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DERIVATIVES AND STRUCTURED PRODUCTS by mpm74462

VIEWS: 93 PAGES: 16

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The Warsaw Stock Exchange is the leading and most                The first options debuted on the Warsaw Exchange in
dynamic market for derivative instruments in the CEE             September 2003. They were European-style options based
region. This market has grown substantially since its            on the WIG20 index.
launch 10 years ago.
                                                                 In October 2006, the WSE introduced block trades in all
The WSE derivates market was launched in January                 futures and options.
1998 with the introduction of futures on the WIG20 –
the index covering the 20 largest and most liquid                In November 2008, the following derivative instruments
companies listed on the WSE. In the following years the          were traded on the WSE:
exchange extended its offer of derivatives by three
underlying assets, offering currency, stock and bond             •   WIG20 and mWIG40 index futures,
futures.                                                         •   USD/PLN, EUR/PLN, GBP/PLN and CHF/PLN futures,
                                                                 •   single stock futures (TPS, PKN, PEO, KGH, AGO, PKO),
November 2001 saw the arrival of a new derivative                •   index options (WIG20),
product, the MiniWIG20. Index Participation Units                •   MiniWIG20 (IPUs).
(IPUs) track the performance of the WIG20 index. The
MiniWIG20 offers an opportunity to invest in the                 The WIG20 futures market has been the most dynamic
WIG20 index portfolio without purchasing individual              segment of the WSE derivatives market:
index components.


                                                                                                                   12.0 (2008 forecast)


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                                                                                                  6.73

                                                                                        5.65


                                                                      4.39
                                              3.78                             3.73
                                                          3.42



                                    1.52


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                                                                      20




                                                                               20
                                                      20




                                                                                        20




                                                                                                 20




                                                                                                          20




Source: WSE
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    2007 was a record breaking year for the WSE                 market. The overall value of trading in derivative
    derivatives market.                                         products on the WSE amounted to Euro 190 billion
                                                                (PLN 674.6 billion).
    The total volume of trading in all derivative instruments
    increased by 47% over the previous year and amounted        The volume of trading in futures in 2007 increased
    close to 10 million contracts, which in comparison with     by 50% over the previous year and totalled 9.4 million
    the 24 thousand derivatives traded in 1998, illustrates     contracts, while the volume of trading in options
    an impressive growth of the Warsaw derivatives              increased by 21% and amounted to 399,113 options.




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     The year 2008 so far brings new records for the WSE       time in the history of the WSE and totalled 127,900
     derivatives market and a promise of another successful    contracts (17% more than the earlier record in January
     year for this dynamic segment of the Warsaw Stock         2007). Increase in trading volume was accompanied by the
     Exchange.                                                 record rise in the number of open interest to nearly 136,000
                                                               at the end of February 2008 (compared to the previous
     The monthly derivatives trading volume in October         highest number of almost 130,000 in January 2008).
     2008 reached 1.6 million contracts, which was 20%
     higher than the previous monthly record of 1.3 million    Three quarters into 2008, the WSE maintains a high 4th
     noted in January 2008. The 2008 derivatives trading       place in Europe as regards index futures contracts volumes.
     volume so far amounted to 10.8 mil. contracts, which is   The WIG20 futures contract is placed 8th among European
     already 109% of the whole 2007 amount.                    index contracts. WIG20 options are in 12th place in terms
                                                               of turnover volume among European index options.
     The highest daily volume of derivatives trading on the    According to turnover volume in index and stock derivatives
     WSE was reached on March 19, when the level of daily      on CEE region exchanges, the WSE maintains first position,
     trading exceeded 100,000 contracts for the second         leaving Hungary, Austria and Czech Republic behind.




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                                                     Not only the record breaking 2008 performance, but
                                Turnover volume      also other developments lend support to a positive
 No.               Exchange       Q1-Q3 2008         outlook for the WSE derivatives market. With the co-
                                (no. of contracts)   ming into force of new securities lending regulations
                                                     and the launch of short selling, the WSE will reintro-
   1      EUREX                  371,504,525         duce trading in stock options. As of 1 September
                                                     2008 derivative instruments market sessions have
   2      Liffe NYSE Euronext     76,525,955
                                                     been extended by 30 minutes. Now sessions start at
   3      OMX                     28,423,781         8:30 (previously at 9:00) and end at 16:30 (no
   4      WSE                      8,657,858         change). Furthermore the abbreviated names of all fu-
                                                     tures contracts were changed after the session of 19
   5      SPAIN                     8,044,510
                                                     September. The number of digits designating the ex-
   6      NORWAY                   6,523,984         piry year of futures contracts used in the abbreviated
   7      ITALY                    5,589,782         names of contracts was increased by one more digit.
   8      HUNGARY                  2,572,893
                                                     Moreover, the WSE works on further expanding the
   9      GREECE                   2,143,257         number and variety of derivative products available to
  10      AUSTRIA                     195,713        investors. New currency contracts GBP/PLN and
  11      CZECH REPUBLIC                2,469        CHF/PLN were introduced to trading on September
                                                     30, 2008.
Source: Exchanges’ web sites.




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                                Turnover volume
 No.               Exchange       Q1-Q3 2008           (%)
                                (no. of contracts)

   1      WSE                      9,121,905         68.2%
   2      HUNGARY                  3,380,367         25.3%
   3      AUSTRIA                     863,685          6.5%
   4      CZECH REPUBLIC                 2,469       0.02%
Source: Exchanges’ web sites.




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                                  10                                                                                                      80
                                                                                                                       9.48
                                   9
                                                   Annual volume                                                                          70




                                                                                                                                               Open interest (1000’ contracts)
                                   8               Open interest

     Volume (mil. contracts)
                                                                                                                                          60
                                   7
                                                                                                       6.39
                                                                                                                                          50
                                   6
                                                                                             5.38
                                   5                                                                                                      40
                                                                           4.23
                                           3.75                                      3.61
                                   4
                                                                                                                                          30
                                                          3.18
                                   3
                                                                                                                                          20
                                   2

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                                        Source: WSE




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                                  450                                                                                                     25

                                                                                                              399.18




                                                                                                                                                   Open interest (1000’ contracts)
                                  400
                                                   Annual volume
       Volume (1000’ contracts)




                                                                                              327.83                                      20
                                  350              Open interest

                                  300                                                                                          281.62
                                                                                   254.43                                                 15
                                  250


                                  200
                                                                                                                                          10
                                  150


                                  100                              78.75
                                                                                                                                          5

                                  50         20.65

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                                        Source: WSE




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Every six months the WSE publishes the results of                                                 Participants of the survey are members of the WSE.
research on the investor structure.                                                               Below are the results from H1 2002 to H1 2008.




n s e ra
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Ie t r t t g
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  t u f ei
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100%
            19            14                                                         18               15
                                              23            24        26                                                 23        24           26
 80%                                                                                                                                                            31              36             38


 60%

            80            84                  75            74        70             79               80                 71        69           63              57              56             52
 40%



 20%
                                                                                                                                                11              12                8            10
                                                                      4              3                5                  6          7
             1             2                  2             2
 0%
                            02




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                                                                                                                                                                                       H
       Source: WSE
                                                                       Foreign               Domestic individual                  Domestic institutional




n s ei s g
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Ie t rp r
 sr – o t
  t u
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100%
                 11
                                   21                  20             23                     25                  28                24                39                  32                31
 80%



 60%

             73                    70                  76             75                     74                  69                74                50                  56                56
 40%



 20%
             16                                                                                                                                      11                  12                12
                                   9
                                                       4               2                                         2                 2
                                                                                             1
 0%
               03




                                     04




                                                         04




                                                                        05




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                                                                                                                                                                                           20
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       Source: WSE
                                                                       Foreign               Domestic individual                  Domestic institutional




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                              FXYZkrr
                              where:
     ABBREVIATED                  F – type of instrument (futures)
     CONTRACT                  XYZ – abbreviated name of underlying instrument
                                  k – delivery month code
                                  rr – last two digits of delivery year
     UNDERLYING INSTRUMENT    WIG20, mWIG40 indices
     MULTIPLIER               PLN 10
     CONTRACT VALUE           Multiplier x contract price
     TRADING UNIT             Index points
     DELIVERY MONTHS          Four nearest months of the March, June, September and December cycle
     FOR WIG20 FUTURES
     DELIVERY MONTHS          Three nearest months of the March, June, September and December cycle
     FOR mWIG40 FUTURES
     LAST TRADING DAY         The third Friday of the delivery month
                              The date on which the final settlement price is determined.
     EXPIRY DATE
                              The same date as the last trading day
                              The first trading day following expiry of the previous contract.
     FIRST TRADING DAY
                              Set by the Exchange for the first series in a class
                              Final settlement price is determined on the contract expiry date as the arithmetic
     FINAL SETTLEMENT PRICE   mean of all given index (WIG20, mWIG40) values from the last hour of continuous
                              trading and its value at session close
     SETTLEMENT               In cash in PLN




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i l sfr
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                         FXYZkrr
                         where:
ABBREVIATED                 F –    type of instrument (futures)
CONTRACT NAME             XYZ –    abbreviated name of underlying instrument
                            k –    delivery month code
                            rr –   last two digits of delivery year
NUMBER OF SHARES
                         100
PER CONTRACT
UNDERLYINGS              AGO, KGH, PEO, PKN, PKO, TPS
CONTRACT VALUE           The product of the contract price and the number of shares per contract
TRADING UNIT             PLN (per share)
DELIVERY MONTHS          Three nearest months of the March, June, September and December cycle
LAST TRADING DAY         The third Friday of the delivery month
                         The date on which the final settlement price is determined.
EXPIRY DATE
                         The same date as the last trading day
FIRST TRADING DAY        The first trading day following expiry of the previous contract.
OF A NEW SERIES          Set by the Exchange Management Board for the first series of a class
                         Final settlement price is determined on the expiry date as the volume-weighted
FINAL SETTLEMENT PRICE   arithmetic average of all transactions in the underlying equities during a session,
                         as per the quotation systems
SETTLEMENT               In cash in PLN


uy e
r
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C frs

                         FXYZkrr
                         where:
ABBREVIATED                 F –    type of instrument (futures)
CONTRACT NAME             XYZ –    abbreviated name of underlying instrument (USD, EUR, GBP or CHF)
                            k –    delivery month code
                            rr –   last two digits of delivery year
CONTRACT SIZE            10,000 EUR or 10,000 USD or 10,000 GBP or 10,000 CHF
TRADING UNIT             Polish zloty (PLN) per 100 EUR or 100 USD or 100 GBP or 100 CHF
                         Four calendar months from the March quarterly cycle
DELIVERY MONTHS
                         (March, June, September and December)
                         The third Friday of the delivery month.
LAST TRADING DAY
                         Trading in the series of contracts which expire on that day shall end at 10:30
EXPIRY DATE              The same date as the last trading day
FIRST TRADING DAY        Trading day following expiry of the previous contract
                         The average EUR, USD, GBP or CHF exchange rate determined by the National Bank
FINAL SETTLEMENT PRICE   of Poland at the fixing on the contract expiry date multiplied by 100.
                         Expressed to the nearest 0.01PLN (per 100 EUR or USD or GBP or CHF)
SETTLEMENT               In cash in PLN




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                             OXYZkrccc
                             Where:
                                O – type of instrument (options)
                              XYZ – abbreviated name of underlying instrument (W20 for WIG20)
                                k – option type and expiry month code

     ABBREVIATED                                              CALL                    PUT
     CONTRACT NAME               March                         C                       O
                                 June                          F                       R
                                 September                      I                      U
                                 December                      L                       X
                                r – last digit of expiry year
                              ccc – exercise price designation
     MULTIPLIER              PLN 10
     OPTION VALUE            Product of option price and multiplier
     QUOTATION UNIT          Index points
     EXPIRY MONTHS           Four nearest months of the March, June, September, December cycle
     EXPIRY DATE             Third Friday of the expiry month for the series
     LAST TRADING DAY        Expiry date
     FIRST TRADING DAY       First trading day after expiry date of the previous series
                             Settlement price is determined on the expiry date as the arithmetic mean
     SETTLEMENT PRICE        of all WIG20 index values during the last hour of continuous trading
                             and the index value as determined at the close of trading
                             Automatic exercise on expiry date if option is ITM
     OPTION EXERCISE RULES   Option owner may waive exercise
     SERIES OF OPTIONS       4 OTM, 4 ITM, 1 ATM
     INTRODUCED
     IN THE FIRST DAY
     SETTLEMENT              Cash in PLN




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na i U n )
 dr o sW
 xi a i ( i G
  P
Ie tt n i I 0
   cn M
   ip t     2

                        MW20
                        Where:
ABBREVIATED IPU NAME      M – instrument name
                        W20 – abbreviated name of the underlying instrument

UNDERLYING INSTRUMENT   The WIG20 index
MULTIPLIER              PLN 0.1
VALUE OF AN IPU         Multiplier x value of underlying instrument
QUOTATION UNIT          In PLN per IPU
                        Last but one exchange trading day in December 2025
                        In exceptional cases, the Exchange Management Board may set
LAST TRADING DAY        the last trading day to fall on a different date, but must disclose such
                        information to the public at least 4 weeks in advance
                        The day on which the settlement price is determined for the last time.
EXPIRY DATE             The first exchange trading day after the last trading day
                        The product of the opening value of underlying instrument
SETTLEMENT PRICE        (determined daily as of the second trading day) and the multiplier
                        The holder may exercise the IPU and receive a payment from the writer
RIGHTS OF IPU HOLDERS   equal to the settlement balance as at the first exchange trading day
                        following the exercise
                        Determined by the NDS. Following exercise, the holder receives
IPU EXERCISE RULES
                        the settlement balance
                        The date on which the IPU holder exercises his right or, if there is no early
                        exercise, the trading day preceding the expiry date.
EXERCISE DATE           Exercise is allowed on any trading day until and including the day
                        preceeding the expiry date
                        The next working day following the date on which the settlement price is
SETTLEMENT DATE
                        determined
SETTLEMENT              Cash in PLN




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                                                                B ddi s
                                                                lk sre
                                                                o ee
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                                                                 t o a
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                                                                  a  i v
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     All derivatives are traded in the continuous trading       In October 2006 the WSE introduced block trades in all
     system from 8.30 a.m. to 4.30 p.m.                         futures and options. They are registered off-session trades.
                                                                Block trades in futures may be executed after the first trade
     The National Depository for Securities (KDPW S.A.) is      in the order book for a given futures series. Fees are the
     responsible for clearing and settlement of transactions.   same as for transactions in the order book.
     It also sets the margins for derivatives trading.          Price variations can be any price within static thresholds
                                                                defined for the order book transactions (no dynamic
                                                                thresholds). Block trades have defined minimum and
                                                                maximum volumes, for example:
                                                                - WIG20 futures – min. volume 200 max. volume 1,600
                                                                   contracts
                                                                - WIG20 options – min. volume 200 max. volume 2,400
                                                                   contracts.




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t rrt
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u p s
 c
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S edc
n S
t E
 h
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oW
In August 2006, the WSE introduced trading in new              Raiffeisen Centrobank (RCB) structured certificates
instruments, so-called structured products. The first          followed in September 2007 and July 2008. These were
products of this kind were structured bonds issued by          open-end certificates, linked to a number of underlying
Deutsche Bank London, called ‘db Magic Three’. These           instruments including a basket of shares and commodities
3-year structured bonds are linked to equity, money,           (e.g. “Eastbasket UK” comprising Ukrainian and Kazakh
commodity and real estate markets. The issue of the            markets or “Soft Commodity Basket Focus Food”), indices
second tranche of this bond was launched in August             (DAX; DJ EuroSTOXX50; CEEC, CECExt, RDX, NIKKEI225,
2007.                                                          NASDAQ) and commodities (Brent Crude, gold, silver,
                                                               sugar). Currently there are 19 RCB certificates listed on the
The second instrument of this kind listed on the WSE           WSE.
was ‘db Obligacja WIG20’ also from Deutsche Bank
London – three-year structured bond linked to the              Deutsche Bank London, UniCredit HVB and BNP Paribas
WIG20 index.                                                   are the next issuers of structured certificates bringing new
                                                               ways of investing to the Polish market.
Furthermore Barclays Bank joined the group of
structured bond issuers on the WSE with six products           There are still more structured bonds and certificates from
currently listed.                                              other issuers planned to be listed on the WSE soon.

All bonds guarantee 100% refund on nominal value on            Structured products on the WSE belong to the cash market.
the expiry date.                                               Structured bonds are traded on the parallel market under
                                                               the single-price system with two auctions. Their trading
The first structured certificate, tracking the perfor-         rules are exactly the same as for zero-coupon bonds.
mance of the NTX price index, was issued in March              Structured certificates are traded on the parallel market in
2007 by ERSTE Bank.                                            the continuous trading system. The settlement is T+2. The
                                                               trading rules for them are very similar to trading rules for
                                                               shares.



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  Certificates
  Bonds

                                                                                     33          33           33

                                                         18            21
                  16          16          17

      9

                              5           5              6              6            7            7           9
      3            3
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       DERIVATIVES   REUTERS       BLOOMBERG
          FW20       0#W20:        WIA Index CT
          FW40       0#MW40:       BMA Index CT
          FAGO       0#AGOD:    AGO=A WX Equity CT
          FKGH       0#KGHM:    KGH=A WX Equity CT
          FPEO       0#BAPE:    PEO=A WX Equity CT
          FPKN       0#PKNA:    PKN=A WX Equity CT
          FPKO       0#PKOB:    PKO=A WX Equity CT
          FTPS       0#TPSA:    TPS=A WX Equity CT
          FEUR       0#EUPL:       FOA Crncy CT
          FUSD       0#USPL:       FSA Crncy CT
          FGBP       0#FGBP:       PPLA Crncy CT
          FCHF       0#FCHF:       CPLA Crncy CT
         MW20        0#IPU.WA         ———




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Warsaw Stock Exchange                 National Depository for Securities
ul. Książęca 4                        Krajowy Depozyt Papierów Wartościowych (KDPW)
00-498 Warsaw                         ul. Książęca 4
Poland                                00-498 Warsaw
tel. +48 22 628 32 32                 Poland
fax +48 22 628 17 54                  tel. +48 22 537 93 43
www.wse.com.pl                        fax +48 22 627 31 11
                                      www.kdpw.pl

Contact:                              Derivatives Clearing House (part of KDPW)
Jarosław Ziębiec                      irip@kdpw.pl
Director of Financial Instruments
Development Department                In case of additional questions, contact:
tel. +48 22 537 72 00                 Marcin Truchanowicz
     +48 22 537 73 89                 tel. +48 22 537 95 64
e-mail: jaroslaw.ziebiec@wse.com.pl   e-mail: marcin.truchanowicz@kdpw.pl

                                      Paweł Popławski
                                      tel. +48 22 537 93 74
                                      e-mail: pawel.poplawski@kdpw.pl


                                      Polish Financial Supervision Authority
                                      Komisja Nadzoru Finansowego (KNF)
                                      Plac Powstańców Warszawy 1
                                      00-950 Warsaw
                                      Poland
                                      tel. +48 22 332 66 00
                                      fax +48 22 332 67 93 (602)
                                      www.knf.gov.pl




                                      The publication of this document does not represent
                                      a solicitation nor should it be considered a suggestion by
                                      the Warsaw Stock Exchange as to the suitability of the
                                      investment, if any, described herein.

                                      This document is meant for information purposes
                                      and personal use only. The Warsaw Stock Exchange
                                      accepts no liability resulting from any inaccuracies
                                      and/or errors and/or omissions nor for any decisions
                                      and/or actions taken by a party based on the information
                                      contained in this document.
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