Warsaw Stock Exchange launches interest rate derivatives

The nominal value of the contract is Z100,000 with the underlying bond having a 6% coupon. Deliverable Treasury notes must have an issue value of Z5 billion or more and have a fixed interest rate with a coupon paid annually. Their maturity should also be between two years and nine months, and five years and six months.

The price will be permitted to vary between -2% and +2% from the reference price. The contracts will be quoted for each Z100 of the nominal value to two decimal places with a maximum single order volume of 500 contracts.

Following clarification of Polish finance law, Polish banks, as well as brokerage houses, are now able to participate in Treasury futures and are subject to market position limits of 20% of the value of Treasury notes in the basket.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here