How a power exchange can help integrate RES into the wholesale power market. Belpex Elia s ad hoc platform RES Rob Loos Brussels 6 March 2012

Transcription

1 How a power exchange can help integrate RES into the wholesale power market Belpex Elia s ad hoc platform RES Rob Loos Brussels 6 March 2012

2 Agenda Belpex Belpex in a nutshell Belpex markets - Day-ahead Market - Market coupling - Continuous Intraday Market Facts / Experience Products to better integrate RES Smarter bids Cosmix for intraday trading 2

3 Belpex in nutshell Shareholders structure Activities Market operator of power spot exchange for delivery and off-take in Belgium Market operator license obtained on 11/01/ : 14.8% of Belgian load Day-ahead and intraday markets 3

4 Belpex in nutshell Reliable price signal for the wholesale market Diversified international membership (37!) 2010: MWh a day (13,7 % of the BE load) 2011: MWh a day (14,8 %) Low price volatility International competitive price in 99.1% of the time PX Belpex DAM APX-ENDEX (NL) EPEX Spot (FR) EPEX Spot (DE/AT) Price 2009 ( /MWh) 39,36 39,16 43,01 38,85 Price 2010 ( /MWh) 46,30 45,38 47,50 44,49 Price 2011 ( /MWh) 49,37 52,03 48,89 51,12 Volume 2009 (TWh) 10,1 29,0 52,6 135,6 Volume 2010 (TWh) 11,8 33,5 52,6 205,5 Volume 2011 (TWh) 12,3 38,9 59,7 224, Participants (spot) 4

5 Belpex markets Nomination DAM Contracts towards TSO Nomination CIM Contracts towards TSO DAM auction H-5 minutes 14:00 14:00 12:00 Day Ahead Delivery Day D Day After Continous trading Day Ahead Market Segment («DAM») Continuous Intraday Market Segment («CIM») 5

6 Day-ahead Market Coupling in NWE Nordic Market splitting CWE/BritNed Price coupling Interim Tight Volume Coupling: ITVC Volume coupling 6

7 Intraday Market D-1 load/production forecast ID load 12:00 DAM 14:00 auction Day Ahead D-5min Delivery Day 14:00 Nomination DA Contracts towards TSO Day After 14:00 Nomination ID Contracts towards TSO Context Belpex DAM / OTC More intermittent production Long Term Contracts 00:00 12:00 More large end-users want to manage energy supply themselves 24:00 Market required for managing close to real time balances Surplus: Can be sold on ID market Shortage: Can be purchased on ID market Advantages for market Manage close to real time balances and avoid balancing charges Reduces market entry barrier / allow to trade with new entrants Create more transparency and price signals Trade away close to real time imbalances at a price you negotiate yourself! 7

8 Elbas: Intraday Market Coupling Currently Belpex CIM is coupled to APX Power NL ID market 14 March 2012: implicit coupling via NorNed cable with NPS Elbas region 8

9 Facts/Experience 37 participants 10 different countries Suppliers; traders; producers; integrated companies Small niche players as well as large utilities Average 33.8 GWh/day or 14,8 % Belgian load (2011) Prices published in 100% of cases since start market in Nov 2006 Market Coupling Fair and orderly market Robust prices, suited for the integration of RES 9

10 Belpex Participants Direct participants Since 20 Ezpada s.r.o 06/ Anode 10/ Deutsche Bank AG 07/ Shell 22 Endesa Trading 01/ Electrabel 23 Lampiris 03/ Morgan Stanley 24 RWE Supply & Trade CH 04/ CNR 25 Accord Energy 04/ EDF Trading 26 Danske Commodities 04/ EGL 27 Total Gas & Power 09/ SPE 9 Vattenfall Trading Services NL 28 GDF Suez Trading 10/ RWE Supply & Trade NL 29 Enel Trade 12/ RWE Supply & Trade 31 Iberdrola Generación 12/ Eneco 31 Scholt Energy Control België 12/ EON Energy Trading 32 J.P. Morgan Securities 12/ Alpiq 33 Groene Energie Administratie 07/ Statkraft Markets 34 Electrawinds Distributie NV 09/ Merrill Lynch Comm. Europe 12/ INEOS ChlorVinyls Belgium 09/ Delta Energy 01/ Mercuria Energy Trading 01/ Barclays Capital 02/ Trianel 01/ Vattenfall Trading Services GmbH 02/

11 Products to better integrate Renewable Energy Sources 11

12 Smarter orders on the DAM: COSMOS algorithm 12

13 DAM - Currently available Products currently available on the DAM Hourly limit orders - Acceptance is conditional to clearing price (Profile) block orders - Acceptance conditional to average clearing price over all hours in block order - Subject to all or nothing condition Q Hour Q 1 Hour 13

14 DAM Available end 2012 Products that will be implemented on the DAM in 2012 Linked block orders - The execution of (a set of) profile block(s) is subject to the execution of another block Q Q Block Order Hour Block Order Block Order 3 L o w p r ic e o r d e r Block Order Hour Block Order Block Order 3 Exclusive block orders - Within a set of (profile) blocks, at most one block can be accepted Me d iu m p r ic e o r d e r Hig h p r ic e o r d e r

15 DAM Other possible products Products that could be implemented on the DAM in the longer term Flexible orders - Orders for a single hour with a price limit and volume - Subject to all or nothing condition - The hour is not specified: the offer will be accepted in the hour that maximizes total welfare, given that the price is higher than the limit set in the offer Energy orders - Energy orders include an energy limit on the total of energy sold within the trading period, and optional hourly power limit, but without restrictions about the fact that the order must be executed in full and/or at one hour only. 15

16 DAM Other possible products Storage orders Tailor-made orders for energy storage devices (i.e. electrical cars, pumped-storage hydro dams, ): Inputs (for the case of pumped storage hydro): Quantity in reservoir at hour 0 (MWh) Inflows at each hour of the day Min and Max quantities in reservoir at end of each hour Powers of the turbine and pump (MW) Efficiency of cycle «Price of water» P Outputs: production/pumping schedule such that Water is released and power produced if price of water is smaller than market price. If forced to sell (e.g. because end-of-day limit), it is done during the most expensive hours. Water is pumped and power consumed if price of water is larger than market price. If forced this is done during the cheapest hours. Day/night arbitrage is done automatically (up to the limits of the reservoir) if profitable 16

17 Example : pure pumped-storage The full dispatch of the storage facility is automated; the operators are essentially left with the work of estimating the inflows and the «price of water»: the price at which they expect that they can sell the energy contained in the reservoir in the weeks/months ahead Stored Water Released Water Pumped Market Price /MWh MWh hour 17

18 Benefits of smart orders Smarter orders give more flexibility when introducing orders for the auction - More optimal results, better reflecting constraints in generation units, - Easier bidding, less operational work Result: better optimization of generation/consumption assets Better price formation More robust against uncertainties/errors in day-ahead price forecasts

19 Smarter Bids on the CIM: COSMIX algorithm 19

20 COSMIX in a nutshell In parallel to the COSMOS developments which relate to DAM, Belpex has conducted the COSMIX project - an R&D activity aiming to find the most efficient intraday market design. COSMIX is an algorithmic approach in the state of prototype, which overcomes the main concerns of currently existing Intraday platforms, and aims at reinforcing the liquidity of ID markets by facilitating the discovery of the most profitable deals pooling the liquidity of all market segments facilitating the bidding of physical assets It has been designed to be compatible with the European Target Model for Intraday, and is well-suited with all its possible variations (with or without OTC access, with or without capacity pricing, etc )

21 COSMIX in a nutshell COSMIX is an algorithmic approach to avoid segmentation of overlapping products and combine all orders into a single orderbook, with: An automatic matching engine that maximizes welfare and guarantees that no profitable deals remain unmatched In case price compatible orders exist, they are matched subject to capacity availability This may mean complex combinations of block and hourly orders in different markets and spanning over different periods An advanced display engine where the relevant information needed for efficient negotiations is displayed on the screen, in the most usable form Displays the best possible opposite prices of each order, i.e. the best price at which an order can be matched considering all other orders and all available capacity

22 COSMIX in a nutshell A smart orders query tool to help trader coping with technical and economical constraints (generation, process, ) with positive impact on liquidity Currently prototyped for thermal plants, but the concept is easily replicable for other types of production facilities Further, COSMIX guarantees in general that the capacity is allocated optimally (i.e. always to the bids with the highest willingness to pay). When relevant, several capacity pricing schemes can also complement the allocation principle and provide most adequate short term incentives.

23 Conclusion Belpex, as organized market place, offers reliable price signals that can already support the integration of RES into the wholesale market Day-ahead auction Continuous intraday market Newly developping RES will have to be integrated in the electricity market. Belpex is open to feedback from all market parties! Belpex can offer flexible products that could help doing that, e.g. to be used by green producers 23

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