WIG20 futures contracts with a multiplier of PLN 20 - GPW

THE WARSAW STOCK EXCHANGE
WIG20 FUTURES CONTRACTS WITH A MULTIPLIER OF PLN 20
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Changes to WIG20 Futures Contracts
The WSE is planning to introduce WIG20 futures contracts with a multiplier of PLN
20 into trading on the exchange on 23 September 2013
WIG20 futures contracts with a multiplier of PLN 20 will replace currently listed
contracts with a multiplier of PLN 10
This presentation explains how existing contracts will be replaced with new
contracts and what are the advantages of the change
The above date of the introduction of WIG20 contracts with a multiplier of PLN 20 into trading is the scheduled date. The actual
date of the introduction of the new instruments will be determined in the relevant resolution of the Exchange Management
Board which will be published on the WSE website. The timeline of the replacement of contracts shown in the presentation
assumes that the process will begin on 23 September 2013.
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What Is a Multiplier?
WIG 20 futures contracts are listed in index points. In order to determine the value
of a contract, it is necessary to determine the value of an index point. This value is
determined by the multiplier of a contract.
Currently the WSE lists WIG20 futures contracts with a multiplier of PLN 10
In September 2013, the WSE is planning to introduce futures contracts with a
multiplier which will be double the existing multiplier and equal to PLN 20
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How to Determine Contract Value?
To determine the value of a WIG20 futures contract with a multiplier of PLN 20,
multiply the price of the futures contracts by PLN 20
The value of a WIG20 contract with a multiplier of PLN 20 will be double the value of
a WIG20 futures contract with a multiplier of PLN 10
Example
Price of a WIG20 contract = 2,300 index points
Value of a WIG20 contract with a multiplier of PLN 10 = PLN 23,000
Value of a WIG20 contract with a multiplier of PLN 20 = 46,000
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What Will Be the Amount of Margins?
A higher value of a futures contract with a multiplier of PLN 20 implies* higher
margins.
Ask your brokerage house about the amount of margins on
WIG20 contracts with a multiplier of PLN 20
*Day traders should ask their brokers about intraday margins. Intraday margins are lower than margins on
positions that are not closed within the trading session. Some brokerage houses offer or are planning to offer
intraday margins.
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What Will Be the Tick Value?
The tick of a WIG20 contract with a multiplier of PLN 10 is 1 index point and the tick
value is PLN 10.
For WIG20 contracts with a multiplier of PLN 20, the tick is also 1 index point but the
tick value is double the existing tick value and equal to PLN 20
Any change in the price of new contracts by 1 index point will imply
a GAIN* or LOSS* of PLN 20 to the investor
* gross gain/loss net of transaction fees
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What Will Be the Transaction Fee?
The transaction fee charged by the WSE to Exchange Members (brokerage houses)
on trading in WIG20 futures contracts with a multiplier of PLN 20 will be the same as
the fee charged on trading in WIG20 contracts with a multiplier of PLN 10
Clients of brokerage houses should ask their broker
about the amount of commissions on trading in
WIG20 contracts with a multiplier of PLN 20
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Advantages of the New Multiplier (1)
The key advantage of new contracts is the tick value, which is double that of
currently listed contracts
The tick value of existing futures contracts is PLN 10 and that of new contracts will
be PLN 20
Assuming that commissions charged by brokers to clients will remain unchanged,
many investors will for the first time be able to make gains on change of
the contract price by only one tick
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Advantages of the New Multiplier (2)
Example
The commission per contract is PLN 6
Consequently, the commission for opening and closing a position in one contract is
PLN 12 (i.e., PLN for opening + PLN 6 for closing of the position)
If the price of a WIG20 contract with a multiplier of PLN 20 changes by 1 index
point in the direction expected by the investor, the investor will gain PLN 8 (PLN 20
– PLN 12)
For WIG20 contracts with a multiplier of PLN 10, a change of the contract price by 1
index point does not offset the transaction cost
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Advantages of the New Contract (3)
The table below presents a comparison of Gain / Loss on investment in contracts
with a multiplier of PLN 20 and contracts with a multiplier of PLN 10 (assuming a
commission on contracts at PLN 6)
Change of contract price
Gain / Loss on a contract with
a multiplier of PLN 20
Gain / Loss on a contract with
a multiplier of PLN 10
1 point
(one tick)
+ PLN 8 - PLN 2
2 points + PLN 28 + PLN 8
3 points + PLN 48 + PLN 18
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Other Parameters in the Standard
Specification of New Contracts
New WIG20 contracts will be different from currently listed WIG20 contracts only in
terms of the multiplier. All other parameters of the standard specification of
contracts will remain unchanged
Since contracts with a multiplier of PLN 10 and contracts with a multiplier of PLN 20
are scheduled to be listed in parallel until 20 June 2014, the ticker symbol of new
contracts will be different from the ticker symbol of existing contracts
The ticker symbol of new contracts will be determined in the standard specification
of the instrument. In this presentation, new contracts are marked with an asterisk,
e.g., FW20Z13*
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New Contracts Introduction Timeline (1)
Futures contracts with a multiplier of PLN 20 will replace currently listed contracts
with a multiplier of PLN 10.
Changes to the listing schedule of contracts with a multiplier of PLN 10:
After the expiration of the series FW20U13 on 20 September 2013, the next series
will not be introduced to trading on the exchange (the series that would otherwise
be scheduled to be introduced into trading is FW20U14. This series will not be
introduced into trading);
As of 23 September 2013, only 3 series will remain listed on the exchange:
FW20Z13; FW20H14; FW20M14. These series will expire as scheduled (if there is
no open interest in any of these series, trading in the relevant series will be
suspended until the expiration of the series).
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New Contracts Introduction Timeline (2)
The figure below presents changes to the listing schedule of WIG20 futures contracts
with a multiplier of PLN 10:
The series FW20U13 (in green) will expire on 20
September 2013. The next series (FW20U14, in
white) WILL NOT BE introduced into trading on
the exchange. This series WILL NOT BE listed on 23
September 2013
The last series of contracts with a multiplier of PLN 10 will be the series FW20Z13;
FW20H14 and FW20M14 (in blue). These series will expire as scheduled. The last
series (FW20M14) will expire on 20 June 2014 (if there is no open interest in any of
these series, trading in the relevant series will be suspended until the expiration of
the series).
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New Contracts Introduction Timeline (3)
The scheduled date of the introduction of the first series of WIG20 futures
contracts with a multiplier of PLN 20 into trading is 23 September 2013.
The following 4 series of such contracts
will be introduced into trading on the exchange:
Ticker symbol
Expiration date
FW20Z13* 20 December 2013
FW20H14* 21 March 2014
FW20M14* 20 June 2014
FW20U14* 19 September 2014
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New Contracts Introduction Timeline (4)
The figure below presents the listing schedule of the first series of contracts with a
multiplier of PLN 20 to be introduced into trading on 23 September 2013
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New Contracts Introduction Timeline (5)
The date of the introduction of the first series of WIG20 contracts with a multiplier
of PLN 20 into trading scheduled on 23 September 2013* may not be feasible. In
that case, the new contracts will be introduced into trading as soon as reasonably
practicable after that date.
Any postponement of the date of the introduction of
contracts with a multiplier of PLN 20 into trading
does not affect the rules for contracts with a multiplier of PLN 10 described above
(the dates and actions described therein will be binding).
*The date of the introduction of the first series of WIG20 contracts with a multiplier of PLN 20 into trading will be determined in
the relevant resolution of the Exchange Management Board (the resolution will be published on the WSE website).
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New Contracts Introduction Timeline (6)
The figures below present:
the listing schedule of WIG20 contracts with a multiplier of PLN 10
the timeline of the introduction of the first series of contracts with a multiplier of
PLN 20 into trading
Listing schedule of WIG20 futures
contracts with a multiplier of PLN 10 (see
slide 13 for a detailed description)
Timeline of the introduction of the first
series of WIG20 futures contracts with a
multiplier of PLN 20 into trading
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The Warsaw Stock Exchange
4, Książęca St., 00-498 Warsaw, Poland
tel. (022) 628 32 32, fax (022) 628 17 54, 537 77 90
www.gpw.pl
www.gpwtrader.pl
pochodne@gpw.pl
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