OREANDA-NEWS. February 02, 2011. By a decision of Kazakhstan Stock Exchange (KASE) Risk Committee, the following procedure has been set up for calculating market prices of bonds (Procedure) whose current yield cannot be determined, in particular by KASE trading system, in accordance with KASE internal document "Method of Calculation of Bond Yield and Bond Transaction Sum" (Method, http://www.kase.kz/files/normative_base/bond_yield_eng.pdf ), reported the press-centre of KASE.

1. Market prices of bonds issued according to the legislation of a state other than the Republic of Kazakhstan, and traded on the Exchange in prices incorporating the accrued interest ("dirty" prices), are calculated once a week as at 9:00 o'clock (Almaty time) on the first working day of a given week - the day of evaluation - as follows:

 1) the average of "dirty" prices of the best-price purchase/sale quotations for bonds of each denomination, fixed at the moment of trading closure according to data from the information system of Bloomberg agency is calculated for each working day of the previous calendar week;

 2) based on values determined in accordance with sub-item 1) of this item, the average of the "dirty" price of a bond of this denomination is calculated being then effective for the entire period of evaluation.

2. If in Bloomberg's information system there are no data required for the calculation of market prices in accordance with item 1 of the Procedure, then the calculation of market prices of bonds mentioned in item 1 of the Procedure, is carried out as follows:
  
 1) for each of the last ten working days, preceding the first working day - day of evaluation, orders for purchase of the mentioned bonds are selected which were submitted during the trading conducted by the Exchange using the method of continuous counter auction, totaling to not less than 2,000 MCI (Monthly Calculation Index), and in case of availability of a market-maker for those bonds, totaling to not less than the minimum mandatory quotation amount fixed for them as at the date of assigning such status to them;

 2) out of orders selected in accordance with sub-item 1) of this item, the orders are chosen which (each one of them) were active for not less than 30 minutes, and orders based on which (each one of them) a deal or deals were concluded totaling to not less than 2,000 MCI, and in   case of availability of a market-maker for those bonds - totaling to not less than the minimum mandatory quotation amount fixed for them as at the date of assigning such status to them;

3) out of orders selected according to sub-item 2) of this item one order is selected for each of the last ten working days, preceding the first working weekday - the day of evaluation according to which the "dirty" price of the mentioned bonds is the highest;

4) the market price of a bond is calculated as the average of "dirty" prices of orders selected in accordance with sub-item 3) of this item, and is effective for the entire period of evaluation.

3. Market prices of bonds issued according to the legislation of a state other than the Republic of Kazakhstan, and traded on the Exchange at prices without taking into account the accrued interest ("net" prices), but based on which no correct calculation of yield according to the Method is possible, are fixed daily as at 9:00 o'clock (Almaty time) each working day. At that the market price of a bond of each denomination is calculated as the sum of interest accrued but not paid as at date of evaluation, and the bond's net price determined once a week as at 9:00 o'clock (Almaty time) on the first working weekday (evaluation day) as follows:
  
1) the average of "net" prices of the best-price purchase/sale quotations for bonds of each denomination, fixed at the moment of trading closure according to data from the information system of Bloomberg agency is calculated for each working day of the previous calendar week;

2) based on values determined in accordance with sub-item 1) of this item, the average of the "net" price of a bond of this denomination is calculated being then effective for the entire period of evaluation.

4. If in Bloomberg's information system there are no data required for the calculation of market prices in accordance with item 3 of the Procedure, then the calculation of market prices of bonds mentioned in item 3 of the Procedure, is carried out as follows:
  
1) for each of the last ten working days, preceding the first working weekday - day of evaluation, orders for purchase of the mentioned bonds are selected which were submitted during the trading conducted by the Exchange using the method of continuous counter auction, totaling to not less than 2,000 MCI (Monthly Calculation Index), and in case of availability of a market-maker for those bonds, totaling to not less than the minimum mandatory quotation amount fixed for them as at the date of assigning such status to them;

2) out of orders selected in accordance with sub-item 1) of this item, the orders are chosen which (each one of them) were active for not less than 30 minutes, and orders based on which (each one of them) a deal or deals were concluded totaling to not less than 2,000 MCI, and in case of availability of a market-maker for those bonds - totaling to not less than the minimum mandatory quotation amount fixed for them as at the date of assigning such status to them;

3) out of orders selected according to sub-item 2) of this item one order is selected for each of the last ten working days, preceding the first working weekday - the day of evaluation according to which the "net" price of the mentioned bonds is the highest;

4) the "net" price of a bond is calculated as the average of "net" prices of orders selected in accordance with sub-item 3) of this item, and is effective for the entire period of evaluation.

5. Market prices of bonds issued in accordance with the legislation of the Republic of Kazakhstan and traded on the Exchange at "dirty" prices, are calculated once a week as at 9:00 o'clock (Almaty time) on the first working weekday in an order similar to that specified in item 2 of this Procedure.

6. Market prices of bonds issued according to the legislation of the Republic of Kazakhstan, and traded on the Exchange at "net"  prices, but based on which no correct calculation of yield according to the Method is possible, are fixed daily as at 9:00 o'clock (Almaty time) each working day. At that the market price of a bond of each denomination is calculated as the sum of   interest accrued but not paid as at date of evaluation, and the bond's net price determined once a week as at 9:00 o'clock (Almaty time) on the first working weekday of a given week in an order similar to that specified in item 4 of the Procedure.

The order was determined based on sub-item 3) of item 23 of the Method and is applied from January 31, 2010 to the following bonds officially listed on KASE:

- international non-government bonds XS0495755562 (XS0495755646, ASBNe8), XS0496645085 (XS0496645242, ASBNe9), XS0495756370 (XS0495756453, ASBNe11), XS0496645671 (XS0496645838, ASBNe12), XS0496645911 (XS0496646059, ASBNe13) of Alliance Bank (Almaty),

- international non-government bonds XS0532990677 (BTASe11), XS0532995049    (BTASe15), XS0532988770 (BTASe11) of BTA Bank (Almaty);

- internal bonds KZ2C0Y05C192 (KONDb1) of Condensate (Aksai, West Kazakhstan).

KASE will apply the Procedure until relevant amendments and additions to the Method become effective.