ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 21 мая 2004 г. N 19
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 188.888 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. ¦выпус-¦
¦ ¦ ¦ мин. ¦ макс. ¦ закр. ¦(% ¦руб. по¦ка ¦
¦ ¦ ¦ ¦ ¦ ¦год.) ¦номин.)¦(спра-¦
¦ ¦ ¦ ¦ ¦ ¦ ¦ ¦вочно)¦
+---------+--------+-------+-------+-------+------+-------+------+
¦18.08.04 ¦20.05.04¦ 98.620¦ 98.622¦ 98.620¦ 5.67 ¦ 38.89¦21172 ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦21.05.04¦ 98.640¦ 98.640¦ 98.640¦ 5.65 ¦ 150.00¦ ¦
L---------+--------+-------+-------+-------+------+-------+-------
Торговля ОФЗ при суммарном объеме сделок за неделю 13155.92
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)¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.06.04 ¦20.05.04¦ 2.57 ¦100.220¦100.220¦100.220¦ 5.81 ¦ 0.01¦27013 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦04.08.04 ¦17.05.04¦ 0.40 ¦101.300¦101.500¦101.300¦ 5.70 ¦ 39.68¦27017 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 0.49 ¦101.430¦101.450¦101.430¦ 5.08 ¦ 6.73¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦21.05.04¦ 0.53 ¦101.410¦101.450¦101.410¦ 5.09 ¦ 3.57¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.12.04 ¦17.05.04¦ 2.01 ¦103.430¦103.450¦103.430¦ 6.07 ¦ 40.80¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦18.05.04¦ 2.04 ¦103.430¦103.500¦103.500¦ 6.02 ¦ 6.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 2.10 ¦103.400¦103.450¦103.400¦ 5.99 ¦ 37.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.03.05 ¦18.05.04¦ 1.75 ¦102.000¦102.550¦102.550¦ 7.15 ¦ 6.85¦26003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 1.78 ¦102.110¦102.350¦102.110¦ 7.06 ¦ 13.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 1.81 ¦102.260¦102.710¦102.710¦ 6.72 ¦ 15.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦20.04.05 ¦18.05.04¦ 0.89 ¦107.750¦107.750¦107.750¦ 3.48 ¦ 0.00¦27021 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 0.92 ¦107.700¦107.700¦107.700¦ 3.51 ¦ 11.34¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.09.05 ¦18.05.04¦ 2.04 ¦108.500¦109.000¦109.000¦ 5.12 ¦ 6.37¦27018 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 2.10 ¦107.354¦107.354¦107.354¦ 6.30 ¦ 0.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.08.06 ¦19.05.04¦ 3.45 ¦105.500¦105.500¦105.500¦ 5.99 ¦ 2.40¦45002 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.11.06 ¦17.05.04¦ 2.93 ¦106.400¦106.400¦106.400¦ 6.85 ¦ 5.06¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦18.05.04¦ 2.96 ¦106.500¦107.500¦107.400¦ 6.27 ¦ 53.31¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 0.00 ¦106.900¦107.400¦107.300¦ 6.34 ¦ 42.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 0.03 ¦107.240¦107.300¦107.278¦ 6.29 ¦3182.68¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦21.05.04¦ 0.07 ¦107.100¦107.100¦107.100¦ 6.38 ¦ 10.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦13.06.07 ¦17.05.04¦ 1.34 ¦ 99.200¦ 99.220¦ 99.200¦ 7.73 ¦ 33.25¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦18.05.04¦ 1.36 ¦100.100¦100.250¦100.250¦ 7.35 ¦ 33.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 1.38 ¦100.000¦100.800¦100.800¦ 7.26 ¦ 71.10¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 1.40 ¦100.700¦100.718¦100.718¦ 7.14 ¦3453.10¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦10.09.08 ¦17.05.04¦ 2.01 ¦108.750¦108.900¦108.750¦ 7.74 ¦ 20.41¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦18.05.04¦ 2.04 ¦109.750¦110.000¦110.000¦ 7.37 ¦ 18.06¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 2.07 ¦109.780¦110.000¦110.000¦ 7.37 ¦ 129.13¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 2.10 ¦109.900¦110.500¦109.900¦ 7.20 ¦ 373.50¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦21.05.04¦ 2.14 ¦110.400¦110.400¦110.400¦ 7.21 ¦ 17.76¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.07.10 ¦17.05.04¦ 3.85 ¦111.700¦111.700¦111.700¦ 7.63 ¦ 2.00¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦18.05.04¦ 3.88 ¦111.650¦111.650¦111.650¦ 7.64 ¦ 33.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 3.91 ¦111.600¦111.600¦111.600¦ 7.68 ¦ 20.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 3.95 ¦111.600¦111.632¦111.620¦ 7.64 ¦3348.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦08.08.12 ¦17.05.04¦ 2.68 ¦106.900¦107.020¦106.900¦ 8.23 ¦ 52.46¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦18.05.04¦ 2.71 ¦107.000¦107.190¦107.190¦ 8.22 ¦ 139.94¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦19.05.04¦ 2.74 ¦106.940¦107.300¦107.050¦ 8.22 ¦ 83.76¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 2.77 ¦107.330¦108.000¦107.330¦ 8.08 ¦ 131.82¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦21.05.04¦ 2.80 ¦107.600¦107.800¦107.700¦ 8.10 ¦ 224.18¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦29.08.18 ¦19.05.04¦ 1.81 ¦105.400¦106.000¦105.400¦ 8.02 ¦ 96.74¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦20.05.04¦ 1.84 ¦105.500¦105.785¦105.500¦ 8.00 ¦1379.02¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦21.05.04¦ 1.87 ¦105.999¦106.000¦106.000¦ 7.96 ¦ 13.90¦ ¦
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 ¦ 185 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 298 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 190 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 185 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 186 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 188 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 189 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 167 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27013 ¦ 02.06.2004 ¦ 12 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 16.06.2004 ¦ 26 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27017 ¦ 04.08.2004 ¦ 75 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 16.06.2004 ¦ 26 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 21.07.2004 ¦ 61 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 11.08.2004 ¦ 82 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 21.07.2004 ¦ 61 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 18.08.2004 ¦ 89 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 21.07.2004 ¦ 61 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 21.07.2004 ¦ 61 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 16.06.2004 ¦ 26 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 18.08.2004 ¦ 89 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 04.08.2004 ¦ 75 ¦ 12.00 ¦ 47.87 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 16.06.2004 ¦ 26 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 18.08.2004 ¦ 89 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 21.07.2004 ¦ 61 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 06.10.2004 ¦ 138 ¦ 1.05 ¦ 10.42 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 15.09.2004 ¦ 117 ¦ 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¦ 61¦ 1 ¦ ¦ ¦ 1015.609¦ 3984.391¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21172 ¦18.02.04¦18.08.04¦ 89¦ 1 ¦ ¦ ¦ 3960.045¦ 39.955¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 549¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 298¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 190¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 913¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1278¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1644¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 2009¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 3087¦ 4 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27013 ¦06.06.01¦02.06.04¦ 12¦ 3 ¦ 65 ¦ ¦ 15000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 208¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27017 ¦06.02.02¦04.08.04¦ 75¦ 2 ¦ 64 ¦ ¦ 12000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 481¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1153¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1174¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 334¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 635¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 425¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 698¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 1118¦ 5 ¦ 33 ¦ ¦ 20790.000¦ 5210.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 908¦ 6 ¦ 83 ¦ ¦ 34500.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 803¦ 1 ¦ ¦ ¦ 7360.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1573¦ 13 ¦ 79 ¦ ¦ 55500.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 3001¦ 10 ¦ 64 ¦ ¦ 42740.007¦ 4459.993¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2245¦ 6 ¦ 13 ¦ ¦ 20314.716¦ 3685.284¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8762¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7761¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9238¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5213¦ 6 ¦ 33 ¦ ¦ 27815.000¦11185.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦472504.208¦42034.953¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦17.05.04¦18.05.04¦19.05.04¦20.05.04¦21.05.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 4.69 ¦ 4.69 ¦ 4.67 ¦ 4.95 ¦ 4.94 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 8.07 ¦ 8.07 ¦ 8.07 ¦ 8.07 ¦ 8.07 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.23 ¦ 8.16 ¦ 8.15 ¦ 8.10 ¦ 8.10 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 5.55 ¦ 5.48 ¦ 5.47 ¦ 5.59 ¦ 5.60 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 5.67 ¦ 5.65 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 7.15 ¦ 7.06 ¦ 6.72 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.10 ¦ 7.93 ¦ 7.86 ¦ 7.56 ¦ 8.03 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 7.30 ¦ 7.12 ¦ 7.08 ¦ 7.14 ¦ 5.09 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.78 ¦ 3.01 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.03 ¦ 0.07 ¦ 0.08 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.04 ¦ 0.11 ¦ 0.16 ¦ 3.59 ¦ 0.11 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.07 ¦ 0.03 ¦ 0.05 ¦ 2.13 ¦ 0.00 ¦
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---------¬
¦ ¦ 17.05.04¦ 18.05.04¦ 19.05.04¦ 20.05.04¦ 21.05.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦460705.74¦460705.74¦461714.21¦472504.21¦472504.21¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 4975.65¦ 4975.65¦ 4975.65¦ 4975.65¦ 4975.65¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦279881.26¦279881.26¦280889.72¦288229.72¦288229.72¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦153469.67¦153469.67¦153469.67¦156919.67¦156919.67¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦439669.32¦440789.23¦440688.50¦452986.81¦453043.94¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 4916.35¦ 4916.35¦ 4916.35¦ 4917.96¦ 4918.75¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 20453.68¦ 20447.87¦ 20452.47¦ 20459.15¦ 20463.07¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦249848.17¦250844.48¦251141.95¦260034.39¦260045.52¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦164451.12¦164580.52¦164177.73¦167575.31¦167616.60¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1634.68¦ 1632.45¦ 1637.79¦ 1627.44¦ 1626.72¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 87.23¦ 86.23¦ 85.23¦ 84.24¦ 83.24¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2244.90¦ 2244.79¦ 2242.15¦ 2240.86¦ 2241.42¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 2350.29¦ 2344.42¦ 2350.97¦ 2317.29¦ 2316.79¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 517.83¦ 517.42¦ 518.05¦ 527.37¦ 526.37¦
L----------------------+---------+---------+---------+---------+----------
------------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по
объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
|
