ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 31 января 2003 г. N 4
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 46.777 млн.
руб. по номиналу имела следующие параметры:
----------T--------T--------------------T-------T-------T---------
| Дата | Дата | Цены облигаций |Доход- |Оборот | Номер |
|погашения| торгов +------T------T------+ность | (млн. |выпуска |
| | | мин. |макс. |закр. |(% |руб. по|(справ.)|
| | | | | |год.) |номин.)| |
+---------+--------+------+------+------+-------+-------+--------+
|05.03.03 |27.01.03|99.045|99.050|99.050| 9.49 | 2.40 | 21161 |
+---------+--------+------+------+------+-------+-------+--------+
|02.04.03 |29.01.03|98.300|98.300|98.300| 10.02 | 5.00 | 21162 |
| +--------+------+------+------+-------+-------+ |
| |31.01.03|98.420|98.499|98.499| 9.38 | 6.40 | |
+---------+--------+------+------+------+-------+-------+--------+
|23.04.03 |30.01.03|97.690|97.770|97.770| 10.04 | 8.97 | 21163 |
| +--------+------+------+------+-------+-------+ |
| |31.01.03|97.800|97.850|97.850| 9.95 | 7.00 | |
+---------+--------+------+------+------+-------+-------+--------+
|07.05.03 |31.01.03|97.400|97.400|97.400| 10.15 | 0.00 | 21164 |
+---------+--------+------+------+------+-------+-------+--------+
|23.07.03 |27.01.03|95.250|95.250|95.250| 10.28 | 12.00 | 21165 |
| +--------+------+------+------+-------+-------+ |
| |31.01.03|95.350|95.350|95.350| 10.29 | 5.00 | |
L---------+--------+------+------+------+-------+-------+---------
Торговля ОФЗ при суммарном объеме сделок за неделю 2176.139
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. |выпуска |
| | |доход | мин. | макс. | закр. |(% |руб. по|(справ.)|
| | |(% от | | | |год.) |номин.)| |
| | |ном.) | | | | | | |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|05.02.03 |27.01.03| 2.30 | 99.989| 99.995| 99.995| 8.50| 1.89| 27007 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 2.30 | 99.950| 99.990| 99.980| 10.94| 20.32| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 2.30 | 99.990|100.015|100.015| 10.27| 14.38| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 2.30 |100.001|100.040|100.040| 10.63| 18.76| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|27.02.03 |31.01.03| 7.20 |100.118|100.118|100.118| 9.70| 200.00| 29005 |
|<*> | | | | | | | | |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.03 |28.01.03| 8.74 | 99.910| 99.910| 99.910| 10.29| 1.65| 26001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 8.77 | 99.900| 99.932| 99.900| 10.30| 3.06| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.05.03 |27.01.03| 1.90 | 99.885| 99.970| 99.885| 10.58| 20.96| 27008 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.90 | 99.900| 99.940| 99.920| 10.64| 50.28| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.90 | 99.959| 99.960| 99.960| 10.62| 0.32| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 2.00 | 99.900| 99.980| 99.980| 10.57| 2.71| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 2.00 | 99.995|100.050|100.050| 10.20| 17.38| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.06.03 |27.01.03| 1.50 | 99.905| 99.930| 99.930| 10.59| 11.23| 27009 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.50 | 99.920| 99.970| 99.930| 10.60| 63.78| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.50 | 99.800| 99.970| 99.970| 10.82| 0.51| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 1.60 | 99.820| 99.969| 99.969| 10.60| 5.56| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 1.60 | 99.980|100.000|100.000| 10.41| 5.64| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|17.09.03 |27.01.03| 1.10 | 99.659| 99.746| 99.746| 10.91| 0.51| 27010 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.10 | 99.720| 99.745| 99.740| 10.90| 14.38| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.20 | 99.670| 99.700| 99.700| 10.87| 2.22| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 1.20 | 99.655| 99.780| 99.780| 10.81| 3.18| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 1.20 | 99.849| 99.990| 99.990| 10.56| 22.47| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.10.03 |27.01.03| 0.50 | 99.695|100.035| 99.750| 10.77| 7.03| 27011 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 0.50 | 99.690| 99.730| 99.701| 10.96| 18.46| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 0.60 | 99.669| 99.670| 99.670| 10.91| 3.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 0.60 | 99.643| 99.799| 99.780| 10.87| 5.15| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 0.60 | 99.810| 99.950| 99.950| 10.64| 10.77| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|19.11.03 |27.01.03| 1.90 | 99.490| 99.550| 99.500| 10.89| 3.34| 27012 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.90 | 99.330| 99.520| 99.430| 11.03| 8.42| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 2.00 | 99.450| 99.600| 99.550| 10.78| 12.12| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 2.00 | 99.800| 99.890| 99.800| 10.40| 1.50| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.01.04 |27.01.03| 0.10 | 98.781| 99.100| 98.822| 11.86| 6.22| 28001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 0.20 | 98.770| 99.000| 98.989| 11.68| 22.77| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 0.20 | 98.950| 99.050| 99.050| 11.55| 20.32| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 0.20 | 99.000| 99.200| 99.200| 11.45| 15.54| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 0.20 | 99.200| 99.250| 99.250| 11.39| 1.69| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.02.04 |27.01.03| 2.70 |100.502|100.600|100.502| 11.97| 3.83| 27015 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 2.73 |100.650|100.720|100.720| 11.76| 26.51| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 2.76 |100.700|100.750|100.750| 11.71| 7.95| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 2.80 |100.800|100.810|100.810| 11.62| 7.19| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 2.83 |100.900|101.050|101.000| 11.46| 48.65| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.04 |27.01.03| 8.71 | 97.300| 97.300| 97.300| 12.64| 0.20| 26002 |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|02.06.04 |27.01.03| 1.78 |100.450|100.501|100.500| 12.11| 11.18| 27013 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.81 |100.590|100.610|100.610| 12.02| 4.09| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.84 |100.350|100.350|100.350| 12.23| 1.55| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 1.87 |100.500|100.500|100.500| 12.10| 68.80| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 1.91 |100.530|100.850|100.850| 11.97| 68.44| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.08.04 |27.01.03| 2.70 |100.645|100.650|100.650| 12.04| 16.96| 27017 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 2.73 |100.650|100.650|100.650| 12.03| 2.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.12.04 |28.01.03| 1.35 |100.370|100.370|100.370| 12.30| 2.00| 27014 |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.38 |100.370|100.400|100.400| 12.29| 3.78| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 1.41 |100.400|100.490|100.450| 12.25| 9.82| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 1.45 |100.500|100.700|100.700| 12.15| 13.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.05 |27.01.03| 8.71 | 94.800| 94.900| 94.900| 12.86| 0.19| 26003 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 8.74 | 94.898| 95.000| 94.920| 12.84| 73.51| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 8.77 | 94.950| 94.950| 94.950| 12.82| 0.29| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 8.80 | 94.500| 94.950| 94.950| 12.85| 0.37| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.04.05 |27.01.03| 0.19 |101.180|101.300|101.300| 12.63| 25.00| 27021 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 0.23 |101.350|101.400|101.350| 12.56| 3.47| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 0.27 |101.400|101.460|101.450| 12.51| 9.15| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 0.31 |101.450|101.500|101.500| 12.50| 25.49| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|14.09.05 |27.01.03| 1.53 |100.800|101.080|101.050| 12.64| 17.77| 27018 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.57 |101.096|101.250|101.157| 12.57| 71.90| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.61 |101.160|101.180|101.180| 12.56| 17.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 1.65 |101.180|101.180|101.180| 12.55| 1.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 1.69 |101.240|101.500|101.500| 12.42| 12.58| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.11.06 |27.01.03| 2.61 | 98.450| 98.500| 98.475| 13.09| 22.70| 45001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 2.65 | 98.380| 98.490| 98.471| 13.09| 248.21| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 2.69 | 98.450| 98.480| 98.452| 13.10| 79.34| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 2.72 | 98.400| 98.500| 98.500| 13.09| 42.21| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 2.76 | 98.550| 98.880| 98.880| 12.97| 35.15| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|10.09.08 |27.01.03| 1.53 | 95.550| 95.642| 95.633| 13.20| 122.84| 46001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.01.03| 1.57 | 95.633| 95.700| 95.690| 13.18| 128.31| |
| +--------+------+-------+-------+-------+------+-------+ |
| |29.01.03| 1.61 | 95.630| 95.750| 95.720| 13.18| 62.05| |
| +--------+------+-------+-------+-------+------+-------+ |
| |30.01.03| 1.65 | 95.720| 95.840| 95.840| 13.15| 37.43| |
| +--------+------+-------+-------+-------+------+-------+ |
| |31.01.03| 1.69 | 95.800| 96.498| 96.400| 13.02| 226.84| |
L---------+--------+------+-------+-------+-------+------+-------+---------
--------------------------------
<*> Дата обратного выкупа Банком России.
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.)| |
+--------+------------------------+-------+--------+-------------+
| 25029 | 27.11.2003 | 300 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 25053 | 24.11.2003 | 297 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26001 | 15.03.2003 | 43 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26002 | 15.03.2003 | 43 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26003 | 15.03.2003 | 43 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26032 | 27.11.2003 | 300 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 26175 | 24.11.2003 | 297 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26176 | 25.11.2003 | 298 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26177 | 27.11.2003 | 300 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26178 | 28.11.2003 | 301 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 27007 | 05.02.2003 | 5 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27008 | 19.02.2003 | 19 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27009 | 05.03.2003 | 33 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27010 | 19.03.2003 | 47 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27011 | 09.04.2003 | 68 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27012 | 21.05.2003 | 110 | 10.00 | 0.50 |
+--------+------------------------+-------+--------+-------------+
| 27013 | 05.03.2003 | 33 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27014 | 19.03.2003 | 47 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27015 | 05.02.2003 | 5 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27016 | 19.02.2003 | 19 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27017 | 05.02.2003 | 5 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27018 | 19.03.2003 | 47 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27021 | 23.04.2003 | 82 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 28001 | 23.01.2003 | 82 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 45001 | 19.02.2003 | 19 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46001 | 19.03.2003 | 47 | 14.00 | 34.90 |
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 | | | |
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21161 |17.07.02|05.03.03| 33| 2 | 10 | | 6812.778| 2187.222|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21162 |04.09.02|02.04.03| 61| 1 | 5 | | 3712.150| 287.850|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21163 |23.10.02|23.04.03| 82| 1 | 8 | | 3663.739| 336.261|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21164 |20.11.02|07.05.03| 96| 1 | 1 | | 1787.724| 3212.276|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21165 |04.12.02|23.07.03| 173| 1 | | | 2805.287| 2194.713|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25029 |27.11.98|27.11.03| 300| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25053 |26.12.00|21.11.05| 1025| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26001 |15.03.97|15.03.03| 43| 1 | | | 148.091| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26002 |15.03.97|15.03.04| 409| 1 | | | 265.174| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26003 |15.03.97|15.03.05| 774| 1 | | | 1131.559| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26032 |27.11.98|27.11.04| 666| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26175 |26.12.00|20.11.06| 1389| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26176 |26.12.00|20.11.07| 1754| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26177 |26.12.00|20.11.08| 2120| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26178 |26.12.00|20.11.09| 2485| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27007 |19.08.98|05.02.03| 5| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27008 |19.08.98|21.05.03| 110| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27009 |19.08.98|04.06.03| 124| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27010 |19.08.98|17.09.03| 229| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27011 |19.08.98|08.10.03| 250| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27012 |14.11.99|19.11.03| 292| | | | 9115.111| 8491.289|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27013 |06.06.01|02.06.04| 488| 3 | 65 | | 15000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27014 |11.07.01|15.12.04| 684| 2 | 78 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27015 |08.08.01|04.02.04| 369| 3 | 62 | | 16000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27016 |21.11.01|20.08.03| 201| 1 | 1 | | 5672.494| 6327.506|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27017 |06.02.02|04.08.04| 551| 2 | 64 | | 12000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27018 |20.03.02|14.09.05| 957| 2 | 45 | | 14000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27021 |09.10.02|20.04.05| 810| 2 | 2 | | 10941.601| 58.399|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 28001 |19.08.98|21.01.04| 355| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 45001 |22.05.02|15.11.06| 1384| 5 | 80 | | 30327.634| 1672.366|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46001 |18.09.02|10.09.08| 2049| 3 | 33 | | 17765.160| 6234.840|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
|Итого: | |218755.040|33681.310|
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T---------
| |27.01.03|28.01.03|29.01.03|30.01.03|31.01.03|
+--------------------------+--------+--------+--------+--------+--------+
|1. Индикаторы (% годовых):| | | | | |
+--------------------------+--------+--------+--------+--------+--------+
|а) рыночного портфеля <*> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 9.73 | 10.46 | 10.40 | 10.35 | 10.24 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 11.00 | 10.99 | 10.98 | 11.00 | 10.92 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 13.14 | 13.13 | 13.14 | 13.12 | 12.99 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 12.10 | 12.02 | 12.03 | 11.97 | 11.82 |
+--------------------------+--------+--------+--------+--------+--------+
|б) оборота рынка <**> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 10.25 | 0.00 | 10.02 | 10.04 | 9.98 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 12.81 | 12.83 | 11.82 | 12.85 | 0.00 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 13.19 | 13.13 | 13.14 | 13.12 | 13.01 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 12.25 | 12.05 | 12.21 | 12.05 | 11.75 |
+--------------------------+--------+--------+--------+--------+--------+
|2. Коэффициенты | | | | | |
| оборачиваемости | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 0.08 | 0.00 | 0.03 | 0.05 | 0.10 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.02 | 4.00 | 0.19 | 0.02 | 0.00 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 0.30 | 0.78 | 0.29 | 0.16 | 0.53 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 0.08 | 0.21 | 0.05 | 0.12 | 0.14 |
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---------T----------
| | 27.01.03| 28.01.03| 29.01.03| 30.01.03| 31.01.03|
+----------------------+---------+---------+---------+---------+---------+
|Номинальная стоимость,|218645.04|218755.04|218755.04|218755.04|218755.04|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 18781.68| 18781.68| 18781.68| 18781.68| 18781.68|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1897.45| 1897.45| 1897.45| 1897.45| 1897.45|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 47982.79| 48092.79| 48092.79| 48092.79| 48092.79|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |149983.12|149983.12|149983.12|149983.12|149983.12|
+----------------------+---------+---------+---------+---------+---------+
|Рыночная стоимость, |220843.17|221125.20|221180.66|221355.97|221766.11|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 18380.95| 18380.95| 18384.67| 18387.67| 18402.46|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1948.29| 1949.12| 1949.95| 1950.01| 1950.47|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 47811.85| 47945.88| 47958.97| 48000.37| 48171.89|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |152702.14|152849.26|152887.07|153017.92|153241.29|
+----------------------+---------+---------+---------+---------+---------+
|Дюрация <*>, дней | 506.45| 506.01| 505.03| 504.11| 503.65|
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 78.40| 77.40| 76.40| 75.40| 74.41|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 468.24| 467.53| 466.76| 465.87| 465.14|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 1058.12| 1057.84| 1056.87| 1056.09| 1055.95|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД | 385.73| 384.94| 383.96| 382.97| 382.08|
L----------------------+---------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный
по объемам в обращении.
Департамент операций
на открытом рынке
Банка России
|
