RTS Determined Settlement Prices for Futures on Federal Loan Bonds
OREANDA-NEWS. June 6, 2011. On June 6, 2011 futures contracts on baskets of federal loan bonds (OFZ2-6.11 and OFZ4-6.11) will be settled.
The following optimal delivery prices and a range for admissible delivery prices (minimum and maximum admissible delivery prices) were determined for the Bonds issues included in the baskets:
OFZ2-6.11
|
Issue |
Optimal |
Range for admissible delivery prices |
|
OFZ 25073 |
101.8021 |
98.7021 - 104.9021 |
|
OFZ 25078 |
101.1440 |
98.044 - 104.244 |
|
OFZ 25072 |
101.8741 |
98.7741 - 104.9741 |
OFZ4-6.11
|
Issue |
Optimal |
Range for admissible delivery prices |
|
OFZ 25075 |
98.8214 |
94.6414 - 103.0014 |
|
OFZ 26203 |
97.7676 |
93.5876 - 101.9476 |
|
OFZ 25077 |
100.0942 |
95.9142 - 104.2742 |
The optimal delivery prices, minimum and maximum admissible delivery prices were calculated in accordance with the Appendix 6 to the Specifications using settlement prices of the futures contracts, conversion rates values and amounts of the Initial margins.
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