Analytical indices characterizing GKO - OFZ - OBR market

Data found from 01.09.1999 to 30.12.2011.

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.

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

Analytical indices characterizing GKO — OFZ — OBR market