D E R I V A T I V E S - GPW

DERIVATIVES
STRUCTURED PRODUCTS
WARANTS• ETFs
AND SHORT SELLING
ON THE WARSAW STOCK EXCHANGE
WARSAW
STOCK
EXCHANGE

THEWARSAWSTOCKEXCHANGE
AHISTORYOFTHEWSEDERIVATIVES
MARKET
The Warsaw Stock Exchange is the leading and
most dynamic market for derivative instruments
in the CEE region. The WSE derivatives market
was launched in January 1998 with the
introduction of WIG20 futures, i.e. contracts for
the index covering the 20 largest and most
liquid companies listed on the WSE.
In the following years the WSE extended its offer
of derivatives by introducing currency futures in
1998 and single stock futures in 2001.
November 2001 saw the arrival of a new derivative
product, MiniWIG20. Index Participation
Units (IPUs) track the performance of the WIG20
index.
The first options debuted on the Warsaw bourse
in September 2003. They were European-style
options based on the WIG20 index.
In October 2006, the WSE introduced block
trades in all futures and options.
1

In September 2011, the following derivative instruments are
traded on the WSE:
• WIG20 and mWIG40 index futures,
• USD/PLN, EUR/PLN, and CHF/PLN futures,
• 13 single stock futures (ACP, KGH, PGE, PGN, PEO, PKN,
PKO, PZU, TPS, TPE, LTS, OIL, CDR),
• index options (WIG20),
• MiniWIG20 (IPUs).
The WIG20 futures market is the most dynamic segment of
the WSE derivatives market.
On 1 July 2010 the WSE made short sale transactions
available under the new rules, which should further boost
derivatives volumes, enabling more single stock futures to be
listed and single stock options to be offered again in the near
future.
The first ETF (exchange-traded fund), based on the WIG20
index, provided by LYXOR AM, was launched in September
2010 on the WSE.
Currently the WSE’s offer consists of three ETF products
tracking performance of WIG20, DAX and S&P500 indices.
WSEDERIVATIVESTURNOVERVOLUME(INMILIONSOFCONTRACTS)ANDOPENINTEREST(INTHOUSANDSOFCONTRACTS)198– 201
200,0
14.7
15
180,0
160,0
140,0
Volume
Open Interest
12.6
13.9
11.9
14
12
Open Interest (1000' contracts)
120,0
100,0
80,0
60,0
40,0
3.8
3.4
4.4
3.7
5.7
6.7
9.9
10
8
6
4
Volume (million contracts)
20,0
0,0
0.02 0.2
1998
1999
1.5
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
1-3Q 2011
2
0
2

DERIVATIVES– SHORTSUMARY
In 2010 the trading volume of all derivatives
totaled 14.7 million items, up by 6% year on year.
The number of open interest rose to more than 181
thousand contracts, which indicates a 26%
increase compared with 2009. At the end of 2010
the number of registered NIKs (unique investor
numbers) was 68,672.
The average monthly trading volume was over 1.2 million and
the monthly volume reached its high in May (1.6 million).
In the first half of 2011 index futures were ranked fourth
among futures in Europe.
WIG20 futures continued to be the most popular
of all derivatives. The trading volume for these
instruments exceeded 13.5 million in 2010.
INDEXFUTURESVOLUMESONSELECTEDEUROPEANEXCHANGESINH1201
No. Exchange Turnover Volume in H1 2011 (units)
1 EUREX 217 707 075
2 Liffe NYSE Euronext 47 055 755
3 OMX 15 486 370
4 WSE 6281941
5 SPAIN 4 479 104
6 ITALY 4 072 722
7 NORWAY 3 338 234
8 GREECE 1 373 558
9 HUNGARY 817 760
10 AUSTRIA 147 222
11 ROMANIA 8 965
12 CZECH REPUBLIC 389
Source: respective websites, FESE
3

Apart from index futures, the WSE offers a range of individual
stock and currency futures as well as index participation
units (IPU) based on the WIG20 index. The volume of individual
stock futures for 2010 amounted to 375 thousand.
2011 brought a big increase in turnover volume which totaled
560 thousand by the end of September. Currency derived
futures had a trading volume of 119 thousand. This year’s
cumulative turnover volume at the end of September already
exceeded last year’s result by nearly 30 thousand. Index participation
units reached 36 thousand contracts traded.
In terms of turnover of index and stock derivatives for CEE
region exchanges, the WSE maintains the first position,
leaving Hungary, Austria, Romania and the Czech Republic
behind.
VOLUMEOFTURNOVERININDEXANDSTOCKDERIVATIVESONCEXCHANGES1-3Q201
Turnover Volume
No. Exchange
No of contracts
%
1 WSE 1090561 82.06%
2 HUNGARY 2 076 997 15.63%
3 AUSTRIA 273 332 2.06%
4 ROMANIA 32 177 0.24%
5 CZECH REPUBLIC 1 596 0.01%
Source: respective websites, FESE
4

The dynamics of the WSE futures market (turnover & open interest)
since 2001 is presented below.
FUTURESVOLUMEANDNUMBEROFOPENINTERESTIN201201
–
140
15
14
120
100
Volume
Open Interest
12.23
13.42
11.1
14
12
Open Interest (1000' contracts)
80
60
40
3.75
3.18
4.23
3.61
5.38
6.39
9.48
10
8
6
4
Volume (million contracts)
20
2
0
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
1-3Q 2011
0
On 10 March 2010 the WSE started publishing a daily report
on concentration of large futures positions.
5

OPTIONSVOLUMEANDNUMBEROFOPENINTERESTIN203– 201
80
0.68
0.72
0.75
0.70
75
0.65
70
0.60
65
60
55
Volume
Open Interest
0.55
0.50
Open Interest (1000' contracts)
50
45
40
35
30
25
20
15
0.25
0.33
0.40
0.33
0.42
0.45
0.40
0.35
0.30
0.25
0.20
0.15
Volume (million contracts)
10
0.08
0.10
5
0.02
0.05
0
2003
2004
2005
2006
2007
2008
2009
2010
1-3Q 2011
0.00
2011 has brought a significant increase in transactions
involving index options. Options are gaining popularity
among Polish investors.
6

INVESTORSTRUCTURE-FUTURESTRADINGIN205– 201
100
WSEINVESTORSTRUCTURE
Every six months the WSE publishes the results of
research on the investor structure. The survey is
carried out among domestic WSE members. At
right are the results for the period 2005 – 2011
for futures and options.
80
60
40
20
0
5
75
20
2005
66
25
9
2006
56
34
10
2007
53
37
10
2008
52
37
11
2009
50 47
36 38
14 15
2010
H1 2011
Foreign Institutional Individual
7

The structure of futures trading remained stable in the period
from 2008 to H1 2011. The share of institutional and foreign
investors in futures trading has grown steadily since 2005.
The biggest market share in H1 2011 belonged to individual
investors – 47%. With respect to trading volume the WSE
experienced an increase amounting to 800 thousand
contracts (2009 – 2010).
Foreign brokers operating on the Polish market were
responsible for 15% of the turnover in H1 2011. In the first half
of 2011 the share of Austrian brokers was over 42% of all
foreign brokers, followed by UK brokers with a share of 31%
and French with 25%.
Domestic institutional investors had a share of 38% of the
total volume in this period: market makers maintained the
highest share, investment funds came second and dealers
third.
8

INVESTORSTRUCTURE-OPTIONSTRADINGIN205-H1201
%
100
In H1 2011 the share of private individuals in options
trading was 61%, the share of institutions 12% and
the share of foreign investors 27%.
80
60
75
71
53
58
65
60 61
Thanks to new Market Makers, the share of foreign
investors in options trading has risen to the highest
level in the history of this market.
40
20
0
1
24
2005
3
26
2006
35
12
2007
30
12
2008
4
31
2009
28
12
2010
12
27
H1 2011
Market Makers played a dominant role among the
domestic financial institutions
The summary below gives a comparison of the
turnover volume (futures & options) by domestic
individual investors, domestic institutional and
foreign investors in 2005-2010
Foreign Institutional Individual
Investors
NUMBEROFCONTRACTS
Instruments 2005 2006 2007 2008 2009 2010
Foreign
Domestic
Individual
Domestic
Institutional
Futures
Options
Futures
Options
Futures
Options
292 577 559 733 896 497 1 208 526 1 449 181 1 871 607
3 428 8 543 45 524 38 738 18 572 65 225
4 022 902 4 190 199 5 255 317 6 404 282 7 245 903 6 841 196
189 371 232 496 209 944 187 428 268 267 330 349
1 054 733 1 576 859 3 165 210 4 472 449 5 106 636 4 900 751
61 636 86 594 139 528 99 046 125 879 151 279
9

WSEDERIVATIVES– BASICRULES
All derivatives are traded in the continuous trading system
between 8:30 a.m. and 5:30 p.m. There is an auction at the
opening and the closing of the session, as is the case with
other instruments traded in the continuous system. After the
closing auction a 5-minute post-auction trading session
follows (5:30 to 5:35 p.m.).
In October 2006 the WSE introduced block trades for futures
and options. They are registered off-session trades. Block
trades in futures may be executed after the first trade in the
order book for a given futures series. Fees are the same as for
transactions in the order book. Price variations can be any
price within static thresholds defined for the order book
transactions (no dynamic thresholds). The minimum volume
for a derivative block trade transaction is 200 contracts.
Block trading facility is available from 8.30 a.m. to 5.50 p.m.
As the organiser of trading, the Warsaw Stock Exchange
develops trading standards for each derivative instrument,
i.e. a detailed description which specifies, for instance, the
calculation method to establish the instrument value, the
first and last day of trading etc. In order to ensure liquidity in
derivatives trading, some WSE members act as market
makers. This means that they sign a relevant agreement with
the WSE under which they are obligated to maintain bid/ask
quotes in the order book. Quotations of derivatives are
relative to dynamic and static price limitations defined
versus the reference price.
Detailed trading rules for derivatives can be found in the
Exchange Rules and Detailed Exchange Trading Rules, or on
the WSE website: w.wse.com.pl.
10

The procedures of settlement and registration as well as
margins are defined by KDPW–CCP, which acts as a clearing
house.
WIG20 index futures expire on the third Friday in March, June,
September and December. Four series of WIG20 futures are
listed in any given moment and three mWIG40 futures. The
multiplier is PLN 10 per index point. The final settlement price is
determined on the expiry date as the arithmetic mean of all
given index values (WIG20, mWIG40) from the last hour of
continuous trading and its value at the session close, having
rejected 5 top and 5 bottom index values.
For single stock futures the three nearest months of the March,
June, September and December cycle are available for trading.
Single stock futures are quoted in PLN per 1 share. The contract
value is the product of the contract price and the number of
shares per contract.
Three currency futures are traded on the WSE: CHF/PLN,
USD/PLN and EUR/PLN. The three nearest calendar months +
the three subsequent months of the March quarterly cycle
(March, June, September, December) (together 6 different
maturities) are available for trading. The last trading day is the
third Friday of the delivery month. Trading in the series of
contracts which expire on that day ends at 10:30 a.m. The
contract size is 10,000 units of currency and the quotation unit
is PLN per 100 EUR, USD or CHF. The final settlement price is the
average EUR, USD, GBP or CHF exchange rate determined by the
National Bank of Poland at the fixing on the last trading day
multiplied by 100, rounded off to the nearest PLN 0.01 (per 100
EUR, USD or CHF).
11

The WSE offers European style WIG20 index options which
means that they can be exercised only on the expiry date. As
is the case with futures, trading in options is supported by
market makers: under a contract signed with the WSE they
are obliged to place sell/buy orders in the order book. The
reference price for options is the theoretical price calculated
according to the Black-Scholes model. WIG20 index options
multiplier, quotation rules, expiry months, last trading day
and final settlement price are the same as for WIG20 index
futures. There is an automatic exercise on expiry date if an
option is in the money. The option owner may waive exercise.
Acquisition of an Index Participation Unit (IPU) is equivalent
to investment in a portfolio of shares issued by twenty
constituent companies of the index concerned. IPUs are
priced in PLN, with the price of one unit being equal to 1/10 of
the WIG20 index value. IPUs offer potential earnings to those
who expect the value of the index to rise (long position, i.e.
purchase of IPUs) as well as those who anticipate a decline
(short position, i.e. selling of IPUs). An index participation
unit is a financial instrument representing all constituent
shares of an index. In terms of the expected rate of return, the
purchase of this instrument is equivalent to a purchase of the
index constituent shares without the need to actually buy the
specific constituent shares. The last trading day is the last
but one exchange trading day in December 2025 and the
expiry date is the next trading date. The settlement price is
the product of the opening value of the underlying
instrument (determined daily as of the second trading day)
and the multiplier.
The exercise date is 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 is allowed on any
trading day until and including the day preceding the expiry
date. The holder may exercise the IPU and receive a payment
from the writer equal to the settlement balance as at the first
exchange trading day following the exercise. The settlement
date is the next working day following the date on which the
settlement price is determined.
As of 21 November 2011 IPUs can be exercised on the futures
contracts expiry dates only.
12

All derivatives are cash settled in PLN.
INDEX FUTURES
Derivatives: abbreviated names
FXYZkrr
Where:
F – type of instrument (futures)
XYZ – abbreviated name of underlying instrument (W20 for WIG20, W40 for mWIG40)
k – delivery month code
rr – last two digits of delivery year
SINGLE STOCK FUTURES
CURRENCY FUTURES
FXYZkrr
Where:
F - type of instrument (futures)
XYZ - abbreviated name of underlying instrument
k - delivery month code
rr – last two digits of delivery year
Underlying instruments (no. of shares per contract): KGH, PEO, PKN, PKO, PZU, TPS, PGE,
CDR, OIL, LTS, ACP – 100, PGN, TPE – 1000
FXYZkrr
Where:
F – type of instrument (futures)
XYZ – abbreviated name of underlying instrument (USD, EUR, CHF)
k – delivery month code
rr – last two digits of delivery year
WIG20 INDEX OPTIONS
OW20Zkrccc
Where:
O – type of instrument (options)
W20 – abbreviated name of underlying instrument WIG20
k – option type and expiry month code
March
June
September
December
r – last digit of expiry year
ccc – exercise price designation
CALL
C
F
I
L
PUT
O
R
U
X
Series of options introduced in the first day: 4 OTM, 4 ITM, 1 ATM
INDEX PARTICIPATION
UNITS (MINIWIG20)
MW20
Where:
M – instrument name
W20 – abbreviated name of underlying instrument
13

FUTURESDELIVERYMONTHCODE
Month Code Month Code
January
F
July
N
February
G
August
Q
March
H
September
U
April
J
October
V
May
K
November
X
June
M
December
Z
WSEDERIVATIVESINTHOMSONREUTERSANDBLOMBERG
DERIVATIVES
FW20
FW40
FACP
FKGH
FPEO
FPGE
FPGN
FPKN
FPKO
FPZU
FTPS
FTPE
FEUR
FUSD
FCHF
MW20
THOMSON REUTERS
0#FW20:
0#MW40:
0#ACPP:
0#KGHM:
0#BAPE:
0#PGEP:
0#PGNI:
0#PKNA:
0#PKOB:
0#PZU:
0#TPSA:
0#TPE:
0#EUPL:
0#USPL:
0# FCHF:
0#IPU.WA:
BLOOMBERG
WIA Index CT
BMA Index CT
ACP=A WX Equity CT
KGH=A WX Equity CT
PEO=A WX Equity CT
PGE=A WX Equity CT
PGN=A WX Equity CT
PKN=A WX Equity CT
PKO=A WX Equity CT
PZU=A WX Equity CT
TPS=A WX Equity CT
TPE=A WXEquity CT
FOA Crncy CT
FSA Crncy CT
CPLA Crncy CT
MWIA Index CT
For more information about WSE derivatives please visit:
www.wse.com.pl or contact: derivatives@wse.com.pl.
14

EXCHANGETRADEDPRODUCTS ONTHEWSE
Structuredproducts
In August 2006, the WSE introduced trading in new
instruments, so-called structured products. The first
products of this kind were structured bonds issued by
Deutsche Bank London, called ‘db Magic Three’. These 3-year
structured bonds were linked to equity, money, commodity
and real estate markets.
The first structured certificate, tracking the performance of
the NTX price index, was issued in March 2007 by ERSTE
Bank.
The biggest issuer of structured products on the WSE, by
number of products, is Raiffeisen Centrobank (RCB) which
launched its first structured certificates in September 2007.
These were open-end certificates, linked to a number of
underlying instruments including a basket of shares and
commodities (e.g. “Eastbasket UK” comprising Ukrainian
and Kazakh markets or “Soft Commodity Basket Focus
Food”), indices (DAX, DJ EuroSTOXX50, CEEC, CECExt, RDX,
NIKKEI225, NASDAQ) and commodities (brent crude oil, gold,
silver, sugar).
In Q1-Q3 2011 the value of trading was PLN 262 million. The
volume of tading was 2.5 million products and the number
of transactions reached 24.5 thousand transactions. The
highest turnover value was recorded on certificates based on
commodities such as silver, gold, brent crude oil, as well as
on indices – WIG20 and DAX (long and short).
During the first three quarters of 2011, a total of 48 new
products were introduced to trading. As of the end of September
2011 there were 177 different structured instruments
traded on the WSE:
• 29 bonds – issued by Barclays Bank, Deutsche Bank,
SecurAsset, Royal Bank of Scotland,
• 148 certificates – issued by RCB, Deutsche Bank,
UniCredit Bank AG, BNP Paribas.
15

NUMBEROFLISTEDSTRUCTUREDPRODUCTS206-201
Structured products on the WSE belong to the cash
market. Bonds are traded on the parallel market in the
single-price system with two auctions and their
trading rules are exactly the same as for zero-coupon
bonds. Certificates are traded on the parallel market
in the continuous trading system. The settlement date
is T+2. The trading rules for certificates are very
similar to the trading rules for shares.
Warants
In 3rd quarter 2011 RCB launched 90 warrants on
polish stocks listed on WSE and WIG20 index. There
are 74 put and 16 call warrants with 3 different expiry
dates.
The prices of these leveraged products are primarily
influen-ced by the performance and volatility of the
underlying asset. Call warrants increase in value
when the underlying asset’s price is rising. Put
warrants benefit when the price of the underlying
asset falls.
260
180
160
140
120
100
80
60
40
20
0
2
December
2006
3
9
December
2007
36
10
December
2008
53
16
December
2009
Certificates Bonds Warrants
124
24
December
2010
90
148
29
September
2011
ListofwarantsonOctober17th201:
Underlying asset: Call : Put:
WIG20 index
PEKAO S.A.
KGHM S.A.
PGE S.A.
PGNiG S.A.
PKN S.A.
PKO BP S.A.
PZU S.A.
TP S.A.
Petrolinvest S.A.
Exipry dates:
20 January 2012, 20 July 2012, 18 January 2013
ETFs
In May 2011 the WSE enlarged the group of Exchange
Traded Funds (ETFs) by launching two new products based
on S&P500 and DAX indices. The issuer of three listed on
the WSE ETFs (including ETF on WIG20 index) is LYXOR Asset
Management. All of them are denominated in PLN and give
investors the possibility to “buy the whole indices”
whether WIG20, DAX or S&P500. The rules are very similar
to share trading rules and to ETFs trading on the other
exchanges. Unit value is 1/10 (in case of the WIG20 index)
or 1/100 (in case of the DAX and S&P500 indices).
For more details about exchange traded products please
contact: struktury@gpw.pl.
16

SHORTSELING
Securitiesavailableforshortsale
The WSE made short sale transactions available
under the new rules from 1 July 2010. Short sale
orders can only be submitted for securities
(shares and bonds) which fulfil the conditions set
out in the WSE Rules. The WSE maintains,
publishes and updates on a daily basis the list of
securities which fulfil these conditions. The list is
published on the WSE website and via the market
information stream used for distribution of
exchange information.
Short sale orders can be submitted for most liquid
shares (including constituent shares of the
WIG20 exchange index) and all Treasury bonds
listed on the Exchange.
Short sale orders of the WSE Members in their
capacity as market makers can be submitted
for a larger list of shares.
Shortsaleflag
Each short sale order must bear a special designation
- short sale flag - to differentiate it from
other broker’s sale orders. In the following
events:
a) a short sale order is submitted for securities
which, at the time of submitting the order, do
not fulfil the eligibility conditions for short
sale orders,
or
b) securities which fulfil the conditions are
subject to a temporary suspension of
accepting of short sale orders, such a short
sale order will be rejected.
Suspensionofaceptingofshortsaleorders
The WSE may temporarity suspend accepting short sale
orders if required by the safety of exchange trading or the
interest of trading participants in particular in case of:
• settlement disruptions,
• a significant decrease of exchange indices or prices of
individual shares over a short period, if the value of a
short sale transaction represents a significant part of the
value of all sale transactions in the given securities
(circuit breakers for short selling).
Informationonshortsaletransactions
The WSE publishes information on short sale transactions in
real time. Information is published via electronic information
distribution mechanisms used by the WSE for distribution of
exchange quotations.
After the closing of a trading session, for all securities
available for short sale orders, the WSE publishes
information about the cumulative volume, value of trading,
and number of short sale transactions. The information is
published via:
a) the electronic information distribution mechanisms;
b) the WSE website;
c) the WSE Daily Bulletin (Ceduła).
For more information please visit: w.wse.com.pl
or contact us at: shortseling@wse.com.pl.
17

Warsaw Stock Exchange
Książęca 4, 00-498 Warsaw, Poland
T: (+48 22) 628 32 32, F: (+48 22) 628 17 54
www.wse.com.pl
Contact:
Krzysztof Mejszutowicz
Head of Equity Derivatives, Market Development Department
T: (+48 22) 537 76 09, (+48 22) 537 72 12
E: krzysztof.mejszutowicz@wse.com.pl
Sebastian Siewiera
Head of ETP and Non-Equity Derivatives,
Market Development Department
T: (+48 22) 537 73 89, (+48 22) 537 72 48
E: sebastian.siewiera@wse.com.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.
18

WARSAW
STOCK
EXCHANGE
ul. Książęca 4, 00-498 Warszawa, Poland
T: (+48 22) 628 32 32
F: (+48 22) 537 77 90
www.wse.com.pl
October 2011