ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 14 февраля 2003 г. N 6
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 450.76 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 |10.02.03|99.532|99.555|99.552| 7.19 | 11.17 | 21161 |
| +--------+------+------+------+-------+-------+ |
| |11.02.03|99.580|99.625|99.619| 6.53 | 11.38 | |
| +--------+------+------+------+-------+-------+ |
| |12.02.03|99.640|99.645|99.640| 6.24 | 25.20 | |
| +--------+------+------+------+-------+-------+ |
| |13.02.03|99.600|99.650|99.650| 6.47 | 35.03 | |
| +--------+------+------+------+-------+-------+ |
| |14.02.03|99.662|99.675|99.675| 6.40 | 10.53 | |
+---------+--------+------+------+------+-------+-------+--------+
|02.04.03 |10.02.03|99.031|99.050|99.050| 6.92 | 17.99 | 21162 |
| +--------+------+------+------+-------+-------+ |
| |11.02.03|99.042|99.042|99.042| 7.06 | 1.62 | |
| +--------+------+------+------+-------+-------+ |
| |12.02.03|99.100|99.100|99.100| 6.76 | 28.77 | |
| +--------+------+------+------+-------+-------+ |
| |13.02.03|99.133|99.180|99.180| 6.38 | 12.39 | |
| +--------+------+------+------+-------+-------+ |
| |14.02.03|99.150|99.168|99.160| 6.58 | 12.69 | |
+---------+--------+------+------+------+-------+-------+--------+
|23.04.03 |10.02.03|98.638|98.650|98.650| 6.96 | 12.00 | 21163 |
| +--------+------+------+------+-------+-------+ |
| |11.02.03|98.688|98.689|98.689| 6.83 | 17.00 | |
| +--------+------+------+------+-------+-------+ |
| |12.02.03|98.600|98.700|98.600| 6.93 | 27.83 | |
| +--------+------+------+------+-------+-------+ |
| |13.02.03|98.786|98.786|98.786| 6.50 | 1.50 | |
+---------+--------+------+------+------+-------+-------+--------+
|07.05.03 |11.02.03|98.330|98.330|98.330| 7.29 | 0.11 | 21164 |
| +--------+------+------+------+-------+-------+ |
| |12.02.03|98.430|98.430|98.430| 6.93 | 5.00 | |
| +--------+------+------+------+-------+-------+ |
| |13.02.03|98.543|98.580|98.580| 6.41 | 30.00 | |
| +--------+------+------+------+-------+-------+ |
| |14.02.03|98.550|98.564|98.550| 6.53 | 29.85 | |
+---------+--------+------+------+------+-------+-------+--------+
|23.07.03 |10.02.03|96.599|96.599|96.599| 7.88 | 1.73 | 21165 |
| +--------+------+------+------+-------+-------+ |
| |11.02.03|96.500|96.610|96.610| 7.92 | 23.93 | |
| +--------+------+------+------+-------+-------+ |
| |12.02.03|96.645|96.989|96.989| 7.42 | 30.00 | |
| +--------+------+------+------+-------+-------+ |
| |13.02.03|97.200|97.230|97.230| 6.55 | 15.00 | |
| +--------+------+------+------+-------+-------+ |
| |14.02.03|97.230|97.230|97.230| 6.54 | 10.00 | |
+---------+--------+------+------+------+-------+-------+--------+
|06.08.03 |10.02.03|96.400|96.490|96.490| 7.58 | 3.65 | 21166 |
| +--------+------+------+------+-------+-------+ |
| |12.02.03|96.753|96.775|96.775| 6.98 | 20.00 | |
| +--------+------+------+------+-------+-------+ |
| |13.02.03|96.905|97.174|96.910| 6.49 | 55.22 | |
| +--------+------+------+------+-------+-------+ |
| |14.02.03|96.995|96.995|96.995| 6.54 | 1.17 | |
L---------+--------+------+------+------+-------+-------+---------
Торговля ОФЗ при суммарном объеме сделок за неделю 6920.065
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.) | | | | | | |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|06.03.03 |11.02.03| 2.06 | 99.928| 99.928| 99.928| 7.00| 1.34| 26198 |
|<*> +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.10 |100.021|100.021|100.021| 5.50| 552.61| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.03 |10.02.03| 9.10 |100.000|100.200|100.200| 8.24| 0.84| 26001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 9.12 |100.000|100.000|100.000| 9.56| 0.75| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.05.03 |10.02.03| 2.30 |100.300|100.499|100.499| 8.72| 14.68| 27008 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 2.30 |100.500|100.600|100.600| 8.02| 0.73| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 2.30 |100.550|100.760|100.760| 7.88| 53.24| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 2.30 |100.700|100.890|100.880| 6.97| 31.57| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.40 |100.650|100.800|100.670| 7.44| 85.10| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.06.03 |10.02.03| 1.90 |100.400|100.500|100.461| 8.87| 2.36| 27009 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 1.90 |100.450|100.878|100.875| 7.93| 2.25| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 1.90 |100.650|100.950|100.950| 7.17| 5.17| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 2.00 |100.950|101.000|101.000| 6.66| 15.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.00 |100.700|100.800|100.800| 7.48| 15.24| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|17.09.03 |10.02.03| 1.50 |100.500|100.700|100.700| 9.15| 23.04| 27010 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 1.50 |100.670|100.700|100.700| 9.16| 3.25| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 1.50 |100.650|101.000|100.750| 8.65| 0.76| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 1.60 |101.040|101.450|101.200| 8.14| 22.86| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 1.60 |101.100|101.100|101.100| 8.32| 0.31| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.10.03 |10.02.03| 0.90 |100.480|100.700|100.700| 9.53| 25.89| 27011 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 0.90 |100.730|100.850|100.850| 9.15| 2.36| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 1.00 |100.750|101.000|100.900| 8.73| 7.82| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 1.00 |100.999|101.374|101.300| 8.17| 53.07| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 1.00 |101.100|101.100|101.100| 8.54| 2.68| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|19.11.03 |10.02.03| 2.30 |100.600|100.700|100.600| 9.30| 1.16| 27012 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 2.30 |100.600|100.600|100.600| 9.35| 0.01| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 2.30 |100.020|100.200|100.020| 10.15| 7.73| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 2.30 |101.399|101.600|101.600| 8.09| 41.25| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.40 |101.000|101.600|101.400| 8.17| 4.03| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.01.04 |10.02.03| 0.50 |100.250|100.800|100.800| 9.69| 12.55| 28001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 0.50 |100.750|100.949|100.945| 9.34| 28.18| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 0.60 |100.850|101.000|101.000| 9.18| 3.86| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 0.60 |101.000|101.670|101.600| 8.47| 20.40| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 0.60 |101.400|101.800|101.400| 8.48| 13.10| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.02.04 |11.02.03| 0.20 |102.000|102.750|102.750| 10.01| 6.59| 27015 |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 0.23 |102.200|103.050|103.050| 9.10| 508.60| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 0.26 |103.500|103.800|103.500| 8.19| 43.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|02.06.04 |10.02.03| 2.24 |102.990|103.030|103.025| 9.86| 52.67| 27013 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 2.27 |103.110|103.250|103.150| 9.73| 41.30| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 2.30 |103.200|103.200|103.200| 9.69| 4.17| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 2.33 |103.500|104.050|104.050| 9.06| 20.39| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.37 |103.900|104.120|104.050| 8.93| 259.32| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.08.04 |10.02.03| 0.16 |102.500|102.500|102.500| 10.56| 1.00| 27017 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 0.20 |102.700|102.800|102.800| 10.33| 4.86| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 0.23 |102.850|103.300|103.300| 10.03| 38.53| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 0.26 |103.900|104.000|104.000| 9.43| 7.57| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 0.30 |104.400|104.500|104.400| 9.00| 51.33| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.12.04 |10.02.03| 1.78 |103.000|103.500|103.400| 10.43| 23.26| 27014 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 1.81 |103.002|103.300|103.300| 10.40| 35.05| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 1.84 |103.400|103.700|103.700| 10.24| 49.06| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 1.87 |103.500|104.100|104.100| 9.95| 29.65| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 1.91 |103.928|104.500|104.500| 9.89| 26.67| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.05 |10.02.03| 9.10 | 96.900| 97.400| 97.400| 11.66| 4.43| 26003 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 9.12 | 97.500| 97.500| 97.500| 11.38| 3.41| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 9.18 | 98.700| 98.700| 98.700| 10.71| 2.00| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.04.05 |10.02.03| 0.73 |104.300|104.300|104.300| 10.88| 0.02| 27021 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 0.77 |104.000|104.000|104.000| 11.04| 0.97| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 0.84 |104.000|104.000|104.000| 11.03| 0.82| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|14.09.05 |10.02.03| 2.07 |103.590|104.000|104.000| 11.20| 11.12| 27018 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 2.11 |104.000|104.050|104.000| 11.14| 13.52| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 2.15 |104.300|104.400|104.400| 11.00| 5.01| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 2.19 |104.800|104.800|104.800| 10.77| 5.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.22 |104.000|105.500|105.500| 10.57| 9.68| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.11.06 |10.02.03| 3.15 |101.200|101.320|101.260| 11.83| 384.64| 45001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 3.18 |101.230|101.600|101.250| 11.81| 258.48| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 3.22 |101.399|102.600|102.600| 11.52| 79.38| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 3.26 |102.250|103.299|103.250| 11.04| 321.89| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 3.30 |103.187|103.600|103.600| 10.86| 169.86| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|10.09.08 |10.02.03| 2.07 | 99.550| 99.972| 99.972| 11.84| 532.50| 46001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 2.11 | 99.921|100.255|100.255| 11.77| 126.03| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 2.15 |100.300|101.750|101.500| 11.51| 59.86| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 2.19 |101.150|103.000|102.760| 11.08| 200.96| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 2.22 |102.900|103.550|103.300| 10.86| 252.57| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.08.12 |10.02.03| 0.18 | 91.200| 91.505| 91.500| 11.83| 573.99| 46002 |
| +--------+------+-------+-------+-------+------+-------+ |
| |11.02.03| 0.21 | 91.500| 92.150| 92.000| 11.73| 174.71| |
| +--------+------+-------+-------+-------+------+-------+ |
| |12.02.03| 0.25 | 92.999| 94.431| 94.431| 11.26| 23.66| |
| +--------+------+-------+-------+-------+------+-------+ |
| |13.02.03| 0.29 | 93.050| 96.139| 95.845| 10.94| 667.27| |
| +--------+------+-------+-------+-------+------+-------+ |
| |14.02.03| 0.32 | 96.250| 97.325| 97.325| 10.71| 780.13| |
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 | 286 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 25053 | 24.11.2003 | 283 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26001 | 15.03.2003 | 29 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26002 | 15.03.2003 | 29 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26003 | 15.03.2003 | 29 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26032 | 27.11.2003 | 286 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 26175 | 24.11.2003 | 283 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26176 | 25.11.2003 | 284 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26177 | 27.11.2003 | 286 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26178 | 28.11.2003 | 287 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 27008 | 19.02.2003 | 5 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27009 | 05.03.2003 | 19 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27010 | 19.03.2003 | 33 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27011 | 09.04.2003 | 54 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27012 | 21.05.2003 | 96 | 10.00 | 0.50 |
+--------+------------------------+-------+--------+-------------+
| 27013 | 05.03.2003 | 19 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27014 | 19.03.2003 | 33 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27015 | 07.05.2003 | 82 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27016 | 19.02.2003 | 5 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27017 | 07.05.2003 | 82 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27018 | 19.03.2003 | 33 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27021 | 23.04.2003 | 68 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 28001 | 23.04.2003 | 68 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 45001 | 19.02.2003 | 5 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46001 | 19.03.2003 | 33 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46002 | 20.08.2003 | 187 | 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-|досроч.|в обращ., |остаток, |
|выпуска |ния |ния |пога-| (вкл. |меще- |выкупов|млн. руб. |млн. руб.|
| | | |шения| осн.) |ний | | | |
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 21161 |17.07.02|05.03.03| 19| 2 | 10 | | 6812.778| 2187.222|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 21162 |04.09.02|02.04.03| 47| 1 | 5 | | 3712.150| 287.850|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 21163 |23.10.02|23.04.03| 68| 1 | 8 | | 3663.739| 336.261|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 21164 |20.11.02|07.05.03| 82| 1 | 1 | | 1787.724| 3212.276|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 21165 |04.12.02|23.07.03| 159| 1 | | | 2805.287| 2194.713|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 21166 |05.02.03|06.08.03| 173| 1 | | | 1554.857| 3445.143|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 25029 |27.11.98|27.11.03| 286| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 25053 |26.12.00|21.11.05| 1011| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26001 |15.03.97|15.03.03| 29| 1 | | | 148.091| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26002 |15.03.97|15.03.04| 395| 1 | | | 265.174| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26003 |15.03.97|15.03.05| 760| 1 | | | 1131.559| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26032 |27.11.98|27.11.04| 652| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26175 |26.12.00|20.11.06| 1375| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26176 |26.12.00|20.11.07| 1740| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26177 |26.12.00|20.11.08| 2106| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 26178 |26.12.00|20.11.09| 2471| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27008 |19.08.98|21.05.03| 96| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27009 |19.08.98|04.06.03| 110| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27010 |19.08.98|17.09.03| 215| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27011 |19.08.98|08.10.03| 236| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27012 |14.11.99|19.11.03| 278| | | | 9115.111| 8491.289|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27013 |06.06.01|02.06.04| 474| 3 | 65 | | 15000.000| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27014 |11.07.01|15.12.04| 670| 2 | 78 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27015 |08.08.01|04.02.04| 355| 3 | 62 | | 16000.000| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27016 |21.11.01|20.08.03| 187| 1 | 1 | | 5672.494| 6327.506|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27017 |06.02.02|04.08.04| 537| 2 | 64 | | 12000.000| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27018 |20.03.02|14.09.05| 943| 2 | 45 | | 14000.000| 0.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 27021 |09.10.02|20.04.05| 796| 2 | 2 | | 10941.601| 58.399|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 28001 |19.08.98|21.01.04| 341| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 45001 |22.05.02|15.11.06| 1370| 5 | 81 | | 30354.634| 1645.366|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 46001 |18.09.02|10.09.08| 2035| 3 | 37 | | 25738.514| 5261.486|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
| 46002 |05.02.03|08.08.12| 3463| 1 | 5 | | 16120.000| 3080.000|
+--------+--------+--------+-----+-------+------+-------+----------+---------+
|Итого: | |234887.931|38759.668|
L--------+----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T---------
| |10.02.03|11.02.03|12.02.03|13.02.03|14.02.03|
+--------------------------+--------+--------+--------+--------+--------+
|1. Индикаторы (% годовых):| | | | | |
+--------------------------+--------+--------+--------+--------+--------+
|а) рыночного портфеля <*> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 7.38 | 7.35 | 7.00 | 6.49 | 6.55 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 9.96 | 9.77 | 9.77 | 9.27 | 9.27 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 11.83 | 11.78 | 11.45 | 11.03 | 10.80 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 10.33 | 10.24 | 10.04 | 9.54 | 9.48 |
+--------------------------+--------+--------+--------+--------+--------+
|б) оборота рынка <**> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 7.19 | 7.59 | 7.08 | 6.48 | 6.53 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 11.63 | 11.37 | 0.00 | 10.71 | 0.00 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 11.83 | 11.76 | 11.45 | 10.98 | 10.74 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 10.08 | 10.17 | 9.35 | 8.79 | 9.02 |
+--------------------------+--------+--------+--------+--------+--------+
|2. Коэффициенты | | | | | |
| оборачиваемости | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 0.23 | 0.26 | 0.67 | 0.73 | 0.32 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.28 | 0.22 | 0.00 | 0.11 | 0.00 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 2.53 | 0.96 | 0.29 | 2.01 | 1.60 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 0.12 | 0.10 | 0.49 | 0.21 | 0.34 |
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----------
| | 10.02.03| 11.02.03| 12.02.03| 13.02.03| 14.02.03|
+----------------------+---------+---------+---------+---------+---------+
|Номинальная стоимость,|219672.93|219672.93|219687.93|219687.93|234887.93|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 20336.54| 20336.54| 20336.54| 20336.54| 20336.54|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1897.45| 1897.45| 1897.45| 1897.45| 1897.45|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 56998.15| 56998.15| 57013.15| 57013.15| 72213.15|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |140440.80|140440.80|140440.80|140440.80|140440.80|
+----------------------+---------+---------+---------+---------+---------+
|Рыночная стоимость, |225272.52|225563.00|226474.74|228035.79|243900.66|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 20040.05| 20046.02| 20063.37| 20086.49| 20087.99|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1984.32| 1990.03| 1990.51| 2004.55| 2005.02|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 58047.70| 58161.86| 58737.34| 59492.29| 75229.86|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |145200.46|145365.08|145683.52|146452.45|146577.78|
+----------------------+---------+---------+---------+---------+---------+
|Дюрация <*>, дней | 575.64| 575.10| 576.90| 578.55| 625.39|
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 72.96| 71.95| 70.99| 70.06| 69.06|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 460.01| 460.00| 459.17| 460.25| 459.42|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 1186.30| 1186.62| 1191.23| 1194.68| 1306.95|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД | 402.47| 401.39| 400.50| 399.62| 399.02|
L----------------------+---------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный
по объемам в обращении.
Департамент операций
на открытом рынке
Банка России
|
