Treasury bonds futures - basic characteristics

Abbreviated contract name	FPS5krr where: F - type of instrument PS5 - abbreviated name of underlying instrument k - delivery month code (as per the Exchange Management Board resolution) rr - two last digits of delivery year
Contract code	Granted by the clearing entity following the ISIN standard
Underlying instrument	Fixed interest treasury notes issued by the Minister of Finance, with a minimum issue value of PLN 5 billion and a remaining maturity of not less than 2 years and 9 months and not more than 5 years and 6 months as of the futures contract delivery date
Contract par value	PLN 100,000
Multiplier	PLN 1,000
Trading unit	The value is given in percentage points for each PLN 100 of the par value of the contract
Contract value	The product of the contract price and the multiplier
Delivery months	Two nearest of March, June, September and December
Last trading day	The trading day being the third Friday of the delivery month. If this day is not a trading day according to the exchange calendar, then the last trading day before the third Friday of the delivery month.
Expiry date	The date on which the final settlement price of a contract is determined. The same day as the last trading day.
First trading day of a new series	The first trading day following expiry of the previous contract series. Set out by the Exchange Management Board for the first contract series of a class.
Daily settlement price of a contract	Daily settlement price is determined after each session starting from the date on which the first transaction of a contract series was made, exclusive of the expiry date. Daily settlement price shall be the closing price of contracts of a series. If no closing price is determined during a session, the last settlement price will be 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 is entered at least 5 minutes before the close of trading, the limit price of the best of such orders will be deemed the settlement price. For buy orders, this is the best limit price of a buy order above the price arrived at as per the above. In contrast, for sell orders it is the lowest limit price of a sell order below the price arrived at as per the above. If the limit in the aforementioned order is higher than the upper price variation limit or lower than the bottom price variation limit as applicable at closing, then the upper or, as appropriate, bottom price variation limit as applicable at closing will be deemed the daily settlement price. In the exceptional cases, the Exchange may, in consultation with the NDS, set a settlement price other than that set as per the above.
Daily settlement value of a contract	The product of the daily settlement price of a contract and the multiplier
Final settlement price of a contract	Final settlement price is determined on the contract expiry date as the turnover-weighted arithmetic average of prices of all transactions in contracts of a series concluded during the last hour of the continuous trading phase and at closing of the continuous trading phase. If there are no transactions during the last hour of the continuous trading phase and at closing of the continuous trading phase, the final settlement price of a contract is determined by analogy to the determination of the daily settlement price of a contract. The final settlement price of a contract is used to determine the final settlement value of notes if the contract is settled by note delivery or the final cash settlement value if the contract is settled in cash.
Final settlement value of a contract	The product of the final settlement price of a contract and the multiplier
Contract delivery	A contract is delivered by note delivery in accordance with the rules set out by the NDS. In exceptional cases a contract may be delivered by cash settlement in accordance with the rules set out by the NDS.
Contract delivery date	The fourth business day after the last trading day is the delivery date for a contract of a series in the event of contract delivery by note delivery. A contract is delivered by note delivery on the basis of the final settlement value of notes. In exceptional cases, in the event of cash settlement of a contract, the third business day after the last trading day is the contract delivery date. A contract is settled in cash on the basis of the final cash settlement value of a contract.
Final settlement value of notes	The final settlement value of notes is determined for each series of deliverable notes on the basis of the final settlement price of a contract and an applicable conversion factor for a note series. The final settlement value is given accurate to one grosz. The final settlement value of notes for a series is computed in accordance with the following formula: where: OCRi - final settlement value of notes for the ith series (series No. i), CFi - conversion factor for the ith series of notes, OKR - final settlement price of a contract, AIi - product of accrued interest on the ith series of notes and 100. If the day of granting the right to interest falls between T and T+3 (where T is the last trading day for a contract series) or earlier, this interest is disregarded. Conversion factors for notes being delivered are determined before the first trading day of a contract series and accurate to six decimal places. A conversion factor corresponds to PLN 100 of the nominal value of notes. A conversion factor for a note series is computed in accordance with the following formula: where: where: r - interest rate used to determine a conversion factor, equal to 6% p.a. n - number of years left until maturity of a security after a coupon payment date following the delivery date. If the day of granting the right to interest falls between day T and day T+3 (where T is the last trading day for a contract series) or earlier and the coupon is paid after the delivery settlement date, it is disregarded when "n" is determined. C - annual coupon per PLN 100 of the par value of notes. If the day of granting the right to interest on notes falls between day T and day T+3, this payment is disregarded. y - current number of days between two annual interest payment dates, taking the delivery date into account (both 365 and 366 days) d - current number of days between the delivery settlement date (T+4) and interest (coupon) payment date following the delivery date PV - present value of each PLN 100 of the par value of notes, discounted at rate r as at the coupon payment date Accrued interest is charged in accordance with the interest table published by the Ministry of Finance as at the contract settlement date.
Final cash settlement value of a contract	The value based on which a contract will be settled in cash, in exceptional cases. The value is determined in accordance with the rules set out by the NDS.
Investor's margin	The minimum amount is determined by the NDS. The entity operating the investor's account may set a higher investor margin requirement.
Exceptional cases	In exceptional instances the Exchange Management Board determines procedures and immediately publishes them