03
October
2011
RTS and Investment and Financial Company METROPOL developed calculators for futures operation with federal loan bonds portfolio
RTS stock exchange and IFC METROPOL developed a number of
analytical instruments – calculators – for efficient futures
operations with FLB portfolio.
Cheapest-to-deliver RTS calculator is presented for the futures
with maturity in December 2011. The calculator enables one to
determine the most advantageous obligation and futures fair value,
as well as to calculate the income in carry-trade strategies and
dealings for a fall. The calculator is available on the
RTS stock exchange website ( http://www.rts.ru/ru/forts/equity/bonds/
).
In their turn, IFC METROPOL, being one of the market makers in the
FLB futures market, developed two calculators: Metropol hedging
calculator and Metropol duration management calculator.
Metropol hedging calculator enables one to determine an optimal
amount of FLB futures for the hedging of an obligations portfolio.
The instrument is constructed on the basis of specific features of
Russian market to improve the quality of calculations.
Metropol duration management calculator is aimed at
increasing or decreasing obligations portfolio duration with
the use of FLB futures. To achieve more precise calculations, the
instrument not only uses portfolio and futures duration, but also
takes into account historical connection between the earning
capacity of a FBL futures and the earning capacity of the
portfolio.
Metropol calculators are available on the websites of IFC METROPOL
(http://ib.metropol.ru/fixed_income_research/index.wbp)
and of RTS stock exchange (http://www.rts.ru/ru/forts/equity/bonds/
).
The trading of futures contracts for the portfolio of federal loan
bonds – supply contracts with the main asset formed by FBL
portfolio including the most liquid of issued securities – started
in February 2011 in the Futures and options market sector of RTS
OJSC (FORTS). This type of contracts enables debt market players to
manage interest-related risks efficiently at long sections of the
profitability curve and broadens their market capabilities
substantially.
