ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 24 сентября 2004 г. N 37
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ОФЗ при суммарном объеме сделок за неделю 27537.814
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)¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦18.11.04 <*>¦21.09.04¦ 0.00 ¦ 99.500¦ 99.500¦ 99.500¦ 3.16 ¦ 0.500 ¦46009 ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦15.12.04 ¦20.09.04¦ 0.16 ¦101.710¦101.850¦101.710¦ 4.35 ¦ 0.114 ¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 0.20 ¦101.800¦101.900¦101.900¦ 3.82 ¦ 10.012 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 0.23 ¦101.900¦101.900¦101.900¦ 3.72 ¦ 10.000 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 0.26 ¦101.700¦101.800¦101.700¦ 4.51 ¦ 30.000 ¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦14.09.05 ¦22.09.04¦ 0.23 ¦106.450¦106.450¦106.450¦ 5.30 ¦ 8.438 ¦27018 ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦02.08.06 ¦20.09.04¦ 1.29 ¦105.200¦105.420¦105.398¦ 6.02 ¦ 7.320 ¦45002 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 1.32 ¦105.300¦105.300¦105.300¦ 5.96 ¦ 0.039 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 1.34 ¦105.200¦105.200¦105.200¦ 6.03 ¦ 0.948 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 1.37 ¦105.540¦105.540¦105.540¦ 5.76 ¦ 0.936 ¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦15.11.06 ¦20.09.04¦ 1.09 ¦106.300¦106.300¦106.300¦ 5.63 ¦ 3.995 ¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 1.12 ¦106.500¦106.500¦106.500¦ 5.47 ¦ 0.017 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 1.15 ¦106.350¦106.500¦106.350¦ 5.46 ¦ 0.050 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 1.18 ¦106.200¦106.200¦106.200¦ 5.67 ¦ 12.100 ¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦13.06.07 ¦20.09.04¦ 0.11 ¦101.778¦101.864¦101.859¦ 6.52 ¦467.937 ¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 0.13 ¦101.863¦101.873¦101.873¦ 6.51 ¦625.000 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 0.15 ¦101.870¦101.871¦101.871¦ 6.51 ¦ 28.910 ¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦24.09.04¦ 0.20 ¦101.871¦101.871¦101.871¦ 6.51 ¦ 5.000 ¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦18.07.07 ¦22.09.04¦ 2.07 ¦111.326¦111.352¦111.326¦ 6.26 ¦800.000 ¦27019 ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦08.08.07 ¦21.09.04¦ 1.35 ¦111.620¦111.698¦111.698¦ 6.26 ¦6900.000¦27020 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 1.38 ¦111.646¦111.690¦111.690¦ 6.25 ¦ 248.112¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦10.09.08 ¦20.09.04¦ 0.16 ¦109.926¦109.980¦109.975¦ 6.86 ¦ 730.831¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 0.20 ¦109.976¦110.100¦110.100¦ 6.84 ¦1186.214¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 0.23 ¦110.080¦110.100¦110.090¦ 6.81 ¦ 31.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 0.26 ¦110.100¦110.190¦110.190¦ 6.79 ¦ 10.277¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦24.09.04¦ 0.30 ¦110.100¦110.198¦110.100¦ 6.79 ¦ 2.729¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦11.03.09 ¦21.09.04¦ 0.13 ¦ 99.780¦ 99.780¦ 99.780¦ 7.49 ¦ 35.000¦27026 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 0.15 ¦ 99.781¦ 99.782¦ 99.782¦ 7.49 ¦ 400.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 0.18 ¦ 99.782¦ 99.784¦ 99.782¦ 7.49 ¦ 216.600¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦24.09.04¦ 0.20 ¦ 99.783¦ 99.785¦ 99.784¦ 7.48 ¦ 60.700¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦14.07.10 ¦20.09.04¦ 1.67 ¦110.676¦110.740¦110.735¦ 7.65 ¦ 734.000¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 1.70 ¦110.776¦110.786¦110.786¦ 7.64 ¦ 757.463¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 1.73 ¦110.770¦110.784¦110.784¦ 7.63 ¦1216.648¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 1.75 ¦110.784¦110.800¦110.790¦ 7.63 ¦ 217.500¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦24.09.04¦ 1.78 ¦110.791¦110.820¦110.810¦ 7.63 ¦ 424.500¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦08.08.12 ¦20.09.04¦ 1.00 ¦107.530¦107.630¦107.625¦ 7.96 ¦ 887.567¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 1.03 ¦107.530¦107.690¦107.650¦ 7.95 ¦ 678.512¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 1.06 ¦106.500¦107.682¦107.600¦ 7.95 ¦ 808.555¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 1.09 ¦106.501¦107.685¦107.685¦ 7.95 ¦ 171.244¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦24.09.04¦ 1.12 ¦107.650¦108.300¦107.650¦ 7.94 ¦ 20.100¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦02.11.12 ¦22.09.04¦ 5.29 ¦ 88.400¦ 88.400¦ 88.400¦ 7.99 ¦ 47.296¦26198 ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦29.08.18 ¦20.09.04¦ 0.14 ¦105.000¦105.160¦105.156¦ 7.98 ¦1622.000¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦21.09.04¦ 0.16 ¦105.150¦105.195¦105.195¦ 7.98 ¦ 650.783¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦22.09.04¦ 0.19 ¦105.190¦105.193¦105.193¦ 7.97 ¦1864.259¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦23.09.04¦ 0.22 ¦105.193¦105.225¦105.220¦ 7.97 ¦ 875.500¦ ¦
¦ +--------+-------+-------+-------+-------+------+--------+ ¦
¦ ¦24.09.04¦ 0.25 ¦105.206¦105.230¦105.207¦ 7.97 ¦ 229.108¦ ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦20.08.25 ¦22.09.04¦ 0.00 ¦ 59.470¦ 59.550¦ 59.550¦ 8.28 ¦1500.000¦46011 ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦17.05.28 ¦22.09.04¦ 0.00 ¦ 61.930¦ 62.010¦ 62.010¦ 8.29 ¦1500.000¦46010 ¦
+------------+--------+-------+-------+-------+-------+------+--------+------+
¦05.09.29 ¦22.09.04¦ 1.00 ¦ 47.740¦ 47.740¦ 47.740¦ 8.30 ¦1500.000¦46012 ¦
L------------+--------+-------+-------+-------+-------+------+--------+-------
------------------------------------
<*> Дата обратного выкупа Банком России.
Торговля ОБР при суммарном объеме сделок за неделю 30361.291
млн. руб. по номиналу имела следующие параметры
----------T--------T-----------------------T------T-------T------¬
¦ Дата ¦ Дата ¦ Цены облигаций ¦Доход-¦Оборот ¦Номер ¦
¦погашения¦ торгов +-------T-------T-------+ность ¦ (млн. ¦выпус-¦
¦ ¦ ¦ мин. ¦ макс. ¦ закр. ¦(% ¦руб. по¦ка ¦
¦ ¦ ¦ ¦ ¦ ¦год.) ¦номин.)¦(спра-¦
¦ ¦ ¦ ¦ ¦ ¦ ¦ ¦вочно)¦
+---------+--------+-------+-------+-------+------+-------+------+
¦15.12.05 ¦20.09.04¦ 99.967¦ 99.967¦ 99.967¦ 1.70 ¦*******¦BR001 ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦21.09.04¦ 99.972¦ 99.972¦ 99.972¦ 1.70 ¦ 7.00¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦22.09.04¦ 99.981¦ 99.981¦ 99.981¦ 1.40 ¦ 10.00¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦23.09.04¦ 99.985¦ 99.985¦ 99.985¦ 1.40 ¦ 10.00¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦24.09.04¦ 99.989¦ 99.990¦ 99.990¦ 1.28 ¦ 18.37¦ ¦
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 ¦ 59 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 172 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 64 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 59 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 60 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 62 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 63 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 41 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 15.12.2004 ¦ 82 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 15.12.2004 ¦ 82 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 19.01.2005 ¦ 117 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 09.02.2005 ¦ 138 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 20.10.2004 ¦ 26 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 17.11.2004 ¦ 54 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 20.10.2004 ¦ 26 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 20.10.2004 ¦ 26 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 15.12.2004 ¦ 82 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27026 ¦ 15.12.2004 ¦ 82 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 17.11.2004 ¦ 54 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 02.02.2005 ¦ 131 ¦ 10.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 15.12.2004 ¦ 82 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 16.02.2005 ¦ 145 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 19.01.2005 ¦ 117 ¦ 10.00 ¦ 49.86 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 06.10.2004 ¦ 12 ¦ 1.05 ¦ 10.42 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 16.03.2005 ¦ 173 ¦ 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¦ 423¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 172¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 64¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 787¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1152¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1518¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 1883¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 2961¦ 4 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 82¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 355¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1027¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1048¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 208¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 509¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 299¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 572¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 992¦ 10 ¦ 43 ¦ ¦ 25483.394¦ 4516.606¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27026 ¦15.09.04¦11.03.09¦ 1629¦ 1 ¦ 6 ¦ ¦ 1771.344¦ 3428.656¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 782¦ 8 ¦ 84 ¦ ¦ 37807.676¦ 2692.324¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 677¦ 1 ¦ ¦ ¦ 5520.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1447¦ 15 ¦ 88 ¦ ¦ 60000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 2875¦ 13 ¦ 71 ¦ ¦ 52000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2119¦ 10 ¦ 23 ¦ ¦ 26586.047¦ 3413.953¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8636¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7635¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9112¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5087¦ 8 ¦ 40 ¦ ¦ 33785.079¦ 5214.921¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦474462.371¦32736.790¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦20.09.04¦21.09.04¦22.09.04¦23.09.04¦24.09.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 8.05 ¦ 8.05 ¦ 7.97 ¦ 7.97 ¦ 7.97 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.92 ¦ 7.90 ¦ 7.90 ¦ 7.90 ¦ 7.90 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 5.81 ¦ 5.78 ¦ 5.83 ¦ 5.85 ¦ 5.85 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 7.99 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.85 ¦ 7.67 ¦ 8.13 ¦ 7.93 ¦ 7.81 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 6.52 ¦ 6.29 ¦ 6.68 ¦ 7.46 ¦ 7.44 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 0.21 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 1.53 ¦ 1.26 ¦ 2.35 ¦ 0.48 ¦ 0.26 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.33 ¦ 5.92 ¦ 1.14 ¦ 0.17 ¦ 0.05 ¦
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---------¬
¦ ¦ 20.09.04¦ 21.09.04¦ 22.09.04¦ 23.09.04¦ 24.09.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦464872.28¦468251.75¦472506.72¦473846.56¦474462.37¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦307419.32¦310163.80¦313999.85¦315139.69¦315698.80¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦135073.80¦135708.80¦136127.71¦136327.71¦136384.41¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦444940.37¦448818.36¦453521.60¦454963.80¦455770.19¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 21040.85¦ 21044.76¦ 21132.71¦ 21136.62¦ 21140.33¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦281363.47¦284621.49¦288934.26¦290156.14¦290865.76¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦142536.05¦143152.11¦143454.64¦143671.04¦143764.11¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1708.48¦ 1704.63¦ 1706.76¦ 1706.95¦ 1706.05¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2118.32¦ 2117.32¦ 2119.16¦ 2118.16¦ 2117.15¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 2269.82¦ 2259.63¦ 2255.14¦ 2253.94¦ 2251.97¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 539.90¦ 540.48¦ 541.51¦ 541.75¦ 541.07¦
L----------------------+---------+---------+---------+---------+----------
------------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по
объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
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