On Approval of Instruction on Regulatory Values of Prudential Norms, Methods of Their Calculation for Organizations Performing Investment Management of Pension Assets (стр. 4 )

Chief executive officer or person authorized to sign statement    __________________

(Surname, Name, Patronymic if any)    (Signature)

Chief Accountant    __________________

(Surname, Name, Patronymic if any)    (Signature)

Stamp

Explanatory notes to completion table:

Should debt security at weighting pension assets in order of credit risk has special debt rating, then that debt securities shall be considered by that rating.

Should accrued cumulative remuneration on financial instrument be included into calculation of assets in order of credit risk as part of total current value of financial instrument, then it shall not be considered separately.

Swaps, futures, options, forwards shall be included into calculation of credit risk by means of multiplying sum of market value of specified financial instruments and their credit risk by extent of risk fit with counterparty category specified in this supplement.

Swap, futures, option and forward transactions credit risk shall be calculated as product of nominal value of specified financial instruments by credit risk ratio specified in supplement 2 to this Instruction and determined by maturity of specified financial instruments.

Market value (replacement value) of financial instruments specified in this point represents:

On purchase transactions – excess rate of current market value of financial instrument over nominal contract value of that financial instrument. Should the current market value of financial instrument be less than or equal to its nominal contract value, replacement value shall be equal zero;

On sale transaction - excess rate of nominal contract value of financial instrument over current market value of that financial instrument. Should the nominal contract value of financial instrument be less than or equal to its current market value, replacement value shall be equal zero.

Replacement value for dual currency financial instruments (demand and liability on those financial instruments are expressed in different foreign currencies) shall be defined as rate of excess of KZTenge equivalent of demands over KZTenge equivalent of liabilities specified at the rate as of accounts date. Should the rate of KZTenge equivalent of demands be less than or equal to KZTenge equivalent of liabilities, replacement value shall be equal zero.

Nominal contract value of financial instruments specified in this point shall represent value of financial instruments according to which they are reflected as of transactions date on relevant business accounts. Currency on which requirements of Organization are formed shall be accepted as nominal contract value of dual currency financial instruments.

Replacement value for options sold shall not be calculated.

Financial instruments exposed to delisting by tenders’ organizer shall be included into calculation of credit risk by multiplying sum of current value of those financial instruments by extent of risk specified in VI group of assets of this supplement.

Should debt securities have rating appraisals given by several rating agencies, then the last of those appraisals shall be taken into consideration.

Supplement 2 to Instruction on Regulatory Values of Prudential Norms, Methods of Their Calculation for Organizations Performing Investment Management of Pension Assets

________________________________________________________________

(Name of Organization)

Credit Risk

On Transactions with Derivative Financial Instruments as of _____________200___

(in KZT thous.)

No	Name of Items / Value Date Time	Government Securities Transactions	Foreign Exchange Transactions	Percentage Deals
Amount	Extent of Risk	Estimated Amount	Amount	Extent of Risk	Estimated Amount	Amount	Extent of Risk	Estimated Amount
1	Less than a year		0,02			0,05			0,03
	1.
	2.
2	From 1 to 5 years		0,03			0,07			0,06
	1.
	2.
	……
3	More than 5 years		0,04			0,09			0,09
	1.
	2.
	……
4	Total		х			х			х