16.02.2015, 11:47
KASE extends duration of Base period for market valuation of non-indexed GS
OREANDA-NEWS. As of February 16, 2015, Committee on Indexes and Securities Valuation (hereinafter – the Committee) of Kazakhstan Stock Exchange (KASE) took a decision for purposes of the market valuation of non-indexed government bonds of the Republic of Kazakhstan (hereinafter – GS) of the first subgroup (GS with term to maturity of up to 3,000 days) to use parameters of deals concluded in them within 210 calendar days preceding the valuation date and the second subgroup (GS with a term from 2,000 days and more to maturity) to use parameters of deals concluded in them within 180 calendar days preceding the valuation date.
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 duration of the Base period is set by the Committee on the following conditions: the Base period shall be not less than 60 and not more than 360 calendar days; its duration expressed in days must be a multiple of 30; the period must include at least 25 effective days for government securities included in each subgroup.
Before February 16, 2015 for purposes of market valuation of the first GS sub-group KASE used the Base period of 180 calendar days and second GS sub-group– 150 calendar days.
According to sub-item 2 of item 2 of the Methodology the Base period must include at least 25 effective days for GS, included in each sub-group. Due to incompliance of the Base period, set for the first and second GS sub-groups with that requirement and in accordance with items 20 and 20-1of the Methodology, was extended by 30 days to 210 and 180 days, respectively.
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 duration of the Base period is set by the Committee on the following conditions: the Base period shall be not less than 60 and not more than 360 calendar days; its duration expressed in days must be a multiple of 30; the period must include at least 25 effective days for government securities included in each subgroup.
Before February 16, 2015 for purposes of market valuation of the first GS sub-group KASE used the Base period of 180 calendar days and second GS sub-group– 150 calendar days.
According to sub-item 2 of item 2 of the Methodology the Base period must include at least 25 effective days for GS, included in each sub-group. Due to incompliance of the Base period, set for the first and second GS sub-groups with that requirement and in accordance with items 20 and 20-1of the Methodology, was extended by 30 days to 210 and 180 days, respectively.
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