In September of 2003 volume of deals in KASE's repo sector decreased by 12.6% to KZT262.9 bn
/IRBIS, October 3, 03/ - In September of 2003 at Kazakhstan stock exchange (KASE) in repo-transactions sector there were registered 2,248 deals to the total amount of KZT262.9 bn or USD1,777.6 m at the current rate on deals making date, that is 63.4% of the whole September's turnover. In comparison with August of 2003 volume of transactions decreased by KZT38.0 bn ($272.8 m) or by 12.6% (by 13.3% in terms of dollar). Relative to September of 2002 volume of transactions decreased in tenge by 1,045.3 bn or by 0.40%, and in terms of dollar it rose by 70.0 m. or by 4.10%.
Reasons of repo market's compression in September are transparent. Along with general tendency of this year, which is money outflow from repo sector to securities sector, in the second half of the month there was sharp tenge deficit at the whole Kazakhstan financial market, which was caused mainly by rather small offer of enterprises-exporters' currency proceeds at the stock exchange and outside it. This, on one hand, reduced tenge inflow to second tier banks' correspondent accounts from the National Bank, and on the other hand - it resulted in growth of devaluation expectations and currency traders' attempts to use these expectations for speculative playing at domestic dollar market. Having kept from supporting this game, National Bank refused to support banks' short-term liquidity in KASE's automatic repo sector. It resulted in the significant decrease of the volume of repo transactions and growth of rates of repo "overnight" to record high in this year levels (see the tables).
Structure of repo market's turnover at KASE in September, which was calculated in tenge equivalent, was as follows:
- the stake of automatic repo transactions was 82.7% of the sector's turnover (KZT217.4 bn), including deals in Government securities (GS) - 82.3% (KZT216.4 bn), deals in corporate securities (CS) - 0.4% (KZT1,000.7 m);
- the stake of repo transactions, which were made by direct deals method, was 17.3% of the sector's turnover (KZT45.5 bn), including deals in GS - 16.6% (KZT43.7 bn), deals in CS - 0.7% (KZT1,873.1 m).
For comparison, structure of stock exchange's repo market in 2002 was characterized by the following indexes: autorepo - 83.03% (GS - 83.01%;
CS - 0.02%); repo by direct method - 16.97% (GS - 16.09%; CS - 0.88%).
Below are tables, which characterize KASE's repo sector in September of 2003 on opening transactions in tenge.
Automatic repo in GS - 82.3% of the market
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Repo rate, % APR
Instrument ------------------------------------- Volume, Num- Stake of
(currency, on first mini- maxi- on last weighted m ber of market,
term, days) deal mum mum deal average KZT deals %
----------- -------- ----- ----- ------- -------- --------- ------ --------
KZT_001 3.50 1.00 25.00 3.05 3.96 85,148.1 685 76.5
KZT_002 3.70 3.00 13.00 6.00 8.42 1,751.0 19 1.6
KZT_003 3.10 1.90 8.00 7.00 2.87 735.0 7 0.7
KZT_007 4.90 3.45 10.00 5.00 4.62 4,002.0 58 3.6
KZT_014 4.95 3.40 10.00 4.85 4.84 9,223.0 77 8.3
KZT_028 5.00 3.50 9.00 5.00 5.82 10,442.0 126 9.4
----------- -------- ----- ----- ------- -------- --------- ------ --------
TOTAL 111,301.2 972 100.0
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Automatic repo in CS - 0.4% of the market
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Repo rate, % APR
Instrument ------------------------------------- Volume, Num- Stake of
(security, on first mini- maxi- on last weighted m ber of market,
term, days) deal mum mum deal average KZT deals %
----------- -------- ----- ----- ------- -------- ------- ------ --------
ASFIb2_007 7.00 7.00 25.0 1 4.2
ASFIb2_021 8.00 8.00 8.00 8.00 8.00 70.0 2 11.8
BRKZb1_014 5.65 5.65 5.65 5.65 5.65 165.0 3 27.9
KZIKb1_007 7.00 7.00 7.00 7.00 7.00 50.0 2 8.5
KZIKb1_028 8.50 8.50 30.0 1 5.1
TXBNb1_001 7.00 6.00 15.00 6.00 8.20 249.0 5 42.1
VTBN_014 5.00 5.00 1.0 1 0.2
VTBNp_014 5.00 5.00 1.0 1 0.2
----------- -------- ----- ----- ------- -------- ------- ------ --------
TOTAL 591.0 16 100.0
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Repo on direct deals in GS - 16.6% of the market
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Repo rate, % APR
Term of ----------------------------------------- Volume, Num- Stake of
repo, on first mini- maxi- on last weighted m ber of market,
days deal mum mum deal average KZT deals %
------- -------- ----- ----- ------- -------- -------- ------ --------
1 1.50 1.50 15.01 3.25 5.80 12,138.6 54 52.2
2 5.52 3.25 22.00 4.00 11.51 2,209.0 11 9.5
3 1.50 1.50 15.00 5.00 2.86 968.9 6 4.2
4 1.80 1.50 16.00 2.00 9.03 3,107.1 14 13.4
5 10.00 5.50 10.00 5.50 9.72 789.8 5 3.4
6 2.30 1.50 15.00 5.50 6.08 1,759.2 8 7.6
7 5.30 4.00 5.30 4.00 4.61 488.3 2 2.1
8 3.50 3.50 200.0 1 0.9
10 6.00 6.00 3.6 1 0.0
11 9.50 9.50 50.0 1 0.2
14 3.50 3.50 6.00 3.50 4.65 519.6 4 2.2
15 1.70 1.70 300.0 1 1.3
17 3.00 3.00 6.00 6.00 3.07 358.6 3 1.5
19 3.10 3.10 215.0 1 0.9
23 3.50 3.50 25.5 1 0.1
24 6.00 6.00 6.00 6.00 6.00 59.0 4 0.3
28 5.10 5.10 40.9 1 0.2
30 3.50 3.50 24.0 1 0.1
------- -------- ----- ----- ------- -------- -------- ------ --------
TOTAL 23,257.0 119 100.0
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Repo on direct deals in CS - 0.7% of the market
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Repo rate, % APR
Subject Term of ------------------------------- Volume, Num- Stake of
of repo, mini- maxi- on last weighted m ber of market,
repo days mum mum deal average KZT deals %
-------- ------- ----- ----- ------- -------- ------- ------ --------
ALKS 24 8.69 8.69 15.0 1 1.62
33 30.42 30.42 6.0 1 0.65
125 8.18 8.18 50.0 1 5.40
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 71.0 3 7.66
-------- ------- ----- ----- ------- -------- ------- ------ --------
ALKSp 1 10.27 10.27 13.9 1 1.50
30 9.90 10.57 9.90 10.10 31.3 2 3.38
31 10.60 10.60 12.1 1 1.30
32 10.27 10.27 21.1 1 2.27
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 78.3 5 8.45
-------- ------- ----- ----- ------- -------- ------- ------ --------
CCBN 9 10.14 10.14 4.0 1 0.43
10 9.13 9.13 10.0 1 1.08
30 9.00 10.04 9.00 9.45 44.0 4 4.75
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 58.0 6 6.26
-------- ------- ----- ----- ------- -------- ------- ------ --------
CSBNb2 1 12.00 12.00 6.6 1 0.71
15 5.50 5.50 8.1 1 0.87
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 14.7 2 1.58
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZMS 30 11.00 11.00 15.0 1 1.62
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZTKb1 91 5.50 5.50 15.1 1 1.62
-------- ------- ----- ----- ------- -------- ------- ------ --------
RGBRb3 1 3.65 7.31 7.31 4.47 53.8 2 5.80
7 7.32 7.84 7.32 7.50 54.9 2 5.92
30 8.95 9.07 8.95 8.99 116.2 3 12.54
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 224.8 7 24.26
-------- ------- ----- ----- ------- -------- ------- ------ --------
TEBN 31 5.00 5.00 3.0 1 0.32
-------- ------- ----- ----- ------- -------- ------- ------ --------
TXBNb1 30 12.00 12.00 3.0 1 0.32
-------- ------- ----- ----- ------- -------- ------- ------ --------
VITAb3 1 11.00 11.00 55.0 1 5.94
4 7.00 7.00 1.8 1 0.19
8 8.50 8.50 55.0 1 5.94
19 11.00 11.00 55.0 1 5.94
30 12.00 12.40 12.00 12.18 18.0 3 1.94
34 10.00 10.00 5.0 1 0.54
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 189.8 8 20.48
-------- ------- ----- ----- ------- -------- ------- ------ --------
VTBN 27 10.35 10.35 59.9 1 6.47
28 8.51 8.51 6.1 1 0.65
30 9.99 10.49 10.00 10.02 93.0 4 10.03
125 10.00 10.00 50.0 1 5.40
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 208.9 7 22.55
-------- ------- ----- ----- ------- -------- ------- ------ --------
VTBNb1 30 8.50 8.50 20.0 1 2.16
-------- ------- ----- ----- ------- -------- ------- ------ --------
VTZL 31 10.48 10.48 25.0 1 2.70
-------- ------- ----- ----- ------- -------- ------- ------ --------
TOTAL 926.6 44 100.0
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Stake of stock exchange's turnover in total volume of repo deals of Kazakhstan secondary market in September was 87.6%, in August - 94.9%.
[2003-10-03]