OREANDA-NEWS. The Expert Committee of Kazakhstan Stock Exchange (KASE) on December 19, 2014 according to the schedule revised parameters of non-indexed government securities (GS) subgroups used by for their market valuation.

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