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WARSAW STOCK EXCHANGE THE BIGGEST DERIVATIVES MARKET IN THE CEE REGION

WARSAW STOCK EXCHANGE THE BIGGEST DERIVATIVES MARKET IN THE CEE REGION. WARSAW STOCK EXCHANGE THE BIGGEST DERIVATIVES MARKET IN THE CEE REGION. AN OPPORTUNITY FOR YOU. AN OPPORTUNITY FOR YOU. June 2011. Euro bn. WSE – LARGEST EXCHANGE IN THE CEE REGION.

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WARSAW STOCK EXCHANGE THE BIGGEST DERIVATIVES MARKET IN THE CEE REGION

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  1. WARSAW STOCK EXCHANGE THE BIGGEST DERIVATIVES MARKET IN THE CEE REGION WARSAW STOCK EXCHANGE THE BIGGEST DERIVATIVES MARKET IN THE CEE REGION AN OPPORTUNITY FOR YOU AN OPPORTUNITY FOR YOU June 2011

  2. Euro bn WSE – LARGEST EXCHANGE IN THE CEE REGION DOMESTIC COMPANIES CAPITALIZATION (March 2011) Source: FESE

  3. WSE – LARGEST EXCHANGE IN THE CEE REGION NUMBER OF COMPANIES LISTED (March 2011) Source: WSE, FESE

  4. WSE – LARGEST EXCHANGE IN THE CEE REGION NUMBER OF FOREIGN COMPANIES LISTED (March 2011) Source: WSE, FESE

  5. Euro mil. WSE – LARGEST EXCHANGE IN THE CEE REGION VALUE OF EQUITY TRADING 2010 Source: FESE

  6. Euro mil. WSE – LARGEST EXCHANGE IN THE CEE REGION VALUE OF EQUITY TRADING (January – March 2011) Source: FESE

  7. WSE - BASIC CHARACTERISTICS – CASH MARKET • 51 exchange members (including 23 remote members) • equity market capitalisation (as of end of Q1 2011): • • EUR 144.9 bn (domestic companies) • • EUR 71 bn (foreign companies) • equity market value traded in 2008 - EUR 81 bn,2009 – EUR 85 bn, Q1 2011 – EUR 21 • segments of regulated market:250PLUS – 19%*, 50PLUS – 29%, • 5PLUS – 49%, 5MINUS – 3% * Means the percentage of listed companies belonging to a given segment.

  8. WIG20 INDEX PERFORMANCE

  9. WSE REMOTE MEMBERS Countries of origin: Austria, Bulgaria, Cyprus, Czech Republic, Estonia, France, Germany, Hungary,Slovak Republic, Sweden, UK

  10. STRUCTURE IN TRADING 2005 – H1 2010 Retail; 19% Foreign; 47% STRUCTUREIN 2010 Foreign Institutional Retail Institutional; 34% INVESTORS ON WSE EQUITIES TRADING BY INVESTORS’ TYPE (MAIN LIST) • The share of foreign investors in stock trading was47%, the share of institutions 34%, and the shareof retail investors 19% in 2010; • The share of foreign investors grew from 36% in 2009 to 47% in 2010.

  11. Open Pension Funds Mutual Funds INVESTORS ON WSE MUTUAL AND PENSION FUNDS PENSION AND MUTUAL FUNDS Assets Under Management (EUR bn) Sources: PFSA

  12. BASIC CHARACTERISTICS OF THE DERIVATIVES MARKET • Order-driven, electronic continuous trading with auctions at the opening and at the closing • Derivatives trading: 8.30 a.m. - 5.35 p.m. • Clearinghouse - National Depository for Securities (NDS) • Liquidity supported by market makers

  13. FROM A LOCAL EMERGING MARKET TO A CEE LEADER

  14. TRADED DERIVATIVES - UNDERLYINGS • FUTURES - indices (WIG20, mWIG40) - single stocks - 11 underlyings (Asseco Poland, KGHM,PEKAO, PGE, PGNIG, PKN Orlen, PKO BP, PZU, TPSA, TPE, LTS) – 11out of 20 WIG20companies, the biggest, most liquid - currencies (USD/PLN, EUR/PLN, CHF/PLN) • OPTIONS WIG20 index options (european call & put) • IPUs – MiniWIG20

  15. BLOCK TRADES ON DERIVATIVES • BLOCK TRADES • introduced in 2006 October for all futures & options • registered off session trades • same fees, margin as regular trading in the order book • have defined minimum & maximum volumes: • WIG20 futures - min. 200 contracts, max 1 600 contracts • WIG20 options – min 200 contracts, max 2 400 contracts

  16. Open interest (th contracts) Volume (mil. contracts) RISING VOLUMES DERIVATIVES – VOLUME & OPEN INTEREST

  17. WSE NO. 4 in 2010 Turnover volume in index futures on EU exchanges

  18. WIG20 FUTURES NO. 6 in Q1 2011 Turnover volumesof futures contracts on particular European Indices – top 15 contracts

  19. DERIVATIVES – SOME STATISTICS • 2011January - April, volumes - WIG20 index futures - 4289 th - single stock futures - 222 th - currency futures - 38 th - WIG20 options - 335 th - Participation units - 10 th • 2011, end of April, no of open interest - WIG20 index futures - 123 th - single stock futures - 9.9 th - currency futures - 3.4 th - WIG20 options - 107 th - Participation units - 14 th

  20. STRUCTURE IN TRADING 2005 - 2010 Retail50% Foreign 14% STRUCTUREIN 2010 Foreign Institutional Retail Institutional 36% FUTURES BY INVESTORS’ TYPE • the share of institutional and foreign investorsin futures trading has grown steadily since 2005

  21. Other18% France4% Austria14% STRUCTURE IN H2 2010 United Kingdom64% FOREIGN INVESTORS TRADING FUTURES • market participation of the foreign investors in 2010 hit record high – 14% • number of futures contracts traded by the foreign institutions amounted to 1,8m • British brokers on the lead in terms of option trading

  22. Other6% Investment funds 17% STRUCTURE IN H2 2010 Dealers16% Market makers61% DOMESTIC INSTITUTIONS TRADING FUTURES • market share of the domestic financial institutions in 2010 dropped slightly to 36% • institutional investor’s volumein 2010 amounted to 4,8 mln • the most active among the institutional investors are market makers • investment fund’s activity fell by6 percentage points (23% market share in 2009 within the groupof institutional investors)

  23. STRUCTURE IN TRADING 2005 - 2010 Foreign12% Institutional 28% STRUCTURE2010 Foreign Institutional Retail Retail60% OPTIONS TRADING BY INVESTORS TYPE • the share of retail investors has decreasedsteadily in the past years with the exception of 2009 when the market share increased by 7 percentage points

  24. Other19% Austria9% STRUCTURE IN H2 2010 United Kingdom72% FOREIGN INVESTORS TRADING OPTIONS • share of foreign institutional investors went up to 12% • trading volume made by the offshore institutions in 2010 was higher than the volume from the previous year by 380% • British brokers are also on the lead in terms of option trading

  25. Investmentfunds 5% Banks9% Other3% STRUCTURE IN H2 2010 Market makers83% DOMESTIC INSTITUTIONS TRADING OPTIONS • market share of the domestic institutional investors dropped to 28% • instititution turnover in 2010 amounted to 189k • leading role of market makers with respect to option trading • banks and market makers responsible for 94% of trading volume

  26. NEW DERIVATIVES • New single stock futures: - Tauron (TPE) – December 2010 - Lotos (LTS) – May 2011 • Currency futures: Shorter maturities added - 1 & 2 closest months

  27. SHORT SELLING AT WSE Available securities: a)shares participating in WIG20 index, b)shares with: -the average daily value of trading (last 6 months) higher than PLN 4 mio - value of free-float shares at least equal to PLN 300 mio, c)shares whose free-float value on the first day of trading represents or represented at least 1% of the value of free-float shares of all companies participating in the shares liquidity ranking, d)Treasury Bonds.

  28. SHORT SELLING AT WSE • WSE publishes two lists of securities available for short sale: • Securities available for clients’ and dealers’ orders - more than 30 securities • List of securities available for market makers short sale orders - 140 securities • Lists published on a daily basis. • Standard changes to the list (other special ones) 8 times a year: • - after 7th February; after the third Friday of March; after 7th May; • - after the third Friday of June; after 7th August; • - after the third Friday of September; • - after 7th November; after the third Friday of December

  29. SHORT SELLING AT WSE Short sale orders must be flagged Accepting of short sale orders may be suspended (by WSE) in case of: a)significant increase in settlement risk – information from the National Depository (KDPW), b)significant decrease in the value of the WIG index (-3%)/price of individual shares (-10%) during a trading session in combination with a high share of the value of trading in short sale transactions in the value of trading in all transactions on the market (more than 20%) c)if required by the safety of exchange trading, on request of the Polish Financial Supervision Authority In case a) and c) short sale may be suspended for: • specific securities, • all securities (orders from a specific Member), • specific securities (orders from a specific Member).

  30. SHORT SELLING AT WSE • WSE publishes information on short sale transactions in real time. • After the closing of a trading session, for all securities available for short sale orders, WSE publishes information: - about the cumulative volume, - value of trading, - number of short sale transactions. • The information is published via: - the electronic information distribution mechanisms, - the Exchange website, - the Exchange Daily Bulletin (Ceduła), See more: www.gpw.pl -> Investor Centre -> Short selling and securities lending Ask questions: shortselling@wse.com.pl

  31. ETF on WIG20 • Issuer - LYXOR AM • Traded in PLN only at WSE • Value 1/10 index – around 250 PLN • Continuous trading (9.00-17.30) as for shares • Liquidity provided by market makers • Creation/redemption similar to other ETFs

  32. SOON ON THE WSE • • Introduction of single stock options (due to short selling) • NDS becomes CCP in 2Q • Remote Clearing in 3Q 2011 • • UTP - new trading system: new functionalities for derivatives

  33. STRUCTURED PRODUCTS AT WSE • 2006 August – first instrument, Deutsche Bank London bond, ‘db Magic Three’, • 2007 March - first certificate, tracking NTX price index, by ERSTE Bank, • Raiffeisen Centrobank (RCB) – the biggest no of products since Sept 2007:open-end certificates, different underlyings: basket of shares, indices (DAX; DJ EuroSTOXX50; NIKKEI225, NASDAQ) and commodities (brent crude, gold, silver), • 2010 summary: • value of trading PLN 286 million (+82% comp. to 2009), volume 6.7 million, • 7 issuers, 95 new products • 2011(Jan – Apr) – 16 new products • 2011April – 148 traded instruments • 27 bonds – Barclays Bank, SecurAsset • 121 certificates – RCB, Deutsche Bank, UniCredit Bank AG, Erste Bank, BNP Paribas. Ask questions: struktury@gpw.pl

  34. COUNTRY OF ORIGINOF STRUCTURED PRODUCTS ISSUERS ON THE WSE

  35. certificates bonds STRUCTURED PRODUCTS AT WSE

  36. CONTACT Krzysztof Mejszutowicz Head of Derivatives Team Market Development Department Warsaw Stock Exchange phone: +48 22 537 - 73 89 or -72 00 Mobile: +48 605 470 651 e-mail: krzysztof.mejszutowicz@gpw.pl Web information: www.derivatives.wse.com.pl Questions: derivatives@wse.com.pl

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