Gielda Papierow Wartosciowych w Wrszw : Change of the Precision of the Tick Size

2019-01-03 10:07:25

Warsaw, 21 December 2018

Change of the Precision of the Tick Size of
Shares and ETFs as of 4 March 2019

PRESS RELEASE

• GPW changes the tick size of shares and ETFs as of 4 March 2019
• Prices of shares and ETFs will be determined with a precision of four decimal places (PLN 0.0001)
• The new tick sizes are introduced to ensure alignment of the Polish market with European standards

'A new tick size effective on GPW as of 4 March 2019 implies that shares and other financial instruments will be traded with a precision of four decimal places. The roll-out date of the modifications has been set in arrangement with market participants. The change of the tick size follows from standards applicable on other European trading venues and aligns our market with those standards to ensure its competitiveness,' said Piotr Borowski, GPW Management Board Member.

At present (until 4 March 2019), the tick size of most shares and ETFs ranges (depending on the instrument) from one to several grosh. The modification will introduce six new tick sizes under PLN 0.001 equal to PLN 0.0001, PLN 0.0002, PLN 0.0005, PLN 0.0010, PLN 0.0020, and PLN 0.0050.

The tick size of shares and ETFs on GPW depends on the price of the instrument and the liquidity (value) of turnover. There are six tick size tables, each for a different liquidity level (see the example presented below). Table 1 applies to the least liquid shares and Table 6 to the most liquid shares. Shares are classified by liquidity by the European Securities and Markets Authority (ESMA). The modifications represent the second phase of GPW's implementation of the tick size under MIFID II/MIFIR.

Table 1. Tick size table effective as of 4 March 2019

With the change of the tick size, prices of shares and ETFs on the exchange will be determined with a greater precision than before. This could help to narrow market spreads (the difference between the ask price and the bid price) and ensure a more precise market valuation of the instruments. The change will be particularly relevant for penny stocks, for which a price change by PLN 0.01 represents a major percentage change in value.

The planned modifications include the clearing and settlement of transactions made at a price determined with a precision of four decimal places. For this purpose, each transaction will be rounded off to PLN 0.01. Fractional amounts under PLN 0.005 will be omitted and fractional amounts of PLN 0.005 or more will be rounded up to PLN 0.01.

Change of the Tick Size of Futures as of 4 March 2019

PRESS RELEASE

• Single-stock futures and currency futures will be listed on GPW with a precision of four decimal places (PLN 0.0001) as of 4 March 2019
• The trading unit of currency futures will change, as well

Currency futures:

The tick size and the trading unit of all currency futures listed on GPW change as of 4 March 2018. Futures prices will be quoted with a precision of PLN 0.0001 (currently PLN 0.01) and will be expressed per 1 currency unit (currently per 100 currency units), ensuring consistency between the presentation of the price of the underlying (FX rates) and the price of futures.

The tick size and the trading unit will change for all prices of instruments, including daily and final settlement prices. Following the change, the final settlement price will be equal to the average FX rate of the currency (EUR, USD, GBP, CHF) determined by NBP at the fixing on the futures expiry date and the FX rate will not be multiplied by 100 (as it is now).

The change of the tick size and the trading unit of currency futures does not affect the rules of determination of the return on currency futures.

Single-stock futures:

The tick size of all single-stock futures listed on GPW changes as of 4 March 2019. Futures prices will be quoted with a precision of PLN 0.0001. The tick size will be the same irrespective of the futures price. However, the futures price may not be less than PLN 0.01.

The change is designed to determine a single tick size of PLN 0.0001, which is equal to the smallest tick size on the stock market.

The value of futures is equal to the futures price times the number of stocks per contract (multiplier). The value will now be determined with a precision of PLN 0.0001.

The change of the tick size of single-stock futures affects the precision of the daily and the final settlement price, which will now be determined with a precision of PLN 0.0001, as well.

The daily and the final settlement price are determined by the Exchange and used by KDPW_CCP in the daily clearing of futures.

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The Warsaw Stock Exchange (GPW) is the biggest exchange in Central and Eastern Europe. GPW organises trade on one of the fastest growing capital markets in Europe. GPW operates a regulated market of shares and derivative instruments and the alternative stock market NewConnect for growing companies. GPW is developing Catalyst, a market for issuers of corporate and municipal bonds. Towarowa Giełda Energii (TGE), a member of the GPW Group since February 2012, offers trading in electricity, natural gas, property rights and guarantees of origin, and CO2 emission allowances. Since 9 November 2010, GPW is a public company listed on Warsaw Stock Exchange. For more information, visit www.gpw.pl.