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On September 5, 2011 futures contracts on baskets of federal loan bonds (OFZ2-6.11 and OFZ4-9.11) 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:
OFZ2-9.11
| Issue | Optimal delivery price | Range for admissible delivery prices (minimum and maximum admissible delivery prices) |
|---|---|---|
| OFZ 25072 | 101.5329 | 98.4329 - 104.6329 |
| OFZ 25078 | 100.8834 | 97.7834 - 103.9834 |
| OFZ 25076 | 100.2751 | 97.1751 - 103.3751 |
OFZ4-9.11
| Issue | Optimal delivery price | Range for admissible delivery prices (minimum and maximum admissible delivery prices) |
|---|---|---|
| OFZ 25075 | 99.1492 | 94.9692 - 103.3292 |
| OFZ 25077 | 100.3770 | 96.197 - 104.557 |
| OFZ 26203 | 98.1504 | 93.9704 - 102.3304 |
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.
