16.11.2015, 12:52
KASE reduces duration of Base period for market valuation of non-indexed GS with term to maturity of 1,500 days and more
OREANDA-NEWS. As of November 16, 2015, following a decision of the Committee on Indexes and Securities Valuation (hereinafter – the Committee) for purposes of the market valuation of non-indexed government bonds of the Republic of Kazakhstan (hereinafter – GS) of the second (GS with a term from 1,500 days and more to maturity) subgroup parameters of deals concluded in them within 300 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 November 16, 2015 for purposes of executing the market valuation of the second sub-group GS KASE used the Base period of 330 calendar days.
For purposes of adjusting values of market prices to the current market conditions, as well as in pursuance of norms specified in items 20 and 20-1 of the Securities valuation methodology, the Base period for the second sub-group GS was reasonably reduced by 30 days to 300 days.
The methodology is available on KASE website at http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf
All persons interested in issues related to the Methodology and procedure of calculation of market prices can turn to the Department for Information and Statistics on: (727) 237 53 18, e-mail: info@kase.kz
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 November 16, 2015 for purposes of executing the market valuation of the second sub-group GS KASE used the Base period of 330 calendar days.
For purposes of adjusting values of market prices to the current market conditions, as well as in pursuance of norms specified in items 20 and 20-1 of the Securities valuation methodology, the Base period for the second sub-group GS was reasonably reduced by 30 days to 300 days.
The methodology is available on KASE website at http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf
All persons interested in issues related to the Methodology and procedure of calculation of market prices can turn to the Department for Information and Statistics on: (727) 237 53 18, e-mail: info@kase.kz
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