/KASE, September 18, 2019/ – Following a decision of the Board of Directors of
Kazakhstan Stock Exchange (KASE) dated September 16, 2019, a new internal
document of KASE – "Methodology of defining the yield of government securities
of Republic of Kazakhstan" (Methodology) was approved.
The effective date of the Methodology will be announced later.
The Methodology was developed for purposes of switching the market valuation of
non-indexed government securities (GS) to a new methodology using the
Nelson-Siegel model.
As the research conducted by KASE experts shows, the Nelson-Siegel model is a
generally accepted tool for conducting the market valuation of bonds, and its
use significantly increases the objectivity and reproducibility of the GS yield
curve.
Currently, GS are valuated in accordance with KASE's internal document
"Methodology of securities valuation" at yield to maturity values of which are
defined within the limits of marked sub-groups depending upon the time left to
maturity of each GS. For building the GS yield curve the polynomial trend line
is used. Each subgroup shall include securities whose dependence of the yield-
to-maturity on the number of days left to maturity may be most precisely
described by one polynomial trend equation. The polynomial trend equation for
each sub-group is determined by using the method of approximation of parameters
of executed deals (dates before repayment and yield) in GS of that subgroup.
Derived polynomial trend lines are matched by weighing dots of those lines at
current maturity.
The Methodology will be released on KASE's website –
http://kase.kz/en/kase_rules/
[2019-09-18]