KASE changes procedure of determining settlement price of bond based on use of Z-spread
07.08.20 18:24
/KASE, August 7, 2020/ – On August 6, 2020 the Committee on market risks
(hereinafter – the Committee) of Kazakhstan Stock Exchange (KASE) took a
decision on changing the procedure of determining settlement prices of bonds.
The Committee resolved:
1. To apply from August 6 the following procedure for determining the
settlement price of a bond denominated in tenge, based on the use of the
Z-spread:
1) in terms of the procedure for determining the settlement price of a bond
denominated in tenge, determined in accordance with sub-item 3-5) of
item 19 of the Methodology, if there is a purchase order and the
theoretical price of such a bond, to use the following procedure:
– if BID and Ptheor are available:
Pattlmnt = min(Ptheor,BID);
2) in terms of the procedure for determining the settlement price when
determining the settlement price of the bond, determined in accordance
with sub-item 3-5) of item 19 of the Methodology, in the absence of buy
orders (BID), sell orders (ASK) and theoretical price (Ptheor), not to use
the value of the settlement prices of the previous day (Pattlmnt T-1) of
such a bond;
3) in the absence of data to determine the estimated price of the bond
Pattlmnt in accordance with sub-item 3-5) of item 19 of the Methodology,
to determine the settlement price of such a bond in the following order,
taking into account the specified sequence:
– in accordance with the Exchange's internal document
"Methodology for calculating the weighted average yield of illiquid
debt securities and determining their fair value";
– determined as being equal to 100%.
Corresponding changes are planned to be introduced to KASE's internal document
"Methods of Securities Valuation", which will be announced additionally.
[2020-08-07]