OREANDA-NEWS. December 6, 2011. On December 5, 2011 futures contracts on baskets of Russian Federation government bonds (OFZ2-12.11 and OFZ4-12.11) 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:

OFZ2-12.11

Issue

Optimal
delivery price

Range for admissible delivery prices
(minimum and maximum
admissible delivery prices)

OFZ 25072

99.7786

96.7786 – 102.7786

OFZ 25078

99.2911

96.2911 – 102.2911

OFZ 25076

99.9378

96.9378 – 102.9378

OFZ4-12.11

Issue

Optimal
delivery price

Range for admissible delivery prices
(minimum and maximum
admissible delivery prices)

OFZ 25079

98.0682

93.9482 – 102.1882

OFZ 25075

97.5547

93.4347 – 101.6747

OFZ 25077

98.5817

94.4617 – 102.7017

OFZ 26203

96.3942

92.2742 – 100.5142

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.