Financial market

The activities of the GPW Group on the financial market include:

  • trading in financial instruments on the regulated market and in the alternative trading system:
    • trading in shares and other equity instruments on the Main Market and on the NewConnect market,
    • trading in derivatives on the Main Market,
    • trading in debt instruments on the Catalyst market organised by GPW and BondSpot and on Treasury BondSpot Poland (TBSP),
  • listing, including introduction to trading and listing of financial instruments,
  • information services including data from the financial market.

Trading

Trading encompasses trade in financial instruments on the Main Market and on GPW regulated markets NewConnect and Catalyst, and on Treasury BondSpot Poland.

Financial instruments in trading on the GPW Group financial markets

business lines

Stock Market

The value of trading in shares on the electronic order book (EOB) on the GPW Main Market was PLN 236.4 billion in 2017, representing an increase of 24.7% year on year. The average daily value of trade on the was PLN 945.8 million, an increase of 25.2% year on year, despite a smaller number of trading days in 2017 (250) compared to 2016 (251). The number of transactions was 20.0 million in 2017, an increase of 4.0% year on year. The value of trading in shares on the electronic order book on the GPW Main Market was particularly high in Q1 2017 and stood at PLN 66.7 billion, the highest figure since Q3 2013.

Value of trading in shares on the Main Market [PLN billion]



The value of trading on the electronic order book on NewConnect increased by 10.4% year on year to PLN 1,322 million in 2017 and the value of block trades decreased by 10.2% year on year to PLN 146 million in 2017. The number of transactions on the electronic order book was 850 thousand in 2017, a decrease of 0.9% year on year.

Value of trading in shares on NewConnect [PLN million]



The key drivers of the value of trade on the GPW markets in 2017 included the very strong macroeconomic conditions in Poland: strong GDP growth driven mainly by domestic demand, strong consumption supported by the strong job market, and appropriately restrictive fiscal and monetary policies. The Polish currency was a strong contributor while global risks, including mainly a more restrictive monetary policy and a series of rate hikes in the US, did not hinder growth on the global equity markets. This helped the performance of stocks and indices. The capitalisation of domestic companies listed on GPW increased by 20.4%. With a year-on-year rise of 55.0% (in USD), WIG20 was one of the world’s strongest indices in 2017. The Polish stock market benefited from the generally strong sentiment around the Emerging Markets, which generated capital flows to ETFs and active funds. The local drivers of growth in the value of trade included IPOs (worth PLN 7.6 billion on the GPW Main Market, the highest figure since 2011), SPOs, as well as the sale of Pekao: these generated passive capital flows from ETFs as indices changed. Foreign investors made a particularly strong contribution to the growth in the value of trade in equities.

Capitalisation of domestic and foreign companies on the Main Market [PLN billion]



The capitalisation of domestic companies listed on the Main Market was PLN 671.0 billion at the end of 2017 compared to PLN 557.1 billion at the end of 2016 (an increase of 20.4%).

Turnover in shares on the Main Market [PLN billion] and velocity [%]



Velocity increased starting in Q2 2016 and reached its high of 42.6% in Q1 2017. The velocity ratio decreased in the later quarters of 2017. Velocity was 35.3% in 2017 compared to 35.2% in 2016.

GPW takes far-reaching initiatives to improve liquidity on the Main Market, mainly including acquisition of new clients, improvement of infrastructure and availability, and generation of additional volumes among others through active promotional programmes offering reduced transaction fees.

The colocation service was opened to GPW’s clients in Q1 2016. The service is dedicated to algorithmic traders seeking the closest possible access to GPW markets for themselves and for their clients. In 2017, GPW established relations and signed a contract with PICO Global, the technology provider of leading investment banks globally. In view of growing demand from clients, another 6 full racks were added in the colocation service. The colocation service is a key part of the capital market infrastructure which supports the prop and algo trading segment and improves liquidity of the order book.

Three new exchange members joined GPW in 2017 and one exchange member extended the scope of its activity. Interactive Brokers, one of the world’s biggest online discount brokers, started operation on the Warsaw Stock Exchange in June 2017 as the first remote exchange member to serve retain investors. Deutsche Bank AG became a remote exchange member in June 2017. Polski Dom Maklerski was admitted as an exchange member in October 2017. Societe Generale added trade in derivatives for the account of clients to its operation on GPW in June 2017.

Embedded Software became a new Independent Software Provider (ISV) in 2017. Efforts continue to attract more ISVs.

The HVP and HVF programmes were modified in 2017 and price promotions under the programmes were extended until 31 August 2018. HVP and HVF are special promotional programmes addressed to active investors on the stock and derivative market.

  • High Volume Provider (HVP) programme is addressed to entities which invest on own account only. Launched by GPW in November 2013, it offers promotional fees to those investors who generate at least PLN 5 million of trading in equities per session on the stock market or 150 thousand futures and options on the derivatives market. HVP mini, an additional threshold of minimum trade volumes under the High Volume Provider programme, was introduced in June 2017. The new thresholds are PLN 2.5 million on the cash market and 75 futures contracts or options on the derivative market. HVP mini is an integral part of HVP which means that participants of the former automatically become participants of the latter. HVP mini rates are ca. 35% higher than HVP rates. The maker-taker price list is not available in HVP mini.
  • High Volume Funds (HVF) Programme: the programme is addressed to investment funds which actively trading in shares or derivatives on GPW. It was launched in July 2015. Similar to HVP, it is a fee promotion for those funds which generate daily trade in shares exceeding PLN 5 million or 150 futures and options on the derivatives market. The condition of generating average turnover at PLN 5 million on the cash market was waived until the end of March 2017. The velocity ratio of a fund, calculated as the turnover generated within three months to the fund’s net asset value, should be at least 200 percent per month. The formula was changed from a one-month to a three-month volume.

Both these programmes on the cash and derivatives markets jointly had 8 participants in 2017. Proprietary traders (participants of the HVP and HVF programmes and a new market maker) generated 11.5% of the value of trading in shares on the electronic order book in 2017; in the best months, their share in trade in equity trade was 13.2%.

In addition to the liquidity support programmes, trading participants benefited from other fee reductions and promotions.

The maker-taker price list available in 2017 to market makers of shares and participants of the High Volume Provider (HVP) programme on the Main Market promoted passive orders on the order book. The price list offers very attractive low trading fees for professional traders present on the order book. The transaction fees for traders who place maker buy and sell orders (entered to the order book) are much lower than fees for taker buy and sell orders (which match an existing order on the order book). The price list is optional which means that market makers of shares and HVP participants may use the maker-taker price list or use the usual price list and promotions.

The Super Market Maker programme was in effect in 2017. The programme supported liquidity of the cash market and the volume of trading in shares of the biggest companies ranking 1 to 7 in the WIG20 portfolio. The programme imposed much higher requirements for market makers’ orders on GPW (size, spread, share in turnover) but it also provided participants with reimbursement of part of transaction fees and revenue sharing with the counterparty. The programme was also offered on the derivative market.

A pilot Super Market Maker programme was launched in early 2018 for selected instruments (including WIG20 shares, futures and options, single-stock futures, currency futures). The programme aims to stimulate liquidity of certain products by rewarding market makers who improve the quality of the order book. The programme encourages market makers to decrease spreads and increase the volume or value of trade. The programme will run until 31 August 2018 and GPW may decide to extend it afterwards.

GPW and KDPW_CCP extended until 31 August 2018 a promotion with no fees for market makers on trade in non-WIG20 stocks, which was available throughout 2017. The programme largely helped to improve the liquidity of small and mid-cap stocks.

In view of alignment with MiFID2, GPW did not introduce any fundamental changes to its price lists in 2017. However, GPW was working throughout 2017 to align its product offer and price list with the new European regulations. The changes took effect at the beginning of 2018.

Focused training programmes dedicated to products were offered to individual investors in partnership with brokerage houses. 42 training sessions were attended by 3,322 participants.

All these initiatives were designed to improve liquidity. However, volatility remains a key parameter impacting investors. After a modest recovery in 2015 and 2016, volatility was exceptionally low in 2017.

Annual volatility of WIG and WIG20

Other Cash Market Instruments

The GPW cash market also lists structured products, investment certificates, warrants and ETF certificates.

Number of structured products, investment certificates, ETFs and warrants

As at 31 December (#)20172016201520142013
Structured products (certificates)942784702744550
Structured products (bonds)10047
Investment certificates3637303137
ETFs33333
Warrants0007672

In total, GPW listed 942 structured products that were investment certificates, 1 structured product that was a bond, 36 investment certificates and 3 ETFs at the end of 2017, and the total value of trade in those instruments was PLN 1.2 billion in 2017, an increase of 7.9% year on year. Structured products had the biggest share in total trade (76.8%), followed by ETFs (16.2%).

Derivative Market

The Warsaw Stock Exchange operates the biggest derivative market in Central and Eastern Europe. WIG20 futures have for years been the most liquid instrument that generates the highest volume of trading on GPW, representing 59.1% of the volume of trading in all derivatives in 2017 (58.7% in 2016, 54.1% in 2015, 63.7% in 2014, 65.4% in 2013).

Single-stock futures attract growing interest of investors and accounted for 21.7% of the total volume in 2017. The share of currency futures in the volume decreased to 14.1% in 2017 compared to 15.8% in 2016. The volume of trading in single-stock futures increased by 7.4% year on year. The volume of trading in bond futures also increased by 71.8% year on year.

Three new classes of single-stock futures were introduced to trading in 2017 on stocks listed on the Main Market. The futures on shares of Polimex-Mostostal were introduced to trading on 20 March 2017. The futures on shares of two newly listed companies were introduced to trading on 9 May 2017 for Dino Polska S.A. and 10 August 2017 for Play Communications S.A. GPW listed 35 single-stock futures at the end of 2017. The futures multiplier is 100 or 1000, depending on the contract, which means that each contract represents 100 or 1000 shares. The value of a contract is equal to the contract price times the multiplier.

Structure of volume of trading in derivatives in 2017 by category of instrument


The total volume of trading in derivatives was 7.6 million instruments in 2017, a decrease of 4.4% compared to 8.0 million instruments in 2016. The decrease was mainly driven by a decrease in the volume of trading in WIG20 futures by 3.7% year on year to 4.5 million instruments in 2017 and a decrease of the volume of trading in currency futures by 14.5% year on year to 1.1 million contracts in 2017. The number of open interest was 140.1 thousand as at 31 December 2017, a decrease of 15.1% year on year.

Volume of trading in futures, EOB and block trades [million instruments]



The total volume of trading in options was 304.5 thousand instruments in 2017, a decrease of 19.3% year on year.

Volume of trading in options, EOB and block trades [thousand instruments]



The activity of investors on the derivative market is largely driven by the volume of trading on the underlying instrument market but it is even more sensitive to volatility than investor activity on the cash market. The volatility of WIG20 on the cash market was lower in 2017 than in previous years and reached 14.8% in 2017 compared to 18.7% in 2016. DLR (derivatives liquidity ratio equal to the nominal value of trade in index derivatives to the value of trade in the underlying) of WIG20 futures was 112 in 2017 compared to 110 in 2016.

Similar to the cash market, GPW supports the liquidity of trading in derivatives by offering incentives to providers of liquidity for index futures, single-stock futures, bond futures and options.

In 2017, GPW continued to offer promotions for fees on market maker trade in WIG20 futures. As a condition of the promotion, market makers needed to generate a certain volume of trading. The promotion was available until 31 December 2017. Furthermore, fees charged from exchange members for trade in bond futures and WIBOR futures were reduced to zero in 2017 under a promotional scheme initiated in 2016.

Liquidity on GPW’s financial derivative market was additionally supported by the HVP and HVF programmes which continued in 2017. The share of programme participants in the volume of trading in derivatives on GPW in 2017 was 7.3% for index futures and 6.7% for single-stock futures.

Debt Market

The GPW Group offers trade in debt instruments on Catalyst, which is comprised of regulated and alternative trading systems operated on the trading platforms of GPW and BondSpot. The following instruments are traded on Catalyst:

  • corporate bonds;
  • municipal bonds;
  • co-operative bank bonds;
  • convertible bonds;
  • covered bonds;
  • Treasury bonds.

Structure of trade on Catalyst (EOB and block trades) in 2017 by instrument


The value of trade in non-Treasury instruments on the electronic order book on the markets operated within Catalyst was PLN 1,514 million in 2017 as compared to PLN 1,377 million in 2016 (an increase of 9.9%) and the value of block trades was PLN 386 million in 2017 as compared to PLN 770 million in 2016. The total value of trade in non-Treasury and Treasury instruments on Catalyst was PLN 2,783 million in 2017 as compared to PLN 3,131 million in 2016, representing a decrease of 11.1%.

Value of trade on Catalyst, EOB and block trades [PLN million]



Outstanding non-Treasury bonds to GDP [%]

Source: BIS (non-Treasury bonds as at the end of H1 2017), IMF (GDP at the end of October 2017)

In 2017, GPW offered a range of initiatives in Poland to introduce companies and local governments to financing options available on all GPW markets. Regional conferences presented ways to raise capital by issuing bonds. Initiatives addressed to local governments included training in bond issues for city treasurers and GPW’s participation in conferences dedicated to the debt market in Poland. GPW hosted a stand and participated in panels at the Local Government Capital and Finance Forum in Katowice and took part in the Modern Local Government Forum in Warsaw.

Treasury BondSpot Poland

Treasury BondSpot Poland (TBSP) operated by BondSpot S.A. is an electronic Treasury bond market and an integral part of the Treasury Securities Dealer system operated by the Ministry of Finance with the support of the National Bank of Poland and the banking industry. The main objective of the Treasury Securities Dealer system is to minimise the cost of public debt by improving liquidity, transparency and effectiveness of the Treasury securities market. TBSP includes a market of cash transactions and a market of conditional transactions (repo).

TBSP offers trade in Treasury securities (Treasury bonds and bills). In general, all wholesale Treasury bonds in PLN and Treasury bills are introduced to trading. TBSP listed 32 series of Treasury bonds with a nominal value of PLN 603.1 billion at the end of 2017. No Treasury bills were listed at the end of 2017.

TBSP also offers trade in EUR-denominated Treasury bonds. TBSP listed 17 series of Treasury bonds in EUR with a nominal value of EUR 30.4 billion at the end of 2017.

In January 2016, Treasury BondSpot Poland was selected by Treasury securities market participants (banks) as the electronic market within the Treasury Securities Dealer competition organised by the Minister of Finance for another three-year period. This consolidates the position of TBSP as the benchmark market in Treasury securities.

The total number of transactions on Treasury BondSpot Poland was 13.5 thousand in 2017. The total value of trade was PLN 534.7 billion, an increase of 29.5% year on year. The average value of trade per session was PLN 2.1 billion. The share of cash transactions and conditional transactions (BuySellBack/SellBuyBack and Repo Classic) in total trade on Treasury BondSpot Poland was 36.7% and 63.3%, respectively, in 2017.

Value of trade on Treasury BondSpot Poland [PLN billion]



The value of cash transactions in PLN instruments was PLN 196.2 billion in 2017, a decrease of 22.9% year on year. The value of conditional transactions was PLN 338.5 billion in 2017, an increase of 113.8% year on year.

In 2017, the Polish bond market was impacted by strong capital flows resulting from the activity of the main central banks. On the one hand, FED’s monetary policy included three interest rate hikes in 2017 (five in the monetary policy tightening cycle initiated in December 2015); on the other hand, ECB continued its quantitative easing in pursuit of economic growth and to fend off deflation. These activities impacted the market interest rates and bond prices on the core markets, which in turn impacted prices and yields on the local market.

The prices of Polish bonds were also driven by local factors including Poland’s strong economy, faster growth, improved fiscal position, return to inflation and the resulting increase of expectations of a turn in the policy of the Monetary Policy Council (RPP). The activity of participants of the market in Treasury securities, in particular repos, was directly impacted by high liquidity in the Polish banking sector and stabilisation of bank activity in this market segment following a strong decrease in the value of transactions caused by deleveraging after the bank tax was imposed in February 2016.

As at the end of 2017, TBSP had 33 market participants (banks, credit institutions, investment firms), including:

  • 21 market makers on the cash market, including 14 Treasury Securities Dealers;
  • 5 market takers on the cash market;
  • 7 institutional investors (2 on the institutional cash market, 4 on the cash and conditional market, 1 on the cash market).

Listing

Listing includes admission and introduction to exchange trading and listing of securities on the markets organised and operated by the GPW Group.

GPW listed 890 companies at the end of 2017 (482 companies on the Main Market and 408 on NewConnect), including 57 foreign issuers (893 listings including 61 foreign issuers at the end of 2016).

Number of domestic and foreign companies – Main Market



Number of domestic and foreign companies - NewConnect



The total capitalisation of domestic and foreign companies on GPW’s two equity markets was PLN 1,389 billion at the end of 2017 compared to PLN 1,126 billion at the end of 2016, an increase of 23.5% year on year. The change of capitalisation was different in different sectors. The capitalisation of most sectors increased in 2017. The biggest year-on-year increase of capitalisation was reported by commercial banks (PLN 50.3 billion), extraction and production operators (PLN 15.5 billion), and clothing and footwear manufacturers (PLN 9.9 billion). The biggest year-on-year decrease of capitalisation was reported by pharmaceutical distributors (PLN 2.2 billion).

Change of capitalisation of domestic companies in 2017 – 20 sectors with the biggest change of capitalisation year on year by value [PLN million]

Outstanding non-Treasury bonds to GDP

Capitalisation of domestic and foreign companies – Main Market and NewConnect [PLN billion]



There were 34 IPOs on GPW’s two stock markets in 2017 (including 7 companies which transferred from NewConnect to the Main Market) compared to 35 IPOs in 2016. The IPO of Play Communications S.A. worth PLN 4.4 billion in Q3 2017 was the biggest private IPO in GPW’s history and the second biggest IPO in Europe in Q3 2017. The total value of IPOs on the two stock markets was PLN 7.7 billion in 2017 (PLN 1.1 billion in 2016) and the value of SPOs was PLN 90.8 billion in 2017 (PLN 4.0 billion in 2016). The strong increase in the value of SPOs in 2016 was driven by the SPO of UniCredit S.p.A worth PLN 55.9 billion in Q1 2017.

For information on GPW’s acquisition initiatives, see section II.3 Implementation of the GPW Group’s Strategy in 2017.

Value of IPOs and SPOs – Main Market and NewConnect [PLN billion]

The number of IPOs both on the Main Market and NewConnect was similar in 2017 and 2016. There were 18 IPOs on NewConnect in 2017, compared to 15 IPOs in 2016. Similar to 2016, seven issuers transferred from the alternative market to the Main Market. With 408 listings (including 7 foreign companies), the capitalisation of NewConnect was PLN 9.6 billion at the end of 2017.

The nominal value of non-Treasury debt listed on Catalyst was PLN 95.8 billion at the end of 2017, an increase of 17.1% year on year. Catalyst listed 566 series of non-Treasury debt instruments at the end of 2017. Issuers whose instruments were listed at the end of 2017 included 19 local governments, 121 enterprises and 19 co-operative banks. Including the State Treasury, the number of issuers on Catalyst was 161 at the end of 2017 compared to 176 at the end of 2016. The total nominal value of non-Treasury debt instruments listed on Catalyst was PLN 95.8 billion at the end of 2016, as compared to PLN 81.8 billion at the end of 2016.

Information services on the financial market

GPW collects, processes and sells market data from all of the financial markets operated by the GPW Group. The status of GPW as the original source of information on trading and its strong brand and diversified business activity within the GPW Group enable the Company to successfully reach various groups of market participants with advanced information adjusted to individual needs.

The main clients using information provided by GPW are specialised data vendors who deliver the data made available by the Company in real time to investors and other market participants. Amongst the vendors there are information agencies, investment firms, internet portals, IT companies and other entities.

As at 31 December 2017, the GPW Group’s information services clients were 52 data vendors, including 27 domestic and 25 foreign ones, with nearly 244.8 thousand subscribers (including 17.8 thousand subscribers using professional data feeds). At the end of 2017, GPW had data vendors in such countries as the United Kingdom, the USA, France, Germany, Switzerland, Denmark, Norway, Ireland, the Netherlands, and Cyprus.

The GPW Group’s product offer was expanded in 2017: in addition to GPW, TGE and BondSpot data, the Group started to sell GPW Benchmark data as well. It acquired 4 vendors of real-time WIBID/WIBOR data, 7 vendors of delayed data, 1 client using historical data, and 2 clearing houses which use WIBOR data in clearing.

Thanks to intensified acquisition initiatives, GPW attracted 11 new clients for non-display data (used in algorithmic trading, risk management, portfolio valuation, and other non-display applications). The sales of licences for use of non-display data were the main driver of growth in this business line in 2017.

Number of data vendors and subscribers, as at 31 December

 20172016201520142013
Number of real-time data vendors5251545858
- local2727303134
- foreign2524242724
Number of real-time data subscribers (thousand)244.8 224.6 221.1240.3261.9
- number of subscribers using professional data feeds 17.8 14.31515.116.2
Number of companies using GPW’s non-display data5343---
Number of licensees using GPW indices as underlying instruments of financial products1518    181617

In addition to GPW, TGE, BondSpot and GPW Benchmark data, the Company also provided data vendors in 2017 with reports of issuers listed on NewConnect and Catalyst.

The Company’s information services also include:

  • delivery of processed data and indicators;
  • services for licensees issuing financial instruments with the use of GPW indices as underlying instruments;
  • licences on GPW data for use in the calculation and publication of clients’ proprietary indices;
  • calculation of indices for clients;
  • licences for television stations using real-time data feeds for limited presentation in public financial programming;
  • licences for clearing houses to use GPW Group data.