Baskets of underlying bonds issues and conversion ratios
Futures contract Russian Federation government bonds
settlement date: JUNE 2022
| O2M2 | |||
| Short contract code (expiry date): OFZ2-06.06.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26215 | 16-Aug-23 | 7,00% | 0,9767 |
| OFZ 25084 | 4-Oct-23 | 5,30% | 0,9535 |
| OFZ 26223 | 28-Feb-24 | 6,50% | 0,9592 |
| OFZ 26227 | 17-Jul-24 | 7,40% | 0,968 |
| OFZ 26222 | 16-Oct-24 | 7,10% | 0,9583 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.3% | |||
| O4M2 | |||
| Short contract code (expiry date): OFZ4-06.06.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26234 | 16-Jul-25 | 4,50% | 0,8709 |
| OFZ 26229 | 12-Nov-25 | 7,15% | 0,9357 |
| OFZ 26219 | 16-Sep-26 | 7,75% | 0,9434 |
| OFZ 26226 | 7-Oct-26 | 7,95% | 0,9498 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.6% | |||
| O6M2 | |||
| Short contract code (expiry date): OFZ6-06.06.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26207 | 3-Feb-27 | 8,15% | 0,9542 |
| OFZ 26232 | 6-Oct-27 | 6,00% | 0,8605 |
| OFZ 26212 | 19-Jan-28 | 7,05% | 0,8998 |
| OFZ 26236 | 17-May-28 | 5,70% | 0,8351 |
| OFZ 26237 | 14-Mar-29 | 6,70% | 0,8677 |
| OFZ 26224 | 23-May-29 | 6,90% | 0,8752 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.6% | |||
| OXM2 | |||
| Short contract code (expiry date): OF10-06.06.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26228 | 10-Apr-30 | 7,65% | 0,9405 |
| OFZ 26235 | 12-Mar-31 | 5,90% | 0,83 |
| OFZ 26239 | 23-Jul-31 | 6,90% | 0,8874 |
| OFZ 26218 | 17-Sep-31 | 8,50% | 0,9866 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.9% | |||
| OVM2 | |||
| Short contract code (expiry date): OF15-06.06.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26221 | 23-Mar-33 | 7,70% | 0,9428 |
| OFZ 26225 | 10-May-34 | 7,25% | 0,9061 |
| OFZ 26233 | 18-Jul-35 | 6,10% | 0,811 |
| For the purpose of calculating the conversion ratio, the bond yield - 8.7% | |||
Futures contract Russian Federation government bonds
settlement date: MARCH 2022
| O2H2 | |||
| Short contract code (expiry date): OFZ2-05.03.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
|---|---|---|---|
| OFZ 26215 | 16-Aug-23 | 7,00% | 0,9886 |
| OFZ 25084 | 4-Oct-23 | 5,30% | 0,9629 |
| OFZ 26223 | 28-Feb-24 | 6,50% | 0,9758 |
| OFZ 26227 | 17-Jul-24 | 7,40% | 0,9904 |
| OFZ 26222 | 16-Oct-24 | 7,10% | 0,9826 |
| For the purpose of calculating the conversion ratio, the bond yield - 8% | |||
| O4H2 | |||
| Short contract code (expiry date): OFZ4-05.03.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26234 | 16-Jul-25 | 4,50% | 0,8696 |
| OFZ 26229 | 12-Nov-25 | 7,15% | 0,9402 |
| For the purpose of calculating the conversion ratio, the bond yield - 9.3% | |||
| O6H2 | |||
| Short contract code (expiry date): OFZ6-05.03.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26219 | 16-Sep-26 | 7,75% | 0,8958 |
| OFZ 26226 | 7-Oct-26 | 7,95% | 0,9018 |
| OFZ 26207 | 3-Feb-27 | 8,15% | 0,904 |
| OFZ 26232 | 6-Oct-27 | 6,00% | 0,8057 |
| OFZ 26212 | 19-Jan-28 | 7,05% | 0,8433 |
| OFZ 26236 | 17-May-28 | 5,70% | 0,777 |
| OFZ 26237 | 14-Mar-29 | 6,70% | 0,8054 |
| For the purpose of calculating the conversion ratio, the bond yield - 11% | |||
| OXH2 | |||
| Short contract code (expiry date): OF10-05.03.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26224 | 23-May-29 | 6,90% | 1,0009 |
| OFZ 26228 | 10-Apr-30 | 7,65% | 1,047 |
| OFZ 26235 | 12-Mar-31 | 5,90% | 0,9349 |
| OFZ 26239 | 23-Jul-31 | 6,90% | 1,0012 |
| OFZ 26218 | 17-Sep-31 | 8,50% | 1,1117 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.0% | |||
| OVH2 | |||
| Short contract code (expiry date): OF15-05.03.2022 | |||
| Bond | Maturity date | Coupon rate | Conversion ratio |
| OFZ 26221 | 23-Mar-33 | 7,70% | 1,0105 |
| OFZ 26225 | 10-May-34 | 7,25% | 0,9757 |
| OFZ 26233 | 18-Jul-35 | 6,10% | 0,8787 |
| For the purpose of calculating the conversion ratio, the bond yield - 7.7% | |||