ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 13 августа 2004 г. N 31
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 13.579 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)¦
+---------+--------+-------+-------+-------+------+-------+------+
¦18.08.04 ¦09.08.04¦ 99.953¦ 99.953¦ 99.953¦ 1.91 ¦ 3.58 ¦21172 ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 99.960¦ 99.960¦ 99.960¦ 2.43 ¦ 10.00 ¦ ¦
L---------+--------+-------+-------+-------+------+-------+-------
Торговля ОФЗ при суммарном объеме сделок за неделю 1252.834
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 <*>¦09.08.04¦ 0.00 ¦ 98.973¦ 98.973¦ 98.973¦ 3.75 ¦ 10.000¦46009 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.08.04¦ 0.00 ¦ 99.010¦ 99.010¦ 99.010¦ 3.65 ¦ 10.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 0.00 ¦ 99.046¦ 99.046¦ 99.046¦ 3.55 ¦ 20.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 0.00 ¦ 99.109¦ 99.109¦ 99.109¦ 3.35 ¦ 5.000¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.12.04 ¦09.08.04¦ 1.78 ¦103.100¦103.180¦103.130¦ 2.92 ¦ 18.542¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.08.04¦ 1.81 ¦103.050¦103.050¦103.050¦ 3.18 ¦ 0.456¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 1.84 ¦103.190¦103.190¦103.190¦ 2.71 ¦ 0.044¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.03.05 ¦09.08.04¦ 4.03 ¦103.840¦103.850¦103.850¦ 3.32 ¦ 3.000¦26003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 4.11 ¦103.350¦103.350¦103.350¦ 4.05 ¦ 0.250¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦20.04.05 ¦09.08.04¦ 0.63 ¦105.700¦105.700¦105.700¦ 3.71 ¦ 7.500¦27021 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 0.69 ¦105.600¦105.700¦105.650¦ 3.74 ¦ 4.007¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 0.76 ¦105.600¦105.700¦105.600¦ 3.73 ¦ 3.438¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦20.07.05 ¦13.08.04¦ 0.50 ¦103.750¦103.750¦103.750¦ 3.55 ¦ 0.384¦27023 ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦14.09.05 ¦10.08.04¦ 1.81 ¦107.500¦107.510¦107.510¦ 5.02 ¦ 0.336¦27018 ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.02.06 ¦13.08.04¦ 2.12 ¦104.500¦104.500¦104.500¦ 5.16 ¦ 6.746¦27022 ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦02.08.06 ¦10.08.04¦ 0.17 ¦105.000¦105.278¦105.277¦ 6.36 ¦ 30.000¦45002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 0.19 ¦105.450¦105.450¦105.450¦ 6.16 ¦ 1.800¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 0.22 ¦105.550¦105.550¦105.550¦ 6.08 ¦ 0.227¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 0.25 ¦105.450¦105.450¦105.450¦ 6.14 ¦ 6.000¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦15.11.06 ¦10.08.04¦ 2.73 ¦106.850¦107.073¦107.056¦ 5.67 ¦ 1.360¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 2.76 ¦106.900¦106.900¦106.900¦ 5.68 ¦ 2.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 2.83 ¦106.900¦106.900¦106.900¦ 5.66 ¦ 0.005¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦13.06.07 ¦09.08.04¦ 1.18 ¦102.150¦102.150¦102.150¦ 6.47 ¦120.598¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.08.04¦ 1.21 ¦102.000¦102.000¦102.000¦ 6.53 ¦ 3.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 1.23 ¦102.130¦102.180¦102.180¦ 6.45 ¦ 82.285¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 1.25 ¦102.150¦102.210¦102.210¦ 6.45 ¦ 27.328¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 1.27 ¦102.200¦102.200¦102.200¦ 6.44 ¦ 1.464¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦10.09.08 ¦09.08.04¦ 1.78 ¦110.430¦110.468¦110.437¦ 6.88 ¦ 32.400¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.08.04¦ 1.81 ¦110.430¦110.450¦110.450¦ 6.87 ¦ 52.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 1.84 ¦110.445¦110.500¦110.445¦ 6.85 ¦ 61.731¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 1.87 ¦110.440¦110.510¦110.505¦ 6.85 ¦ 56.998¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 1.91 ¦110.440¦110.460¦110.460¦ 6.86 ¦ 10.000¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦14.07.10 ¦09.08.04¦ 0.52 ¦111.570¦111.570¦111.570¦ 7.51 ¦ 65.000¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.08.04¦ 0.55 ¦111.534¦111.580¦111.580¦ 7.51 ¦ 64.458¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 0.58 ¦111.580¦111.580¦111.580¦ 7.50 ¦ 13.600¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 0.60 ¦111.580¦111.600¦111.580¦ 7.50 ¦ 68.717¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 0.63 ¦111.585¦111.585¦111.585¦ 7.50 ¦ 19.530¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦08.08.12 ¦10.08.04¦ 5.24 ¦107.900¦108.250¦108.000¦ 7.96 ¦ 21.484¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 5.27 ¦108.000¦108.010¦108.010¦ 7.94 ¦ 25.850¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 5.30 ¦107.900¦108.130¦107.900¦ 7.96 ¦ 10.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 5.33 ¦107.900¦107.910¦107.900¦ 7.96 ¦184.454¦ ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦02.11.12 ¦10.08.04¦ 4.59 ¦ 88.000¦ 88.000¦ 88.000¦ 8.04 ¦ 0.460¦26198 ¦
+------------+--------+-------+-------+-------+-------+------+-------+------+
¦29.08.18 ¦09.08.04¦ 4.17 ¦104.650¦104.800¦104.650¦ 8.09 ¦ 51.389¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦10.08.04¦ 4.20 ¦104.500¦104.700¦104.500¦ 8.11 ¦ 56.602¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦11.08.04¦ 4.23 ¦104.550¦104.550¦104.550¦ 8.11 ¦ 26.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦12.08.04¦ 4.26 ¦104.550¦104.550¦104.550¦ 8.11 ¦ 59.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.08.04¦ 4.29 ¦104.550¦104.650¦104.650¦ 8.11 ¦ 7.391¦ ¦
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 ¦ 101 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 214 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 106 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 101 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 102 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 104 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 105 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 83 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 15.09.2004 ¦ 33 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 15.09.2004 ¦ 33 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 19.01.2005 ¦ 159 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 09.02.2005 ¦ 180 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 20.10.2004 ¦ 68 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 18.08.2004 ¦ 5 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 20.10.2004 ¦ 68 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 20.10.2004 ¦ 68 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 15.09.2004 ¦ 33 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 18.08.2004 ¦ 5 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 02.02.2005 ¦ 173 ¦ 10.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 15.09.2004 ¦ 33 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 18.08.2004 ¦ 5 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 19.01.2005 ¦ 159 ¦ 10.00 ¦ 49.86 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 06.10.2004 ¦ 54 ¦ 1.05 ¦ 10.42 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 15.09.2004 ¦ 33 ¦ 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 ¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21172 ¦18.02.04¦18.08.04¦ 5¦ 1 ¦ ¦ ¦ 3960.045¦ 39.955¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 465¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 214¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 106¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 829¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1194¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1560¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 1925¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 3003¦ 4 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 124¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 397¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1069¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1090¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 250¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 551¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 341¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 614¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 1034¦ 8 ¦ 39 ¦ ¦ 23731.319¦ 6268.681¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 824¦ 8 ¦ 84 ¦ ¦ 37807.676¦ 2692.324¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 719¦ 1 ¦ ¦ ¦ 5520.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1489¦ 14 ¦ 82 ¦ ¦ 57672.017¦ 2327.983¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 2917¦ 11 ¦ 65 ¦ ¦ 44219.995¦ 2980.005¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2161¦ 9 ¦ 18 ¦ ¦ 21812.807¦ 8187.193¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8678¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7677¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9154¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5129¦ 7 ¦ 34 ¦ ¦ 29620.896¦ 9379.104¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦455853.586¦45345.575¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦09.08.04¦10.08.04¦11.08.04¦12.08.04¦13.08.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 1.91 ¦ 1.91 ¦ 1.91 ¦ 2.43 ¦ 2.43 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 8.01 ¦ 8.02 ¦ 8.02 ¦ 8.02 ¦ 8.02 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.10 ¦ 8.09 ¦ 8.09 ¦ 8.09 ¦ 8.09 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 5.57 ¦ 5.62 ¦ 5.59 ¦ 5.59 ¦ 5.61 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 1.91 ¦ 0.00 ¦ 0.00 ¦ 2.43 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 3.32 ¦ 8.04 ¦ 0.00 ¦ 4.05 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.77 ¦ 7.72 ¦ 7.65 ¦ 7.75 ¦ 7.90 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 6.36 ¦ 6.40 ¦ 6.42 ¦ 6.45 ¦ 5.23 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.09 ¦ 0.00 ¦ 0.00 ¦ 0.25 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.02 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.06 ¦ 0.09 ¦ 0.05 ¦ 0.08 ¦ 0.09 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.11 ¦ 0.00 ¦ 0.06 ¦ 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---------¬
¦ ¦ 09.08.04¦ 10.08.04¦ 11.08.04¦ 12.08.04¦ 13.08.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦455650.95¦455650.95¦455791.99¦455840.59¦455853.59¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 3960.05¦ 3960.05¦ 3960.05¦ 3960.05¦ 3960.05¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦296548.81¦296548.81¦296608.26¦296641.86¦296653.39¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦132762.94¦132762.94¦132844.53¦132859.53¦132860.99¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦437097.68¦437082.68¦436874.89¦436984.85¦436999.85¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 3958.18¦ 3958.18¦ 3958.18¦ 3958.46¦ 3958.46¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 20888.85¦ 20892.56¦ 20896.46¦ 20894.55¦ 20898.46¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦270424.97¦270489.11¦270678.22¦270738.46¦270800.05¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦141825.68¦141742.82¦141342.02¦141393.37¦141342.88¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1658.77¦ 1657.57¦ 1658.38¦ 1657.13¦ 1656.33¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 9.00¦ 8.00¦ 7.00¦ 6.00¦ 5.00¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2161.19¦ 2160.08¦ 2159.08¦ 2158.59¦ 2157.58¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 2219.12¦ 2217.34¦ 2215.86¦ 2214.48¦ 2213.42¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 562.36¦ 561.37¦ 563.00¦ 562.04¦ 561.14¦
L----------------------+---------+---------+---------+---------+----------
------------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по
объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
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