00     9.22     831.0      3   0.60
ATFBb3_028     10.50 10.10 10.50   10.10    10.49     848.0      2   0.62
ATFBb4_001      4.50  4.50  4.50    4.50     4.50     400.0      2   0.29
ATFBb4_003                                   5.00     200.0      1   0.15
ATFBb4_007      7.25  7.25  8.70    8.70     7.80   1,404.0      3   1.02
ATFBb4_014      8.25  8.25  8.50    8.50     8.44     718.0      2   0.52
ATFBb4_028     10.60 10.60 11.00   11.00    10.63     198.0      3   0.14
ATFBb5_028     10.00 10.00 11.00   10.50    10.27     249.0      4   0.18
ATFBb6_001      6.00  6.00  6.00    6.00     6.00     252.0      4   0.18
ATFBb6_028     10.50 10.50 10.60   10.60    10.55     898.0     11   0.65
BTAIb5_001      5.00  5.00  7.80    7.00     6.54   4,559.0     16   3.31
BTAS_001        6.00  1.00 10.00    6.00     7.23   8,320.1     94   6.04
BTAS_003        6.00  6.00  8.00    7.00     6.96     240.0      3   0.17
BTAS_007       10.00  5.00 13.50    7.00    11.69   1,594.3     27   1.16
BTAS_030       12.50 12.50 15.00   12.50    14.37   2,134.1     13   1.55
BTAS_090       12.00 12.00 12.00   12.00    12.00   1,000.0      2   0.73
BTASb1_007      7.50  7.50  7.50    7.50     7.50     740.0      2   0.54
BTASb4_001      6.80  6.80  7.80    7.00     7.03     700.0      7   0.51
BTASb4_014      7.50  7.50  8.00    8.00     7.75     760.0      2   0.55
BTASb7_001      3.00  1.00  3.00    1.00     1.23     345.0      2   0.25
BTASb7_007      7.00  7.00 12.00   12.00     9.37     152.0      4   0.11
BTASb7_030     14.00 12.00 15.00   12.50    13.41   2,548.0     10   1.85
BTASb9_001      4.50  3.50 12.00    7.00     7.73  29,696.0     34  21.54
BTASb9_003      5.00  5.00  7.00    7.00     6.67   3,388.0      8   2.46
BTASb9_007      7.00  6.00  8.00    6.00     6.78   1,539.0      8   1.12
BTASb9_014      8.25  6.00  9.00    6.50     8.03   2,281.0      6   1.65
BTASb9_030     10.00 10.00 12.00   10.60    11.11   2,882.0      6   2.09
CCBN_001                                     4.00      45.0      1   0.03
CCBN_007                                     7.00      40.0      1   0.03
CCBN_014        9.00  9.00 10.00   10.00     9.28      18.0      2   0.01
CCBN_030       11.50 11.50 12.50   12.50    11.55     425.0      6   0.31
CCBN_090       12.00 12.00 12.00   12.00    12.00   5,027.0      3   3.65
CCBNb10_030    10.00 10.00 10.50   10.50    10.21     777.0      3   0.56
CCBNb12_007     8.00  8.00 10.00    8.70     8.98   1,551.0      9   1.13
CCBNb13_001     4.50  4.50  4.50    4.50     4.50     188.0      2   0.14
CCBNb13_007     7.25  7.25  8.70    8.70     7.98     377.0      2   0.27
CCBNb13_014                                  8.50     184.0      1   0.13
CCBNb13_028                                 10.50     272.0      1   0.20
CCBNb3_014                                   8.25     132.0      1   0.10
CCBNb3_028     10.60 10.20 10.60   10.20    10.44     248.0      3   0.18
CCBNb9_007      7.80  7.80  8.00    8.00     7.88     213.0      2   0.15
CCBNb9_014                                   9.50      40.0      1   0.03
CSBNb4_007      7.25  7.25  8.70    8.70     7.73     726.0      3   0.53
CSBNb4_014                                   8.50     241.0      1   0.17
CSBNb5_001      4.50  4.50  4.50    4.50     4.50     348.0      4   0.25
CSBNb5_003      5.00  5.00  5.00    5.00     5.00     348.0      2   0.25
CSBNb5_007                                   8.70     174.0      1   0.13
CSBNb5_014                                   8.50     175.0      1   0.13
CSBNb6_001      4.50  4.50  4.50    4.50     4.50     536.0      3   0.39
CSBNb6_003                                   5.00     194.0      1   0.14
CSBNb6_007      8.00  8.00  8.70    8.70     8.32     418.0      2   0.30
CSBNb6_014      9.50  8.50  9.50    8.50     9.04     395.0      3   0.29
CSBNb6_028                                  12.00      73.0      1   0.05
EUBNb3_001      5.00  5.00  6.00    5.00     5.24     396.0      3   0.29
EUBNb3_007                                   7.50     200.0      1   0.15
EUBNb3_028                                  12.00     126.0      1   0.09
EXBNb1_007                                   7.50       8.0      1   0.01
EXBNb2_001      5.00  5.00  5.00    5.00     5.00     222.0      6   0.16
HSBKb7_007                                   5.00     290.0      1   0.21
HSBKb7_028     10.10 10.00 10.50   10.50    10.38     167.0      3   0.12
HSBKp1_001      4.50  4.50  6.00    6.00     4.74   4,022.0      7   2.92
HSBKp1_003                                   5.00     844.0      1   0.61
HSBKp1_014                                  10.00     403.0      1   0.29
KASTb1_028     11.50 11.50 11.50   11.50    11.50     865.0      2   0.63
KKGB_028       12.50 12.50 12.50   12.50    12.50      72.0      2   0.05
KKGBb2_007      7.25  7.25  8.70    8.70     7.74     752.1      3   0.55
KKGBb2_014      7.80  7.80  8.50    8.50     7.98     995.1      2   0.72
KKGBb2_028                                  10.10      27.0      1   0.02
KZIKb2_028                                  10.00      68.0      1   0.05
----------- -------- ----- ----- ------- -------- --------- ------ ------
TOTAL                                             137,860.8    501    100
-------------------------------------------------------------------------

Repo on direct deals with GS - 1.4 % 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       %
-------  --------  -----  -----  -------  --------  --------  ------  ------
0           15.00   0.00  15.00     8.00      7.65     502.0      10    2.23
1            5.00   0.01  12.00     5.00      4.44   8,296.4      56   36.85
2            3.50   3.50   6.00     4.00      4.95     529.1      11    2.35
3            9.00   9.00  12.00    12.00      9.34      59.3       3    0.26
4            4.75   3.60  45.63     3.60      5.35     542.5       6    2.41
5           12.50   3.00  12.50     3.50      4.46   2,041.9      16    9.07
6           12.50   4.01  12.50     4.01      7.95      42.0       3    0.19
7            6.00   3.00   6.50     3.00      5.92   5,670.7      66   25.19
9                                            12.00      17.7       1    0.08
10           2.85   2.85   6.90     6.90      5.87     157.3       2    0.70
11           2.77   2.77   6.00     6.00      3.13     224.4       3    1.00
12                                           12.50       2.9       1    0.01
13                                            3.98     182.0       1    0.81
14           8.00   4.50  12.00     4.50      6.90   2,697.9      21   11.98
17           4.16   4.16   4.25     4.25      4.20     337.3       2    1.50
19           4.37   4.37   4.37     4.37      4.37     197.0       2    0.88
21           6.01   6.01   6.17     6.17      6.07      82.7       2    0.37
22                                            6.90      33.9       1    0.15
27                                           12.00       4.8       1    0.02
85           6.00   6.00   6.00     6.00      6.00     700.0       4    3.11
162          7.00   7.00   7.00     7.00      7.00     126.2       3    0.56
364                                          12.50      63.4       1    0.28
-------  --------  -----  -----  -------  --------  --------  ------  ------
TOTAL                                               22,511.6     216     100
----------------------------------------------------------------------------

[2008-11-26]