carbon futures on ice - ieta - home climate... · stephen mccomb carbon futures on ice . 2...
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JULY, 9, 2015
STEPHEN MCCOMB
CARBON FUTURES ON ICE
2
Intercontinental Exchange (ICE) is the leading operator of integrated futures and over-the-counter (OTC) markets, clearing, trade processing and data services for the global derivatives markets
Key Differentiators
The only offering of futures, options and OTC markets on a single screen
Five clearing houses covering futures and OTC in U.S., Europe & Canada
Industry-leading innovation in products and technology
Market and geographic diversity – focus on commercial and institutional market participants
Proven execution of strategic initiatives and effective M&A integration
Overview of Intercontinental Exchange, Inc.
ICE Regulated Futures Exchanges ICE OTC
EUROPE
Energy & Emissions
Brent Crude
WTI Crude
Sour Crude
Gasoil/Heating oil
Natural gas
Electricity
Coal
EU Emissions
Agricultural
Sugar, Coffee
Cocoa, Cotton
Orange Juice
Barley
Canola
Wheat
Corn
Soybeans
Equities and Fins
Currency Pairs
US Dollar Index
Russell Indexes
MARKET DATA
Real-time prices/screens
Indices and end of day reports
Tick-data, time and sales
Market price validations
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ICE Clear Europe
ICE Data & Services
Integrated Markets, Clearing and Technology
ICE Company Overview
US and Canada
Energy
Gas
Power
Environmental
Bilateral Un-cleared
US Energy Gas Power Credit CDS – indexes, single names, structured products BRIX Brazilian Power
Clearing Houses
The Clearing Corp., ICE Clear Credit
ICE Clear U.S., ICE Clear Canada
4
WEBICE
5
ICE FUTURES AND OPTIONS VOLUMES IN ENVIRONMENTAL (LOTS)
-
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
450,000
2011 2012 2013 2014 2015
SO2 & Nox
RECs
RGGI CO2
CA & QC CO2
9,627
76,294
249,919
383,394
314,180 YTD
6
ICE FUTURES AND OPTIONS OPEN INTEREST (LOTS)
0
50,000
100,000
150,000
200,000
250,000
300,000
SO2 & Nox
RECs
RGGI CO2
CA & QC CO2
7
CA AND QC FUTURES AND OPTIONS VOLUMES (LOTS)
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
50,000
8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7
2011 2012 2013 2014 2015
Put
Future
Call
8
CA AND QC CARBON FUTURES AND OPTIONS OPEN INTEREST (LOTS)
0
20,000
40,000
60,000
80,000
100,000
120,000
8/2
9/2
01
19
/27
/20
11
10
/26
/20
11
11
/24
/20
11
12
/23
/20
11
1/2
5/2
01
22
/23
/20
12
3/2
3/2
01
24
/24
/20
12
5/2
3/2
01
26
/21
/20
12
7/2
0/2
01
28
/20
/20
12
9/1
8/2
01
21
0/1
7/2
01
21
1/1
5/2
01
21
2/1
4/2
01
21
/16
/20
13
2/1
4/2
01
33
/15
/20
13
4/1
6/2
01
35
/15
/20
13
6/1
3/2
01
37
/12
/20
13
8/1
2/2
01
39
/10
/20
13
10
/9/2
01
31
1/7
/20
13
12
/6/2
01
31
/8/2
01
42
/6/2
01
43
/7/2
01
44
/7/2
01
45
/7/2
01
46
/5/2
01
47
/4/2
01
48
/4/2
01
49
/2/2
01
41
0/1
/20
14
10
/30
/20
14
11
/28
/20
14
12
/30
/20
14
1/2
9/2
01
52
/27
/20
15
3/3
0/2
01
54
/29
/20
15
5/2
8/2
01
56
/26
/20
15
Futures
Put
Call
9
CA AND QC DAILY SETTLEMENTS (FRONT
DECEMBER CONTRACT $USD/ALLOWANCE)
$10.00
$12.00
$14.00
$16.00
$18.00
$20.00
$22.00
$24.00
$26.00
10
CA AND QC CARBON FORWARD CURVE
$12.00
$12.50
$13.00
$13.50
$14.00
$14.50
V13 V14 V15 V16 V17 V18 Floor+ Floor
11
CCA MARKET SUMMARY
• Deals:
– Puts: 254 deals for lots 39,341, OI at 16,570
– Calls: 183 deals for 18,601 lots, OI at 700
– Futures: 6,754 deals for 407,000 lots, OI at 76,379
• Deliveries (in lots):
– 2012: 1,106
– 2013: 17,797
– 2014: 44,385
– 2015 YTD: 58,294
12
CALIFORNIA AND QUEBEC ALLOWANCE CONTRACTS ON ICE
• Physically deliverable futures contracts on California and Quebec
Carbon Allowances with options
• Size: 1,000 Allowances (1,000 mt CO2e)
• Tick: $0.01 USD ($10.00 USD per contract)
• Contract Listings: Vintage 2013 through 2018
• Compliance Vintage– requires delivery of specified vintage or earlier
• Option Strike Intervals: $0.05 – Flex Listings
• Fees: o Execution: $2.00/lot ($0.002/CCA)
o Clearing: $3.00/lot ($0.003/CCA) trade, $5.00/lot forward delivery, $2.00/lot option exercise, $2.00/lot option allocation
13
SETTLEMENT, POST TRADE AND DATA
• Settlement Prices published daily (ICE Cleared Power Settlement Files & ICE
EOD File)
• Daily Settlement at 3:00pm CST
• Deal reconciliation available on ICE deal reports
Trade on ICE
ICE Technology Agreement (Webice)
ICE User Admin requests access for “Physical Environmental” for relevant users Clearing limits established by Clearing Firm (FCM)
14
ICE Clear Europe Clearing Banks
ICE CONTACTS
NORTH AMERICAN ENVIRONMENTAL MARKETS
STEPHEN MCCOMB MICHAEL KIERSTEAD
Director
ICE Futures US
312-836-6727
Economist
ICE Futures US
312-836-6738
INTERCONTINENTAL EXCHANGE 15