i-sem nemo blg blg nemo... · nemo blg terms of reference cacm obligations nemo solution overview...
TRANSCRIPT
4th April 2016
1
I-SEM NEMO BLG
NEMO BLG Terms of Reference
CACM Obligations
NEMO Solution Overview
Day-Ahead Solution Overview
PCR/MRC Workstream
Euphemia Trial Overview
Lunch
Cross-Border Intraday Project (XBID)
Interim Intraday Design Proposal
I-SEM NEMO Technical Engagement
Discussion/Queries
Agenda & Terms of Reference
CACM Obligations
3
NEMO BLG, 4th April 2016
CACM Entry into Force on 14 July 2015
CACM is relevant Regulation for NEMOs
Relevant for DA/ID timeframes
Background
NEMO & MCO
2015/1222 CACM Regulation provides for transitional arrangements for I-SEM until 31 December 2017
Except for the following, where the deadlines still apply:
– Articles 4, 5 & 6 on NEMO Designation
– Participation in the development of terms, conditions & methodologies, namely:
• Determination of NEMO voting rights per Member State
• MCO plan
• NEMO requirements for DA/ID algorithm
• Back-up methodology
• Products for DA/ID coupling
• Maximum & Minimum prices
I-SEM CACM Derogation
Sets out individual and common NEMO responsibilities
Choice for MS of adopting single (monopoly) or competitive NEMO(s) – designated by MS or using “passport”
Formal consultation and regulatory approval of “methodologies” covering such areas as algorithms, products, procedures, price limits
Requirement on TSOs and NEMOs to establish day-to-day management
Framework for cost sharing and cost recovery
QMV representing:
– At least 55% of the Member states/ At least 65% of EU population
– One vote per Member State/ shared if more than one NEMO
– NEMO decisions at regional level decided by consensus
NEMO Governance under CACM
NEMO Voting under CACM
ACER List of Designated NEMOs
EIRGRID
SONI
EPEX/ EXAA/ NORD POOL
BELPEX/ NORD POOL
IBEX
CROPEX
OTE
NORD POOL
NORD POOL
NORD POOL
EPEX/ NORD POOL
EPEX/ NORD POOL
LAGIE
HUPX
GME
NORD POOL
NORD POOL
EPEX
APX/ NORD POOL
TGE
OMIE
OPCOM
OKTE
BSP
OMIE
NORD POOL
APX/ NORD POOL
Competitive
Monopoly
CACM Timeline for NEMO Tasks 2016 2017
CACM EIF Aug 15
NEMO Designation
CER/UR designation Oct 15
Prepare MCO Plan
NRA approval
Apr 16 Oct 16
Implement MCO Plan (max 12 mths)
Prepare DA/ID Methodologies • Algorithms* • Products • Backup procedures* • Max/Min prices* St
akeh
old
er
Co
nsu
ltat
ion
NRA approval
Feb 17 Aug 17
MCO Plan implementation
deadline
Oct 17
I-SEM Go-Live Oct 17
* In cooperation with TSOs
Complementary Regional Auctions Stakeholder Consultation
NRA approval
Multiple NEMOs in Bidding Zone NRA approval
European tasks
Regional tasks
Local tasks
Market European Stakeholder Committee
contribute to monitoring progress in the NCs implementation process
serve as a platform to share general views on the NC implementation
enable stakeholders to express their views and receive feedback
contribute to more informed decision-making process for the methodologies and rules still to be developed for the implementation of the NCs
Includes ENTSO-E, ACER, NEMOs and other stakeholder associations
Link @ https://www.entsoe.eu/major-projects/network-code-implementation/stakeholder-committees/Pages/default.aspx#overview
CACM Coordination Group
Involving TSOs (ENTSO-E) / Regulators (ACER) / NEMOs
CACM: European Coordination & NEMOs
2016 2017
Questions
NEMO BLG, 4th April 2016
NEMO Solution Overview
11
Financial Transmission
Rights between zones
and Financial Forwards
within zone
Capacity Remuneration
Mechanism
EU price coupled day-
ahead auction supplier
& generator bidding
Continuous local
trading and regional
auctions with supplier
& generator bidding
Mandatory continuous
balancing market with
INC & DEC pricing
Cash out of differences
between actual and
traded positions
Imbalance
Settlement
Balancing &
Dispatch
Intraday
Market
Day-Ahead
Market
CRM
Market
FTR &
Forwards
Market
Time
1 Year
Real Time
NEMO
NEMO
• Traders operate across all of these timeframes
• EirGrid Group has responsibility for market operations in all timeframes
• NEMO’s operate the DA and ID markets across Europe mostly through PX’s
• EPEX Spot has been selected to provide the service of the PX systems
• For ID market, XBID will be unavailable for I-SEM go-live. An interim solution is proposed
I-SEM NEMO
NEMO – What is it?
I-SEM Capacity Market FTR Market Day Ahead / Intraday Balancing & Dispatch
Aggregator of Last Resort
Common Grid Model Operations
DAM/IDM Operational Scheduling
Publish System Information
Balancing & Dispatch
Operational Planning & Forecasting
CRM Registration
CRM Customer Care
CRM Settlement Calculation
CRM Auction FTR Auction DAM/IDM Trading
EU Market Coupling
Balancing & Imbalance Settlement Calculation
FTR Customer Care
FTR Settlement Calculation
DAM/IDM Customer Care
DAM/IDM Settlement Calculation
Balancing & Imbalance Customer Care
FTR Registration DAM/IDM RegistrationBalancing Market
Registration
CRM Clearing FTR Clearing DAM/IDM ClearingBalancing & Imbalance
Clearing
Advise Capacity Quantity Advise FTR Quantity
DAM/IDM Market Surveillance
CRM Market Surveillance FTR Market SurveillanceBalancing & Imbalance
Market Surveillance
Balancing Market Operations
Key
Wider Market Functions
System Functions
NEMO Functions
NEMO – Provides
access to European
Electricity Market and
acts as counter party to
trades
DAM/IDM – How it works?
Market Participant
DAM/IDM Trading Platform
DAM Bids/Offers
by Gate Closure 11am D-1
DAM Market Coupling Operator
(MCO)
Anonymised Bids/Offers
DAM Results
by 12:00 D-1
Central Counter Party (CCP)
Clearing Member
Continuous IDM
Bids/Offers up to 1 hour
prior to delivery
hour
Continuous IDM
Cleared Trades
as soon as matched
TSOs
Trading Results (DAM/IDM) as available
PNs after DAM by
13:30 D-1
Updates to PNs based on IDM cleared
trades up to 1 hour prior to delivery hour
Invoices/ Self Billing
Invoices 17:00
on D -1
Collateral
IDM Shared Order Book
Anonymised DAM Auction
Results
Anonymised Bids/Offers
Anonymised Individual
Match Trades
Collateral/ Criteria for Providing
Service
Payments in/
Payments out
on D
Funds In/Out
Systems and Services Programme
15
EPEX and European Commodity Clearing (ECC) selected as the service provider to EirGrid and SONI NEMO …… contract negotiation ongoing
Early cooperation agreement signed to commence implementation
Interim Intraday market design proposal nearing completion
Progress to-date
Activity Q3 2015 Q4 2015 2016 2017
NEMO Application
PX PQQ
PX RFP
RA Roles Designation
PX Contracting
Design – Build – Test
Market Trial
Go-Live
Relationships between parties
EirGrid & SONI NEMO
Sending of trades
Clearing House
Scheduling
TSO
Clearing Member
(Bank with ECC Agreement)
Settlement
Exchange Members Balance
Responsible Agreement
Settlement
Trading Settlement
ICs IDM solution to be designed
Direct Clearing Under Review
Technical Solution
• System Design, Specs
• Development, Config
• Testing
ECC Clearing
• Shipping
• Dual Currency
• Clearing Members
Market Participant Readiness
• On-boarding
• Testing
Coupling
• European
• Regional
• Local
Legal & Regulation
• Market Rules
• Contracts
• Licence
Operational Support Services
• Publications
• On-call support
NEMO Branding
Business Modelling and Pricing
• Liquidity, products
• List of prices
CACM Implementation
• MCO Plan
• CACM Obligations
European Transparency and
REMIT
Workstreams
Different requirements for Day-Ahead Market, Interim Intraday Market, and Enduring Intraday (‘XBID’) Market
Market Rules Development
ToRs, Timeline and Development
Process
Draft DAM Rules
Interface Rules
Clearing Rules
Draft Local Continuous IDM
Rules
Draft CB IDM Auction Rules
Legal draft of NEMO Rules
Final RA and Market Participant
Engagement
Market Participant and RAs engagement throughout
Questions
When will the Ex-Ante (EA) trading functionality contract be awarded by EirGrid/SONI (NEMO)?
Request that further consideration be given to single collateralisation across DA, ID, BM whereby SEMO and NEMO interactions could be aligned to minimise collateral cover exposure insofar as possible
When will the collateral arrangements for EA markets be known?
Will the NEMO clearing house support collateral netting across multiple DAM and IDM markets e.g. I-SEM and GB?
When will the details of the clearing house rules be available to participants? Time needed to put in place arrangements.
Day-Ahead Solution Overview
21
NEMO BLG 4th April 2016
Financial Transmission
Rights between zones
and Financial Forwards
within zone
Capacity Remuneration
Mechanism
EU price coupled day-
ahead auction supplier
& generator bidding
Continuous local
trading and regional
auctions with supplier
& generator bidding
Mandatory continuous
balancing market with
INC & DEC pricing
Cash out of differences
between actual and
traded positions
Imbalance
Settlement
Balancing &
Dispatch
Intraday
Market
Day-Ahead
Market
CRM
Market
FTR &
Forwards
Market
Time
1 Year
Real Time
NEMO
NEMO
• Traders operate across all of these timeframes
• EirGrid Group has responsibility for market operations in all timeframes
• NEMO’s operate the DA and ID markets across Europe mostly through PX’s
• EPEX Spot has been selected to provide the service of the PX systems
• For ID market, XBID will be unavailable for I-SEM go-live. An interim solution is proposed
I-SEM NEMO
Current Cross-Border Arrangements
Participants will submit orders into the Day-Ahead Market via their NEMO trading platform
– Utilising existing EPEX platform configured to I-SEM requirements
– Output of Euphemia trial will inform products offered
Orders will be anonymised and submitted by NEMOs to the Market Coupling Operator (MCO) of the Price Coupled Region (PCR)
Prices will be set based on matched orders in the Euphemia algorithm run by the MCO
– Fully price coupled across Europe as required by CACM
The MCO will send results back to the NEMO
– Participants will be informed of their traded volumes and prices
ECC will carry out the clearing and settlement function
– Addressing dual currency requirement
I-SEM DAM Arrangements
DA Implementation Programme
Specifications
Implementation
Testing
Deploy to members
Member test
Prep. Go-live
Algorithm simulation PCR/MRC other process
Design
DA regional project (including procedures/shipping)
Ops Contracts
Clearing On-boarding
XBID start with access stream, LIPs (decision to join made)
CR
Procedures Training
Implementation
PCR/MRC/ISEM tests
Necessary agreements (1/2)
Balance Responsable Agreement
Trading Agreement
Exchange member’s responsibility
EirGrid & SONI NEMO
TSO
Exchange Members
Clearing Member
Non-Clearing Agreement
Central Bank Agreement Central Bank
Necessary agreements (2/2)
• Between exchange member (“Market Participant”) and EirGrid/SONI NEMO
• Pertains to the relationship in terms of responsibility (trading, behaviour in the market), requirements (technical, training of traders organization) and property (license)
Trading Agreement
• Between ECC, the clearing member and the exchange member
• Corresponding NCM agreement with the cooperating clearing member and ECC
• Each product has to be included in this agreement
Non-Clearing Agreement
• Between the exchange member and EirGrid/SONI TSO
• At least one for each market area
• Includes all contractual agreements between the TSO and the grid user regarding the settlement of power imbalances recorded on balance perimeters
Balance Responsible Agreement
Non-Clearing Members (NCM)
• are trading participants of the exchange
• sign a trilateral agreement between the Non-Clearing Member, Clearing member and ECC to provide for the necessary infrastructure
General Clearing Members (CM)
• are financial institutions in an EU member state or Switzerland
• hold either a general clearing license or a direct clearing license
• provide clearing services to NCM
• can be trading participants of the exchange
Access to ECC Overview Membership Types
28
Currently ECC offers two different types of membership in ECC representing two levels of access:
ECC plans to introduce a new membership category for clearing at ECC Spot markets for power to comply with requests for an easy access option for SME’s.
Access to ECC Trilateral Relationship between CM – NCM – ECC
29
Access to ECC Trilateral Relationship between CM – NCM – ECC
Non-Clearing Members (NCM)
– are trading participants of the exchange that only need to fulfill basic clearing requirements.
– sign a trilateral agreement between the NCM, Clearing Member (CM) and ECC to provide for the necessary infrastructure.
Trilateral Non-Clearing Member Agreement
Clearing Member
• Payment Agent
• Guarantor
NCM
• Conclude a balance group agreement
• Find a CM and conclude NCM Agreement
• Become a trading participant
ECC
• Responsible for contracted quantity submission
• Performs margining, financial settlement and accounting transactions
ECC plans to introduce a new membership category for clearing at ECC Spot markets
with adequate limit systems to comply with regulatory requests to introduce an easy
access option for SME’s.
Small Spot only members find it increasingly difficult/expensive to be accepted by CMs.
Access to ECC New Direct Clearing Participant Model
General
Clearing Member
Direct
Clearing Member
Direct Clearing Participant
Clearing Member
Clearing Member
Access to ECC New Direct Clearing Participant Model - Summary
A settlement bank has to provide TARGET2 access and acts as payment agent
The introduction of the DCP model is currently scheduled for Q2 / 2016. Most functionalities will also be made available for Clearing Members
Direct Clearing Access is only allowed for markets with a sufficient pre-trade limit system in place. Trading restricted such that exposures will always be below the available collaterals
An important component to offer a Direct Clearing solution is to accept Guarantees as Collateral in addition to cash
Direct clearing access is required to become provider for specific markets such as the permanent EUA auction platform for the European Union or selected power spot markets, e.g. in Belgium
Allow small and medium sized entities to gain direct access to the Spot markets cleared by ECC
Questions
Uncertainty on the influence of REFIT decisions on participation of wind in the Day-Ahead versus Intraday timeframes
– Implications on prices and liquidity
Concern that the disjoin between the activities of the NEMO is collateralised in the DAM/IDM and SEM is collateralised in the BM which will result in over collateralisation
Is the NEMO going to require price taking demand to post full volume times price cap? This would result in a large over collateralisation of the DAM. NEMO provisions should use a realistic average price and not prevent trading of clearly collateralised participants.
PRC/MRC Workstream
33
NEMO BLG 4th April 2016
Implementation of PCR
Interim NEMO Cooperation Agreement (INCA) – 3 March 2016
Developing MCO Plan
– Explanation of necessary draft agreements between NEMOs and with third parties
– Proposed timescale for implementation (not longer than 12 mth)
– Governance structure
• All NEMO Cooperation Agreement (to supersede INCA)
• Day-Ahead Operational Agreement
• Intraday Operational Agreement
– Servicing and serviced NEMOs requirements addressed
– Clarity on roles and responsibilities
All NEMO Committee
Contractual Landscape
Multi-Regional Coupling (MRC) (Set of TSO/NEMO Agreements)
All NEMO Committee (PXs Only)
Price Coupling of Regions (PCR)
Day-Ahead Market Coupling Operator (MCO)
Function
Intraday Arrangements
XBID
Third Party Services
Co-Owner Agreement
Co-Oper Agreement
NEMO
Regional Framework • TSOs • Interconnectors • NEMOs
The Day-Ahead Market will be coupled with the Multi-Regional Coupling (MRC) solution known as Price Coupling of Regions (PCR)
This involves parties across Europe who are CACM compliant in the DAM
I-SEM parties must sign-up to and adhere to the Day-Ahead Operating Agreement and its associated procedures and obligations
– E.g. in the case of fall-back decoupling, we will have the ability to run a second Euphemia session to handle matching of CWE-GB-I-SEM areas
We will need to submit a Change Request to the PCR to incorporate the needs of the I-SEM
– We will need to work together with the PCR Committee to test and approve the solution for I-SEM (i.e. we can not dictate the solution)
Implications for I-SEM NEMOs
Questions
NEMO BLG, 4th April 2016
EUPHEMIA Trial Overview
39
EUPHEMIA is the European day-ahead market (DAM) algorithm:
In use by power exchanges (PXs) throughout Europe
Performs daily market auctions for the DAM
Provides daily prices, schedules and interconnector results
Has evolved from previous market algorithms:
Previously, PXs each had individual market algorithms
Functionality was combined to form a single solution
Functionality based on markets of founding PXs
Background- EUPHEMIA Algorithm
I/C Values
Offers Bids
11:00* DAM gate
closure
11:42 Results made available**
11:55 Final results confirmed**
*Times in GMT **Assuming de-coupling is not required
Takes inputs from all markets:
Bid and offer data (orders)
Interconnector values
Participants submit data locally:
PXs submit full set of orders centrally
MCO runs EUPHEMIA for all markets
Background- EUPHEMIA Process
Background- EUPHEMIA Bids/Offers
Hourly orders submitted by generators and suppliers
Orders are anonymised before being sent to EUPHEMIA
No link in algorithm between order and unit
Orders do not need to be asset-backed
Numerous implementations throughout Europe:
The bid and offer products (order types) offered differ for each PX
Order types available determine how participants can use the market
Order types affect risks and mitigation measures available
Moyle Flowing
Both Flowing
Neither Flowing
EWIC Not Flowing
Price Sp
read
Moyle Loss %
EWIC Loss %
EUPHEMIA - Interconnectors
Values as in the SEM:
Individual ATC, Ramping and Losses
Interconnector scheduled based on price spread
Differing losses result in bands of activity as price spread increases
EUP
HEM
IA
• Portfolio/Unit based
• Limited products
• Physical forwards used
• Commercial risks
• Supplementary market context
SEM
MSP
• Unit based
• Specific products
• No physical forwards
• Cost guarantees
• Single market
EUPHEMIA Markets .vs. SEM
Background - EUPHEMIA Trial
Goal is to assess the possible implementations:
Can SEM characteristics be represented in EUPHEMIA?
If so, what order types should be used to do this?
Trial of EUPHEMIA using SEM data:
SEM data converted to EUPHEMIA orders
EUPHEMIA schedules analysed
Trial will feed into the decision making process:
Inform decisions during detailed design and implementation
Provide insight into decision implications
Define Assumptions
Create Data
Execute Data
Analyse Results
Review Assumptions
SEMO SEMO & Industry APX
Background - EUPHEMIA Trial Process
• PQ pairs with no conditions attached
• Orders aggregated into hourly curve Simple Orders
• Price-quantity pairs with conditions
• Explicit representation of TOD and COD Complex
• Interdependent blocks of energy
• Block price implicitly accounts for costs Linked Block
• Group of mutually exclusive profiles
• Block price implicitly accounts for costs
Exclusive Group
EUPHEMIA - Order Types Trialed to date
Emerging Results & Conclusions
No current preferred implementation option:
Recommendation will be produced at the end of trial
Will include order types to be used
May be a combination of order types
Implications must be understood before recommendation
Areas for focus identified:
Preference for linked block and complex order for thermals
Simple orders used for a wide range of participants
Final trials will provide additional clarity on the order types
Emerging Results & Conclusions
Risk vital element of design of I-SEM DAM:
SEM style guaranteed costs not possible in EUPHEMIA
Risks can be managed through informed use of orders
Risk mitigations are based on order types available
Unclear on liquidity in DAM and other timeframes:
Not clear on how wind and load will be incentivised
Demand bid prices have significant effect on DAM clearing
DAM liquidity has knock-on effects to other timeframes
The information contained herein including without limitation any data in relation to Euphemia test results (the “Information”) is provided ‘as is’ and no representation or warranty of any kind, express or implied, is made in relation to the Information and all such representations or warranties, express or implied, in relation to the Information are hereby excluded to the fullest extent permitted by law. No responsibility, liability or duty of care to you or to any other person in respect of the Information is accepted, and any reliance you or any other person places on the Information is therefore strictly at your own or their own risk. In no event will liability be accepted for any loss or damage including, without limitation, indirect or consequential loss or damage, arising out of or in connection with the use of the Information. By using or relying on the Information, you automatically consent to the terms and conditions of this disclaimer. In the event that the Information is provided by you, in whole or in part, to a third party for whatever reason you shall ensure that this disclaimer is included with the Information and brought to the attention of the third party.
Copyright © 2015. All rights reserved. APX Power B.V., EirGrid plc and SONI Ltd.
Disclaimer
Questions & Lunch
Cross Border Intraday (XBID) Enduring Solution
52
NEMO BLG, 4th April 2016
CACM: a common cross border implicit continuous Intraday trading solution across Europe, where all the cross border capacities are allocated
Task description (55.3)
– by 24M after the entry into force all TSOs shall develop a proposal for
a single methodology for pricing intraday cross-zonal capacity
Specific Intraday Capacity Pricing Requirements (55.1 & 55.4)
– shall reflect market congestion and shall be based on actual orders
– No charges, such as imbalance fees or additional fees, shall be applied
Other ID requirements:
– the CT algorithm shall (a) aim to maximise economic surplus; (e) be
repeatable and scalable.
– discrimination shall be avoided when simultaneously allocating
capacity implicitly and explicitly
CACM Guideline
Other general requirements:
– ID capacity to be allocated implicitly
– Non discriminatory access to capacity
– Promotion of fair and orderly market and price formation
– Promoting effective competition in generation, trading, and supply of electricity
– Ensuring optimal use of the transmission infrastructure
Additional relevant provisions:
– Complementary regional auctions (where deemed necessary)
– Explicit access to Intraday capacity (where allowed as an interim option)
CACM Guideline
XBID APX/
Belpex
EPEX SPOT
GME
Nord Pool
OMIE
What is XBID?
TSOs from 12
countries
Austria Great Britain
Belgium Luxembourg
Denmark Norway
Finland Sweden
France Switzerland
Germany The Netherlands
Terms Used in XBID
Market Area
Delivery Area 1
Delivery Area 2
Delivery Area n
Product
Contract 1 Contract 2 Contract n
Trading Schedule
Contract
Product
Interconnector A connection between 2 Delivery Areas
Border A connection between 2 Market Areas
XBID System Components
Enriched dataset
SOB SM
CMM
SOB SM
SOB SM
SOB SM
SOB: Shared Order Book CMM: Capacity Management Module SM: Shipping Module
Market Participants’ position within the XBID and TS solution
PX local order book
Area A
PX local order book
Area B
Shared Order Book (SOB)
Capacity Management Module (CMM)
TSO A TSO B TSO n
Member X
Member Y
XBID Order Types
Order type Execution Restrictions
Validity Restrictions Predefined User-Defined
Regular predefined
NON (None) IOC (Immediate-or-Cancel) FOK (Fill-or-Kill)
GTD (Good Till Date) GFS (Good For Session)
Yes No
Regular user-defined block
AON (All-or-Nothing)
GTD (Good Till Date) GFS (Good For Session)
No Yes
Iceberg NON (None) GTD (Good Till Date) GFS (Good For Session)
Yes No
Linked Basket FOK (Fill-or-Kill) -- Yes No
XBID Project Approach
Current position of project = Completed
Alignment XBID/LIP planning (Testing and
Go-live Phase)
Coordinate Design and Development of Interim Solution (monitoring and directing)
Project under ESA
Adjustment local systems, interface / test environment
implementation
Follow-up/coordinate implementation of Interim Solution
Governance and reporting structure
XBID Interim Solution delivered
and accepted
Project under contract (Development)
D&D contract Business Blueprint
Common framework
for pre- and post-coupling
Set-up of LIPs (appoint PM, project
structure, budget, PID)
Progress Reporting
LIP
s*
XB
ID C
om
mo
n
Pro
ject
X
BID
So
luti
on
Project under contract (Testing)
Roadmap
Testing and Go-live preparations
Testing Reporting Go-Live readiness
Local Implementation Projects (LIPs) TSOs & PXs participating for developing and implementing the XBID solution
PXs participating; REE observer
PXs participating, adherence to joint project ongoing
Generic LIP Plan
Timelines
Q1 2017 Q2 2017 Q3 2017 Q4 2017
Capacity Pricing Proposal – Aug 17
NRA Approval Implementation - TBD
Q1 2018 Q2 2018 Q3 2018
I-SEM Go-Live
ID Interim Solution
XBID Accession Stream – end date unknown
XBID Go-Live
ENTSO-e Proposed Hybrid Model
* Currently known mechanism to price capacity during CT sessions depend on time, remaining capacity within a certain
trading period, or probability of congestions (see reports from PMI and Baringa for Ofgem study )
Neither continuous trading nor implicit auctions can fulfil alone all CACM requirements.
Recommendation is to develop Hybrid Models which includes both Implicit Auctions and Continuous Trading sessions
Hybrid model 1: DRAFT Overview
D-1
18.00h
(ID)A1D-1
(PCR)
* Timings, number of auctions, and GCTs are indicative.
To be reviewed based on PXs and market parties’ feedback, possible regional specificities
24:00h
A1 Tradeable hours
00:00- 24:00 D
A3 Tradeable hours
16:00 – 24:00 D
18.00h
(ID)A1D+1
(PCR)
16:00 - 24:00h D
CT session 3
(XBID)
00:00 - 08:00h D
CT session 1
(XBID) 16:00 - 24:00h D
CT session 3D-1
(XBID)
08:00 - 16:00h D
CT session 2
(XBID)
Hybrid model 2: DRAFT Overview
D-1
18:00h
(ID)A1
(PCR)
24:00h 00:00h
A1 Tradeable hours
00.00– 24:00
* Timings, number of auctions, and GCTs are indicative.
To be reviewed based on PXs and market parties’ feedback, possible regional specificities
18.00h
(ID)A1D+1
(PCR)
16:00 - 24:00h D
CT session 3
(XBID)
00:00 - 08:00h D
CT session 1
(XBID) 16:00 - 24:00h D
CT session 3D-1
(XBID)
08:00 - 16:00h D
CT session 2
(XBID)
XBID not available for I-SEM Go-Live
– Interim solution required
– Local Implementation Plan to commence in parallel with I-SEM Project
Regional and cross-border auctions
– Influenced by hybrid options
Working to align as much as possible
Engaging with XBID to appropriate level
Implications for I-SEM
Previous questions from stakeholders:
I-SEM project milestone 55 XBID Go/No Go decision in Dec 2015. What was the decision.
What is the status of XBID in general?
What is the status of a local implementation project for I-SEM?
Questions?
Interim Intraday Design Proposal
69
NEMO BLG, 4th April 2016
Financial Transmission
Rights between zones
and Financial Forwards
within zone
Capacity Remuneration
Mechanism
EU price coupled day-
ahead auction supplier
& generator bidding
Continuous local
trading and regional
auctions with supplier
& generator bidding
Mandatory continuous
balancing market with
INC & DEC pricing
Cash out of differences
between actual and
traded positions
Imbalance
Settlement
Balancing &
Dispatch
Intraday
Market
Day-Ahead
Market
CRM
Market
FTR &
Forwards
Market
Time
1 Year
Real Time
NEMO
NEMO
• Traders operate across all of these timeframes
• EirGrid Group has responsibility for market operations in all timeframes
• NEMO’s operate the DA and ID markets across Europe mostly through PX’s
• EPEX Spot has been selected to provide the service of the PX systems
• For ID market, XBID will be unavailable for I-SEM go-live. An interim solution is proposed
I-SEM Interim Intraday Proposal
XBID project is not available for I-SEM go-live
A programme of work is required to deliver CACM compliance
An interim intraday solution must provide sufficient liquidity for market participants to establish balance responsible positions
EMIP programme is challenging and quick action is necessary
Proposal to Regulatory Authorities for the interim intraday solution to be developed by EirGrid/SONI
Driver for Interim Intraday Solution
72
Market Participants
EirGrid / SONI NEMOs
EPEX/ECC as service provider
GB PX and GB Clearing House
EirGrid / SONI / NGET as TSOs
EirGrid Interconnector Limited
– Owned by EirGrid, connected in Britain & Ireland
Moyle Interconnector Limited
– Owned by Mutual Energy, connected in Britain & Northern Ireland
Regulatory Authorities (UREGNI, CER, Ofgem)
Stakeholders Engagement
Fulfilment of MPs’ needs
XBID Objectives and Evaluation Criteria
• Implicit Continuous
• Pricing based on orders
• Prices reflecting market congestion
• Maximisation of economic surplus
CACM Compliance
• Simplicity
• Practical and feasible
• Cost-efficiency
• Reasonable time to market
Ease of Implementation
• Fair and transparent price formation, no distortions
• Liquidity
• Assigns capacity to whom values the most
• Optimises use of available ID capacity
Efficient Capacity Pricing
• High performance and reliability
• Scalable
• Durability / forward looking / consistent with XBID evolution
• Consistency with all market timeframes and NC/GLs
• Efficient governance
Robust and future-proof
• Accessibility for ALL market participants (small generators, RES, demand side, conventional, etc.)
• Prevention of gaming and market power
• Fairness
Level playing field
• Capacity not priced if not scarce
• Possibility to adjust positions close to real time
• Pricing known at the time of matching
• Ease of use
• Transparency and Predictability
4 responses requested cross-border continuous trading ASAP
All responses agreed with the use of local continuous trading
– Some noted that it may not provide sufficient liquidity in I-SEM
All responses were in favour of cross-border implicit auctions not explicit
– Minimum of two
– 3 suggested the auction timing be linked to wind and demand forecasts
– 1 concerned both auctions and continuous may dilute liquidity
Most responses in favour of additional local auctions
– 3 noted that more auctions (3 or 4) would be beneficial
All requested trading granularity at ½hr to match the Balancing Market
Continuous products – similar to current arrangements in GB
Market Participant Feedback (Summary)
Main concern given I-SEM ETA (balance responsibility and administered scarcity pricing) & CRM (ROs) is provision of a liquid ID market for I-SEM.
– Arrangements should be designed to support liquidity
The ID solution should allow participants the opportunity to trade at the settlement period granularity to facilitate shape management and therefore their imbalance exposure.
– Intra-day solution is being designed for 30 mins settlement periods
– Facilitation of a 15 mins settlement granularity would be a challenge for the balancing and settlement solution and is not part of baseline
Combined with liquidity concerns, a higher frequency of auctions would augment market access provided through the continuous trading.
Market Participant Feedback (1)
Treatment of interconnectors must promote trading in the ID market, and ensure no barriers to trade in the ID market.
– Traders will be indifferent to what IC they are trading across and physical scheduling of flows will occur in the background.
– Careful consideration to be given to treatment of losses, etc.
ID cross-border implicit auctions are widely supported as they will help pool liquidity
…….but considered insufficient on their own to support participant trading needs in the intraday timeframe.
Development of a continuous trading solution is therefore required to ensure adequate market access under I-SEM arrangements.
Market Participant Feedback (2)
Participants will need to manage potentially large variations in imbalance positions:
– due to variations in wind generation; or
– to manage forced outages; or
– to manage potential scarcity events (close retail positions / get generators scheduled); or
– following ID auctions generators may need to trade themselves into a technically feasible position; or
– following ID auctions suppliers may want to trade out their residual shape via continuous trading.
Participants need a screen where they can post bids and offers similar to the OTC format or APX ID market in GB.
Market Participant Feedback (3)
Implementation of continuous trading will help make the market transition to LIP and XBID more straightforward.
– Concerned at possibility that continuous intraday trading could be de-scoped for I-SEM go live.
– Implementation of continuous trading should be achievable given that the I-SEM NEMO service provider has implemented similar local continuous intraday functionality in other EU markets – i.e. may have an “off-the-shelf” solution.
• Issues for dual currency does represent a challenge here but this can be overcome
Recommend higher frequency of ID auctions aligned with publication of updated TSO forecast information.
– Up to 4 depending on TSO information availability and updates
Market Participant Feedback (4)
It would be useful if publication of demand and wind forecast could be co-ordinated and participants could be given sufficient time (up to an hour) to re-assess positions prior to the auction.
Appreciate constraint in relation to GB PXs and market participants to support a higher frequency of regional auctions, but it would be worthwhile considering a greater number of auctions even if some of them are restricted to the I-SEM region only.
– Splitting of liquidity is a concern for the GB PXs
Note, variability on SEM imbalance positions due to wind forecast changes will be proportionally substantially greater than in GB and therefore we require more flexibility on IDM trading set up.
Market Participant Feedback (5)
Information on products for continuous ID and auctions requested
– Assume continuous ID to support similar products to GB, at settlement period granularity but also longer duration blocks, e.g. 1, 2, 4 hr blocks
– For auctions, what is being considered? Will it be based on the current GB auction approach?
As market participants are required to be balance responsible, the IDM must be liquid
– For wind, expect 10% imbalance exposure between DAM and IDM
– Regulatory intervention to facilitate this…..as per Ofgem Secure and Promote initiative in 2011 to handle liquidity issues for GB market
– Concerned about risk of volatile imbalance prices
Market Participant Feedback (6)
Are order formats for continuous trading and ID auctions (which needs to also consider clearing and price formation approaches) being considered in conjunction with current imbalance pricing arrangements?
– Careful not to introduce a systemic difference in pricing between intra-day markets and the balancing market as could distort incentives to trade in IDM
– In relation to recovery of fixed costs, participants will want to recover start costs in the imbalance pricing
Could participants in NI see all prices on the continuous IDM platform in Sterling and all participants in ROI see all prices of same in Euro?
– With the FX Rate set daily?
Market Participant Feedback (7)
06:00
Trading Day-1 Trading Day
Ex Ante Gate Closure 1: 09:30
06:00 06:00
SEM Intraday Market Gates
Ex Ante Gate Closure 2: 11:30
Within Day Gate Closure 3: 08:00
18:00
MW Schedule to EirGrid NCC
Current SEM Arrangements
Current Cross-Border Arrangements
Two implicit cross-border intraday auctions with local continuous
More than two cross-border intraday auctions with local continuous
Local auctions (in addition to one cross-border implicit intraday)
Local auctions with local continuous – if no GB acceptance of CB soln.
Auctions only – i.e. postpone or exclude continuous intraday local trading
Note: Continuous cross-border trading is not feasible for go-live
– To be developed as part of the XBID LIP
Interim Approaches Considered
Go-Live CB Auctions Local Continuous Regional Continuous Notes
I-SEM 2017 Yes Yes No If no local continuous available, consideration of number of auctions and the need for a larger PAR* is required.
LIP for XBID 2018/2019
Yes Fall Back Yes
To join XBID we must first couple through a Local Implementation Project (LIP). Parallel work is required during I-SEM delivery in the XBID Accession Stream to achieve go-live.
XBID+ 2020? Yes Fall Back XBID+ Consideration of auctions as a long term solution in addition to continuous trading within Europe currently ongoing
Cross-border intraday
– At least two Implicit Auctions based on half hourly products • IDM Auction 1 – 48 ½hr periods with auction at 15:30 D-1
• IDM Auction 2 – 24 ½hr periods with auction held in the morning of D
Local intraday (i.e. not cross-border)
– Continuous trading on half hourly trading periods; and
– Additional local auctions (where appropriate/required)
Interim Intraday Arrangements Proposal
* PAR is the cost of the last X MW of balancing delivered.
23:00
Trading Day
DAM Auction 1 Gate Closure: 11:00
23:00
IDM Auction 1
DAM Volumes
IDM Auction 2
23:00
I-SEM Intraday Market Gates
IDM Auction 1 Gate Closure: 15:30
IDM Auction 2 Gate Closure: 08:30
11:00
MW Schedules
Interim Intraday Arrangements Proposal
Trading Day-1
Continuous Local Intraday
IDM Auction 2 timing can be flexible (e.g. 07:00 to 09:00)
13:30
Continuous matching locally
(and local auctions where appropriate)
Access to implicit cross-border intraday auctions capacity between I-SEM and GB
– Assume we will initially contract with APX in GB for cross-border arrangements as APX currently manages all IDM volumes
Continuous trading locally – using similar arrangements to GB, participants can:
– Coordinate adjustment of commercial positions from previous auctions
– Run and plan power generation closer to delivery
– Manage unforeseen events such as power outages
Introduction of continuous local trading will facilitate moving to XBID LIP
Benefits of Proposed Solution
Prices are set at point of trade – more certainty
Cross border arrangements are firm – less risk
– Capacity and power sold in one single transaction and participants are not exposed to interconnector outages
– Optimal use of the interconnectors – more efficiency
Local continuous trading locally (and local auctions) – participants can
– Coordinate adjustment of commercial positions from previous auctions
– Run and plan power generation closer to delivery
– Manage unforeseen events such as power outages
– Implement similar in-house trading arrangements to those used in GB or elsewhere
Greater level of compliance with CACM Guideline
– Local continuous provides a pathway to Local Implementation Project and XBID
Continuous trading locally requires less NEMO operational resources to manage compared to more CB auctions
Why is this better than today?
The local continuous market would not provide cross-border access
– Third party trading services may be required for priority dispatch cross-border after any cross-border intraday auctions if number of auctions is low
– An alternative such as the BritNed approach is suggested by EPEX – explicit auctions intraday … then participants nominate into intraday markets
XBID and Local Implementation Project (LIP) objectives may not be met if there are no implicit cross-border auctions or continuous cross-border
PXs in GB will have to agree on approach to implementation of cross-border order book sharing mechanisms
– Currently only one intraday auction at 15:30
– APX market share is 100% of intraday capacity….concern about liquidity splitting
Limitations
Implementation timeframe and complexity
Liquidity and market access
SEM and GB market participant acceptance of solution
Market participant implementation complexity
– For those only in the SEM currently
– For those already engaged in European cross-border trading
Facilitation of balance responsibility actions in the intraday timeframe
– System security – i.e. balancing market interactions
Alignment with CACM XBID and Local Implementation Plan
– XBID Accession stream considerations
Facilitation of Renewables – e.g. priority dispatch
Operating costs and ongoing running of the market (both in SEM and GB)
Decision Influenced by:
Questions
Technical Engagement
92
NEMO BLG, 4th April 2016
EirGrid/SONI I-SEM Solutions Overview
Note: There are many other data flows associated with these entities, this diagram provides a high level view
Registration Overview - Planned
SEM Registration Function
Clearing House
BAL/IMBAL CRM NEMO
Market Participant
Clearing Member (Bank with ECC agreement)
Registration Application
Trading Platform
Trading System Set
Initial Application as Non-Clearing
Member
2
1
3b 3c
4
4
3a
Registration Process
95
• 1 – MP negotiates clearing member agreement with clearing bank
• 2 – Send in I-SEM registration for all relevant markets (CRM/BAL as well as EirGrid/SONI NEMO)
• 3a – I-SEM registration processes application for EirGrid/SONI NEMO, as well as other markets
• 3b – I-SEM registration organises setup for trading with trading platform
• 3c – I-SEM registration initial vetting and sent on application for clearing house to process
• 4a & 4b – Market Participant liaise directly with clearing house and clearing member to complete tri-lateral clearing or direct clearing agreements
Gate Closure for Balancing Market
Differences between what PNs represent and how they are determined:
Passive interconnector PNs must reflect latest market results at all times;
PNs must be calculated after gate closure to reflect final market results because receipt of these results is after gate closure.
Interconnector PNs
Market Participant Interconnector
Market Involvement Active. Passive.
Market Results Represent Commercial position. Flow results from algorithm.
PN Calculation Agent Self. TSO.
PN Calculation Timing Any time before or after ex-ante trade. Automated process after receipt of ex-ante flow results.
PN Represents Minute-by-minute profile of intended running in absence of TSO action. Physically feasible.
Minute-by-minute profile of interconnector running due to market results. Physically feasible.
Link to Ex-Ante Market Results
At gate closure. Soft link (settlement, market monitoring).
At all times, latest results. Hard link (system calculations).
If IDM trades allowed up to Gate Closure, need to allow time for IC flow results to be processed into FPN for any last-minute trades, example:
Interconnector PNs (example)
IDM Trade Activity
Market Participant Ex-Ante Commercial Position
Market Participant PN/FPN
Interconnector Ex-Ante
Flow
Interconnector PN/FPN
Gate Closure
Process Time Process Time
Can update PN before trade
Can only update PN after trade
Interfaces, Reports, Connectivity
Release Planned Rel. Date
Focus
MPUD 1 June 2016 Balancing Market: interfaces, connectivity requirements (type 2/3) AOLR: interfaces, connectivity requirements (type 2)
MPUD 2 Sep 2016 DA/ID Market: interfaces, connectivity requirements (type 2/3), Balancing Market: reports; AOLR: reports
MPUD 3 Dec 2016
Balancing Market: participant interface toolkit DA/ID: reports FTR: reports, interfaces, connectivity requirements (type 2/3) Information in preparation for Connectivity (CCQT) testing CRM: interfaces, reports, connectivity requirements (type 2/3)
MPUD 4 Mar 2017 Information in preparation for Market Trial
MPUD 5 June 2017 Information in preparation for Go-Live
The Market Participant Update Document (MPUD) contains functional and technical information related to interfaces, reports, and connectivity.
Questions