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

1

2

3

4

5

6

7

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14

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17

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19

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23

No.

1

2

3

4

5

6

7

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9

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15

16

17

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20

21

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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: shortselling@wse.com.pl

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: struktury@gpw.pl

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: krzysztof.mejszutowicz@gpw.pl

Web information: www.derivatives.wse.com.plQuestions: derivatives@wse.com.pl

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