OREANDA-NEWS. September 12, 2012. September 5, 2012 futures contracts on a federal loan bonds basket (contracts' codes OFZ2-09.12, OFZ4-09.12 and OFZ6-09.12) will be settled.ЎЎ

For bond issues currently in the basket the following optimal delivery prices and the minimum and maximum values of the admissible delivery price have been determined:

OFZ2-09.12

Bond issue

Optimal delivery price

Admissible delivery price range

OFZ 25076

100.4295

98.9095 ЁC 101.9495

OFZ 25068

109.2359

107.7159 ЁC 110.7559

OFZ 25079

100.0977

98.5777 ЁC 101.6177

OFZ 25075

99.7760

98.2560 ЁC 101.2960

OFZ4-09.12

Bond issue

Optimal delivery price

Admissible delivery price range

OFZ 25077

100.5718

97.9718 ЁC 103.1718

OFZ 26203

98.6204

96.0204 ЁC 101.2204

OFZ 25080

99.7933

97.1933 ЁC 102.3933

OFZ 26206

99.6791

97.0791 ЁC 102.2791

OFZ6-09.12

Bond issue

Optimal delivery price

Admissible delivery price range

OFZ 26204

100.6563

96.9163 ЁC 104.3963

OFZ 26208

99.8777

96.1377 ЁC 103.6177

The optimal delivery prices and the minimum and maximum values of the admissible delivery price are calculated in accordance with the Appendix 4 to the contracts' specifications based on futures final settlement prices, values of the conversion rates and initial margin size.