Бюллетень цб рф от 22.08.2003 n 31 <итоги торговли гко, офз и обр>
¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27011 ¦ 08.10.2003 ¦ 47 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27012 ¦ 19.11.2003 ¦ 89 ¦ 10.00 ¦ 0.50 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27013 ¦ 03.09.2003 ¦ 12 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27014 ¦ 17.09.2003 ¦ 26 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27015 ¦ 05.11.2003 ¦ 75 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27017 ¦ 05.11.2003 ¦ 75 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27018 ¦ 17.09.2003 ¦ 26 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27021 ¦ 22.10.2003 ¦ 61 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27022 ¦ 19.11.2003 ¦ 89 ¦ 9.50 ¦ 23.68 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27023 ¦ 22.10.2003 ¦ 61 ¦ 9.00 ¦ 22.44 ¦
+--------+------------------------+-------+--------+-------------+ ¦
27024 ¦ 22.10.2003 ¦ 61 ¦ 8.00 ¦ 23.01 ¦
+--------+------------------------+-------+--------+-------------+ ¦
28001 ¦ 22.10.2003 ¦ 61 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+ ¦
45001 ¦ 19.11.2003 ¦ 89 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+ ¦
45002 ¦ 04.02.2004 ¦ 166 ¦ 12.00 ¦ 47.87 ¦
+--------+------------------------+-------+--------+-------------+ ¦
46001 ¦ 17.09.2003 ¦ 26 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+ ¦
46002 ¦ 18.02.2004 ¦ 180 ¦ 11.00 ¦ 54.85 ¦
+--------+------------------------+-------+--------+-------------+ ¦
46003 ¦ 21.01.2004 ¦ 152 ¦ 12.00 ¦ 59.84 ¦
+--------+------------------------+-------+--------+-------------+ ¦
46014 ¦ 17.09.2003 ¦ 26 ¦ 10.50 ¦ 56.38 ¦
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
¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21167 ¦05.03.03¦03.09.03¦ 12¦ 1 ¦ 2 ¦ ¦ 4522.588¦
1477.412¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21168 ¦02.04.03¦08.10.03¦ 47¦ 1 ¦ ¦ ¦ 5994.811¦
5.189¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21169 ¦07.05.03¦05.11.03¦ 75¦ 1 ¦ ¦ ¦ 2468.554¦
2531.446¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21170 ¦06.08.03¦21.07.04¦ 334¦ 1 ¦ ¦ ¦ 1015.609¦
3984.391¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25029 ¦27.11.98¦27.11.03¦ 97¦ ¦ ¦ ¦ 163.722¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 822¦ ¦ ¦ ¦ 5.036¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26002 ¦15.03.97¦15.03.04¦ 206¦ 1 ¦ ¦ ¦ 265.174¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 571¦ 1 ¦ ¦ ¦ 1131.559¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 463¦ ¦ ¦ ¦ 163.722¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 1186¦ ¦ ¦ ¦ 5.036¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1551¦ ¦ ¦ ¦ 5.036¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 1917¦ ¦ ¦ ¦ 5.035¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 2282¦ ¦ ¦ ¦ 5.035¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27010 ¦19.08.98¦17.09.03¦ 26¦ ¦ ¦ ¦ 9542.319¦
446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27011 ¦19.08.98¦08.10.03¦ 47¦ ¦ ¦ ¦ 9542.319¦
446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27012 ¦14.11.99¦19.11.03¦ 89¦ ¦ ¦ ¦ 9115.111¦
8491.289¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27013 ¦06.06.01¦02.06.04¦ 285¦ 3 ¦ 65 ¦ ¦ 15000.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 481¦ 2 ¦ 78 ¦ ¦ 10000.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27015 ¦08.08.01¦04.02.04¦ 166¦ 3 ¦ 62 ¦ ¦ 16000.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27017 ¦06.02.02¦04.08.04¦ 348¦ 2 ¦ 64 ¦ ¦ 12000.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 754¦ 2 ¦ 45 ¦ ¦ 14000.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 607¦ 2 ¦ 2 ¦ ¦ 10941.601¦
58.399¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27022 ¦19.02.03¦15.02.06¦ 908¦ 3 ¦ 10 ¦ ¦ 21295.514¦
2704.486¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27023 ¦23.04.03¦20.07.05¦ 698¦ 3 ¦ 3 ¦ ¦ 20291.893¦
2708.107¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27024 ¦09.07.03¦19.04.06¦ 971¦ 3 ¦ 1 ¦ ¦ 11090.925¦
6909.075¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 28001 ¦19.08.98¦21.01.04¦ 152¦ ¦ ¦ ¦ 9542.319¦
446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 1181¦ 5 ¦ 81 ¦ ¦ 30354.634¦
1645.366¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45002 ¦14.02.03¦02.08.06¦ 1076¦ 1 ¦ ¦ ¦ 7360.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 1846¦ 3 ¦ 45 ¦ ¦ 27830.000¦
3170.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46002 ¦05.02.03¦08.08.12¦ 3274¦ 2 ¦ 26 ¦ ¦ 22619.652¦
4580.348¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46003 ¦14.02.03¦14.07.10¦ 2518¦ 1 ¦ ¦ ¦ 8000.000¦
0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46014 ¦05.03.03¦29.08.18¦ 5486¦ 3 ¦ 4 ¦ ¦ 20094.552¦
6905.448¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦
¦300371.757¦46510.250¦
L--------+-----------------------------------------------+----------+---------- Часть
4 НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ,
ХАРАКТЕРИЗУЮЩИЕ РЫНОК ГКО - ОФЗ -
ОБР ---------------------------T--------T--------T--------T--------T--------¬
¦
¦18.08.03¦19.08.03¦20.08.03¦21.08.03¦22.08.03¦
+--------------------------+--------+--------+--------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦
¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦
¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 4.64 ¦ 4.91 ¦ 4.92 ¦ 4.93 ¦ 4.96
¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 6.78 ¦ 6.78 ¦ 6.78 ¦ 6.78 ¦
6.78 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.25 ¦ 8.27 ¦ 8.28 ¦ 8.27 ¦
8.26 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 7.54 ¦ 7.53 ¦ 7.44 ¦ 7.35 ¦
7.34 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦
¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 3.20 ¦ 3.17 ¦ 3.16 ¦ 3.11 ¦ 3.35
¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 8.39 ¦ 8.21 ¦ 8.23 ¦ 8.21 ¦
8.16 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 7.75 ¦ 6.87 ¦ 8.06 ¦ 6.65 ¦
7.28 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦
¦ ¦ ¦ оборачиваемости ¦ ¦
¦ ¦ ¦ ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ГКО ¦ 0.02 ¦ 0.14 ¦ 0.44 ¦ 0.06 ¦ 0.04
¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ПД ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦ 0.00 ¦
0.00 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-АД ¦ 0.01 ¦ 0.03 ¦ 0.40 ¦ 0.22 ¦
0.19 ¦
+--------------------------+--------+--------+--------+--------+--------+
¦ ОФЗ-ФД ¦ 0.03 ¦ 0.07 ¦ 0.31 ¦ 0.16 ¦
0.06 ¦
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---------¬
¦ ¦ 18.08.03¦ 19.08.03¦ 20.08.03¦ 21.08.03¦
22.08.03¦
+----------------------+---------+---------+---------+---------+---------+
¦Номинальная
стоимость,¦300303.21¦300303.21¦300341.37¦300341.37¦300371.76¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦
¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 14001.56¦ 14001.56¦ 14001.56¦ 14001.56¦
14001.56¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 1749.36¦ 1749.36¦ 1749.36¦ 1749.36¦
1749.36¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД
¦116258.84¦116258.84¦116258.84¦116258.84¦116258.84¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД
¦168293.46¦168293.46¦168331.61¦168331.61¦168362.00¦
+----------------------+---------+---------+---------+---------+---------+
¦Рыночная стоимость,
¦321994.61¦321967.20¦318907.15¦319198.54¦319339.08¦ ¦млн.
руб. ¦ ¦ ¦ ¦ ¦
¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 13882.34¦ 13882.79¦ 13883.21¦ 13883.68¦
13883.70¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 1840.60¦ 1841.02¦ 1841.46¦ 1841.88¦
1842.30¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-АД
¦130205.05¦130109.72¦127433.11¦127526.58¦127569.29¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ФД
¦176066.63¦176133.66¦175749.38¦175946.41¦176043.78¦
+----------------------+---------+---------+---------+---------+---------+
¦Дюрация <*>, дней ¦ 822.51¦ 822.10¦ 844.88¦
844.05¦ 843.49¦
+----------------------+---------+---------+---------+---------+---------+
¦ ГКО ¦ 64.38¦ 63.38¦ 62.38¦ 61.38¦
60.38¦
+----------------------+---------+---------+---------+---------+---------+
¦ ОФЗ-ПД ¦ 392.28¦ 391.47¦ 390.67¦ 389.86¦
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