/KASE, August 22, 11, August 16, 11 news repetition/ - As previously informed,
by Kazakhstan Stock Exchange (KASE) Board of Directors decision of March 31,
2011 was approved new version of KASE internal document "Methodology of
Securities Valuation" (The Methodology).
The Methodology has been approved by the Committee on Regulation and Supervision
of Financial Market and Financial Organizations of the National Bank of the
Republic of Kazakhstan (FSC NBK) on August 9, 2011 and will become effective
from August 23, 2011.
The need for a revised edition of the Methodology was caused by the following
reasons:
- the current edition of the Methodology does not specify the procedure for
evaluation of some types of securities (e. g. MAOKAM, bonds of international
financial institutions);
- in accordance with the current edition of the Methodology yield values of
non-indexed government securities of the Republic of Kazakhstan (GS) with
maturities of more than 1,460 days are determined according to data from
offering auctions and/or additional offering auctions for such GS, which does
not make it possible to take account of the secondary market's conditions at
their valuation, and also leads to over-valuation or under-valuation of some
securities of this type;
- the Methodology current version stipulates valuation of "short" GS by using
the logarithmic trend equation whose chart has a standard look, which in
some cases does not make possible calculation of correct values of market
prices of such GS;
- in accordance with the Methodology current version it is not possible to
correctly calculate market prices of corporate bonds with complex structure
traded on KASE at "dirty" prices (taking into account the interest accrued,
but not paid) or at "net" prices (taking into account the interest accrued,
but not paid), however with no possibility of calculating their yield by
the trading system.
In addition, amendments had been made to the Methodology multiple times
which significantly complicated the document's structure.
The following amendments have been introduced into the Methodology:
- the order of GS grouping for their valuation has been changed;
- the procedure for valuation of non-indexed GS has been changed;
- approach to valuation of corporate bonds has been changed;
- criteria used for separation of shares in liquid and non-liquid ones
for their valuation have been changed;
- a procedure of valuation of securities not valued so previously has been
determined;
- discount rates for market prices of corporate bonds designed for their
use in auto repo transactions have been changed;
- discount rates for market prices of GS designed for their use in auto repo
transactions have been adjusted due to a change in the CS grouping
procedure.
As a result of the amendments made:
- all non-indexed GS (MEKKAM, MEOKAM, MEUKAM and notes of the
National Bankи) have been united in one group; their valuation will be made
based on yield values which were obtained by approximating of transactions'
parameters 60 calendar days before the valuation date;
- indexed GS (MOIKAM, MEUJKAM and MUIKAM) have been united into one
group; their valuation will be made based on the projected (according to the
inflation rate) yield to maturity;
- MAOKAM have been groped separately; their market prices will be calculated
based on their yield values from transactions in the past 15 effective days
preceding the valuation date (if the number of effective days is not
sufficient - based on the value of the security's current coupon);
- the procedure of valuation of municipal GS has been changed; however it
remained similar to the procedure of valuation of corporate bonds;
- the procedure of valuation of foreign government (FGS) securities and
securities of international financial institutions (IFOS) has been determined
similar to the procedure of valuation of corporate bonds issued according to
the legislation foreign states;
- Criteria of shares' liquidity have been removed from the Methodology; and for
the market valuation the lists of liquid and non-liquid shares will be used
with the lists being drawn up according to KASE internal document "Methodology
of Securities Liquidity Indicators Defining";
- corporate bonds are valued at the price of the best ask quotations (and not
at the yield of those quotations, as it was the case before), whereas:
- bonds traded in "net" prices, are valued daily ("net" price determined
based on the best ask prices once a week, plus the interest accrued as of
the date of valuation);
- bonds traded in "dirty" prices are valued once a week based on the best
ask quotations.
Beginning the date of the Methodology new version effect the Methodology
previous version will be considered invalid.
At present on the KASE website are available on KASE website at:
- The text of Methodology new version -
http://www.kase.kz/files/normative_base/met_ocen_zb_new_eng.pdf
- The text of Methodology previous version -
http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf
[2011-08-22]