Бюллетень цб рф от 15.12.2002 n 46 <итоги торговли гко, офз и обр>

¦
+--------+------------------------+-------+--------+-------------+
¦ 26032 ¦ 27.11.2003 ¦ 347 ¦ 5.00 ¦ 50.00 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26175 ¦ 24.11.2003 ¦ 344 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26176 ¦ 25.11.2003 ¦ 345 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26177 ¦ 27.11.2003 ¦ 347 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 26178 ¦ 28.11.2003 ¦ 348 ¦ 2.00 ¦ 19.95 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27006 ¦ 22.01.2003 ¦ 38 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27007 ¦ 05.02.2003 ¦ 52 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27008 ¦ 19.02.2003 ¦ 66 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27009 ¦ 05.03.2003 ¦ 80 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27010 ¦ 18.12.2003 ¦ 3 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27011 ¦ 08.01.2003 ¦ 24 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27012 ¦ 21.05.2003 ¦ 157 ¦ 10.00 ¦ 0.50 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27013 ¦ 05.03.2003 ¦ 80 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27014 ¦ 18.12.2002 ¦ 3 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27015 ¦ 05.02.2003 ¦ 52 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27016 ¦ 19.02.2003 ¦ 66 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27017 ¦ 05.02.2003 ¦ 52 ¦ 12.00 ¦ 29.92 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27018 ¦ 18.12.2002 ¦ 3 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+
¦ 27021 ¦ 22.01.2003 ¦ 38 ¦ 15.00 ¦ 43.15 ¦
+--------+------------------------+-------+--------+-------------+
¦ 28001 ¦ 22.01.2003 ¦ 38 ¦ 10.00 ¦ 0.25 ¦
+--------+------------------------+-------+--------+-------------+
¦ 45001 ¦ 19.02.2003 ¦ 66 ¦ 14.00 ¦ 34.90 ¦
+--------+------------------------+-------+--------+-------------+
¦ 46001 ¦ 18.12.2002 ¦ 3 ¦ 15.00 ¦ 37.40 ¦
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 ¦ ¦ ¦ ¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21161 ¦17.07.02¦05.03.03¦ 80¦ 2 ¦ 10 ¦ ¦ 6812.778¦ 2187.222¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21162 ¦04.09.02¦02.04.03¦ 108¦ 1 ¦ 5 ¦ ¦ 3712.150¦ 287.850¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21163 ¦23.10.02¦23.04.03¦ 129¦ 1 ¦ 8 ¦ ¦ 3663.739¦ 336.261¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21164 ¦20.11.02¦07.05.03¦ 143¦ 1 ¦ 1 ¦ ¦ 1787.724¦ 3212.276¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 21165 ¦04.12.02¦23.07.03¦ 220¦ 1 ¦ ¦ ¦ 2805.287¦ 2194.731¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25029 ¦27.11.98¦27.11.03¦ 347¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 25053 ¦26.12.00¦21.11.05¦ 1072¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26001 ¦15.03.97¦15.03.03¦ 90¦ 1 ¦ ¦ ¦ 148.091¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26002 ¦15.03.97¦15.03.04¦ 456¦ 1 ¦ ¦ ¦ 265.174¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26003 ¦15.03.97¦15.03.05¦ 821¦ 1 ¦ ¦ ¦ 1131.559¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26032 ¦27.11.98¦27.11.04¦ 713¦ ¦ ¦ ¦ 163.722¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26175 ¦26.12.00¦20.11.06¦ 1436¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26176 ¦26.12.00¦20.11.07¦ 1801¦ ¦ ¦ ¦ 5.036¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26177 ¦26.12.00¦20.11.08¦ 2167¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 26178 ¦26.12.00¦20.11.09¦ 2532¦ ¦ ¦ ¦ 5.035¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27006 ¦19.08.98¦22.01.03¦ 38¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27007 ¦19.08.98¦05.02.03¦ 52¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27008 ¦19.08.98¦21.05.03¦ 157¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27009 ¦19.08.98¦04.06.03¦ 171¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27010 ¦19.08.98¦17.09.03¦ 276¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27011 ¦19.08.98¦08.10.03¦ 297¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27012 ¦14.11.99¦19.11.03¦ 339¦ ¦ ¦ ¦ 9115.111¦ 8491.289¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27013 ¦06.06.01¦02.06.04¦ 535¦ 3 ¦ 65 ¦ ¦ 15000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27014 ¦11.07.01¦15.12.04¦ 731¦ 2 ¦ 78 ¦ ¦ 10000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27015 ¦08.08.01¦04.02.04¦ 416¦ 3 ¦ 58 ¦ ¦ 15455.936¦ 544.064¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27016 ¦21.11.01¦20.08.03¦ 248¦ 1 ¦ 1 ¦ ¦ 5672.494¦ 6327.506¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27017 ¦06.02.02¦04.08.04¦ 598¦ 2 ¦ 64 ¦ ¦ 12000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27018 ¦20.03.02¦14.09.05¦ 1004¦ 2 ¦ 45 ¦ ¦ 14000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 27021 ¦09.10.02¦20.04.05¦ 857¦ 1 ¦ 1 ¦ ¦ 6000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 28001 ¦19.08.98¦21.01.04¦ 402¦ ¦ ¦ ¦ 9542.319¦ 446.431¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 45001 ¦22.05.02¦15.11.06¦ 1431¦ 5 ¦ 72 ¦ ¦ 28950.000¦ 3050.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦ 46001 ¦18.09.02¦10.09.08¦ 2096¦ 1 ¦ 23 ¦ ¦ 7000.000¦ 0.000¦
+--------+--------+--------+-----+-------+------+--------+----------+---------+
¦Итого: ¦ ¦210668.900¦29756.200¦
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T---------T---------T--------T--------¬
¦ ¦ 09.12.02¦ 10.12.02¦11.12.02¦15.12.02¦
+--------------------------+---------+---------+--------+--------+
¦1. Индикаторы (% годовых):¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦а) рыночного портфеля <*> ¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦ ГКО ¦ 12.73 ¦ 12.78 ¦ 12.60 ¦ 12.71 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ПД ¦ 11.83 ¦ 11.84 ¦ 11.81 ¦ 11.85 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-АД ¦ 13.90 ¦ 13.89 ¦ 13.91 ¦ 13.91 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ФД ¦ 13.37 ¦ 13.36 ¦ 13.30 ¦ 13.39 ¦
+--------------------------+---------+---------+--------+--------+
¦б) оборота рынка <**> ¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦ ГКО ¦ 12.87 ¦ 12.88 ¦ 12.77 ¦ 12.85 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ПД ¦ 13.91 ¦ 13.63 ¦ 13.55 ¦ 13.87 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-АД ¦ 13.92 ¦ 13.90 ¦ 13.91 ¦ 13.92 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ФД ¦ 13.18 ¦ 13.23 ¦ 13.20 ¦ 13.25 ¦
+--------------------------+---------+---------+--------+--------+
¦2. Коэффициенты ¦ ¦ ¦ ¦ ¦
¦ оборачиваемости ¦ ¦ ¦ ¦ ¦
+--------------------------+---------+---------+--------+--------+
¦ ГКО ¦ 0.52 ¦ 0.83 ¦ 1.04 ¦ 0.02 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ПД ¦ 0.01 ¦ 0.11 ¦ 1.07 ¦ 0.01 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-АД ¦ 0.49 ¦ 1.66 ¦ 0.05 ¦ 0.14 ¦
+--------------------------+---------+---------+--------+--------+
¦ ОФЗ-ФД ¦ 0.16 ¦ 0.40 ¦ 0.69 ¦ 0.18 ¦
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---------¬
¦ ¦ 09.12.02 ¦ 10.12.02 ¦ 11.12.02¦ 15.12.02¦
+----------------------+----------+----------+---------+---------+
¦Номинальная стоимость,¦ 210648.12¦ 210648.12¦210648.12¦210668.90¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦
+----------------------+----------+----------+---------+---------+
¦ ГКО ¦ 18781.68¦ 18781.68¦ 18781.68¦ 18781.68¦
+----------------------+----------+----------+---------+---------+
¦ ОФЗ-ПД ¦ 1897.45¦ 1897.45¦ 1897.45¦ 1897.45¦
+----------------------+----------+----------+---------+---------+
¦ ОФЗ-АД ¦ 35929.22¦ 35929.22¦ 35929.22¦ 35950.00¦
+----------------------+----------+----------+---------+---------+
¦ ОФЗ-ФД ¦ 154039.78¦ 154039.78¦154039.78¦154039.78¦
+----------------------+----------+----------+---------+---------+
¦Рыночная стоимость, ¦ 209263.98¦ 209354.06¦209497.16¦209695.54¦
¦млн. руб. ¦ ¦ ¦ ¦ ¦
+----------------------+----------+----------+---------+---------+
¦ ГКО ¦ 17977.72¦ 17985.81¦ 18000.89¦ 18015.92¦
+----------------------+----------+----------+---------+---------+
¦ ОФЗ-ПД ¦ 1895.41¦ 1895.98¦ 1896.72¦ 1898.49¦
+----------------------+----------+----------+---------+---------+
¦ ОФЗ-АД ¦ 35030.85¦ 35049.22¦ 35047.92¦ 35123.76¦
+----------------------+----------+----------+---------+---------+
¦ ОФЗ-ФД ¦ 154360.00¦ 154423.05¦154551.62¦154657.36¦
+----------------------+----------+----------+---------+---------+
¦Дюрация <*>, дней ¦ 477.66¦ 476.66¦ 475.57¦ 471.71¦
+----------------------+----------+----------+---------+---------+
¦ ГКО ¦ 127.28¦ 126.28¦ 125.28¦ 121.25¦
+----------------------+----------+----------+---------+---------+

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