SEMO PX MARKET DESIGN

Transcription

1 SEMO PX MARKET DESIGN November 2017 EirGrid Commercial In Confidence.

2 Table of Contents 1. Background High Level Processes for Ex-Ante Markets Day-ahead MRC and Intraday Coupled Auction Markets Pre-coupling Interconnector Technical Data Submission Exchange Rate Trading Order Submission Order Book Closure Submission of Orders to the Coupling System Simple Orders Complex Orders Block Orders Linked Block Orders Exclusive Group Orders Post-Coupling Post-Trading Intraday Local Auction Exchange Rate Trading Order Submission Order Book Closure Submission of Orders to the Matching System Matching Post-trading Intraday Continuous Markets Trading Simple Orders Block Orders Post-Trading EirGrid 2017 Page 2

3 5. Clearing & Settlement Payments Margining Limit Management Limits for Day Ahead and Intraday Auctions Limits for Intraday Continuous Foreign Exchange settlement Day Ahead and Intraday Auctions Currency Exchange Rate Application per Process Bidding & Trading Limit Results and Prices Transfer of Trades to ECC Intraday Continuous Currency Glossary Revision History Version Comments Date 1.0 Version for publication 2.0 Updated to reflect JCR 108 Updated to reflect current progress on order types February 2017 November 2017 EirGrid 2017 Page 3

4 1. Background This document summarises the market design to be implemented by SEMOpx1 for EirGrid and SONI who are designated as a Nominated Electricity Market Operator (NEMO) for Ireland 2 (IE) and Northern Ireland 3 (NI) respectively. The High-Level Design (HLD)4 decisions in relation to the ex-ante markets for the I-SEM are based upon the Capacity Allocation and Congestion Management (CACM)5 Network Code which sets out the main features of the day-ahead and intraday markets required for compatibility across Europe. The HLD identifies the Dayahead Market (DAM) as the primary marketplace and, together with the Intraday Market (IDM), forms the exclusive route for access to the European price-coupled markets. A physical position in the I-SEM DAM will include unit-based bidding for generation with aggregation permitted in certain circumstances. Supplier Units will also participate in the ex-ante markets. DAM physical positions will be determined by the Europe-wide EUPHEMIA algorithm for those bids and offers which clear in the auction. The enduring solution provides for continuous trading in the IDM that enables participants to refine their DAM physical positions to reflect desired commercial positions as well as, for example, emerging forecasts of demand, wind output, and plant availability. IDM trading for the enduring solution will be Europe-wide on the basis of matching bids and offers from a Shared Order Book. A European project to implement the enduring solution, currently underway, is tasked with developing the Cross Border Intraday (XBID) platform to facilitate this trading. A number of aspects are required to be further defined including the precise IDM bid and offer formats to be supported. As necessary arrangements for I- SEM accession to XBID will not be in place for the I-SEM go-live, interim6 arrangements for intraday trading have been developed and will be implemented for I-SEM go-live. The interim intraday solution design comprises (i) two coupled intraday auctions for the SEM-Great Britain (SEM-GB) region (ii) one local intraday auction and (iii) continuous local intraday trading covering Ireland and Northern Ireland. SEMOpx will deliver and implement a day-ahead market, three intraday auctions (IDA 1, 2, 3) and an intraday continuous market (IDC). It is these market segments that form the NEMO market timeframes in the overall I- SEM. The aim of this document is two-fold: To describe the functionality and operation of the DAM and IDM markets in the I-SEM, providing a level of detail not available in the High Level Design papers To act as a plain English guide to the SEMOpx Rules. 1 SEMOpx is a contractual joint venture between EirGrid and SONI for delivering NEMO operations for the day-ahead and intraday markets for Ireland and Northern Ireland EirGrid 2017 Page 4

5 This document is not intended to be a system user guide nor a detailed technical specification. A technical specification is published separately on the SEMO website EirGrid 2017 Page 5

6 2. High Level Processes for Ex-Ante Markets The overall I-SEM market design provides for an integrated set of market segments. The Day-Ahead and Intra- Day Markets are critical elements of the overall integrated design. Figure 1 below shows the high level design of all market time frames in the I-SEM. FIGURE 1: OUTLINE OF THE I-SEM MARKET SEGMENTS This document outlines the day-ahead and intraday design that will be implemented by SEMOpx. The key functions include: Trading Operations for day-ahead and intraday markets; Market Coupling functions; Clearing Counterparty functions; and Support Services (e.g. participant query management). 2.1 Day-ahead MRC and Intraday Coupled Auction Markets Trading for the day-ahead market, through the Multi-Regional Coupling (MRC 8 ) auction, and intraday market auctions, through the regional auctions setup between the I-SEM and GB counterparties, are made up of the following steps (outlined in figure 2), taking into account that some steps can be executed in parallel. 8 EirGrid 2017 Page 6

7 FIGURE 2: INDICATIVE DIAGRAM OF PROCESSES IN SEMOPX AUCTIONS The coupling solution offered for the day-ahead auction will rely on the MRC Price Coupling of Regions (PCR) existing infrastructure, meaning that these processes9 are already implemented and operational across other CACM compliant markets. The coupling solution offered for intraday auctions will make use of EUPHEMIA 10, which is the same algorithm as that used for the day-ahead auction, with a dedicated instance. 2.2 Pre-coupling Interconnector Technical Data Submission Prior to each auction, EirGrid/SONI as TSO will provide technical data for the EWIC and Moyle interconnectors to SEMOpx. It will include the following information for each interconnector, in each direction and each interval (i.e. 1h for day-ahead and 30 min for intraday auctions): the cross zonal capacity; the ramping constraints; the loss factors; and the last flow of the period preceding the first delivery period covered by the auction. Where applicable, the capacity constraint values provided by EirGrid/SONI as TSO to SEMOpx will have been calculated considering the allocation of auctions that have already run for the same trading period (e.g. the IDA1 auction will take account of DAM results). In order to model the two currencies of the SEM in the auction process, it is necessary to represent Ireland and Northern Ireland separately as a Euro and a GBP zone respectively. However, to continue to represent a common set of market arrangements across Ireland and Northern Ireland, there is a need to represent the capacity between the two zones using a virtual interconnector with infinite cross zonal capacity. This approach will result in the two regions (IE-NI), two currencies (Euro-GBP) but will ensure that one price for the SEM11 is achieved in the auctions Exchange Rate SEMO will provide the GBP to EUR (one side) foreign exchange rate to SEMOpx. The exchange rate will be applied to all conversions of GBP orders/trades during the auctions (DAM and IDA) processes. The same exchange rate will apply for auctions which relate to the same trading day Single Electricity Market for Ireland and Northern Ireland EirGrid 2017 Page 7

8 2.3 Trading Order Submission Order books for each auction will be opened at a pre-defined date/time before the start of each auction, see figure 3 below. Whilst an order book is open, trading participants can enter, modify or cancel their orders. When an order is submitted to SEMOpx, a trading limit check is performed. A trading limit check will also be performed after the update of a trading limit. More details on trading limits can be seen in the Limit Management section Order Book Closure At the order book closure time defined for each auction, the order book will be closed automatically. Figure 3 below shows a summary of the day-ahead and intraday auction order book opening and closure times and trading periods covered by each. Order book closure is when the system will no longer accept submission of orders. A similar process in the current SEM is referred to as Gate Window Closure. FIGURE 3: ORDER BOOK TIMINGS AND DELIVERY PERIODS FOR SEMOPX COUPLED AUCTIONS 2.4 Submission of Orders to the Coupling System For the day-ahead auction, SEMOpx will create the aggregated curves with the hourly orders and anonymise block orders or complex orders and send them to the MCO in accordance with the timeframes, procedures and formats as required within the MRC-PCR. Products offered in the DAM are subject to approval from the MRC- PCR. For the coupled intraday auctions (IDA 1 and IDA 2), SEMOpx will create the aggregated curves with the half hourly orders and send them to the regional MCO, according to the procedures and format agreed with SEM- GB Partners. Products offered in the IDM are specified in the document titled Interim Intraday Products Proposal for I-SEM Go-Live: SEMOpx Response 12. For orders submitted by trading participants using GBP, the conversion of the orders from GBP to Euro will be performed by SEMOpx prior to transmission to the MCO EirGrid 2017 Page 8

9 Table 1 below shows the Day-ahead Market detail. TABLE 1 Bidding areas Day-ahead Market Detail Two bidding areas: IE and NI No congestion between IE and NI Trading procedure Trading days Order book opening Order book closure Coupling & topology Auction Year round 19 days before delivery Daily at 11:00 GMT/DST on the day before delivery SEMOpx will be coupled to the existing MRC Markets via GB through the two interconnectors Moyle and EWIC Trading Period Duration Hourly products for delivery D+1 Cross border capacity: ATC based with losses and ramping constraints Proposed Products (subject to PCR approval) Simple Orders Complex Orders Block Orders Linked Block Orders Exclusive Group Orders Currency Bidding and settlement in EUR Bidding and settlement in GBP Matching in EUR Conversion using the exchange rate supplied by SEMO. Price minimum-price maximum -500 EUR; EUR Or GBP trading day exchange rate equivalent Price increment 0.01 EUR/MWh 0.01 GBP/MWh EirGrid 2017 Page 9

10 (publication of prices with three decimal places) Volume increment 0.1 MW Table 2 below shows the Intraday Market detail. TABLE 2 Bidding areas Intraday Coupled Market Detail Two bidding areas: IE and NI No congestion between IE and NI Trading Procedure Trading days Order book opening Order book closure Auction Year round 19 days before Delivery IDA 1: Daily at 17:30 GMT/DST on the day before delivery IDA 2: Daily at 08:00 GMT/DST on the day of delivery Coupling & topology IE and NI will be coupled to GB through the two interconnectors Moyle and EWIC for IDA 1 and IDA 2 Cross border capacity: ATC based with losses and ramping constraints Trading Period Duration 30 min products 2 coupled auctions: IDA1 for 48 ½hr periods with auction at 17:30 GMT/BST for delivery 23:00 (D- 1)-23:00(D) GMT/DST IDA2 24 ½hr periods with auction held in the morning of D at 08:00 (D) GMT/DST for delivery period 11:00-23:00 GMT/DST Proposed Products Currency Simple Orders (for go-live) Bidding and settlement in EUR Bidding and settlement in GBP Matching in EUR Conversion using the exchange rate supplied by SEMO. Price minimum-price maximum -500 EUR; EUR EirGrid 2017 Page 10

11 Or GBP trading day exchange rate equivalent Price Increment 0.01 EUR/MWh 0.01 GBP/MWh (publication of prices with three decimal places) Volume Increment 0.1 MW The products available in EUPHEMIA, i.e. the software to be used for the DAM and IDAs for SEMOpx are shown below. For more information on the use of orders please refer to the I-SEM Trialling of EUPHEMIA Commercial Phase Report 13 available on the SEMO website. Below is a brief summary of each order type, a full description of order types is available in the EUPHEMIA public description 14. In case of any conflicts, the EUPHEMIA public description should be used Simple Orders Simple orders are price quantity pair(s) (PQ pair(s)) orders for supply or demand (buy or sell). The rules that apply for the acceptance of simple orders are the following: Any order in-the-money (in merit) must be fully accepted. Any order out-of-the money (out of merit) must be rejected. Orders at-the-money (marginal) can be either accepted (fully or partially) or rejected Complex Orders A complex order is a simple order (PQ pair or set of PQ pairs) submitted on behalf of a unit or trading portfolio, covering one or more trading periods which is subject to a complex condition. Complex conditions are of two types: Minimum Income Condition (with or without scheduled stop), and Load Gradient. The Minimum Income Condition (MIC) is derived from two elements: the fixed term and the variable term. The Minimum Income Condition applies a constraint which means that the amount of money collected by the order in all periods must cover its fixed term and its variable term multiplied by the total volume. The Minimum Income Condition constraint is in short defined by: A fixed term (FT) in Euros A variable term (VT) in Euros per accepted MWh EirGrid 2017 Page 11

12 The load gradient defines the maximum increase or decrease of the accepted volume of the order between trading periods. A complex order may have a single increase gradient (covering ramp up), a single decrease gradient (covering ramp down), both or neither. In the auction, MIC orders are activated or deactivated based on the following rules: If a complex order is accepted, based on its MIC being met, its PQ pairs then function as with a simple order. If a complex order is rejected, based on its MIC not being met, its PQ pairs are fully rejected. The scheduled stop condition defines a maximum number of trading periods (starting from the first period only) where the complex order may be accepted even if the MIC is not met. The MIC will first be applied and then, if the complex order is rejected and has a scheduled stop condition, the order will be reassessed based on its first PQ pair for the number of periods defined by the scheduled stop condition. Where a scheduled stop condition is activated, only the first PQ pair will be used and this will behave as a simple order without using the MIC Block Orders A block order is defined by: whether it is supply or demand; price limit (minimum price for supply block orders and maximum price for demand block orders); number of periods; volume that can be different for every period; and In the simplest case, a block order is defined for a consecutive set of periods with the same volume. These are usually called regular (fill-or-kill) block orders. The periods of the block orders can be non-consecutive Linked Block Orders Block orders can be linked together, i.e. the acceptance of individual block orders can be made dependent on the acceptance of other block orders. Where the acceptance of a block is dependent on the acceptance of another block, this is called a child block ; whereas the block on which other blocks are dependent is called a parent block. The parent block can be accepted alone, but the child block needs the acceptance of the parent block to be accepted. Where a child block has a revenue surplus (i.e. the market clearing price is greater than the block price), this surplus will be considered in accepting parent block (i.e. a parent block which is out-of-merit may be accepted where it has a child block which is in-merit). The revenue surplus of a parent block is not considered in evaluating a child block. EirGrid 2017 Page 12

13 2.4.5 Exclusive Group Orders Block orders may be grouped together as an Exclusive Group Order. The algorithm will consider the block orders in an Exclusive Group Order and may accept any combination of block orders within the exclusive group order. Each block order in an exclusive group order will have its own characteristics (e.g. price, volume etc.) Coupling and Matching Based on the Cross Zonal Capacity and order information and using the EUPHEMIA algorithm, the Market Coupling Operator (MCO) will calculate the prices, the net position for the market area (i.e., the SEM/GB border) along with the flows for each interconnector modelled in the coupling solution) and, where relevant, the list of accepted blocks and complex orders per market area. The results will be sent to SEMOpx. The resultant interconnector flows are used for cross-border nominations between the two coupled markets (i.e. between SEM and GB). SEMOpx will receive, check and confirm or reject the results. This preliminary confirmation will be based on the allocation of values to units to ensure that they are consistent with the submitted orders. All other market operators involved in the coupling will also perform this validation based on their own order books. Appropriate Euro to GBP price conversion of the results for units trading in GBP will be undertaken as part of the preliminary confirmation process. This is a check to ensure that the correct application of the exchange rate has occurred from Euro to GBP. After the successful preliminary confirmation of the results by all market operators involved in the coupling, these results are then published to participants. The Market Coupling Results are filtered and the results of the corresponding borders/bidding areas are forwarded to the TSOs for validation purposes. The TSOs validate the results based on the interconnector allocation constraints provided. This is the final confirmation. TSOs will only reject results which do not conform to the technical data for interconnectors which they have submitted to the coupling process. Once the results are confirmed by all the coupled TSOs and NEMOs, the results will be made available to participants as final in the trading system. Subsequently, as soon as practicable, the appropriate market results reports will be published on the SEMOpx website. Where neither preliminary nor final confirmation have completed successfully, a full decoupling event may be declared within the MRC (according to the MRC procedures). In this case, the DAM will be run by SEMOpx for the SEM in isolation. In the case of Intraday Auctions, there are timing restrictions due to the processing times required after completing an auction to carry out the nomination process for cross border flows. Where the auction cannot be completed within these timing requirements, it will be cancelled. Where an auction is cancelled, any unused capacity will be made available to the next auction. The process for performing the regional coupling for intraday auctions, including any cancellation procedures, are part of the regional framework discussions currently underway between SEMOpx and relevant GB parties. 2.5 Post-Coupling After the final confirmation of each auction, the trades and the flows for the particular auction will be processed by SEMOpx. For each auction, the flows and information transmitted will only cover the scope of trades for that auction, i.e. each auction flow is absolute and does not represent the aggregate flow including previous auctions for the same trading periods. EirGrid 2017 Page 13

14 After receiving the trade files data, SEMOpx will perform the local nominations to SEMO and cross border nominations to SEMO and to Elexon. The data will be used to re-calculate the spot margins relating to SEMOpx markets and for purposes of imbalance settlement under the T&SC. 2.6 Post-Trading The post-trading process covers the provision of the market results. Those files will include: Trade information; Order information; Files for REMIT; Additional files that SEMOpx will use for website publication; and Nominations to SEMO and Elexon. EirGrid 2017 Page 14

15 3. Intraday Local Auction Trading for the intraday local auction (IDA 3) is made up of the following steps (outlined in figure 4), taking into account that some steps can be executed in parallel. It should be noted, that the Limit Management is a distributed process which runs in parallel to the overall trading process: * To be noted: Trading activities actually take place from gate opening to gate closure; therefore they run in parallel of other activities. However, the diagram above is intentionally represented as a sequential process in order to ease the understanding. FIGURE 4: INDICATIVE DIAGRAM OF SEMOPX INTRADAY LOCAL AUCTION PROCESSES 3.1 Exchange Rate SEMO will provide the GBP to EUR (one side) foreign exchange rate to SEMOpx. The exchange rate will be applied to all conversions of GBP orders/trades during the auctions (DAM and IDA) processes. The same exchange rate will apply for auctions which relate to the same trading day. 3.2 Trading Order Submission Order books for each auction will be opened at a pre-defined date/time before the start of each auction, see figure 5 below. Whilst an order book is open, trading participants can enter, modify or cancel their orders. When an order is submitted to SEMOpx, a trading limit check is performed. A trading limit check will also be performed after the update of a trading limit. More details on trading limits can be seen in the Limit Management section Order Book Closure At the order book closure time defined for each auction, the order book will be closed automatically. Figure 5 below shows a summary of the day-ahead and intraday auction order book opening and closure times and trading periods covered by each. Order book closure is when the system will no longer accept submission of orders. A similar process in the current SEM is referred to as Gate Window Closure. FIGURE 5: ORDER BOOK TIMINGS AND DELIVERY PERIODS FOR SEMOPX INTRADAY LOCAL AUCTION EirGrid 2017 Page 15

16 3.2.3 Submission of Orders to the Matching System IDA 3 will be a local auction (i.e. there will be no interconnector capacity available) therefore matching will take place in the SEMOpx trading system rather than in the regional MCO. Products offered in the IDM are specified in the document titled Interim Intraday Products Proposal for I-SEM Go-Live: SEMOpx Response 15. For orders submitted by trading participants using GBP, the conversion of the orders from GBP to Euro will be performed by SEMOpx prior to matching. Table 3 below shows the Intraday Local Market detail. TABLE 3 Bidding areas Intraday Local Market Detail Two bidding areas: IE and NI No congestion between IE and NI Trading Procedure Trading days Order book opening Order book closure Coupling & topology Auction Year round 19 days before Delivery IDA 3: Daily at 14:00 GMT/DST no coupling, isolated Trading Period Duration 30 min products 1 local auction: IDA3 12 ½hr periods with auction held in the afternoon of D at 14:00 GMT/DST for delivery period 17:00-23:00 GMT/DST Proposed Products Currency Simple Orders Bidding and settlement in EUR Bidding and settlement in GBP Matching in EUR Conversion using the exchange rate supplied by SEMO EirGrid 2017 Page 16

17 Price minimum-price maximum -500 EUR; EUR Or GBP trading day exchange rate equivalent Price Increment 0.01 EUR/MWh 0.01 GBP/MWh (publication of prices with three decimal places) Volume Increment 0.1 MW 3.3 Matching Based on the order information, Euphemia algorithm will calculate the prices and the net positions. The results will be sent to the SEMOpx trading system. Appropriate Euro to Pound price conversion of the Northern Irish results will be undertaken as part of the preliminary confirmation process. Once the results are confirmed the results will be published as Final in the trading system. 3.4 Post-trading The post-trading process covers the provision of the market results. Those files will include: Trade information; Order information; Files for REMIT; Additional files that SEMOpx will use for website publication; and Nominations to SEMO and Elexon. EirGrid 2017 Page 17

18 4. Intraday Continuous Markets Trading on the intraday continuous market is made up of the following steps (figure 6), taking into account that some steps can be executed in parallel. 4.1 Trading FIGURE 6: INDICATIVE DIAGRAM OF SEMOPX CONTINUOUS MARKET PROCESSES While an order book is open, the trading participants can enter, modify and cancel their orders. The anonymised active orders will be visible by all trading participants in the order book. Each time there is an update of orders, including when an order is executed and becomes a contract, the order book is updated. At each order matching event when an order becomes a contract, the trading limit of the relevant Exchange Member is checked and updated. Orders are matched and become contracts in real time, either fully or partially (depending on products used) at the best price available. The anonymised trades are published in real time to the Exchange Members via the SEMOpx trading system. The table 4 below shows the Intraday Continuous Market Detail. TABLE 4 Bidding areas Intraday Continuous Market Detail Two bidding areas: IE and NI No congestion between IE and NI Trading Procedure Continuous, 24/7 No interruption and restart of trading during intraday auction sessions Order book opening 11h45 GMT on D for 48 half an hour products for delivery D+1 Order book closure Coupling & topology Trading Period Duration Proposed Products 60 min before delivery No Coupling, isolated 30 min Simple Orders with conditions; Limit orders; Fill or Kill; Immediate or Cancel; EirGrid 2017 Page 18

19 Good till date; Iceberg; and Block Orders Currency Bidding and settlement in EUR Matching in EUR Price minimum-price maximum EUR; EUR Price Increment Volume Increment 0.01 EUR/MWh 0.1 MW A summary of each of the order types available in the IDC trading system is presented below Simple Orders These are Price Quantity Pair(s) (PQ pairs) Orders for supply or demand (buy or sell). The rules that apply for the acceptance of simple orders are stated below. Any order in-the-money (in merit) must be fully accepted. Any order out-of-the money (out of merit) must be rejected. Orders at-the-money (marginal) can be either accepted (fully or partially) or rejected Fill or Kill Orders Fill or kill orders are simple orders with a fill or kill condition added to the order. In this case, the order must be immediately accepted for its full volume or it will be cancelled and removed from the shared order book Immediate or Cancel Immediate or Cancel orders are simple order with an immediate or cancel condition added. In this case, the order must be accepted immediately or it is automatically cancelled and removed from the shared order book. Partial acceptance is allowed against a number of smaller orders (i.e. a 100 MW buy order matched with four orders each of 25 MW) Good til Date Good til Date order are simple orders with a good til date condition added. In this case, the order will be automatically deleted after a specified date or time (e.g. a simple order which is made available for an hour). EirGrid 2017 Page 19

20 Iceberg Order An iceberg order is a simple order with an iceberg condition applied. In this case, while the full volume is made available by the market participant entering the order, only a portion of the order is visible to other market participants (e.g. a 100 MW order is offered but other participants only see 25 MW at a time). As each segment of the iceberg order is matched, the next segment is made available Block Orders A block order is defined by: Whether it is supply or demand; price limit (minimum price for supply block orders and maximum price for demand block orders); number of periods; and volume that can be different for every period. In the simplest case, a block order is defined for a consecutive set of periods with the same volume. These are usually called regular (fill-or-kill) block orders. In general, the periods of the block orders can be nonconsecutive, the volume can differ over the periods. 4.2 Post-Trading Files for REMIT will also be provided by SEMOpx for use in REMIT reporting on behalf of members (if required for each member).nominations are provided to SEMO and TSO every 15 minutes. Those files will include: Trade information Order information Files for REMIT Additional files that SEMOpx will use for website publication Nominations to SEMO EirGrid 2017 Page 20

21 5. Clearing & Settlement On each business day, SEMOpx will perform a booking cut at 15:00 GMT/DST and settle the trades and financial flows to Exchange Members by using the payment infrastructure in place between ECC and the relevant Clearing Member or Settlement Bank. A booking cut is the process where trades from 15:00 to 15:00 GMT/DST are processed for clearing and settlement. All Auction and IDC trades concluded at SEMOpx prior to 15:00 each day are included in the next business day settlement. The transactions will also be used to generate standardised reports for market participants, namely trade and payment reports. Trade reports detail all trade transactions such as products, exchange details, buy/sell, quantity and trading periods. Payment reports contain debit/credit, amounts due for payment and clearing member details. 5.1 Payments As the Central Counterparty appointed by SEMOpx, ECC guarantees financial fulfilment and carries out cash clearing for all transactions concluded on the SEMOpx Exchange. ECC works with international banks as Clearing Members or Settlement Banks. For Euro settlement, the transfer is done via the TARGET2 16 infrastructure. A Clearing Member is a guarantor and payment agent for all trades conducted for an Exchange Member. A Settlement Bank is for Direct Clearing Members and performs the same guarantor and payment agent functions. Payments in GBP are settled using Clearstream Banking Luxemburg (Clearstream) as a private settlement agent. All payments are performed at fixed payment times and according to a payment calendar depending on the respective currency. Payments in EUR are processed by 7 a.m. GMT/DST on TARGET2 operating days. Overnight payments in GBP are processed at fixed times on all currency-specific business day by 8 a.m. GMT/DST. 5.2 Margining As the central counterparty appointed by SEMOpx, ECC assumes the counterparty risk for all transactions concluded at SEMOpx. In the event of a default on payment of a contract in the day-ahead or intraday markets, ECC guarantees payment and delivery (ECC covers the settlement risk). On spot markets, trading and margining takes place 24/7, including times when settlement of payments is not performed (e.g. due to banking holidays). Therefore, ECC measures credit exposure on spot markets near to real time on a 24/7 basis using the Current Exposure Spot Market (CESM). This margin has to be covered with posted collateral at all times. 16 TARGET2 (Trans-European Automated Real-time Gross Settlement Express Transfer System) is the real-time gross settlement system for the Eurozone, and is available to non-eurozone countries. EirGrid 2017 Page 21

22 6. Limit Management Trading limits enable Exchange Members and Clearing Members to proactively manage their risk exposure. Trading limits are provided in the SEMOpx trading system or the clearing system and are contractually agreed between the Clearing Member and the Non-Clearing Member And Direct Clearing Members. A trading limit is defined as a monetary value within which the Exchange Member can trade over one settlement day. As such, Exchange Members are not allowed to enter an order which would lead them to exceed their trade limit. The values of sales (or of purchases in the case of negative prices) which have not yet been physically settled are taken into account with regard to the trade limit. When bidding in EUR, the trading limit in EUR will be increased/decreased accordingly. If there is no trading limit in EUR but a trading limit in GBP available, the exposure calculation will use the applicable foreign exchange rate. When bidding in GBP, the trading limit in GBP will be increased/decreased accordingly. If there is no trading limit in GBP but a trading limit in EUR available, the exposure calculation will again use the applicable foreign exchange rate. Any limit setting or modification by Clearing Members or Non-Clearing Members (or ECC itself) respectively is managed via ECC, which has the role of an intermediary between SEMOpx and Clearing Members. ECC will support the limit management of SEMOpx as it does for other exchanges as outlined under Trading Limits Management found using the following link: Limits for Day Ahead and Intraday Auctions A financial limit is set per Exchange Member for the auction system. The limit is defined by the clearing member or ECC Limits for these definitions can be maintained via the Member Area by Clearing Members, Non-Clearing, Direct Clearing Participant (DCP) and ECC. Limits can be set in either or both currencies. The limit definition in the auction system will be defined with risk parameters reflective of delivery risks by ECC. Orders that are covered by a Trading Limit which are submitted in a different currency than the Trading Limit are converted to limit currency for checking using the latest exchange rate. Any change in the exchange rate will require a re-evaluation of all previously converted orders and may lead to order rejection in accordance with a Last In First Out (LIFO) principle in case of a limit breach. The Trading Limit scope is a 24 hour period from 15:00 to 15:00 GMT/DST. All auctions executed within this window are allocated against the same limit amount equal to the value defined. Intraday auctions will be organized within the same auction system as the day-ahead auctions. As a result, they will fall fully under the same Trading Limit regime. Exposure from all intraday auctions within the 15:00-15:00 GMT/DST window is merged with the Exposure from the day-ahead auction within the same window and must be below the defined Trading Limit. If the exposure exceeds the Trading Limit, orders will be rejected with a LIFO principle. With regards to the risk of order rejection due to insufficient limit caused by an exchange rate change, the clearing members should define limits that are robust to daily exchange rate variation. EirGrid 2017 Page 22

23 6.2 Limits for Intraday Continuous A financial limit is set per Exchange Member in the intraday continuous market. Intraday Continuous Limits ECC settlement member SEMOpx member TSO Area Limit 1 In IDC an Exchange Member can have the following limit set: Limit 1 = Overall limit per Exchange Member in EUR FIGURE 7: INDICATIVE DIAGRAM OUTLINING LIMIT APPLICATION Limits can be maintained by Clearing Members, Non-Clearing Members, Direct Clearing Participants and ECC. In case a member is a member of several intraday market segments (i.e., a number of intraday auctions and the intraday continuous); the trade limit is calculated as a global amount taking into account contracts on every intraday market segment. For the intraday continuous market, a member can only have one limit which must be in EUR. EirGrid 2017 Page 23

24 7. Foreign Exchange settlement 7.1 Day Ahead and Intraday Auctions Currency The currency rate which is used for an auction is the last valid currency rate received for that auction. SEMO will provide the exchange rate to SEMOpx. The exchange rate used will be the European Central Bank (ECB) rate published every day at 15:00 GMT/DST, two days before the delivery day (GBP to EUR conversion rate). This rate will then be provided to SEMOpx by SEMO at 17:00 GMT and will contain 4 decimals. The same rate will be applied for all auctions relating to the same delivery day. 7.2 Exchange Rate Application per Process Bidding & Trading Limit As bidding can be done several days in advance of the auction, the exchange rate used to calculate the exposure will be the last one available. As soon as the exchange rate for the relevant delivery day is available, the exposure will be recalculated based on this rate. Where an update of the exchange rate leads to an exposure exceeding the Trading Limit, the orders of any affected Exchange Member will be rejected. For these orders to be included in the relevant auction, the Exchange Member will have to re-submit orders taking account of the Trading Limit and the applicable exchange rate prior to order book closure. Prior to submission to the MCO, orders in GBP are converted to EUR. GBP prices of orders will be converted to EUR using the applicable exchange rate. After the auction is run, the prices in EUR will be sent back to SEMOpx. SEMOpx will perform the portfolio allocation i.e. determining the volume executed for each order using the EUR exact price. The conversion to GBP will be done using the same exchange rate Results and Prices The clearing price in EUR will be rounded to 2 decimal places. The GBP price published will be calculated using the EUR price and the applicable exchange rate with the price also rounded to 2 decimal places. The exchange rate used will be included in the market result reports Transfer of Trades to ECC The trade information provided to ECC will include the EUR rounded price and the GBP rounded price. Volumes of trades will also be included and rounded Intraday Continuous Currency All intraday continuous trading will be in EUR. This applies to Trading Limits, margining, order submission, matching, nomination, settlement and reporting. EirGrid 2017 Page 24

25 8. Glossary Word Definition Auction Procedure for making transactions after a period of time during which the orders entered by trading participants in the order book are accumulated but not executed. ACER Agency for the Cooperation of Energy Regulators ATC Available Transfer Capacity Booking Cut Daily Settlement and Clearing on each business day from 15:00 to 15:00. BST British Summer Time, the daylight saving time zone for Britain, which was known as British Standard Time between 1968 and 1971; UTC+1 CCP Central Counter-party, central counter-party within the meaning of Art. 1 paragraph 31 KWG [German Banking Act] CESM Current Exposure Spot Market Clearing Position keeping and financial and physical settlement of transactions as well as collateralisation of transactions. Clearing Member Participant in the clearing procedure who has a System Clearing License as a System Clearing Member or a Direct Clearing Participant (DCP) Clearing License as a DCP Clearing Member. A Clearing Member can also be licensed by ECC as a Trading Participant for one of the products. Day-ahead Part of the spot market where a commodity is tradable one day before delivery. DCP DCP Clearing Member DCP Clearing Member Clearing Member that has a Direct Clearing Participant (DCP) Clearing License and which is exclusively entitled to clear own Spot Market transactions. Delivery The physical fulfilment of transactions is called delivery. Delivery Area Power transportation grid managed by a TSO. DST Day-light Savings Time ECB European Central Bank ECC European Commodity Clearing AG. As the central counterparty ECC is the clearing house for all of the transactions included in clearing. ETS Energy Trading System FX Foreign Exchange GB Great Britain GMT Greenwich Mean Time (GMT) is the mean solar time at the Royal Observatory in Greenwich, London. HLA High Level Architecture IDA Intraday Auction IDC Intraday Continuous Market Coupling Market coupling allows the matching of power exchanges orders and the implicit allocation of the available cross-border capacities received from the Transmission System Operators (TSOs). MRC Multi-Regional Coupling Nomination Daily declaration of power supply, of purchase and sale or of imports and exports made to the TSO by the Balance Responsible Party. Physical delivery of transactions is fulfilled by means of reporting schedules/nominations to the TSO. NCM Agreement Agreement between a Clearing Member, a Non-Clearing Member and ECC as well as, if applicable, any supplementary agreements EirGrid 2017 Page 25

26 NEMO NI Non-Clearing Member Order PCR PMB IE Settlement Settlement Account Settlement Bank Settlement Bank Agreement Trade Trade Limit Trading Trading Day Trading Participant Transaction TSO XB Nominated Electricity Market Operator Northern Ireland Participant in the clearing procedure who has concluded an NCM Agreement with a System Clearing Member and is approved as a Trading Participant for certain products by ECC. Electronic document by which the Exchange Member submits the Price and the quantity for which it seeks to make a Transaction in a Contract. Price Coupling of Regions PCR Matcher Broker Republic of Ireland Payment of Transactions executed on SEMOpx and handled by the Clearing House Every TARGET2 or CBF 6 Series account of System Clearing Members and of ECC, to which the daily balance of their Clearing Accounts is credited or from which such is debited and every account kept for DCP Clearing Members at a Settlement Bank. ECC specifies for every product which types of accounts have to be used as Settlement Accounts. Institute that has concluded a system agreement with ECC and, if applicable, a Settlement Bank Agreement, keeps one or several Settlement Accounts for DCP Clearing Members and carries out payment instructions for DCP Clearing Members towards ECC. Agreement between a Settlement Bank, a DCP Clearing Member and ECC regarding keeping of a Settlement Account and which upon request of ECC arranges, inter alia, pledging of the credit claims of the DCP Clearing Member booked in the Settlement Account to ECC. Every Spot Market or Derivatives Market Transaction in one of the products approved by ECC which Trading Participants have concluded or registered in a market themselves or via the market access of a Clearing Broker and which is settled by ECC. Arrangement for limiting of orders which can be entered into the trading system of a Market by a Non-Clearing Member which is technically provided in the trading system of the market and contractually agreed between the Clearing Member and the Non-Clearing Member. Comprises order book trading at a market and the registration of trades at a market. The days specified by the respective market on which trading takes place or on which transactions can be registered. Company which is approved as a Trading Participant on a market, which is as well approved as a Trading Participant for one product by ECC and which takes part in the clearing procedure on ECC as a Non-Clearing Member or as a Clearing Member. Conclusion of a transaction on a market in accordance with the said market s rules. Transmission system operator, an entity involved in electric power transmission. In this document the TSOs refer to the Transmission System Operators of EirGrid for IE and SONI for NI. Abbreviation for Cross Border EirGrid 2017 Page 26