Analytical indices characterizing GKO - OFZ - OBR market

With regard to the Regulation of the Bank of Russia of October 12, 2011 No. 2716-U "On corrections to the Regulation of the Bank of Russia of March 25, 2003 No. 219-P "On circulation and service of issues of federal state securities" stock exchange information and analytical indices on the Government Securities Market are not published on the website of the Bank of Russia from January 1, 2012.

Data found from 01/09/1999 to 30/12/2011.


Date Market segment Portfolio nominal value, mln. rub. Portfolio market value, mln. rub. Turnover nominal value, mln. rub. Turnover market value, mln. rub. Market portfolio index Market turnover index Portfolio duration Turnover duration Turnover ration, nominal value Turnover ration, market value
23/12/2011 GKO-OFZ 2,803,285.346 2,778,014.129 1,749.29 1,735.987 8.2 8.24 1,386.27 1,258.64 0.06 0.06
23/12/2011 OFZ - AD 955,484.207 901,339.633 150.413 134.401 8.35 8.7 2,419.3 2,808.46 0.02 0.01
23/12/2011 OFZ-AD-PK 24,099.483 22,408.663 0 0 8.84 0 1,527.44 0 0 0
23/12/2011 OFZ - PD 1,823,701.656 1,854,265.833 1,598.877 1,601.587 7.85 8.08 882.42 1,128.58 0.09 0.09
26/12/2011 GKO-OFZ 2,803,285.346 2,777,821.396 1,385.484 1,432.866 8.22 7.76 1,382.62 694.92 0.05 0.05
26/12/2011 OFZ - AD 955,484.207 901,340.047 140.695 132.841 8.36 8.46 2,416.03 2,227.23 0.01 0.01
26/12/2011 OFZ-AD-PK 24,099.483 20,204.284 0.001 0.001 11.31 11.31 1,500.91 1,500.91 0 0
26/12/2011 OFZ - PD 1,823,701.656 1,856,277.066 1,244.788 1,300.024 7.82 7.34 879.55 538.34 0.07 0.07
27/12/2011 GKO-OFZ 2,803,285.346 2,787,405.508 2,121.938 2,170.045 8.1 7.81 1,393.27 881.58 0.08 0.08
27/12/2011 OFZ - AD 955,484.207 910,442.32 180 170.238 8.19 8.2 2,440.28 2,560.46 0.02 0.02
27/12/2011 OFZ-AD-PK 24,099.483 20,208.621 0 0 11.31 0 1,499.91 0 0 0
27/12/2011 OFZ - PD 1,823,701.656 1,856,754.567 1,941.938 1,999.807 7.82 7.64 878.72 738.66 0.11 0.11
28/12/2011 GKO-OFZ 2,803,285.346 2,780,445.265 1,055.582 1,065.819 8.19 8.15 1,382.32 1,186.57 0.04 0.04
28/12/2011 OFZ - AD 955,484.207 903,415.386 113.652 101.051 8.33 8.68 2,415.22 3,051.8 0.01 0.01
28/12/2011 OFZ-AD-PK 24,099.483 20,212.959 0 0 11.31 0 1,498.91 0 0 0
28/12/2011 OFZ - PD 1,823,701.656 1,856,816.92 941.93 964.768 7.8 7.86 878.51 991.2 0.05 0.05
29/12/2011 GKO-OFZ 2,803,285.346 2,783,819.764 1,144.023 1,143.613 8.16 8.15 1,383.7 1,200.08 0.04 0.04
29/12/2011 OFZ - AD 955,484.207 906,655.071 94.001 84.481 8.28 8.54 2,417.9 3,132.05 0.01 0.01
29/12/2011 OFZ-AD-PK 24,099.483 20,217.056 0 0 11.3 0 1,498.02 0 0 0
29/12/2011 OFZ - PD 1,823,701.656 1,856,947.638 1,050.022 1,059.132 7.81 7.99 877.51 1,045.97 0.06 0.06
30/12/2011 GKO-OFZ 2,803,285.346 2,791,908.56 2,233.755 2,245.365 8.07 8.05 1,390.35 1,232.71 0.11 0.11
30/12/2011 OFZ - AD 955,484.207 911,321.639 313.301 289.03 8.19 8.26 2,432.98 2,880 0.05 0.05
30/12/2011 OFZ-AD-PK 24,099.483 21,562.94 0.003 0.003 9.6 9.6 1,513.2 1,513.2 0 0
30/12/2011 OFZ - PD 1,823,701.656 1,859,023.981 1,920.451 1,956.333 7.76 7.91 877.81 989.33 0.15 0.15

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