Detailed clearing rules for the markets operated by TGE S.A.

Transcription

1 Attachment No. 1 to the Resolution adopted by the Management Board of Warsaw Commodity Clearing House No. 70/12/02/2016 on 22 nd of February 2016 Detailed clearing rules for the markets operated by TGE S.A. These rules shall take force on the 1 st of March 2016.

2 Table of contents DEFINITIONS... 3 PART I COLLATERAL FOR CLEARING SYSTEM OF COLLATERAL TO CLEAR TRANSACTIONS DEVICES TO KEEP RECORDS COLLATERALS FOR CFIM DIVISION OF THE POSITIONS ON FORWARD CONTRACTS ON CFIM WITH GAS AS THE COMMODITY BEING TRADED TRANSACTION MARGIN DELIVERY MARGIN TRANSACTION LIMIT PART II FINANCIAL CLEARING GENERAL PROVISIONS RULES FOR DETERMINING THE AMOUNT OF RECEIVABLES AND LIABILITIES UNDER TRANSACTIONS EXECUTED ON DAM AND IDM RULES FOR DETERMINING THE AMOUNT OF RECEIVABLES AND LIABILITIES UNDER TRANSACTIONS EXECUTED ON CFIM RULES FOR DETERMINING THE AMOUNT OF RECEIVABLES AND LIABILITIES UNDER TRANSACTIONS EXECUTED ON PRM RULES FOR DETERMINING THE AMOUNT OF RECEIVABLES AND LIABILITIES UNDER TRANSACTIONS EXECUTED ON EAM RULES FOR DETERMINING THE AMOUNT OF RECEIVABLES AND LIABILITIES UNDER TRANSACTIONS EXECUTED ON DAMG AND IDMG PART III MONETARY SETTLEMENT RULES FOR EXCHANGE OF INFORMATION BETWEEN THE CLEARING HOUSE, CHPB AND CHMPB SERVICES FOR CLEARING HOUSE CLEARING MEMBERS AS PART OF CASH SETTLEMENT PART IV COMMODITY SETTLEMENT ELECTRICITY SETTLEMENT EMISSION ALLOWANCES SETTLEMENT GAS SETTLEMENT SETTLEMENT AND CLEARING OF ELECTRICITY TRADING TRANSACTIONS EXECUTED ON EXCHANGES AND EXECUTED OUTSIDE THE SYSTEM, REFERRED TO IN ARTICLE 3 ITEM 23 OF THE POWER LAW ACT PART V OTHER OPERATIONS POSITION TRANSFER THE CLEARING HOUSE S ACTIONS IN THE EVENT OF LIMITATION OF ELECTRICITY OR GAS CONSUMPTION OR DELIVERIES THE CLEARING HOUSE S ACTIONS IN THE CASE OF SUSPENSION OF PROVISION OF TRANSMISSION SERVICES BY TSOE OR TSOG FOR A CLEARING HOUSE MEMBER THE CLEARING HOUSE S ACTIONS IF A TSOE OR TSOG DOES NOT ACCEPT TRANSACTIONS IN ELECTRICITY OR GAS TRADING FOR PHYSICAL EXECUTION PART VI - ATTACHMENTS ATTACHMENT - SCHEDULE

3 Definitions 1) Clearing House exchange clearing house (within the meaning of the Act) operated by Izba Rozliczeniowa Giełd Towarowych S.A. ( IRGiT); 2) IRGiT the company doing business as Izba Rozliczeniowa Giełd Towarowych S.A. (Commodity Clearing House) with its registered office in Warsaw; 3) Property Rights under Certificates of Origin property rights under certificates of origin within the meaning of the regulations of the Act entitled Power Law and property rights under energy efficiency certificates within the meaning of the regulations of the Energy Efficiency Act; 4) Gas gaseous fuels referred to in art. 3 item 3 a) of the Act entitled Power Law as an exchange-traded commodity admitted to be traded on the Exchange Commodity Market in accordance with the relevant internal regulations of the Exchange; 5) Act Commodity Exchanges Act of 26 October 2000 (consolidated text, Journal of Laws of 2005, No. 121, Item 1019 as amended); 6) Clearing Bank, Clearing House Payer Bank or CHPB bank that pursuant to an agreement with the Clearing House and agreements with the Payer Banks of Clearing House Members provides financial services to the Clearing House associated with clearing the Transactions executed on the exchange; 7) Clearing House Member Payer Bank or CHMPB bank that pursuant to an agreement with the Clearing House, CHPB and agreements with the Payer Banks of Clearing House Members provides financial services to Clearing House Members associated with clearing the Transactions they execute on the exchange; 8) Clearing House Clearing Member entity that has obtained membership in the Clearing House by the power of a resolution adopted by the IRGiT Management Board and has been admitted by the Clearing House to clear Transactions executed on the exchange; 9) Exchange Member entity that has executed a membership agreement with the Exchange; 10) Delivery Date day on which an exchange-traded commodity, bought or sold on a Trading Day, is to be delivered or received; 11) Trading Day day on which prices are fixed on POLPX s markets for a given Delivery Date; 12) Exchange, POLPX Towarowa Giełda Energii S.A.; 13) exchange Exchange-Traded Commodities Market operated by the Exchange; 14) Private Website website available only to a given Clearing House Member, the Clearing House and the Financial Supervision Authority (KNF); 15) TSO-e or Electrical Energy Transmission System Operator shall be understood to mean Polskie Sieci Elektroenergetyczne Spółka Akcyjna (Polish Power Grid) with its registered office in Konstancin-Jeziorna; 16) TSO-g or Gas Transmission System Operator shall be understood to mean Operator Gazociągów Przesyłowych GAZ-SYSTEM Spółka Akcyjna with its registered office in Warsaw; 17) TNCe shall be understood to mean the Transmission Network Code drafted by TSOe; 18) TNCg shall be understood to mean the Transmission Network Code drafted by TSOg; 3

4 19) Act entitled Power Law shall be understood to mean the act of 10 April 1997 entitled Power Law (Journal of Laws of 2006, No. 89, Item 625 as amended); 20) Energy Efficiency Act shall be understood to mean the act of 15 April 2011 on energy efficiency (Journal of Laws of 2011, No. 94, Item 551 as amended); 21) Clearing Account Clearing House Clearing Member s account in CHMPB used to handle cash settlements for Transactions executed on DAM, IDM, DAMg, IDMg, PRM, CFIM and EAM and to update margins for CFIM; 22) Technical Account Clearing House s account in CHMPB dedicated to the purpose of handling cash settlements and updating the required margins; 23) Clearing House s Clearing Account Clearing House s account in CHPB dedicated to the purpose of handling interbank transfers in the course of cash settlements and updating the required margins; 24) Transaction Margins Account Clearing House s account in CHPB along with the sub-accounts dedicated to Clearing House Members, to which funds forming transaction margins paid by Clearing House Members are posted; 25) Margin Account Clearing House s account in CHPB along with the sub-accounts dedicated to Clearing House Members, to which funds forming margins for CFIM paid by Clearing House Members are posted; 26) SWIFT Messages messages sent between banks participating in the settlement process in accordance with the standards of the Society for Worldwide Interbank Financial Telecommunication; 27) Control Report report sent by the Clearing House to CHMPB on every business day containing information on the payments of various Clearing House Clearing Members by virtue of clearing the Transactions executed on the exchange and updating the required margins; 28) Clearing Report report available to a Clearing House Member in the Clearing System containing the value of the deposits and the payments for a given day by virtue of clearing Transactions executed on the exchange; 29) DAM Day Ahead Market operated by the Exchange; 30) IDM Intraday Market operated by the Exchange; 31) DAMg Day Ahead Market for natural gas operated by the Exchange; 32) IDMg Intraday Market for natural gas operated by the Exchange; 33) PRM Property Rights Market operated by the Exchange; 34) CFIM the Commodity Forward Instruments Market for Electricity (CFIMe), the Commodity Forward Instruments Market for Gas (CFIMg) or the Commodity Forward Instruments Market for Property Rights (CFIMPR), operated by the Exchange; 35) EAM CO2 Emission Allowance Market operated by the Exchange; 36) POLPX Rules and Regulations Rules and Regulations for Trading on the Exchange-Traded Commodities Market of Towarowa Giełda Energii S.A. 37) Clearing System hardware and software, in particular a specialized computer program with whose assistance the Transaction clearing process is conducted; 38) Transaction agreement to sell an exchange-traded commodity executed on the exchange to which a Clearing House Clearing Member is a clearing party; 4

5 39) Over-The-Counter Transaction agreement to sell an exchange-traded commodity executed outside the session on the exchange where a Clearing House Clearing Member is a party to the settlement; 40) Order an offer to buy or sell exchange-traded commodities on the exchange submitted by an Exchange Member; 41) Transaction Limit total maximum daily value of buy Transactions that may be executed in a given day on DAM, IDM, DAMg, IDMg, PRM and EAM by a given Clearing House Clearing Member; 42) KOBiZE National Centre for Balancing and Managing Emissions (Krajowy Ośrodek Bilansowania i Zarządzania Emisjami) entity responsible for maintaining the records of Emission Allowances in the Republic of Poland designated by the minister responsible for environmental issues; 43) Union Registry system to record Emission Allowances operated by KOBiZE according to the relevant regulations; 44) Recording Accounts recording devices used to register positions in exchangetraded commodities kept by IRGiT according to the code of the Clearing House, Clearing Member s code, the client s code, the code of the series of exchange-traded commodities, the code of the type of activity and the portfolio code; 45) Register of Certificates the register of Certificates of Origin, kept by an authorized entity according to the rules set forth in the Power Law Act 46) Settlement Accounts recording devices used to determine the receivables and payables from clearing exchange Transactions and updating the required margins, kept byirgit according to the code of the Clearing House Clearing Member s code and the client s code; 47) Collateral Account recording devices used to register the total value of the collateral presented by a Clearing House Clearing Member in cash deposited on the sub-accounts of the Accounts of transaction margins and margins, and also in the forms of non-cash collateral recognized according to the Clearing House s regulations and registered in the Register of Non-Cash Collateral; 48) Portfolio positions in exchange-traded commodities recorded on the Recording Accounts bearing the same code of the Clearing House Member and the same code of the Portfolio; 49) Day N day when the Clearing House clears current Transactions. The days preceding or following day N are designated as N-1 or N+1, respectively; 50) Foreign Clearing House entity acting independently with respect to the Clearing House and which clears Transactions in the trading of electricity executed on exchanges and executed outside the system referred to in art. 3 item 23 of the Power Law; 51) Register of Non-Cash Collateral Register kept by the Clearing House in which Property Rights under Certificates of Origin, CO2 Emission Allowances, Bank Guarantees forming collateral to cover the liabilities of the Clearing House Clearing Members and their clients, respectively, by virtue of margins and transaction margins are registered; 52) Scheduling Unit basic object of the balancing market within the meaning of TNCe, assigned to a utility by TSOe or furnished by a utility to a Clearing House Member or a client of a Clearing House Member for the purpose of making a physical delivery of electricity; 5

6 53) Nomination nomination defined in TNCg; 54) Shipper Code code assigned to a given Clearing House Member by TSOg to identify the Shipper defined in TNCg or code furnished to a Clearing House Member or a client of a Clearing House Member in accordance with the regulations in force on the Exchange for the purpose of making a physical delivery of natural gas; 55) Foreign Entity Clearing House Member operating in Poland with its registered office abroad; 56) TOE shall be understood to mean a ton of oil equivalent within the meaning of the Energy Efficiency Act; 57) Schedule detailed plan for the course of cash settlement conducted by the Clearing House and forming an attachment to this document; 58) Rules and Regulations Rules and Regulations of the Exchange Clearing House (Commodity Market). Part I Collateral for clearing 1. System of collateral to clear Transactions. 1.1 The Clearing House establishes and manages a system of collateral to clear Transactions during and after sessions executed on the exchange on the basis of cash funds held on the sub-accounts of the Transaction Margins Account and the subaccounts of the Margin Account of Clearing House Clearing Members in the Clearing House s Paying Bank and the recognized non-cash collateral registered in the Register of Non-Cash Collateral without prejudice to the provisions of clause Deposits into and withdrawals from the sub-account of the Transaction Margins Account are made by a Clearing House Member and directly affect the Transaction Limit. The funds accumulated on the sub-accounts of the Margin Account are updated automatically on the basis of payment orders submitted by IRGiT on every business day. 1.3 Every Clearing Member of the Clearing House has a Collateral Account in the Clearing System reflecting the current balance of collateral presented for the Transactions it executes on the exchange. 1.4 The balance of the Collateral Account is updated on every business day after completing clearing by 6:30pm on the basis of the presented cash funds and the recognized non-cash collateral. 1.5 Prior to every Trading Day the Clearing House transmits to the Exchange the current Transaction Limits of the Clearing House Clearing Members. The method of computing the Transaction Limit is described in clause In the case of brokerage houses and commodities brokerage houses that have met the conditions enumerated in clause 8.7. below, the Clearing House may recognize the designated Clearing Account maintained in CHMPB to be an Transaction Margins Account or margins. 1.7 The Transaction Limit facilitating the submission of an Order to be executed outside the system referred to in art. 3 item 23 of the Act entitled Power Law is established by the IRGiT Management Board in the form of a resolution. 6

7 2. Devices to keep records The Clearing House keeps separate groups of Recording Accounts for the various Clearing House Clearing Members, and if a Clearing House Clearing Member clears Clients, it also does so for the clients of this Clearing House Member and for the various markets cleared by the Clearing House in which this Clearing House Clearing Member participates The group of Recording Accounts for the markets on which electricity is traded consists of recording accounts for the delivery hours grouped in the Portfolios assigned to Scheduling Units The group of Recording Accounts for the Property Rights Market consists of Recording Accounts for certificates of origin from the Property Rights under Certificates of Origin generated in the various generation sources, according to the rules according to which the Property Rights under Certificates of Origin are traded on the exchange The Clearing House keeps one Recording Account for CO2 Emission Allowances for each Clearing House Clearing Member, and also for each one of its clients for the CO2 Emission Allowances Market The group of Recording Accounts for markets on which Gas is traded consists of recording accounts for delivery hours or delivery dates grouped in Portfolios assigned to Shipper Codes. 3. Collaterals for CFIM 3.1. The value of the margin account is calculated every day for every Clearing House Clearing Member The liabilities for a Clearing House Clearing Member s margins are registered on sub-accounts of initial margins and variation margins kept in the framework of the settlement account If a Clearing House Clearing Member clears other entities, the margin account calculated for this Clearing House Clearing Member is the sum total of the margins calculated separately for each client of such a Clearing House Member and the margins for the Clearing House Clearing Member s own positions To determine the value of the margins (initial and variation margins), referred to in 39 of the Rules and Regulations, the positions taken by a given Clearing House Clearing Member and its clients for electricity- or gas forward contracts are placed in baskets created according to delivery periods, taking netting positions in the framework of delivery periods into consideration Initial margins The initial margins for forward contracts on electricity designated on day N cover all delivery dates starting from day N+3 for contracts executed up to day N, inclusively. The initial margins are calculated according to the following algorithm: N Dw e = LK i LS i P i Kr i i=1 7

8 Where: Dw e value of the initial margin [PLN], LK i quantity of undelivered energy apportioned to buy contracts for the i-th delivery period [MWh], LS i quantity of undelivered energy apportioned to sale contracts for the i-th delivery period [MWh], Kr i clearing price for the i-th delivery period, i delivery period, P i risk parameter for the last day of the i-th delivery period, N number of delivery periods for forward contracts Initial margins for forward contracts on Gas designated on day N cover all delivery dates starting from day N+3 for contracts executed up to day N, inclusively. Initial margins are calculated according to the following algorithm: N Dw g = LK i LS i P i Kr i i=1 Where: Dwg value of the initial margin [PLN], LK quantity of undelivered Gas apportioned to buy contracts for the i-th delivery period [MWh], LSi quantity of undelivered Gas apportioned to sale contracts for the i-th delivery period [MWh], Kri clearing price for the i-th delivery period, i delivery period, Pi risk parameter for the last day of the i-th delivery period, N - number of delivery periods for forward contracts Initial margins for forward contracts on the Property Rights under Certificates of Origin are reckoned in accordance with the formula below. The day falling on the day preceding the last day of quotations for given series shall be the last day of reckoning the margin for that series. 8

9 N Dw pm = LK i LS i P i Kr i i=1 Where: Dw pm value of the initial margin [PLN], LK i the volume of the Property Rights under Certificates of Origin resulting from purchase contracts for the i th series [MWh], LS i the volume of the Property Rights under Certificates of Origin resulting from sale contracts for the i th series [MWh], Kr i the clearing price for the i th series [PLN/MWh], i the contract series, P i the risk parameter for the i th series, N number of series Variation margins Variation margins for forward contracts on electricity designated on day N cover all delivery dates starting from day N+3 for contracts executed up to day N, inclusively. Variation margins are calculated according to the following algorithm: N Du e = LK i (Kr i Kk i ) + LS i (Ks i Kr i ) i=1 Where: Due value of the variation margin, LKi quantity of undelivered energy apportioned to buy contracts for the i-th delivery period [MWh], LSi quantity of undelivered energy apportioned to sale contracts for the i-th delivery period [MWh], Kri clearing price for the i-th delivery period, Kki weighted average Transaction buy price for contracts for the i-th delivery period [PLN/MWh], Ksi weighted average Transaction sale price for contracts for the i-th delivery period [PLN/MWh], i delivery period, 9

10 N number of delivery periods for forward contracts Variation margins for forward contracts on Gas designated on day N cover all delivery dates starting from day N+3 for contracts executed up to day N, inclusively. Variation margins are calculated according to the following algorithm: N Du g = LK i (Kr i Kk i ) + LS i (Ks i Kr i ) i=1 Where: Dug value of the variation margin, LKi undelivered Gas apportioned to buy contracts for the i-th delivery period [MWh], LSi undelivered Gas apportioned to sale contracts for the i-th delivery period [MWh], Kri clearing price for the i-th delivery period, Kki weighted average Transaction buy price for contracts for the i-th delivery period [PLN/MWh], Ksi weighted average Transaction sale price for contracts for the i-th delivery period [PLN/MWh], i delivery period, N number of delivery periods for forward contracts Variation margins for forward contracts on the Property Rights under Certificates of Origin are reckoned in accordance with the formula below. The day falling on the day preceding the last day of quotations for a given series shall be the last day of reckoning the margin for that series. N Du pm = LK i (Kr i Kk i ) + LS i (Ks i Kr i ) i=1 Where: Du pm value of the variation margin [PLN], LK i the volume of the Property Rights under Certificates of Origin resulting from purchase contracts for the i th series [MWh], LS i the volume of the Property Rights under Certificates of Origin resulting from sale contracts for the i th series [MWh], 10

11 Kr i the clearing price for the i th series [PLN/MWh], Kk i the weighted average purchase Transactions price for the i th series [PLN/MWh], Ks i the weighted average sale Transactions price for the i th series [PLN/MWh], i the contract series, N number of series If a Clearing House Clearing Member clears only its own Transactions, the value of the margin is calculated according to the following equation: Dz = min (Dw e + Du e +Dw g + Du g + Dw pm + Du pm ; 0) Where: Dz total margin, Dw e initial margin for contracts on electricity, Du e variation margin for contracts on electricity, Dw g - initial margin for contracts on Gas, Du g - variation margin for contracts on Gas, Dw pm the initial margin for the contracts on the Property Rights under Certificates of Origin, Du pm the initial margin for the contracts on the Property Rights under Certificates of Origin In the event that a Clearing House Clearing Member clears the Transactions of its clients, then the rule presented in clause applies at the level of the various clients, while the total margin calculated for this Clearing House Clearing Member is equal to the total sum of margins calculated for various clients and of the margins for the Clearing House Clearing Member s own positions Delivery periods for electricity The initial margin is calculated separately for each delivery period. The delivery period is one day if the delivery is to take place during the period from day N+3 to: a) 14 days when the date of calculating the margin is a Friday, b) 13 days when the date of calculating the margin is a Saturday, c) 12 days when the date of calculating the margin is a Sunday, d) 11 days when the date of calculating the margin is a Monday, 11

12 e) 10 days when the date of calculating the margin is a Tuesday, f) 9 days when the date of calculating the margin is a Wednesday, g) 8 days when the date of calculating the margin is a Thursday Weekly delivery periods overlapping with the dates of performing the quoted weekly contracts are formed for subsequent days Days falling in a weekly contract covering the turn of two months are broken into two baskets: the days from the month coming to an end are placed in the first one while the days from the month just beginning are placed in the second one If the delivery period of the last quoted weekly contract does not end on the last day of the month, a basket of days is formed starting from the day that is the first one following the last Delivery Date of the last quoted weekly contract until the last day of the month Subsequent delivery periods are established for days that overlap in their entirety with the quoted monthly contracts and form monthly baskets If the delivery period of the last monthly contract does not end on the last day of the quarter, a basket of days is formed starting from the day that is the first one following the last Delivery Date of the last quoted monthly contract until the last day of the quarter Subsequent days, which the delivery periods for quoted monthly contracts do not cover are grouped in quarterly baskets If the delivery period of the last quarterly contract does not end on the last day of the year, a basket of days is formed starting from the day that is the first one following the last Delivery Date of the last quoted quarterly contract until the last day of the year Subsequent days, which the delivery periods for quoted quarterly contracts do not cover are grouped in annual baskets Delivery periods for Gas The initial margin is calculated separately for each delivery period. The delivery period is one day if the delivery is to take place during the period from day N+3 to: a) 14 days when the date of calculating the margin is a Friday, b) 13 days when the date of calculating the margin is a Saturday, c) 12 days when the date of calculating the margin is a Sunday, d) 11 days when the date of calculating the margin is a Monday, e) 10 days when the date of calculating the margin is a Tuesday, f) 9 days when the date of calculating the margin is a Wednesday, g) 8 days when the date of calculating the margin is a Thursday Weekly delivery periods overlapping with the dates of performing the quoted weekly contracts are formed for subsequent days Days falling in a weekly contract covering the turn of two months are broken into two baskets: the days from the month coming to an end are placed in the first one while the days from the month just beginning are placed in the second one. 12

13 If the delivery period of the last quoted weekly contract does not end on the last day of the month, a basket of days is formed starting from the day that is the first one following the last Delivery Date of the last quoted weekly contract until the last day of the month Subsequent delivery periods are established for days that overlap in their entirety with the quoted monthly contracts and form monthly baskets If the delivery period of the last monthly contract does not end on the last day of the quarter, a basket of days is formed starting from the day that is the first one following the last Delivery Date of the last quoted monthly contract until the last day of the quarter Subsequent days, which the delivery periods for quoted monthly contracts do not cover are grouped in quarterly baskets If the delivery period of the last quarterly contract does not end on the last day of the season (understood to mean the period of the second and third quarters of the year (summer season) or the last quarter of the year and the first quarter of the next year (winter season)), a basket of days is formed starting from the day that is the first one following the last Delivery Date of the last quoted quarterly contract until the last day of the season Subsequent days, which the delivery periods for quoted quarterly contracts do not cover are grouped in seasonal baskets The period from the day that is the first one following the last Delivery Date of the last quoted seasonal contract until the last day of the year forms another basket Subsequent days, which the delivery periods for quoted seasonal contracts do not cover are grouped in annual baskets The clearing price for the i-th delivery period of electricity is calculated on business days according to the following algorithms: For all delivery periods that do not overlap with any quoted forward contract facilitating execution of a Transaction on the next day, the clearing price is designated as: a) arithmetic average of the IRDN24 index of the last 7 days for BASE contracts; b) arithmetic average of the IRDN8.22 index of the last 5 business days for PEAK5 contracts; c) weighted average of the last 7 days (the number of hours on whose basis the index for a given day is computed are the weights), including: IRDN23.7 index (for business days) and IRDN24 index (for days off work) for OFFPEAK contracts In the period from the day of 24 December in a given year until the day of 6 January of the subsequent year, for the delivery periods enumerated in clause , the clearing price is the price computed according to the convention listed above on the day of 23 December, without prejudice to clause For delivery periods overlapping only with the weekly contracts quoted on the exchange, clearing price is calculated as the average price of a given weekly contract corresponding to a given delivery period and of the averages listed in clause (the 7-day average for BASE contracts, the 5-day average for PEAK5 contracts and the 7-day average 13

14 for OFFPEAK contracts). If the price of a weekly contract is 0, the price of the next weekly contract is used to compute the clearing price for the delivery period. If the price of all weekly contracts in the next delivery period is 0, clearing price for the delivery period is calculated as in clause For the other delivery periods of BASE and PEAK5 contracts, the clearing price is computed as the weighted average of the clearing prices of contracts quoted on POLPX corresponding to a given delivery period: K r = k w n w + k m n m + k q n q + k y n y N Where: k w,m,q,y clearing price of a weekly/monthly/quarterly/annual contract, n w,m,q,y number of open positions on weekly/monthly/quarterly/annual contracts, N = n w + n m + n q + n y For the other delivery periods of OFFPEAK contracts until open positions appear in monthly, quarterly or annual contracts, the price is determined according to the equation: OFFPEAK = BASE 168 PEAK Where: OFFPEAK - clearing price securing the next period, BASE and PEAK5 - exchange clearing prices corresponding to a given period. The clearing prices for baskets that overlap with contracts in which there are open positions are determined according to the equation presented in clause In the event the price computed according to what is listed in clauses above is 0, the clearing price for the delivery period is equal to the price from the previous delivery period The clearing prices determined to compute the margins on days off work are equal to the prices set on the business day preceding those days The clearing price for the i-th delivery date of Gas is computed on business days according to the following algorithms: 14

15 For all delivery periods that do not overlap with any quoted forward contract facilitating execution of a Transaction on the next day, the clearing price is designated as the arithmetic average of the TGEgasDA index for the last 7 days In case it is not possible to designate the clearing prices mentioned in clause the clearing price is the last price of the monthly contract whose delivery overlapped with the delivery periods listed in clause For delivery periods overlapping solely with weekly contracts quoted on the exchange, clearing price is calculated as the average of the price of a given weekly contract corresponding to a given delivery period and of the average listed in clause In case the price of the weekly contract is 0, the price for the next weekly contract is issued to compute the clearing price for the delivery period. In case the price of all weekly contracts in the next delivery period is 0, the clearing price for the delivery period is computed as in clause In case there are days following the quotation of the last quoted weekly contract that do not overlap with the delivery period of any quoted monthly contract, the clearing price for previous delivery period is accepted as being the clearing price for the period consisting of these days For the other delivery periods, the clearing price is computed as the weighted average of the clearing prices of contracts quoted on POLPX, corresponding to a given delivery period: K r = k w n w + k m n m + k q n q + k s n s + k y n y N Where: k w,m,q,s,y clearing price of a weekly/monthly/quarterly/seasonal/ annual contract n w,m,q,s,y number of open positions on weekly/monthly/quarterly/seasonal/ annual contracts N = n w + n m + n q + n s + n y If the price computed according to the rules mentioned in clause is 0, the clearing price for the delivery period is equal to the price during the previous delivery period The clearing prices set to designate the margins on days off work are equal to the prices set on the business day preceding those days Establishing clearing prices for periods- or days of delivery of electricity, Gas or Property Rights under Certificates of Origin in special circumstances: If the contract price determined by the Exchange significantly deviates from the price from the previous day and this circumstance affects (or may affect) the clearing price for delivery periods, the IRGiT Management Board may adjust the contract price adopted to determine the clearing price on a given day to make it correspond to market values or adopt the price from the previous day before. 15

16 If the clearing price for the i-th delivery period determined pursuant to clause 3.5. or 3.6. significantly deviates from market values, the IRGiT Management Board may adjust such clearing price The IRGiT Management Board is entitled to assign through relevant resolution to the Clearing Members of the House as well as to specified clients of the Clearing Members of the House distinctive factors adjusting the initial margin for electricity, Gas or Property Rights under Certificates of Origin in consideration of the risk generated by those Clearing Members of the House or their clients. The adjusting factors may be different for long- or short positions taken. The adjusting factors modify the risk parameters, being used for calculation of the initial margin values The Clearing Member of the House, which has the sale balance for given series of the contract on the Commodity Forward Instruments Market for Property Rights is entitled to block the Property Rights under Certificates of Origin being subject of the Transaction on appropriate account in the Register of Certificates, till the moment of delivering the commodity. In case, when the Clearing Member of the House having the sale balance for given series of the contract on the Commodity Forward Instruments Market for Property Rights has blocked the Property Rights under Certificates of Origin on the dedicated account in the Register of Certificates then the value of the initial margin referred to in item as well as the value of the variation margin referred to in item is calculated only for the volume of the Property Rights under Certificates of Origin resulting from the sale balance for the series of the contract, which have not been blocked The required margin may be covered with cash and with contributed non-pecuniary collateral according to the principles defined by the IRGiT Management Board. The cash funds paid toward a margins are, subject to clause 1.6., accumulated on the subaccount of the Margin Account dedicated to the Clearing House Clearing Members in the Clearing House s Payer Bank. The recalculated required margin is published daily at 5:00 p.m. in the Clearing Report. On business days, at 11:00 a.m. and 1:00 p.m. a forecast of the margins is made in the clearing System on the basis of the intraday clearing prices calculated on the basis of all Transactions executed on CFIM before the forecast. If the projected liabilities for margins exceed the total value of margins paid, the Clearing House Member is immediately summoned to replenish the funds on the sub-account of the Margin Account Clearing House Clearing Members are obligated to pay the liabilities for the computed margins on the next business day in the process of execution of payment order batch no. 3 referred to in clause under the pain of prevention from operation on CFIM If a Clearing House Clearing Member does not have funds to cover its liabilities referred to in clause 3.11., it is obligated on the Clearing House s demand, to reduce the number of its positions on CFIM to a level at which the value of the cash funds it has paid up and the possible recognized value of non-pecuniary collateral is sufficient to cover its liabilities If a Clearing House Clearing Member within 2 business days fails to replenish the required funds to cover its liabilities or does not perform the Clearing House s demand, referred to in clause 3.12., the IRGiT Management Board has the right to suspend the Clearing House Clearing Member or implement the procedures associated with its insolvency For contracts in a delivery period, positions are closed by opening opposite positions on instruments listed on CFIM and DAM, IDM, DAMg and IDMg. The volume and timing 16

17 of execution of the newly opened positions must match the volume and timing of the positions being closed If the CHMPB of the Clearing House Member which, operating on the Exchange does not have open positions on the forward market blocks a payment order referred to in clause pertaining to that Clearing House Member, IRGiT has the right to close immediately the positions of such a Clearing House Member on IDM, IDMg, DAM, DAMg, PRM and EAM. 4. Division of the positions on forward contracts on CFIM with Gas as the commodity being traded Division of positions under annual contracts into quarterly contracts: One day before execution of the annual contract, the Clearing House divides the positions it has registered under the annual contract with the soonest delivery period into an analogous number of positions for the four upcoming contracts with a quarterly delivery period in the process of current settlements, thereby combining positions under the divided annual contract with the positions previously registered by the Clearing House on quarterly periods whose delivery periods are congruous with the annual contract undergoing division Division of positions under seasonal contracts into quarterly contracts: One day before execution of the seasonal contract, the Clearing House divides the positions it has registered under the seasonal contract with the soonest delivery period into an analogous number of positions for the two upcoming contracts with a quarterly delivery period in the process of current settlements, thereby combining positions under the divided seasonal contract with the positions previously registered by the Clearing House on quarterly periods whose delivery periods are congruous with the seasonal contract undergoing division Division of positions under quarterly contracts into monthly contracts: One day before execution of the quarterly contract, the Clearing House divides the positions it has registered under the quarterly contract with the soonest delivery period into an analogous number of positions for the three upcoming contracts with a monthly delivery period in the process of current settlements, thereby combining positions under the divided quarterly contract with the positions previously registered by the Clearing House on monthly periods whose delivery periods are congruous with the quarterly contract undergoing division. 5. Transaction margin The transaction margin secures cash settlements and liabilities from the changing value of margins The value of the transaction margin is the sum total of the funds deposited toward the required delivery margin and the funds contributed toward the Transaction Limit The transaction margin funds contributed by the Clearing House Clearing Member are accumulated on a sub-account of the Transaction Margins Account dedicated to that member in the Clearing House Paying Bank and the Register of Non-Cash Collateral without prejudice to clause

18 5.4. Withdrawals of cash funds paid into the transaction margin are made on business days under instructions from the Clearing House Member under the condition of obtaining the Clearing House s prior acceptance Acceptance is obtained for an order to withdraw cash funds paid into a transaction margin no later than on the following business day after a Clearing House Member submits the relevant instructions under the condition that the funds remaining on the sub-account of the Transaction Margins Account are not lower than the required delivery margin according to clause Orders for the withdrawal of funds paid into the transaction margin are accepted on business days between 4:00 p.m. and 4:30 p.m The Clearing House s Management Board defines the minimum required transaction margin amount for the various markets by Resolution. 6. Delivery Margin. The Commodity Forward Instruments Market for Electricity and the Commodity Forward Instruments Market for Gas 6.1. A Clearing House Clearing Member is obligated to present and maintain a delivery margin in the amount specified by the Clearing House on a sub-account dedicated to it of the Transaction Margins Account in CHPB, without prejudice to clause The funds accumulated as the delivery margin of a Clearing House Clearing Member provide for coverage of liabilities in the event a Clearing House Member s Payer Bank blocks a payment order for a delivery of exchange-traded commodities referred to in clause The Clearing House s Management Board specifies the algorithm for determining and the procedure for regulating the required margin The required delivery margin must be covered in full in cash funds The first day of the month is the day for Clearing House Members to remit the required delivery margin provided that it is a business day, or on the first business day following the first day of the month. The required delivery margin is remitted, without prejudice to clause 1.6. to sub-accounts dedicated to Clearing House Clearing Members of the Transaction Margins Account in CHPB, thereby reducing or increasing the Transaction Limit. In the event that as a result of updating the cash balance on the sub-account of the Transaction Margins Account it is insufficient to cover the adjusted delivery margin amount, the Clearing House Clearing Member is summoned to pay in additional funds without delay. Until the time of paying up the required funds, the Transaction Limit of the given Clearing House Member is 0. In the event of a failure to replenish the funds up to the required amount, the Clearing House s Management Board may take the actions referred to in 54 of the Rules and Regulations In the event of using the funds of the delivery margin to cover a blocked payment order referred to in clause , the Clearing House Clearing Member is obligated to replenish the delivery margin up to the required level no later than by 4:00 p.m. on a given day. In the event a replenishment deposit is not made or cannot be covered by reducing the Clearing House Member s Transaction Limit, the Clearing House s Management Board may take the actions referred to in 54 of the Rules and Regulations. 18

19 6.7. In the event that all the funds on the sub-account of the Transaction Margins Account are insufficient to cover the blocked payment order of a given Clearing House Member, IRGiT uses the cash funds accumulated on the sub-account of a given Clearing House Clearing Member s Margin Account to clear it. The Commodity Forward Instruments Market for Property Rights under Certificates of Origin 6.8. A Clearing Member of the House is obliged to lodge and maintain a delivery margin in amount determined by the House on the sub-account dedicated to it in the Transaction Margins Account kept in the House s Payer Bank, subject to stipulations of item The resources accumulated as the Delivery Margin of the Clearing Member of the House assure covering of liabilities in the event when the House s Member s Payer Bank blocks a payment order by the right of delivery of the exchange commodities referred to in item or in case of lack of the Property Rights under Certificates of Origin for the delivery resulting from the positions opened in the forward contracts The House s Management Board shall specify through relevant resolution the algorithm for establishing the required margin as well as the mode of managing the margin The required Delivery Margin value is covered in pecuniary resources or in form of blocking of the Property Rights under Certificates of Origin on the dedicated account in the Register of Certificates in case of short positions The time limits for making payments for the Delivery Margin are established by the Management Board through relevant Resolution. The payment of the required Delivery Margin value is made subject to stipulations of item 1.6. into the subaccounts of the Transaction Margins, dedicated for the Clearing Members of the House and kept in the House s Payer Bank; such payment affects decreasing or increasing the Transaction Limit. In case, when in result of updating the holding of pecuniary resources on the subaccount of the Transaction Margins Account is not sufficient for coverage of the updated value of the Delivery Margin then the Clearing Member of the House is called to make immediately the supplementary payment of the resources in the amount indicated by the House. Till the moment of lodging the required resources the Transaction Limit of given Clearing Member of the House amounts to zero. In case, when given Clearing Member of the House fails to supplement the resources up to the required value, the House s Management Board shall be entitled to take actions mentioned in 54 of the Regulations. 7. Transaction Limit 19

20 7.1. The sum of funds paid into the transaction margin minus the required value of the delivery margin defines the Transaction Limit for a given Clearing House Clearing Member Deposits credited to the Transaction Limit may be made in cash funds or in non-cash funds according to the rules prescribed by a Resolution adopted by the IRGiT Management Board The Transaction Limit is computed as the amount of the presented transaction margin minus the required value of the delivery margin plus or minus the balance of receivables or payables by virtue of clearing exchange Transactions on IDM and IDMg with delivery on day N+1, DAM with delivery on day N+2, N+3 (on Thursdays) and DAMg with delivery on N+2 (on Thursdays and Fridays), N+3 (on Thursdays) without prejudice to clause The Transaction Limit on days off work grows or falls by the balance of receivables and payables under exchange Transactions on IDM, IDMg, DAM and DAMg. Part II Financial Clearing 8. General provisions In the clearing process of the markets operated by POLPX, the Clearing House is a party to the clearing VAT and excise tax are calculated and settled according to the binding regulations A Clearing House Clearing Member holds at least one Settlement Account in the Clearing System in which Transactions executed on DAM, IDM, DAMg, IDMg, PRM, CFIM or EAM are cleared In the clearing process, the receivables and liabilities of individual Clearing House Clearing Members following from Transactions executed on DAM, IDM, DAMg, IDMg, PRM, CFIM or EAM are netted. 8.5 The clearing process starts after the Clearing House receives from the Exchange the data of all Transactions executed on the exchange on a given Trading Day and confirmation of the validity of such data. After the Transactions are confirmed by the Exchange, they become irrevocable for the Exchange and third parties A Clearing House Clearing Member is obligated to provide IRGiT with the Clearing Account in CHMPB In the case of brokerage houses and commodity brokerage houses, the IRGiT Management Board, on the request of the given entity, may give consent for the Clearing Account referred to in clause 8.6 above to discharge at the same time the role of the sub-account for the Transaction Margins Account or the sub-account of the Margin Account for activity conducted for the account of clients. The IRGiT Management Board will define the conditions on which the aforementioned consent is given in a pertinent resolution. 8.8 A Clearing House Clearing Member is obligated to grant to CHMPB a power-ofattorney to submit instructions to transfer funds from the Clearing House Clearing Member s Clearing Account to the Technical Account in the given CHMPB in the amount specified by the Clearing House in the Clearing Report. 20

21 8.9. Deutsche Bank Polska S.A. discharges the function of the Clearing House s Payer Bank for cash settlements of Transactions executed on the exchange and recalculating margins The Clearing House carries out cash settlement of Transactions and recalculates margins for all Clearing House Clearing Members who are parties to Transactions executed on DAM, IDM, DAMg, IDMg, PRM, CFIM and EAM through CHPB and all CHMPB To ensure a secure and efficient course of cash settlements of exchange Transactions and recalculating margins, the Clearing House cooperates with CHPB and all CHMPB in accordance with the Schedule Cash settlement of Transactions with an International Clearing House may be carried out outside the Clearing Bank. In such case the International Clearing House is obligated to settle its liabilities by paying funds directly to the account specified by IRGiT before carrying out the cash settlement by the Clearing House within the time defined by a resolution of the IRGiT Management Board The liabilities or receivables of an International Clearing House may be increased or decreased by payments following from Transactions executed on the exchange, which will be executed outside the system referred to in Article 3 clause 23 of the Act entitled Energy Law. 9. Rules for determining the amount of receivables and liabilities under Transactions executed on DAM and IDM On each Trading Day after registering the positions from the Transactions cleared by the given Clearing House Clearing Member, the Clearing House, on individual Settlement Accounts of the Clearing House Clearing Member and its clients, respectively, carries out current clearing of session Transactions executed on DAM and IDM on the Trading Day and OTC Transactions for which it receives clearing instructions The sum of clearing balances on individual Settlement Accounts (to be cleared by the given Clearing House Clearing Member) is determined as the value of the sale Transactions executed on DAM and IDM on the Trading Day minus the value of the buy Transactions executed on DAM and IDM on the Trading Day plus the VAT amount For Foreign Entities, unless prevailing provisions of law stipulate otherwise, the clearing balance is not increased by VAT The value of Transactions executed on DAM and IDM on the Trading Day is calculated as the product of the Transaction volume, the par value of the instrument in MWh, and the Transaction price expressed as PLN/MWh. 10. Rules for determining the amount of receivables and liabilities under Transactions executed on CFIM. The Commodity Forward Instruments Market for Electricity and the Commodity Forward Instruments Market for Gas. 21