The Detailed Trading and Clearing Rules for Gas Traded on the Gas Day-Ahead Market

Transcription

1 The Detailed Trading and Clearing Rules for Gas Traded on the Gas Day-Ahead Market The Detailed Trading and Clearing Rules for Gas Traded on the Gas Day-Ahead Market approved by virtue of the Resolution of Management Board No. 248/63/12 of 6 December 2012, enter into force as of 31 st December 2012.

2 Part 1. Definitions. 1) Exchange Member an entity that has got the Exchange Member status and has been admitted by the Exchange Management Board to operate on the DAM&IDMg, 2) Delivery Day corresponds to the gas day within the meaning of the TNCg and refers to consecutive hours starting from 6 a.m. on a given day until 6 a.m. on the next day, on which the gas contracted on the exchange on the Trading Day is delivered or received, 3) Trading Day - a day on which prices are fixed for given Delivery Day, 4) market the Commodity Market operated by the Polish Power Exchange in accordance with the Exchange Rules, 5) Exchange, POLPX Polish Power Exchange (Towarowa Giełda Energii S.A.) 6) Operating Schedule - a schedule for gas delivery or off-take set out in the nomination for a single Shipper Code for each hour of the Delivery Day, comprising gas contracted on the DAMg and on the CFIM, 7) TNCg means the Gas Transmission Network Code prepared by Gas Transmission Operator GAZ-SYSTEM S.A., in accordance with Article 9 g) of the Energy Law Act, 8) Clearing House means the Warsaw Commodity Clearing House which operates a settlement and clearing house fulfilling the function of a clearing house in accordance with the Act on Trading in Financial Instruments (ustawa o obrocie instrumentami finansowymi), 9) Shipper Code means the code used for the identification of a Shipper, 10) contract - an agreement concluded on the DAMg between Exchange Members resulting in the transfer of the title to gas from the seller to the buyer, 11) price - a flat price of 1 MWh of electricity at given hour of the Delivery Day, fixed on the DAMg, 12) private web site - a web site accessible exclusively for a given Exchange Member and the Exchange, 13) Nomination means a nomination as defined in the TNCg. 14) Gas Transmission System Operator or TSOg means Gas Transmission Operator GAZ-SYSTEM S.A. having its registered office in Warsaw; 15) Portfolio - a single delivery or off-take facility, or a group of such facilities, belonging to a single Exchange Member, for which one Operating Schedule is prepared, 16) Energy Law the Energy Law Act (ustawa prawo energetyczne) of 10 April consolidated text (Journal of Laws of 2006, No. 89, item 625, as amended), 17) DAMg the Gas Day-Ahead Market making a distinctive part of the DAM&IDM and operated by the Exchange, 18) DAM&IDMg the Day-Ahead Market and the Intraday Market operated by the Exchange; 19) CFIM the Commodity Forward Instruments Market with Physical Delivery operated by the Exchange; 20) Exchange Rules the Trading Rules for the Commodities Market of the Polish Power Exchange, 21) Trading System means the electronic communications system, including all relevant hardware and software, and specifically the dedicated computer application that facilitates the trading on the DAMg; Page 2 of 38

3 22) Detailed Trading and Clearing Rules the present Detailed Trading and Clearing Rules for gas traded on the Gas Day-Ahead Market, 23) transaction - a gas sales agreement entered into on the market between Exchange Members, 24) Exchange Service a commission due to the Exchange in respect of transactions entered into by the Exchange Member, calculated in accordance with the Exchange Rules, 25) Trading Terms - the relevant Trading Terms for gas forward contracts adopted by the Exchange Management Board in accordance with 101 subparagraph 3 of the Exchange Rules, 26) Order - an offer to buy or sell gas on the DAMg made by an Exchange Member, 27) Shipper means a Shipper as defined in the TNCg. Page 3 of 38

4 Part 2. Section 1 Trading Principles. Organization of quotations on the DAMg The trading on the DAMg takes place one day ahead of the Delivery Date and concerns the instrument described in the specifications enclosed as Appendix No. 1 of these Detailed Trading and Clearing Rules. 2. The commodity being subject to trading on the DAMg is E-group high-methane natural gas conforming to the standard specified by the Exchange Management Board. 2. On days of the change of the Official Time in Poland, as regulated by Regulation of the Prime Minister concerning the introduction and cancellation of Central European Summer Time, the number of hours on the contract execution date is adjusted accordingly in compliance with the provisions of the Regulation (i.e. 23 or 25 hours). Section 2 Schedule of quotations on the DAMg. 1. Quotations are held daily according to the following schedule: 3. Time By 6:30 p.m. 2 days before the Delivery Day From 08:00 a.m. 1 day before the Delivery Day until 12:30 a.m. 1 day before the Delivery Day By 01:00 p.m. 1 day before the Delivery Day By 02:00 p.m. 1 day before the Delivery Day By 07:00 p.m. 1 day before the Delivery Day Quotation Phase Collateral update Input of current collaterals. Continuous trading Acceptance of Orders; Orders may be cancelled and modified; the Orders are validated as regards the collateral status. Update of Operating Schedules by Exchange Members Notification of commercial transactions to the TSOg Publication of quotation results on the public web site Section 3 Orders for DAMg sessions. 4. Exchange Members shall place their Orders with reference to the Portfolios. In the Trading System, a Portfolios is defined as an account. A Shipper Code is assigned to each Portfolio. 5. In the Trading System, each Exchange Member has got as many Portfolios as many Shipper Codes there are in their possession. The Exchange Member may hold Portfolios for Shared Shipper Codes. 6. Each Portfolio may be assigned to one Exchange Member only, unless the Exchange Member shares such a Portfolio with another Exchange Member according to principles set out in the Exchange Rules. 7. Page 4 of 38

5 Exchange Members may place multiple Orders with respect to given Portfolio Each Order placed by the Exchange Member on the DAMg shall specify in particular: a) designation (ID) of the Commodity being the object of the Order; b) type of Order (buy/sell); c) Portfolio the Order relates to; d) volume of Gas being the of given sell or buy Order; e) price limit expressed in PLN/MWh or an instruction to execute the Order without price limit; f) validity term; g) terms of Order execution, as set out in 9 and 14; h) designation (ID) of the Exchange Member issuing the Order; i) date and time of Order issuance; j) Order number Orders posted to be quotation in the continuous trading system should contain the terms of their execution and the validity term. Depending on the terms of execution and the validity term, the following types of Orders apply: a) Rest of Day Order an Order is valid on the day it is placed on the market. b) Good Until Expiry Order an Order is valid until the expiry of the quotation period for the instrument. c) Good Until Date Order an Order is valid until the date specified upon placing the Order. Orders are quoted until the date on which the specified time limit expires. d) Timed Order an Order is valid on the day it is placed on the market until the time specified upon placing the Order. e) Fill and Kill Order an Order is valid until the first transaction is concluded (or first transactions, if the Order is executed through multiple simultaneous transactions), with the non-executed part of the Order becoming cancelled. The Order may be executed in full, in part, or may be not executed at all. The Order may be placed without a price limit. f) Fill or Kill Order - an Order is valid until the first transaction is concluded (or first transactions, if the Order is executed through multiple simultaneous transactions). The Order must be executed in full, or it will not be executed at all. When the Order structure does not allow for the execution of the Order in full, the Order is cancelled. 10. The Fill and Kill and Fill or Kill Orders are not included in the Order table. Upon the placement of such Orders, the respective transactions are concluded, or the Orders are deleted. 11. Orders may be placed either on the market (market Orders) or locally (local Orders). The local Orders do not take part in quotations. Page 5 of 38

6 12. The local Orders may be placed on the market through its activation. The activation time determines the time when the Order is accepted on the market. The market Order may become a local Order through its suspension. The orders may be activated and suspended during the quotation phase on the DAMg. 13. The orders may be placed on the market only during the quotation phase on the DAMg. Outside the quotation phase on the DAMg, a local Order may be placed by the Exchange Member The Order may include an additional condition being displayed on the market, i.e. may be an Order with an trigger condition (Stop Loss), subject to the terms set forth in this section. 2. The Order trigger (Stop Loss) is defined by the following parameters: a) trigger instrument name of the instrument the trigger refers to b) trigger limit the price or the price limit for the trigger instrument, c) trigger type indication whether the trigger condition is met when: i) the last transaction price is equal to or lower than the trigger limit, ii) the last transaction price is equal to or higher than the trigger limit, iii) a market Order of specified type (buy / sell), with a price limit equal to or lower than the trigger limit, is displayed in the Order table, subject to the provisions of clause 5, iv) a market Order of specified type (buy / sell), with a price limit equal to or higher than the trigger limit, is displayed in the Order table, subject to the provisions of clause 5, 3. Until being triggered, an Order with a trigger condition remains a local Order. 4. The Order is triggered at the moment when the trigger condition is met. Upon being triggered, the Order is placed on the market and any modification, suspension, cancellation or execution of such Order take place in accordance the principles applicable to Orders without a trigger condition. The sequence of triggering Orders with a trigger condition is determined by the time of their acceptance on the market. 5. A market Order being subject to immediate execution shall not trigger the condition. 6. Orders shall be triggered only during the continuous trading phase. 7. Prior to being triggered, an Order with a trigger condition shall be valid until the end of the quotation period of the relevant instrument. After being triggered, an Order with a trigger condition shall have a validity term as applicable for the selected type of Order. 8. Orders with trigger condition shall not be subject to modification with respect to the trigger conditions Each buy Order referred to in 8, which is placed on the DAMg shall be validated for financial cover by comparing the required collateral value corresponding to the values of the Order being currently placed and buy Orders previously placed on the market by the Exchange Member as well as the concluded value of buy and sell transactions, against the transaction limit determined by the Clearing House according to the principles set out in The detailed clearing rules for the markets operated by POLPX. Page 6 of 38

7 2. Should the Order validation reveal that the required collateral amount exceeds the level of the transaction limit of the Exchange Member, the orders of such Exchange Member shall not be executed by the Exchange. 3. Each day, before beginning of the session, the established level of the transaction limit shall be updated based on information provided by the Clearing House. 4. Only local Orders shall not be validated for their collateral status. 16. Exchange Members shall have the right to modify their Orders. The following elements may be modified: a) the volume of Gas offered, b) the price limit. 17. Orders may be modified during the quotation phase on the DAMg. If a modification consists a reduction of the Gas volume offered, the Order placement time shall not change. In other cases of modification (increase of the volume and change of the price) new placement time shall be assigned to the Order. In the case when quotations for a given instrument have been suspended, the modification of Orders shall not be allowed. 18. Orders may be cancelled during the quotation phase on the DAMg. An Order may be cancelled by the Exchange Member that has placed the Order, prior to the expiry of the Order validity period. The cancellation of Orders being the subject of concluded shall not be allowed. 19. An Order placed on the market shall remain active until the modification or cancellation process is completed. Part 3. Section 1 The principles of price fixing and execution of Orders. The general principles for price fixing and execution of Orders. 20. The price shall be fixed with accuracy to PLN The price limit specified in an Order must not be lower than the minimum price limit for Orders, or higher than the maximum price limit for Orders, as determined by the Exchange, in accordance with No price fluctuation limits shall be in effect on the DAMg A minimum and maximum price limit shall be in effect on the DAMg. The minimum price and the maximum price levels shall be determined in accordance with the specification of the instruments set out in the relevant Appendix to these Detailed Trading and Clearing Rules. Page 7 of 38

8 2. When justified, the Exchange Management Board shall have the right to adjust the minimum price and the maximum price. 24. In case when and to the extent that the Exchange is authorised to close the position of the Exchange Market held on the CFIM for gas forward contracts, the Exchange shall have the right to place orders on DAMg on behalf of such Exchange Member. Section 2 The principles of price fixing and execution of Orders in the continuous trading system In the continuous trading system, transactions are concluded at a price equal to the price limit specified in a previously posted Order, queued in the Order table for execution, in accordance with to the following principles: a) first, Orders with the highest price limit in case of buy Orders, and with the lowest price limit in case of sell Orders shall be executed; b) Orders with equal price limits shall be executed according to the time of Order acceptance, where Orders accepted earlier shall be executed first. 26. Orders may be executed in part, provided that each partial transaction concerns at least 1 MWh of Gas. Section 3 Market indices. 27. Information concerning the quotations on the DAMg for each delivery day shall be made public by the Exchange and include the prices, trade volume and the value of POLPX gas market index. 28. The POLPX gas market index shall be determined as the trade volume-weighted average price for all transactions on the DAMg market for the same delivery date, i.e.: POLPX gas where: n n i 1 Vi Pi V - number of transactions, P i the price fixed for the ith transaction, V i trading volume of the ith transaction, V trading volume on given day. Page 8 of 38

9 Part 4. Section 1 The principles of transaction execution. Physical delivery of Gas. 29. Market transactions concluded on the DAMg shall be notified to the TSOg as the balance of transactions broken down by Shipper Code assigned by the TSOg. 30. The market transactions concluded by the Exchange Member for shared Portfolios shall be notified to the TSOg in the Portfolios of the sharing party, the identification details of which shall be set out in the declaration referred to in 11 1 clause 4 of the Exchange Rules. 31. At the moment of Order placement, each Exchange Member shall declare the Portfolio to which the entire Gas volume under the transaction resulting from such Order is to be assigned. The Gas volumes assigned to the respective Shipper Codes may be updated by the Exchange Member in the Trading System. The time when such changes may be made is defined in the schedule referred to in 3 Update of Operating Schedules. 32. The Operating Schedule for the Exchange Members holding a single Shipper Code, for a given hour of the Delivery Day, shall specify the balance of the Gas volumes bought and sold. 33. The documents used for the notification of market transactions to the TSOg shall contain details identifying the notification and commercial details. 34. In case of change of the identification details referred to in 33, the Exchange Member shall be required to update such details immediately. A default on the obligation referred to in the preceding sentence shall result in immediate suspension of the operation of the Exchange Member on the DAMg. 35. In case of change of the identification details referred to in 30, the Exchange Member shall be required to update such details immediately. A default on the obligation referred to in the preceding sentence shall result in immediate withdrawal of the consent for the operation of the Exchange Member with respect to the Portfolios shared on the DAMg. 36. Transactions concluded on the CFIM with respect to gas forward contracts shall be notified to the TSOg jointly with transactions concluded on the DAMg as the aggregate balance of such transactions. The notification shall be made on the day preceding the execution date of a given forward contract, in accordance with the Contract Quotation and Execution Calendar for the CFIM established for the forward instrument in question by the Exchange Management Board. Page 9 of 38

10 Section 2 Procedure applicable in case of the suspension of the transmission service provided to the Exchange Member by the TSOg 37. In case when POLPX is advised by the TSOg about the suspension of transmission services provided to the Exchange Member with respect to the notification of gas sales contracts for a given Shipper Code, the Exchange shall disable the notification of operating schedules for such Shipper Code as of the delivery date indicated by the TSO (Operator Gazociągów Przesyłowych GAZ-SYSTEM S.A.). 38. The Exchange Member that concluded transactions on the market with respect to a Portfolio with a Shipper Code for which the TSOg suspended the transmission service shall be required to close its positions by 9 a.m. on the day before the delivery date. 39. If the party referred to in 38 fails to close its positions by 9 a.m. on the day before the Delivery Date, the Exchange shall take action on behalf of the Exchange Member in order to close all the positions that remain open. The costs resulting from the difference between the opening and closing price shall be borne by the Exchange Member. Part 5. Clearing principles. 40. The transactions concluded on the Day-Ahead Market for gas shall be cleared and secured subject to the principles set forth by the Clearing House in The detailed clearing rules for markets operated by POLPX. Page 10 of 38

11 Appendix No. 1 Specification of gas instruments traded on the DAMg. ID Commodity traded Nominal volume GAS_BASE_DD-MM-RRRR, where: DD delivery day, MM- delivery month, RRRR-delivery year. Class E high-methane natural gas Volume of Gas (MWh) expressed as the product of 1MW and the number of hours in the delivery term. 1 instrument (contract) represents from 23 to 25 MWh of Gas. Price Expressed in PLN/MWh, with accuracy of PLN 0,01. Minimum price The minimum price is PLN Maximum price The maximum price is PLN Value Quotation date Delivery term Quotation unit Delivery unit Settlement method The product of the Price and the Nominal Volume. 1 day preceding the Delivery Day. Consecutive hours starting from 6 a.m. on the current day until 6 a.m. on the following day. 1 instrument. 1 MWh for each hour of the contract delivery term. Physical delivery of gas. Page 11 of 38

12 Appendix 2 The Warsaw Commodity Clearing House Detailed clearing rules for the markets being run by POLPX Detailed clearing rules for the markets being run by POLPX The Rules comes into force on the day of December the 6 th Page 12 of 38

13 Definitions 1) the House it should be understood as the exchange clearing house (in the understanding of the Act), run by the Warsaw Commodity Clearing House Joint Stock Company; 2) WCCH it should be understood as the Warsaw Commodity Clearing House Joint Stock Company with seat of business in Warsaw; 3) the Property Rights it should be understood as the property rights under certificates of origin in the understanding of the regulations set forth in the Power Law Act; 4) the Gas it should be understood gaseous fuels as referred to in Article 3 item 3a) of the Power Law Act, being the exchange commodity admitted to trading on the exchange commodity Market pursuant to relevant internal regulations of the Exchange; 5) the Act it should be understood as the act dated on the day of October the 26 th 2000 concerning the commodity exchanges (unified text in the Journal of Law No 121/2005, item 1019 with later amendments); 6) the Clearing Bank it should be understood as the bank that - acting on the grounds of appropriate agreements concluded with the House and individual Clearing Members of the House provides financial services connected with clearing of the Transactions entered into on the exchange; 7) the Clearing Member of the House it should be understood as an entity that has obtained the House membership by virtue of resolution passed by the WCCH Management Board and that has been allowed by the House to clear Transactions being entered into on the exchange; 8) the Exchange Member it should be understood as an entity that has concluded the membership agreement with the Exchange; 9) the Delivery Day it should be understood as a day on that the exchange commodity sold or purchased on the Trading Day will be delivered or received; 10) the Trading Day it should be understood as a day on that POLPX market rates are fixed for given Delivery Day; 11) the Exchange, POLPX it should be understood as the Polish Power Exchange; 12) the exchange it should be understood as the Exchange Commodity Market run by the Exchange; 13) the Private Web Site it should be understood as a web site accessible only for given House Member and for the House; 14) TSOe or the Electricity Transmission System Operator it should be understood as PSE Operator Joint Stock Company with seat of business in Konstancin-Jeziorna; Page 13 of 38

14 15) TSOg or the Gas Transmission System Operator it should be understood as The Industrial Gas Pipelines Operator GAZ-SYSTEM Joint Stock Company with seat of business in Warsaw; 16) TNCe it should be understood as the Electricity Transmission Network Code worked out by the TSOe; 17) TNCg it should be understood as the Gas Transmission Network Code worked out by the TSOg; 18) the Power Law Act it should be understood as the act dated on April the 10 th 1997 and titled "The Power Law" (Journal of Law No 89/2006, item 625 with later amendments); 19) the Bank Account - it should be understood as an account opened by the Clearing Member of the House in the Clearing Bank for clearing the transactions entered into on the DAM, IDM, DAMg, PRM, CFIM and EAM markets; 20) the Subsidiary Account it should be understood as an account, opened by the Clearing Member of the House in the Clearing Bank in addition to the bank account and designed for the House's crediting of the account with receivables by the right of clearing of the Transactions, which have been entered into on the DAM, IDM, DAMg, PRM, CFIM and EAM markets; 21) the settlement report it should be understood as a report available in the clearing system and including the balance of payments by the right of the Transactions entered into on the exchange; 22) DAM it should be understood as the Day-Ahead Market run by the Exchange; 23) IDM it should be understood as the Intraday Market run by the Exchange; 24) DAMg it should be understood as the Gas Day-Ahead Market run by the Exchange; 25) PRM it should be understood as the Property Rights Market run by the Exchange; 26) CFIM it should be understood as the Commodity Forwards Instruments Market with Physical Delivery run by the Exchange; 27) EAM it should be understood as the Emission Allowance Market run by the Exchange; 28) the POLPX Regulations it should be understood as the Trading Regulations of the Exchange Commodity Market of the Polish Power Exchange; 29) the clearing system it should be understood as a set of hardware and software components, and in particular the specialized computer software, clearing of the Transactions, entered into on the exchange, is conducted by means of that; Page 14 of 38

15 30) the Transaction it should be understood as an exchange commodity sale contract closed on the exchange, the Clearing Member of the House is a party of clearing of that; 31) OTC transaction it should be understood as an exchange commodity sale contract concluded outside the session on the Exchange, the Clearing Member of the House is a party of clearing of that; 32) the Order it should be understood as an exchange commodity purchase or sale offer submitted on the exchange by the Exchange Member; 33) the Transaction Limit maximum total value of purchase transactions possible to enter into on given day on DAM, IDM, DAMg, PRM and EAM markets by given Clearing Member of the House; 34) NCEBM it should be understood as the National Center of Emission Balancing and Management, an entity responsible for keeping records of the Emission Allowances in the Republic of Poland, assigned by the minister responsible for environmental issues; 35) NREA the National Register of Emission Allowances - it should be understood as the system of recording of the emission allowances, run by NCEBM in accordance with applicable regulations; 36) the recording accounts it should be understood as recording devices for recording of positions of exchange commodities, kept by the WCCH, according to the ID of Clearing Member of the House, client ID, exchange commodity series ID, type of activity ID and portfolio ID; 37) the accounting accounts it should be understood as recording devices serving for determination of liabilities and receivables resulting from clearings of exchange transactions, collateral margins as well as for recording of the means being lodged into the margins - kept by the WCCH according to the ID of the Clearing Member of the House as well as the client ID; 38) the Portfolio it should be understood as positions of the exchange commodities, registered in the recording accounts marked by the same House Member's ID and the same portfolio ID; 39) N-Day it should be understood as the day, clearing of the transaction was conducted by the House on which. The days preceding or following the N- Day are marked as N-1 or N+1, respectively; 40) the foreign clearing house it should be understood as an entity, acting independently towards the House, that conducts clearing of electricity trading transactions being entered into on the exchanges and executed outside the system mentioned in Article 3 item 23 of the Power Law Act; 41) the Non-pecuniary Collaterals Register it should be understood as a register, kept by the WCCH, serving for recording of the Property Rights, the CO2 Emission Allowances, the Bank Guarantees composing covering of the liabilities of the Clearing Members of the House as well as their Page 15 of 38

16 clients (respectively) by the right of the collateral margins and the transaction margins; 42) the Scheduling Unit it should be understood as a basic object of the balancing market in the understanding of TNCe, allocated to given power company by the TSOe or made available for the House member or a House member s client by the power company in order to execute physical delivery of electricity; 43) the nomination it should be understood as the nomination defined in the TNCg, allocated to given House Member by the TSOg or made available for the House member or a House member s client pursuant to the regulations being in force on the Exchange within that scope; 44) the Shipper code it should be understood as the code designed for identification of the Shipper defined in the TNCg. Page 16 of 38

17 Part I Collateralization of the clearings 1. The Transaction clearing collateralization system. 1.1st The House shall establish and manage the system of collateralization of session transactions and OTC deals entered into on the exchange, basing on financial means accumulated in the Bank Accounts kept in the Clearing Bank for the Clearing Members of the House as well as on recognized non-pecuniary means registered in the Non-pecuniary Collaterals Register kept by the House. 1.2nd In the Clearing System each Clearing Member of the House has got its Accounting Account, the collateral account (that reflects current status of collaterals of its Transactions) is a component of which. 1.3rd On each day after accomplishing of quotations on DAM, IDM, DAMg, PRM, CFIM and EAM, till 4:00 p.m., the account balance is updated by receivables and liabilities reckoned during the clearing and settlement processes. 1.4th On each working day, after accomplishing of the clearing process, till 6:30 p.m., the account balance is updated on the grounds of the operations carried out in the Bank Account kept in the Clearing Bank for given Clearing Member of the House. Information pieces concerning the operations carried out in the Bank Account are received by the House from the Clearing Bank. 1.5th Updating of the collaterals shall be carried out in accordance with the following principle: a) payment into the Bank Account kept in the Clearing Bank shall increase collateral value in the collateral account, b) withdrawal from the Bank Account kept in the Clearing Bank shall reduce collateral value in the collateral account. 1.6th Before each Trading Day the House shall send to the Exchange the current Transaction Limit of the Clearing Member of the House, calculated as current holdings of the pecuniary resources deposited on the bank Account of given Clearing Member of the House, kept in the Clearing Bank, increased by recognized collaterals in non-pecuniary form, decreased or increased by balance of liabilities or receivables by the right of the Transactions, which have been entered into on the exchange as well as decreased by the Collateral Margins for the Commodity Forwards Instruments Market with Physical Delivery (CFIM). 1.7th The Transaction Limit that allows placing of the Order that shall be executed outside the system, mentioned in Article 3 item 23 of the Power Law Act, shall be established through relevant resolution of the WCCH Management Board. 2. The record-keeping devices. 2.1st The House keeps separate sets of the Recording accounts for individual Clearing Members of the House and if given Clearing Member of the House clears clients also for the clients of that Member as well as for individual markets Page 17 of 38

18 being cleared by the House, the Clearing Member of the House is participant of which. 2.2nd The Recording accounts set for the markets, electricity is object of trading on which, consists of recording accounts for delivery hours grouped into Portfolios assigned to the Scheduling Units. 2.3rd The Recording accounts set for the Property Rights Market consists o: a) The recording accounts for the PMOZE Certificates of Origin, b) The recording accounts for the PMOZE_A Certificates of Origin, c) The recording accounts for the PMMET Certificates of Origin, d) The recording accounts for the PMGM Certificates of Origin, e) The recording accounts for the PMEC Certificates of Origin, f) The recording accounts for the PMBG Certificates of Origin. 2.4th For the Emission Allowance Market (EAM) the House keeps one Recording account for the CO2 Emission Allowances for each Clearing Member of the House as well as for each client of that Member. 2.5th The Recording accounts set for the markets, gas is object of trading on which, consists of recording accounts for delivery hours or delivery days, grouped into Portfolios assigned to the Shipper Codes. 3. The collateral margins for the Commodity Forwards Instruments Market with Physical Delivery. 3.1st The value of the collateral margin is reckoned every day for each Clearing Member of the House. 3.1st1st The value of liabilities for the collateral margin is reckoned for each Clearing Member of the House and it is registered on control accounts of the initial margins and variation margins, kept within the framework of the accounting account. 3.1st2nd If given Clearing Member of the House clears its clients, the value of collateral margins, reckoned for the Clearing Member of the House, composes sum of the collateral margins, reckoned separately for each client, as well as the collateral margins for own positions of given Clearing Member of the House. 3.2nd In order to determine value of the collateral margins (the initial-and the variation margins), mentioned in paragraph 39 of the Regulations of the Exchange Clearing House, the positions taken by given Clearing Member of the House as well as by its clients are allocated to two baskets created according to the delivery periods, taking compensation of the positions within the framework of the delivery periods into consideration. 3.2nd1st The initial collateral margins a) The initial margins for electricity forward instruments with physical delivery are reckoned starting from the day on that the transaction is entered into, till the day before last Day of Delivery. Page 18 of 38

19 The margins are calculated according to the following algorithm: Where: Dw the initial margin value [zloty], LKi amount of electricity that has not been delivered and that falls to the purchase contracts for the i th delivery period [MWh], LSi amount of electricity that has not been delivered and that falls to the sale contracts for the i th delivery period [MWh], Kri the clearing price for the i th delivery period, i the delivery period, Pi risk parameter for the last day of the i th delivery period, N number of forward instruments with physical delivery delivery periods. b) The initial margins for Gas forward instruments with physical delivery are reckoned starting from the day on that the transaction is entered into, till the day before last Day of Delivery. The margins are calculated according to the following algorithm: Where: Dw the initial margin value [zloty], LKi amount of Gas that has not been delivered and that falls to the purchase contracts for the i th delivery period [MWh], LSi amount of Gas that has not been delivered and that falls to the sale contracts for the i th delivery period [MWh], Kri the clearing price for the i th delivery period, i the delivery period, Pi risk parameter for the last day of the i th delivery period, N - number of forward instruments with physical delivery delivery periods. 3.2nd2nd The variation margins a) The variation margins for electricity forward instruments with physical delivery are reckoned starting from the day on that the transaction is entered into, till the day before last Day of Delivery for given contract. The margins are calculated according to the following algorithm: Where: Du the variation margin value, ( ) ( ) Page 19 of 38

20 LKi amount of electricity that has not been delivered and that falls to the purchase contracts for the i th delivery period [MWh], LSi amount of electricity that has not been delivered and that falls to the sale contracts for the i th delivery period [MWh], Kri the clearing price for the i th delivery period, Kki average weighed price of purchase transactions of the contracts for the i th delivery period [zloty/mwh], Ksi average weighed price of sale transactions of the contracts for the i th delivery period [zloty/mwh], i the delivery period, N - number of forward instruments with physical delivery delivery periods. b) The variation margins for Gas forward instruments with physical delivery are reckoned starting from the day on that the transaction is entered into, till the day before last Day of Delivery for given contract. The margins are calculated according to the following algorithm: ( ) ( ) Where: Du the variation margin value, LKi amount of Gas that has not been delivered and that falls to the purchase contracts for the i th delivery period [MWh], LSi amount of Gas that has not been delivered and that falls to the sale contracts for the i th delivery period [MWh], Kri the clearing price for the i th delivery period, Kki average weighed price of purchase transactions of the contracts for the i th delivery period [zloty/mwh], Ksi average weighed price of sale transactions of the contracts for the i th delivery period [zloty/mwh], i the delivery period, N - number of forward instruments with physical delivery delivery periods If given Clearing Member of the House clears its own transactions only the collateral margin value is reckoned according to the following algorithm: ( ) Where: total value of the collateral margin, - the initial margin for electricity contracts, - the variation margin for electricity contracts, - the initial margin for Gas contracts, - the variation margin for Gas contracts In case when given Clearing Member of the House clears transaction of its clients the rule presented in item above shall Page 20 of 38

21 be applicable on the level of individual clients, while total value of the collateral margin reckoned for given Member of the House is equal to the sum of the collateral margins reckoned for individual clients and the collateral margins for own positions of the Clearing Member of the House. 3.3rd The electricity delivery periods 3.3rd1st The initial margin shall be calculated separately for each delivery period. One day shall be recognized as the delivery period if the delivery takes place within the period from one day to: a) 16 days, if Friday is the day the margin is reckoned on that, b) 15 days, if Saturday is the day the margin is reckoned on that, c) 14 days, if Sunday is the day the margin is reckoned on that, d) 13 days, if Monday is the day the margin is reckoned on that, e) 12 days, if Tuesday is the day the margin is reckoned on that, f) 11 days, if Wednesday is the day the margin is reckoned on that, g) 10 days, if Thursday is the day the margin is reckoned on that. 3.3rd2nd The week delivery periods, being in line with the deadlines for execution of the week contracts being under quotation, are created for the consecutive days. 3.3rd3rd The days, which are included in the week contract encompassing turn of two months, are allocated between two baskets: the days of the month coming to the end are allocated to the fist basket, while the days of the starting month are allocated to the second basket. 3.3rd4th If the delivery period of the last week contract being under quotation does not finish on the last day of the month the basket is created for the days starting from the first day after the last Delivery Day for the last week contract being under quotation, till the last day of that month. 3.3rd5th Consecutive delivery periods are created for days, which fall in line entirely with the month contracts being under quotation and create the month baskets. 3.3rd6th If the delivery period of the last month contract being under quotation does not finish on the last day of the quarter the basket is created for the days starting from the first day after the last Delivery Day of the last month contract being under quotation, till the last day of that quarter. 3.3rd7th Consecutive days, which are not encompassed by the delivery periods of the month contracts being under quotation, are grouped in quarter baskets. 3.3rd8th If the delivery period of the last quarter contract being under quotation does not finish on the last day of the year the basket is created for the days starting from the first day after the last Delivery Day of the last quarter contract being under quotation, till the last day of that year. Page 21 of 38

22 3.3rd9th Consecutive days, which are not encompassed by the delivery periods of the quarter contracts being under quotation, are grouped in year baskets. 3.4th The Gas delivery periods 3.4th1st The initial margin shall be calculated separately for each delivery period. One day shall be recognized as the delivery period if the delivery takes place within the period from one day to: a) 16 days, if Friday is the day the margin is reckoned on that, b) 15 days, if Saturday is the day the margin is reckoned on that, c) 14 days, if Sunday is the day the margin is reckoned on that, d) 13 days, if Monday is the day the margin is reckoned on that, e) 12 days, if Tuesday is the day the margin is reckoned on that, f) 11 days, if Wednesday is the day the margin is reckoned on that, g) 10 days, if Thursday is the day the margin is reckoned on that. 3.4th2nd The delivery period, consisting of days remaining till the last day of given month, is created since the day following the last daily delivery period. 3.4th3rd Consecutive delivery periods are created for days, which fall in line entirely with the month contracts being under quotation and create the month baskets. 3.4th4th If the delivery period of the last month contract being under quotation does not finish on the last day of the quarter the basket is created for the days starting from the first day after the last Delivery Day of the last month contract being under quotation, till the last day of that quarter. 3.4th5th Consecutive days, which are not encompassed by the delivery periods of the month contracts being under quotation, are grouped in quarter baskets. 3.4th6th If the delivery period of the last quarter contract being under quotation does not finish on the last day of the year the basket is created for the days starting from the first day after the last Delivery Day of the last quarter contract being under quotation, till the last day of that year. 3.4th7th Consecutive days, which are not encompassed by the delivery periods of the quarter contracts being under quotation, are grouped in year baskets. 3.5th The clearing price for the i th delivery period of electricity is calculated according to the following algorithms: 3.5th1st For all delivery periods, which do not fall in line with any forward contract being under quotation as well as enabling entering into transactions on the next day, the clearing price is determined: a) as the arithmetic average of IRDN24 index from last seven (7) days in case of BASE type contracts; b) as the arithmetic average of IRDN8.22 index from last five (5) working days in case of PEAK5 type contracts; Page 22 of 38

23 c) as the arithmetic average of IRDN24 index from last five (5) working days in case of BASE5 type contracts; d) as the arithmetic average of IRDN8.22 index from last seven (7) days in case of PEAK7 type contracts; e) as the weighed average from last seven (7) days (weights are numbers of hours, on the grounds of which the index for given day is determined), including: IRDN23.7 index (in case of working days) as well as IRDN24 index (in case of idle days) for OFFPEAK type contracts. 3.5th2nd For delivery periods being covered only by week contracts and being subject to the Exchange quotations the clearing price is calculated as average of the price of given week contract, corresponding to given delivery period, as well as the averages mentioned in item (sevenday average for BASE contracts, five-day average for BASE5 contracts, seven-day average for PEAK7 contracts, five-day average for PEAK5 contracts as well as seven-day average for OFFPEAK contracts). In case when the week contract price amounts to 0, the price for the closest week contract shall be used for calculation of the clearing price for given delivery period. In case when the price of all week contracts with closer delivery period amounts to 0, the clearing price for the delivery period shall be calculated as per item th3rd For the other delivery periods the clearing price is calculated as the weighted average of the clearing prices of the contracts being under the POLPX quotations, corresponding to given delivery period: Where: the clearing price for given week / month / quarter / year contract number of opened positions for week / month / quarter / tear contracts 3.5th4th In case when the price calculated according to the rule presented in items of the present regulations amounts to 0, the clearing price for the delivery period shall be equal to the price from the previous delivery period. 3.6th The clearing price for the i th delivery period of Gas is calculated according to the following algorithms: 3.6th1st For all delivery periods, which do not fall in line with any forward contract being under quotation as well as enabling entering into transactions on the next day, the clearing price is determined as the arithmetic average of POLPX gas index for last seven (7) days. 3.6th2nd In case when there is not possibility of determination of the clearing prices mentioned in item above the clearing price shall be equal to Page 23 of 38

24 the last price of the month contract, delivery of which has fallen in line with the delivery periods mentioned in item th3rd For the other delivery periods the clearing price is calculated as the weighted average of the clearing prices of the contracts being under the POLPX quotations, corresponding to given delivery period: Where: the clearing price for given week / month / quarter / year contract number of opened positions for week / month / quarter / tear contracts 3.6th4th In case when the price calculated according to the rule presented in items of the present regulations amounts to 0, the clearing price for the delivery period shall be equal to the price from the previous delivery period. 3.7th Determination of clearing prices for electricity or Gas delivery periods in particular conditions: 3.7th1st In the case, when the clearing price established by the Exchange deviates significantly from the price of the previous day as well as when such situation significantly affect the clearing price for the delivery periods, the House Management Board shall be entitled to make corrections (through relevant resolution) of the price adopted for determination of the clearing price on given day in such manner that the clearing price will correspond to market values or to adopt the price from the previous day. 3.7th2nd In the case, when the clearing price for the i th delivery period, determined pursuant to item 3.5 or 3.56 above deviates significantly from the market values the House Management Board shall be entitled to make corrections (through relevant resolution) of the clearing price. 3.8th The House Management Board shall be entitled to assign (through relevant resolution) individual factors of the electricity or Gas initial margin reduction for the Clearing Members of the House as well as for specified clients of the Clearing Members of the House, taking the risk generated by the Clearing Members of the House or its clients into consideration. The reduction factors may be different for long and short positions, which have been taken. The reduction factors shall modify the risk parameters used for calculation of the initial margins. 3.9th Monetary means being paid into the collateral margins are blocked in the House Clearing Members' accounts kept in the Clearing Bank. Updating of the blocked collateral margins amounts shall be sent to the Clearing Bank on each working day till 4:00, along with the Settlement Report, with the reservation for item Page 24 of 38

25 3.10th The Clearing Members of the House shall be obliged to manage liabilities resulting from the reckoned margins before start of quotations during the closest session under pain of refusal to admit to activities on the CFIM. 3.11th If the Clearing Member of the House does not have in its disposal means needed for managing of its liabilities, mentioned in item 3.10 above, it shall be obliged - according to the House's call - to reduce its positions on the CFIM down to the holding, in which the value of monetary- and non-monetary means, deposited by that Member, covers its liabilities. 3.12th If within the period of two (2) working days the Clearing Member of the House does not supplement the means, required for covering its liabilities or does not fall in line with the House's instructions, mentioned in item 3.11, the House's Management Board shall suspend (through appropriate Resolution) given Clearing Member of the House and shall implement procedures related to insolvency of given Member. 3.13th In case of Contracts being during the delivery period closing of the positions is made by opening of the positions opposite to the positions, which are taken in the instruments being quoted on the CFIM as well as on the DAM, IDM and DAMg market. The volume and the execution time for the new opened positions must be in line with the volume and the execution time of the positions being closed. 4. Breakdown of the CFIM forward instruments with physical delivery, the Gas is object of the trading of which: 4.1st Breakdown of year contract positions between the quarter contracts: During the process of current clearings, one day before execution of the year contract, the House conducts breakdown of positions of the year contract with the closest delivery period registered by the House into analogical number of positions in four closest contracts with quarter delivery period; thereby the positions of the broken down year contract shall be combined with the positions (registered previously by the House) of the quarter contracts with delivery periods falling in line with the year contract being subject to the breakdown. 4.2nd Breakdown of quarter contracts positions between the month contracts: During the process of current clearings, one day before execution of the quarter contract, the House conducts breakdown of positions of the quarter contract with the closest delivery period registered by the House into analogical number of positions in three closest contracts with month delivery period; thereby the positions of the broken down quarter contract shall be combined with the positions (registered previously by the House) of the month contracts with delivery periods falling in line with the quarter contract being subject to the breakdown. Page 25 of 38