Treasury note futures basic information for investors. Jarosław Ziębiec Head of Derivatives WSE June 2005. T-note futures:applications Benefits of trading T-note futures at the WSE WSE new members – polish banks T-note futures basic information Conversion factor Position limits
Head of Derivatives WSE
Banks can do proprietary trading at the WSE:
Trasury note futures, trasury bonds
All futures and options contract
Banks are trading via Treasury Dept.
Currenty (June 2005) 5 banks are trading T-note futures:
BPH, PEKAO, PKO BP, Millennium, ING
Benefits for banks:
New opportunityWSE new members - polish banks
Daily price limits - +/- 1,5 percentage points (150 basis points) from the reference price
Initial margin = 2,8% of the contract value
Manintenance margin = 2%
Daily market-to-market by NDS
Fees – no WSE fees for members until 31.12.2005
Liquidity supported by 5 market makersTrading
maximum of 7,500 open short and long positions for all series of note futures contracts. The position limit includes all open positions within a clearing member, both on their own and on their clients’ accounts.
NIK position limit (investor account)
maximum of 7,500 open short and long positions for all series of note futures contracts. If the investor has accounts with several clearing members, how much of the limit was used is determined on the basis of the sum total of open positions on those accounts.Position limits
r – interest rate used to determine a conversion factor, equal to 6% p.a.
n – number of years left until maturity of a security after a coupon payment date following the delivery date. If the day of granting the right to interest falls between day T and day T+3 (where T is the last trading day for a contract series) or earlier and the coupon is paid after the delivery settlement date, it is disregarded when “n” is determined.
C – annual coupon per PLN 100 of the par value of notes. If the day of granting the right to interest on notes falls between day T and day T+3, this payment is disregarded.
y – current number of days between two annual interest payment dates, taking the delivery date into account (both 365 and 366 days).
d – current number of days between the delivery settlement date (T+4) and interest (coupon) payment date following the delivery date.
PV – present value of each PLN 100 of the par value of notes, discounted at rate r as at the coupon payment date.Conversion factor
Determined for 100 PLN of nominal value
known before trading of each T note series -published by NDS and WSEConversion factor
Last trading date – T (Friday)
Delivery date – T+4
In exceptional case NDS may settle part of open position in cash - if market position limit is exceeded
market position limit - a limit is established for the value of all open positions for a series of note futures contracts on the last trading day: 20% of the value of notes in the basket.Settlement
fixed interest treasury notes issued by the Minister of Finance,
with a minimum issue value of PLN 5 billion
remaining maturity of not less than 2 years and 9 months and not more than 5 years and 6 months as of the futures contract delivery date
NDS and WSE select bonds which could be delivered and publish ”list of deliverable bonds”
Currently (June 2005) list of deliverable bonds for contract FPS5Z05 include: DS0509, PS0310, DS1110.List of deliverable bonds
„Trading rules for T-note futures”,
Information about CF, list of deliverable bonds,
Other marketing information,
Please contact your local polish broker for detailsMore information
Head of Derivatives Section
Market Operations and Development
Warsaw Stock Exchange
phone +48 22 537 73 89
mobile +48 605 470 651