Intraday-cross-border-netherlands-belgium

Intraday Cross Border The Netherlands-Belgium

11/02/2011 2

Content

1. Overall design 1. Process description

2. Capacity calculation

3. Elbas trading platform

4. Tradable products

5. Timeline & Nominations

2. Contractual impacts

3. Price boundaries

4. Transparency

11/02/2011 3

Content







3. Price boundaries

4. Transparency

11/02/2011 4 4

Intraday Market Coupling

Until 16/02/2011 :

• Continuous trading of hourly and multi-hour products • BE: until 5 min before delivery

• NL: until 1h30 before delivery

• Two steps required for cross border ID deal • Secure cross border capacity via explicit pro-rata allocation

mechanism

• Trade the commodity

11/02/2011 5 08/10/2010 5

Intraday Market Coupling

After implementation of implicit cross border capacity allocation:

• Continuous trading of hourly and block products • BE: until 5 min before delivery

• NL: until 1h30 before delivery

• Orders become available for trading in other market • BE orders in NL; NL orders in BE

• between 21h00 D-1 and 1h30 to 2h30 before delivery

• if cross border capacity is available

Only one step required for cross border ID deal!

11/02/2011 6 08/10/2010 6

NL-BE solution

Shared Order Book

Matching Algorithm

APX-ENDEX

NL market

Clearing/

Notification

Systems

Elia, TenneT operators

Capacity Matrix

Belpex

BE market

Clearing/

Notification

Systems

Elbas system

• Hosted by NPS

• Local operations by APX/Belpex

• Separate from NPS Elbas market

11/02/2011 7

NL-BE solution: High Level Architecture

ELBas

Trader

TradingXB

Application

EuroLight

Elia

Nominations

TenneT

Nominations

Shipper

Hub / XB

Nominations

Shipper

Hub / XB

Nominations

Elia

Capacity

TenneT

Capacity

Elia

Operator

ATC

Submission

APX-ENDEX

Operator

Market Surveillance /

ATC MaintenanceMonitoring Hub

Nominations

Settlement

SFTP

Service

11/02/2011 8 8

Interim solution

• Interim solution, as much as possible based on existing systems

• Elbas as–is

• Clearing and settlement as–is (via Eurolight)

• Minimal impact TSO systems

• XBID application to be built by the PXs

– connect Elbas to Eurolight and new functionality of cross border nominations

– taking into account the existing infrastructure.

• Important improvement of today’s allocation mechanism • Continuous implicit allocation, coupling of existing ID markets

• Initial Scope: NL-BE

• Potential: NL-DE and NL-NO targeted, FR-BE can be investigated

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Interim solution

• Facilitates development of an enduring solution • Refinement of target requirements, based on learning experience

• Governance framework can be re-used for enduring solution, although not a necessity

• Strong commitment of APX-Endex, Belpex and Nord Pool to support establishing the enduring Target Solution, in part given by shared views and secured by similarities in shareholder structures

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Advantages of Intraday Market Coupling

• Removes unnecessary risks of trading separately short-term transmission capacity and energy

• Guarantees the optimal utilization of cross-border capacity

• More efficient generation capacity utilization

• Less prone to market abuse (no capacity hoarding)

• All market participants benefit from cross-border capacity

• Encourages liquid, robust spot markets

• Optimal use of capacity

• Single market

• Efficient market

1 further step

towards European Internal Energy Market

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Market A

Sell

Market B

Buy Sell Buy

S:50MW@75€

S:25MW@70€

P:30MW@60€

P:25MW@65€

P:45MW@60€

S:20MW@80€

P:25MW@65€

S:25MW@70€ P:50MW@70€

Continuous implicit capacity allocation

No capacity (comparable to today’s situation)

S:20MW@80€

Market A: Liquid / low spread Market B: few sell / high spread

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Market A Market B

60 S:50MW@75€

S:25MW@70€

P:25MW@65€

S:25MW@70€ S:25MW@70€

S:35MW@75€

P:50MW@70€

P:45MW@60€

ATC

ATC A->B = 60 MW

P:50MW@70€

P:10MW@65€ P:25MW@65€

S:20MW@80€

P:30MW@60€

S:20MW@80€

• With 60 MW capacity from A to B

• 60 MW cheapest sell orders in A are shown in B

• 60 MW most expensive buy orders in B are shown in A

Sell Buy Buy Sell


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Market A Market B

60

S:20MW@80€

S:50MW@75€

S:25MW@70€

P:25MW@65€

S:25MW@70€ S:25MW@70€

S:35MW@75€

P:50MW@70€

P:45MW@60€

ATC

ATC B->A = 30 MW

30

P:50MW@70€

P:10MW@65€ P:25MW@65€ P:25MW@65€

P:30MW@60€

S:20MW@80€ S:20MW@80€

• With 30 MW capacity from B to A

• 30 MW most expensive buy orders in A are shown in B

• 30 MW cheapest sell orders in B are shown in A (but only 20 MW available)

Sell Buy Buy Sell


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Market A Market B

60

S:20MW@80€

S:50MW@75€

S:25MW@70€

P:25MW@65€

S:25MW@70€ S:25MW@70€

S:35MW@75€

P:50MW@70€

P:45MW@60€

ATC

Matching

P:50MW@70€

P:10MW@65€ P:25MW@65€ P:25MW@65€

30 P:30MW@60€

S:20MW@80€ S:20MW@80€

• A sell order of 25 MW in market A can match a buy order in market B

Sell Buy Buy Sell


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Market A Market B

S:50MW@75€

P:25MW@65€

S:35MW@75€

P:45MW@60€

P:25MW@70€

Netting

35

ATC

P:25MW@65€

P:25MW@70€

S:20MW@80€

55 P:30MW@60€

P:10MW@65€ P:25MW@65€ P:25MW@65€

S:20MW@80€ S:20MW@80€

• 25 MW of capacity used in the direction A -> B (ATC A->B = 60 – 25 = 35)

• 25 MW can be netted in the direction B -> A (ATC B->A = 30 + 25 = 55)

• Orderbooks are updated accordingly

Sell Buy Buy Sell

Continuous implicit capacity allocation makes intraday markets more efficient and creates more

opportunities for market players


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Content







3. Price boundaries

4. Transparency

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Calculation of NTC ID - general

NTC ID calculated by

Elia

NTC ID calculated by TenneT

Minimum NTC ID is calculated

ATC ID (inclusive netting) is calculated

and published

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Calculation method at Elia – NTC DA

• A NTC for a day D is calculated on W-1 :

– DACF file of a historical day

– Coordination within CWE

– Taken into account : grid topology, generation data, overall load, import/export per area, weather conditions ...

• on D-2 :

– reevalution of NTC calculated in W-1

– Taken into account new information of parameters regarding grid topology, generation data, weather conditions ...

– Coordination in CWE

• Finalised on D-1 in the morning

11/02/2011 19 19

Calculation method at Elia – NTC ID

• D-1 @ 15h00 : start of grid security analysis

• D-1 @ 18h00 : deadline to announce to ARPs modifications to nominations of generation units + start of "ID production" procedure

• D-1 @ 18h00 : DACF file of each hub must be available for day D

• D-1 @ 18h00 : CORESO calculates "combined DACF file"

• D-1 @ 19h00 : Elia starts calculation of NTC ID based upon "combined DACF file" and coordinates with TenneT on minimum value + computation of ID ATC (taking into account Y-M-D nominations, inclusive netting)

• D-1 @ 20h30 : ATC ID publication

11/02/2011 20 20

Calculation method at Elia – NTC ID

• Special tool calculates NTC ID on both BE-NL & BE-FR borders (linear optimisation algorithm)

• Calculation of flows to obtain maximal NTCs on both borders in both directions, based upon :

• Base Case (="Combined DACF file"), including last update of

– Generation

– Grid topology

– Import/export of each hub

– Already allocated capacity Y+M+D

– Weather conditions

• in CWE and neigbouring regions.

• Elia values of NTC ID are sent to TenneT

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Calculation method at TenneT – NTC ID

• The calculation method is very similar to the one from Elia:

– Based on the NTC determined for day-ahead market

– Reductions may be applied due to the results of the Net Secure Analysis, starting at 19:00, which is based on

• the "combined DACF-file"

• Most recent load info is taken into account

– Taking into account maximum values for import/export on Dutch borders

11/02/2011 22 22

Submission of ATC values to Elbas

Elia

Calculate

Intraday ATC

TenneT

Calculate

Intraday ATC

Elia

Upload ATC

To ELBas

TenneT/Elia

Confirm

Intraday ATC

Elia

Receive

Day-Ahead

Nominations

TenneT

Receive

Day-Ahead

Nominations

ELBas

Interpret

Intraday ATC

Elia

Confirm ATC

In ELBas

ELBas

XB Trading

Available

11/02/2011 23

Content







3. Price boundaries

4. Transparency

11/02/2011 24

Elbas today

• The only cross border intraday market in Europe

• Continuous 24/7 trading

– Individual hours

– Blocks bids

• A tool to adjust trades made in the day-ahead market before hour of delivery

• Fast developing liquidity:

– 1.8 TWh in 2008

– 2.3 TWh in 2009

• Real-time

• Reliable

• Proven

Sweden

Finland

Norway

Denmark

Germany

11/02/2011 25 25

The Elbas model as-is

• Developed during the nineties

– Customer need for adjustment of day-ahead schedules before hour of delivery

– Risk and uncertainty due to expensive and unpredictable balancing market

– Need for a more efficient use of the remaining cross border capacity after day-ahead trading

– Potential for a better use of production flexibility across borders

11/02/2011 26

Sweden

Finland

Norway

Denmark

Germany

Netherlands

Belgium

Elbas ad-interim

• Implicit cross border trading makes better use of grid capacity: Immediate improvement of current situation NL-BE

• Potential to link NL-BE to NO and GE:

– Access to counterparts with different product mix

– Access to counterparts with different weather conditions

– Access to counterparts with different marginal costs

– Increases the potential for flexible producers (i.e. hydro)

– Reduces the risk of the balancing market

– Reduces the risk of prices below marginal cost

– Learning experience to help develop enduring Target Solution

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•Only bids for which its possible for you to enter as counterparty, limited by the ATC to/from the area you are located

Information on prices and volumes for series that are open for trade.

• All functionalities can be accessed from the menus (upper part)

•Important functions also via left mouse-button. E.g., by clicking the best buy- or sell bid contracts can be sold or bought.

The Price Information window

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Priority order of bids: 1. price 2. arrival of the bid to the bid register

A bid consists of: - the product, i.e. the series - the volume - the price

The bid is binding until: - a trade happens, the bid is changed or cancelled - i.e. a bid can be changed or cancelled until a bid finds counterparty in the market

PH(hh)(yy)(mm)(dd)

The bid

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•Valid bid,”State”-column is ”Active”

•Bid on hold, ”State”-column is

”Inactive”

•Cancel bids by selecting them and

clicking ”Cancel Order”

• Change bids by selecting them and

clicking ”Change Order”

• (In)Activate by selecting the bids

and clicking ”Activate” or ”Inactivate”

• (In)Activate all bids simultaneously

by selecting ”Activate All” or

”Inactivate All”.

Monitor and change your own bids

The Order Book

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Content







3. Price boundaries

4. Transparency

11/02/2011 31 31

Tradable products

• Two type of products

– Hourly limit orders

• Can be filled partly

– Block orders

• P & V same for all hours

• Block orders can only match with other (identical) block orders

• All or none

• Minimum tick sizes: 0.1 € and 1.0 MW

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Content







3. Price boundaries

4. Transparency

11/02/2011 33 33

Short overview explicit allocation

Market participant nominates cross border and both hubs

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Short overview implicit allocation

APX XBSHIP APX CCP

APX XBSHIP Belpex Market Participants

NL - TENNET

Net position: +25MW

BE - Elia

Net position: -25MW

Market Participants

25MW

25MW

25MW

Cross border nominations

Hub nominations related to XBID cross border flows

Hub nominations with market participants

Market participant does one hub nomination

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Impact nominations for market participants

• Changes are as limited as possible

• When doing a trade on the market-screen

– Nominate local hub, according to the local hub nominations criteria (counterparty PX)

– Cross border nominations will be handled by PX

– No difference (nor additional information) compared to deals within the country

11/02/2011 36 36

Impact nominations for PX

• Additional nominations are to be handled

• When parties do a cross border transaction

– Deal is split up between the hubs

– Shipping (cross border) is nominated by separate BRP (APX)

– There will be additional nominations between PX and Shipper

– 1 cross border deal results in 5 nominations by 5 BRPs

• All nominations need to be consistent

11/02/2011 37 37

Impact nominations for TSO

• Changes are as limited as possible

• When doing a trade this results for the TSO in

– One shipping entity to provide all the cross border nominations (intraday)

– Only local hub nominations from (local) market participants

– Gates are only used for TSO-TSO matching of Import and Export nomination by market participants

11/02/2011 38 38

Deadlines trading overview

• Cross border trading on Elbas

– based on the confirmed ATCs

– continuously possible until the deadline for the nomination gate

• Deadlines

- Cross border trading is possible until 1h30 or 2h30 before the beginning of the delivery period.

- Trading on the Belgian hub is possible until 5 minutes before the beginning of the delivery period.

- Trading on the Dutch hub is possible until 1h30 before the beginning of the delivery period.

11/02/2011 39 39

Deadlines nominations overview

• Nominations to the TSOs

- Cross border nominations by APX cross border shipping agent: TSOs must receive nominations following the gate system in place (ex-ante)

- Hub nominations in Belgium by Belgian market participants: ELIA must receive nominations before 14h00 D+1 (ex-post)

- Hub nominations in the Netherlands by Dutch market participants: TenneT must receive nominations 1 hour before the delivery period (ex-ante)

11/02/2011 40 40

Gates overview

• Cross border trading continuously possible

• Until 1h30 (odd hours) or 2h30 (even hours) before the start of the delivery period

Gate

Hour ("H")

Door

Opened at

Door

Closed at

Scope of the gate

21 21h00 22h00 next day (00h -> 24h)

23 23h00 00h00 next day (01h -> 24h)

01 01h00 02h00 current day (03h -> 24h)

03 03h00 04h00 current day (05h -> 24h)

05 05h00 06h00 current day (07h -> 24h)

07 07h00 08h00 current day (09h-> 24h)

09 09h00 10h00 current day (11h -> 24h)

11 11h00 12h00 current day (13h -> 24h)

13 13h00 14h00 current day (15h -> 24h)

15 15h00 16h00 current day (17h -> 24h)

17 17h00 18h00 current day (19h -> 24h)

19 19h00 20h00 current day (21h -> 24h)

11/02/2011 41 41

Example for Gate 05 (scope 7h00 till 24h00)

Nominations: • Trade concluded (e.g 5MW for 7h00-9h00) after closing G03, cross border

nominations to the TSOs at the latest at G05

• = 06h00 at the latest

• The PX system will send the netted cross border nominations to TenneT and

ELIA respectively

• The market participants nominate the deal on internal local hub nomination

• TenneT before 06h00, Elia before 14h00 D+1

Trading scheme: • Belpex local trading closes 5 minutes before the delivery period (06h55)

• APX-ENDEX local trading closes 1h30 before the delivery period (04h30)

• Cross border closes 1h30 or 2h30 before gate closure (04h30)

11/02/2011 42 42

Deadlines trading/nominations overview

11/02/2011 43

Content







3. Price boundaries

4. Transparency

11/02/2011 44 44

APX-ENDEX Market Rules

• No changes will be made to market rules & fees

• Product specification will be available via website

11/02/2011 45 45

Belpex Market Rules & Procedures

• Market Rules

– Ministerial Decree

– October 2010: updated for XBID NL-BE

– Volumes to be expressed in a multiple of MWh

– Prices to be expressed with a maximum of one decimal

– Removal CoDAM

– Entered into force 9 Nov 2010

11/02/2011 46 46

Belpex Market Rules & Procedures

• Market Procedures

– More detailed, within framework set out by MR

– Alignment with MR: 9 Nov 2010

– Limited impact, apart from CoDAM

– Communication at the latest two weeks before (// CWE updates)

– Updates with concrete info for XBID NL-BE:

– Contents

» Trading phases

» Updates w.r.t. ELBas

» ...

11/02/2011 47 47

ARP Contract Elia

• Annex 2

– Reference to explicit allocation updated to implicit allocation

• Annex 5

– No more cross border nominations by ARPs for intraday on BE-NL border

11/02/2011 48 48 48

PV Contract TenneT

• Grid code

– approval awaited by EnergieKamer by 15 February 2011

• INB rules

– Agreement for INB will be ended at the launch of the new intraday cross border NL – BE mechanism

11/02/2011 49

Content







3. Price boundaries

4. Transparency

11/02/2011 50

Price boundaries

• Negative prices will be available

• System has technical limit

– -99 999.99 €/MWh

– Generic setting for all Elbas markets

• Harmonization between markets required

– Actual price boundaries will be communicated in a later stage

11/02/2011 51

Current price boundaries

• APX-ENDEX

– Negative prices possible

– [-3000 €/MWh, 3000 €/MWh]

• Belpex

– Since CWE MC launch, negative prices are implemented

– [-3000 €/MWh, 3000 €/MWh]

11/02/2011 52

Content







3. Price boundaries

4. Transparency

11/02/2011 53 53

Capacity & market data

• Transmission capacities and market data (anonymous) on website Nord Pool Spot, Elia & TenneT

• Customer reports (own orders and trades) and detailed anonymous market information via Elbas

– Price information and market depth

– Transmission capacities

– Trade ticker

– Real-time

• All individual trade data accessible by participant via existing APX-ENDEX / Belpex facilities and protocols

• Anonymous statistics on Belpex website and APX-ENDEX ftp server

11/02/2011 54 54

Transmission capacities (public website)

11/02/2011 55 55

Elbas price information window

Documents

Intraday-cross-border-netherlands-belgium