/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]