At futures market of KASE there have been made first deals with contracts for yield of euronotes of Kazakhstan
/IRBIS, October 3, 02/ - On Thursday during the trades in non-delivery currency futures contracts held at Kazakhstan Stock Exchange (KASE) for the yield of international securities of Kazakhstan two deals were made. Deals were directed to opening of positions on contracts for yield of euronotes of the third (XS0102764031) and the fourth (XS0111078183) issues with settlement in October (codes of the futures - FENU0210UN_3 and FENU0210UN_4 accordingly).
We are reminding that these futures are quoted as %APR of bond's yield to maturity for a purchaser. Judging on this quotation KASE trade system calculates bonds' price taking into account weighted average rate of US dollar to KZ tenge, which is determined at KASE main session on quotation day, and this price determines the volume of made deals, and also real current cost of the contract.
Deals with FENU0210UN_3 were made today at 3.40% APR, that corresponds to bond's dirty price in the amount of 195.08578... (price is not rounded by the trade system) per dollar of the debt or 126.2446% of its face value. At this the current yield of basic assets, judging on deals made at KASE in euronotes purchase and sale sector, equaled to 3.29% APR.
Deals with FENU0210UN_4 were made at 4.56% APR that corresponds to dirty price 203.01193... tenge for dollar of the debt or 131.3738% of its face value at the current yield of basic assets at KASE 4.56% APR.
Total volume of deals equaled to 10 contracts in the amount of USD12,880.92 at the current cost of the debt or KZT1,990,488.55 taking into account the current stock exchange's rate. Volume of open interest in the sector at closing of the trades equaled to USD10 th. in nominal expression of the sovereign debt.
Following are the results of the trades held at KASE with bid and offer parameters at closing of the session.
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At closing of trades (% APR)
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best
settlement ----------------------------
Deals price, % APR bid, % APR offer % APR volume
---------- ------------ ------------- ------------- of open
Contract num- vo- price quota- quota- posi-
code ber lume value trend tion trend tion trend tions
------------ ---- ---- ----- ----- ------ ----- ------ ----- -------
FENU0210UN_3 1 5 3.41 - - - - - 5
FENU0210UN_4 1 5 4.56 - - - - - 5
------------ ---- ---- ----- ----- ------ ----- ------ ----- -------
Total 2 10 10
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The fifth and the sixth positions in the contract code indicate the settlement year, seventh and eighth - settlement month. Settlement on contract is made on last Friday of the indicated month. All volumes are given in contracts. Price trends are given in absolute expression against previous resulting day, quotations - previous trading day. Volume of open purchasing (or selling, since they are equal) is given.
[2002-10-03]