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.