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05.09.2012 11:02

Final settlement prices determined for futures on Russian Federation government bonds basket

On September 5, 2012 futures contracts on a federal loan bonds basket (contracts' codes OFZ2-09.12, OFZ4-09.12 and OFZ6-09.12) will be settled. 

For bond issues currently in the basket the following optimal delivery prices and the minimum and maximum values of the admissible delivery price have been determined:


OFZ2-09.12

Bond issue Optimal delivery price Admissible delivery price range
OFZ 25076 100.4295 98.9095 – 101.9495
OFZ 25068 109.2359 107.7159 – 110.7559
OFZ 25079 100.0977 98.5777 – 101.6177
OFZ 25075 99.7760 98.2560 – 101.2960


OFZ4-09.12

Bond issue Optimal delivery price Admissible delivery price range
OFZ 25077 100.5718 97.9718 – 103.1718
OFZ 26203 98.6204 96.0204 – 101.2204
OFZ 25080 99.7933 97.1933 – 102.3933
OFZ 26206 99.6791 97.0791 – 102.2791


OFZ6-09.12

Bond issue Optimal delivery price Admissible delivery price range
OFZ 26204 100.6563 96.9163 – 104.3963
OFZ 26208 99.8777 96.1377 – 103.6177

The optimal delivery prices and the minimum and maximum values of the admissible delivery price are calculated in accordance with the Appendix 4 to the contracts' specifications based on futures final settlement prices, values of the conversion rates and initial margin size.

For further information, please contact the Public Relations Department at (495) 363-3232.