Baskets of underlying bonds issues and conversion ratios

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%

 

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