Parameters of subgroups of non-indexed GS defined for first quarter of 2015
We remind you that according to the Methodology of Securities Valuation,
non-indexed GS are valued at yield-to-maturity whose values are defined within
the limits of sub-groups pointed out by the Expert Committee depending upon the
time left to maturity of each security. That stipulates that one subgroup shall
include securities whose dependence of the yield-to-maturity on the number of
days left to maturity may be most precisely described by one polynomial trend
equation. The polynomial trend equation for each sub-group is determined by
using the method of approximation of parameters of executed deals (dates before
repayment and yield) in GS of that subgroup.
Based on the expertise of analytical data provided by the Exchange, the Expert
Committee decided on December 12, 2014, for purposes of valuation of non-indexed
GS in the first quarter of 2015 that those GS be divided into two sub-groups
with the following values of their limits:
I subgroup – from 0 to 3,000 days left to their maturity,
II subgroup – from 2,000 and more days left to their maturity.
For building the yield curves for the mentioned subgroups a polynomial trend
equation of the second degree will be used.
The mentioned division will lead to yield fluctuation leveling of non-indexed GS
with 1,500 - 3,500 days left to their maturity, which will allow an increased
representativeness of the selection of transactions for valuation of securities
of the first and second sub-groups.
For the second quarter of 2015 the number of subgroups, their limits and kinds
of polynomial trend equations applied should be determined not later than five
business days before the quarter beginning.
The Methodology is available on KASE website, at
http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf
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