ANALYSIS: In October of 2004 volume of deals in KASE's repo sector grew by 24.4% to KZT579.2 bn.
/IRBIS, Ranida Gabdeyeva, Andrey Tsalyuk, November 3, 04/ - In October of 2004 Kazakhstan Stock Exchange (KASE) recorded 3,053 deals in the repo transactions sector for a total of KZT579.2 bn. or USD4,347.9 m. at the current rate effective on the dates deals were concluded. This is 72.5% of total turnover of KASE in October (in September - 73.6%).
In comparison with September of 2004 volume of transactions has increased by KZT113.5 bn. ($907.8 m.) or by 24.4% (by 26.4% in dollar terms). Relative to October of 2003 volume of transactions has increased by KZT304.5 bn. ($2,490.1 m.) or 2.1 times (2.3 times in dollar terms).
Structure of repo market turnover at KASE in October was as follows:
- the stake of automatic repo transactions was 92.7% of the sector's turnover (KZT536.8 bn.), including deals in Government securities (GS) - 91.7% (KZT531.1 bn.), deals in corporate securities (CS) - 1.0% (KZT5.7 bn.);
- the stake of repo transactions made by direct deals method, was 7.3% of the sector's turnover (KZT42.4 bn.), including deals in GS - 5.2% (KZT29.8 bn.), deals in CS - 2.2% (KZT12.5 bn.).
For comparison, structure of stock exchange's repo market in September of 2004 was characterized by the following indexes: autorepo - 92.8% (GS - 91.6%; CS - 1.2%); direct method repo - 7.2% (GS - 6.0%; CS - 1.2%).
The tables below characterize KASE's repo sector in October of 2004 on opening transactions in tenge (stake of the market in headings of tables is given in accordance with the actual volume of transactions, including repo opening and closing deals).
Automatic repo in GS - 91.7% 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 1.00 0.07 2.00 0.32 0.74 225,156.1 1,044 84.97
KZT_002 1.00 0.10 1.50 0.30 0.47 15,345.0 50 5.79
KZT_003 0.50 0.10 1.80 0.20 0.69 6,970.0 33 2.63
KZT_007 2.20 1.00 3.00 1.40 1.37 10,263.0 93 3.87
KZT_014 1.40 1.40 2.50 1.80 2.05 3,108.0 30 1.17
KZT_028 3.00 2.00 9.00 4.00 2.68 4,142.0 52 1.56
----------- -------- ----- ----- ------- -------- --------- ------ --------
TOTAL 264,984.2 1,302 100
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Automatic repo in CS - 1.0% 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 %
----------- -------- ----- ----- ------- -------- ------- ------ --------
ASBN_003 6.00 175.0 1 7.46
ASFIb2_007 7.00 7.00 7.00 7.00 7.00 100.0 2 4.26
ASFIb4_007 5.75 5.75 6.00 6.00 5.87 140.0 2 5.97
CCBNb3_028 8.50 8.50 8.50 8.50 8.50 248.0 2 10.58
HRLT_028 8.20 7.50 8.20 8.20 7.84 454.0 3 19.36
HSBKb_002 5.10 5.10 5.20 5.20 5.15 100.0 2 4.27
KZTCb1_007 5.50 5.50 5.50 5.50 5.50 164.0 4 6.99
ORDB_007 11.00 11.00 11.00 11.00 11.00 75.0 3 3.20
ORDB_028 5.00 63.0 1 2.69
ORDBp_028 5.00 10.0 1 0.43
RGBRb3_028 8.50 8.50 8.50 8.50 8.50 200.0 2 8.53
TEBN_030 7.80 84.0 1 3.58
TXBNb2_001 5.10 20.0 1 0.85
TXBNb2_007 7.00 7.00 7.00 7.00 7.00 100.0 2 4.26
VTBN_001 6.00 6.00 6.00 6.00 6.00 60.0 2 2.56
VTBN_028 10.00 5.00 10.00 10.00 9.37 151.0 4 6.44
VTBNb1_028 10.00 81.0 1 3.45
VTBNp_028 9.00 9.00 10.00 10.00 9.33 120.0 2 5.12
----------- -------- ----- ----- ------- -------- ------- ------ --------
TOTAL 2,345.0 36 100.0
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Repo on direct deals in GS - 5.2% 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 0.99 0.10 1.25 0.10 0.83 2,274.6 12 13.90
3 0.20 0.10 1.50 1.50 0.60 3,358.9 7 20.53
4 0.40 0.40 0.40 0.40 0.40 100.0 1 0.61
5 0.55 0.45 0.55 0.45 0.52 373.0 2 2.28
6 1.00 0.50 1.00 0.50 0.69 210.0 3 1.28
7 1.00 0.50 1.50 0.50 0.99 9,325.5 16 57.00
9 1.35 1.35 1.35 1.35 1.35 100.0 1 0.61
14 2.50 2.00 2.70 2.00 2.42 264.0 6 1.61
24 3.50 3.50 3.50 3.50 3.50 1.0 1 0.01
28 4.75 3.00 4.75 3.00 3.62 244.1 8 1.49
31 3.00 3.00 3.00 3.00 3.00 10.0 1 0.06
43 3.30 3.30 3.30 3.30 3.30 89.7 1 0.55
70 3.50 3.50 3.50 3.50 3.50 8.4 1 0.05
------- -------- ----- ----- ------- -------- -------- ------ --------
TOTAL 16,359.2 60 100.0
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Repo on direct deals in CS - 2.2% 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 98 13.04 23.6 1 0.31
174 13.01 20.5 1 0.27
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 44.1 2 0.57
-------- ------- ----- ----- ------- -------- ------- ------ --------
ATFBp 98 6.00 44.0 1 0.57
-------- ------- ----- ----- ------- -------- ------- ------ --------
ATFBp8 61 6.00 20.0 1 0.26
121 6.00 20.0 1 0.26
148 6.00 60.0 1 0.78
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 100.0 3 1.29
-------- ------- ----- ----- ------- -------- ------- ------ --------
BRKZb1 3 1.50 85.6 1 1.11
-------- ------- ----- ----- ------- -------- ------- ------ --------
BTASb4 7 1.50 1.50 1.50 1.50 5.5 2 0.07
-------- ------- ----- ----- ------- -------- ------- ------ --------
CCBN 6 1.22 7.00 1.22 3.89 204.0 5 2.64
7 1.04 7.04 1.04 5.53 251.0 5 3.25
11 1.00 100.0 1 1.29
13 6.03 30.0 1 0.39
29 9.00 138.9 1 1.80
31 7.71 9.01 7.71 7.85 77.3 2 1.00
32 9.01 10.04 10.04 9.08 32.0 2 0.41
33 8.52 50.0 1 0.65
34 9.02 9.02 9.02 9.02 72.6 2 0.94
182 9.00 50.0 1 0.65
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 1 005.8 21 13.00
-------- ------- ----- ----- ------- -------- ------- ------ --------
CCBNb4 3 6.89 30.1 1 0.39
7 5.50 6.92 6.41 6.09 364.9 5 4.72
13 6.91 7.40 6.91 7.00 125.0 2 1.62
14 6.17 24.0 1 0.31
91 7.68 150.5 1 1.95
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 694.5 10 8.98
-------- ------- ----- ----- ------- -------- ------- ------ --------
HSBKb 33 8.00 8.00 8.00 8.00 33.1 2 0.43
-------- ------- ----- ----- ------- -------- ------- ------ --------
HSBKb2 31 7.50 1.6 1 0.02
-------- ------- ----- ----- ------- -------- ------- ------ --------
HSBKb5 3 1.31 232.5 1 3.01
-------- ------- ----- ----- ------- -------- ------- ------ --------
INCAb1 3 1.51 198.8 1 2.57
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZASb2 7 5.21 5.21 5.21 5.21 126.2 2 1.63
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZIKb1 33 13.00 2.0 1 0.03
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZIKb2 3 1.22 157.0 1 2.03
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZIKb3 3 1.22 200.0 1 2.59
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZIKb4 3 1.22 2.43 2.43 2.13 157.0 2 2.03
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZIKb5 32 3.20 3.20 3.20 3.20 387.8 2 5.01
33 3.21 3.21 3.21 3.21 387.8 2 5.01
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 775.6 4 10.03
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZIKb6 25 3.50 32.0 1 0.41
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZMS 5 5.00 5.00 5.00 5.00 717.9 4 9.28
31 5.96 5.96 5.96 5.96 89.2 2 1.15
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 807.1 6 10.44
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZTCb1 86 7.00 70.0 1 0.91
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZTK 8 4.00 122.8 1 1.59
14 4.00 122.8 1 1.59
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 245.6 2 3.18
-------- ------- ----- ----- ------- -------- ------- ------ --------
KZTKp 17 15.00 0.3 1 0.00
28 15.00 0.2 1 0.00
56 6.00 0.5 1 0.01
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 1.0 3 0.01
-------- ------- ----- ----- ------- -------- ------- ------ --------
MREKb1 5 5.36 71.9 1 0.93
-------- ------- ----- ----- ------- -------- ------- ------ --------
NRBNb3 3 1.20 151.5 1 1.96
-------- ------- ----- ----- ------- -------- ------- ------ --------
NRBNp6 31 9.50 5.0 1 0.06
-------- ------- ----- ----- ------- -------- ------- ------ --------
ORDB 7 5.01 90.0 1 1.16
8 5.01 74.5 1 0.96
60 5.50 30.0 1 0.39
61 6.00 6.00 6.00 6.00 120.0 2 1.55
62 5.00 20.0 1 0.26
91 9.50 10.00 9.50 9.85 14.7 2 0.19
92 6.00 6.00 6.00 6.00 66.0 2 0.85
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 415.2 10 5.37
-------- ------- ----- ----- ------- -------- ------- ------ --------
ORDBb1 33 9.00 15.0 1 0.19
-------- ------- ----- ----- ------- -------- ------- ------ --------
ORDBp 14 14.01 13.4 1 0.17
40 5.00 42.0 1 0.54
62 5.00 18.0 1 0.23
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 73.4 3 0.95
-------- ------- ----- ----- ------- -------- ------- ------ --------
RGBRb3 6 5.32 50.0 1 0.65
-------- ------- ----- ----- ------- -------- ------- ------ --------
ROSA 365 10.00 250.0 1 3.23
-------- ------- ----- ----- ------- -------- ------- ------ --------
TEBN 31 10.00 2.0 1 0.03
82 9.00 10.0 1 0.13
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 12.0 2 0.16
-------- ------- ----- ----- ------- -------- ------- ------ --------
TEBNb3 31 4.00 4.00 4.00 4.00 329.1 2 4.26
-------- ------- ----- ----- ------- -------- ------- ------ --------
TXBNb2 3 1.23 2.46 2.46 1.94 198.0 2 2.56
-------- ------- ----- ----- ------- -------- ------- ------ --------
VTBN 1 6.67 89.9 1 1.16
3 2.67 4.94 2.67 4.28 145.0 5 1.87
6 1.11 7.12 2.00 3.44 265.8 3 3.44
7 0.47 7.98 7.98 5.85 183.8 3 2.38
11 0.50 100.0 1 1.29
24 7.98 70.0 1 0.91
25 9.99 32.0 1 0.41
31 8.50 11.99 11.52 9.90 97.4 4 1.26
33 10.02 10.0 1 0.13
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 993.9 20 12.85
-------- ------- ----- ----- ------- -------- ------- ------ --------
VTBNb1 14 8.00 8.00 8.00 8.00 40.4 4 0.52
32 9.50 30.0 1 0.39
-------- ------- ----- ----- ------- -------- ------- ------ --------
Subtotal 70.4 5 0.91
-------- ------- ----- ----- ------- -------- ------- ------ --------
VTZL 28 7.98 80.0 1 1.03
-------- ------- ----- ----- ------- -------- ------- ------ --------
TOTAL 7,734.3 120 100.00
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Stake of stock exchange's turnover in total volume of repo deals of Kazakhstan secondary market in October of 2004 has equaled to 93.9%, in September of 2004 - 95.9%.
October's repo market was unusual at KASE. Turnover's structure has not changed relative to Septemberbut volume of deals has considerably grown, and dynamics of rates was not traditional.
Specialists of IRBIS think it occurred, first of all, because of events at country's currency market, where banks sold the record high for Kazakhstan volume of dollars. Tenges, which they earned, formed the excessive liquidity at the financial market, which National Bank partially tied by issuing notes and at KASE's automatic repo market. As a result stock exchange's repo market activated and "overnight" rates fell to historic minimums. Weighted average size of TONIA has equaled to 0.74% APR (in September - 1.89% APR), and yield of separate repo transactions in GS did not exceed 0.1% APR in October.
The excessive tenge liquidity of the market has broken the usual rhythm of rates changing. Before the curve of TONIA reached maximum in the end of the second ten-day period of each month, but in October this regularity was absent at all. Period of budget payments has not influenced upon behavior of this indicator, which tended to falling during the whole month.
Forecast of November's market is tightly connected with the forecast of events at the currency market. Analysts of IRBIS see no factors able to change the conjuncture of the currency market. So it follows that volume of the repo market at KASE, most probably, will grow, and rates behavior will be very similar with the previous month's dynamics.
[2004-11-03]