KASE retains maturity ranges for building GS curve yield function

14.03.25 14:46
/KASE, March 14, 2025/ – Kazakhstan Stock Exchange (KASE) notifies you that KASE's Market Risk Committee (hereinafter – the Committee) made a decision to use from April 1, 2025 the following maturity ranges in order to build the yield function of the curve of GS of the Republic of Kazakhstan: - from 0 to 480 days to maturity; - from 481 to 2,100 days to maturity; - from 2,101 days to maturity and up. Let us remind you that, in accordance with the Committee's decision, for each maturity range the parameters of the last 25 transactions whose maturity at the time of the transaction corresponds to the given maturity range are used, or all transactions with government securities whose maturity corresponds to the given maturity range, concluded during the trading day. In order to determine the yield function of the government securities curve, the Committee decided to use the following configuration to determine the TAU parameter: - search limits from 0.076 through 0.2. The Committee determines the maturity ranges based on retrospective calculations and forecast data. The text of the Methodology for Determining the Yield Function of Government Securities of the Republic of Kazakhstan is available on KASE's Internet resource at https://kase.kz/files/normative_base/metodika_yield_gzb_eng.pdf [2025-03-14]