REVIEW: KASE repo market in November 2011

/IRBIS, December 8, 2011/ - In November 2011, on the repo market operations of Kazakhstan Stock Exchange (KASE) was recorded the opening of 1,440 repo transactions. Trading volume on the amount of involvement (by the execution and fulfillment transactions) amounted to KZT940.2 billion or USD6,363.9 million at the current rate at the date of the transaction, representing 50.1% of the total trading volume on KASE (in October 2011 - 34.7%). Compared with October 2011, trading volume in the sector decreased by KZT163.6 billion (in dollar terms - by $1,094.8 million), or by 14.8% (14.7% in dollar terms). Relative to November 2010 this figure fell by KZT131.2 billion ($901.3 million) or 12.2% (12.4% in dollar terms). The exchange (calculated) turnover (calculated on all executed transactions of opening and closing of repo) on market of repo operations in November 2011 amounted to KZT 1,886.3 billion (equivalent to $12,766.5 million) and decreased relative to the previous month by 15.6% (equivalent to US$ - 15.4%). The structure of the repo market (in terms of attraction) on KASE in the analyzed month as follows: - the share of repo transactions carried out by "automatic" way, was 99.99% of the trades described in the exchange market sector (KZT 940.1 billion), including repo operations with government securities (GS) - 99.70% (KZT 937.4 billion), for repo transactions with corporate securities (CS) - 0.29% (KZT2.7 billion); - the share of repo transactions carried out by "direct" method, was 0.01% of trade volume (KZT126.1 billion), this amount included only CS operations. For comparison, the structure of the exchange market repo operations in October 2011 was characterized by the following indicators: repo transactions undertaken by the "automatic" way - 99.98% (GS - 99.62%; CS - 0.37%), repo transactions carried out by "direct" method - 0.02% (CS - 100%). Below is a table describing the major segments of the repo market on KASE in November 2011: Automatic repo deals with GS - 99.70 % of the market ------------------------------------------------------------------------- Yield, % APR Instrument ------------------------------------- Volume, Num- Market (currency, on first mini- maxi- on last weighted KZT ber of share, term, days) deal mum mum deal average m. deals % ----------- -------- ----- ----- ------- -------- --------- ------ ------ KZT_000 0.30 0.30 0.30 0.30 0.30 350.0 2 0.04 KZT_001 0.15 0.003 16.00 0.03 2.25 535,764.4 883 57.15 KZT_002 0.50 0.01 9.00 0.01 0.99 51,369.0 60 5.48 KZT_003 0.15 0.10 1.50 0.50 0.35 23,044.0 30 2.46 KZT_007 0.80 0.07 5.00 0.10 0.28 306,763.1 331 32.72 KZT_014 0.25 0.15 0.60 0.50 0.33 14,920.0 14 1.59 KZT_028 1.20 0.30 1.50 1.10 1.01 5,195.0 11 0.55 ----------- -------- ----- ----- ------- -------- --------- ------ ------ TOTAL 937,405.5 1,331 100 ------------------------------------------------------------------------- Automatic repo deals with CS - 0.29% ---------------------------------------------------------------------- Yield. % 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 % ATFBb6_007 5.15 5.15 5.50 5.50 5.32 42.0 2 1.55 BVTBb1_001 0.50 0.50 0.50 0.50 0.50 419.0 1 15.44 CCBN_014 4.50 4.00 4.50 4.00 4.42 626.0 10 23.06 CCBN_030 8.00 6.50 10.00 7.50 7.43 212.0 15 7.81 EUBNb3_007 5.00 4.50 5.00 4.50 4.60 15.0 2 0.55 EUBNb3_028 4.50 4.50 4.50 4.50 4.50 29.0 3 1.07 EUBNb9_007 5.00 5.00 5.00 5.00 5.00 40.0 2 1.47 EUBNb9_014 6.00 6.00 6.00 6.00 6.00 20.0 1 0.74 EXBNb2_014 8.00 8.00 8.00 8.00 8.00 9.0 1 0.33 EXBNb2_028 9.00 9.00 9.00 9.00 9.00 9.0 1 0.33 HSBK_028 6.00 6.00 6.00 6.00 6.00 4.0 1 0.15 KKGB_028 7.00 7.00 7.00 7.00 7.00 10.0 1 0.37 KZTK_028 5.50 5.00 6.20 6.20 5.83 42.0 5 1.55 KZTKp_007 6.00 6.00 6.00 6.00 6.00 6.0 1 0.22 KZTKp_028 5.00 5.00 5.15 5.00 5.06 97.1 15 3.58 TSBN_007 8.00 6.90 8.00 8.00 7.92 296.0 8 10.91 TSBN_014 8.00 5.90 8.00 8.00 7.96 453.0 12 16.69 TSBN_030 8.00 6.00 8.00 8.00 7.59 368.0 10 13.56 TSBNb5_014 8.00 8.00 8.00 8.00 8.00 7.0 1 0.26 TSBNb5_028 9.00 9.00 9.00 9.00 9.00 10.0 1 0.37 TOTAL 2,714.1 93 100 ---------------------------------------------------------------------- Direct repo deals with CS - 0.01% ------------------------------------------------------------------ Rate, % APR Repo- Term ----- ----- ------- -------- volume, Num- Market Object Of repo mini- maxi- on last weighted mln ber of share, Days mum mum deal average KZT Deals % ------- ------- ----- ----- ------- -------- ------- ------ ------ ATFBb6 3 0.09 0.09 0.09 0.09 8.0 2 0.06 ------- ------- ----- ----- ------- -------- ------- ------ ------ BTASe7 44 9.00 9.00 9.00 9.00 14.7 1 0.12 ------- ------- ----- ----- ------- -------- ------- ------ ------ 46 8.50 8.50 8.50 8.50 6.3 1 0.05 ------- ------- ----- ----- ------- -------- ------- ------ ------ Total 21.0 2 0.17 ------- ------- ----- ----- ------- -------- ------- ------ ------ CSBNb10 0 0 0 0 0 3.0 1 0.02 ------- ------- ----- ----- ------- -------- ------- ------ ------ 2 9.01 9.01 9.01 9.01 10.5 1 0.08 ------- ------- ----- ----- ------- -------- ------- ------ ------ Total 13.5 2 0.11 ------- ------- ----- ----- ------- -------- ------- ------ ------ EXBNb1 44 10.00 10.00 10.00 10.00 11.2 1 0.09 ------- ------- ----- ----- ------- -------- ------- ------ ------ GB_KZMS 63 12.00 12.00 12.00 12.00 1.0 1 0.01 ------- ------- ----- ----- ------- -------- ------- ------ ------ KKGB 0 0.00 0.00 0.00 0.00 19.0 1 0.15 ------- ------- ----- ----- ------- -------- ------- ------ ------ 28 6.18 6.18 6.18 6.18 1.0 1 0.01 ------- ------- ----- ----- ------- -------- ------- ------ ------ 63 12.02 12.02 12.02 12.02 6.3 1 0.05 ------- ------- ----- ----- ------- -------- ------- ------ ------ Total 26.3 3 0.21 ------- ------- ----- ----- ------- -------- ------- ------ ------ KKGBp 28 4.96 4.96 4.96 4.96 3.0 1 0.02 ------- ------- ----- ----- ------- -------- ------- ------ ------ RDGZp 26 9.00 9.00 9.00 9.00 10.0 1 0.08 ------- ------- ----- ----- ------- -------- ------- ------ ------ 31 9.00 9.00 9.00 9.00 10.0 1 0.08 ------- ------- ----- ----- ------- -------- ------- ------ ------ 39 9.01 9.01 9.01 9.01 18.0 1 0.14 ------- ------- ----- ----- ------- -------- ------- ------ ------ Total 38.0 3 0.30 RGBRb6 44 8.98 8.98 8.98 8.98 4.2 1 0.03 ------- ------- ----- ----- ------- -------- ------- ------ ------ TOTAL 126.1 16 100 ------------------------------------------------------------------ [2011-12-08]