APX Clearing B.V. Collateral Requirement Specification

Transcription

1 APX Clearing B.V. Collateral Requirement Specification Version: 2.0 Issue ate: 26 September 2013

2 COLLATERAL REQUIREMENT SPECIFICATION 1 DEFINITIONS AND INTERPRETATION 1.1 Unless otherwise efine in this ocument, terms use herein shall have the meanings attribute to them in the Clearing Rule Book of APX Clearing BV an/or the relevant Instrument Specification. Shoul the Clearing Rules an the relevant Instrument Specification conflict, the Clearing Rule Book shall take preceence. 1.2 An Instrument shall be eeme irrevocabl elivere ( Irrevocabl Delivere ) in respect of each of its constituent eliver intervals, for the pures of this ocument, in accorance with the following table. MARKET DAM (DUTCH POWER) BUY VOLUMES (NET BY INSTRUMENT) SELL VOLUMES (NET BY INSTRUMENT) INTRADAY (DUTCH POWER) TTF GAS TTF GAS STORAGE ZTP GAS DAM (BELGIAN POWER) or twent-four hours prior to commencement of the relevant eliver interval (whichever later) or twent-four hours prior to commencement of the relevant eliver interval (whichever later) At commencement of the relevant eliver interval At commencement of the relevant eliver interval At commencement of the relevant eliver interval At commencement of the relevant eliver interval INTRADAY (BELGIAN POWER) 1.3 The price unit an volume unit of an Instrument ( Price Unit an Volume Unit respectivel) shall be etermine in accorance with the relevant Instrument Specification. Collateral Requirement Specification 2 Effective Date: 26-September-2013

3 COLLATERAL REQUIREMENT 2.1 For the pures of the Clearing Rule Book, the Collateral Requirement of the Clearing Member at an time, shall be the amount estimate b the Clearing House to be equal to: (i) (settlement amounts owe b the Clearing Member) the total amount paable to the Clearing House b the Clearing Member as set out in all Invoices mae available at that time but not et pai; less: (ii) (settlement amounts owing to the Clearing Member) the total amount paable b the Clearing House to the Clearing Member as set out in all Invoices mae available at that time but not et pai; (iii) (uninvoice settlement amounts owe b the Clearing Member) the total of all amounts paable to the Clearing House b the Clearing Member in relation to unsettle Trae Legs which have not been inclue in a Invoice mae available at that time, to the extent onl that such unsettle Trae Legs reflect eliver intervals that are Irrevocabl Delivere; less: (iv) (uninvoice settlement amounts owing to the Clearing Member) the total of all amounts paable b the Clearing House to the Clearing Member in relation to unsettle Trae Legs which have not been inclue in a Invoice mae available at that time, to the extent onl that such unsettle Trae Legs reflect eliver intervals that are Irrevocabl Delivere; Collateral Requirement Specification 3 Effective Date: 26-September-2013

4 (v) (mutual initial margin amount) in respect onl of TTF gas Trae Legs, ZTP gas Trae Legs, an intraa market Trae Legs in Dutch power: 1 2 E D max 0, V E I P E D min 0, V E J P E: D: V: is the total number of eliver intervals relating to iniviual Instrument ; is the number of eliver intervals relating to iniviual Instrument that are Irrevocabl Delivere; is the net volume (in the relevant Volume Unit) relating to iniviual Instrument, where a bu volume is represente b a itive value an a sell volume is represente b a ative value; I: is the (bu) initial margin parameter (expresse as a percentage) relating to iniviual Instrument, evaluate accoring to Clause 3 of this ocument; P: is the prevailing market reference price (in the relevant Price Unit) relating to iniviual Instrument, calculate b the Clearing House from time to time; J: is the (sell) initial margin parameter (expresse as a percentage) relating to iniviual Instrument, evaluate accoring to Clause 3 of this ocument; (vi) (non-mutual initial margin amount) in respect onl of TTF gas Trae Legs, ZTP gas Trae Legs an intraa market Trae Legs in Dutch power: an amount equal to the amount calculate in accorance with Clause 2.1 (v) of this ocument; Collateral Requirement Specification 4 Effective Date: 26-September-2013

5 (vii) (variation margin amount) in respect onl of TTF gas Trae Legs, ZTP gas Trae Legs an intraa market Trae Legs in Dutch power: t E D E v t ( p P ) t E: D: is the total number of eliver intervals relating to iniviual Instrument ; is the number of eliver intervals relating to iniviual Instrument that are Irrevocabl Delivere; vt: is the volume (in the relevant Volume Unit) relating to iniviual Transaction t in iniviual Instrument, where a bu volume is represente b a itive value an a sell volume is represente b a ative value; pt: is the price (in the relevant Price Unit) relating to iniviual Transaction t in iniviual Instrument ; P: is the prevailing market reference price (in the relevant Price Unit) relating to iniviual Instrument, calculate b the Clearing House from time to time; Collateral Requirement Specification 5 Effective Date: 26-September-2013

6 (viii) (orer margin amount) (continuous orers) in respect onl of TTF gas orers, ZTP gas orers an TTF gas storage orers: [ max ( 0, v o ) M po min( 0, vo ) N po ] o vo: is the volume (in the relevant Volume Unit) relating to iniviual live orer o in iniviual Instrument, where a bu volume is represente b a itive value an a sell volume is represente b a ative value; M: is the (bu) orer margin parameter (expresse as a percentage) relating to iniviual Instrument evaluate accoring to Clause 3 of this ocument; po: is the price (in the relevant Price Unit) relating to iniviual live orer o in iniviual Instrument ; N: is the (sell) orer margin parameter (expresse as a percentage) relating to iniviual Instrument evaluate accoring to Clause 3 of this ocument; Collateral Requirement Specification 6 Effective Date: 26-September-2013

7 (ix) (mutual overnight risk amount) (auction orers) in respect onl of DAM activit in Dutch power an DAM activit in Belgian power: max [ µ ( S ) + Kσ ( S ), µ ( S ) + Kσ ( S )] µ(s): σ(s): is the mean of S etc.; is the stanar eviation of S etc.; K: is the volatilit factor, evaluate accoring to Clause 3 of this ocument; S S { max(0, S ), max(0, S )...max(0, S )...max(0, )} ~ 1 2 S 28 { min(0, S ), min(0, S )...min(0, S )...min(0, )} ~ 1 2 S 28 S: is the (simple) ail net energ settlement amount (inclusive of VAT) in respect of calenar eliver a, where a net amount owe b the Clearing Member is represente b a itive number, an a net amount owing to the Clearing Member is represente b a ative number; S28: relates to the most recent eliver ate for which matching has taken place; S = A + B A: is the ail net energ settlement amount (inclusive of VAT) in relation to DAM activit in Dutch power in respect of calenar eliver a, where a net amount owe b the Clearing Member is represente b a itive number, an a net amount owing to the Clearing Member is represente b a ative number; Collateral Requirement Specification 7 Effective Date: 26-September-2013

8 B: is the ail net energ settlement amount (inclusive of VAT) in relation to DAM activit in Belgian power in respect of calenar eliver a, where a net amount owe b the Clearing Member is represente b a itive number, an a net amount owing to the Clearing Member is represente b a ative number; (x) (non-mutual overnight risk amount) (auction orers) in respect onl of DAM activit in Dutch power an DAM activit in Belgian power: max [ µ ( R ) + Kσ ( R ), µ ( R ) + Kσ ( R )] µ(r): σ(r): is the mean of R etc.; is the stanar eviation of R etc.; K: is the volatilit factor, evaluate accoring Clause 3 of this ocument; R R { max(0, R ), max(0, R )...max(0, R )...max(0, )} ~ 1 2 R28 { min(0, R ), min(0, R )...min(0, R )...min(0, )} ~ 1 2 R28 R: is the eliver-risk-ajuste ail net energ settlement amount (inclusive of VAT) in respect of calenar eliver a, where a net amount owe b the Clearing Member is represente b a itive number, an a net amount owing to the Clearing Member is represente b a ative number; R28: relates to the most recent eliver ate for which matching has taken place; Collateral Requirement Specification 8 Effective Date: 26-September-2013

9 R R FOR : ( B = A + B FOR : B 0 = max(0, A + B < 0) & ( A ) 0) R = min(0, A FOR : ( B B < 0) & ( A ) < 0) A: B: is the ail net energ settlement amount (inclusive of VAT) in relation to DAM activit in Dutch power in respect of calenar eliver a, where a net amount owe b the Clearing Member is represente b a itive number, an a net amount owing to the Clearing Member is represente b a ative number; is the ail net energ settlement amount (inclusive of VAT) in relation to DAM activit in Belgian power in respect of calenar eliver a, where a net amount owe b the Clearing Member is represente b a itive number, an a net amount owing to the Clearing Member is represente b a ative number; (xi) (other amounts owe b the Clearing Member) the total of an other amounts (incluing VAT) which are paable b the Clearing Member uner the Clearing Rules an which have not been inclue in a Invoice mae available at that time; less: (xii) (other amounts owing to the Clearing Member) the total of an other amounts (incluing VAT) which are paable to the Clearing Member uner the Clearing Rules an which have not been inclue in a Invoice mae available at that time. Collateral Requirement Specification 9 Effective Date: 26-September-2013

10 3 S 3.1 For the pures of the Collateral Requirement, the parameters contemplate b Clause 2 of this ocument are evaluate as follows. TTF gas Instruments ( I ) ( M ) ( J ) ( N ) TTF WEEKEND 7.4% 100.0% 7.2% TTF DAY 11.0% 100.0% 11.0% TTF BALANCE OF DAY 11.0% 100.0% 11.0% TTF HOUR 11.0% 100.0% 11.0% TTF % 100.0% 11.0% TTF % 100.0% 11.0% TTF % 100.0% 11.0% TTF % 100.0% 11.0% ZTP gas Instruments ( I ) ( M ) ( J ) ( N ) ZTP WDNW 8.5% 10.9% ZTP WEEKEND 11.5% 100.0% 12.0% ZTP BOW 15.3% 15.3% ZTP DAY 15.3% 100.0% 15.3% ZTP BALANCE OF DAY 15.3% 100.0% 15.3% ZTP % 100.0% 15.3% ZTP % 100.0% 15.3% ZTP % 100.0% 15.3% ZTP % 100.0% 15.3% Collateral Requirement Specification 10 Effective Date: 26-September-2013

11 TTF gas storage Instruments ( I ) ( M ) ( J ) ( N ) ALL INSTRUMENTS #N/A 100.0% #N/A 0.0% Intraa market Instruments in Dutch power ( I ) ( M ) ( J ) ( N ) NL 1H [ONE HOUR] #N/A #N/A 100.0% #N/A DAM activit in Dutch power an DAM activit in Belgian power VOLATILITY FACTOR ( K ) ALL ACTIVITY 7.0 Collateral Requirement Specification 11 Effective Date: 26-September-2013