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]