БЮЛЛЕТЕНЬ ЦБ РФ от 26.03.2004 n 12 <ИТОГИ ТОРГОВЛИ ГКО, ОФЗ И ОБР>


ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 26 марта 2004 г. N 12
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 2155.592 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 ¦23.03.04¦ 98.890¦ 98.900¦ 98.890¦ 2.76 ¦2125.60¦21172 ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 98.850¦ 98.900¦ 98.900¦ 2.78 ¦ 7.90¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 98.950¦ 98.950¦ 98.950¦ 2.65 ¦ 16.19¦ ¦
¦ +--------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 98.950¦ 98.980¦ 98.980¦ 2.63 ¦ 5.90¦ ¦
L---------+--------+-------+-------+-------+------+-------+-------
Торговля ОФЗ при суммарном объеме сделок за неделю 12064.238 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)¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.06.04 ¦22.03.04¦ 0.63 ¦102.000¦102.000¦102.000¦ 1.83 ¦ 1.00¦27013 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 0.66 ¦101.840¦101.950¦101.840¦ 2.30 ¦ 4.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.69 ¦101.880¦101.900¦101.880¦ 2.10 ¦ 1.99¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.72 ¦101.880¦101.880¦101.880¦ 2.02 ¦ 0.01¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦04.08.04 ¦23.03.04¦ 1.58 ¦103.290¦103.500¦103.290¦ 2.70 ¦ 2.00¦27017 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 1.64 ¦103.500¦103.505¦103.505¦ 2.27 ¦ 14.66¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.12.04 ¦22.03.04¦ 0.16 ¦106.500¦106.935¦106.935¦ 2.51 ¦ 12.65¦27014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 0.20 ¦106.935¦106.935¦106.935¦ 2.43 ¦ 100.45¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.23 ¦106.935¦106.935¦106.935¦ 2.39 ¦ 0.93¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.26 ¦106.950¦106.950¦106.950¦ 2.34 ¦ 7.22¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 0.30 ¦106.940¦106.950¦106.940¦ 2.31 ¦ 2.44¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.03.05 ¦22.03.04¦ 0.19 ¦106.750¦106.820¦106.820¦ 2.85 ¦ 10.00¦26003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.25 ¦106.700¦107.000¦106.900¦ 2.67 ¦ 17.97¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.27 ¦106.900¦107.050¦107.050¦ 2.64 ¦ 10.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 0.30 ¦106.300¦106.800¦106.800¦ 2.80 ¦ 7.31¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.09.05 ¦22.03.04¦ 0.16 ¦112.400¦112.420¦112.420¦ 3.42 ¦ 27.00¦27018 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 0.20 ¦112.420¦112.420¦112.420¦ 3.40 ¦ 20.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.23 ¦112.420¦112.450¦112.420¦ 3.37 ¦ 5.09¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.26 ¦112.470¦112.470¦112.470¦ 3.34 ¦ 0.01¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦15.11.06 ¦22.03.04¦ 1.09 ¦112.730¦112.730¦112.730¦ 3.78 ¦ 0.10¦45001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 1.12 ¦112.800¦112.800¦112.800¦ 3.73 ¦ 312.79¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 1.18 ¦112.100¦112.300¦112.300¦ 4.03 ¦ 2.16¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 1.22 ¦111.650¦112.300¦111.650¦ 4.26 ¦ 0.40¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦13.06.07 ¦22.03.04¦ 0.11 ¦103.850¦103.930¦103.850¦ 6.07 ¦ 14.20¦27025 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.15 ¦103.750¦103.850¦103.800¦ 6.07 ¦ 30.50¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.18 ¦103.690¦103.780¦103.700¦ 6.12 ¦ 28.88¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 0.20 ¦103.650¦103.690¦103.650¦ 6.13 ¦ 32.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦18.07.07 ¦24.03.04¦ 2.24 ¦114.600¦115.200¦115.200¦ 5.97 ¦ 7.00¦27019 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 2.28 ¦115.200¦115.200¦115.200¦ 5.92 ¦ 6.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 2.32 ¦115.300¦115.500¦115.500¦ 5.83 ¦ 8.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦08.08.07 ¦23.03.04¦ 1.46 ¦114.100¦114.100¦114.100¦ 6.39 ¦ 0.40¦27020 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 1.50 ¦114.700¦114.700¦114.700¦ 6.19 ¦ 0.40¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦10.09.08 ¦22.03.04¦ 0.16 ¦114.740¦114.750¦114.740¦ 6.11 ¦ 82.73¦46001 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 0.20 ¦114.700¦114.750¦114.700¦ 6.11 ¦ 270.21¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.23 ¦114.600¦114.750¦114.700¦ 6.11 ¦ 102.53¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.26 ¦114.620¦114.700¦114.679¦ 6.12 ¦ 27.74¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 0.30 ¦114.550¦114.610¦114.550¦ 6.14 ¦ 115.02¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦14.07.10 ¦22.03.04¦ 2.01 ¦114.400¦114.425¦114.423¦ 7.19 ¦ 145.23¦46003 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 2.04 ¦114.431¦114.865¦114.500¦ 7.15 ¦ 550.30¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 2.07 ¦114.400¦114.480¦114.430¦ 7.21 ¦ 39.76¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 2.10 ¦114.380¦114.450¦114.410¦ 7.18 ¦ 177.64¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 2.14 ¦114.300¦114.445¦114.400¦ 7.18 ¦ 258.66¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦08.08.12 ¦22.03.04¦ 1.00 ¦111.886¦111.998¦111.950¦ 7.43 ¦ 153.25¦46002 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 1.03 ¦112.000¦112.270¦112.270¦ 7.38 ¦ 274.05¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 1.06 ¦112.200¦112.230¦112.200¦ 7.38 ¦ 120.34¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 1.09 ¦112.050¦112.230¦112.150¦ 7.39 ¦ 216.33¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 1.12 ¦112.030¦112.150¦112.030¦ 7.40 ¦ 170.00¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦02.11.12 ¦22.03.04¦ 2.27 ¦ 90.000¦ 90.050¦ 90.050¦ 7.61 ¦ 157.02¦26198 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 2.29 ¦ 90.070¦ 90.415¦ 90.415¦ 7.57 ¦ 361.30¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 2.30 ¦ 90.548¦ 90.650¦ 90.650¦ 7.51 ¦ 22.00¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 2.32 ¦ 90.650¦ 91.500¦ 91.500¦ 7.39 ¦ 68.72¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦29.08.18 ¦22.03.04¦ 0.14 ¦108.390¦108.500¦108.500¦ 7.65 ¦ 125.15¦46014 ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦23.03.04¦ 0.17 ¦108.500¦109.000¦108.500¦ 7.62 ¦ 41.25¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦24.03.04¦ 0.20 ¦108.316¦108.450¦108.340¦ 7.67 ¦ 55.20¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦25.03.04¦ 0.23 ¦108.200¦108.350¦108.220¦ 7.66 ¦ 30.26¦ ¦
¦ +--------+-------+-------+-------+-------+------+-------+ ¦
¦ ¦26.03.04¦ 0.26 ¦108.100¦108.280¦108.100¦ 7.68 ¦ 48.30¦ ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦20.08.25 ¦26.03.04¦ 0.00 ¦ 53.971¦ 53.972¦ 53.971¦ 8.68 ¦2794.25¦46011 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦17.05.28 ¦26.03.04¦ 0.00 ¦ 56.030¦ 56.031¦ 56.030¦ 8.68 ¦2692.13¦46010 ¦
+---------+--------+-------+-------+-------+-------+------+-------+------+
¦05.09.29 ¦26.03.04¦ 0.49 ¦ 43.716¦ 43.717¦ 43.716¦ 8.68 ¦2277.30¦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 ¦ 241 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26003 ¦ 15.03.2005 ¦ 354 ¦ 10.00 ¦ 100.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2004 ¦ 246 ¦ 5.00 ¦ 50.14 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 22.11.2004 ¦ 241 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 23.11.2004 ¦ 242 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 25.11.2004 ¦ 244 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 26.11.2004 ¦ 245 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26198 ¦ 04.11.2004 ¦ 223 ¦ 6.00 ¦ 60.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27013 ¦ 02.06.2004 ¦ 68 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 16.06.2004 ¦ 82 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27017 ¦ 05.05.2004 ¦ 40 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 16.06.2004 ¦ 82 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27019 ¦ 21.07.2004 ¦ 117 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27020 ¦ 11.08.2004 ¦ 138 ¦ 13.00 ¦ 64.82 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 21.04.2004 ¦ 26 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27022 ¦ 19.05.2004 ¦ 54 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27023 ¦ 21.04.2004 ¦ 26 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27024 ¦ 21.04.2004 ¦ 26 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27025 ¦ 16.06.2004 ¦ 82 ¦ 8.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 19.05.2004 ¦ 54 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45002 ¦ 04.08.2004 ¦ 131 ¦ 12.00 ¦ 47.87 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 16.06.2004 ¦ 82 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46002 ¦ 18.08.2004 ¦ 145 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46003 ¦ 21.07.2004 ¦ 117 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46012 ¦ 06.10.2004 ¦ 194 ¦ 1.05 ¦ 10.42 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46014 ¦ 15.09.2004 ¦ 173 ¦ 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¦ 117¦ 1 ¦ ¦ ¦ 1015.609¦ 3984.391¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21171 ¦08.10.03¦21.04.04¦ 26¦ 1 ¦ 2 ¦ ¦ 1673.396¦ 3326.604¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21172 ¦18.02.04¦18.08.04¦ 145¦ 1 ¦ ¦ ¦ 3960.045¦ 39.955¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 605¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 354¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 246¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 969¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1334¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1700¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 2065¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26198 ¦09.10.02¦02.11.12¦ 3143¦ 3 ¦ ¦ ¦ 21058.702¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27013 ¦06.06.01¦02.06.04¦ 68¦ 3 ¦ 65 ¦ ¦ 15000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 264¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27017 ¦06.02.02¦04.08.04¦ 131¦ 2 ¦ 64 ¦ ¦ 12000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 537¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27019 ¦27.09.02¦18.07.07¦ 1209¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27020 ¦27.09.02¦08.08.07¦ 1230¦ ¦ ¦ ¦ 8800.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 390¦ 2 ¦ 2 ¦ ¦ 10941.601¦ 58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 691¦ 3 ¦ 10 ¦ ¦ 21295.514¦ 2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 481¦ 3 ¦ 3 ¦ ¦ 20291.893¦ 2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 754¦ 4 ¦ 5 ¦ ¦ 15000.662¦ 7999.338¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27025 ¦17.09.03¦13.06.07¦ 1174¦ 5 ¦ 28 ¦ ¦ 17210.938¦ 8789.062¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 964¦ 6 ¦ 82 ¦ ¦ 31740.000¦ 2760.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 859¦ 1 ¦ ¦ ¦ 7360.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1629¦ 12 ¦ 73 ¦ ¦ 49903.529¦ 596.471¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 3057¦ 9 ¦ 57 ¦ ¦ 40295.143¦ 6904.857¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2301¦ 5 ¦ 7 ¦ ¦ 15129.918¦ 3870.082¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46010 ¦14.02.03¦17.05.28¦ 8818¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46011 ¦14.02.03¦20.08.25¦ 7817¦ ¦ ¦ ¦ 30000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46012 ¦14.02.03¦05.09.29¦ 9294¦ ¦ ¦ ¦ 40000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5269¦ 6 ¦ 27 ¦ ¦ 26206.038¦12793.962¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦453003.447¦56535.714¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T--------¬
¦ ¦22.03.04¦23.03.04¦24.03.04¦25.03.04¦26.03.04¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 2.56 ¦ 2.92 ¦ 2.91 ¦ 2.79 ¦ 2.77 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 7.57 ¦ 7.53 ¦ 7.47 ¦ 7.35 ¦ 7.35 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 6.87 ¦ 6.84 ¦ 6.88 ¦ 6.90 ¦ 7.78 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 4.88 ¦ 4.89 ¦ 4.78 ¦ 4.77 ¦ 4.76 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 2.76 ¦ 2.78 ¦ 2.65 ¦ 2.63 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 7.57 ¦ 7.57 ¦ 7.04 ¦ 7.30 ¦ 2.80 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 7.35 ¦ 6.75 ¦ 7.21 ¦ 7.30 ¦ 8.61 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 4.55 ¦ 2.76 ¦ 5.86 ¦ 5.75 ¦ 6.01 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.00 ¦ 31.92 ¦ 0.12 ¦ 0.24 ¦ 0.09 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.75 ¦ 1.60 ¦ 0.19 ¦ 0.36 ¦ 0.04 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.30 ¦ 0.87 ¦ 0.19 ¦ 0.27 ¦ 1.93 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.04 ¦ 0.08 ¦ 0.03 ¦ 0.04 ¦ 0.03 ¦
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---------¬
¦ ¦ 22.03.04¦ 23.03.04¦ 24.03.04¦ 25.03.04¦ 26.03.04¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная стоимость,¦350199.73¦350199.73¦353003.45¦353003.45¦453003.45¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 6649.05¦ 6649.05¦ 6649.05¦ 6649.05¦ 6649.05¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦ 22379.16¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦167830.91¦167830.91¦170634.63¦170634.63¦270634.63¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦153340.61¦153340.61¦153340.61¦153340.61¦153340.61¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость, ¦383296.26¦383589.23¦387012.40¦387074.33¦437618.18¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦ ¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 6593.38¦ 6586.06¦ 6586.03¦ 6588.24¦ 6588.84¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 20817.16¦ 20872.11¦ 20947.75¦ 21102.75¦ 21104.42¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦190026.07¦190281.33¦193350.68¦193207.37¦243691.19¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦165859.65¦165849.73¦166127.94¦166175.98¦166233.73¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 1099.40¦ 1099.55¦ 1105.53¦ 1105.43¦ 1670.10¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 114.64¦ 113.60¦ 112.60¦ 111.62¦ 110.62¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 2312.42¦ 2312.77¦ 2313.46¦ 2316.42¦ 2315.60¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД ¦ 1463.59¦ 1463.67¦ 1470.28¦ 1470.17¦ 2409.49¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД ¦ 569.05¦ 568.25¦ 568.06¦ 566.99¦ 566.03¦
L----------------------+---------+---------+---------+---------+----------
------------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный по объемам в обращении.
Департамент операций
на финансовых рынках
Банка России

ПИСЬМО Минфина РФ от 26.03.2004 n 04-05-12/16 О ФИЗИЧЕСКОМ ПОКАЗАТЕЛЕ БАЗОВОЙ ДОХОДНОСТИ ДЛЯ РОЗНИЧНОЙ ТОРГОВЛИ В АРЕНДУЕМОМ ПОМЕЩЕНИИ  »
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