ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 28 февраля 2003 г. N 7
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 147.707
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 |26.02.03|99.898|99.898|99.898| 5.32 | 0.10 | 21161 |
+---------+--------+------+------+------+-------+-------+--------+
|02.04.03 |26.02.03|99.447|99.447|99.447| 5.80 | 10.00 | 21162 |
| +--------+------+------+------+-------+-------+ |
| |27.02.03|99.470|99.500|99.500| 5.41 | 13.03 | |
| +--------+------+------+------+-------+-------+ |
| |28.02.03|99.460|99.460|99.460| 6.01 | 4.00 | |
+---------+--------+------+------+------+-------+-------+--------+
|23.04.03 |27.02.03|99.160|99.160|99.160| 5.62 | 0.01 | 21163 |
| +--------+------+------+------+-------+-------+ |
| |28.02.03|99.120|99.155|99.155| 5.84 | 3.00 | |
+---------+--------+------+------+------+-------+-------+--------+
|07.05.03 |27.02.03|98.860|98.860|98.860| 6.10 | 0.50 | 21164 |
+---------+--------+------+------+------+-------+-------+--------+
|23.07.03 |28.02.03|97.750|97.800|97.800| 5.79 | 7.01 | 21165 |
+---------+--------+------+------+------+-------+-------+--------+
|06.08.03 |25.02.03|97.575|97.575|97.575| 5.60 | 5.12 | 21166 |
| +--------+------+------+------+-------+-------+ |
| |26.02.03|97.300|97.400|97.300| 6.18 |104.94 | |
L---------+--------+------+------+------+-------+-------+---------
Торговля ОФЗ при суммарном объеме сделок за неделю 6955.994
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.) | | | | | | |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.03 |27.02.03| 9.56 |100.130|100.130|100.130| 6.61 | 1.50| 26001 |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.05.03 |25.02.03| 0.20 |100.777|100.850|100.850| 6.46 | 15.07| 27008 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 0.20 |100.801|100.860|100.840| 6.39 | 151.95| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.20 |100.700|100.950|100.900| 6.14 | 108.71| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 0.20 |100.900|100.955|100.955| 6.27 | 40.94| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.06.03 |25.02.03| 2.30 |100.800|100.850|100.850| 6.99 | 13.81| 27009 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 2.30 |100.800|100.890|100.865| 6.98 | 160.40| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.30 |100.857|100.909|100.900| 6.87 | 264.53| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.40 |100.900|101.100|101.100| 6.18 | 66.20| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.08.03 |26.02.03| 0.23 |101.801|101.950|101.950| 8.22 | 50.20| 27016 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.26 |101.950|102.100|102.080| 7.76 | 20.50| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|17.09.03 |25.02.03| 1.90 |101.350|101.400|101.400| 7.64 | 6.00| 27010 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 1.90 |101.200|101.450|101.420| 7.61 | 64.18| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.00 |101.437|101.650|101.600| 7.13 | 183.77| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.00 |101.650|101.650|101.650| 7.08 | 0.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.10.03 |25.02.03| 1.30 |101.400|101.450|101.450| 7.86 | 37.65| 27011 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 1.30 |101.150|101.479|101.479| 7.85 | 23.47| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 1.40 |101.550|101.650|101.600| 7.47 | 158.46| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 1.40 |101.600|101.899|101.899| 7.10 | 75.17| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|19.11.03 |25.02.03| 2.70 |101.395|101.450|101.450| 8.03 | 22.00| 27012 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 2.70 |101.450|101.500|101.500| 7.99 | 6.30| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.70 |101.510|101.730|101.600| 7.89 | 36.67| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.70 |101.500|101.949|101.949| 7.64 | 56.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.01.04 |25.02.03| 0.90 |101.500|101.700|101.700| 8.45 | 15.47| 28001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 1.00 |101.600|101.601|101.600| 8.37 | 169.09| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 1.00 |101.600|101.900|101.900| 8.07 | 45.55| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 1.00 |101.700|101.700|101.700| 8.30 | 0.30| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.02.04 |25.02.03| 0.66 |103.680|103.700|103.680| 8.12 | 50.19| 27015 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 0.69 |103.650|103.700|103.650| 8.13 | 19.11| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.72 |103.650|103.800|103.700| 8.09 | 230.57| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 0.76 |103.750|103.751|103.751| 8.02 | 24.01| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.04 |28.02.03| 9.59 |100.767|100.790|100.790| 9.16 | 3.97| 26002 |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|02.06.04 |25.02.03| 2.73 |104.300|104.759|104.720| 8.32 | 47.32| 27013 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 2.76 |104.670|104.687|104.670| 8.31 | 62.91| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.80 |104.690|104.889|104.855| 8.23 | 81.81| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.83 |104.800|105.000|104.800| 8.06 | 101.01| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.08.04 |26.02.03| 0.69 |103.500|103.500|103.500| 9.70 | 0.41| 27017 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.72 |105.245|105.450|105.450| 8.23 | 88.31| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 0.76 |105.100|105.300|105.100| 8.44 | 0.52| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.12.04 |25.02.03| 2.27 |106.200|106.200|106.200| 8.53 | 25.00| 27014 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 2.30 |105.500|105.500|105.500| 8.96 | 0.50| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.33 |106.100|106.200|106.100| 8.52 | 121.14| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.37 |104.010|104.010|104.010| 9.89 | 0.04| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.05 |25.02.03| 9.51 |100.800|100.800|100.800| 9.54 | 5.15| 26003 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 9.56 |100.500|100.500|100.500| 9.71 | 0.03| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 9.59 |100.000|100.000|100.000| 9.99 | 0.10| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.04.05 |26.02.03| 1.34 |106.700|106.700|106.700| 9.49 | 21.04| 27021 |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 1.38 |106.690|106.700|106.700| 9.49 | 51.90| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 1.42 |106.760|107.000|106.800| 9.39 | 97.27| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|14.09.05 |25.02.03| 2.65 |107.300|107.400|107.400| 9.52 | 24.23| 27018 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 2.69 |107.000|107.200|107.105| 9.64 | 23.88| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.72 |107.200|107.330|107.330| 9.57 | 312.29| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.76 |107.500|107.650|107.500| 9.41 | 50.63| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.02.06 |25.02.03| 0.16 | 99.299| 99.350| 99.350| 9.46 | 24.09| 27022 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 0.19 | 99.500| 99.500| 99.500| 9.39 | 5.45| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.22 | 99.500| 99.500| 99.500| 9.39 | 0.32| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 0.25 | 99.499| 99.500| 99.500| 9.39 | 38.87| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.11.06 |25.02.03| 0.23 |106.200|106.389|106.300| 9.67 | 348.31| 45001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 0.27 |106.100|106.275|106.240| 9.68 | 111.72| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.31 |106.245|106.267|106.256| 9.66 | 331.82| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 0.35 |106.300|106.550|106.500| 9.59 | 162.29| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|10.09.08 |25.02.03| 2.65 |106.900|107.014|107.002| 9.77 | 405.05| 46001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 2.69 |107.000|107.066|107.060| 9.75 | 395.15| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 2.72 |107.050|107.210|107.210| 9.71 | 744.31| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 2.76 |107.220|107.490|107.310| 9.66 | 181.36| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.08.12 |25.02.03| 0.71 |102.000|102.070|102.070| 9.71 | 395.93| 46002 |
| +--------+------+-------+-------+-------+------+-------+ |
| |26.02.03| 0.75 |102.100|102.100|102.100| 9.70 | 0.36| |
| +--------+------+-------+-------+-------+------+-------+ |
| |27.02.03| 0.78 |102.100|102.205|102.205| 9.69 | 511.29| |
| +--------+------+-------+-------+-------+------+-------+ |
| |28.02.03| 0.82 |102.350|102.400|102.360| 9.65 | 62.43| |
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 | 272 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 25053 | 24.11.2003 | 269 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26001 | 15.03.2003 | 15 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26002 | 15.03.2003 | 15 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26003 | 15.03.2003 | 15 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26032 | 27.11.2003 | 272 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 26175 | 24.11.2003 | 269 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26176 | 25.11.2003 | 270 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26177 | 27.11.2003 | 272 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26178 | 28.11.2003 | 273 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 27008 | 21.05.2003 | 82 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27009 | 05.03.2003 | 5 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27010 | 19.03.2003 | 19 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27011 | 09.04.2003 | 40 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27012 | 21.05.2003 | 82 | 10.00 | 0.50 |
+--------+------------------------+-------+--------+-------------+
| 27013 | 05.03.2003 | 5 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27014 | 19.03.2003 | 19 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27015 | 07.05.2003 | 68 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27016 | 21.05.2003 | 82 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27017 | 07.05.2003 | 68 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27018 | 19.03.2003 | 19 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27021 | 23.04.2003 | 54 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27022 | 21.05.2003 | 82 | 10.00 | 24.93 |
+--------+------------------------+-------+--------+-------------+
| 28001 | 23.04.2003 | 54 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 45001 | 21.05.2003 | 82 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46001 | 19.03.2003 | 19 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46002 | 20.08.2003 | 173 | 13.00 | 69.81 |
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| 5| 2 | 10 | | 6812.778| 2187.222|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21162 |04.09.02|02.04.03| 33| 1 | 5 | | 3712.150| 287.850|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21163 |23.10.02|23.04.03| 54| 1 | 8 | | 3663.739| 336.261|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21164 |20.11.02|07.05.03| 68| 1 | 1 | | 1787.724| 3212.276|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21165 |04.12.02|23.07.03| 145| 1 | 2 | | 3025.287| 1974.713|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21166 |05.02.03|06.08.03| 159| 1 | 2 | | 2039.979| 2960.021|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25029 |27.11.98|27.11.03| 272| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25053 |26.12.00|21.11.05| 997| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26001 |15.03.97|15.03.03| 15| 1 | | | 148.091| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26002 |15.03.97|15.03.04| 381| 1 | | | 265.174| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26003 |15.03.97|15.03.05| 746| 1 | | | 1131.559| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26032 |27.11.98|27.11.04| 638| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26175 |26.12.00|20.11.06| 1361| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26176 |26.12.00|20.11.07| 1726| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26177 |26.12.00|20.11.08| 2092| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26178 |26.12.00|20.11.09| 2457| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27008 |19.08.98|21.05.03| 82| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27009 |19.08.98|04.06.03| 96| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27010 |19.08.98|17.09.03| 201| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27011 |19.08.98|08.10.03| 222| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27012 |14.11.99|19.11.03| 264| | | | 9115.111| 8491.289|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27013 |06.06.01|02.06.04| 460| 3 | 65 | | 15000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27014 |11.07.01|15.12.04| 656| 2 | 78 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27015 |08.08.01|04.02.04| 341| 3 | 62 | | 16000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27016 |21.11.01|20.08.03| 173| 1 | 1 | | 5672.494| 6327.506|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27017 |06.02.02|04.08.04| 523| 2 | 64 | | 12000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27018 |20.03.02|14.09.05| 929| 2 | 45 | | 14000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27021 |09.10.02|20.04.05| 782| 2 | 2 | | 10941.601| 58.399|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27022 |19.02.03|15.02.06| 1083| 1 | 1 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 28001 |19.08.98|21.01.04| 327| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 45001 |22.05.02|15.11.06| 1356| 5 | 81 | | 30354.634| 1645.366|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46001 |18.09.02|10.09.08| 2021| 3 | 41 | | 27075.000| 3925.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46002 |05.02.03|08.08.12| 3449| 1 | 9 | | 17140.000| 2060.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
|Итого: | |247949.539|35698.060|
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
-----------------------------T--------T--------T--------T---------
| |25.02.03|26.02.03|27.02.03|28.02.03|
+----------------------------+--------+--------+--------+--------+
|1. Индикаторы (% годовых): | | | | |
+----------------------------+--------+--------+--------+--------+
|а) рыночного портфеля <*> | | | | |
+----------------------------+--------+--------+--------+--------+
| ГКО | 5.66 | 5.76 | 5.77 | 5.96 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-ПД | 8.33 | 8.33 | 8.46 | 8.60 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-АД | 9.72 | 9.71 | 9.69 | 9.64 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-ФД | 8.83 | 8.96 | 8.71 | 8.78 |
+----------------------------+--------+--------+--------+--------+
|б) оборота рынка <**> | | | | |
+----------------------------+--------+--------+--------+--------+
| ГКО | 5.60 | 6.18 | 5.46 | 5.82 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-ПД | 9.54 | 0.00 | 8.04 | 9.20 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-АД | 9.72 | 9.74 | 9.69 | 9.64 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-ФД | 8.69 | 8.32 | 8.70 | 8.75 |
+----------------------------+--------+--------+--------+--------+
|2. Коэффициенты | | | | |
| оборачиваемости | | | | |
+----------------------------+--------+--------+--------+--------+
| ГКО | 0.02 | 0.54 | 0.06 | 0.07 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.28 | 0.00 | 0.08 | 0.22 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-АД | 1.56 | 0.70 | 2.13 | 0.55 |
+----------------------------+--------+--------+--------+--------+
| ОФЗ-ФД | 0.19 | 0.50 | 1.14 | 0.37 |
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----------
| | 25.02.03| 26.02.03| 27.02.03| 28.02.03|
+------------------------+---------+---------+---------+---------+
|Номинальная стоимость, |246906.04|247234.54|247949.54|247949.54|
|млн. руб. | | | | |
+------------------------+---------+---------+---------+---------+
| ГКО | 21041.66| 21041.66| 21041.66| 21041.66|
+------------------------+---------+---------+---------+---------+
| ОФЗ-ПД | 1897.45| 1897.45| 1897.45| 1897.45|
+------------------------+---------+---------+---------+---------+
| ОФЗ-АД | 73526.13| 73854.63| 74569.63| 74569.63|
+------------------------+---------+---------+---------+---------+
| ОФЗ-ФД |150440.80|150440.80|150440.80|150440.80|
+------------------------+---------+---------+---------+---------+
|Рыночная стоимость, |259054.29|259273.57|260587.47|260664.18|
|млн. руб. | | | | |
+------------------------+---------+---------+---------+---------+
| ГКО | 20827.40| 20833.02| 20841.82| 20840.65|
+------------------------+---------+---------+---------+---------+
| ОФЗ-ПД | 2036.33| 2036.80| 2033.85| 2030.72|
+------------------------+---------+---------+---------+---------+
| ОФЗ-АД | 78504.46| 78909.94| 79748.08| 79903.85|
+------------------------+---------+---------+---------+---------+
| ОФЗ-ФД |157686.09|157493.82|157963.72|157888.96|
+------------------------+---------+---------+---------+---------+
|Дюрация <*>, дней | 673.58| 673.61| 675.94| 675.51|
+------------------------+---------+---------+---------+---------+
| ГКО | 61.42| 60.38| 59.38| 58.38|
+------------------------+---------+---------+---------+---------+
| ОФЗ-ПД | 453.45| 452.62| 451.34| 449.67|
+------------------------+---------+---------+---------+---------+
| ОФЗ-АД | 1336.72| 1335.98| 1340.09| 1339.76|
+------------------------+---------+---------+---------+---------+
| ОФЗ-ФД | 427.14| 425.72| 424.89| 423.71|
L------------------------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный
по объемам в обращении.
Департамент операций
на открытом рынке
Банка России
|
