OREANDA-NEWS. February 15, 2011. On February 17, 2011 trading in futures contracts on a basket of federal loan bonds will start on FORTS, options and futures market of OJSC RTS.

‘The introduction of these contracts to trading represents a new stage in developing the Russian market in fixed income instruments as in essence  futures on federal bonds are derivatives on long-term interest rates’, said Evgeny Serdyukov, Director of the Futures & Options Market at OJSC RTS.

Futures on a basket of federal loan bonds will allow market participants to manage efficiently a portfolio of debt instruments and hedge interest rate risks in the long segment of the yield curve. This new instrument will provide an opportunity to make profits on both rising and falling markets  (using the opportunity to sell short) as well as to form strategies based on changes of interest rates structure.

The following futures on baskets of short-term and medium-term federal loan bonds will be admitted to trading:

Full code

OFZ2-6.11

OFZ4-6.11

Short code

O2M1

O4M1

Contract’s name

Futures contract on two-year federal loan bonds

Futures contract on four-year federal loan bonds

Contract’s type

Deliverable

Deliverable

Underlying asset

The basket of the bonds shall include the most liquid issues of federal loan bonds with a period from the Contract’s settlement to the maturity date comprising of 1-3 years. 

The basket of the bonds shall include the most liquid issues of federal loan bonds with a period from the Contract’s settlement to the maturity date comprising of 3-6 years. 

List of federal loan bonds issues to be included into the basket (as well as conversion rates for them) is determined by the Exchange’s decision for each of the futures contract with the specific settlement day and  is published online at www.rts.ru.

Contract’s code in   Reuters

 O2RTSM1

 O4RTSM1