Baskets of underlying bonds issues and conversion ratios
Futures contract Russian Federation government bonds
settlement date: DECEMBER 2021
| O2Z1 | |||
| Short contract code (expiry date): OFZ2-06.12.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26220 | 7-Dec-22 | 7,40% | 1,0068 |
| OFZ 26211 | 25-Jan-23 | 7,00% | 1,0032 |
| OFZ 26215 | 16-Aug-23 | 7,00% | 1,0048 |
| OFZ 25084 | 4-Oct-23 | 5,30% | 0,9764 |
| OFZ 26223 | 28-Feb-24 | 6,50% | 0,996 |
| OFZ 26227 | 17-Jul-24 | 7,40% | 1,0167 |
| OFZ 26222 | 16-Oct-24 | 7,10% | 1,0105 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.8% | |||
| O4Z1 | |||
| Short contract code (expiry date): OFZ4-06.12.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26234 | 16-Jul-25 | 4,50% | 0,9367 |
| OFZ 26229 | 12-Nov-25 | 7,15% | 1,0224 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.6% | |||
| O6Z1 | |||
| Short contract code (expiry date): OFZ6-06.12.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-26 | 7,75% | 1,0347 |
| OFZ 26226 | 7-Oct-26 | 7,95% | 1,0432 |
| OFZ 26207 | 3-Feb-27 | 8,15% | 1,0542 |
| OFZ 26232 | 6-Oct-27 | 6,00% | 0,9581 |
| OFZ 26212 | 19-Jan-28 | 7,05% | 1,0082 |
| OFZ 26236 | 17-May-28 | 5,70% | 0,9393 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.0% | |||
| OXZ1 | |||
| Short contract code (expiry date): OF10-06.12.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26237 | 14-Mar-29 | 6,70% | 0,9842 |
| OFZ 26224 | 23-May-29 | 6,90% | 0,9955 |
| OFZ 26228 | 10-Apr-30 | 7,65% | 1,0419 |
| OFZ 26235 | 12-Mar-31 | 5,90% | 0,9272 |
| OFZ 26239 | 23-Jul-31 | 6,90% | 0,9942 |
| OFZ 26218 | 17-Sep-31 | 8,50% | 1,1065 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.1% | |||
| OVZ1 | |||
| Short contract code (expiry date): OF15-06.12.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26221 | 23-Mar-33 | 7,70% | 0,9412 |
| OFZ 26225 | 10-May-34 | 7,25% | 0,9039 |
| OFZ 26233 | 18-Jul-35 | 6,10% | 0,8071 |
| OFZ 26240 | 30-Jul-36 | 7,00% | 0,8739 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.7 | |||
Futures contract Russian Federation government bonds
settlement date: SEPTEMBER 2021
| O2U1 | |||
| Short contract code (expiry date): OFZ2-06.09.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26220 | 7-Dec-22 | 7,40% | 1,0082 |
| OFZ 26211 | 25-Jan-23 | 7,00% | 1,004 |
| OFZ 26215 | 16-Aug-23 | 7,00% | 1,0055 |
| OFZ 25084 | 4-Oct-23 | 5,30% | 0,9735 |
| OFZ 26223 | 28-Feb-24 | 6,50% | 0,9958 |
| OFZ 26227 | 17-Jul-24 | 7,40% | 1,0181 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.8% | |||
| O4U1 | |||
| Short contract code (expiry date): OFZ4-06.09.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26222 | 16-Oct-24 | 7,10% | 1,0113 |
| OFZ 26234 | 16-Jul-25 | 4,50% | 0,9266 |
| OFZ 26229 | 12-Nov-25 | 7,15% | 1,0165 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.8% | |||
| O6U1 | |||
| Short contract code (expiry date): OFZ6-06.09.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-26 | 7,75% | 1,0531 |
| OFZ 26226 | 7-Oct-26 | 7,95% | 1,0621 |
| OFZ 26207 | 3-Feb-27 | 8,15% | 1,0745 |
| OFZ 26232 | 6-Oct-27 | 6,00% | 0,9754 |
| OFZ 26212 | 19-Jan-28 | 7,05% | 1,0285 |
| OFZ 26236 | 17-May-28 | 5,70% | 0,9573 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.6% | |||
| OXU1 | |||
| Short contract code (expiry date): OF10-06.09.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26224 | 23-May-29 | 6,90% | 0,9512 |
| OFZ 26228 | 10-Apr-30 | 7,65% | 0,9937 |
| OFZ 26235 | 12-Mar-31 | 5,90% | 0,8771 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.9% | |||
| OVU1 | |||
| Short contract code (expiry date): OF15-06.09.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-31 | 8,50% | 1,0795 |
| OFZ 26221 | 23-Mar-33 | 7,70% | 1,0257 |
| OFZ 26225 | 10-May-34 | 7,25% | 0,9905 |
| OFZ 26233 | 18-Jul-35 | 6,10% | 0,8912 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.5% | |||
Futures contract Russian Federation government bonds
settlement date: MARCH 2021
| O2H1 | |||
| Short contract code (expiry date): OFZ2-05.03.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26209 | 20-Jul-22 | 7,60% | 1,0321 |
| OFZ 26220 | 7-Dec-22 | 7,40% | 1,0374 |
| OFZ 26211 | 25-Jan-23 | 7,00% | 1,033 |
| OFZ 26215 | 16-Aug-23 | 7,00% | 1,0423 |
| OFZ 25084 | 4-Oct-23 | 5,30% | 1,0039 |
| OFZ 26223 | 28-Feb-24 | 6,50% | 1,0373 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.2% | |||
| O4H1 | |||
| Short contract code (expiry date): OFZ4-05.03.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26227 | 17-Jul-24 | 7,40% | 1,0537 |
| OFZ 26222 | 16-Oct-24 | 7,10% | 1,0477 |
| OFZ 26229 | 12-Nov-25 | 7,15% | 1,0621 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.7% | |||
| O6H1 | |||
| Short contract code (expiry date): OFZ6-05.03.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-26 | 7,75% | 1,0667 |
| OFZ 26226 | 7-Oct-26 | 7,95% | 1,0766 |
| OFZ 26207 | 3-Feb-27 | 8,15% | 1,09 |
| OFZ 26232 | 6-Oct-27 | 6,00% | 0,9839 |
| OFZ 26212 | 19-Jan-28 | 7,05% | 1,0412 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.4% | |||
| OXH1 | |||
| Short contract code (expiry date): OF10-05.03.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26224 | 23-May-29 | 6,90% | 0,9545 |
| OFZ 26228 | 10-Apr-30 | 7,65% | 0,9997 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.8% | |||
| OVH1 | |||
| Short contract code (expiry date): OF15-05.03.2021 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26235 | 12-Mar-31 | 5,90% | 0,9636 |
| OFZ 26218 | 17-Sep-31 | 8,50% | 1,1593 |
| OFZ 26221 | 23-Mar-33 | 7,70% | 1,1082 |
| OFZ 26225 | 10-May-34 | 7,25% | 1,075 |
| OFZ 26233 | 18-Jul-35 | 6,10% | 0,9722 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.5% | |||
Futures contract Russian Federation government bonds
settlement date: December 2020
| O2Z0 | |||
| Short contract code (expiry date): OFZ2-07.12.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25083 | 15-Dec-21 | 7,00 | 1,0212 |
| OFZ 26209 | 20-Jul-22 | 7,60 | 1,0423 |
| OFZ 26220 | 07-Dec-22 | 7,40 | 1,0482 |
| OFZ 26211 | 25-Jan-23 | 7,00 | 1,0431 |
| OFZ 26215 | 16-Aug-23 | 7,00 | 1,0537 |
| OFZ 25084 | 04-Oct-23 | 5,30 | 1,0119 |
| For the purpose of calculating the conversion ratio, the bond yield - 4.9% | |||
| O4Z0 | |||
| Short contract code (expiry date): OFZ4-07.12.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26223 | 28-Feb-24 | 6,50 | 1,0169 |
| OFZ 26227 | 17-Jul-24 | 7,40 | 1,0476 |
| OFZ 26222 | 16-Oct-24 | 7,10 | 1,0403 |
| OFZ 26229 | 12-Nov-25 | 7,15 | 1,0522 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.0% | |||
| O6Z0 | |||
| Short contract code (expiry date): OFZ6-07.12.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-26 | 7,75 | 1,0453 |
| OFZ 26226 | 07-Oct-26 | 7,95 | 1,0552 |
| OFZ 26207 | 03-Feb-27 | 8,15 | 1,0677 |
| OFZ 26232 | 06-Oct-27 | 6,00 | 0,9576 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.9% | |||
| OXZ0 | |||
| Short contract code (expiry date): OF10-07.12.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26212 | 19-Jan-28 | 7,05 | 0,9932 |
| OFZ 26224 | 23-May-29 | 6,90 | 0,983 |
| OFZ 26228 | 10-Apr-30 | 7,65 | 1,0321 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.3% | |||
| OVZ0 | |||
| Short contract code (expiry date): OF15-07.12.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-31 | 8,50 | 1,2215 |
| OFZ 26221 | 23-Mar-33 | 7,70 | 1,1732 |
| OFZ 26225 | 10-May-34 | 7,25 | 1,1422 |
| OFZ 26233 | 18-Jul-35 | 6,10 | 1,0374 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.8% | |||
Futures contract Russian Federation government bonds
settlement date: September 2020
| O2U0 | |||
| Short contract code (expiry date): OFZ2-07.09.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25083 | 15-Dec-21 | 7 | 1.0189 |
| OFZ 26209 | 20-Jul-22 | 7.6 | 1.0379 |
| OFZ 26220 | 7-Dec-22 | 7.4 | 1.0411 |
| OFZ 26211 | 25-Jan-23 | 7 | 1.0346 |
| OFZ 26215 | 16-Aug-23 | 7 | 1.0422 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.5% | |||
| O4U0 | |||
| Short contract code (expiry date): OFZ4-07.09.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 25084 | 4-Oct-23 | 5.3 | 0.9776 |
| OFZ 26223 | 28-Feb-24 | 6.5 | 1.0121 |
| OFZ 26227 | 17-Jul-24 | 7.4 | 1.0438 |
| OFZ 26222 | 16-Oct-24 | 7.1 | 1.0355 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.2% | |||
| O6U0 | |||
| Short contract code (expiry date): OFZ6-07.09.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26229 | 12-Nov-25 | 7.15 | 1.0369 |
| OFZ 26219 | 16-Sep-26 | 7.75 | 1.0717 |
| OFZ 26226 | 7-Oct-26 | 7.95 | 1.0822 |
| OFZ 26207 | 3-Feb-27 | 8.15 | 1.0962 |
| OFZ 26232 | 6-Oct-27 | 6 | 0.9830 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.4% | |||
| OXU0 | |||
| Short contract code (expiry date): OF10-07.09.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26212 | 19-Jan-28 | 7.05 | 0.9985 |
| OFZ 26224 | 23-May-29 | 6.9 | 0.9886 |
| OFZ 26228 | 10-Apr-30 | 7.65 | 1.0395 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.2% | |||
| OVU0 | |||
| Short contract code (expiry date): OF15-07.09.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-31 | 8.5 | 1.1814 |
| OFZ 26221 | 23-Mar-33 | 7.7 | 1.1291 |
| OFZ 26225 | 10-May-34 | 7.25 | 1.0954 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.3% | |||
Futures contract Russian Federation government bonds
settlement date: June 2020
| O2M0 | |||
| Short contract code (expiry date): OFZ2-05.06.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26217 | 18-Aug-21 | 7.5 | 1.0213 |
| OFZ 25083 | 15-Dec-21 | 7 | 1.0198 |
| OFZ 26209 | 20-Jul-22 | 7.6 | 1.0389 |
| OFZ 26220 | 7-Dec-22 | 7.4 | 1.0409 |
| OFZ 26211 | 25-Jan-23 | 7 | 1.0332 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.7% | |||
| O4M0 | |||
| Short contract code (expiry date): OFZ4-05.06.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26215 | 16-Aug-23 | 7 | 1.0425 |
| OFZ 26223 | 28-Feb-24 | 6.5 | 1.0324 |
| OFZ 26227 | 17-Jul-24 | 7.4 | 1.0681 |
| OFZ 26222 | 16-Oct-24 | 7.1 | 1.0602 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.6% | |||
| O6M0 | |||
| Short contract code (expiry date): OFZ6-05.06.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26229 | 12-Nov-25 | 7.15 | 1.0660 |
| OFZ 26219 | 16-Sep-26 | 7.75 | 1.1058 |
| OFZ 26226 | 7-Oct-26 | 7.95 | 1.1171 |
| OFZ 26207 | 3-Feb-27 | 8.15 | 1.1330 |
| For the purpose of calculating the conversion ratio, the bond yield - 5.8% | |||
| OXM0 | |||
| Short contract code (expiry date): OF10-05.06.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26232 | 6-Oct-27 | 6 | 0.9714 |
| OFZ 26212 | 19-Jan-28 | 7.05 | 1.0329 |
| OFZ 26224 | 23-May-29 | 6.9 | 1.0272 |
| OFZ 26228 | 10-Apr-30 | 7.65 | 1.0830 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.6% | |||
| OVM0 | |||
| Short contract code (expiry date): OF15-05.06.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-31 | 8.5 | 1.1585 |
| OFZ 26221 | 23-Mar-33 | 7.7 | 1.1036 |
| OFZ 26225 | 10-May-34 | 7.25 | 1.0686 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.6% | |||
Futures contract Russian Federation government bonds
settlement date: March 2020
| O2H0 | |||
| Short contract code (expiry date): OFZ2-05.03.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-21 | 7.6 | 1.0167 |
| OFZ 26217 | 18-Aug-21 | 7.5 | 1.0204 |
| OFZ 25083 | 15-Dec-21 | 7 | 1.0163 |
| OFZ 26209 | 20-Jul-22 | 7.6 | 1.0346 |
| OFZ 26220 | 7-Dec-22 | 7.4 | 1.0347 |
| OFZ 26211 | 25-Jan-23 | 7 | 1.0258 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.1% | |||
| O4H0 | |||
| Short contract code (expiry date): OFZ4-05.03.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26215 | 16-Aug-23 | 7 | 1.0334 |
| OFZ 26223 | 28-Feb-24 | 6.5 | 1.0206 |
| OFZ 26227 | 17-Jul-24 | 7.4 | 1.0564 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.0% | |||
| O6H0 | |||
| Short contract code (expiry date): OFZ6-05.03.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26222 | 16-Oct-24 | 7.1 | 1.0315 |
| OFZ 26229 | 12-Nov-25 | 7.15 | 1.0400 |
| OFZ 26219 | 16-Sep-26 | 7.75 | 1.0766 |
| OFZ 26226 | 7-Oct-26 | 7.95 | 1.0878 |
| OFZ 26207 | 3-Feb-27 | 8.15 | 1.1024 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.4% | |||
| OXH0 | |||
| Short contract code (expiry date): OF10-05.03.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26212 | 19-Jan-28 | 7.05 | 1.0100 |
| OFZ 26224 | 23-May-29 | 6.9 | 1.0011 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.0% | |||
| OVH0 | |||
| Short contract code (expiry date): OF15-05.03.2020 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26228 | 10-Apr-30 | 7.65 | 1.0552 |
| OFZ 26218 | 17-Sep-31 | 8.5 | 1.1274 |
| OFZ 26221 | 23-Mar-33 | 7.7 | 1.0697 |
| OFZ 26225 | 10-May-34 | 7.25 | 1.0329 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.0% | |||
Futures contract Russian Federation government bonds
settlement date: December 2019
| O2Z9 | |||||
| Short contract code (expiry date): OFZ2-05.12.2019 | |||||
| Bond | Maturity date | Coupon rate | Conversion ratio | ||
|---|---|---|---|---|---|
| OFZ 26205 | 14-Apr-21 | 7.6 | 1.0115 | ||
| OFZ 26217 | 18-Aug-21 | 7.5 | 1.0127 | ||
| OFZ 25083 | 15-Dec-21 | 7 | 1.0058 | ||
| OFZ 26209 | 20-Jul-22 | 7.6 | 1.0215 | ||
| For the purpose of calculating the conversion ratio, the bond yield - 6.8% | |||||
| O4Z9 | |||||
| Short contract code (expiry date): OFZ4-05.12.2019 | |||||
| Bond | Maturity date | Coupon rate | Conversion ratio | ||
| OFZ 26220 | 7-Dec-22 | 7.4 | 1.0139 | ||
| OFZ 26211 | 25-Jan-23 | 7 | 1.0032 | ||
| OFZ 26215 | 16-Aug-23 | 7 | 1.0037 | ||
| OFZ 26223 | 28-Feb-24 | 6.5 | 0.9861 | ||
| For the purpose of calculating the conversion ratio, the bond yield - 7.0% | |||||
| O6Z9 | |||||
| Short contract code (expiry date): OFZ6-05.12.2019 | |||||
| Bond | Maturity date | Coupon rate | Conversion ratio | ||
| OFZ 26227 | 17-Jul-24 | 7.4 | 1.0013 | ||
| OFZ 26222 | 16-Oct-24 | 7.1 | 0.9892 | ||
| OFZ 26229 | 12-Nov-25 | 7.15 | 0.9898 | ||
| OFZ 26219 | 16-Sep-26 | 7.75 | 1.0202 | ||
| OFZ 26226 | 7-Oct-26 | 7.95 | 1.0309 | ||
| For the purpose of calculating the conversion ratio, the bond yield - 7.5% | |||||
| OXZ9 | |||||
| Short contract code (expiry date): OF10-05.12.2019 | |||||
| Bond | Maturity date | Coupon rate | Conversion ratio | ||
| OFZ 26207 | 3-Feb-27 | 8.15 | 1.0485 | ||
| OFZ 26212 | 19-Jan-28 | 7.05 | 0.9867 | ||
| OFZ 26224 | 23-May-29 | 6.9 | 0.9751 | ||
| For the purpose of calculating the conversion ratio, the bond yield - 7.4% | |||||
| OVZ9 | |||||
| Short contract code (expiry date): OF15-05.12.2019 | |||||
| Bond | Maturity date | Coupon rate | Conversion ratio | ||
| OFZ 26228 | 10-Apr-30 | 7.65 | 1.0274 | ||
| OFZ 26218 | 17-Sep-31 | 8.5 | 1.0963 | ||
| OFZ 26221 | 23-Mar-33 | 7.7 | 1.0363 | ||
| OFZ 26225 | 10-May-34 | 7.25 | 0.9984 | ||
| For the purpose of calculating the conversion ratio, the bond yield - 7.4% | |||||
Futures contract Russian Federation government bonds
settlement date: September 2019
| O2U9 | |||
| Short contract code (expiry date): OFZ2-05.09.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9948 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9921 |
| OFZ 25083 | 15-Dec-2021 | 7 | 0,9806 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9912 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.1% | |||
| O4U9 | |||
| Short contract code (expiry date): OFZ4-05.09.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 0,9872 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9751 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9717 |
| OFZ 26223 | 28-Feb-2024 | 6,5 | 0,9499 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.0% | |||
| O6U9 | |||
| Short contract code (expiry date): OFZ6-05.09.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26227 | 17-Jul-2024 | 7,4 | 0,9671 |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 0,9534 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 0,9747 |
| OFZ 26226 | 07-Oct-2026 | 7,95 | 0,9850 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.4% | |||
| OXU9 | |||
| Short contract code (expiry date): OF10-05.09.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9851 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9186 |
| OFZ 26224 | 23-May-2029 | 6,9 | 0,9002 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.6% | |||
| OVU9 | |||
| Short contract code (expiry date): OF15-05.09.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 0,9706 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9064 |
| OFZ 26225 | 10-May-2034 | 7,25 | 0,8659 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.1% | |||
Futures contract Russian Federation government bonds
settlement date: June 2019
| O2M9 | |||
| Short contract code (expiry date): OFZ2-05.06.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9908 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9873 |
| OFZ 25083 | 15-Dec-2021 | 7 | 0,9745 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.3% | |||
| O4M9 | |||
| Short contract code (expiry date): OFZ4-05.06.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9958 |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 0,9894 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9765 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9734 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.9% | |||
| O6M9 | |||
| Short contract code (expiry date): OFZ6-05.06.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26223 | 28-Feb-2024 | 6,5 | 0,9475 |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 0,9677 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.0% | |||
| OXM9 | |||
| Short contract code (expiry date): OF10-05.06.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 0,9488 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9690 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9006 |
| OFZ 26224 | 23-May-2029 | 6,9 | 0,8810 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.9% | |||
| OVM9 | |||
| Short contract code (expiry date): OF15-05.06.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 0,9842 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9196 |
| OFZ 26225 | 10-May-2034 | 7,25 | 0,8793 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.9% | |||
Futures contract Russian Federation government bonds
settlement date: March 2019
| O2H9 | |||
| Short contract code (expiry date): OFZ2-05.03.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9778 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9861 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9819 |
| OFZ 25083 | 15-Dec-2021 | 7 | 0,9675 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.5% | |||
| O4H9 | |||
| Short contract code (expiry date): OFZ4-05.03.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9707 |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 0,9615 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9474 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9413 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.8% | |||
| O6H9 | |||
| Short contract code (expiry date): OFZ6-05.03.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26223 | 28-Feb-2024 | 6,5 | 0,8944 |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 0,9098 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.4% | |||
| OXH9 | |||
| Short contract code (expiry date): OF10-05.03.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 0,9733 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9953 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9266 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.4% | |||
| OVH9 | |||
| Short contract code (expiry date): OF15-05.03.2019 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26224 | 23-May-2029 | 6,9 | 0,9153 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 1,0283 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9639 |
| OFZ 26225 | 10-May-2034 | 7,25 | 0,9235 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.3% | |||
Futures contract Russian Federation government bonds
settlement date: December 2018
| O2Z8 | |||
| Short contract code (expiry date): OFZ2-05.12.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9863 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,975 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9866 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9824 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.4% | |||
| O4Z8 | |||
| Short contract code (expiry date): OFZ4-05.12.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 25083 | 15-Dec-2021 | 7 | 0,9577 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9689 |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 0,9596 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9446 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.8% | |||
| O6Z8 | |||
| Short contract code (expiry date): OFZ6-05.12.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9599 |
| OFZ 26223 | 28-Feb-2024 | 6,5 | 0,9352 |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 0,9567 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.2% | |||
| OXZ8 | |||
| Short contract code (expiry date): OF10-05.12.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 0,9888 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0121 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9427 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.1% | |||
| OVZ8 | |||
| Short contract code (expiry date): OF15-05.12.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26224 | 23-May-2029 | 6,9 | 0,9398 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 1,06 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9956 |
| OFZ 26225 | 10-May-2034 | 7,25 | 0,9555 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.9% | |||
Futures contract Russian Federation government bonds
settlement date: September 2018
| O2U8 | |||
| Short contract code (expiry date): OFZ2-05.09.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9989 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9922 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 1,0168 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 1,0162 |
| For the purpose of calculating the conversion ratio, the bond yield - 7% | |||
| O4U8 | |||
| Short contract code (expiry date): OFZ4-05.09.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 25083 | 15-Dec-2021 | 7 | 0,9977 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,0174 |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 1,0116 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9971 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.2% | |||
| O6U8 | |||
| Short contract code (expiry date): OFZ6-05.09.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9696 |
| OFZ 26223 | 28-Feb-2024 | 6,5 | 0,945 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.9% | |||
| OXU8 | |||
| Short contract code (expiry date): OF10-05.09.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 0,9824 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 1,0172 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0425 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9726 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.6% | |||
| OVU8 | |||
| Short contract code (expiry date): OF15-05.09.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26224 | 23-May-2029 | 6,9 | 0,9191 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 1,0368 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9712 |
| OFZ 26225 | 10-May-2034 | 7,25 | 0,9303 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.2% | |||
Futures contract Russian Federation government bonds
settlement date: June 2018
| O2M8 | |||
| Short contract code (expiry date): OFZ2-05.06.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 1,0002 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,993 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 1,0207 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.9% | |||
| O4M8 | |||
| Short contract code (expiry date): OFZ4-05.06.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 1,0229 |
| OFZ 25083 | 15-Dec-2021 | 7 | 1,0096 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,0323 |
| For the purpose of calculating the conversion ratio, the bond yield - 6.8% | |||
| O6M8 | |||
| Short contract code (expiry date): OFZ6-05.06.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 1,0124 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,997 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9967 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.2% | |||
| OXM8 | |||
| Short contract code (expiry date): OF10-05.06.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 1,0012 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 1,0417 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0686 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9982 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.2% | |||
| OVM8 | |||
| Short contract code (expiry date): OF15-05.06.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 1,0136 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9471 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.5% | |||
Futures contract Russian Federation government bonds
settlement date: March 2018
| O2H8 | |||
| Short contract code (expiry date): OFZ2-05.03.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9935 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9922 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9823 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.4% | |||
| O4H8 | |||
| Short contract code (expiry date): OFZ4-05.03.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 1,0037 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 1,0011 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,005 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.6% | |||
| O6H8 | |||
| Short contract code (expiry date): OFZ6-05.03.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 0,9899 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9737 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9713 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.8% | |||
| OXH8 | |||
| Short contract code (expiry date): OF10-05.03.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 1,0114 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 1,0553 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0835 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 1,0119 |
| For the purpose of calculating the conversion ratio, the bond yield - 7% | |||
| OVH8 | |||
| Short contract code (expiry date): OF15-05.03.2018 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 0,9263 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,859 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.7% | |||
Futures contract Russian Federation government bonds
settlement date: December 2017
| O2Z7 | |||
| Short contract code (expiry date): OFZ2-05.12.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9914 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9796 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9739 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9597 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.4% | |||
| O4Z7 | |||
| Short contract code (expiry date): OFZ4-05.12.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9955 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9919 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.9% | |||
| O6Z7 | |||
| Short contract code (expiry date): OFZ6-05.12.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9978 |
| OFZ 26220 | 07-Dec-2022 | 7,4 | 0,9896 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9725 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9701 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.8% | |||
| OXZ7 | |||
| Short contract code (expiry date): OF10-05.12.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26222 | 16-Oct-2024 | 7,1 | 0,991 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 1,0308 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0581 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.4% | |||
| OVZ7 | |||
| Short contract code (expiry date): OF15-05.12.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,9076 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 1,0061 |
| OFZ 26221 | 23-Mar-2033 | 7,7 | 0,9383 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.6% | |||
Futures contract Russian Federation government bonds
settlement date: June 2017
| O2M7 | |||
| Short contract code (expiry date): OFZ2-05.06.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9974 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9831 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9808 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9672 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.8% | |||
| O4M7 | |||
| Short contract code (expiry date): OFZ4-05.06.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9981 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9944 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.8% | |||
| O6M7 | |||
| Short contract code (expiry date): OFZ6-05.06.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,0057 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,979 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.6% | |||
| OXM7 | |||
| Short contract code (expiry date): OF10-05.06.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9544 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 0,9874 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0137 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.1% | |||
| OVM7 | |||
| Short contract code (expiry date): OF15-05.06.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,8567 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 0,9456 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.4% | |||
Futures contract Russian Federation government bonds
settlement date: Mart 2017
| O2H7 | |||
| Short contract code (expiry date): OFZ2-06.03.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9985 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9972 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,981 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9789 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.8% | |||
| O4H7 | |||
| Short contract code (expiry date): OFZ4-06.03.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9673 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 1,0014 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9978 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.7% | |||
| O6H7 | |||
| Short contract code (expiry date): OFZ6-06.03.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,0187 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9918 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.3% | |||
| OXH7 | |||
| Short contract code (expiry date): OF10-06.03.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9815 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 1,026 |
| OFZ 26207 | 03-Feb-2027 | 8,15 | 1,0546 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.5% | |||
| OVH7 | |||
| Short contract code (expiry date): OF15-06.03.2017 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,8547 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 0,9452 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.4% | |||
Futures contract Russian Federation government bonds
settlement date: December 2016
O2Z6
Short contract code (expiry date): OFZ2-05.12.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9729 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9855 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9758 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9566 |
For the purpose of calculating the conversion ratio, the bond yield - 8.9%
O4Z6
Short contract code (expiry date): OFZ4-05.12.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,96 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9429 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9738 |
For the purpose of calculating the conversion ratio, the bond yield - 8.5%
O6Z6
Short contract code (expiry date): OFZ6-05.12.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,9718 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9719 |
For the purpose of calculating the conversion ratio, the bond yield - 8.4%
OXZ6
Short contract code (expiry date): OF10-05.12.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9284 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9235 |
| OFZ 26219 | 16-Sep-2026 | 7,75 | 0,9495 |
For the purpose of calculating the conversion ratio, the bond yield - 8.7%
OVZ6
Short contract code (expiry date): OF15-05.12.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9751 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,8956 |
| OFZ 26218 | 17-Sep-2031 | 8,5 | 0,9983 |
For the purpose of calculating the conversion ratio, the bond yield - 8.7%
Futures contract Russian Federation government bonds
settlement date: September 2016
O2U6
Short contract code (expiry date): OFZ2-05.09.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9698 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9857 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9777 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,957 |
For the purpose of calculating the conversion ratio, the bond yield - 8.7%
O4U6
Short contract code (expiry date): OFZ4-05.09.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9623 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9451 |
For the purpose of calculating the conversion ratio, the bond yield - 8.3%
O6U6
Short contract code (expiry date): OFZ6-05.09.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9725 |
| OFZ 26217 | 18-Aug-2021 | 7,5 | 0,967 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9667 |
For the purpose of calculating the conversion ratio, the bond yield - 8.5%
OXU6
Short contract code (expiry date): OF10-05.09.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9442 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9407 |
For the purpose of calculating the conversion ratio, the bond yield - 8.3%
OVU6
Short contract code (expiry date): OF15-05.09.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9373 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,8569 |
For the purpose of calculating the conversion ratio, the bond yield - 9.3%
Futures contract Russian Federation government bonds
settlement date: June 2016
Short contract code (expiry date): OFZ2-06.06.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9776 |
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9467 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9638 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9468 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9234 |
For the purpose of calculating the conversion ratio, the bond yield - 10%
Short contract code (expiry date): OFZ4-06.06.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9405 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9208 |
For the purpose of calculating the conversion ratio, the bond yield - 9%
Short contract code (expiry date): OFZ6-06.06.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9247 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9101 |
For the purpose of calculating the conversion ratio, the bond yield - 9.8%
Short contract code (expiry date): OF10-06.06.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26211 | 25-Jan-2023 | 7 | 0,8714 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,8638 |
For the purpose of calculating the conversion ratio, the bond yield - 9.9%
Short contract code (expiry date): OF15-06.06.2016
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9678 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,8864 |
For the purpose of calculating the conversion ratio, the bond yield - 8.8%
Futures contract Russian Federation government bonds settlement date: Mart 2016
Short contract code (expiry date): OFZ2-04.03.2016
| Bond | Maturity | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25080 | 19-Apr-2017 | 7,40% | 0,9754 |
| OFZ 26206 | 14-Jun-2017 | 7,40% | 0,9722 |
| OFZ 25081 | 31-Jan-2018 | 6,20% | 0,9393 |
| OFZ 26204 | 15-Mar-2018 | 7,50% | 0,9594 |
| OFZ 26208 | 27-Feb-2019 | 7,50% | 0,9427 |
For the purpose of calculating the conversion ratio, the bond yield – 10,0%
Short contract code (expiry date): OFZ4-04.03.2016
| Bond | Maturity | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26216 | 15-May-2019 | 6,70% | 0,9474 |
| OFZ 26210 | 11-Dec-2019 | 6,80% | 0,9425 |
| OFZ 26214 | 27-May-2020 | 6,40% | 0,9228 |
For the purpose of calculating the conversion ratio, the bond yield – 8,8%
Short contract code (expiry date): OFZ6-04.03.2016
| Bond | Maturity | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,60% | 0,9399 |
| OFZ 26209 | 20-Jul-2022 | 7,60% | 0,9288 |
For the purpose of calculating the conversion ratio, the bond yield – 9,3%
Short contract code (expiry date): OF10-04.03.2016
| Bond | Maturity | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26211 | 25-Jan-2023 | 7,00% | 0,8262 |
| OFZ 26215 | 16-Aug-2023 | 7,00% | 0,8169 |
For the purpose of calculating the conversion ratio, the bond yield – 10,9%
Short contract code (expiry date): OF15-04.03.2016
| Bond | Maturity | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 3-Feb-2027 | 8,15% | 0,8932 |
| OFZ 26212 | 19-Jan-2028 | 7,05% | 0,8117 |
For the purpose of calculating the conversion ratio, the bond yield – 10,0%
Futures contract Russian Federation government bonds
settlement date: December 2015
O2Z5
Short contract code (expiry date): OFZ2-07.12.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25080 | 19-Apr-2017 | 7,4 | 0,9520 |
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9472 |
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9051 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9259 |
For the purpose of calculating the conversion ratio, the bond yield – 11,6%
O4Z5
Short contract code (expiry date): OFZ4-07.12.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9237 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,8971 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,8863 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,8619 |
For the purpose of calculating the conversion ratio, the bond yield – 10,6%
O6Z5
Short contract code (expiry date): OFZ6-07.12.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,8755 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,8549 |
For the purpose of calculating the conversion ratio, the bond yield – 11%
OXZ5
Short contract code (expiry date): OF10-07.12.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26211 | 25-Jan-2023 | 7 | 0,8016 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,7916 |
For the purpose of calculating the conversion ratio, the bond yield – 11,4%
OVZ5
Short contract code (expiry date): OF15-07.12.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,8406 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,7597 |
For the purpose of calculating the conversion ratio, the bond yield – 10,9%
Futures contract Russian Federation government bonds
settlement date: September 2015
O2U5
Short contract code (settlement date): OFZ2-07.09.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25080 | 19-Apr-2017 | 7,4 | 0,9586 |
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9549 |
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9158 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9405 |
For the purpose of calculating the conversion ratio, the bond yield – 10.5%
O4U5
Short contract code (settlement date): OFZ4-07.09.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9294 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9015 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,8925 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,8686 |
For the purpose of calculating the conversion ratio, the bond yield - 10,2%
O6U5
Short contract code (settlement date): OFZ6-07.09.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9159 |
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9023 |
For the purpose of calculating the conversion ratio, the bond yield - 9.8%
OXU5
Short contract code (settlement date): OF10-07.09.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9179 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9136 |
For the purpose of calculating the conversion ratio, the bond yield - 8,7%
OVU5
Short contract code (settlement date): OF15-07.09.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,7965 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,7163 |
For the purpose of calculating the conversion ratio, the bond yield - 11.7%
Futures contract Russian Federation government bonds
settlement date: June 2015
O2M5
Short contract code (settlement date): OFZ2-05.06.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26203 | 03-Aug-2016 | 6,9 | 0,9484 |
| OFZ 25080 | 19-Apr-2017 | 7,4 | 0,9284 |
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9234 |
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,876 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9013 |
For the purpose of calculating the conversion ratio, the bond yield – 12.1%
O2M5
Short contract code (settlement date): OFZ4-05.06.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,903 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,8735 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,8626 |
For the purpose of calculating the conversion ratio, the bond yield - 11%
O6M5
Short contract code (settlement date): OFZ6-05.06.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26214 | 27-May-2020 | 6,4 | 0,8975 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9373 |
For the purpose of calculating the conversion ratio, the bond yield - 9.2%
OXM5
Short contract code (settlement date): OF10-05.06.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,0736 |
| OFZ 26211 | 25-Jan-2023 | 7 | 1,0418 |
| OFZ 26215 | 16-Aug-2023 | 7 | 1,0441 |
For the purpose of calculating the conversion ratio, the bond yield - 6.4%
OVM5
Short contract code (settlement date): OF15-05.06.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,8537 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,7711 |
For the purpose of calculating the conversion ratio, the bond yield - 10.6%
Futures contract Russian Federation government bonds
settlement date: March 2015
O2H5
Short contract code (settlement date): OFZ2-05.03.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25082 | 11-May-2016 | 6 | 0,9586 |
| OFZ 26203 | 03-Aug-2016 | 6,9 | 0,9629 |
| OFZ 25080 | 19-Apr-2017 | 7,4 | 0,9555 |
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9526 |
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9115 |
For the purpose of calculating the conversion ratio, the bond yield – 10%
O4H5
Short contract code (settlement date): OFZ4-05.03.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9513 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9387 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9086 |
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9024 |
For the purpose of calculating the conversion ratio, the bond yield – 9.6%
O6H5
Short contract code (settlement date): OFZ6-05.03.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26214 | 27-May-2020 | 6,4 | 0,886 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9268 |
For the purpose of calculating the conversion ratio, the bond yield – 9.4%
OXH5
Short contract code (settlement date): OF10-05.03.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26209 | 20-Jul-2022 | 7,6 | 1,0023 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9672 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9656 |
For the purpose of calculating the conversion ratio, the bond yield – 7.7%
OVH5
Short contract code (settlement date): OF15-05.03.2015
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,8757 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,7917 |
For the purpose of calculating the conversion ratio, the bond yield – 10.2%
Futures contract Russian Federation government bonds
settlement date: December 2014
O2Z4
Short contract code (settlement date): OFZ2-05.12.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25077 | 20-Jan-2016 | 7,35 | 0,9856 |
| OFZ 25082 | 11-May-2016 | 6 | 0,9642 |
| OFZ 26203 | 03-Aug-2016 | 6,9 | 0,9724 |
| OFZ 25080 | 19-Apr-2017 | 7,4 | 0,9723 |
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9708 |
For the purpose of calculating the conversion ratio, the bond yield – 8.9%
O4Z4
Short contract code (settlement date): OFZ4-05.12.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9495 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9846 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9808 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9508 |
For the purpose of calculating the conversion ratio, the bond yield – 8.2%
O6Z4
Short contract code (settlement date): OFZ6-05.12.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9534 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9326 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,983 |
For the purpose of calculating the conversion ratio, the bond yield – 8.1%
OXZ4
Short contract code (settlement date): OF10-05.12.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9806 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9441 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9415 |
For the purpose of calculating the conversion ratio, the bond yield – 8.1%
OVZ4
Short contract code (settlement date): OF15-05.12.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,8989 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,8136 |
For the purpose of calculating the conversion ratio, the bond yield – 9.8%
Futures contract Russian Federation government bonds
settlement date: September 2014
O2U4
Short contract code (settlement date): OFZ2-05.09.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25077 | 20-Jan-2016 | 7,35 | 0,9886 |
| OFZ 25082 | 11-May-2016 | 6 | 0,9655 |
| OFZ 26203 | 03-Aug-2016 | 6,9 | 0,9768 |
| OFZ 25080 | 19-Apr-2017 | 7,4 | 0,9806 |
| OFZ 26206 | 14-Jun-2017 | 7,4 | 0,9796 |
For the purpose of calculating the conversion ratio, the bond yield – 8.4%
O4U4
Short contract code (settlement date): OFZ4-05.09.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25081 | 31-Jan-2018 | 6,2 | 0,9543 |
| OFZ 26204 | 15-Mar-2018 | 7,5 | 0,9924 |
| OFZ 26208 | 27-Feb-2019 | 7,5 | 0,9907 |
| OFZ 26216 | 15-May-2019 | 6,7 | 0,9592 |
For the purpose of calculating the conversion ratio, the bond yield - 7.9%
O6U4
Short contract code (settlement date): OFZ6-05.09.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11-Dec-2019 | 6,8 | 0,9281 |
| OFZ 26214 | 27-May-2020 | 6,4 | 0,9054 |
| OFZ 26205 | 14-Apr-2021 | 7,6 | 0,9542 |
For the purpose of calculating the conversion ratio, the bond yield - 8.7%
OXU4
Short contract code (settlement date): OF10-05.09.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26209 | 20-Jul-2022 | 7,6 | 0,9747 |
| OFZ 26211 | 25-Jan-2023 | 7 | 0,9374 |
| OFZ 26215 | 16-Aug-2023 | 7 | 0,9346 |
For the purpose of calculating the conversion ratio, the bond yield - 8.2%
OVU4
Short contract code (settlement date): OF15-05.09.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03-Feb-2027 | 8,15 | 0,9721 |
| OFZ 26212 | 19-Jan-2028 | 7,05 | 0,884 |
For the purpose of calculating the conversion ratio, the bond yield - 8.7%
Futures contract Russian Federation government bonds
settlement date: June 2014
O2M4
Short contract code (settlement date): OFZ2 – 05.06.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9928 |
| OFZ 25077 | 20.01.2016 | 7.35% | 0.9968 |
| OFZ 25082 | 11.05.2016 | 6.00% | 0.9724 |
| OFZ 26203 | 03.08.2016 | 6.90% | 0.987 |
| OFZ 25080 | 19.04.2017 | 7.40% | 0.9959 |
For the purpose of calculating the conversion ratio, the bond yield – 7.70%
O4M4
Short contract code (settlement date): OFZ4 – 05.06.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26206 | 14.06.2017 | 7.40% | 0.9781 |
| OFZ 25081 | 31.01.2018 | 6.20% | 0.9368 |
| OFZ 26204 | 15.03.2018 | 7.50% | 0.9765 |
| OFZ 26208 | 27.02.2019 | 7.50% | 0.9717 |
| OFZ 26216 | 15.05.2019 | 6.70% | 0.9388 |
For the purpose of calculating the conversion ratio, the bond yield – 8.40%
O6M4
Short contract code (settlement date): OFZ6 – 05.06.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11.12.2019 | 6.80% | 0.9295 |
| OFZ 26214 | 27.05.2020 | 6.40% | 0.9065 |
| OFZ 26205 | 14.04.2021 | 7.60% | 0.9577 |
For the purpose of calculating the conversion ratio, the bond yield – 8.60%
OXM4
Short contract code (settlement date): OF10 – 05.06.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26209 | 20.07.2022 | 7.60% | 0.9309 |
| OFZ 26211 | 25.01.2023 | 7.00% | 0.8921 |
| OFZ 26215 | 16.08.2023 | 7.00% | 0.8875 |
For the purpose of calculating the conversion ratio, the bond yield – 9%
OVM4
Short contract code (settlement date): OF15 – 05.06.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03.02.2027 | 8.15% | 0.8655 |
| OFZ 26212 | 19.01.2028 | 7.05% | 0.7799 |
For the purpose of calculating the conversion ratio, the bond yield – 10.30%
Futures contract Russian Federation government bonds
settlement date: March 2014
O2H4
Short contract code (settlement date): OFZ2 – 05.03.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 1.0058 |
| OFZ 25075 | 15.07.2015 | 6.88% | 1.0048 |
| OFZ 25077 | 20.01.2016 | 7.35% | 1.0148 |
| OFZ 25082 | 11.05.2016 | 6.00% | 0.9900 |
| OFZ 26203 | 03.08.2016 | 6.90% | 1.0089 |
For the purpose of calculating the conversion ratio, the bond yield – 6.60%
O4H4
Short contract code (settlement date): OFZ4 – 05.03.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25080 | 19.04.2017 | 7.40% | 0.9929 |
| OFZ 26206 | 14.06.2017 | 7.40% | 0.9926 |
| OFZ 25081 | 31.01.2018 | 6.20% | 0.9516 |
| OFZ 26204 | 15.03.2018 | 7.50% | 0.9947 |
| OFZ 26208 | 27.02.2019 | 7.50% | 0.9937 |
For the purpose of calculating the conversion ratio, the bond yield – 7.80%
O6H4
Short contract code (settlement date): OFZ6 – 05.03.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26210 | 11.12.2019 | 6.80% | 0.9187 |
| OFZ 26214 | 27.05.2020 | 6.40% | 0.8947 |
For the purpose of calculating the conversion ratio, the bond yield – 8.80%
OXH4
Short contract code (settlement date): OF10 – 05.03.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14.04.2021 | 7.60% | 0.9467 |
| OFZ 26209 | 20.07.2022 | 7.60% | 0.9402 |
| OFZ 26211 | 25.01.2023 | 7.00% | 0.9010 |
| OFZ 26215 | 16.08.2023 | 7.00% | 0.8970 |
For the purpose of calculating the conversion ratio, the bond yield – 8.80%
OVH4
Short contract code (settlement date): OF15 – 05.03.2014
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03.02.2027 | 8.15% | 0.9360 |
| OFZ 26212 | 19.01.2028 | 7.05% | 0.8472 |
For the purpose of calculating the conversion ratio, the bond yield – 9.20%
Futures contract Russian Federation government bonds
settlement date: December 2013
O2Z3
Short contract code (settlement data): OFZ2 – 05.12.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 1.0071 |
| OFZ 25075 | 15.07.2015 | 6.88% | 1.0057 |
| OFZ 25077 | 20.01.2016 | 7.35% | 1.0166 |
| OFZ 25082 | 11.05.2016 | 6.00% | 0.9890 |
| OFZ 26203 | 03.08.2016 | 6.90% | 1.0097 |
For the purpose of calculating the conversion ratio, the bond yield – 6.60%
O4Z3
Short contract code (settlement data): OFZ4 – 05.12.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25080 | 19.04.2017 | 7.40% | 1.0299 |
| OFZ 26206 | 14.06.2017 | 7.40% | 1.0312 |
| OFZ 25081 | 31.01.2018 | 6.20% | 0.9928 |
| OFZ 26204 | 15.03.2018 | 7.50% | 1.0406 |
For the purpose of calculating the conversion ratio, the bond yield – 6.50%
O6Z3
Short contract code (settlement data): OFZ6 – 05.12.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27.02.2019 | 7.50% | 0.9933 |
| OFZ 26210 | 11.12.2019 | 6.80% | 0.9594 |
For the purpose of calculating the conversion ratio, the bond yield – 7.80%
OXZ3
Short contract code (settlement data): OF10 – 05.12.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14.04.2021 | 7.60% | 0.9355 |
| OFZ 26209 | 20.07.2022 | 7.60% | 0.9280 |
| OFZ 26211 | 25.01.2023 | 7.00% | 0.8880 |
For the purpose of calculating the conversion ratio, the bond yield – 9.00%
OVZ3
Short contract code (settlement data): OF15 – 05.12.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03.02.2027 | 8.15% | 0.9352 |
| OFZ 26212 | 19.01.2028 | 7.05% | 0.8458 |
For the purpose of calculating the conversion ratio, the bond yield – 9.20%
Futures contract Russian Federation government bonds
settlement date: September 2013
O2U3
Short contract code (settlement data): OFZ2 – 05.09.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 1.0097 |
| OFZ 25075 | 15.07.2015 | 6.88% | 1.0082 |
| OFZ 25077 | 20.01.2016 | 7.35% | 1.0206 |
| OFZ 26203 | 03.08.2016 | 6.90% | 1.0131 |
For the purpose of calculating the conversion ratio, the bond yield – 6.50%
O4U3
Short contract code (settlement data): OFZ4 – 05.09.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25080 | 19.04.2017 | 7.40% | 1.0382 |
| OFZ 26206 | 14.06.2017 | 7.40% | 1.0396 |
| OFZ 25081 | 31.01.2018 | 6.20% | 0.9998 |
| OFZ 26204 | 15.03.2018 | 7.50% | 1.0504 |
For the purpose of calculating the conversion ratio, the bond yield – 6.30%
O6U3
Short contract code (settlement data): OFZ6 – 05.09.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27.02.2019 | 7.50% | 1.0017 |
| OFZ 26210 | 11.12.2019 | 6.80% | 0.9673 |
For the purpose of calculating the conversion ratio, the bond yield – 7.60%
OXU3
Short contract code (settlement data): OF10 – 05.09.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14.04.2021 | 7.60% | 1.0419 |
| OFZ 26209 | 20.07.2022 | 7.60% | 1.0471 |
| OFZ 26211 | 25.01.2023 | 7.00% | 1.008 |
For the purpose of calculating the conversion ratio, the bond yield – 7.00%
OVU3
Short contract code (settlement data): OF15 – 05.09.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26207 | 03.02.2027 | 8.15% | 0.9561 |
| OFZ 26212 | 19.01.2028 | 7.05% | 0.8653 |
For the purpose of calculating the conversion ratio, the bond yield – 8.90%
Futures contract Russian Federation government bonds
settlement date: June 2013
O2M3
Short contract code (settlement data): OFZ2 – 05.06.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 1.0111 |
| OFZ 25075 | 15.07.2015 | 6.88% | 1.0093 |
| OFZ 25077 | 20.01.2016 | 7.35% | 1.0226 |
For the purpose of calculating the conversion ratio, the bond yield – 6.50%
O4M3
Short contract code (settlement data): OFZ4 – 05.06.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26203 | 03.08.2016 | 6.90% | 1.0141 |
| OFZ 25080 | 19.04.2017 | 7.40% | 1.0338 |
| OFZ 26206 | 14.06.2017 | 7.40% | 1.0351 |
| OFZ 26204 | 15.03.2018 | 7.50% | 1.0446 |
For the purpose of calculating the conversion ratio, the bond yield – 6.50%
O6M3
Short contract code (settlement data): OFZ6 – 05.06.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26208 | 27.02.2019 | 7.50% | 0.9972 |
| OFZ 26210 | 11.12.2019 | 6.80% | 0.9615 |
For the purpose of calculating the conversion ratio, the bond yield – 7.70%
OXM3
Short contract code (settlement data): OF10 – 05.06.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14.04.2021 | 7.60% | 0.9856 |
| OFZ 26209 | 20.07.2022 | 7.60% | 0.9840 |
| OFZ 26211 | 25.01.2023 | 7.00% | 0.9433 |
For the purpose of calculating the conversion ratio, the bond yield – 8.00%
Futures contract Russian Federation government bonds
settlement date: March 2013
O2H3
Short contract code (settlement data): OFZ2 – 05.03.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 1.0023 |
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9999 |
| OFZ 25077 | 20.01.2016 | 7.35% | 1.0119 |
For the purpose of calculating the conversion ratio, the bond yield – 7.0%
O4H3
Short contract code (settlement data): OFZ4 – 05.03.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26203 | 03.08.2016 | 6.90% | 0.9976 |
| OFZ 25080 | 19.04.2017 | 7.40% | 1.0148 |
| OFZ 26206 | 14.06.2017 | 7.40% | 1.0152 |
For the purpose of calculating the conversion ratio, the bond yield – 7.1%
O6H3
Short contract code (settlement data): OFZ6 – 05.03.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26204 | 15.03.2018 | 7.50% | 0.9742 |
| OFZ 26208 | 27.02.2019 | 7.50% | 0.9704 |
For the purpose of calculating the conversion ratio, the bond yield – 8.3%
OXH3
Short contract code (settlement data): OF10 – 05.03.2013
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26205 | 14.04.2021 | 7.60% | 0.9967 |
| OFZ 26209 | 20.07.2022 | 7.60% | 0.9964 |
For the purpose of calculating the conversion ratio, the bond yield – 7.8%
Futures contract Russian Federation government bonds
settlement date: December 2012
O2Z2
Short contract code (settlement data): OFZ2 – 05.12.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25076 | 13.03.2014 | 7.10% | 0.9967 |
| OFZ 25079 | 03.06.2015 | 7.00% | 0.9918 |
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9886 |
For the purpose of calculating the conversion ratio, the bond yield – 7.5%
O4Z2
Short contract code (settlement data): OFZ4 – 05.12.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25077 | 20.01.2016 | 7.35% | 0.9890 |
| OFZ 26203 | 03.08.2016 | 6.90% | 0.9732 |
| OFZ 25080 | 19.04.2017 | 7.40% | 0.9871 |
| OFZ 26206 | 14.06.2017 | 7.40% | 0.9868 |
For the purpose of calculating the conversion ratio, the bond yield – 7.9%
O6Z2
Short contract code (settlement data): OFZ6 – 05.12.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26204 | 15.03.2018 | 7.50% | 0.9691 |
| OFZ 26208 | 27.02.2019 | 7.50% | 0.9648 |
For the purpose of calculating the conversion ratio, the bond yield – 8.4%
Futures contract Russian Federation government bonds
settlement date: June 2012
O2M2
Short contract code (settlement date): OFZ2 – 05.06.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25076 | 13.03.2014 | 7.10% | 0.994 |
| OFZ 25068 | 20.08.2014 | 12.00% | 1.0906 |
| OFZ 26202 | 17.12.2014 | 11.20% | 1.0872 |
| OFZ 25079 | 03.06.2015 | 7.00% | 0.9878 |
For the purpose of calculating the conversion ratio, the bond yield is 7.6%
O4M2
Short contract code (settlement date): OFZ4 – 05.06.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9763 |
| OFZ 25077 | 20.01.2016 | 7.35% | 0.9874 |
| OFZ 26203 | 03.08.2016 | 6.90% | 0.9701 |
For the purpose of calculating the conversion ratio, the bond yield is 7.9%
O6M2
Short contract code (settlement date): OFZ6 – 05.06.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26206 | 14.06.2017 | 7.40% | 0.9856 |
| OFZ 26204 | 15.03.2018 | 7.50% | 0.9884 |
For the purpose of calculating the conversion ratio, the bond yield is 7.9%
Futures contract Russian Federation government bonds
settlement date: March 2012
O2H2
Short contract code (settlement date): O2H2 – 05.03.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25076 | 13.03.2014 | 7.10% | 0.9741 |
| OFZ 25068 | 20.08.2014 | 12.00% | 1.0758 |
| OFZ 26202 | 17.12.2014 | 11.20% | 1.0681 |
For the purpose of calculating the conversion ratio, the bond yield is 8.7%.
O4H2
Short contract code (settlement date): O4H2 – 05.03.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 0.9523 |
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9475 |
| OFZ 25077 | 20.01.2016 | 7.35% | 0.9559 |
| OFZ 26203 | 03.08.2016 | 6.90% | 0.9347 |
For the purpose of calculating the conversion ratio, the bond yield is 8.9%.
O6H2
Short contract code (settlement date): O6H2 – 05.03.2012
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26206 | 14.06.2017 | 7.40% | 0.9570 |
| OFZ 26204 | 15.03.2018 | 7.50% | 0.9570 |
For the purpose of calculating the conversion ratio, the bond yield is 8.6%.
Futures contract on 2-year Russian Federation government bonds
Short contract code (settlement date): O2U1 – 05.09.2011
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25072 | 23.01.2013 | 7.15% | 0.9848 |
| OFZ 25078 | 06.02.2013 | 6.7% | 0.9785 |
| OFZ 25076 | 13.03.2014 | 7.10% | 0.9726 |
For the purpose of calculating the conversion ratio the yield is 8.5%.
Short contract code (settlement date): O2Z1 – 05.12.2011
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25072 | 23.01.2013 | 7.15% | 1.0028 |
| OFZ 25078 | 06.02.2013 | 6.70% | 0.9979 |
| OFZ 25076 | 13.03.2014 | 7.10% | 1.0044 |
For the purpose of calculating the conversion ratio the yield is 7.0%.
Futures contract on 4-year Russian Federation government bonds
Short contract code (settlement date): O4U1 – 05.09.2011
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9529 |
| OFZ 25077 | 20.01.2016 | 7.35% | 0.9647 |
| OFZ 26203 | 03.08.2016 | 6.90% | 0.9433 |
For the purpose of calculating the conversion ratio, the bond yield is 8.5%.
Short contract code (settlement date): O4Z1 – 05.12.2011
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 25079 | 03.06.2015 | 7.00% | 0.9549 |
| OFZ 25075 | 15.07.2015 | 6.88% | 0.9499 |
| OFZ 25077 | 20.01.2016 | 7.35% | 0.9599 |
| OFZ 26203 | 03.08.2016 | 6.90% | 0.9386 |
For the purpose of calculating the conversion ratio, the bond yield is 8.7%.