PEGAS Trader Workshop Germany Market Developments and Product Initiatives

Transcription

1 PEGAS Trader Workshop Germany Market Developments and Product Initiatives Roman Zyuzev, Sirko Beidatsch 16/11/217, Berlin

2 Legal disclaimer This presentation does not provide or substitute legal advice. This presentation only serves information purposes and is intended to be a first practical guide for firms operating in trading in commodity derivatives that have limited experience with MiFID I and MiFID II/MiFIR. Further information on MiFID II/MiFIR could be found in the Regulatory Reporting Section on the EEX Website -> Antitrust Reminder Please avoid any risk of infringement of applicable competition and antitrust law provisions and inter alia Regulation (EU) No 1227/211. In particular participants in the.. shall not obtain from, provide to or discuss with any other participants any non-public information that is commercially sensitive including but not limited to any information concerning: pricing policies, prices, confidential terms of sales and contracting structures; information about current and future bids; division or sharing of customers and geographical areas among participants; costs and cost structuring including margins and discounts; strategies and policies relating to competition; current and future marketing and business plans; and pending and planned research and development /2/217 2

3 Agenda 1. Spot & Futures Trading Data 2. Market Development & Product Initiatives 3. MIFID II /MIFIR Position and Transaction Reporting 4. What s next on PEGAS Agenda?

4 Introduction: EEX Group Deutsche Börse Group 1% EEX Power Derivatives GmbH 1% 1% 1.7% 1% 4.3% EPEX SPOT SE Agricultural Commodity Exchange GmbH Powernext SAS Cleartrade Exchange Pte Ltd. 66.7% Power Exchange Central Europe, a.s. 1% European Commodity Clearing AG 1% Global Environmental Exchange GmbH 1% EEX Link GmbH 1% Gaspoint Nordic A/S Joint venture, CEGH (49%) and Powernext (51%) 1% NodalClear LLC 1% Nodal Exchange LLC 1% European Commodity Clearing Luxembourg S.à.r.l. POWER NATURAL GAS COAL ENVIRONMENTALS OIL AGS METALS FREIGHT 217 4

5 European Gas Hubs Liquidity: Spot Volumes SPOT growth 217/ / /214 NBP -3,1% -22,3% -13,3% TTF -2,8% 9,8% 19,3% NCG -8,8% 21,4% 23,3% Gaspool,2% 21,5% 2,4% ETF -19,8% 45,7% 113,4% CEGH 42,6% 3,4% 3,6% PEG 8,% 4,4% 18,8% PSV 37,9% 16,3% 98,5% AOC 15,7% N/a N/a 217 5

6 European Gas Hubs Liquidity: Futures Volumes FUTURES growth 217/216* 216/ /214 NBP -9% -4% 1% TTF -1% 2% 36% NCG -21% 15% -5% GASPOOL -8% 17% -6% CEGH -9% 35% -22% PEG -5% 9% 27% PSV -2% 25% 39% ZEE -37% 3% 2% ZTP 763% 72% 84% AOC 48% N/a N/a 217 6

7 PEGAS Facts and Figures Spot - Leading platform for European spot trading - Mains TSOs use Pegas for their Balancing needs + 1 Storage operator - Reliable Spot price references Futures - TTF Futures liquidity on PEGAS 8 TWh per month on screen - 5 Lots traded per day - 65% of Average annual growth since 211 1,756 TWh traded in 216 on the PEGAS Gas Market 217 7

8 PEGAS: growing offering, growing activity Trading Members 219 Spot 153 Futures RM, 52 Non-MTF 3 1,8 Trayport Trading Accounts Countries, 11 Hubs 21 Location Spreads ,+ Products , Spot Trades (216) 32, Derivative Trades 217 8

9 What happened 216/17 Recent Initiatives Non-MTF 1 st July /7 Spot spreads 22 nd September 216 GRTgaz 24/7 coupling TRS/Nord September 216 Fluxys balancing ZTP 1 st October 216 8am Early opening futures 17 th November 216 Cal+4 (GPL, NCG, TTF) 17 th November 216 GasPointNordic on PEGAS 17 th November 216 CEGH on PEGAS 1 st December 216 Time spreads futures 24 th January /MWh Price tick reduction futures 22 nd March 217 Harmonization and Introduction of EGSI Index 5 September 217 New Powernext website Live on 2 Nov 217 9

10 PEGAS Liquidity Summary Spot 644 TWh traded in TWh from Jan-Oct monthly averages: 179 members 61,99 trades 66 TWh traded update 1

11 PEGAS Liquidity Summary Spot

12 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Hub Activity Spot Markets (1) GWh Volume NCG Spot GWh Volume GPL Spot NCG Day NCG WD Active members GPL Day GPL WD Active members GWh 25 Volume TTF Spot 1 GWh 2 5 Volume ETF Spot ETF Day ETF WD Active members TTF Day TTF WD Active members 12

13 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Hub Activity Spot Markets (2) GWh Volume ZTP Spot ZTP Day ZTP WD Active members GWh Oct-16 Nov-16 Volume TRS Spot Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 TRS Day TRS WD Active members Oct GWh Volume PEG Nord Spot GWh Volume CEGH VTP Spot PEG Nord Day PEG Nord WD Active members CEGH Day CEGH WD Active members 13

14 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Hub Activity Spot Markets (3) GTherm 5 Volume NBP Spot 12 GTherm 8 Volume ZEE Spot NBP Day NBP WD Active members ZEE Day ZEE WD Active members 14

15 H&L Gas Gaspool 216/17 57 members registered for GPL-L 14 members registered for GPL-H 15

16 H&L Gas NetConnectGermany 216/17 62 members registered for NCG-L 21 members registered for NCG-H 16

17 Oct-16 Nov-16 Dec-16 janv-17 fev-17 mars-17 Apr-17 May-17 June-17 July-17 Aug-17 sept-17 oct-17 Oct-16 Nov-16 Dec-16 janv-17 fev-17 mars-17 Apr-17 May-17 June-17 July-17 Aug-17 sept-17 oct-17 NCG-L Spot Hourly markets GWh 1 5 Volume NCG L Elten Spot NCG L Elten Active members GWh Volume NCG L Vreden Spot NCG L Vreden Active members

18 Review: Trading of hours at Elten/Vreden VTP TTF VTP TTF Vreden Elten 18

19 Review: Trading of hourly products* Usage for balancing and portfolio optimisation Price reduction for bilateral structuring services needed by NCG Former structuring services on the locational points (IP) Elten and Vreden were huge (7.5 TWh/a), bilateral traded and therefore very expensive Simplified asset management on hourly base Improvement of flexibility/profitability of gas storages und gas power plants Minimisation of imbalance costs for balancing regimes with hourly penalties Hedging of financial impact on gas caused by volatile renewable energies Hub GASPOOL NCG TTF Quality Global L-Gas Global L-Gas Elten Vreden Global # Trades ,963 42,44 8 Volumes in MWh ,795,783 4,293, Price in /MWh # Active member * Hourly products are tradable at PEGAS since * As of 9. November

20 Review: Trading of zonal products* Successfully migration from MAM to transparent exchange trading Needed by Market Area Managers for zonal balancing purposes in addition to existing gas balancing products at the VTP s of GPL, NCG and TTF Specification of zonal balancing products: GASPOOL since 17 th of November 215 H-Gas Zones: Ontras, Gasunie Deutschland, Gascade L-Gas Zones: Gasunie Deutschland, Gastransport Nord, Nowega NetConnect Germany since 3 th of March 216 H-Gas Zones: NCG H Nord, NCG H Mitte, NCG H Süd L-Gas Zones: NCG L West, NCG L Ost Hub GASPOOL NCG Quality H-Gas L-Gas H-Gas L-Gas Zone Ontras GUD GSC GUD GTG Nowega Nord Mitte Süd West Ost # Trades Volume in MWh Price in /MWh -55 3,68-76,95 18,1-25,2 6,45-64,93 3,5-13, # Active UN * As of

21 PEGAS Liquidity Summary - Futures 1,96 TWh traded in TWh from Jan-Oct monthly averages: 97 members 3,285 trades 97 TWh traded

22 Hub Repartition Futures 22

23 PEGAS Market Share on Cleared TTF Futures PEGAS Market Share (Exchange Screen Trading) January % October % Focus on Calendars Contracts (Exchange Screen Trading) January % October %

24 Hub Repartition Futures (without TTF) 24

25 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Hub Activity - Futures Markets Volume NCG Futures (Exchange+TR) GWh % 12 3 Volume GPL Futures (Exchange+TR) GWh % Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Month Quarter Season Calendar Volatility (source Thomson Reuters) Oct-17 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Month Quarter Season Calendar Volatility (source Thomson Reuters) Volume TTF Futures (Exchange+TR) GWh % 12 3 Volume CEGH VTP Futures (Exchange+TR) GWh % Month Quarter Season Calendar Volatility (source Thomson Reuters) Month Quarter Season Calendar Volatility

26 OTC-Trades Registration: STP and PEGAS OTC-Web-Platform Powernext and ECC offer Straight-Through Processing (STP) of OTC deals from the Broker directly to ECC Transaction realized on Broker screen, subsequent position opened directly on Members clearing account Full automation of trade confirmation is possible Reduces operational risks and manual interactions by avoiding manual re-entry of trades captured in the Broker system, as well as manual confirmations in the clearing system - Pegas OTC Web interface offers a manual possibility to register a bilateral as well brokered (derivatives) deal at ECC - The OTC Clearing web service is either accessible through the Internet ( and/or for Global Vision Direct screen s users on a dedicated tab of the workbook.

27 OTC-Trades Registration Volumes: STP and PEGAS OTC-Web-Platform

28 Spreads Locational & Time Spreads Together, time and locational spreads representing round 15% of PEGAS futures volume and tendency is growing 28

29 PEGAS Agenda Planned Initiatives Migration of PEGAS Futures Markets to T7 back-end 8 December 17 Introduction of CZ 8 December 17 Introduction of OTF market instead of Non-MTF Options on TTF and NBP, OTC registration 18 January 18 Reduce close-out period (d-2) DCP Implementation PEGAS 218 Prompt product offering (WKNW, BOW, BOM, weeks, half months) Trade at Settlement (TAS), Trade at Index (TAI) Proposal Temperature products Q1 Q1-Q2 New markets: Italian Spot, Spain markets, EE markets 218 LNG index contract 218 Decrease of price tick in spot in preparation 218 Q3 29

30 Technical model when migrating to T7 As of December 8 th, 217 PEGAS Futures back-end will switch to T7 Traders will still need to use Trayport as a Back End to connect to PEGAS Spot markets Traders can also continue to use Trayport as Front End to connect to PEGAS Futures markets (especially to have all PEGAS products on the same screen), but can also use other frontends (T7, TT, or any allowed ISV) 217 3

31 T7 Migration Motivation Attract financial companies already connected to T7 All products will be listed with 1 MW volume tick more attractive for smaller players Closer link to power and other EEX Group products possibility to offer spark spreads in the future PEGAS options could be launched easier on-screen in a second step (OTC-Registration for gas options will be launched on 18 January) 31

32 T7 Member connectivity Connectivity impact for Spot only members No changes for Direct Screen or TGW users PEGAS Futures prices only available for Joule Direct users connected through GV Portal Connectivity impact for Spot and Futures members Direct Screen users need to switch to Joule Direct before go-live No changes for TGW users except Venue and Broker code Possibility to use a different front-end but only for Futures Connectivity impact for Futures only members Direct Screen users need to switch to Joule Direct before go-live No changes for TGW users except Venue and Broker code Possibility to use a different front-end

33 T7 Trading via Trayport Screen For the Spot contracts, nothing would change (venue and code will stay PGAS) For the Futures contracts, the code to trade on screen would be EEX and not PEGAS: 1 MW products (not possible to have 5 anymore): under the PGAS venue Using the EEX code to trade on screen Using the GFI/TFS code to do OTC registration Non-MTF / OTF products: under the PGANM venue Using the EEX code to trade on screen Using the GFI/TFS code to do OTC registration PGAS EEX PGAS DayAhead PGAS PGAS PGAS 33

34 PEGAS Futures product offering (1) Gas Futures Outright Additional maturities will be introduced on all our delivery area. TTF NCG GPL PEG Nord TRS ZTP PSV PSV Fin CEG H ETF PXE NBP ZEE Month Quarter Season Calendar * All Products will be available as Regulated Market and OTF (except PSV Fin) All products will be listed with 1 MW or 1 MWh minimum quantity/volume tick (except for TRS, 1 MWh) The Settlement Window will be moved by 15 minutes (5: - 5:15 pm CET) Settlement Prices will be systematically computed for a standard batch of Products (corresponding to the existing PEGAS Futures offering before T7). For other tradable Futures contracts, Settlement Prices will only be computed for contracts with an open position

35 PEGAS Futures product offering (2) Gas Futures Geographical Spreads Existing Spreads between delivery areas will be available for all listed Outright maturities, with a few exceptions at launch (Spreads between PEG N and MW quoted areas will not be available from the start by shall be introduced by mid-january) Gas Futures Time Spreads At launch, Time Spreads will be limited to 3 combination for each Product group : ex: M1xM2, M2xM3, M1xM3 for Month Futures, Q1xQ2, Q2xQ3, Q1xQ3 for Quarter Futures, etc. Time Spreads shall be extended to 6 combination for each Product group around mid February. OTC Clearing Powernext s OTC Web platform will be maintained Straight Through Process (STP) technology will remain. Customer will also have access to EUREX s Trade Entry Service system (TES) Launch of Gas Options It is planned to have Gas Options listed on T7 as of January 18th, /11/217 35

36 T7 Migration Functionality Changes (1) Order types and matching : Automatching of orders will be introduced, meaning that it will be possible to insert Limit Orders at the same price of an opposite order already in the orderbook. These orders will then be automatically matched All or none functionality, which enable a trading participant to prevent its orders from being partially executed, will not available anymore after the migration to T7 36

37 T7 Migration Functionality Changes (2) Pre-trade Limits T7 offers basic pre-trade limit functionalities Third Party Trading Members will now be able to distinguish their activity type at the order level Cross trading As T7 does not prohibit a Member to enter two opposite-sides orders at the same price, self trading will be technically possible. Possible to avoid trading between 2 traders of the same company on Trayport screen Not possible today to avoid trading between 2 different companies These behaviors will be closely monitored by our Market Surveillance team to prevent any abuse

38 T7 Migration Functionality Changes (3) MIFID II compliance New fields for MiFID compliance on order entry Algorithmic trading or not Proprietary or Agent trading Hedging transaction Transaction and position reporting done at group level

39 Changes in the technical fee price list Trayport users No changes Spot and Futures traders will pay the same price T7 users Futures only One single cost for Power and Gas (no additional costs for Gas Futures) TT users Futures only One single cost for Power and Gas (no additional costs for Gas Futures)

40 Integration of CEGH CZ products into PEGAS PEGAS CEGH Czech products will be listed on the PEGAS on the 8 th of December Spot products will be listed on TrayportGlobal vision system Futures contracts will be listed on Deutsche BörseT7 system.. The delivery point of all PEGAS CEGH Czech products & contracts is the Czech VTP. Benefits for customers One rulebook to access CEGH CZ Gas Exchange & PEGAS products & contracts incl.: All existing CEGH Czech Gas Exchange products & contracts integrated in PEGAS rulebook OTC Clearing services extended to PEGAS CEGH Czech Futures Spreads with TTF, NCG, GASPOOL and CEGH VTP for all products 24/7 Czech Spot products, lower minimum trade size for Czech Futures contracts Existing Pegas trading licenses (18 ) can be used to trade on PEGAS CEGH CZ Membership A 6 month membership fee holiday will be applied for all existing PXE clients & any new clients joining the PEGAS CEGH CZ hub during 218. Simplified set-up process: customers will need to sign and send back to PXE the Transfer Form Trading Fees 217 4

41 EEX/ PEGAS: Transition non-mtf to OTF (1) Basis Substitution of current Non-MTF solution by a MiFID II conform approach via OTF procedure With the start of MiFID II contracts are only classified as non-financial contracts if they fulfill the following criteria ( IC6-Remit -Carve-Out): 1. Wholesale energy contracts 2. Traded at an OTF 3. Mandatory physical settlement Status EEX / PWX applied for an OTF market license, both, non-financial contracts and at least one financial contract must be listed on that market to fulfill the OTF criteria Status: review ongoing, feedback expected Nov 217 EEX Link as liquidity bridge: assessment is still ongoing if this will be continued for OTF market as well as alternative solutions 41

42 EEX/ PEGAS: Transition non-mtf to OTF (2) Changes and Actions Classification of contracts into non-financial instruments and financial instruments OTF membership will be required for EEX/PWX OTF market access For trading in non-financial contracts only a balancing agreement will be required (no close-out agreement) non-mtf Classification non-financial Products non Financial Products Physical Fulfillment Can be physically settled Must be physically settled OTF (as of ) Financial Products Can be physically settled Reporting obligations REMIT REMIT MiFID II + EMIR + REMIT 42

43 EEX/ PEGAS: Transition non-mtf to OTF (3) Implementation Timeline Until Mid of Nov 217 Mid/ End Nov 217 End Nov Approval French and German regulator (AMF/SMWA) Customer Communication Clearing Circular incl. Contract Specification Admission process + Balancing Agreement Registration of NCMs for OTF market places* Position Close Out For NCMs with open positions in classified non-financial products and no existing balancing agreement a close-out process will apply Go Live OTF Market *For Powernext a new annex to the trading agreement needs to be provided *For EEX the new general terms and conditions need to be accepted only (pending on approval by German authority) 43

44 Status Automated Trading / Algos Participants using, or intending to use any algorithm on PEGAS Regulated Market from must provide T2a form to membership@powernext.com The information is mandatory according to MIFID II Regulation PWX offers its members the possibility to test their algos in the standard simulation environmnet of T7 Trading System. To get access simulation, please contact PWX Market Ops gas@powernext.com If you are using algos for PEGAS Spot and Pegas Non-MTF (OTF), please provide information required in the table

45 PEGAS Options Traded Volumes on Cleared Gas Options markets have been increasing last years Options can drive futures volumes (due to Delta hedging) TTF is the key market to enter NBP is also very important for options, but it is already «well covered» (primarily by ICE) Besides TTF and NBP, other hubs such as NCG, Gaspool, or PSV could be interesting, but it is unlikely that they will generate significant revenues all hedging is performed against TTF PEGAS Offer: TTF (Launch: 18 th Jan. 218), NBP (Tbc) Futures up to M+35 Option up to M+6, Q+6, S+6, C+3 (tradability to be finalized) Around 2 strike prices below and 2 strike prices above the market prices 4 strike prices per maturity Strike price tick of.5 /MWh for TTF, and,1 p/therm on NBP OTC registration via STP (Trayport s ClearLink and EFNET s ExRP) European style options Automatic exercise if in-the-money, with possibility to opt out Last trading day= Exercise Day = D-5 (calendar days)

46 Direct Clearing Participant Model Status Today exchange members need a Clearing Member (CM) to participate in trading Despite high number of Clearing Banks some companies (especially SME) still have problems finding a CM (unreasonable pricing, small transaction volumes and/or only occasional trading activities) To tackle this, ECC introduced a new membership category: Direct Clearing Participants (DCPs) ECC introduced a new membership category Direct Clearing Participants (DCPs)

47 Thank you!!