Baskets of underlying bonds issues and conversion ratios

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%

 

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