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

(1)

Datum / Date 25.11.2015

Ort / Place Leipzig

Dokumentversion / Document Release Version 3.10

(2)

1 Table of Contents

1 Table of Contents ... 2

2 Preliminary Remarks ... 3

3 Settlement Prices for Futures and Spot Instruments ... 4

3.1 Definition of Product-Specific Parameters ... 4

3.2 Calculation of Theoretical Settlement Prices ... 5

3.3 Compliance with the Principle of Freedom from Arbitrage in the Determination of Settlement Prices... 7

3.4 Calculation examples ... 9

4 Product-Specific Rules and Parameters for the Determination of Settlement Prices ... 13

4.1 Settlement of Phelix Futures ... 13

4.2 Settlement of Cap Futures ... 16

4.3 Settlement of French Power Futures ... 18

4.4 Settlement of Italian Power Futures ... 21

4.5 Settlement of Dutch Power Futures and Belgian Power Futures ... 23

4.6 Settlement of Swiss Power Futures ... 26

4.7 Settlement of Spanish Power Futures ... 28

4.8 Settlement of Nordic Power Futures ... 29

4.9 Settlement of UK Power Futures ... 31

4.10 Settlement of Futures and Spot Instruments on EU Emission Allowances and Certified Emission Reductions ... 33

4.11 Settlement of API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Future and API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal-Future ... 35

4.12 Settlement of Products for Trade Registration ... 37

4.13 Settlement of Products for Freight and Fertilizers ... 39

4.14 Settlement of Phelix, French, Italian, Spanish and Nordic Options ... 41

4.15 Settlement of Guarantees of Origin ... 44

(3)

2 Preliminary Remarks

On every exchange trading day, a settlement price is established for each individual product traded continuously or eligible for Trade Registration on the EEX Derivatives and Spot Markets. The settlement price is relevant for the execution of all clearing processes and, specifically, for the calculation of each trading participant’s Variation Margin. The settlement price is established on all exchange trading days. In this context, the order book situation during the settlement window, is decisive for pricing. If the settlement price cannot be established on this basis, the estimates by the trading participants’ chief traders or other external sources (e.g. Index provider) are used for pricing.

This approach is also used to calculate certain indices. The exact calculation rules for these indices are specified in separate index descriptions. In the case of Phelix Options and products approved for Trade Registration, a different approach is used.

This document outlines the procedure for the daily determination of the EEX Derivatives Markets settlement prices and for continuous trading on the EEX Spot Markets.

(4)

3 Settlement Prices for Futures and Spot

Instruments

3.1 Definition of Product-Specific Parameters

The order book situation is used as the basis for settlement pricing. Only trades and orders which fulfil product/contract-specific parameters are used for pricing. These parameters include:

 Beginning and duration of the settlement window

 Minimum number of contracts for the consideration of trades and best bid/best ask

 Minimum duration of the cumulated valid best bid/best ask during the settlement window

 Weighting between trades and mean values from average best bid/best ask

 Volume weighting of trades

 Time weighting of best bid/best ask

 Maximum settlement spread per contract for consideration for settlement

The settlement window is defined as the period of time during the trading phase, in which the trade and order book situation relevant for the settlement price determination is tracked.

The price range between buy and sell prices which is specified as a maximum value per contract is defined as the settlement spread. The respective settlement spread to be applied depends on the current market situation. This means that one settlement spread each is defined per contract, for the “normal”, “fast” and “extended fast” market situations.

The parameters described which are used for the determination of settlement prices are specified at the product level in section 4 “Product-Specific Rules and Parameters for the Determination of Settlement Prices”.

(5)

3.2 Calculation of Theoretical Settlement Prices

Firstly, the theoretical settlement prices are determined on the basis of defined calculation algorithms. In this context, the underlying method depends on the number of valid trades and orders which fulfil the product-specific preconditions (see 3.1 and 4). In principle, the price sources are trades, orders and fair values which have to be weighed in descending priority.

Registered trades, mistrades or trades cancelled ex officio are not considered. EEX reserves the right to exclude individual trades or orders from pricing if these are not in line with the actual situation on the market.

The following overview provides examples of possible scenarios and the calculation algorithms connected with these:

Order book situation Calculation algorithm

There was at least one trade. There were orders.

Theoretical settlement price =

0.75*AverageTradePrice + 0.25*AverageMid

There was at least one trade. There were no orders.

Theoretical settlement price = AverageTradePrice

There was no trade. There were orders.

Theoretical settlement price = AverageMid

There was no trade. There were no orders.

The theoretical settlement price is established based on data of external price sources or the chief trader procedure.

For some products (French Power), the theoretical settlement price is exclusively determined as the weighted average of the exchange prices traded during the settlement window, providing that a specified minimum number of trades has been concluded in a given contract during this period (see section 4).

The AverageTradePrice is established as the mean value of the exchange prices traded during the settlement price window.

The AverageMid is calculated as the mean value of the average best bid and the average best ask. The average best bid (the average best ask), is established as the average from all highest

(6)

buy orders (lowest sell orders) which lie within the limits of the current settlement spread during the time window for the individual contract during this period on the market.

If there are no trades and orders fulfilling the product-specific parameters, the EEX Management Board can determine the settlement price based on data of external prices sources or the “chief trader procedure”. Every trading participant can take part in the chief trader procedure through

representation by a licensed exchange trader (chief trader). The EEX Market Supervision Department provides a standardised form to all trading participants, who agree to provide a market price for the respective Derivatives Market contracts or Spot instruments. If required, EEX determines the settlement prices, by calculating the simple average from all estimates of the market prices received (indications). EEX reserves the right to remove indications which deviate considerably from the average in the calculation.

There is no orderbook trading in products for Trade registration. As a result, trades and orders cannot be determined. In this case, prices are established with the help of external prices sources or the chief trader procedure.

The calculation of prices for Phelix Options is based on the mathematical equation of the Black-76 model. The essential influencing parameters comprise the underlying futures price, the exercise price, the residual price, the short-term risk-free interest rate and the implied volatility of the underlying security. In this context, the implied volatility is established by EEX, based on external price sources or using the chief trader procedure and with the help of historic market prices. EEX reserves the right to adjust the theoretical settlement prices established in advance in order to ensure freedom from arbitrage (see 3.3).

In the case of Derivatives contracts without an Open Interest, EEX reserves the right to waive the determination of settlement prices. In this case, the minimum price is determined pro forma as the settlement price: For power futures it is EUR/GBP 0.01 per MWh; for emission certificates it is EUR 0.01 per tCO2; for options on power futures it is EUR 0.001 per MWh; for coal it is USD 0.01 per t; for coal futures quoted in EUR it is EUR 0.01 per tonne and for Guarantees of Origin it is EUR 0.001 per GoO.

The algorithms for the determination of settlement prices are specified at the product level in Section 4 “Product-Specific Rules and Parameters for the Determination of Settlement Prices ”.

(7)

3.3 Compliance with the Principle of Freedom from Arbitrage in the

Determination of Settlement Prices

If the settlement prices are determined in accordance with the order book situation, or based on external price sources or the chief trader procedure, “theoretical settlement prices” are established first. These are then adjusted as a next step to determine arbitrage-free settlement prices. These arbitrage-free prices are then determined as settlement prices.

In the case of derivatives contracts, the following scenarios are possible: - Arbitrage between quarter and year contracts

- Arbitrage between quarter and season contracts - Arbitrage between month and quarter contracts - Arbitrage between day and week contracts - Arbitrage between day and weekend contracts

These scenarios can also be fulfilled simultaneously, as the following example chart shows.

In this example, the principle of freedom from arbitrage is fulfilled under the following conditions:

Y15 = (Q115*hQ115 + Q215*hQ215 + Q315*hQ315 + Q415*hQ415) / (hQ115 + hQ215 + hQ315 + hQ415)

and

(8)

In the case of the season contracts in this example, the following conditions have to be fulfilled: Y15 = (Q115*hQ115 + SSummer15*hSSummer15 + Q415*hQ415) / (hQ115 + hSSummer15 + hQ415) and SWinter14/15 = (Q414*hQ414 + Q115*hQ115) / (hQ414 + hQ115) SSummer15 = (Q215*hQ215 + Q315*hQ315) / (hQ215 + hQ315) SWinter15/16 = (Q415*hQ415 + Q116*hQ116) / (hQ415 + hQ116) as well as Q215 = (M415*hM415 + M515*hM515 + M615*hM615) / (hM415 + hM515 + hM615) Legend:

Y = Theoretical settlement price of a year contract S = Theoretical settlement price of a season contract Q = Theoretical settlement price of a quarter contract M = Theoretical settlement price of a month contract h = Contract volume

Freedom from arbitrage is ensured if there is a difference of EUR/GBP 0.00 between the contracts with overlapping maturities after commercial rounding.

In this context, on principle, prices resulting from trades and/or orders are adjusted to a lower de-gree than prices established based on external price sources or the chief trader procedure.

(9)

3.4 Calculation examples

The determination of settlement prices are illustrated below on the basis of the example of an order book. The four possible scenarios (see section 3.2), are illustrated using the contracts F1BM AUG15, F1BM SEP15, F1BM OCT15 and F1BM NOV15.

a) Determination of the theoretical settlement price for the F1BM AUG15 contract

During the settlement window (in this case: 15:50 to 16:00), there is the following order book scenario in a “normal” market situation. There is a settlement spread of EUR 2.00.

Order book during the settlement window – F1BM AUG15

Time Best Bid Best Ask Spread

be-tween Best Bid / Best Ask Trade 15:50 15 MW € 51.50 10 MW € 52.00 € 0.50 15:51 3 MW € 51.50 15:51 12 MW € 51.75 10 MW € 52.00 € 0.25 15:53 10 MW € 52.00 15:53 20 MW € 51.75 15:58 20 MW € 51.75 15:58 12 MW € 51.50 10 MW € 53.75 € 2.25

Initially, the best bid and/or best ask and the prices traded which do not fulfil the requirements for the determination of settlement prices have to be eliminated from the calculation. In this example, these cases are shown with a grey background. In the first case, the trade does not fulfil the minimum number of contracts of 5 MW. In the second case, there is no best ask, as a result of which, the best bid cannot be included in the pricing. In the third case, the spread between the opposite best bid and best ask, exceeds the settlement spread of EUR 2.00.

The theoretical settlement price is established on the basis of the remaining best bid/best ask and the prices traded. Since both trades and orders have to be taken into account, the prices are established in accordance with the following equation:

Theoretical settlement price = 0.75*AverageTradePrice + 0.25*AverageMid. It amounts to EUR 51.86.

(10)

Determination of the settlement price for F1BM AUG15

Calculation Result Weighting

Traded prices =(52+51.75)/2 51.88 75%

Average best bid =(51.5+51.75)/2 51.63

Average best ask =(52+52)/2 52.00

=(51.63+52)/2 51.81 25%

Theoretical Settlement price =(51.88*0.75)+(51.81*0.25) 51.86

b) Determination of the theoretical settlement price for the F1BM SEP15 contract

During the settlement window, there is the following order book situation during a “normal” market situation. A settlement spread of EUR 2.00 applies.

Order book during the settlement window - F1BM SEP15

Time Best bid Best ask Spread

be-tween best bid / best ask Trade 15:50 15 MW € 51.50 10 MW € 52.00 € 0.50 15:50 3 MW € 51.50 15:51 12 MW € 51.50 10 MW € 52.00 € 0.50 15:53 10 MW € 52.00

Initially, the best bid and/or best ask and the prices traded which do not fulfil the requirements for the determination of settlement prices again have to be eliminated from the calculation. In this example, these cases are shown with a grey background. The trade does not fulfil the minimum number of contracts of 5 MW. The cumulated best bid/best ask do not fulfil the minimum duration of 3 minutes and, as a result, they also have to be eliminated. As only one trade has to be taken into account, the price is established in accordance with the following equation:

Theoretical settlement price = AverageTradePrice. This amounts to EUR 52.00.

Determination of the settlement price for F1BM SEP15

Traded prices 52.00 100%

(11)

c) Determination of the theoretical settlement price for the F1BM OCT15 contract

During the settlement window, there is the following order book situation during a “normal” market situation. A settlement spread of EUR 2.00 applies.

Order book during the settlement window - F1BM OCT15

be-tween best bid / best ask Trade 15:50 15 MW € 51.50 10 MW € 52.00 € 0.50 15:53 3 MW € 51.50 15:55 12 MW € 51.75 10 MW € 52.10 € 0.35

Again, the best bid and/or best ask (and the prices traded, which do not fulfil the requirements for the determination of settlement prices), have to be eliminated from the calculation (shown with a grey background). In this case, the trade does not fulfil the minimum number of contracts traded of 5 MW. The available best bid/best ask fulfil the preconditions, as a result of which, the theoretical settlement price is determined as follows:

Theoretical settlement price = AverageMid. This is EUR 51.84.

Determination of the settlement price for the F1BM OCT15

Average Best Bid =(51.5+51.75)/2 51.63

Average Best Ask =(52+52.1)/2 52.05

=(51.63+52.05)/2 51.84 100%

(12)

d) Determination of the theoretical settlement price for the F1BM NOV15 contract

During the settlement window, there is the following order book scenario during a “normal” market situation. A settlement spread of EUR 2.00 applies.

Order book in the settlement window - F1BM NOV15

be-tween best bid / best ask Trade 15:50 2 MW € 50.00 3 MW € 51.25 € 1.25 15:58 2 MW € 50.00 15:58 3 MW € 51.25

In this case, pricing on the basis of the order book is not possible, as there are no best bid/best ask or prices traded which fulfil the requirements described above. In addition no external price sources are available. As described in section 3.2, the theoretical settlement price is determined on the basis of the chief trader procedure.

The following fair values were reported:

Participant Fair Value

Participant 1 € 49.00 Participant 2 € 50.00 Participant 3 € 49.50 Participant 4 € 50.50 Participant 5 € 51.00

The arithmetic mean is determined from the fair values. As a result, the theoretical settlement price for the F1BM NOV15 contract is EUR 50.

Determination of the settlement price for F1BM NOV15

Fair Values =(49+50+49.5+50.5+51)/5 50.00 100%

(13)

4 Product-Specific Rules and Parameters for the

Determination of Settlement Prices

4.1 Settlement of Phelix Futures

Important aspects Specification

Valid for products with product abbreviation

Phelix Futures:

FB01 - FB34: Phelix Day Base Futures

FWB1 - FWB5: Phelix Base Weekend Futures F1B1 - F1B5: Phelix Base Week Futures F1BM: Phelix Base Month Future

F1BQ: Phelix Base Quarter Future F1BY: Phelix Base Year Future

FP01 - FP34: Phelix Day Peak Futures

FWP1 - FWP5: Phelix Peak Weekend Futures F1P1 - F1P5: Phelix Peak Week Futures F1PM: Phelix Peak Month Future

F1PQ: Phelix Peak Quarter Future F1PY: Phelix Peak Year Future F1OM: Phelix Off-Peak Month Future F1OQ: Phelix Off-Peak Quarter Future F1OY: Phelix Off-Peak Year Future Settlement window 15:50 – 16:00

Algorithm for the determination of the theoretical settlement price

EEX differentiates between various situations during the settle-ment window. In this context, the following definitions apply:

AverageTradePrice = Arithmetic mean of the prices traded

Average Mid = Mean value of the average best bid/best ask a) There was at least one trade with the minimum number of

contracts. Furthermore, there were orders which fulfil the re-quirements as outlined below:

(14)

b) There was at least one trade with the minimum number of contracts. Furthermore, there were no orders which fulfilled the requirements as specified below.

c) There was no trade with the minimum number of contracts. There were however orders which fulfilled the requirements as specified below.

d) There was no trade with the minimum number of contracts. However, there were no orders which fulfilled the require-ments as specified below.

The theoretical settlement price is determined using external price sources or the chief trader procedure.

The settlement prices (P) of the Phelix Off-Peak Futures result from the arbitrage-free, calculated settlement prices of the Phe-lix Base and PhePhe-lix Peak Futures. In this case, the PhePhe-lix Off-Peak Futures are based on the following algorithm:

POff-Peak = (PBase*hBase-PPeak*hPeak)/hOff-Peak Volume weighting of trades No

Time weighting of best bid / best ask

No

Minimum number of contracts traded

All contracts except F1BY/F1PY: 5 contracts = 5 MW F1BY/F1PY: 3 contracts = 3 MW

Minimum number of contracts per order

All contracts except F1BY/F1PY: 5 contracts = 5 MW F1BY/F1PY: 3 contracts = 3 MW

Settlement spread for the con-sideration of best bid / best ask

These are specified at the contract level in a separate annex to this contract.

Minimum duration of the cumu-lated valid best bid/best ask during the settlement window

3 min = 180 sec

Other notes The settlement price of the front month is calculated as an aver-age of the settlement prices or final settlement prices of the re-spective week futures.

The final settlement price for the current delivery week and/or the current delivery month in Phelix Futures is established as the mean value of the underlying Spot Market Index for the re-spective week and/or the rere-spective month.

(15)

The final settlement price of a day future corresponds to the re-spective average of the hourly price, calculated by EPEX SPOT in the daily auction. This settlement price might be negative. The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative.

For all other contracts, that are not final settled and the theoreti-cal settlement price is negative, the minimum final settlement prices is 0.01 EUR/MWh.

(16)

4.2 Settlement of Cap Futures

German Intraday Cap Week Futures:

C1B1 - C1B5: German Intraday Cap Week Futures Settlement window 15:50 – 16:00

Volume weighting of trades No Time weighting of best bid / best ask

No

5 contracts = 5 MW

(17)

3 min = 180 sec

Other notes The final settlement price for the current delivery week in Ger-man Intraday Cap Futures is established as the mean value of the differences of the Intraday Price Indices (ID3-Price) deter-mined on the Intraday continuous market by EPEX SPOT and the Cap that has been stipulated by the Management Board of the Exchange prior to the introduction of the respective Future.

(18)

4.3 Settlement of French Power Futures

Valid for products with the product abbreviation

Financial French Power Futures:

F701 - F734: French Power Base Day Futures

F7W1 - F7W5: French Power Base Weekend Futures F7B1 - F7B5: French Power Base Week Futures F7BM: French Power Base Month Future

F7BQ: French Power Base Quarter Future F7BY: French Power Base Year Future

F7P1 - F7P5: French Power Peak Week Futures F7PM: French Peak Power Month Future

F7PQ: French Peak Power Quarter Future F7PY: French Peak Power Year Future

Physical French Power Futures:

F2B1 - F2B5: French Power Base Week Futures F2BM: French Baseload Month Future

F2BQ: French Power Baseload Quarter Future F2BY: French Power Baseload Year Future F2P1 - F2P5: French Power Peak Week Futures F2PM: French Power Peakload Month Future F2PQ: French Power Peakload Quarter Future F2PY: French Power Peakload Year Future Settlement window 15:50 – 16:00

Algorithm for the determina-tion of the theoretical set-tlement price

EEX differentiates between various situations during the settlement window. In this context, the following definitions apply:

α = volume of the trade / Minimum number of contracts traded for this product

TradePrice = Traded price of the trade

WeightedAverageTradePrice = Volume-weighted average value of the trade

(19)

WeightedAverage Mid = Time-weighted mean value of the average best bid/best ask

a) There were two or more trades with the minimum number of con-tracts:

Theoretical settlement price = WeightedAverageTradePrice b) There was one trade with the minimum number of contracts.

Fur-thermore, there were orders which fulfilled the requirements specified below.

((3α -1)/3α *TradePrice + 1/3α*Average Mid) Example:

If α = 1, the coefficients are 2/3 and 1/3. If α = 2, the coefficients are 5/6 and 1/6.

c) There was one trade with the minimum number of contracts. Apart from this, there were no orders which fulfilled the require-ments specified below.

Theoretical settlement price = TradePrice

d) There was no trade with the minimum number of contracts. However, there were orders which fulfilled the requirements as specified below.

Theoretical settlement price = WeightedAverageMid

e) There was no trade with the minimum number of contracts. There was no order which fulfilled the requirements specified below. The theoretical settlement price is specified based on data of ex-ternal price sources or the chief trader procedure.

Volume weighting of trades Yes Time weighting of best bid/best ask

Yes

Minimum number of con-tracts traded

All contracts except F7BY/F7PY/F2BY/F2PY: 5 contracts = 5 MW F7BY/F7PY/F2BY/F2PY: 3 contracts = 3 MW

Minimum number of con-tracts per order

All contracts except F7BY/F7PY/F2BY/F2PY: 5 contracts = 5 MW F7BY/F7PY/F2BY/F2PY: 3 contracts = 3 MW

Settlement spread for the consideration of best bid/best ask

This is specified in a separate annex to this document at the con-tract level.

(20)

Minimum duration of the cumulated best bid/best ask during the settlement win-dow

3 Min = 180 sec.

Other notes Financial French Power Futures:

The settlement price of the front month is calculated as an average of the settlement prices or final settlement prices of the respective week futures.

The final settlement price for the current delivery week and/or the current delivery month in Financial French Power Futures is estab-lished as the mean value of the underlying Spot Market Index for the respective week and/or the respective month.

The final settlement price of a day future corresponds to the respec-tive average of the hourly price, calculated by EPEX SPOT in the daily auction. This settlement price might be negative.

The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This set-tlement prices might be negative.

For all other contracts, that are not final settled and the theoretical settlement price is negative, the minimum final settlement prices is 0.01 EUR/MWh.

Physical French Power Futures:

The settlement prices of the physical French Power Futures are equal the equivalent financial French Power Futures.

The “Balance of the Month” is established for the respective current month before the beginning of delivery, as the final settlement price. This remains unchanged throughout the entire delivery month (con-cerns the first maturity of the F2BM or F2PM product).

(21)

4.4 Settlement of Italian Power Futures

Italian Power Futures:

FD01 - FD34: Italian Power Base Day Futures

FDW1 - FDW5: Italian Power Base Weekend Futures FDB1 - FDB5: Italian Power Base Week Futures FDBM: Italian Power Base Month Future

FDBQ: Italian Power Base Quarter Future FDBY: Italian Power Base Year Future

FDP1 - F1P5: Italian Power Peak Week Futures FDPM: Italian Power Peak Month Future

FDPQ: Italian Power Peak Quarter Future FDPY: Italian Power Peak Year Future Settlement window 15:50 – 16:00

(22)

there were no orders which fulfilled the requirements as specified below.

No

All contracts except FDBY/FDPY: 5 contracts = 5 MW FDBY/FDPY: 3 contracts = 3 MW

3 min = 180 sec

The final settlement price for the current delivery week and/or the current delivery month in Italian Power Futures is estab-lished as the mean value of the underlying Spot Market Index for the respective week and/or the respective month.

The final settlement price of a day future corresponds to the re-spective “PUN Index GME” as determined by Gestore dei Mer-cati Energetici (GME). This settlement price might be negative. The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative.

For all other contracts, that are not final settled and the theoreti-cal settlement price is negative, the minimum final settlement prices is 0.01 EUR/MWh.

(23)

4.5 Settlement of Dutch Power Futures and Belgian Power Futures

Financial Dutch Power Futures:

Q0BM: Dutch Power Base Month Future Q0BQ: Dutch Power Base Quarter Future Q0BY: Dutch Power Base Year Future Q0PM: Dutch Power Peak Month Future Q0PQ: Dutch Power Peak Quarter Future Q0PY: Dutch Power Peak Year Future

Financial Belgian Power Futures:

Q1BM: Belgian Power Base Month Future Q1BQ: Belgian Power Base Quarter Future Q1BY: Belgian Power Base Year Future

Physical Dutch Power Futures:

QDBM: Dutch Power Baseload Month Future QDBQ: Dutch Power Baseload Quarter Future QDBY: Dutch Power Baseload Year Future QDPM: Dutch Power Peakload Month Future QDPQ: Dutch Power Peakload Quarter Future QDPY: Dutch Power Peakload Year Future

Physical Belgian Power Futures:

QBBM: Belgian Power Baseload Month Future QBBQ: Belgian Power Baseload Quarter Future QBBY: Belgian Power Baseload Year Future Settlement window 15:45 – 16:00

(24)

a) There was at least one trade with the minimum number of contracts. Furthermore, there were orders which fulfil the re-quirements as outlined below:

d) There was no trade with the minimum number of contracts. There were no orders which fulfilled the requirements as specified below.

The theoretical settlement price is determined based on ex-ternal price sources or the chief trader procedure.

No

All contracts except Q0BY/Q0PY/Q1BY: 5 contracts = 5 MW Q0BY/Q0PY/Q1BY: 3 contracts = 3 MW

3 min = 180 sec

Other notes Financial Dutch and Belgian Power Futures:

The final settlement price for the current delivery month in Fi-nancial Dutch and Belgian Power Futures are established as the mean value of the underlying Spot Market Index “APX NL Base” or “APX NL Peak” as determined by APX Power BV for the re-spective month.

(25)

Physical Dutch and Belgian Power Futures:

The settlement prices of the physical Dutch and Belgian Power Futures are equal to the equivalent financial Dutch and Belgian Power Futures

The “Balance of the Month” is established for the respective cur-rent month before the beginning of delivery, as the final settle-ment price. This remains unchanged throughout the entire de-livery month.

(26)

4.6 Settlement of Swiss Power Futures

Swiss Power Futures:

FCBM: Swiss Power Base Month Futures FCBQ: Swiss Power Base Quarter Futures FCBY: Swiss Power Base Year Futures

Settlement window 15:50 – 16:00 Algorithm for the determination

of the theoretical settlement price

No

(27)

traded

FCBY: 3 contracts = 3 MW Minimum number of contracts

per order

All contracts except FCBY: 5 contracts = 5 MW FCBY: 3 contracts = 3 MW

3 min = 180 sec

Other notes The final settlement price for the current delivery month in Swiss Power Futures is established as the mean value of the underly-ing Spot Market Index at EPEX Spot for the respective month.

(28)

4.7 Settlement of Spanish Power Futures

Spanish Power Futures:

FE01 – FE34: Spanish Power Day Futures

FEW1 – FEW5: Spanish Power Weekend Futures FEB1 – FEB5: Spanish Power Week-Futures FEBM: Spanish Power Month-Futures

FEBQ: Spanish Power Quarter-Futures FEBY: Spanish Power Year-Futures Settlement window -

EEX and OMIP (Operador do Mercado Ibérico de Energia) have both listed the above named products on each exchange (cross listing). Hence, EEX will use the published settlement prices by OMIP in order to determine the daily settlement prices for the products listed at EEX.

Volume weighting of trades - Time weighting of best bid/best ask

-

Settlement spread for the con-sideration of best bid/best ask

-

Minimum duration of the cu-mulated valid best bid/best ask during the settlement window

-

Other notes Corresponding final settlement prices = see Contract Specifica-tions for Spanish Power Futures.

(29)

4.8 Settlement of Nordic Power Futures

Nordic Power Futures:

FBBM: Nordic Power Base Month Future FBBQ: Nordic Power Base Quarter Future FBBY: Nordic Power Base Year Future

d) There was no trade with the minimum number of contracts; However, there were no orders which fulfilled the require-ments as specified below.

No

(30)

traded

FBBY: 3 contracts = 3 MW Minimum number of contracts

per order

All contracts except FBBY: 5 contracts = 5 MW FBBY: 3 contracts = 3 MW

3 min = 180 sec

Other notes The final settlement price for the current delivery month in Nor-dic Power Futures corresponds to the respective NorNor-dic Elspot System Price as determined by Nord Pool Spot.

(31)

4.9 Settlement of UK Power Futures

UK Power Futures:

FU01 - FU34: UK Base Day Futures

FUW1 - FUW5: UK Base Weekend Futures FUB1 - FUB5: UK Base Week Futures FUBM: UK Base Month Future

FUBQ: UK Base Quarter Future FUBS: UK Base Season Future FUBY: UK Base Year Future

FUP1 - FUP5: UK Peak Week Futures FUPM: UK Peak Month Future

FUPQ: UK Peak Quarter Future FUPS: UK Peak Season Future FUPY: Phelix Peak Year Future Settlement window 15:50 – 16:00

(32)

No

All contracts except FUBY/FUPY: 5 contracts = 5 MW FUBY/FUPY: 3 contracts = 3 MW

3 min = 180 sec

The final settlement price for the current delivery week and/or the current delivery month in UK Power Futures is established as the mean value of the underlying Spot Market Index for the respective week and/or the respective month.

The final settlement price of a day future corresponds to the re-spective “APX Power UK Auction Base” or “APX Power UK Auc-tion Peak” Index as determined by APX Commodities Ltd.. This settlement price might be negative.

The final settlement price of a Weekend Future corresponds to the respective average of the two corresponding day futures. This settlement prices might be negative.

For all other contracts, that are not final settled and the theoreti-cal settlement price is negative, the minimum final settlement prices is 0.01 GBP/MWh.

(33)

4.10 Settlement of Futures and Spot Instruments on EU Emission

Allowances and Certified Emission Reductions

European-Carbon-Futures: FEUA EUAA-Futures: FEAA

CER-Futures: F2CR

Spot: Green CER, EUA, EUAA Settlement window 17:50 – 18:00

Algorithm for the determi-nation of the theoretical settlement price

TradePrice = trade price of the trade

AverageTradePrice = arithmetic mean of the prices traded

Average Mid = average value of the average best bid/best ask a) There was at least one trade with the minimum number of

con-tracts. Furthermore, there were orders which fulfilled the require-ments specified below.

b) There was one trade with the minimum number of contracts. Apart from this, there were no orders which fulfilled the requirements specified below.

c) There was no trade with the minimum number of contracts. How-ever, there were orders which fulfilled the requirements specified below.

d) There was no trade with the minimum number of contracts and there were no orders which fulfilled the requirement specified be-low.

Volume weighting of trades

(34)

Time weighting of best bid/best ask

No

3 contracts = 3.000 t CO2 equivalent

This is specified in a separate annex to this document at the contract level.

Minimum duration of the cumulated valid best bid/best ask during the settlement window

3 Min = 180 sec.

(35)

4.11 Settlement of API-2-CIF-ARA-(Argus-IHS

McCloskey)-Coal-Future

and API-4-FOB-Richards-Bay-(Argus-IHS

McCloskey)-Coal-Future

API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Future (USD)*:

FT2M: API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Month Fu-ture

FT2Q: API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Quarter- Future

FT2Y: API-2-CIF-ARA-(Argus-IHS McCloskey)-Coal-Year- Future API-4-FOB-Richard-Bay-(Argus-IHS McCloskey)-Coal- Future (USD)*: FT4M: API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal- Month-Future FT4Q: API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal- Quarter-Future

FT4Y: API-4-FOB-Richards-Bay-(Argus-IHS McCloskey)-Coal- Year-Future

AverageTradePrice = Arithmetic mean of the traded prices

Average Mid = Mean value of average best bid/best ask

a) There was, at least, one trade with the minimum number of contracts. Furthermore, there were orders which fulfilled the requirements specified below.

b) There was one trade with the minimum number of contracts Apart from this, there were no orders which fulfilled the re-quirements specified below.

c) There was no trade with the minimum number of contracts. However, there were orders which fulfilled the requirements specified below.

(36)

d) There was no trade with the minimum number of contracts and there were no orders which fulfilled the requirement spec-ified below.

Volume weighting of trades No Time weighting of best bid/best ask

No

5 contracts = 5,000 t

3 min. = 180 sec.

Other notes The corresponding monthly index, as published in the Argus Coal Price Index Report on the last Friday of every month, constitutes the final settlement price.



API 2 and API 4 are trade marks and are used under licence from Argus Media Limited and IHS Global Limited. All copyrights and da-tabase rights in the API 2 and API 4 index belong exclusively to Argus Media Limited and IHS Global Limited and are used herein under licence. EEX is solely responsible for the operation of markets in API 2 CIF ARA (Argus-IHS McCloskey) EURO Coal and API 4 FOB Richards Bay (Argus-IHS McCloskey) EURO Coal. Argus and IHS take no position on the purchase or sale of such Products and ex-clude all liability in relation thereto.

(37)

4.12 Settlement of Products for Trade Registration

Romanian-Base-Futures:

FHBM: Romanian-Base-Month-Future FHBQ: Romanian-Base-Quarter-Future FHBY: Romanian-Base-Year-Future

Euro listed Coal API 2 ARA Future:

FE2M: Euro API 2 ARA Month Future FE2Q: Euro API 2 ARA Quarter Future FE2Y: Euro API 2 ARA Year Future

Euro listed Coal API 4 Richards Bay Futures*:

FE4M: Euro API 4 Richards Bay Coal Month Future FE4Q: Euro API 4 Richards Bay Coal Quarter-Future FE4Y: Euro API 4 Richards Bay Coal Year Future

Greek Power Futures:

FFBM: Greek Base Month Futures FFBQ: Greek Base Quarter Futures FFBY: Greek Base Year Futures Settlement window -

The theoretical settlement price is established using the chief trader procedure, calculated from the underlying securities or tak-en from other suitable sources. Further details are explained in the Contract Specifications for Trade Registration.

The Euro-Coal-Futures settlement prices are established from the settlement prices of the respective Coal-ARA and Coal-RB Fu-tures after conversion into Euros. The relevant exchange rates are provided by Thomson Reuters.



API 2 and API 4 are trademarks and are used under licence from Argus Media Limited and IHS Global Limited. All copyrights and da-tabase rights in the API 2 and API 4index belong exclusively to Argus Media Limited and IHS Global Limited and are used herein under licence. EEX is solely responsible for the operation of markets in API 2 ARA Coal Futures and API 4 Richards Bay Coal Futures. Argus and IHS take no position on the purchase or sale of such products and exclude all liability in relation thereto.

(38)

-

Other notes Corresponding final settlement prices = see Contract Specifica-tions for Trade Registration

(39)

4.13 Settlement of Products for Freight and Fertilizers

Dry Bulk Freight:

CTCM: Capesize TC4 Freight Future CPTM: Capesize TC5 Freight Future PTCM: Panamax TC Freight Future STCM: Supramax TC Freight Future HTCM: Handysize TC Freight Future C3EM: C3 Capesize Freight Future C4EM: C4 Capesize Freight Future C5EM: C5 Capesize Freight Future C7EM: C7 Capesize Freight Future

P1AM: P1A Panamax Transatlantic Freight Future P2AM: P2A Panamax Far East Freight Future P3AM: P3A Panamax Pacific Freight Future

Fertilizer1:

URNM: Urea (Granular) fob NOLA Future (The Fertilizer Index) DANM: DAP fob NOLA Future (The Fertilizer Index)

UANM: UAN fob NOLA Future (The Fertilizer Index)

URYM: Urea (Prilled) fob Yuzhnyy Future (The Fertilizer Index) UREM: Urea (Granular) fob Egypt Future (The Fertilizer Index) DATM: DAP fob Tampa Future (The Fertilizer Index)

Settlement window - Algorithm for the determination of the theoretical settlement price

EEX and Cleartrade (CLTX) have both listed the above named products on each exchange (cross listing). Cleartrade will be re-sponsible for the determination of the daily settlement prices

1

ARGUS, the ARGUS Logo, FERTECON, the FERTECON Logo, CRU, the CRU Logo, are trade marks of Argus Media Limited, Fer-tecon Limited, and CRU International Limited, respectively, and are used under licence. All trade mark rights, copyrights and database rights in The Fertilizer Index report and The Fertilizer Index belong exclusively to Argus Media Limited, Fertecon Limited, and CRU In-ternational Limited, and are used under licence. EEX and ECC are solely responsible for the EEX Urea (Granular) fob NOLA Future, EEX Urea (Granular) fob Egypt Future, EEX Urea (Prilled) fob Yuzhnyy Future, EEX DAP fob NOLA Future, EEX DAP fob Tampa Fu-ture and EEX UAN fob NOLA FuFu-ture. Neither Argus, Fertecon or CRU takes any position on the purchase or sale of these fuFu-tures con-tracts and excludes all liability in relation thereto.

(40)

cording to their settlement price determination procedure for the products listed at EEX.

-

Other notes Corresponding final settlement prices = see Contract Specifica-tions for Freight and Fertiliser Futures.

(41)

4.14 Settlement of Phelix, French, Italian, Spanish and Nordic

Op-tions

Valid for products with the product abbreviation Phelix-Base-Options: O1BM: Phelix-Base-Month-Option O1BQ: Phelix-Base-Quarter-Option O1BY: Phelix-Base-Year-Option French-Base-Options: O7BM: French-Base-Month-Option O7BQ: French-Base-Quarter-Option O7BY: French-Base-Year-Option Italian-Base-Options: ODBM: Italian-Base-Month-Option ODBQ: Italian-Base-Quarter-Option ODBY: Italian-Base-Year-Option Spanish-Base-Options: OEBM: Spanish-Base-Month-Option OEBQ: Spanish-Base-Quarter-Option OEBY: Spanish-Base-Year-Option Nordic-Base-Options: OBBM: Nordic-Base-Month-Option OBBQ: Nordic-Base-Quarter-Option OBBY: Nordic-Base-Year-Option Settlement window -

The option premium is calculated according to the Black-76 mod-el.

Subject to the assumption of the standardised normal distribution, the theoretical option prices are established in accordance with the following equation:

(42)

with

c = price of the call option p = price of the put option

F = current futures price (of the underlying security), here: settlement price

X = exercise price

T = remaining term of the option

r = short-term, risk-free interest rate, (from Reuters). This is the interbank interest rate, at which banks of good credit standing lend each other money.

N (x) = cumulative standardised normal distribution at point x, i.e. N (x) indicates the likelihood for a variable to be subject to a standard normal distribution of being smaller than x or equal x. ln ( ) = natural logarithm

 = expected annual volatility of the futures price (of the un-derlying security)

Except for the volatility, the input parameters are known and can be retrieved from various databases.

In this context, the implied volatility is established by EEX based on external price sources or the chief trader procedure and on the basis of historical market prices.

-

(43)

-

Other notes The exchange establishes the intraday market value for the un-derlying security (Intraday Fixing price) as of 14:00 on the last day of trading.

(44)

4.15 Settlement of Guarantees of Origin

FECA: GoO on Alpine Hydro Power FECN: GoO on Nordic Hydro Power

FECW: GoO on Northern Continental Europe Wind Power Settlement window 13:00 – 16:00 (on trading days)

Algorithm for the determi-nation of the theoretical settlement price

con-tracts. Furthermore, there were orders which fulfilled the require-ments specified below.

b) There was one trade with the minimum number of contracts. Apart from this, there were no orders which fulfilled the requirements specified below.

c) There was no trade with the minimum number of contracts. How-ever, there were orders which fulfilled the requirements specified below.

d) There was no trade with the minimum number of contracts and there were no orders which fulfilled the requirement specified be-low.

The theoretical settlement price is determined based on external price sources or the chief trader procedure.

Volume weighting of trades

No

Time weighting of best bid/best ask

(45)

2 contracts = 2,000 GoOs

This is specified in a separate annex to this document at the contract level.

Minimum duration of the cumulated valid best bid/best ask during the settlement window

3 Min = 180 sec.

(46)

4.16 Settlement of Agricultural Commodities

Dairy Futures:

FABT: Butter Month Future

FASM: Skimmed Milk Powder Future FAWH: Whey Powder Future

Livestock and Potato Futures:

FAPP: Processing Potato Future FAPG: Piglet Future

FAHG: Hog Future Settlement window Dairy Futures:

08:55 am – 18:00 pm CET

10:00 am – 16:00 pm CET Algorithm for the determination

contracts. Furthermore, there were orders which fulfilled the requirements specified below.

b) There was at least one trade with the minimum number of contracts. Apart from this, there were no orders which fulfilled the requirements specified below.

c) There was no trade with the minimum number of contracts. However, there were orders which fulfilled the requirements

(47)

specified below.

d) There was no trade with the minimum number of contracts and there were no orders which fulfilled the requirement spec-ified below.

The theoretical settlement price is determined based on the previous settlement price or in case a publication of the un-derlying index took place, this index price will become the set-tlement price for the respective contract.

Volume weighting of trades No Time weighting of best bid/best ask

No

Dairy Futures:

1 Contract = 5 metric tons

FAPP: 1 Contract = 250 quintals (25 metric tons) FAPG: 1 Contract = 100 piglets

FAHG: 1 Contract = 8.000 kg Minimum number of contracts

per order

Dairy Futures:

1 Contract = 5 metric tons

FAPP: 1 Contract = 250 quintals (25 metric tons) FAPG: 1 Contract = 100 piglets

FAHG: 1 Contract = 8.000 kg Settlement spread for the

con-sideration of best bid/best ask

5 min = 300 sec.