Settlement Pricing Procedure. Datum / Date Dokumentversion / Document Release Version 3.10

Transcription

1 Settlement Pricing Procedure Datum / Date Ort / Place Leipzig Dokumentversion / Document Release Version 3.10

2 1 Table of Contents 1 Table of Contents Preliminary Remarks Settlement Prices for Futures and Spot Instruments Definition of Product-Specific Parameters Calculation of Theoretical Settlement Prices Compliance with the Principle of Freedom from Arbitrage in the Determination of Settlement Prices Calculation examples Product-Specific Rules and Parameters for the Determination of Settlement Prices Settlement of Phelix Futures Settlement of Cap Futures Settlement of French Power Futures Settlement of Italian Power Futures Settlement of Dutch Power Futures and Belgian Power Futures Settlement of Swiss Power Futures Settlement of Spanish Power Futures Settlement of Nordic Power Futures Settlement of UK Power Futures Settlement of Futures and Spot Instruments on EU Emission Allowances and Certified Emission Reductions Settlement of API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Future and API-4-FOB- Richards-Bay-(Argus-IHS McCloskey)-Coal-Future Settlement of Products for Trade Registration Settlement of Products for Freight and Fertilizers Settlement of Phelix, French, Italian, Spanish and Nordic Options Settlement of Guarantees of Origin Settlement of Agricultural Commodities Settlement Pricing Procedure Page 2

3 2 Preliminary Remarks On every exchange trading day, a settlement price is established for each individual product traded continuously or eligible for Trade Registration on the EEX Derivatives and Spot Markets. The settlement price is relevant for the execution of all clearing processes and, specifically, for the calculation of each trading participant s Variation Margin. The settlement price is established on all exchange trading days. In this context, the order book situation during the settlement window, is decisive for pricing. If the settlement price cannot be established on this basis, the estimates by the trading participants chief traders or other external sources (e.g. Index provider) are used for pricing. This approach is also used to calculate certain indices. The exact calculation rules for these indices are specified in separate index descriptions. In the case of Phelix Options and products approved for Trade Registration, a different approach is used. This document outlines the procedure for the daily determination of the EEX Derivatives Markets settlement prices and for continuous trading on the EEX Spot Markets. Settlement Pricing Procedure Page 3

4 3 Settlement Prices for Futures and Spot Instruments 3.1 Definition of Product-Specific Parameters The order book situation is used as the basis for settlement pricing. Only trades and orders which fulfil product/contract-specific parameters are used for pricing. These parameters include: Beginning and duration of the settlement window for the consideration of trades and best bid/best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Weighting between trades and mean values from average best bid/best ask Volume weighting of trades Time weighting of best bid/best ask Maximum settlement spread per contract for consideration for settlement The settlement window is defined as the period of time during the trading phase, in which the trade and order book situation relevant for the settlement price determination is tracked. The price range between buy and sell prices which is specified as a maximum value per contract is defined as the settlement spread. The respective settlement spread to be applied depends on the current market situation. This means that one settlement spread each is defined per contract, for the normal, fast and extended fast market situations. The parameters described which are used for the determination of settlement prices are specified at the product level in section 4 Product-Specific Rules and Parameters for the Determination of Settlement Prices. Settlement Pricing Procedure Page 4

5 3.2 Calculation of Theoretical Settlement Prices Firstly, the theoretical settlement prices are determined on the basis of defined calculation algorithms. In this context, the underlying method depends on the number of valid trades and orders which fulfil the product-specific preconditions (see 3.1 and 4). In principle, the price sources are trades, orders and fair values which have to be weighed in descending priority. Registered trades, mistrades or trades cancelled ex officio are not considered. EEX reserves the right to exclude individual trades or orders from pricing if these are not in line with the actual situation on the market. The following overview provides examples of possible scenarios and the calculation algorithms connected with these: Order book situation There was at least one trade. There were orders. Calculation algorithm Theoretical settlement price = 0.75*AverageTradePrice *AverageMid There was at least one trade. There were no orders. Theoretical settlement price = AverageTradePrice There was no trade. There were orders. Theoretical settlement price = AverageMid There was no trade. There were no orders. The theoretical settlement price is established based on data of external price sources or the chief trader procedure. For some products (French Power), the theoretical settlement price is exclusively determined as the weighted average of the exchange prices traded during the settlement window, providing that a specified minimum number of trades has been concluded in a given contract during this period (see section 4). The AverageTradePrice is established as the mean value of the exchange prices traded during the settlement price window. The AverageMid is calculated as the mean value of the average best bid and the average best ask. The average best bid (the average best ask), is established as the average from all highest Settlement Pricing Procedure Page 5

6 buy orders (lowest sell orders) which lie within the limits of the current settlement spread during the time window for the individual contract during this period on the market. If there are no trades and orders fulfilling the product-specific parameters, the EEX Management Board can determine the settlement price based on data of external prices sources or the chief trader procedure. Every trading participant can take part in the chief trader procedure through representation by a licensed exchange trader (chief trader). The EEX Market Supervision Department provides a standardised form to all trading participants, who agree to provide a market price for the respective Derivatives Market contracts or Spot instruments. If required, EEX determines the settlement prices, by calculating the simple average from all estimates of the market prices received (indications). EEX reserves the right to remove indications which deviate considerably from the average in the calculation. There is no orderbook trading in products for Trade registration. As a result, trades and orders cannot be determined. In this case, prices are established with the help of external prices sources or the chief trader procedure. The calculation of prices for Phelix Options is based on the mathematical equation of the Black- 76 model. The essential influencing parameters comprise the underlying futures price, the exercise price, the residual price, the short-term risk-free interest rate and the implied volatility of the underlying security. In this context, the implied volatility is established by EEX, based on external price sources or using the chief trader procedure and with the help of historic market prices. EEX reserves the right to adjust the theoretical settlement prices established in advance in order to ensure freedom from arbitrage (see 3.3). In the case of Derivatives contracts without an Open Interest, EEX reserves the right to waive the determination of settlement prices. In this case, the minimum price is determined pro forma as the settlement price: For power futures it is EUR/GBP 0.01 per MWh; for emission certificates it is EUR 0.01 per tco2; for options on power futures it is EUR per MWh; for coal it is USD 0.01 per t; for coal futures quoted in EUR it is EUR 0.01 per tonne and for Guarantees of Origin it is EUR per GoO. The algorithms for the determination of settlement prices are specified at the product level in Section 4 Product-Specific Rules and Parameters for the Determination of Settlement Prices. Settlement Pricing Procedure Page 6

7 3.3 Compliance with the Principle of Freedom from Arbitrage in the Determination of Settlement Prices If the settlement prices are determined in accordance with the order book situation, or based on external price sources or the chief trader procedure, theoretical settlement prices are established first. These are then adjusted as a next step to determine arbitrage-free settlement prices. These arbitrage-free prices are then determined as settlement prices. In the case of derivatives contracts, the following scenarios are possible: - Arbitrage between quarter and year contracts - Arbitrage between quarter and season contracts - Arbitrage between month and quarter contracts - Arbitrage between day and week contracts - Arbitrage between day and weekend contracts These scenarios can also be fulfilled simultaneously, as the following example chart shows. In this example, the principle of freedom from arbitrage is fulfilled under the following conditions: Y 15 = (Q1 15 *hq Q2 15 *hq Q3 15 *hq Q4 15 *hq4 15 ) / (hq hq hq hq4 15 ) and Q2 15 = (M4 15 *hm M5 15 *hm M6 15 *hm6 15 ) / (hm hm hm6 15 ) Settlement Pricing Procedure Page 7

8 In the case of the season contracts in this example, the following conditions have to be fulfilled: Y 15 = (Q1 15 *hq S Summer15 *hs Summer15 + Q4 15 *hq4 15 ) / (hq hs Summer15 + hq4 15 ) and S Winter14/15 = (Q4 14 *hq Q1 15 *hq1 15 ) / (hq hq1 15 ) S Summer15 = (Q2 15 *hq Q3 15 *hq3 15 ) / (hq hq3 15 ) S Winter15/16 = (Q4 15 *hq Q1 16 *hq1 16 ) / (hq hq1 16 ) as well as Q2 15 = (M4 15 *hm M5 15 *hm M6 15 *hm6 15 ) / (hm hm hm6 15 ) Legend: Y = Theoretical settlement price of a year contract S = Theoretical settlement price of a season contract Q = Theoretical settlement price of a quarter contract M = Theoretical settlement price of a month contract h = Contract volume Freedom from arbitrage is ensured if there is a difference of EUR/GBP 0.00 between the contracts with overlapping maturities after commercial rounding. In this context, on principle, prices resulting from trades and/or orders are adjusted to a lower degree than prices established based on external price sources or the chief trader procedure. Settlement Pricing Procedure Page 8

9 3.4 Calculation examples The determination of settlement prices are illustrated below on the basis of the example of an order book. The four possible scenarios (see section 3.2), are illustrated using the contracts F1BM AUG15, F1BM SEP15, F1BM OCT15 and F1BM NOV15. a) Determination of the theoretical settlement price for the F1BM AUG15 contract During the settlement window (in this case: 15:50 to 16:00), there is the following order book scenario in a normal market situation. There is a settlement spread of EUR Order book during the settlement window F1BM AUG15 Time Best Bid Best Ask Spread between Best Bid / Best Ask 15:50 15 MW MW Trade 15:51 3 MW :51 12 MW MW :53 10 MW :53 20 MW :58 20 MW :58 12 MW MW Initially, the best bid and/or best ask and the prices traded which do not fulfil the requirements for the determination of settlement prices have to be eliminated from the calculation. In this example, these cases are shown with a grey background. In the first case, the trade does not fulfil the minimum number of contracts of 5 MW. In the second case, there is no best ask, as a result of which, the best bid cannot be included in the pricing. In the third case, the spread between the opposite best bid and best ask, exceeds the settlement spread of EUR The theoretical settlement price is established on the basis of the remaining best bid/best ask and the prices traded. Since both trades and orders have to be taken into account, the prices are established in accordance with the following equation: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid. It amounts to EUR Settlement Pricing Procedure Page 9

10 Determination of the settlement price for F1BM AUG15 Calculation Result Weighting Traded prices =( )/ % Average best bid =( )/ Average best ask =(52+52)/ =( )/ % Theoretical Settlement price =(51.88*0.75)+(51.81*0.25) b) Determination of the theoretical settlement price for the F1BM SEP15 contract During the settlement window, there is the following order book situation during a normal market situation. A settlement spread of EUR 2.00 applies. Order book during the settlement window - F1BM SEP15 Time Best bid Best ask Spread between best bid / best ask 15:50 15 MW MW Trade 15:50 3 MW :51 12 MW MW :53 10 MW Initially, the best bid and/or best ask and the prices traded which do not fulfil the requirements for the determination of settlement prices again have to be eliminated from the calculation. In this example, these cases are shown with a grey background. The trade does not fulfil the minimum number of contracts of 5 MW. The cumulated best bid/best ask do not fulfil the minimum duration of 3 minutes and, as a result, they also have to be eliminated. As only one trade has to be taken into account, the price is established in accordance with the following equation: Theoretical settlement price = AverageTradePrice. This amounts to EUR Determination of the settlement price for F1BM SEP15 Calculation Result Weighting Traded prices % Theoretical settlement price Settlement Pricing Procedure Page 10

11 c) Determination of the theoretical settlement price for the F1BM OCT15 contract During the settlement window, there is the following order book situation during a normal market situation. A settlement spread of EUR 2.00 applies. Order book during the settlement window - F1BM OCT15 Time Best bid Best ask Spread between best bid / best ask 15:50 15 MW MW Trade 15:53 3 MW :55 12 MW MW Again, the best bid and/or best ask (and the prices traded, which do not fulfil the requirements for the determination of settlement prices), have to be eliminated from the calculation (shown with a grey background). In this case, the trade does not fulfil the minimum number of contracts traded of 5 MW. The available best bid/best ask fulfil the preconditions, as a result of which, the theoretical settlement price is determined as follows: Theoretical settlement price = AverageMid. This is EUR Determination of the settlement price for the F1BM OCT15 Calculation Result Weighting Average Best Bid =( )/ Average Best Ask =( )/ =( )/ % Theoretical settlement price Settlement Pricing Procedure Page 11

12 d) Determination of the theoretical settlement price for the F1BM NOV15 contract During the settlement window, there is the following order book scenario during a normal market situation. A settlement spread of EUR 2.00 applies. Order book in the settlement window - F1BM NOV15 Time Best bid Best ask Spread between best bid / best ask 15:50 2 MW MW Trade 15:58 2 MW :58 3 MW In this case, pricing on the basis of the order book is not possible, as there are no best bid/best ask or prices traded which fulfil the requirements described above. In addition no external price sources are available. As described in section 3.2, the theoretical settlement price is determined on the basis of the chief trader procedure. The following fair values were reported: Participant Fair Value Participant Participant Participant Participant Participant The arithmetic mean is determined from the fair values. As a result, the theoretical settlement price for the F1BM NOV15 contract is EUR 50. Determination of the settlement price for F1BM NOV15 Calculation Result Weighting Fair Values =( )/ % Theoretical settlement price Settlement Pricing Procedure Page 12

13 4 Product-Specific Rules and Parameters for the Determination of Settlement Prices 4.1 Settlement of Phelix Futures Important aspects Valid for products with product abbreviation Specification Phelix Futures: FB01 - FB34: Phelix Day Base Futures FWB1 - FWB5: Phelix Base Weekend Futures F1B1 - F1B5: Phelix Base Week Futures F1BM: Phelix Base Month Future F1BQ: Phelix Base Quarter Future F1BY: Phelix Base Year Future FP01 - FP34: Phelix Day Peak Futures FWP1 - FWP5: Phelix Peak Weekend Futures F1P1 - F1P5: Phelix Peak Week Futures F1PM: Phelix Peak Month Future F1PQ: Phelix Peak Quarter Future F1PY: Phelix Peak Year Future F1OM: Phelix Off-Peak Month Future F1OQ: Phelix Off-Peak Quarter Future F1OY: Phelix Off-Peak Year Future Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid Settlement Pricing Procedure Page 13

14 b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts. However, there were no orders which fulfilled the requirements as specified below. The theoretical settlement price is determined using external price sources or the chief trader procedure. The settlement prices (P) of the Phelix Off-Peak Futures result from the arbitrage-free, calculated settlement prices of the Phelix Base and Phelix Peak Futures. In this case, the Phelix Off- Peak Futures are based on the following algorithm: P Off-Peak = (P Base *h Base -P Peak *h Peak )/h Off-Peak Volume weighting of trades Time weighting of best bid / best ask traded per order Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes No No All contracts except F1BY/F1PY: 5 contracts = 5 MW F1BY/F1PY: 3 contracts = 3 MW All contracts except F1BY/F1PY: 5 contracts = 5 MW F1BY/F1PY: 3 contracts = 3 MW These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec The settlement price of the front month is calculated as an average of the settlement prices or final settlement prices of the respective week futures. The final settlement price for the current delivery week and/or the current delivery month in Phelix Futures is established as the mean value of the underlying Spot Market Index for the respective week and/or the respective month. Settlement Pricing Procedure Page 14

15 The final settlement price of a day future corresponds to the respective average of the hourly price, calculated by EPEX SPOT in the daily auction. This settlement price might be negative. The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative. For all other contracts, that are not final settled and the theoretical settlement price is negative, the minimum final settlement prices is 0.01 EUR/MWh. Settlement Pricing Procedure Page 15

16 4.2 Settlement of Cap Futures Important aspects Valid for products with product abbreviation Specification German Intraday Cap Week Futures: C1B1 - C1B5: German Intraday Cap Week Futures Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price Volume weighting of trades Time weighting of best bid / best ask traded per order EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts. However, there were no orders which fulfilled the requirements as specified below. No No The theoretical settlement price is determined using external price sources or the chief trader procedure. 5 contracts = 5 MW 5 contracts = 5 MW Settlement Pricing Procedure Page 16

17 Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec The final settlement price for the current delivery week in German Intraday Cap Futures is established as the mean value of the differences of the Intraday Price Indices (ID3-Price) determined on the Intraday continuous market by EPEX SPOT and the Cap that has been stipulated by the Management Board of the Exchange prior to the introduction of the respective Future. Settlement Pricing Procedure Page 17

18 4.3 Settlement of French Power Futures Important aspects Valid for products with the product abbreviation Specification Financial French Power Futures: F701 - F734: French Power Base Day Futures F7W1 - F7W5: French Power Base Weekend Futures F7B1 - F7B5: French Power Base Week Futures F7BM: French Power Base Month Future F7BQ: French Power Base Quarter Future F7BY: French Power Base Year Future F7P1 - F7P5: French Power Peak Week Futures F7PM: French Peak Power Month Future F7PQ: French Peak Power Quarter Future F7PY: French Peak Power Year Future Physical French Power Futures: F2B1 - F2B5: French Power Base Week Futures F2BM: French Baseload Month Future F2BQ: French Power Baseload Quarter Future F2BY: French Power Baseload Year Future F2P1 - F2P5: French Power Peak Week Futures F2PM: French Power Peakload Month Future F2PQ: French Power Peakload Quarter Future F2PY: French Power Peakload Year Future Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: α = volume of the trade / traded for this product TradePrice = Traded price of the trade WeightedAverageTradePrice = Volume-weighted average value of the trade Settlement Pricing Procedure Page 18

19 WeightedAverage Mid = Time-weighted mean value of the average best bid/best ask a) There were two or more trades with the minimum number of contracts: Theoretical settlement price = WeightedAverageTradePrice b) There was one trade with the minimum number of contracts. Furthermore, there were orders which fulfilled the requirements specified below. Theoretical settlement price = ((3α -1)/3α *TradePrice + 1/3α*Average Mid) Example: If α = 1, the coefficients are 2/3 and 1/3. If α = 2, the coefficients are 5/6 and 1/6. c) There was one trade with the minimum number of contracts. Apart from this, there were no orders which fulfilled the requirements specified below. Theoretical settlement price = TradePrice d) There was no trade with the minimum number of contracts. However, there were orders which fulfilled the requirements as specified below. Theoretical settlement price = WeightedAverageMid e) There was no trade with the minimum number of contracts. There was no order which fulfilled the requirements specified below. The theoretical settlement price is specified based on data of external price sources or the chief trader procedure. Volume weighting of trades Time weighting of best bid/best ask traded per order Settlement spread for the consideration of best bid/best ask Yes Yes All contracts except F7BY/F7PY/F2BY/F2PY: 5 contracts = 5 MW F7BY/F7PY/F2BY/F2PY: 3 contracts = 3 MW All contracts except F7BY/F7PY/F2BY/F2PY: 5 contracts = 5 MW F7BY/F7PY/F2BY/F2PY: 3 contracts = 3 MW This is specified in a separate annex to this document at the contract level. Settlement Pricing Procedure Page 19

20 Minimum duration of the cumulated best bid/best ask during the settlement window Other notes 3 Min = 180 sec. Financial French Power Futures: The settlement price of the front month is calculated as an average of the settlement prices or final settlement prices of the respective week futures. The final settlement price for the current delivery week and/or the current delivery month in Financial French Power Futures is established as the mean value of the underlying Spot Market Index for the respective week and/or the respective month. The final settlement price of a day future corresponds to the respective average of the hourly price, calculated by EPEX SPOT in the daily auction. This settlement price might be negative. The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative. For all other contracts, that are not final settled and the theoretical settlement price is negative, the minimum final settlement prices is 0.01 EUR/MWh. Physical French Power Futures: The settlement prices of the physical French Power Futures are equal the equivalent financial French Power Futures. The Balance of the Month is established for the respective current month before the beginning of delivery, as the final settlement price. This remains unchanged throughout the entire delivery month (concerns the first maturity of the F2BM or F2PM product). Settlement Pricing Procedure Page 20

21 4.4 Settlement of Italian Power Futures Important aspects Valid for products with product abbreviation Specification Italian Power Futures: FD01 - FD34: Italian Power Base Day Futures FDW1 - FDW5: Italian Power Base Weekend Futures FDB1 - FDB5: Italian Power Base Week Futures FDBM: Italian Power Base Month Future FDBQ: Italian Power Base Quarter Future FDBY: Italian Power Base Year Future FDP1 - F1P5: Italian Power Peak Week Futures FDPM: Italian Power Peak Month Future FDPQ: Italian Power Peak Quarter Future FDPY: Italian Power Peak Year Future Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts; Settlement Pricing Procedure Page 21

22 there were no orders which fulfilled the requirements as specified below. The theoretical settlement price is determined using external price sources or the chief trader procedure. Volume weighting of trades Time weighting of best bid / best ask traded per order Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes No No All contracts except FDBY/FDPY: 5 contracts = 5 MW FDBY/FDPY: 3 contracts = 3 MW All contracts except FDBY/FDPY: 5 contracts = 5 MW FDBY/FDPY: 3 contracts = 3 MW These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec The settlement price of the front month is calculated as an average of the settlement prices or final settlement prices of the respective week futures. The final settlement price for the current delivery week and/or the current delivery month in Italian Power Futures is established as the mean value of the underlying Spot Market Index for the respective week and/or the respective month. The final settlement price of a day future corresponds to the respective PUN Index GME as determined by Gestore dei Mercati Energetici (GME). This settlement price might be negative. The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative. For all other contracts, that are not final settled and the theoretical settlement price is negative, the minimum final settlement prices is 0.01 EUR/MWh. Settlement Pricing Procedure Page 22

23 4.5 Settlement of Dutch Power Futures and Belgian Power Futures Important aspects Valid for products with product abbreviation Specification Financial Dutch Power Futures: Q0BM: Dutch Power Base Month Future Q0BQ: Dutch Power Base Quarter Future Q0BY: Dutch Power Base Year Future Q0PM: Dutch Power Peak Month Future Q0PQ: Dutch Power Peak Quarter Future Q0PY: Dutch Power Peak Year Future Financial Belgian Power Futures: Q1BM: Belgian Power Base Month Future Q1BQ: Belgian Power Base Quarter Future Q1BY: Belgian Power Base Year Future Physical Dutch Power Futures: QDBM: Dutch Power Baseload Month Future QDBQ: Dutch Power Baseload Quarter Future QDBY: Dutch Power Baseload Year Future QDPM: Dutch Power Peakload Month Future QDPQ: Dutch Power Peakload Quarter Future QDPY: Dutch Power Peakload Year Future Physical Belgian Power Futures: QBBM: Belgian Power Baseload Month Future QBBQ: Belgian Power Baseload Quarter Future QBBY: Belgian Power Baseload Year Future Settlement window 15:45 16:00 Algorithm for the determination of the theoretical settlement price EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask Settlement Pricing Procedure Page 23

24 a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts. There were no orders which fulfilled the requirements as specified below. The theoretical settlement price is determined based on external price sources or the chief trader procedure. Volume weighting of trades Time weighting of best bid / best ask traded per order Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes No No All contracts except Q0BY/Q0PY/Q1BY: 5 contracts = 5 MW Q0BY/Q0PY/Q1BY: 3 contracts = 3 MW All contracts except Q0BY/Q0PY/Q1BY: 5 contracts = 5 MW Q0BY/Q0PY/Q1BY: 3 contracts = 3 MW These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec Financial Dutch and Belgian Power Futures: The final settlement price for the current delivery month in Financial Dutch and Belgian Power Futures are established as the mean value of the underlying Spot Market Index APX NL Base or APX NL Peak as determined by APX Power BV for the respective month. Settlement Pricing Procedure Page 24

25 Physical Dutch and Belgian Power Futures: The settlement prices of the physical Dutch and Belgian Power Futures are equal to the equivalent financial Dutch and Belgian Power Futures The Balance of the Month is established for the respective current month before the beginning of delivery, as the final settlement price. This remains unchanged throughout the entire delivery month. Settlement Pricing Procedure Page 25

26 4.6 Settlement of Swiss Power Futures Important aspects Valid for products with product abbreviation Specification Swiss Power Futures: FCBM: Swiss Power Base Month Futures FCBQ: Swiss Power Base Quarter Futures FCBY: Swiss Power Base Year Futures Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price Volume weighting of trades Time weighting of best bid / best ask EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts. However, there were no orders which fulfilled the requirements as specified below. No No The theoretical settlement price is determined using external price sources or the chief trader procedure. All contracts except FCBY: 5 contracts = 5 MW Settlement Pricing Procedure Page 26

27 traded per order Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes FCBY: 3 contracts = 3 MW All contracts except FCBY: 5 contracts = 5 MW FCBY: 3 contracts = 3 MW These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec The final settlement price for the current delivery month in Swiss Power Futures is established as the mean value of the underlying Spot Market Index at EPEX Spot for the respective month. Settlement Pricing Procedure Page 27

28 4.7 Settlement of Spanish Power Futures Important aspects Valid for products with the product abbreviation Specification Spanish Power Futures: FE01 FE34: Spanish Power Day Futures FEW1 FEW5: Spanish Power Weekend Futures FEB1 FEB5: Spanish Power Week-Futures FEBM: Spanish Power Month-Futures FEBQ: Spanish Power Quarter-Futures FEBY: Spanish Power Year-Futures Settlement window - Algorithm for the determination of the theoretical settlement price EEX and OMIP (Operador do Mercado Ibérico de Energia) have both listed the above named products on each exchange (cross listing). Hence, EEX will use the published settlement prices by OMIP in order to determine the daily settlement prices for the products listed at EEX. Volume weighting of trades - Time weighting of best bid/best ask traded per order Settlement spread for the consideration of best bid/best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes Corresponding final settlement prices = see Contract Specifications for Spanish Power Futures. Settlement Pricing Procedure Page 28

29 4.8 Settlement of Nordic Power Futures Important aspects Valid for products with product abbreviation Specification Nordic Power Futures: FBBM: Nordic Power Base Month Future FBBQ: Nordic Power Base Quarter Future FBBY: Nordic Power Base Year Future Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price Volume weighting of trades Time weighting of best bid / best ask EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts; However, there were no orders which fulfilled the requirements as specified below. No No The theoretical settlement price is determined using external price sources or the chief trader procedure. All contracts except FBBY: 5 contracts = 5 MW Settlement Pricing Procedure Page 29

30 traded per order Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes FBBY: 3 contracts = 3 MW All contracts except FBBY: 5 contracts = 5 MW FBBY: 3 contracts = 3 MW These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec The final settlement price for the current delivery month in Nordic Power Futures corresponds to the respective Nordic Elspot System Price as determined by Nord Pool Spot. Settlement Pricing Procedure Page 30

31 4.9 Settlement of UK Power Futures Important aspects Valid for products with product abbreviation Specification UK Power Futures: FU01 - FU34: UK Base Day Futures FUW1 - FUW5: UK Base Weekend Futures FUB1 - FUB5: UK Base Week Futures FUBM: UK Base Month Future FUBQ: UK Base Quarter Future FUBS: UK Base Season Future FUBY: UK Base Year Future FUP1 - FUP5: UK Peak Week Futures FUPM: UK Peak Month Future FUPQ: UK Peak Quarter Future FUPS: UK Peak Season Future FUPY: Phelix Peak Year Future Settlement window 15:50 16:00 Algorithm for the determination of the theoretical settlement price EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the prices traded Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the requirements as outlined below: Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below. Settlement Pricing Procedure Page 31

32 Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts. However, there were no orders which fulfilled the requirements as specified below. The theoretical settlement price is determined using external price sources or the chief trader procedure. Volume weighting of trades Time weighting of best bid / best ask traded per order Settlement spread for the consideration of best bid / best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes No No All contracts except FUBY/FUPY: 5 contracts = 5 MW FUBY/FUPY: 3 contracts = 3 MW All contracts except FUBY/FUPY: 5 contracts = 5 MW FUBY/FUPY: 3 contracts = 3 MW These are specified at the contract level in a separate annex to this contract. 3 min = 180 sec The settlement price of the front month is calculated as an average of the settlement prices or final settlement prices of the respective week futures. The final settlement price for the current delivery week and/or the current delivery month in UK Power Futures is established as the mean value of the underlying Spot Market Index for the respective week and/or the respective month. The final settlement price of a day future corresponds to the respective APX Power UK Auction Base or APX Power UK Auction Peak Index as determined by APX Commodities Ltd.. This settlement price might be negative. The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative. For all other contracts, that are not final settled and the theoretical settlement price is negative, the minimum final settlement prices is 0.01 GBP/MWh. Settlement Pricing Procedure Page 32

33 4.10 Settlement of Futures and Spot Instruments on EU Emission Allowances and Certified Emission Reductions Important aspects Valid for products with the product abbreviation Specification European-Carbon-Futures: FEUA EUAA-Futures: FEAA CER-Futures: F2CR Spot: Green CER, EUA, EUAA Settlement window 17:50 18:00 Algorithm for the determination of the theoretical settlement price Volume weighting of trades EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: TradePrice = trade price of the trade AverageTradePrice = arithmetic mean of the prices traded Average Mid = average value of the average best bid/best ask a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfilled the requirements specified below. Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was one trade with the minimum number of contracts. Apart from this, there were no orders which fulfilled the requirements specified below. Theoretical settlement price = TradePrice c) There was no trade with the minimum number of contracts. However, there were orders which fulfilled the requirements specified below. Theoretical settlement price = AverageMid d) There was no trade with the minimum number of contracts and there were no orders which fulfilled the requirement specified below. No The theoretical settlement price is determined using external price sources or the chief trader procedure. Settlement Pricing Procedure Page 33

34 Time weighting of best bid/best ask traded per order Settlement spread for the consideration of best bid/best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window No 3 contracts = t CO 2 equivalent 3 contracts = t CO 2 equivalent This is specified in a separate annex to this document at the contract level. 3 Min = 180 sec. Other notes - Settlement Pricing Procedure Page 34

35 4.11 Settlement of API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal- Future and API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)- Coal-Future Important aspects Specification Valid for products with the product abbreviation Settlement window 15:50 16:00 API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Future (USD)*: FT2M: API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Month Future FT2Q: API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Quarter- Future FT2Y: API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Year- Future API-4-FOB-Richard-Bay-(Argus-IHS McCloskey)-Coal- Future (USD)*: FT4M: API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal- Month-Future FT4Q: API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal- Quarter-Future FT4Y: API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal- Year-Future Algorithm for the determination of the theoretical settlement price EEX differentiates between various situations during the settlement window. In this context, the following definitions apply: AverageTradePrice = Arithmetic mean of the traded prices Average Mid = Mean value of average best bid/best ask a) There was, at least, one trade with the minimum number of contracts. Furthermore, there were orders which fulfilled the requirements specified below. Theoretical settlement price = 0.75*AverageTradePrice *AverageMid b) There was one trade with the minimum number of contracts Apart from this, there were no orders which fulfilled the requirements specified below. Theoretical settlement price = AverageTradePrice c) There was no trade with the minimum number of contracts. However, there were orders which fulfilled the requirements specified below. Theoretical settlement price = AverageMid Settlement Pricing Procedure Page 35

36 d) There was no trade with the minimum number of contracts and there were no orders which fulfilled the requirement specified below. The theoretical settlement price is determined using external price sources or the chief trader procedure. Volume weighting of trades Time weighting of best bid/best ask traded per order Settlement spread for the consideration of best bid/best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes No No 5 contracts = 5,000 t 5 contracts = 5,000 t This is specified in a separate annex to this document at the contract level. 3 min. = 180 sec. The corresponding monthly index, as published in the Argus Coal Price Index Report on the last Friday of every month, constitutes the final settlement price. API 2 and API 4 are trade marks and are used under licence from Argus Media Limited and IHS Global Limited. All copyrights and database rights in the API 2 and API 4 index belong exclusively to Argus Media Limited and IHS Global Limited and are used herein under licence. EEX is solely responsible for the operation of markets in API 2 CIF ARA (Argus-IHS McCloskey) EURO Coal and API 4 FOB Richards Bay (Argus-IHS McCloskey) EURO Coal. Argus and IHS take no position on the purchase or sale of such Products and exclude all liability in relation thereto. Settlement Pricing Procedure Page 36

37 4.12 Settlement of Products for Trade Registration Important aspects Valid for products with the product abbreviation Specification Romanian-Base-Futures: FHBM: Romanian-Base-Month-Future FHBQ: Romanian-Base-Quarter-Future FHBY: Romanian-Base-Year-Future Euro listed Coal API 2 ARA Future : FE2M: Euro API 2 ARA Month Future FE2Q: Euro API 2 ARA Quarter Future FE2Y: Euro API 2 ARA Year Future Euro listed Coal API 4 Richards Bay Futures*: FE4M: Euro API 4 Richards Bay Coal Month Future FE4Q: Euro API 4 Richards Bay Coal Quarter-Future FE4Y: Euro API 4 Richards Bay Coal Year Future Greek Power Futures: FFBM: Greek Base Month Futures FFBQ: Greek Base Quarter Futures FFBY: Greek Base Year Futures Settlement window - Algorithm for the determination of the theoretical settlement price The theoretical settlement price is established using the chief trader procedure, calculated from the underlying securities or taken from other suitable sources. Further details are explained in the Contract Specifications for Trade Registration. The Euro-Coal-Futures settlement prices are established from the settlement prices of the respective Coal-ARA and Coal-RB Futures after conversion into Euros. The relevant exchange rates are provided by Thomson Reuters. API 2 and API 4 are trademarks and are used under licence from Argus Media Limited and IHS Global Limited. All copyrights and database rights in the API 2 and API 4index belong exclusively to Argus Media Limited and IHS Global Limited and are used herein under licence. EEX is solely responsible for the operation of markets in API 2 ARA Coal Futures and API 4 Richards Bay Coal Futures. Argus and IHS take no position on the purchase or sale of such products and exclude all liability in relation thereto. Settlement Pricing Procedure Page 37

38 Volume weighting of trades - Time weighting of best bid/best ask traded per order Settlement spread for the consideration of best bid/best ask Minimum duration of the cumulated valid best bid/best ask during the settlement window Other notes Corresponding final settlement prices = see Contract Specifications for Trade Registration Settlement Pricing Procedure Page 38

39 4.13 Settlement of Products for Freight and Fertilizers Important aspects Valid for products with the product abbreviation Specification Dry Bulk Freight: CTCM: Capesize TC4 Freight Future CPTM: Capesize TC5 Freight Future PTCM: Panamax TC Freight Future STCM: Supramax TC Freight Future HTCM: Handysize TC Freight Future C3EM: C3 Capesize Freight Future C4EM: C4 Capesize Freight Future C5EM: C5 Capesize Freight Future C7EM: C7 Capesize Freight Future P1AM: P1A Panamax Transatlantic Freight Future P2AM: P2A Panamax Far East Freight Future P3AM: P3A Panamax Pacific Freight Future Fertilizer 1 : URNM: Urea (Granular) fob NOLA Future (The Fertilizer Index) DANM: DAP fob NOLA Future (The Fertilizer Index) UANM: UAN fob NOLA Future (The Fertilizer Index) URYM: Urea (Prilled) fob Yuzhnyy Future (The Fertilizer Index) UREM: Urea (Granular) fob Egypt Future (The Fertilizer Index) DATM: DAP fob Tampa Future (The Fertilizer Index) Settlement window - Algorithm for the determination of the theoretical settlement price EEX and Cleartrade (CLTX) have both listed the above named products on each exchange (cross listing). Cleartrade will be responsible for the determination of the daily settlement prices ac- 1 ARGUS, the ARGUS Logo, FERTECON, the FERTECON Logo, CRU, the CRU Logo, are trade marks of Argus Media Limited, Fertecon Limited, and CRU International Limited, respectively, and are used under licence. All trade mark rights, copyrights and database rights in The Fertilizer Index report and The Fertilizer Index belong exclusively to Argus Media Limited, Fertecon Limited, and CRU International Limited, and are used under licence. EEX and ECC are solely responsible for the EEX Urea (Granular) fob NOLA Future, EEX Urea (Granular) fob Egypt Future, EEX Urea (Prilled) fob Yuzhnyy Future, EEX DAP fob NOLA Future, EEX DAP fob Tampa Future and EEX UAN fob NOLA Future. Neither Argus, Fertecon or CRU takes any position on the purchase or sale of these futures contracts and excludes all liability in relation thereto. Settlement Pricing Procedure Page 39