ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 16 июля 2004 г. N 27
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 44.702 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 ¦13.07.04¦ 99.550¦ 99.550¦ 99.550¦ 4.58 ¦ 9.80¦21172 ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 99.570¦ 99.580¦ 99.580¦ 4.40 ¦ 14.90¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 99.590¦ 99.600¦ 99.600¦ 4.34 ¦ 17.50¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 99.620¦ 99.620¦ 99.620¦ 4.22 ¦ 2.50¦ ¦
L---------+--------+-------+-------+-------+------+-------+-------
Торговля ОФЗ при суммарном объеме сделок за неделю 1333.617
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)¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦04.08.04 ¦12.07.04¦ 2.24 ¦100.375¦100.435¦100.400¦ 5.58 ¦124.400¦27017 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.07.04¦ 2.27 ¦100.322¦100.400¦100.322¦ 5.97 ¦ 44.014¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 2.30 ¦100.330¦100.380¦100.331¦ 5.94 ¦ 33.483¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 2.33 ¦100.325¦100.380¦100.325¦ 5.62 ¦ 38.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 2.37 ¦100.300¦100.365¦100.365¦ 6.05 ¦ 19.000¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.12.04 ¦13.07.04¦ 0.89 ¦102.700¦102.800¦102.700¦ 5.50 ¦ 0.150¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 0.92 ¦102.800¦102.800¦102.800¦ 5.34 ¦ 10.310¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 0.95 ¦103.020¦103.070¦103.070¦ 4.70 ¦184.157¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.03.05 ¦13.07.04¦ 3.29 ¦103.150¦103.150¦103.150¦ 5.03 ¦ 0.159¦26003 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦20.04.05 ¦15.07.04¦ 2.80 ¦105.450¦105.450¦105.450¦ 4.78 ¦ 0.012¦27021 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.09.05 ¦15.07.04¦ 0.95 ¦108.000¦108.000¦108.000¦ 4.99 ¦ 0.040¦27018 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.08.06 ¦15.07.04¦ 5.33 ¦104.000¦104.000¦104.000¦ 6.55 ¦ 0.800¦45002 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.11.06 ¦14.07.04¦ 1.84 ¦106.550¦106.650¦106.650¦ 6.28 ¦ 10.146¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 1.87 ¦106.400¦106.450¦106.420¦ 6.29 ¦ 26.152¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 1.91 ¦106.400¦106.800¦106.800¦ 6.03 ¦ 50.335¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦13.06.07 ¦12.07.04¦ 0.57 ¦101.600¦102.001¦102.001¦ 6.62 ¦ 34.346¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.07.04¦ 0.59 ¦101.897¦101.934¦101.934¦ 6.61 ¦ 15.000¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 0.61 ¦101.900¦102.000¦102.000¦ 6.59 ¦ 12.928¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 0.64 ¦101.900¦102.200¦102.200¦ 6.51 ¦ 43.154¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 0.66 ¦102.400¦102.490¦102.400¦ 6.39 ¦ 15.000¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦10.09.08 ¦12.07.04¦ 0.86 ¦109.750¦110.300¦109.800¦ 7.20 ¦ 66.398¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.07.04¦ 0.89 ¦109.810¦109.910¦109.850¦ 7.18 ¦ 24.300¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 0.92 ¦110.150¦110.300¦110.300¦ 7.06 ¦ 60.382¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 0.95 ¦110.400¦110.950¦110.950¦ 6.86 ¦ 85.750¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 0.99 ¦110.900¦111.200¦111.200¦ 6.80 ¦ 11.654¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.07.10 ¦13.07.04¦ 5.72 ¦110.010¦110.021¦110.010¦ 7.89 ¦ 10.000¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 5.75 ¦111.390¦111.400¦111.400¦ 7.58 ¦ 8.650¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 5.79 ¦111.550¦111.550¦111.550¦ 7.55 ¦ 12.138¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 5.82 ¦112.000¦112.000¦112.000¦ 7.45 ¦ 36.339¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦08.08.12 ¦12.07.04¦ 4.37 ¦108.000¦109.050¦108.000¦ 7.98 ¦ 5.086¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦13.07.04¦ 4.40 ¦100.670¦107.700¦107.700¦ 8.21 ¦ 47.646¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 4.43 ¦107.700¦108.349¦108.349¦ 8.00 ¦ 6.863¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 4.46 ¦108.100¦108.200¦108.150¦ 7.95 ¦ 35.323¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦16.07.04¦ 4.49 ¦108.450¦108.500¦108.500¦ 7.89 ¦ 33.910¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.11.12 ¦13.07.04¦ 4.13 ¦ 87.000¦ 87.300¦ 87.300¦ 8.21 ¦ 28.450¦26198 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦14.07.04¦ 4.14 ¦ 87.500¦ 87.500¦ 87.500¦ 8.12 ¦ 0.393¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦29.08.18 ¦14.07.04¦ 3.42 ¦105.000¦105.050¦105.050¦ 8.06 ¦ 1.004¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦15.07.04¦ 3.45 ¦105.400¦106.350¦106.350¦ 7.90 ¦197.345¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦05.09.29 ¦15.07.04¦ 0.80 ¦ 44.000¦ 44.000¦ 44.000¦ 8.76 ¦ 0.400¦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 ¦ 129 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 242 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 134 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 129 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 130 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 132 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 133 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 111 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 15.09.2004 ¦ 61 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27017 ¦ 04.08.2004 ¦ 19 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 15.09.2004 ¦ 61 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 21.07.2004 ¦ 5 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 11.08.2004 ¦ 26 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 21.07.2004 ¦ 5 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 18.08.2004 ¦ 33 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 21.07.2004 ¦ 5 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 21.07.2004 ¦ 5 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 15.09.2004 ¦ 61 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 18.08.2004 ¦ 33 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 04.08.2004 ¦ 19 ¦ 12.00 ¦ 47.87 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 15.09.2004 ¦ 61 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 18.08.2004 ¦ 33 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 21.07.2004 ¦ 5 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 06.10.2004 ¦ 82 ¦ 1.05 ¦ 10.42 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 15.09.2004 ¦ 61 ¦ 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 ¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21170 ¦06.08.03¦21.07.04¦ 5¦ 1 ¦ ¦ ¦ 1015.609¦ 3984.391¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21172 ¦18.02.04¦18.08.04¦ 33¦ 1 ¦ ¦ ¦ 3960.045¦ 39.955¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 493¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 242¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 134¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 857¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1222¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1588¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 1953¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 3031¦ 4 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 152¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27017 ¦06.02.02¦04.08.04¦ 19¦ 2 ¦ 64 ¦ ¦ 12000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 425¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1097¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1118¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 278¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 579¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 369¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 642¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 1062¦ 7 ¦ 34 ¦ ¦ 22593.667¦ 7406.333¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 852¦ 8 ¦ 84 ¦ ¦ 37807.676¦ 2692.324¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 747¦ 1 ¦ ¦ ¦ 7360.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1517¦ 13 ¦ 79 ¦ ¦ 55500.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 2945¦ 10 ¦ 64 ¦ ¦ 42740.007¦ 4459.993¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2189¦ 7 ¦ 15 ¦ ¦ 20533.866¦ 3466.134¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8706¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7705¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9182¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5157¦ 6 ¦ 34 ¦ ¦ 27925.000¦11075.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦462944.701¦46594.460¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦12.07.04¦13.07.04¦14.07.04¦15.07.04¦16.07.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 3.92 ¦ 4.37 ¦ 4.22 ¦ 4.18 ¦ 4.09 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 8.13 ¦ 8.19 ¦ 8.10 ¦ 8.10 ¦ 8.10 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.15 ¦ 8.18 ¦ 8.12 ¦ 8.08 ¦ 8.05 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 5.70 ¦ 5.71 ¦ 5.71 ¦ 5.66 ¦ 5.63 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 4.58 ¦ 4.40 ¦ 4.34 ¦ 4.22 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 8.21 ¦ 8.12 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.30 ¦ 7.98 ¦ 7.25 ¦ 7.76 ¦ 7.34 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 6.55 ¦ 6.57 ¦ 6.44 ¦ 5.81 ¦ 6.39 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 0.20 ¦ 0.30 ¦ 0.35 ¦ 0.05 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.13 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.03 ¦ 0.03 ¦ 0.04 ¦ 0.15 ¦ 0.06 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.11 ¦ 0.04 ¦ 0.04 ¦ 0.18 ¦ 0.02 ¦
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---------¬
¦ ¦ 12.07.04¦ 13.07.04¦ 14.07.04¦ 15.07.04¦ 16.07.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦460781.01¦460781.01¦462795.63¦462944.70¦462944.70¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 4975.65¦ 4975.65¦ 4975.65¦ 4975.65¦ 4975.65¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦289731.93¦289731.93¦291746.55¦291866.55¦291866.55¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦143694.27¦143694.27¦143694.27¦143723.34¦143723.34¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦440928.10¦440571.66¦443965.12¦445061.77¦445705.79¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 4951.22¦ 4954.79¦ 4955.97¦ 4956.65¦ 4957.56¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 20628.52¦ 20571.09¦ 20676.86¦ 20680.77¦ 20684.48¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦261979.50¦261634.62¦264870.09¦265662.77¦266201.74¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦153368.86¦153411.17¦153462.20¦153761.57¦153862.01¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1632.21¦ 1630.06¦ 1624.57¦ 1621.04¦ 1619.74¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 31.27¦ 30.28¦ 29.28¦ 28.28¦ 27.28¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2185.22¦ 2183.57¦ 2185.44¦ 2184.44¦ 2183.43¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 2260.30¦ 2258.55¦ 2242.12¦ 2236.27¦ 2233.80¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 536.61¦ 535.65¦ 534.66¦ 533.63¦ 532.85¦
L----------------------+---------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по
объемам в обращении.
Департамент операций
на финансовых рынках
Банка России
|
