ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 10 сентября 2004 г. N 35
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ОФЗ при суммарном объеме сделок за неделю 612.744 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 <*>¦10.09.04¦ 0.00 ¦ 99.450¦ 99.450¦ 99.450¦ 2.93 ¦ 1.000¦46009 ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.12.04 ¦06.09.04¦ 2.70 ¦102.306¦102.500¦102.306¦ 2.92 ¦ 0.008¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 2.76 ¦102.000¦102.150¦102.000¦ 4.29 ¦ 12.960¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 2.80 ¦101.900¦102.000¦101.900¦ 4.74 ¦ 27.831¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 2.83 ¦102.000¦102.100¦102.100¦ 4.12 ¦ 1.434¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.03.05 ¦07.09.04¦ 4.82 ¦103.200¦103.300¦103.200¦ 3.44 ¦ 1.983¦26003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 4.85 ¦103.300¦103.300¦103.300¦ 3.35 ¦ 0.815¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 4.88 ¦103.200¦103.200¦103.200¦ 3.50 ¦ 0.913¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦20.07.05 ¦06.09.04¦ 1.03 ¦102.800¦102.800¦102.800¦ 4.34 ¦ 8.700¦27023 ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦14.09.05 ¦06.09.04¦ 2.70 ¦107.300¦107.520¦107.500¦ 4.59 ¦ 7.327¦27018 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 2.80 ¦107.070¦107.070¦107.070¦ 4.90 ¦ 3.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 2.83 ¦106.800¦106.900¦106.800¦ 5.06 ¦ 10.769¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦02.08.06 ¦07.09.04¦ 0.93 ¦105.490¦105.490¦105.490¦ 5.92 ¦ 0.305¦45002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 0.96 ¦105.200¦105.300¦105.300¦ 6.11 ¦ 47.350¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 0.99 ¦105.200¦105.205¦105.200¦ 6.13 ¦ 9.600¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 1.01 ¦105.200¦105.500¦105.200¦ 6.09 ¦ 19.140¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.11.06 ¦06.09.04¦ 0.63 ¦106.400¦106.400¦106.400¦ 5.73 ¦ 3.006¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦07.09.04¦ 0.66 ¦106.400¦106.680¦106.400¦ 5.52 ¦ 3.007¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 0.72 ¦106.450¦106.450¦106.450¦ 5.66 ¦ 5.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 0.76 ¦106.400¦106.600¦106.400¦ 5.64 ¦ 8.000¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦13.06.07 ¦06.09.04¦ 1.80 ¦102.100¦102.100¦102.100¦ 6.44 ¦ 0.096¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦07.09.04¦ 1.82 ¦101.805¦102.100¦101.805¦ 6.44 ¦ 0.904¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 1.86 ¦101.780¦101.780¦101.780¦ 6.57 ¦ 0.032¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦10.09.08 ¦06.09.04¦ 2.70 ¦109.800¦109.900¦109.900¦ 6.97 ¦ 15.152¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦07.09.04¦ 2.73 ¦109.999¦110.000¦109.999¦ 6.91 ¦ 2.700¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 2.76 ¦109.800¦109.850¦109.800¦ 6.97 ¦ 41.238¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 2.80 ¦109.790¦109.810¦109.790¦ 6.97 ¦ 34.955¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 2.83 ¦109.750¦109.831¦109.750¦ 6.97 ¦ 83.523¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦14.07.10 ¦06.09.04¦ 1.29 ¦110.600¦110.600¦110.600¦ 7.69 ¦ 0.265¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 1.34 ¦110.500¦110.510¦110.500¦ 7.71 ¦ 5.395¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 1.37 ¦110.600¦110.601¦110.601¦ 7.69 ¦ 16.750¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 1.40 ¦110.600¦110.650¦110.600¦ 7.69 ¦ 22.441¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦08.08.12 ¦06.09.04¦ 0.57 ¦107.700¦107.789¦107.789¦ 7.97 ¦ 5.049¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦07.09.04¦ 0.60 ¦107.750¦108.500¦107.800¦ 7.94 ¦ 58.312¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 0.63 ¦107.400¦107.650¦107.400¦ 8.01 ¦ 25.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 0.66 ¦107.501¦107.530¦107.501¦ 8.00 ¦ 7.249¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 0.69 ¦107.220¦107.250¦107.250¦ 8.05 ¦ 23.935¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦29.08.18 ¦06.09.04¦ 4.98 ¦104.500¦104.500¦104.500¦ 8.10 ¦ 5.000¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦07.09.04¦ 5.01 ¦104.300¦104.400¦104.300¦ 8.12 ¦ 6.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦08.09.04¦ 5.04 ¦104.400¦104.510¦104.500¦ 8.15 ¦ 30.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦09.09.04¦ 5.06 ¦104.500¦104.525¦104.500¦ 8.10 ¦ 10.600¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.09.04¦ 5.09 ¦104.500¦104.550¦104.550¦ 8.09 ¦ 46.000¦ ¦
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.)¦ ¦
+--------+------------------------+-------+--------+-------------+
¦ 25053 ¦ 22.11.2004 ¦ 73 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 186 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 78 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 73 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 74 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 76 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 77 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 55 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 15.09.2004 ¦ 5 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 15.09.2004 ¦ 5 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 19.01.2005 ¦ 131 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 09.02.2005 ¦ 152 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 20.10.2004 ¦ 40 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 17.11.2004 ¦ 68 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 20.10.2004 ¦ 40 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 20.10.2004 ¦ 40 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 15.09.2004 ¦ 5 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 17.11.2004 ¦ 68 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 02.02.2005 ¦ 145 ¦ 10.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 15.09.2004 ¦ 5 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 16.02.2005 ¦ 159 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 19.01.2005 ¦ 131 ¦ 10.00 ¦ 49.86 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 06.10.2004 ¦ 26 ¦ 1.05 ¦ 10.42 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 15.09.2004 ¦ 5 ¦ 10.50 ¦ 52.36 ¦
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 ¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 437¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 186¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 78¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 801¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1166¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1532¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 1897¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 2975¦ 4 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 96¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 369¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1041¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1062¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 222¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 523¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 313¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 586¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 1006¦ 10 ¦ 39 ¦ ¦ 24559.484¦ 5440.516¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 796¦ 8 ¦ 84 ¦ ¦ 37807.676¦ 2692.324¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 691¦ 1 ¦ ¦ ¦ 5520.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1461¦ 15 ¦ 84 ¦ ¦ 57932.421¦ 2067.579¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 2889¦ 12 ¦ 65 ¦ ¦ 44975.475¦ 2224.525¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2133¦ 10 ¦ 18 ¦ ¦ 23457.547¦ 6542.453¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8650¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7649¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9126¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5101¦ 8 ¦ 35 ¦ ¦ 30540.666¦ 8459.334¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦456302.100¦40897.061¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦06.09.04¦07.09.04¦08.09.04¦09.09.04¦10.09.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 8.03 ¦ 8.03 ¦ 8.03 ¦ 8.03 ¦ 8.03 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.12 ¦ 8.10 ¦ 8.13 ¦ 8.12 ¦ 8.13 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 5.64 ¦ 5.65 ¦ 5.71 ¦ 5.73 ¦ 5.74 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 3.44 ¦ 3.35 ¦ 3.50 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.59 ¦ 7.92 ¦ 7.69 ¦ 7.53 ¦ 7.68 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 4.50 ¦ 6.44 ¦ 4.29 ¦ 4.80 ¦ 5.03 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.01 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.01 ¦ 0.03 ¦ 0.06 ¦ 0.03 ¦ 0.08 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.01 ¦ 0.00 ¦ 0.01 ¦ 0.02 ¦ 0.01 ¦
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---------¬
¦ ¦ 06.09.04¦ 07.09.04¦ 08.09.04¦ 09.09.04¦ 10.09.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦455049.15¦455049.15¦456282.10¦456282.10¦456302.10¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦299304.02¦299304.02¦300213.79¦300213.79¦300233.79¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦133365.98¦133365.98¦133689.15¦133689.15¦133689.15¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦433712.09¦434043.55¦434958.34¦435064.13¦435053.97¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 20990.02¦ 20992.42¦ 20996.49¦ 20999.07¦ 21002.98¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦270790.14¦271083.95¦271745.92¦271874.48¦271835.08¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦141931.93¦141967.18¦142215.93¦142190.57¦142215.91¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1660.66¦ 1659.15¦ 1658.56¦ 1658.34¦ 1657.10¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2133.00¦ 2132.14¦ 2130.44¦ 2130.19¦ 2129.18¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 2211.00¦ 2208.72¦ 2207.71¦ 2207.49¦ 2206.29¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 540.82¦ 539.82¦ 539.55¦ 538.67¦ 537.65¦
L----------------------+---------+---------+---------+---------+----------
------------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по
объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
|
