Workshop on Target Model

Transcription

1 Workshop on Target Model Friday July 20th ΟΤΕAcademy, Athens HEnEx Spot Markets Trading Rulebook: Day-Ahead Market Dr. Christoforos Zoumas

2 Overview 2 Day-Ahead Market: HLMD & Regulatory Guidelines Spot Markets Membership HEnEx Markets Overview / DAM Overview Participation in Day-Ahead Market Day-Ahead Market Process & Timeline

3 Spot Markets Trading Rulebook: Day-Ahead Market Day-Ahead Market: HLMD & Regulatory Guidelines

4 Day-Ahead Market : framework & Guidelines 4 Semi-compulsory Market Compulsory for producers Obligation to submit orders to cover availability Bidding on a physical asset basis per Unit/per Bidding-Zone/per Interconnection for Producers, Traders and Suppliers Portfolio bidding allowed for RES Aggregators and RES producers Products : Day-ahead hourly energy contracts Orders compatible with PCR standards Matching Method: PCR Auction EUPHEMIA (Isolated or Coupled mode) Exchange-based Futures and OTC Forward Contracts with physical delivery are registered in the Energy Trading System (ETS) of DAM, nominated (Physical Delivery / Offtake Nominations) on a physical asset basis and enter DAM, through the submission of Priority Price Taking Orders by HEnEx Limits on the volume of Exchange-based and OTC Forward Contracts of Suppliers in order to maintain the liquidity and the price formation of DAM

5 Spot Markets Trading Rulebook: Day-Ahead Market Spot Markets Membership

6 Membership / Eligible Trading Participants 6 Holders of relevant License Producers, Suppliers, Self-Supplying Customers (no License requirement) Traders, RES Producers (or eligible for License exemption), RES Aggregators By Law or Regulation Transmission System Operator (IPTO), RES & CHP Units Registry Operator (DAPEEP) RES Last Resort Aggregator, and Last Resort Supplier / Universal Service Supplier

7 Membership / Eligible Clearing Members 7 Direct Clearing Member (DCM) - eligible to clear their own transactions All HEnEx Trading participants, which are legal entities and have their registered seat or branch in Greece or abroad General Clearing Member (GCM) - eligible to clear the transactions of Trading Participants Financial Institutions of Law 4261/2014 and Investment Firms of Law 4514/2018, given that they fulfill the requirements of Article 13 par. 1(b) of Law 4425/2016

8 Membership / Prerequisites & Obligations 8 Participation Application Balancing contract with the TSO Clearing Agreement with Energy Clear or with a GCM Appropriate organizational/operational structure internal control, data protection procedures, etc Submission of Memo, concerning the organizational structure of the Eligible Trading Participant Certified Traders Professional qualifications Trader Qualifications and exams Payment of the relative fees

9 Spot Markets Trading Rulebook: Day-Ahead Market HEnEx Markets Overview / DAM Overview

10 Derivatives & Spot Markets / Timeline 10 Futures & Forward Contracts Physical Delivery Futures & Forwards Registration & Nomination Day-Ahead Market Intra-Day Market Y- n up to D-2@15:30 D-2@17:00 up to D-1@10:00 D-2@11:00 up to D-1@13:00 1 ST LIDA : D-1@14:00 up to D-1@15:00 2 ND LIDA/1 ST CRIDA : D-1@16:00 up to D-1@18:00 3 RD LIDA/2 ND CRIDA: D@05:00 up to D@08:30 1 ST Session Continuous Trading D-1@23:30 up to 60 min before Physical Delivery 2 ND Session Continuous Trading D@08:30 up to 60 min before Physical Delivery Derivatives Market Spot Markets

11 DAM Processes / Overview 11 11:00 EET, d-2 13:00 EET, d-1 13:24 EET, d-1 13:55 EET, d-1 Pre-Coupling Coupling Results Post- Coupling Clearing Participants CCC / IPTO DAPEEP Energy Clear HEnEx MCC, NEMOS, HEnEx MCC, NEMOs, TSOs (HEnEx, IPTO) Participants Energy Clear Clearing Members

12 Spot Markets Trading Rulebook: Day-Ahead Market Participation in Day-Ahead Market

13 Energy Trading System (ETS) 13 Registration of Products and Order Types Interface with Energy Clear for receiving Credit Limits and notifying results Interface with TSO for assets, unit availabilities and PTRs Registration and Nomination: of Forward Contracts for Physical Delivery, NDP calculation, PDN/PON submission and validation Orders :Submission, validation, creation of anonymous Order Book Connection with MC infrastructure: PCR Matcher and Broker, Algorithm/ e-platform CRIDAs/ XBID Results: Reception, decryption and notification LIDAs: Execution

14 DAM- Participation / Sell Orders Sell Orders Producers for Generating Unit(s)up to the Available Capacity (over Physical Delivery Nominations) RES Producers for Dispatchable & Non-Dispatchable RES Portfolio(s) up to the Available Capacity of RES Units for which there is no Physical Delivery Nominations RES Aggregators for Dispatchable & Non-Dispatchable RES Portfolio(s) up to the sum of the Registered Capacities of the RES Units of their Portfolio(s)for which there is no Physical Delivery Nomination Suppliers & Self-Suppling Customers for Dispatchable & Non- Dispatchable Load Portfolio(s)for Physical Offtake Position Correction Traders, Suppliers & Self-Suppling Customers with Long-Term PTRs in coupled Interconnections & Long-Term & Short-Term PTRs in noncoupled Interconnections for Imports for which there is no Physical Delivery Nominations

15 DAM- Participation / Buy Orders Buy Orders Producers for Generating Unit(s) for Physical Delivery Position Correction and/or for the Auxiliary Loads of their Generating Unit(s) RES Producers for their Dispatchable & Non-Dispatchable RES Portfolio(s) for Physical Delivery Position Correction and/or for the Auxiliary Loads of the RES Units included in their RES Portfolio(s) RES Aggregators for their Dispatchable & Non-Dispatchable RES Portfolio(s) for Physical Delivery Position Correction and/or for the Auxiliary Loads of the RES Units of their Portfolio(s) Suppliers & Self-Suppling Customers, for their Dispatchable and Non- Dispatchable Load Portfolio(s) for which there is no Physical Offtake Nomination Traders, Suppliers, Producers, RES Producers and RES Aggregators, Long- Term PTRs in coupled Interconnections & Long-Term & Short-Term PTRs in non-coupled Interconnections, for Exports for which there is no Physical Offtake Nomination

16 DAM- Participation on behalf / Priority Sell Orders The TSO for the scheduled production of each Generating Unit in Commissioning or Testing Operation and each RES Portfolio for RES Units in Commissioning or Testing Operation and for the Mandatory Hydro Injections for each Hydro Unit Priority Price- Taking Sell Orders The RES Last Resort Aggregator for the forecasted production of each RES Portfolio The RES & CHP Units Registry Operator (DAPEEP) for the forecasted production of each RES FiT Portfolio and for the Priority Declarations of each High-Efficiency Cogeneration Dispatchable Unit HEnEx for the energy quantities of the Exchange Based and the OTC Forward Markets that have been nominated in the ETS through validated Physical Delivery Nominations

17 DAM- Participation on behalf / Priority Buy Orders Priority Price- Taking Buy Orders The TSO for the forecasted Transmission System Losses HEnEx for the energy quantities of the Exchange Based and the OTC Forward Markets that have been nominated in the ETS through validated Physical Offtake Nominations

18 Proposed Euphemia Types of Orders 18 Step-wise Orders Linear piece-wise Orders Block orders Allow Participants to achieve technical feasibility Final Set of Available Order Types for the Greek Bidding Zone(s) under RfC approval

19 Spot Markets Trading Rulebook: Day-Ahead Market Participation in Day-Ahead Market

20 Physical Settlement of Futures & Forward Products 20 Clearing House Participants ETS HEnEx Registration to ETS Nomination Validations Priority Priced Orders in DAM NDPx & NDPBOTC calcs PDNs PONs NDP Long PTRs Unit Availability Local Order Book NDP penalty calcs till 17:00 EET, d-2 till 10:00 EET, d-1 till 10:30 EET, d-1 at 10:30 EET, d-1

21 DAM Processes + Timeline (1/4) 21 09:35 10:00 10:15 10:30 10:25 IPTO submits to HEnEx the nominated LT PTRs of the Participants per border and per direction IPTO : Participants Update + portfolio update, availabilities, etc continuous Participants submit Techno-economical declarations to IPTO Energy Clear calculates the Credit Limits and determines the suspended Participants Energy Clear notifies to the Clearing Members the Credit Limits and Risk Management Params Energy Clear updates the Credit Limits (Cont) Participants submit Unavailability Declarations (Cont) DAPEEP submits RES & CHP Units registry update, RES Aggregators Registry Update 10:30 10:30 DAPEEP submits Priority Price Taking Order for the Priority Declaration of the High-Efficiency Cogeneration Dispatchable Units and for the forecast of RES FiT prortfolios Priority Price Taking Orders for dispatchable and RES units in commissioning/testing, mandatory hydro injections.

22 DAM Processes Timeline (2/4) 22 10:30 10:30 10:45 IPTO submits Priority Price Taking Orders for dispatchable and RES units in commissioning/testing, mandatory hydro injections. IPTO publishes the Cross-Zonal Capacities HEnEx submit on behalf of Participants Priority Price Taking Orders for the Nominated PDNs & PONs. DAPEEP, IPTO, RES Last Resort Aggregator publish the Priority Price Taking Orders HEnEx publish aggregated figures of the Registered Forward Positions, Priority Price Taking Orders for the Nominated PDNs & PONs and the List of Suspended Participants. 11:15 11:30 12:00 13:00 IPTO submits to HEnEx the Shot-term PTRs Orders Validations Gate Participants Submit Buy & Sell Orders (failed Orders are Canceled) CCC Submits to HEnEx and HEnEx to MCO the Cross-Zonal Capacities, HEnEx publish the CZCs HEnEx calculates the available margins of Sell Orders for each Unit and Participant/Border Orders submission Gate Closure HEnEx s Spot Markets Trading Rulebook: Day-Ahead Market Operations, Friday 20 th July 2018 ΟΤΕAcademy, Athens

23 Day-Ahead Market - Validations Time Price Credit Quantity Orders must be submitted within DAM Gate Open & Closure Times Price CAPs and Floors under relevant Regulatory decision must be respected Buy Orders within Credit Limits set by the Clearing House and/or the GCMs Priority Price-Taking Buy Orders valuation using Price determined daily by the Clearing House Nominations vs NPD PTRs validations NCAP validation Margin p,i,h for Interconnections Margin p,i,h for Units Energy quantities from Futures/Forward Contracts with Physical Delivery should not exceed A% for every Supplier with a market share of x%

24 DAM Processes + Timeline (3/4) 24 13:05 13:24 HEnEx anonymizes the Local Order Book and submits it to the Common Order Book All NEMOs capable of running the Algorithm execute the PCR Auction / EUPHEMIA MCO submits to HEnEx the Preliminary Market Coupling Results 13:42 HEnEx validates the Preliminary MC Results and submits Preliminary MC Results Confirmation HEnEx submits to TSO the Preliminary MC Results for it s validation/confirmation HEnEx publish the Preliminary Market Coupling Results 13:55 15:00 In case no NEMO or TSO had rejected the Preliminary MC Results, MCO sends the Final MC Results Confirmation HEnEx notifies the Order Execution Status for each Order to the Participants (Market Results). HEnEx publishes the Market Results at its website (aggregated : anonymous Sell/Buy Orders, quantities of Block Orders, market schedules for technology portfolios, Bidding Zone(s) Prices) HEnEx provides the Market Results to Energy Clear for Clearing / Settlement

25 Thank you for your attention! Dr. Christoforos Zoumas