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 |
FORTS, the derivatives market of RTS, is the leading trading venue for futures and options in Russia. Trading on FORTS started in September 2001. According to the Futures Industry Association the derivatives market of RTS is among the TOP-10 global derivatives exchanges based on the results of 2009. At present FORTS has the widest range of instruments in Russia. These are 53 contracts (38 futures and 15 options) on RTS Index, shares of Russian companies, short term interest rates, currency, oil, gold, silver, and sugar.