26.1 Market risk

Market risk covers commodity risk, interest rate risk, currency risk.

The main objective of managing market risk at PGE Group is to retain a level of market risk resulting from trade and finance activities at an acceptable level and to support business strategy and maximisation of the Group’s value for shareholders.

The PGE Group’s procedures for managing specific market risk categories in trade and finance activities specify the following:

• objective, scope and rules for managing risk;
• scopes of responsibility for managing risk;
• management and operational processes within risk management in trade activities on electricity markets and electric product markets and as regards financing activities;
• methods for identifying sources of exposure to risk;
• methods for measuring and monitoring exposures to risk;

The PGE Group’s market risk management rules also specify the manner of defining risk appetite, limiting exposures to market risk based on Profit-at-Risk and Value-at-Risk and mechanisms for limiting exposure when limits are exceeded.