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.