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.

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