Trading

Trading encompasses all the instruments admitted to trading on the Main Market and on WSE regulated markets and on the markets operated by WSE’s subsidiary BondSpot S.A.

Trading offered by the Group concerns the following instruments:

  • shares and other equity-related securities listed on the Main Market and on NewConnect;
  • derivatives listed on the Main Market, including WIG20 index futures, mWIG40 index futures, single-stock futures, index options, currency futures, and WIG20 index units;
  • debt securities listed and traded in the Catalyst system and on Treasury BondSpot Poland market;
  • other cash market instruments, including structured products, ETFs, investment certificates and warrants;
  • electricity: hourly-daily products and futures products on the poee WSE Energy Market.

Stock market

The Warsaw Stock Exchange is the biggest equities trading market in the Region in terms of turnover value. In 2011, the trends observed in previous years continued, including growth of the value of trading on WSE and decrease or stabilisation of the value of trading on other major markets of the Region. As a result, WSE crossed the mark of 50% of the share in total trading on all markets of the Region, as compared to 41.7% in 2010 and 34.4% in 2009. The value of trading on WSE stock markets represented 50.1% of the total trading on the markets of the Region in 2011.

Share in turnover held by stock exchanges in the Region 1

  Year ended December 31,
  2011 2010 2009 2008 2007
WSE 50.1% 41.7% 34.4% 26.1% 26.2%
CEESEG - Vienna 24.5% 29.3% 32.3% 41.0% 40.4%
CEESEG – Prague 12.2% 12.2% 15.5% 19.3% 15.4%
CEESEG – Budapest 11.1% 15.9% 16.4% 11.9% 14.7%
Other (Bulgaria, Romania, Slovenia, Slovakia)
2.0% 1.0% 1.4% 1.6% 3.3%

Source: FESE

1 Austria, Bulgaria, Czech Republic, Poland, Romania, Slovenia, Slovakia, Hungary.

In 2011, the value of session and block trades in shares on the WSE Main Market amounted to PLN 268.1 billion and was 14.4% higher than the turnover value in 2010. The average session trading value amounted to PLN 1,068 million and increased by 15.4% in comparison to 2010. The number of session transactions in 2011 amounted to 13.9 million, an increase of 13.5% compared to 2010.

Turnover on WSE Main Market
  As at /
Year ended December 31,
  2011 2010
Velocity ratio1(%) 45.6 42.0
Stock trading value (PLN billion) 268.1 234.3
Stock trading volume (billion) 31.47 25.44
Number of transactions (order book, million) 13.9 12.2
Free float (domestic companies, %)
43.0 44.0

Source: WSE, FESE

1 Velocity ratio of trading in shares calculated as the average of FESE monthly data.

In 2011, turnover on NewConnect amounted to PLN 1,995 million and was 5.8% higher than the turnover recorded in 2010. The number of transactions in 2011 amounted to 1.1 million and was 23.3% higher than the number of transactions in 2010. The share of institutional investors in trade on NewConnect increased. According to WSE research, domestic institutions generated 20% of turnover on NewConnect in 2011 as compared to 11% in 2010.

Turnover on NewConnect
  Year ended December 31,
  2011 2010
Trading value (PLN million)
1,955 1,847
Number of transactions (thousand)
1,082.1 877.9
Source: WSE

Derivatives market

The Warsaw Stock Exchange operates the biggest derivatives market in the CEE Region. The year 2011 ended with record results in terms of trading volume. The aggregate volume of derivative trading in 2011 amounted to PLN 15.6 million instruments and was 5.7% higher than the trading volume in 2010. As at December 31, 2011, the number of open interest amounted to 145.2 thousand and was 20.0% lower than that recorded as at December 31, 2010.

Derivatives trading volume in thousands
  Volume – 2011 Volume – 2010 Change
Share – 2011 Share - 2010
WIG20 futures
13.642 13.482 1.2% 87.7% 91.6%
mWIG40 futures
29 33 -10.8% 0.2% 0.2%
Single-stock futures
738 375 96.5% 4.7% 2.6%
Currency futures
199 119 67.5% 1.3% 0.8%
Index options
898 675 33.0% 5.8% 4.6%
Index units
50 36 38.1% 0.3% 0.2%
Total
15.557 14.721 5.7% 100% 100%

Source: WSE

The most important product in the derivatives segment are WIG20 futures responsible for 87.7% of the derivatives trading volume in 2011. In 2011, the WIG20 futures trading volume amounted to 13,642 thousand contracts and was 1.2% higher than that generated in 2010. The number of open interest on WIG20 futures as at December 31, 2011 amounted to 105 thousand and was 8.0% lower than that recorded as at December 31, 2010.

Single-stock futures reported the highest volume growth. In 2011, the volume amounted to 738 thousand contracts and was 96.5% higher than that recorded in 2010. In 2011, WSE expanded the range of offered single-stock futures listed on the Main Market. The number of contract classes increased from 10 to 18 in 2011.

In 2011, the stock index futures market maintained the fourth rank in Europe in terms of the trading volume.

Volume of stock index futures trading in Europe (in thousands)
  Year ended December 31, 2011
1. EUREX 486,326
2. Euronext Liffe 97,223
3. NASDAQ OMX Nordic 37,462
4. WSE 13,672
5. Borsa Italiana 9,337
6. BME (Spanish Exchanges) 8,381
7. Oslo Børs 6,142
8. Athens Exchange 2,485
9. CEESEG – Budapest 1,882
10. CEESEG – Vienna 342
11. Bucharest Stock Exchange 54
12. CEESEG – Prague 1.4
Source: FESE, figures concerning Borsa Italiana from the exchange website

Debt instruments trading system – Catalyst

Catalyst is operated on the trading platforms of the Warsaw Stock Exchange and BondSpot, a subsidiary of WSE. It consists of regulated markets and alternative trading systems. Catalyst is designated for debt instruments – municipal, corporate and mortgage bonds, and its architecture makes it compatible with issues of various sizes and different characteristics as well as suitable to meet the needs of various investors – wholesale and retail, institutional and individual investors. Within Catalyst, on the WSE Main Market, retail Treasury bonds are also listed.

The value of session transactions in non-Treasury instruments on Catalyst was PLN 486 million in 2011 as compared to PLN 375 million in 2010, and the value of block trades was PLN 1,236 million in 2011 as compared to PLN 128 million in 2010. The value of session transactions in non-Treasury and Treasury instruments on Catalyst was PLN 1,214 million in 2011 as compared to PLN 1,486 million in 2010, and the value of block trades was PLN 1,280 million in 2011 as compared to PLN 307 million in 2010.

In the Company’s view, Catalyst has a high growth potential, which is reflected in a relatively low level of bond debt issued in Poland with respect to GDP. The aggregate indebtedness of Polish companies and financial institutions under debt instruments (with maturities over 1 year) issued on the local and international markets represented 5.2% of the nominal GDP as at December 31, 2011. The changing regulatory environment, growing risk aversion in the banking sector, development of a transparent secondary market and continuing education of investors and issuers will create favourable conditions for stronger growth of the bond market in Poland.

Treasury BondSpot Poland

The turnover on Treasury BondSpot Poland grew dynamically in 2011. The incremental value of cash transactions increased by 126.3% in January-December 2011 and reached PLN 306.5 billion while the value of conditional transactions increased by 288.6% and reached PLN 730.9 billion. The growth of turnover contributed to a significant increase of the share of trading on TBSP in the total trading in different segments of the secondary market of Treasury securities, reinforcing the market position of TBSP. The share of bond transactions on TBSP in the total value of transactions in the inter-bank segment was 25.1% in 2011 as compared to 12.8% in 2010. The share of the value of transactions on TBSP in the total value of transactions on the secondary market of Treasury securities was 9.6% in 2011 as compared to 3.9% in 2010.

The growth of turnover was driven by measures initiated by BondSpot S.A. in previous years and continued in 2011 aiming to reinforce the position of the electronic platform TBSP on the market of Treasury securities, especially to develop the conditional trading market.

The growth was helped by the modification of the Treasury Securities Dealer system introduced by the Minister of Finance. New rules of evaluation of Treasury Securities Dealers’ activity promote the creation of best possible conditions of trade in Treasury securities on an electronic platform. The new rules resulted in reduction and stabilisation of market spreads. These initiatives consolidated the position of TBSP as a Treasuries reference market.

In January 2012, TBSP was once again selected by Treasury Securities Dealers and approved by the Minister of Finance as the electronic market for the period from 1 October 2012 to 30 September 2014. The electronic market is an important part of the Treasury Securities Dealer system and a reference platform of secondary trading in Treasury debt where Treasury Securities Dealers perform their obligations concerning quotations of Treasury securities.

At 2011 year-end, TBSP head 33 participants (banks, credit institutions, investment firms, and one open-ended pension fund), including 25 entities operating as market makers, 6 market takers, and 2 institutional investors.

1 As of 2011, transactions presented as the sum of the value of the opening and the closing transaction. 2010 data presented as double the value of the opening transaction.

Other cash market instruments

Apart from shares and debt instruments, the WSE cash market lists also structured products, investment certificates, warrants and ETF certificates.

In 2011, WSE continued to develop the segment of cash market instruments and introduced to trading two further ETFs, warrants, and new types of investment certificates. In total, WSE listed 206 structured products, 60 investment certificates, 3 ETFs and 90 warrants at 2011 year-end, as compared to 148 structured products, 58 investment certificates, 1 ETF and no warrants at 2010 year-end.

Number of structured products, investment certificates, ETFs and warrants listed on WSE
  As at December 31,
  2011 2010
Structured products (certificates)
178 124
Structured products (bonds)
28 24
Investment certificates
60 58
ETFs
3 1
Warrants
90 -
Source: WSE

On May 31, 2011, two ETFs with foreign indices as the underlying were introduced to trading on the WSE Main Market: Lyxor ETF DAX and Lyxor ETF S&P500. At 2011 year-end, WSE listed three ETFs, including the first ETF with WIG20 as the underlying, introduced to trading in September 2010: Lyxor ETF WIG20. In 2011, the value of trading in ETFs was PLN 284.3 million, as compared to PLN 85.1 million in 2010.

In July 2011, WSE re-introduced warrants into trading for the first time since December 2005. The underlying of the new warrants are the indices WIG and WIG20 as well as shares of companies listed on the WSE Main Market. In December 2011, WSE expanded the range of offered instruments by introducing leveraged (barrier) certificates. Royal Bank of Scotland, whose structured bonds were newly listed on WSE on June 17, 2011, was the eighth issuer of structured instruments.

The value of trading in structured products in 2011 amounted to PLN 350.8 million, an increase of 22.8% compared to 2010. The value of trading in investment certificates in 2011 was PLN 169.1 million, an increase of 57.6% compared to 2010.

Value of trading in structured products, investment certificates, ETFs and warrants (PLN million, including block trades)
  Year ended December 31,
  2011 2010
Structured products (certificates and bonds)
350.8 285.6
Investment certificates
169.1 107.3
ETFs
284.3 85.1
Warrants 0.6 -

Source: WSE

Energy market

Since December 2010, the Company operates the poee WSE Energy Market. Power on the poee WSE Energy Market is traded on the Daily and Hourly Electricity Market (REK WSE) and Electricity Futures Market (RTE WSE). REK WSE trades in electricity for hours, days and blocks of hours (in the nearest four available days of supply). RTE WSE trades in futures for supply of electric power in blocks of hours for weekly, monthly, quarterly or annual periods. The poee platform had 30 trading participants at December 31, 2011. The turnover in the period from January 1 to December 31, 2011 was respectively: REK WSE: 1,922,976 MWh, RTE GPW: 2,155,545 MWh.

WSE is implementing a project aiming to consolidate operators of trading markets in electric power and related products in order to concentrate all trading within the Group. On November 8, 2011, WSE signed an agreement concerning the acquisition of 80.33% of the shares of Towarowa Giełda Energii S.A. for PLN 179.4 million; the acquisition of the controlling block of TGE shares was finalized in February 2012.