08.07.2015, 02:27
KASE extends duration of Base period for market valuation of non-indexed GS with term of up to 3,500 days left to maturity
OREANDA-NEWS. July 08, 2015. Following a decision of the Committee
on Indexes and Securities Valuation (hereinafter – the Committee) of Kazakhstan
Stock Exchange (KASE) for purposes of the market valuation of non-indexed
government bonds of the Republic of Kazakhstan (hereinafter – GS) of the first
subgroup (GS with a term of up to 3,500 days to maturity) parameters of deals
concluded in them within 330 calendar days preceding the valuation date will be
used.
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 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 July 7, 2015 for purposes of executing the market valuation of the first sub-group GS KASE used the Base period of 300 calendar days.
According to sub-item 2 of item 20 of the Methodology, the Base period must include at least 25 efficient days for GS included in each of the subgroups. Due to incompliance of the Base period set for the first group GS with this requirement, as well as according to items 20 and 20-1 of the Methodology the Base period for the first group GS has been extended by 30 days to 330 days. The second subgroup base period (GS with a term of 1,500 and more days to maturity) shall remain at 270 days.
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 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 July 7, 2015 for purposes of executing the market valuation of the first sub-group GS KASE used the Base period of 300 calendar days.
According to sub-item 2 of item 20 of the Methodology, the Base period must include at least 25 efficient days for GS included in each of the subgroups. Due to incompliance of the Base period set for the first group GS with this requirement, as well as according to items 20 and 20-1 of the Methodology the Base period for the first group GS has been extended by 30 days to 330 days. The second subgroup base period (GS with a term of 1,500 and more days to maturity) shall remain at 270 days.
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