KASE changes duration of Base period for market valuation of non-indexed GS

24.07.17 15:15
/KASE, July 24, 2017/ – As of July 24, 2017, the Committee on Indexes and Securities Valuation (hereinafter – the Committee) of Kazakhstan Stock Exchange (KASE) took a decision for purposes of the market valuation of non- indexed government bonds of the Republic of Kazakhstan (hereinafter – GS) of the first subgroup (with a term of up to 2,520 days to maturity) to use parameters of deals concluded in them within 40 calendar days preceding the valuation date and for those of the second sub-group (with a term of 100 and more days to maturity) to use parameters of deals concluded in them within 160 calendar days preceding the valuation date. We remind you that in accordance with the Methodology for valuation of securities (hereinafter – the Methodology), non-indexed GS are valuated at yield to maturity, whose values are determined within set sub-groups depending upon the term to maturity of each security. At the same time, one sub-group includes securities whose yield to maturity dependence on the number of days to maturity can be most precisely described by a polynomial trend equation. The polynomial trend equation for each sub-group is determined by way of approximation of parameters and deals executed, concluded on KASE in GS of a particular sub- group during a certain timespan, preceding the valuation date (hereinafter and in the heading – Base period), whose duration is set by the Committee. The Base period duration is set by the Committee on the following terms: the Base period must be at least 40 days and no longer than 360 calendar days; its duration expressed in days must be dividable by 20; the period must include at least 25 effective days for GS, included in each sub-group. Before July 24, 2017 for purposes of executing the market valuation of the first sub-group KASE used the Base period of 60 calendar days, of the second sub- group – 180 calendar days. According to item 20-1 of the Methodology for valuation of securities, the Base period for the first sub-group GS for purposes of adjusting values of market prices close to the current market conditions has been shortened by 20 days to 40 calendar days. The Base period for the second sub-group GS has been decreased by 20 days to 160 calendar days. The Methodology is available on KASE website at http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf All persons interested in issues related to the Methodology and procedure of calculation of market prices can turn to the Department for Information and Statistics on: (727) 237 53 18, e-mail: info@kase.kz [2017-07-24]