Communiqué

Communiqué
of the Warsaw Stock Exchange Management Board
dated 30 August 2019

In connection with Resolutions No. 854/2019, No. 855/2019, and No. 856/2019 dated 30 August 2019, this is to announce modifications to the standard specifications of USD/PLN, EUR/PLN, CHF/PLN, and GBP/PLN futures contracts. The modification affects the terms of calculation of the daily settlement price. According to the currently applicable algorithm, the closing price for contracts of a series is deemed the daily settlement price. If the closing price was not determined during the session, the last settlement price is deemed the daily settlement price. However, if the order book at closing contains at least one order with a limit price better (i.e., higher for buy and lower for sell orders) than the settlement price arrived at as per the above and such order has been entered at least 5 minutes before the close of trading, the limit price of the best of such orders is deemed the settlement price. For buy orders, this is the highest limit price of a buy order above the price arrived at as per the above and for sell orders this is the lowest limit price of a sell order below the price arrived at as per the above. If the limit of such an order exceeds the upper or lower price collar applicable at closing, then the upper or lower price collar applicable at closing, respectively, is deemed the daily settlement price.

The modification referred to above affects the determination of the daily settlement price on the basis of the limit price at closing. Currently, as mentioned above, only those orders are considered which have been entered at least 5 minutes before the close of trading. That condition is now waived and replaced by a quantitative condition, whereby only those orders are considered which are in the order book at closing and which are for at least 50 contracts each.

The Exchange Management Board has decided that the determination of the daily settlement price of currency futures will also include orders which have been entered later than 5 minutes before the close of trading in order to improve the effectiveness of price calculation. Following the modification, the settlement price will better reflect the conditions on the currency market in the final part of the trading session.

The modification of the terms of calculation of the daily settlement price takes effect on 27 September 2019.