/IRBIS, July 30, 01/ - Trades in automatic repo sector will be opened from
August 01, 2001. Testing trades were opened on July 10.
By the decree of KASE board this sector trades will be held till the end of
year excluding commissioning charge for participants.
As it was informed before depending on the structure of the automatic repo
market, which will be set by the Board of the KASE, repo deals can be
concluded in the trade system for several fixed terms. When submitting
bids, repo rate will be used as a price of financial instrument, which is the
return of the transaction, expressed in APR and calculated on the basis of
the difference between closing and opening values of the repo and its term.
The opening value, expressed in the currency used to make a deal, is used
as a quantity. The party that made a purchase deal in automatic repo sector
is a seller of financial instruments - the object of repo deal when opening
deal is concluded. Respectively, party that made a deal to sell in automatic
repo sector is a buyer of financial instruments - the object of repo deal when
opening deal is concluded. Calculation of a necessary quantity of financial
instruments needed to conclude an opening deal will be made automatically
at prices set in the trade system, so as to ensure that value equivalent of
financial instruments on opening deal is equal or exceeds the opening
value. Calculation methods of financial instrument prices will be defined by
Risk Committee of the KASE. The Board of the Exchange will regulate the
structure and activity of the Committee.
When making a deal in automatic repo sector the opening value is defined as
the total fixed at conclusion of repo deal, while the closing price - as the
price of the value of opening repo deal plus the return on a repo deal, which
is calculated using the following formula: opening value is multiplied by the
return fixed at striking a repo deal, divided by 365 and multiplied by the repo
term. Repo term is the number of calendar days between repo opening and
closing dates. It should be noted that opening and closing values are
automatically corrected by the trade system of the Exchange based on the
method developed by the KASE to keep correct records of securities
movements in back-offices of the trade participants.
On automatic repo market deals will be concluded using both methods:
uninterrupted counter auction and direct quotations.
Commission fee at automatic repo sector will be 0.25% of the total return of
a concluded deal. Total return is defined as the product of number of
securities used in the deal and the difference between closing and opening
prices of the repo. Commission fee will be collected both from the seller and
buyer, as well as both in opening and closing of repo. If repo term is changed
(repo prolongation), total return is calculated according actual execution
period of repo closing deal.
Now the trade participants can make repo rates at KASE using the
government securities (GS) and corporate securities (CS). The trades are
conducted by submitting bids by the participants in the trade system of the
KASE on certain financial instrument, which is used as an object of repo
deal. When this method is used, the direct quotations method is used. The
bid contains the title of the counteragent based on the coding adopted at the
KASE, trade code number, direction (purchasing or selling) of opening deal,
opening or closing price, number of financial instruments and repo closing
date. The opening and closing value of the repo is calculated as the product
of the price and the number of financial instruments fixed on the deal striking
moment.
After the opening of automatic repo sector the participants of the trades at
the Exchange will be able to make repo deals both in this sector and using
the old methods.
Repo market at KASE is regulated by domestic normative document
"Automatic repo market specification", "Repo deals making rules" You
may find in (
http://www.kase.kz/geninfo/normbase/repo.asp) and
(
http://www.kase.kz/geninfo/normbase/repo_avt.asp) respectively.
The last document was put into effect by the decree of KASE board from
July 23, 2001.