ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 28 марта 2003 г. N 11
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 164.748
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.)| |
+---------+--------+------+------+------+-------+-------+--------+
|02.04.03 |24.03.03|99.820|99.820|99.820| 7.31 |120.50 | 21162 |
| +--------+------+------+------+-------+-------+ |
| |28.03.03|99.885|99.885|99.885| 8.40 | 5.70 | |
+---------+--------+------+------+------+-------+-------+--------+
|23.04.03 |28.03.03|99.525|99.643|99.600| 5.64 | 0.87 | 21163 |
+---------+--------+------+------+------+-------+-------+--------+
|23.07.03 |25.03.03|98.200|98.200|98.200| 5.58 | 2.50 | 21165 |
| +--------+------+------+------+-------+-------+ |
| |27.03.03|98.150|98.150|98.150| 5.83 | 17.87 | |
+---------+--------+------+------+------+-------+-------+--------+
|03.09.03 |24.03.03|97.450|97.450|97.450| 5.86 | 7.00 | 21167 |
| +--------+------+------+------+-------+-------+ |
| |26.03.03|97.450|97.450|97.450| 5.93 | 10.30 | |
| +--------+------+------+------+-------+-------+ |
| |27.03.03|97.500|97.500|97.500| 5.85 | 0.01 | |
L---------+--------+------+------+------+-------+-------+---------
Торговля ОФЗ при суммарном объеме сделок за неделю 3910.614
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.) | | | | | | |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.05.03 |24.03.03| 0.90 |100.650|100.711|100.711| 5.75| 0.27| 27008 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.90 |100.631|100.670|100.631| 6.10| 17.08| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 1.00 |100.600|100.640|100.620| 5.76| 28.03| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.00 |100.500|100.530|100.510| 6.64| 51.71| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.00 |100.480|100.550|100.530| 6.62| 118.99| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.06.03 |24.03.03| 0.50 |100.625|100.720|100.700| 6.93| 20.32| 27009 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.50 |100.654|100.661|100.660| 7.00| 9.49| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 0.60 |100.600|100.720|100.620| 6.78| 131.51| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.60 |100.520|100.650|100.580| 7.09| 112.53| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 0.60 |100.600|100.700|100.700| 6.79| 34.10| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.08.03 |26.03.03| 1.15 |101.741|102.200|102.200| 7.17| 0.60| 27016 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.18 |101.950|101.950|101.950| 7.18| 0.45| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|17.09.03 |24.03.03| 0.10 |101.600|101.650|101.650| 6.81| 26.96| 27010 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.20 |101.600|101.749|101.600| 6.61| 0.88| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 0.20 |101.580|101.600|101.600| 6.77| 37.75| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.20 |101.500|101.520|101.504| 6.99| 102.16| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 0.20 |101.500|101.520|101.520| 7.03| 31.65| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.10.03 |24.03.03| 2.10 |101.850|101.900|101.850| 6.60| 60.98| 27011 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 2.10 |101.740|101.751|101.750| 6.84| 80.58| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 2.10 |101.600|101.700|101.700| 6.98| 197.58| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 2.10 |101.600|101.750|101.650| 7.06| 123.43| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 2.20 |101.550|101.690|101.690| 7.01| 45.30| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|19.11.03 |24.03.03| 3.40 |101.800|102.400|102.400| 7.13| 4.49| 27012 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 3.40 |101.900|102.250|102.000| 6.89| 3.90| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 3.50 |101.800|102.000|101.900| 6.90| 95.92| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 3.50 |101.629|101.840|101.730| 7.31| 32.69| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 3.50 |101.600|101.760|101.730| 7.36| 125.15| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.01.04 |24.03.03| 1.70 |102.010|102.100|102.020| 7.58| 16.33| 28001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 1.70 |101.700|101.980|101.980| 7.85| 2.87| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 1.70 |101.700|101.900|101.734| 8.04| 0.90| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.80 |101.734|101.762|101.734| 7.98| 3.95| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.80 |101.700|102.389|101.702| 8.06| 11.25| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.02.04 |24.03.03| 1.55 |103.600|103.700|103.700| 7.79| 33.80| 27015 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 1.58 |103.502|103.890|103.660| 7.99| 63.68| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 1.61 |103.602|103.893|103.893| 7.56| 5.78| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.64 |103.830|103.830|103.830| 7.56| 1.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.68 |103.502|103.800|103.503| 7.89| 1.25| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.04 |26.03.03| 0.30 |101.100|101.100|101.100| 8.76| 0.01| 26002 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.33 |101.000|101.000|101.000| 8.86| 0.08| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|02.06.04 |24.03.03| 0.63 |104.720|104.750|104.720| 8.04| 4.37| 27013 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.66 |104.600|104.600|104.600| 8.15| 90.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 0.69 |104.550|104.550|104.550| 8.19| 15.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.72 |104.452|104.452|104.452| 8.27| 1.22| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 0.76 |104.490|104.502|104.500| 8.22| 45.01| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.08.04 |24.03.03| 1.55 |105.305|105.305|105.305| 8.10| 14.80| 27017 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 1.58 |105.300|105.500|105.300| 8.00| 10.14| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 1.61 |104.500|105.600|105.600| 8.29| 0.20| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.64 |105.400|105.450|105.400| 8.00| 4.19| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.12.04 |24.03.03| 0.16 |106.600|106.890|106.890| 8.06| 17.25| 27014 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.20 |106.750|106.950|106.950| 7.94| 16.98| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 0.23 |106.500|106.510|106.500| 8.17| 0.68| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.26 |106.670|106.700|106.700| 8.04| 5.07| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.05 |25.03.03| 0.27 |101.000|101.000|101.000| 9.41| 0.12| 26003 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.33 |101.500|101.500|101.500| 9.12| 2.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.04.05 |25.03.03| 2.38 |107.300|107.500|107.500| 8.95| 7.75| 27021 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 2.46 |107.300|107.500|107.300| 8.94| 8.30| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 2.49 |107.200|107.250|107.200| 9.01| 10.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|14.09.05 |24.03.03| 0.19 |108.100|108.190|108.190| 9.03| 8.53| 27018 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 0.35 |108.000|108.500|108.500| 8.94| 0.30| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.02.06 |24.03.03| 0.90 | 99.800|100.500| 99.800| 9.16| 112.39| 27022 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.93 | 99.950| 99.980| 99.950| 9.15| 81.10| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 0.96 | 99.600|100.000| 99.600| 9.14| 49.62| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.99 |100.200|100.200|100.200| 9.06| 2.09| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.01 |100.000|100.000|100.000| 9.14| 14.25| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|02.08.06 |27.03.03| 1.57 |104.500|104.940|104.940| 9.12| 661.19| 45002 |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.61 |104.770|104.850|104.770| 9.07| 103.47| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.11.06 |24.03.03| 1.27 |106.580|107.004|106.580| 9.40| 22.16| 45001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 1.30 |106.500|106.620|106.590| 9.40| 36.18| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 1.34 |106.470|106.989|106.800| 9.28| 53.16| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.38 |106.810|106.990|106.990| 9.23| 24.63| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.42 |106.450|107.150|106.600| 9.25| 50.73| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|10.09.08 |24.03.03| 0.19 |107.550|108.100|107.550| 9.53| 40.04| 46001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.23 |107.350|107.600|107.350| 9.55| 40.18| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 0.27 |107.500|107.700|107.620| 9.52| 15.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.31 |107.550|107.725|107.650| 9.50| 158.09| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 0.35 |107.500|107.750|107.600| 9.50| 165.02| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.08.12 |24.03.03| 1.67 |102.500|102.550|102.500| 9.58| 27.16| 46002 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 1.71 |102.451|102.500|102.451| 9.58| 17.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.03.03| 1.75 |102.470|102.500|102.500| 9.58| 62.25| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 1.78 |102.640|102.950|102.800| 9.53| 35.29| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 1.82 |102.750|102.900|102.830| 9.52| 46.98| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|29.08.18 |24.03.03| 0.55 | 99.300| 99.999| 99.999| 9.31| 32.66| 46014 |
| +--------+------+-------+-------+-------+------+-------+ |
| |25.03.03| 0.58 | 99.250| 99.400| 99.250| 9.36| 8.54| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.03.03| 0.63 | 99.999|100.200|100.000| 9.24| 49.40| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.03.03| 0.66 |100.000|100.100|100.030| 9.24| 104.75| |
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.)| |
+--------+------------------------+-------+--------+-------------+
| 25029 | 27.11.2003 | 244 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 25053 | 24.11.2003 | 241 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26002 | 15.03.2004 | 353 | 10.00 | 100.27 |
+--------+------------------------+-------+--------+-------------+
| 26003 | 15.03.2004 | 353 | 10.00 | 100.27 |
+--------+------------------------+-------+--------+-------------+
| 26032 | 27.11.2003 | 244 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 26175 | 24.11.2003 | 241 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26176 | 25.11.2003 | 242 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26177 | 27.11.2003 | 244 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26178 | 28.11.2003 | 245 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 27008 | 21.05.2003 | 54 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27009 | 04.06.2003 | 68 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27010 | 18.06.2003 | 82 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27011 | 09.04.2003 | 12 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27012 | 21.05.2003 | 54 | 10.00 | 0.50 |
+--------+------------------------+-------+--------+-------------+
| 27013 | 04.06.2003 | 68 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27014 | 18.06.2003 | 82 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27015 | 07.05.2003 | 40 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27016 | 21.05.2003 | 54 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27017 | 07.05.2003 | 40 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27018 | 18.06.2003 | 82 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27021 | 23.04.2003 | 26 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27022 | 21.05.2003 | 54 | 10.00 | 24.93 |
+--------+------------------------+-------+--------+-------------+
| 28001 | 23.04.2003 | 26 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 45001 | 21.05.2003 | 54 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 45002 | 06.08.2003 | 131 | 14.00 | 66.36 |
+--------+------------------------+-------+--------+-------------+
| 46001 | 18.06.2003 | 82 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46002 | 20.08.2003 | 145 | 13.00 | 69.81 |
+--------+------------------------+-------+--------+-------------+
| 46014 | 17.09.2003 | 173 | 10.50 | 56.38 |
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 | | | |
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21162 |04.09.02|02.04.03| 5| 1 | 5 | | 3712.150| 287.850|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21163 |23.10.02|23.04.03| 26| 1 | 8 | | 3663.739| 336.261|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21164 |20.11.02|07.05.03| 40| 1 | 1 | | 1787.724| 3212.276|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21165 |04.12.02|23.07.03| 117| 1 | 2 | | 3025.287| 1974.713|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21166 |05.02.03|06.08.03| 131| 1 | 2 | | 2039.979| 2960.021|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21167 |05.03.03|03.09.03| 159| 1 | 1 | | 4172.588| 1827.412|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25029 |27.11.98|27.11.03| 244| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25053 |26.12.00|21.11.05| 969| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26002 |15.03.97|15.03.04| 353| 1 | | | 265.174| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26003 |15.03.97|15.03.05| 718| 1 | | | 1131.559| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26032 |27.11.98|27.11.04| 610| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26175 |26.12.00|20.11.06| 1333| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26176 |26.12.00|20.11.07| 1698| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26177 |26.12.00|20.11.08| 2064| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26178 |26.12.00|20.11.09| 2429| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27008 |19.08.98|21.05.03| 54| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27009 |19.08.98|04.06.03| 68| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27010 |19.08.98|17.09.03| 173| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27011 |19.08.98|08.10.03| 194| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27012 |14.11.99|19.11.03| 236| | | | 9115.111| 8491.289|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27013 |06.06.01|02.06.04| 432| 3 | 65 | | 15000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27014 |11.07.01|15.12.04| 628| 2 | 78 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27015 |08.08.01|04.02.04| 313| 3 | 62 | | 16000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27016 |21.11.01|20.08.03| 145| 1 | 1 | | 5672.494| 6327.506|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27017 |06.02.02|04.08.04| 495| 2 | 64 | | 12000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27018 |20.03.02|14.09.05| 901| 2 | 45 | | 14000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27021 |09.10.02|20.04.05| 754| 2 | 2 | | 10941.601| 58.399|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27022 |19.02.03|15.02.06| 1055| 3 | 7 | | 20657.389| 3342.611|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 28001 |19.08.98|21.01.04| 299| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 45001 |22.05.02|15.11.06| 1328| 5 | 81 | | 30354.634| 1645.366|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 45002 |14.02.03|02.08.06| 1223| 1 | | | 9200.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46001 |18.09.02|10.09.08| 1993| 3 | 43 | | 27202.795| 3797.205|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46002 |05.02.03|08.08.12| 3421| 2 | 15 | | 20817.117| 6382.883|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46014 |05.03.03|29.08.18| 5633| 1 | 4 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
|Итого: | |278823.559|42875.949|
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T---------
| |24.03.03|25.03.03|26.03.03|27.03.03|28.03.03|
+--------------------------+--------+--------+--------+--------+--------+
|1. Индикаторы (% годовых):| | | | | |
+--------------------------+--------+--------+--------+--------+--------+
|а) рыночного портфеля <*> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 5.76 | 5.66 | 5.72 | 5.81 | 5.72 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 7.85 | 8.02 | 8.06 | 7.85 | 7.85 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 9.47 | 9.49 | 9.46 | 9.38 | 9.38 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 8.45 | 8.47 | 8.50 | 8.47 | 8.51 |
+--------------------------+--------+--------+--------+--------+--------+
|б) оборота рынка <**> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 6.58 | 5.58 | 5.93 | 5.83 | 7.18 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.00 | 9.41 | 8.76 | 9.12 | 0.00 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 9.43 | 9.49 | 9.50 | 9.25 | 9.33 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 8.63 | 8.46 | 7.79 | 7.37 | 7.84 |
+--------------------------+--------+--------+--------+--------+--------+
|2. Коэффициенты | | | | | |
| оборачиваемости | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 0.70 | 0.01 | 0.06 | 0.10 | 0.04 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.00 | 0.01 | 0.00 | 0.12 | 0.00 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 0.14 | 0.12 | 0.15 | 0.95 | 0.48 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 0.20 | 0.24 | 0.34 | 0.27 | 0.27 |
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----------
| | 24.03.03| 25.03.03| 26.03.03| 27.03.03| 28.03.03|
+----------------------+---------+---------+---------+---------+---------+
|Номинальная стоимость,|269623.56|269623.56|269623.56|278823.56|278823.56|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 18401.47| 18401.47| 18401.47| 18401.47| 18401.47|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1749.36| 1749.36| 1749.36| 1749.36| 1749.36|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 88374.55| 88374.55| 88374.55| 97574.55| 97574.55|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |161098.19|161098.19|161098.19|161098.19|161098.19|
+----------------------+---------+---------+---------+---------+---------+
|Рыночная стоимость, |282183.92|282144.94|282272.07|292355.33|292370.40|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 18157.34| 18158.61| 18158.61| 18159.18| 18169.91|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1756.62| 1752.52| 1751.88| 1757.71| 1758.13|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 93761.67| 93730.40| 93872.92|103868.97|103901.68|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |168508.28|168503.42|168488.66|168569.46|168540.67|
+----------------------+---------+---------+---------+---------+---------+
|Дюрация <*>, дней | 762.77| 761.50| 760.76| 761.79| 760.89|
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 83.32| 82.32| 81.32| 80.33| 79.30|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 508.00| 506.69| 505.99| 505.85| 505.05|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 1481.14| 1479.47| 1478.14| 1413.63| 1412.79|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД | 438.93| 437.97| 436.95| 436.22| 435.15|
L----------------------+---------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный
по объемам в обращении.
Департамент операций
на открытом рынке
Банка России
|
