Trading at Power Exchange - IEX

Transcription

1 Trading at Power Exchange - IEX February 2016 Prasanna Rao Market Operations

2 In this presentation Product Portfolio Trading Mechanism & Process Flow- Day-Ahead Market Trading Mechanism-Term-Ahead Market Trading Mechanism-REC Market Risk Management

3 Intra Day REC Product Portfolio

4 IEX Market Segments Delivery-based Contracts E L E C T R I C I T Y Day-Ahead Market since June,08 Term-Ahead Market since Sep,09 Extended Markets introduced 20 th July 15 Closed, Double-sided Auction am bidding Each 15-min block, 0.1 MW min NOC required Day-Ahead Contingency Another window for Day-Ahead. Extended Market: Trading window increased to Hours Intra-Day -Extended Market: Trading window increased to Hrs for same day delivery, with delivery starting at 0400 Hours Daily- for rolling seven days (delivery starting after 4 days) Weekly- for 1 week (Monday-Sunday) C E R T S Renewable Energy Certificates since Feb,11 Next Energy Saving Certificates Green Attributes as Certificates Sellers : RE generators not under feed in tariffs Buyers: Obligated entities 1MWh equivalent to 1 REC Auction Continuous

5 BID MATCHING Open/Closed Auction Continuous Trading Orders accumulated during call phase (no matching) Orders matched after call period Orders are used for calculation common price i.e. Equilibrium Price. All successful orders matched at Equilibrium Price. Price-time priority based continuous matching The highest Buy order & lowest Sell order gets the priority If the prices are same then priority is given to the time of the order received.

6 Product Segments Day Ahead Market (DAM) Trade for the following day Contracts for every 15 min, closed auction Term Ahead Market (TAM) From 3 Hrs ahead to 11 days in advance 4 types of contracts Intraday Day Ahead Contingency Daily Weekly Renewable Energy Certificates (RECs) Trade green attributes of electricity 1 REC = 1 MWh of green energy

7 T = Trade, D = Delivery Contract Characteristics TERM AHEAD MARKET Contract Characteristic Day Ahead Market Intraday Contracts Day Ahead Contingency Daily Contracts Weekly Contracts Delivery Next day Hrs same day For next day From 4 th day to next 7 days For next week Auction Type Closed Auction Continuous trading Continuous trading Continuous trading Open Auction Contracts 15 min Hourly Hourly Block of Hours (Fixed) Block of Hours (Fixed) Trade Availability All Days All days All Days; All Days; Wed & Thurs; Financial Settlement Pay-In- D-1; Pay Out D+1 Pay in: T+1 Pay out: T+1 Pay in: T+1 Pay out: T+2 Pay-In- D-1; Pay Out D+1 Pay-In- D-1; Pay Out D+1

8 DAM and TAM Trading Timeline

9 Trading Mechanism & Process Flow- Day-Ahead Market

10 Auctioned Day-Ahead Market P P * Q* P* - Cleared Price Q* Cleared/Traded Volume Supply Buyer s Surplus Seller s Surplus Demand Q Nation-wide, on-line, automated Double-sided closed auction system 15.min block day-ahead contracts (MWh) Physical delivery based Central counter party: IEX Equilibrium price for 15 min time block (Rs./MWh) 15 min block volumes/prices published Pool based (collective) scheduling of traded power by NLDC (POSOCO)

11 Features of Day Ahead Market A closed double-sided anonymous auction for each 15-min time block for the following day The intersection between the aggregated sale and purchase curves defines the market clearing price (MCP) 12 Bid area defined N2 W2 N3 N1 W1 N2 W3 E2 E1 A2 A1 Congestion Management through market splitting and determining Area Clearing Price (ACP) specific to an area Bid types: Single Orders or Block Orders Minimum bid=re.1 for 0.1MW Minimum Price & Volume Step = 0.1p * 0.1 MW S1 S2 12 Bid Areas

12 DAM trading process Bidding Matching Review corridor and funds availability Result Confirmation Scheduling 10:00 am to 12:00 pm 12:00 pm to 1:00 pm 1:00 pm to 2:00 pm 3:00 pm 5:30 pm 6:00 pm Bids for 15- min each or block bids can be placed MCP &MCV calculated Corridor availability and funds verified Final ACV and ACP calculated. Market splitting if congestion Collective transaction confirmation by NLDC Final Schedule sent to RLDC for incorporation

13 Bid Types Bids for each 15 min can be entered Varying price and quantum pairs Allow partial execution Single/Portfolio Bid Relational Block Bid for any 15 min Mother or child bid No circular links No partial execution Block Bid

14 Price AUCTION SELL P* The perfectly liquid, frictionless market solution BUY 0 Q* Quantum

15 The Batching of Customer Orders Price(Rs/MWh) O O O Sell Buy O O O How should these orders be integrated? Quantum(MWh)

16 Aggregate the Buy Orders Price(Rs/MWh) (10) (10+20=30) Individual buy order Cumulated buy orders at the price or better (30+10=40) (40+10=50) (50+10=60) Quantum(MWh)

17 Aggregate the Sell Orders Price(Rs/MWh) 6000 o O (40+10=50) o o O (20+10=30) O (30+10=40) o O o (10) O (10+10=20) o Individual sell order o Cumulated sell orders at the price or better Quantum(MWh)

18 Match Aggregated Buy & Sell Orders Price(Rs/MWh) Q* = 6000 O Cumulated Sell Orders P* = O O O O Cumulated Buy Orders Quantum(MWh)

19 Understanding of Single Bid Buy Bid: One or more quantity-price pairs, each specifying the maximum price at which the participant is willing to buy the corresponding quantity of electricity and are Sell submitted Bid: One independently or more quantity-price for each pairs, delivery each period specifying i.e. 15 the min minimum block. price at which the participant is willing to sell the corresponding quantity of electricity and are submitted independently for each delivery period i.e. 15 min block.

20 Understanding of Block Bid A block bid is used for the procurement or sale of power which is specific to a block of hours (e.g. base load, peak or user defined). A block bid can either be a buy order or a sale order for a block of hours. Either all hours of the block order are jointly successful or all of these block hours are jointly rejected. A block bid is selected if the bid price is better than the average system price of power in respective block hours. Example of Sell Block Bid:- System Price:- Selection Criteria:- A sell (respectively buy) bid is said to be selected if the submission price of the bid is below (respectively above) the average system price. Result for 1 st Block Bid- E5 at 5000 for 50 MW Sell is at below price than Average Price of Rs ; hence will be selected. Result for 2 nd Block Bid- E6 at 7000 for 50 MW Sell is at above price than Average Price of Rs ; hence will be rejected.

21 Illustration of Price Matching and Market Splitting Two regions have been considered i.e. ER and SR. Four Sellers and Two Buyers in a 15-Min Block are taken with following Bid Scenario: - Seller Seller Seller Seller MW@ MW@4000 ER REGION SR REGION Buyer 100 Buyer 300 Quantity (MW) Price (Rs./MWhr) ER Seller ER Seller SR Seller SR Seller SR Buyer ER Buyer

22 Understanding Provisional Unconstrained Price Matching ER Seller /MWhr ER Seller /MWhr SR Seller /MWhr 3005 SR Seller /MWhr Total Buy SR (MW) Buyer Demand-Supply 300 intersection 4000/MWhr with high resolution Total Sell (MW) ER Buyer /MWhr (300,4000) (300,4000) (500,4000) (400,3000) (400,3000) (400,3000) (400,3000) (400,3000) (200,2000) (200,2000) Market Clearing Price (MCP)= Rs. 3000/MWhr Market Clearing Volume(MCV)= 400 MW

23 Price 3000 Buy Quantity Sell Quantity

24 REQUIREMENT OF CORRIDOR FROM NLDC ER SR Net Demand 100 Net Required Flow- 200 MW Net Demand 300 Net Supply 300 Net Supply 100 Net = -200 Net =200 Demand and Supply gap in two regions get balanced by unconstrained flow between the two regions hence a common MCP is derived. Seller Seller Seller Seller 200 MW 100 MW 100 MW 0 MW ER REGION Buyer 100 MW SR REGION Buyer 300 MW

25 Constraint Solution (Market Splitting) Congestion was reported by NLDC from ER to SR corridor and flow is constrained to 100MW. Due to flow constraint, system will Split the market in to two regions i.e. Deficit (SR Region) and Surplus region (ER Region),and will again run the calculation chronology for both the regions separately considering the flow constraint and will derive the ACP and ACV. ER-Surplus Region Price (Rs./kWh) ER Seller ER Seller ER Buyer Net (Buy-Sell) Flow Towards SR of 100 MW SR-Deficit Region Price (Rs./kWh) SR Seller SR Seller SR Buyer Net (Buy-Sell)

26 ER Surplus Region Demand-Supply Curve SR Deficit Region Demand-Supply Curve

27 ER Buy (on Trade Date) ER Buyer Buy 100 RS 2500/MWh=Rs. 2.5 Lac Payment Settlement ER Sell (on Trade Date+2) ER Seller 1 Sell 200 Rs 2500/MWh=Rs. 5 Lac Total Pay-in Received from Buyers Rs Lacs IEX Total Pay-out Given to Sellers Rs. 13 Lacs Congestion Revenue Rs. 1.5 Lacs SR Buy (on Trade Date) SR Buyer Buy 300 Rs. 4000/MWH=Rs. 12 Lac SR Sell (on Trade Date +2) SR Seller 1 Sell 100 Rs 4000/MWh=Rs. 4 Lac SR Seller 2 Sell 100 Rs 4000/MWh=Rs. 4 Lac

28 Open Access: What a consumer pays Charges PoC charges Inter-State Transmission charges payable by the open access consumer Transmission Charges or STU Charges Payable to the state transmission utility for the use of the transmission system for availing power through open access. Wheeling charges Charge to the Discom for conveyance of electricity through open access as determined by the SERCs Cross Subsidy Surcharge Subsidising open access consumer has to pay a cross subsidy surcharge to the Discom. Others Additional Charges, if any NLDC application fee, scheduling and operating charges, SLDC Charges IEX transaction charges/trading Margin

29 Treatment of Losses Both Buyers and Sellers to absorb losses Buyer Draw less than contracted power (Contracted Power losses) Inject more than contracted power (Contracted Power + Losses) Seller Average Transmission Losses of the Region where the Entity is geographically located.

30 Term-Ahead Market Price Discovery and Bidding

31 Term Ahead Market-Bilateral Transaction BID MATCHING Open/Closed Auction Continuous Trading Orders accumulated during call phase (no matching) Orders matched after call period Orders are used for calculation common price i.e. Equilibrium Price. All successful orders matched at Equilibrium Price. Price-time priority based continuous matching The highest Buy order & lowest Sell order gets the priority If the prices are same then priority is given to the time of the order received.

32 TAM Market Segments Open Auction Continuous Continuous Continuous

33 Regional Daily, Day-Ahead and Intra-Day TWS Screen CONTINUOUS Pending Buy Order TRADING Pending PROCESS Sell Order Buy 10 Rs 4500/MWh Sell 15 RS 5500/MWh Trading Engine Buy 10 RS 4500/MWh Sell 15 RS 5500/MWh Buy 10 Rs 4500/MWh Sell 15 Rs 5500/MWh

34 Pending Buy Order Buy Buy 10 RS 5000/MWh TWS Screen Pending Sell Order Sell 15 Rs 5500/MWh Buy 10 RS 4500/MWh Trading Engine Buy 10 RS 5000/MWh Buy /MWh

35 Pending Buy Order Buy Buy 10 RS 4500/MWH TWS Screen Pending Sell Order Sell Sell 5 Rs 5000/MWh Buy Trading Engine Sell 15 Rs 5000/MWh Trade 10 RS 5000/MWh Bid Modified Sell MW RS 5500

36 Renewable Energy Certificates

37 REC Mechanism ACCREDITION (Through State nodal Agency) SNA authorises the RE Generator and recommends for Registration REGISTRATION (Through Central Agency NLDC) NLDC registers it as eligible entitiy ISSUANCE (Through Central Agency NLDC) Entity received RECs for the amount of electricity injected in to the grid as certified by SLDC TRADING & REDEMPTION(Through PXs)

38 Trading at IEX Trading Day Market Clearing Trading Time By 1530 Hrs By 1600 Hrs By 1630 Hrs By 1700 Hrs By 1800 Hrs Last Wednesday of every Month Closed Double sided auction Hrs Verification by Central agency for Valid REC by cleared seller at IEX Central agency confirms REC IEX finalizes trade Buyer & Sellers informed to Central Agency Invoice raised (proof of REC trade)

39 Risk Management

40 Surveillance Surveillance Checking of Collateral (Automated) Checking of Permissible Quantity (Automated) Deviation from Bidding Pattern Surveillance team informs members about the deviation for their correction Daily MIS reporting Coordination with CnS for Bank files

41 Settlement Account Mapping & Client Fees Recovery All new settlement account details received from membership department are confirmed with the clearing banks before updating in the back office software Instruction to banks for mapping the settlement account for ABB/ ABF files based on whether it is member or client settlement account Recovery of client fees based on instruction from membership department

42 Bank Blockage (DAM) In this case balance will be blocked by the bank at 9.00 am and will be unblocked after the final pay in is done by 3.30 pm. Based on balance communicated exposure for bidding will be determined in the trading system. With this facility member would not be required to keep additional margins with the exchange. 7 Days Average Turnover(DAM) Exchange on daily basis compute minimum margin that should be available. This will be average value of trades of respective member for last seven day, In case if the average value is more than the available initial margins with the exchange then member has to bring the difference in the form of additional deposit. Margining Component Initial Margin (TAM) This margin provides the exposure to be given to a respective member, before a member wants to trade on IEX s platform he needs to provide 5% of his trade in cash as initial margin. Special Margin(DAM&TAM) The Exchange may collect any ad hoc margins from time to time in case if it feels that the available margins collected by the exchange are inadequate due to variation in the prices in the Market Basis Margin (TAM) Basis Margin will be computed as a percentage of the traded value as per the risk curve defined and will be collected in different trenches as per the contract specifications. Only the buyer Members will have to pay the Additional Margin to the exchange based on their trade confirmation. Member will have to make available the Additional Margin before the end of the trading day

43 Risk Management in DAM/TAM Proprietary/Trading Licensee Members Professional Members Day-Ahead Market Initial Margin Basis/Additional Margin Margin equal to Last 7 Days Average of Buy turnover Initial Margin Basis/Additional Margin As per Bank Balance including Hair Cut Factor TAM-Intraday 105% of order - 105% of order Value - TAM-DAC 100% of order Value TAM-Daily 5% of order Value 50% of Trade Value TAM-Weekly 5% of order Value 50% of Trade Value REC Member Client RMS 100% of order Value Credit facility can be provided by Trader Member to their clients - 100% of order Value - 5% of order Value 50% of Trade Value 5% of order Value 50% of Trade Value - 100% of order Value - No credit or funding facility by Professional Members to their clients

44 Timelines for payment of Charges: DAM/TAM NLDC Charges Application Fees is paid in advance = T NLDC Scheduling & Operational Charges is paid on T+1 Transmission Charges CTU is paid on T+1 SLDC Charges SLDC Scheduling & Operational Charges is paid on T+1 Transmission Charges STU is paid on T+1 Area Transmission Charges (ATU) is paid on T+1 Area Load Dispatch Centre (ALDC) is paid on T+1 RLDC Charges Application Fees/PoC/SLDC/RLDC charges is paid on Within 3 working days of Acceptance T = Trade Date

45 Thank You for your attention Best Power Exchange in India Enertia Awards 14, 13 & 12 India Power Award 2014 Power Business View 2014 Inc India Innovative 100 Award for Innovation in Product and Technology Best Performing Power Exchange Power Line Awards 13 & 12 Best E-enabled consumer platform India Power Awards 09