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04.06.2012 19:40

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

On June 5, 2012 futures contracts on Russian Federation government bonds basket with the following codes OFZ2-06.12, OFZ4-06.12,  OFZ6-06.12 will be settled.

For issues included in the underlying bonds baskets the optimal delivery price and feasible delivery price bands (maximum and minimum feasible delivery price) were determined as listed below:

OFZ2-06.12

Issue Optimal delivery price Feasible delivery price band
OFZ 25076 99.1018 97.6018 – 100.6018
OFZ 25068 108.7328 107.2328 – 110.2328
OFZ 26202 108.3938 106.8938 – 109.8938
OFZ 25079 98.4837 96.9837 – 99.9837


OFZ4-06.12

Issue Optimal delivery price Feasible delivery price band
OFZ 25075 96.8490 94.369 – 99.329
OFZ 25077 97.9501 95.4701 – 100.4301
OFZ 26203 96.2339 93.7539 – 98.7139


OFZ6-06.12

Issue Optimal delivery price Feasible delivery price band
OFZ 26206 95.9974 92.5774 – 99.4174
OFZ 26204 96.2702 92.8502 – 99.6902

The optimal delivery prices, maximum and minimum feasible delivery prices are calculated in accordance with Appendix No.4 to the contract specifications based on the futures final settlement prices, conversion factors and initial margin size.

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