03.10.2016, 14:35
KASE Changes Duration of Base Period
OREANDA-NEWS. As of October 3, 2016, 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 400 days to maturity) to use parameters of deals concluded in them within 60 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 180 calendar days preceding the valuation date.
KASE 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 60 days and not longer than 360 calendar days; its duration expressed in days must be dividable by 30; the period must include at least 25 effective days for GS, included in each sub-group. Before October 3, 2016 for purposes of executing the market valuation of the first sub-group GS (with a term of up to 3,000 days to maturity) parameters of deals concluded in them within 90 calendar days preceding the valuation date were used, of the second sub-group (with a term of 1,500 days and more to maturity) – 360 calendar days.
On September 29, 2016 following a decision of KASE Expert Committee the following sizes of the GS sub-groups for the fourth quarter with the purpose of their market valuation were defined: first sub-group GS – with a term of up to 400 days to maturity, the second sub-group GS – with a term of 100 days and more to maturity.
KASE 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 60 days and not longer than 360 calendar days; its duration expressed in days must be dividable by 30; the period must include at least 25 effective days for GS, included in each sub-group. Before October 3, 2016 for purposes of executing the market valuation of the first sub-group GS (with a term of up to 3,000 days to maturity) parameters of deals concluded in them within 90 calendar days preceding the valuation date were used, of the second sub-group (with a term of 1,500 days and more to maturity) – 360 calendar days.
On September 29, 2016 following a decision of KASE Expert Committee the following sizes of the GS sub-groups for the fourth quarter with the purpose of their market valuation were defined: first sub-group GS – with a term of up to 400 days to maturity, the second sub-group GS – with a term of 100 days and more to maturity.
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