ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 11 декабря 2003 г. N 47
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ОФЗ при суммарном объеме сделок за неделю 1892.201
млн. руб. по номиналу имела следующие параметры:
----------T--------T-------T-----------------------T------T-------T------¬
¦ Дата ¦ Дата ¦Накоп- ¦ Цены облигаций ¦Доход-¦Оборот ¦Номер ¦
¦погашения¦ торгов ¦ленный +-------T-------T-------+ность ¦ (млн. ¦выпус-¦
¦ ¦ ¦доход ¦ мин. ¦ макс. ¦ закр. ¦(% ¦руб. по¦ка ¦
¦ ¦ ¦(% от ¦ ¦ ¦ ¦год.) ¦номин.)¦(спра-¦
¦ ¦ ¦номин.)¦ ¦ ¦ ¦ ¦ ¦вочно)¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦21.01.04 ¦08.12.03¦ 1.30 ¦100.420¦100.540¦100.540¦ 5.51 ¦ 98.18¦28001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 1.30 ¦100.452¦100.550¦100.452¦ 5.59 ¦ 63.59¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 1.30 ¦100.500¦100.550¦100.500¦ 5.83 ¦ 40.53¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 1.40 ¦100.470¦100.550¦100.495¦ 4.95 ¦ 356.43¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.03.04 ¦10.12.03¦ 7.40 ¦100.600¦100.600¦100.600¦ 7.34 ¦ 0.45¦26002 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.06.04 ¦08.12.03¦ 0.16 ¦103.000¦103.000¦103.000¦ 5.81 ¦ 2.40¦27013 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 0.20 ¦102.970¦102.970¦102.970¦ 5.83 ¦ 4.80¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 0.26 ¦102.950¦102.950¦102.950¦ 5.80 ¦ 15.81¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦04.08.04 ¦08.12.03¦ 1.09 ¦103.900¦103.900¦103.900¦ 6.03 ¦ 3.61¦27017 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 1.12 ¦103.900¦103.910¦103.900¦ 6.01 ¦ 6.37¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 1.18 ¦103.850¦103.850¦103.850¦ 6.04 ¦ 3.50¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.12.04 ¦08.12.03¦ 2.70 ¦104.950¦104.950¦104.950¦ 7.12 ¦ 0.10¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 2.73 ¦105.700¦105.750¦105.750¦ 6.28 ¦ 12.25¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 2.80 ¦105.700¦105.750¦105.750¦ 6.27 ¦ 4.61¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦20.07.05 ¦08.12.03¦ 1.03 ¦102.300¦102.300¦102.300¦ 6.42 ¦ 1.30¦27023 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 1.05 ¦102.300¦102.300¦102.300¦ 6.41 ¦ 1.30¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 1.07 ¦102.500¦102.500¦102.500¦ 6.27 ¦ 0.20¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 1.10 ¦102.500¦102.800¦102.800¦ 6.14 ¦ 14.16¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.09.05 ¦08.12.03¦ 2.70 ¦109.300¦109.300¦109.300¦ 6.56 ¦ 3.20¦27018 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 2.73 ¦108.100¦109.030¦109.030¦ 6.73 ¦ 3.32¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 2.76 ¦109.000¦109.200¦109.200¦ 6.68 ¦ 15.32¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 2.80 ¦109.900¦110.000¦110.000¦ 6.14 ¦ 10.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.02.06 ¦08.12.03¦ 0.49 ¦102.800¦102.870¦102.870¦ 7.28 ¦ 15.00¦27022 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 0.52 ¦102.750¦102.800¦102.800¦ 7.31 ¦ 0.29¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 0.55 ¦102.700¦102.850¦102.850¦ 7.28 ¦ 19.62¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 0.57 ¦102.850¦102.900¦102.900¦ 7.26 ¦ 4.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.08.06 ¦08.12.03¦ 4.08 ¦106.300¦106.300¦106.300¦ 7.02 ¦ 2.96¦45002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 4.11 ¦106.400¦106.400¦106.400¦ 6.95 ¦ 0.06¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 4.14 ¦106.160¦106.160¦106.160¦ 7.09 ¦ 0.32¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 4.18 ¦106.300¦106.300¦106.300¦ 6.99 ¦ 4.80¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.11.06 ¦08.12.03¦ 0.63 ¦107.870¦108.121¦108.070¦ 7.07 ¦ 26.66¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 0.69 ¦108.000¦108.000¦108.000¦ 7.09 ¦ 0.30¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦13.06.07 ¦10.12.03¦ 1.84 ¦100.200¦100.200¦100.200¦ 7.47 ¦ 1.50¦27025 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦18.07.07 ¦08.12.03¦ 4.92 ¦109.600¦109.600¦109.600¦ 8.20 ¦ 0.00¦27019 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦10.09.08 ¦08.12.03¦ 3.15 ¦108.800¦108.900¦108.800¦ 8.23 ¦ 179.34¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.12.03¦ 3.18 ¦108.870¦108.940¦108.920¦ 8.20 ¦ 63.51¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.12.03¦ 3.22 ¦108.840¦108.840¦108.840¦ 8.22 ¦ 15.35¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.12.03¦ 3.26 ¦109.000¦109.051¦109.051¦ 8.15 ¦ 52.48¦ ¦
L---------+--------+-------+-------+-------+-------+------+-------+-------
Часть 2
ОСНОВНЫЕ ХАРАКТЕРИСТИКИ БЛИЖАЙШИХ КУПОННЫХ ВЫПЛАТ ПО ОФЗ
---------T------------------------T-------T--------T-------------¬
¦Регистр.¦Дата выплаты ближайшего ¦Дней до¦Купонная¦Размер купона¦
¦ номер ¦ купона ¦выплаты¦ ставка ¦ в рублях ¦
¦выпуска ¦ ¦купона ¦(% год.)¦ ¦
+--------+------------------------+-------+--------+-------------+
¦ 25053 ¦ 22.11.2004 ¦ 347 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26002 ¦ 15.03.2004 ¦ 95 ¦ 10.00 ¦ 100.27 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2004 ¦ 95 ¦ 10.00 ¦ 100.27 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 352 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 347 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 348 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 350 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 351 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27013 ¦ 03.03.2004 ¦ 83 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 17.12.2003 ¦ 6 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27015 ¦ 04.02.2004 ¦ 55 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27017 ¦ 04.02.2004 ¦ 55 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 17.12.2003 ¦ 6 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 21.01.2004 ¦ 41 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 11.02.2004 ¦ 62 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 21.01.2004 ¦ 41 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 18.02.2004 ¦ 69 ¦ 9.50 ¦ 23.68 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 21.01.2004 ¦ 41 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 21.01.2004 ¦ 41 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 17.12.2003 ¦ 6 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 28001 ¦ 21.01.2004 ¦ 41 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 18.02.2004 ¦ 69 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 04.02.2004 ¦ 55 ¦ 12.00 ¦ 47.87 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 17.12.2003 ¦ 6 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 18.02.2004 ¦ 69 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 21.01.2004 ¦ 41 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 17.03.2004 ¦ 97 ¦ 10.50 ¦ 52.36 ¦
L--------+------------------------+-------+--------+--------------
Часть 3
ОСНОВНЫЕ ХАРАКТЕРИСТИКИ ОБРАЩАЮЩИХСЯ ВЫПУСКОВ
ГКО - ОФЗ - ОБР
---------T--------T--------T-----T-------T------T--------T----------T---------¬
¦Регистр.¦Дата ¦Дата ¦Срок ¦Кол-во ¦Кол-во¦ Кол-во ¦ Объем ¦Неразмещ.¦
¦ номер ¦размеще-¦погаше- ¦до ¦траншей¦дораз-¦досрочн.¦в обращ., ¦остаток, ¦
¦выпуска ¦ния ¦ния ¦пога-¦ (вкл. ¦меще- ¦выкупов ¦млн. руб. ¦млн. руб.¦
¦ ¦ ¦ ¦шения¦ осн.) ¦ний ¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21170 ¦06.08.03¦21.07.04¦ 223¦ 1 ¦ ¦ ¦ 1015.609¦ 3984.391¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21171 ¦08.10.03¦21.04.04¦ 132¦ 1 ¦ 2 ¦ ¦ 1673.396¦ 3326.604¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 711¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26002 ¦15.03.97¦15.03.04¦ 95¦ 1 ¦ ¦ ¦ 265.174¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 460¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 352¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 1075¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1440¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1806¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 2171¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27013 ¦06.06.01¦02.06.04¦ 174¦ 3 ¦ 65 ¦ ¦ 15000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 370¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27015 ¦08.08.01¦04.02.04¦ 55¦ 3 ¦ 62 ¦ ¦ 16000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27017 ¦06.02.02¦04.08.04¦ 237¦ 2 ¦ 64 ¦ ¦ 12000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 643¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1315¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1336¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 496¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 797¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 587¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 860¦ 4 ¦ 1 ¦ ¦ 14217.676¦ 8782.324¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 1280¦ 1 ¦ 10 ¦ ¦ 2993.400¦ 6006.600¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 28001 ¦19.08.98¦21.01.04¦ 41¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 1070¦ 6 ¦ 82 ¦ ¦ 31740.000¦ 2760.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 965¦ 1 ¦ ¦ ¦ 7360.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1735¦ 7 ¦ 50 ¦ ¦ 29004.433¦ 4495.567¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 3163¦ 4 ¦ 38 ¦ ¦ 26131.750¦ 6068.250¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2407¦ 2 ¦ ¦ ¦ 8000.000¦ 2000.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5375¦ 3 ¦ 12 ¦ ¦ 20940.000¦ 6060.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦291333.224¦49401.159¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T---------T---------T--------T--------¬
¦ ¦08.12.03 ¦09.12.03 ¦10.12.03¦11.12.03¦
+--------------------------+---------+---------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦ ГКО ¦ 6.41 ¦ 6.41 ¦ 6.42 ¦ 6.42 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ПД ¦ 6.56 ¦ 6.56 ¦ 6.59 ¦ 6.59 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-АД ¦ 8.21 ¦ 8.19 ¦ 8.20 ¦ 8.18 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ФД ¦ 7.17 ¦ 7.16 ¦ 7.14 ¦ 7.06 ¦
+--------------------------+---------+---------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 7.34 ¦ 0.00 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-АД ¦ 8.36 ¦ 8.38 ¦ 8.41 ¦ 8.36 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ФД ¦ 6.72 ¦ 6.18 ¦ 6.99 ¦ 5.76 ¦
+--------------------------+---------+---------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 0.03 ¦ 0.00 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-АД ¦ 0.46 ¦ 0.16 ¦ 0.16 ¦ 0.19 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ФД ¦ 0.07 ¦ 0.05 ¦ 0.05 ¦ 0.24 ¦
L--------------------------+---------+---------+--------+---------
--------------------------------
<*> Рассчитывается как средняя простая доходность по ГКО и
эффективная доходность по ОФЗ, взвешенная по срокам до погашения и
объемам в обращении.
<**> Рассчитывается как средняя простая доходность по ГКО и
эффективная доходность по ОФЗ, взвешенная по срокам до погашения и
оборотам вторичного рынка.
Часть 5
НЕКОТОРЫЕ МАКРОХАРАКТЕРИСТИКИ РЫНКА ГКО - ОФЗ - ОБР
-------------------------T---------T---------T---------T---------¬
¦ ¦ 08.12.03¦ 09.12.03¦ 10.12.03¦ 11.12.03¦
+------------------------+---------+---------+---------+---------+
¦Номинальная стоимость, ¦290861.61¦291020.95¦291191.43¦291333.22¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦
+------------------------+---------+---------+---------+---------+
¦ ГКО ¦ 2689.01¦ 2689.01¦ 2689.01¦ 2689.01¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 1585.63¦ 1585.63¦ 1585.63¦ 1585.63¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦122704.57¦122863.90¦123034.39¦123176.18¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦163882.40¦163882.40¦163882.40¦163882.40¦
+------------------------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦312305.29¦312641.12¦312915.74¦313445.91¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦
+------------------------+---------+---------+---------+---------+
¦ ГКО ¦ 2602.81¦ 2602.81¦ 2602.81¦ 2602.81¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 1706.66¦ 1707.08¦ 1706.37¦ 1706.77¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦134765.54¦135034.86¦135201.84¦135517.51¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦173230.27¦173296.38¦173404.73¦173618.83¦
+------------------------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 906.33¦ 905.96¦ 905.66¦ 905.40¦
+------------------------+---------+---------+---------+---------+
¦ ГКО ¦ 168.91¦ 167.91¦ 166.91¦ 165.91¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 333.85¦ 332.95¦ 332.21¦ 331.31¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 1427.01¦ 1426.76¦ 1426.98¦ 1426.98¦
+------------------------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 517.98¦ 516.88¦ 515.93¦ 515.01¦
L------------------------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный
по объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
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