KASE reduces duration of Base period for market valuation of non-indexed GSs with term to maturity of up to 4,500 days
OREANDA-NEWS. As of April 18, 2016, following the 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 – GSs) of the first subgroup (with a term to maturity of up to 4,500 days), parameters of deals concluded in them within 120 calendar days preceding the valuation date will be used.
We remind you that in accordance with the Methodology of Securities Valuation (hereinafter – the Methodology), non-indexed GSs 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 of deals executed, concluded on KASE in GSs 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 successful days for GSs, included in each sub-group.
Before April 18, 2016 for purposes of performing the market valuation of the first sub-group GSs KASE used the Base period of 180 calendar days.
According to item 20-1 of the Methodology of Securities Valuation, the Base period for GSs of the first sub-group, for purposes of adjusting values of market prices to the current market conditions, was reduced by 60 days to 120 calendar days.