WARSAW STOCK EXCHANGETHE BIGGEST DERIVATIVES MARKET IN THE CEE REGION
WARSAW STOCK EXCHANGETHE BIGGEST DERIVATIVES MARKET IN THE CEE REGIONAN OPPORTUNITY FOR YOUAN OPPORTUNITY FOR YOU
June 2011
WSE – LARGEST EXCHANGE IN THE CEE REGION
Euro bn
Source: FESE
DOMESTIC COMPANIES CAPITALIZATION
(March 2011)
WSE – LARGEST EXCHANGE IN THE CEE REGION
Source: WSE, FESE
NUMBER OF COMPANIES LISTED
(March 2011)
WSE – LARGEST EXCHANGE IN THE CEE REGION
Source: WSE, FESE
NUMBER OF FOREIGN COMPANIES LISTED
(March 2011)
WSE – LARGEST EXCHANGE IN THE CEE REGION
Euro mil.
Source: FESE
VALUE OF EQUITY TRADING 2010
Euro mil.
WSE – LARGEST EXCHANGE IN THE CEE REGION
Source: FESE
VALUE OF EQUITY TRADING
(January – March 2011)
• 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: 250 PLUS – 19%*, 50 PLUS – 29%, 5 PLUS – 49%, 5 MINUS – 3%
WSE - BASIC CHARACTERISTICS – CASH MARKET
AVERAGE DAILY TRADING FIGURES - EQUITY MARKET in 2010
• 232 000 orders
• 48 000 trades
• EURO 467 million - average daily equity turnover value
* Means the percentage of listed companies belonging to a given segment.
WIG20 INDEX PERFORMANCE
WSE REMOTE MEMBERS
Countries of origin:Austria, Bulgaria, Cyprus, Czech Republic, Estonia, France, Germany, Hungary,
Slovak Republic, Sweden, UK
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No.
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Remote Member
Concorde Securities
Wood & Company
Raiffeisen
Credit Suisse
J P Morgan
UNICREDIT BANK
Societe Generale
HSBC Bank
Cyrrus
Dragon Capital
Neonet Securities
Swedbank
Fio
Equilor Investment Ltd.
Goldman Sachs
IP Intercapital Markets AD
DekaBank
Merrill Lynch
LiquidnetEurope
UBS Ltd.
Nomura International PLC
Renaissance Securities
Morgan Stanley & Co.
Remote Member
Concorde Securities
Wood & Company
Raiffeisen
Credit Suisse
J P Morgan
UNICREDIT BANK
Societe Generale
HSBC Bank
Cyrrus
Dragon Capital
Neonet Securities
Swedbank
Fio
Equilor Investment Ltd.
Goldman Sachs
IP Intercapital Markets AD
DekaBank
Merrill Lynch
LiquidnetEurope
UBS Ltd.
Nomura International PLC
Renaissance Securities
Morgan Stanley & Co.
Country
Hungary
Czech Rep.
Austria
UK
UK
Germany
France
UK
Czech Rep.
Cyprus
Sweden
Estonia
Slovak Rep.
Hungary
UK
Bulgaria
Germany
UK
UK
UK
UK
Cyprus
UK
Country
Hungary
Czech Rep.
Austria
UK
UK
Germany
France
UK
Czech Rep.
Cyprus
Sweden
Estonia
Slovak Rep.
Hungary
UK
Bulgaria
Germany
UK
UK
UK
UK
Cyprus
UK
STRUCTUREIN 2010
Retail;
19%
Institutional;
34%
Foreign;
47%
STRUCTURE IN TRADING 2005 – H1 2010
Foreign Institutional Retail
INVESTORS ON WSE
EQUITIES TRADING BY INVESTORS’ TYPE (MAIN LIST)
• The share of foreign investors in stock trading was 47%, the share of institutions 34%, and the share of retail investors 19% in 2010;
• The share of foreign investors grew from 36% in 2009 to 47% in 2010.
INVESTORS ON WSE
MUTUAL AND PENSION FUNDS
Sources: PFSA
PENSION AND MUTUAL FUNDS
Assets Under Management (EUR bn)
Open Pension Funds Mutual Funds
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
FROM A LOCAL EMERGING MARKET TO A CEE LEADER
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) – 11
out of 20 WIG20 companies, the biggest, most liquid
- currencies (USD/PLN, EUR/PLN, CHF/PLN)
• OPTIONS
WIG20 index options (european call & put)
• IPUs – MiniWIG20
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
RISING VOLUMES
Volume (mil. contracts)Open interest (th contracts)
DERIVATIVES – VOLUME & OPEN INTEREST
Turnover volume in index futures on EU exchanges
No. ExchangeTurnover volume
in contracts2010
1 EUREX 112 569 931
2 Liffe NYSE Euronext 24 382 345
3 OMX 8 158 726
4 WSE 3 506 970
5 SPAIN 2 475 753
6 ITALY 2 069 295
7 NORWAY 1 551 386
8 GREECE 670 327
9 HUNGARY 454 062
10 AUSTRIA 70 553
12 CZECH REPUBLIC 462
WSE NO. 4 in 2010
Turnover volumes of futures contracts on particular European Indices – top 15 contracts
WIG20 FUTURES NO. 6 in Q1 2011
No. Exchange IndexTurnover volume
in contracts Q1 2011
1 EUREX EURO STOXX 50 94 757 810
2 Liffe NYSE Euronext CAC 40 11 484 580
3 EUREX DAX 10 296 808
4 Liffe NYSE Euronext FTSE 100 9 209 232
5 OMX OMXS30 7 915 806
6 WSE WIG20 3 498 665
7 EUREX SMI 3 218 338
8 Liffe NYSE Euronext AEX 3 154 845
9 SPAIN IBEX 35 1 575 272
10 NORWAY OBX 1 551 386
11 ITALY FTSE MIB 1 423 539
12 SPAIN IBEX 35 MINI 900 481
13 GREECE FTSE/ATHEX 20 670 191
14 ITALY Mini FTSE MIB 645 756
15 HUNGARY BUX 454 062
DERIVATIVES – SOME STATISTICS
• 2011 January - April, volumes- WIG20 index futures - 4 289 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
STRUCTUREIN 2010
Retail
50%Foreign
14%
Institutional
36%• the share of institutional and foreign investors
in futures trading has grown steadily since 2005
STRUCTURE IN TRADING 2005 - 2010
Foreign Institutional Retail
FUTURES BY INVESTORS’ TYPE
• 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
Austria
14%
France
4%
Other
18%
United Kingdom
64%
STRUCTURE
IN H2 2010
FOREIGN INVESTORS TRADING FUTURES
DOMESTIC INSTITUTIONS TRADING FUTURES
STRUCTURE
IN H2 2010
Market makers
61%
Other
6%
Dealers
16%
Investment funds
17%
• 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)
STRUCTURE2010
Retail
60%
Foreign
12%Institutional
28%
• 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
OPTIONS TRADING BY INVESTORS TYPE
STRUCTURE IN TRADING 2005 - 2010
Foreign Institutional Retail
• 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
FOREIGN INVESTORS TRADING OPTIONS
Austria
9%
United Kingdom
72%
STRUCTURE
IN H2 2010
Other
19%
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
STRUCTURE
IN H2 2010
Banks
9%Other
3%
Investmentfunds
5%
Market makers
83%
NEW DERIVATIVES
• New single stock futures:
- Tauron (TPE) – December 2010
- Lotos (LTS) – May 2011
• Currency futures:
Shorter maturities added - 1 & 2 closest months
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.
SHORT SELLING AT WSE
WSE publishes two lists of securities available for short sale:1) Securities available for clients’ and dealers’ orders - more than 30 securities2) 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
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).
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: [email protected]
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
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
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 • 2011 April – 148 traded instruments
• 27 bonds – Barclays Bank, SecurAsset• 121 certificates – RCB, Deutsche Bank, UniCredit Bank AG, Erste Bank, BNP Paribas.
Ask questions: [email protected]
COUNTRY OF ORIGINOF STRUCTURED PRODUCTS ISSUERS ON THE WSE
STRUCTURED PRODUCTS AT WSE
bonds certificates
Krzysztof MejszutowiczHead of Derivatives TeamMarket Development DepartmentWarsaw Stock Exchangephone: +48 22 537 - 73 89 or -72 00Mobile: +48 605 470 651e-mail: [email protected]
Web information: www.derivatives.wse.com.plQuestions: [email protected]
CONTACT