ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 8 октября 2004 г. N 39
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ОФЗ при суммарном объеме сделок за неделю 19851.504
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)¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦15.12.04 ¦04.10.04¦ 0.63 ¦101.500¦101.560¦101.500¦ 4.10 ¦ 5.794¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦05.10.04¦ 0.66 ¦101.560¦101.650¦101.560¦ 3.95 ¦ 2.010¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 0.69 ¦101.140¦101.500¦101.500¦ 4.27 ¦ 9.537¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 0.72 ¦101.410¦101.600¦101.480¦ 3.62 ¦3273.583¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 0.76 ¦101.600¦101.600¦101.600¦ 3.38 ¦ 0.010¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦20.04.05 ¦07.10.04¦ 2.57 ¦104.500¦104.500¦104.500¦ 3.50 ¦ 2.000¦27021 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 2.60 ¦104.490¦104.490¦104.490¦ 3.48 ¦ 2.500¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦20.07.05 ¦07.10.04¦ 1.71 ¦102.800¦102.800¦102.800¦ 3.93 ¦ 10.975¦27023 ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦14.09.05 ¦04.10.04¦ 0.63 ¦106.400¦106.400¦106.400¦ 5.12 ¦ 8.369¦27018 ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦19.04.06 ¦06.10.04¦ 1.69 ¦103.167¦103.209¦103.209¦ 5.28 ¦2983.610¦27024 ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦02.08.06 ¦05.10.04¦ 1.70 ¦104.780¦104.900¦104.780¦ 6.23 ¦ 4.611¦45002 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 1.73 ¦105.200¦105.200¦105.200¦ 5.91 ¦ 0.876¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦15.11.06 ¦05.10.04¦ 1.58 ¦105.600¦105.750¦105.600¦ 5.94 ¦ 9.745¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 1.61 ¦105.550¦106.095¦106.095¦ 5.60 ¦ 783.228¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 1.64 ¦106.053¦106.095¦106.095¦ 5.59 ¦4398.860¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦13.06.07 ¦06.10.04¦ 0.46 ¦101.800¦101.800¦101.800¦ 6.52 ¦ 23.400¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 0.48 ¦101.826¦102.000¦101.897¦ 6.48 ¦ 191.504¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 0.50 ¦101.850¦101.900¦101.900¦ 6.47 ¦ 4.819¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦18.07.07 ¦06.10.04¦ 2.53 ¦111.352¦111.397¦111.397¦ 6.18 ¦3315.030¦27019 ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦10.09.08 ¦04.10.04¦ 0.63 ¦110.150¦110.150¦110.150¦ 6.73 ¦ 1.245¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦05.10.04¦ 0.66 ¦110.100¦110.150¦110.150¦ 6.74 ¦ 304.690¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 0.69 ¦110.150¦110.250¦110.250¦ 6.70 ¦ 52.070¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 0.72 ¦110.450¦110.740¦110.740¦ 6.54 ¦ 47.225¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 0.76 ¦110.300¦110.500¦110.400¦ 6.65 ¦ 67.400¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦11.03.09 ¦05.10.04¦ 0.44 ¦100.700¦100.700¦100.700¦ 7.22 ¦ 0.197¦27026 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 0.46 ¦ 99.950¦100.000¦100.000¦ 7.42 ¦ 26.175¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 0.48 ¦100.000¦100.101¦100.090¦ 7.40 ¦ 220.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 0.50 ¦100.111¦100.230¦100.230¦ 7.38 ¦1352.063¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦14.07.10 ¦05.10.04¦ 2.08 ¦110.400¦110.400¦110.400¦ 7.71 ¦ 15.930¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 2.11 ¦110.980¦111.000¦110.980¦ 7.57 ¦ 82.430¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 2.14 ¦111.005¦111.570¦111.250¦ 7.47 ¦ 364.031¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 2.16 ¦111.050¦111.385¦111.200¦ 7.55 ¦ 136.223¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦08.08.12 ¦04.10.04¦ 1.42 ¦107.500¦107.530¦107.530¦ 7.96 ¦ 6.420¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦05.10.04¦ 1.45 ¦107.301¦107.360¦107.301¦ 8.00 ¦ 7.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 1.48 ¦107.500¦107.770¦107.600¦ 7.99 ¦ 108.956¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 1.51 ¦107.600¦108.480¦108.151¦ 7.82 ¦ 404.111¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 1.54 ¦108.100¦108.450¦108.198¦ 7.83 ¦ 121.996¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦02.11.12 ¦05.10.04¦ 5.51 ¦ 88.550¦ 88.550¦ 88.550¦ 7.97 ¦ 0.212¦26198 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 5.54 ¦ 88.500¦ 88.500¦ 88.500¦ 7.98 ¦ 0.001¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 5.56 ¦ 88.500¦ 88.550¦ 88.500¦ 7.98 ¦ 204.705¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦29.08.18 ¦05.10.04¦ 0.55 ¦105.260¦105.300¦105.300¦ 7.95 ¦ 5.000¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦06.10.04¦ 0.58 ¦105.253¦105.376¦105.376¦ 7.95 ¦1047.818¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦07.10.04¦ 0.60 ¦106.100¦106.650¦106.305¦ 7.78 ¦ 240.229¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦08.10.04¦ 0.63 ¦106.050¦106.050¦106.050¦ 7.82 ¦ 4.416¦ ¦
+---------+--------+-------+-------+-------+-------+------+--------+------+
¦05.09.29 ¦07.10.04¦ 0.00 ¦ 44.500¦ 44.500¦ 44.500¦ 8.78 ¦ 0.500¦46012 ¦
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 ¦ 45 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 158 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 50 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 45 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 46 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 48 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 49 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 27 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 15.12.2004 ¦ 68 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 15.12.2004 ¦ 68 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 19.01.2005 ¦ 103 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 09.02.2005 ¦ 124 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 20.10.2004 ¦ 12 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 17.11.2004 ¦ 40 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 20.10.2004 ¦ 12 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 20.10.2004 ¦ 12 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 15.12.2004 ¦ 68 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27026 ¦ 15.12.2004 ¦ 68 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 17.11.2004 ¦ 40 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 02.02.2005 ¦ 117 ¦ 10.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 15.12.2004 ¦ 68 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 16.02.2005 ¦ 131 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 19.01.2005 ¦ 103 ¦ 10.00 ¦ 49.86 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 05.10.2005 ¦ 362 ¦ 0.34 ¦ 3.40 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 16.03.2005 ¦ 159 ¦ 10.00 ¦ 49.86 ¦
L--------+------------------------+-------+--------+--------------
Часть 3
ОСНОВНЫЕ ХАРАКТЕРИСТИКИ ОБРАЩАЮЩИХСЯ ВЫПУСКОВ
ГКО - ОФЗ
---------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 ¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 409¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 158¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 50¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 773¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1138¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1504¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 1869¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 2947¦ 4 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 68¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 341¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1013¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1034¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 194¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 495¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 285¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 558¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 978¦ 10 ¦ 44 ¦ ¦ 25666.394¦ 4333.606¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27026 ¦15.09.04¦11.03.09¦ 1615¦ 2 ¦ 8 ¦ ¦ 5943.295¦ 4056.705¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 768¦ 8 ¦ 84 ¦ ¦ 37807.676¦ 2692.324¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 663¦ 1 ¦ ¦ ¦ 5520.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1433¦ 15 ¦ 88 ¦ ¦ 60000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 2861¦ 14 ¦ 72 ¦ ¦ 56000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2105¦ 11 ¦ 24 ¦ ¦ 27242.844¦ 2757.156¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8622¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7621¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9098¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5073¦ 9 ¦ 42 ¦ ¦ 35874.601¦ 3125.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦485563.641¦30435.520¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦04.10.04¦05.10.04¦06.10.04¦07.10.04¦08.10.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 7.97 ¦ 7.96 ¦ 7.96 ¦ 7.97 ¦ 7.97 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.90 ¦ 7.92 ¦ 7.89 ¦ 7.88 ¦ 7.90 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 5.79 ¦ 5.78 ¦ 5.80 ¦ 5.82 ¦ 5.85 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 7.97 ¦ 0.00 ¦ 7.98 ¦ 7.98 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.85 ¦ 6.89 ¦ 7.70 ¦ 6.62 ¦ 7.57 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 4.99 ¦ 6.19 ¦ 5.91 ¦ 6.03 ¦ 7.37 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.91 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.00 ¦ 0.13 ¦ 0.75 ¦ 2.00 ¦ 0.12 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.01 ¦ 0.00 ¦ 4.74 ¦ 2.57 ¦ 0.92 ¦
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
-----------------------T---------T---------T---------T---------T---------¬
¦ ¦ 04.10.04¦ 05.10.04¦ 06.10.04¦ 07.10.04¦ 08.10.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦474462.37¦474462.37¦481064.11¦481939.65¦485563.64¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦315698.80¦315698.80¦319623.99¦320121.53¦322445.12¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦136384.41¦136384.41¦139060.96¦139438.96¦140739.36¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦456568.48¦456428.30¦463547.32¦464494.53¦468013.88¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 21190.36¦ 21206.92¦ 21210.62¦ 21203.99¦ 21209.50¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦291278.20¦291070.01¦295379.01¦295966.09¦298124.15¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦144099.92¦144151.36¦146957.69¦147324.45¦148680.23¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1695.09¦ 1694.23¦ 1694.23¦ 1679.65¦ 1680.08¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2107.69¦ 2106.96¦ 2105.96¦ 2104.63¦ 2103.66¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 2240.96¦ 2240.69¦ 2236.61¦ 2213.78¦ 2212.65¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 531.01¦ 530.11¦ 544.64¦ 545.43¦ 551.80¦
L----------------------+---------+---------+---------+---------+----------
------------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по
объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
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