UNIVERSIDAD POLITÉCNICA DE MADRID ESCUELA TÉCNICA SUPERIOR DE INGENIEROS INDUSTRIALES

Size: px
Start display at page:

Download "UNIVERSIDAD POLITÉCNICA DE MADRID ESCUELA TÉCNICA SUPERIOR DE INGENIEROS INDUSTRIALES"

Transcription

1 UNIVERSIDAD POLITÉCNICA DE MADRID ESCUELA TÉCNICA SUPERIOR DE INGENIEROS INDUSTRIALES REGULATORY PROPOSALS FOR THE DEVELOPMENT OF AN EFFICIENT IBERIAN ENERGY FORWARD MARKET. PROPUESTAS REGULATORIAS PARA EL DISEÑO DE UN MERCADO IBÉRICO A PLAZO EFICIENTE DE LA ENERGÍA. PhD THESIS TESIS DOCTORAL Álvaro Capitán Herráiz Ingeniero Industrial (UPM) & Mecánico (KTH, Suecia) y MSc Internacional en Ingeniería Energética Sostenible (KTH, Suecia) Director: Carlos Rodríguez Monroy Doctor Ingeniero Industrial Ingeniero Industrial Lcdo. en Ciencias Económicas y Empresariales Lcdo. en Derecho Lcdo. en Sociología y Ciencias Políticas 2014

2

3 Tribunal nombrado por el Magnífico y Excelentísimo Sr. Rector de la Universidad Politécnica de Madrid Presidente: Secretaria: Vocal: Vocal: Vocal: Suplente: Suplente: D. Sergio Martínez Gonzalez Dª. Rosa María de Castro Fernández D. David Robinson Dª. Gema Rico Rivas D. Fermín Pedro Moreno García D. Santiago Chivite Fernández D. Egbert Rodríguez Messmer Realizado el acto de lectura y defensa de la tesis el día 14 de julio de 2014, en Madrid. Calificación: PRESIDENTE LOS VOCALES LA SECRETARIA

4

5 To those who have guided me in my educational process, especially to my parents Ramiro and Angelines. To my family, my sustainable energy source: Sonsoles, Arturo, Amalia, Lucas and grannie tata Angelines.

6

7 ACKNOWLEDGEMENTS I would like to thank to all my colleagues in the Spanish Energy Regulator (currently Comisión Nacional de los Mercados y la Competencia, CNMC, formerly Comisión Nacional de Energía, CNE) who have provided me with a great support for the completion of my PhD Thesis. In particular, I am very grateful to all my mates in the Energy Derivatives department we have learnt together since year 2007 in this exciting and fast developing world of energy derivatives, to my boss in the Gas Markets department during years , Javier Notario Torres a privilege to learn from his wisdom and knowledge about gas markets, the gas price formation mechanisms, and gas regulation in general, to the Librarian, José Antonio Sánchez Montero who always shows a great interest in my research work and provides me with many sources of information related to energy markets, and to the technical specialists Fermín P. Moreno García providing me with many insights to build this research in a comprehensive way to understand the evolution of the Spanish electricity sector, and to Javier Rincón García, who gave me a great guidance for the econometric research. Finally, I thank especially my PhD Thesis Director, Carlos Rodríguez Monroy, for all his support during the whole PhD programme and his confidence and stimulus in publishing in prestigious peer reviewed energy journals.

8

9 GENERAL INDEX FIGURES INDEX.vii TABLES INDEX ix RESUMEN..xi ABSTRACT.xiii KEY WORDS / PALABRAS CLAVE...xv LIST OF ABBREVIATIONS... xvii CHAPTER 1. INTRODUCTION AND METHODOLOGY The research question The PhD thesis goal Structure of the PhD Thesis Fundamentals of Energy Forward Trading The basics of the Iberian Power Futures Market and interrelated market mechanisms The main features of the the spot market, adjustment markets, and ancillary services Methodology of the research performed Description of tests related to market price efficiency Definition of the Ex-post Forward Risk Premium Description of tests regarding forward risk premium Description of tests regarding cointegration analysis of energy prices and analysis of the clean spark spreads Description of the regression model built related to liquidity of energy markets Description of the hedging efficiency analysis through the net position ratio The relationship between volume and open interest The fundamentals of the net position ratio methodology Description of test regarding net position ratio CHAPTER 2. LITERATURE REVIEW Introduction...25 i

10 2.2 Literature related to market price efficiency Literature related to liquidity of energy markets Academic research Supervision Reports in European Energy Markets Literature related to ratios measuring the hedging efficiency Literature regarding commodity derivatives and application of the Iberian energy derivatives market Literature review of the hedge ratio Literature review of energy markets about analysis of the open interest.34 CHAPTER 3. OVERALL ASSESSMENT OF THE IBERIAN ENERGY DERIVATIVES MARKET AND RELATED REGULATION Introduction The current electricity policy context The subsidised coal fired generation with indigenous coal The impact of the recognised price of the indigenous coal fired generation in the Spanish forward price formation The moratorium to renewables The extension of life cycle of power plants The effect of the German Nuclear moratorium on power prices The mitigation of large cost deficits in the electricity sector Policy recommendations by the National Regulatory Authority The first measures taken by the Government The introduction of household hourly tariffs Evolution of the trading efficiency Volume comparison between Iberian forward trading mechanisms Competition in the power futures market Key trading drivers in OMIP continuous market Comparison with the most developed European Exchanges Evolution of the price efficiency Comparison of the ex-post forward risk premia in the Iberian power futures market and the CESUR auctions Economic impact of CESUR auctions in the energy cost of the last resort supply rates ii

11 3.5 Energy policy considerations The need for increased post-trade transparency from the power futures market operator The necessity for trade repositories for a comprehensive oversight by regulators Results CHAPTER 4. EVALUATION OF THE FORWARD RISK PREMIUM Introduction Comparison of the ex-post forward risk premium with some relevant international energy markets Test 1 results Test 2 results Test 3 results Test 3.1 results Test 3.2 results Test 4 results Comparison of the ex-post forward risk premia in the Iberian power forward contracting mechanisms Some introductory facts Analysis of the forward risk premium Results.83 CHAPTER 5. EVALUATION OF THE LIQUIDITY DEVELOPMENT Introduction The basics to assess the liquidity development of the Iberian Power Futures Market The derivatives listed in OMIP OMIP market makers as liquidity boosters The effects of the market maker agreements in the bid ask spread reduction Comparison with the most mature European power futures markets Analysis of the drivers developing the continuous market managed by OMIP..96 iii

12 5.3.1 Evolution of the traded volumes in the continuous market The enrollment of trading members The discounts in OMIP trading fees The regression model for the continuous traded volumes The regression results Correlation analysis Efficiency recommendations The three-layers liquidity pyramid The basic layer The intermediate layer The top layer Results CHAPTER 6. EVALUATION OF THE FORWARD PRICE FORMATION THROUGH THE GENERATION COST ASSESSMENT Introduction Evaluation of the Forward Generation Costs Correlation Analysis Cointegration Analysis of Energy Prices Analysis of the Clean Spark Spreads with Forward Prices The first renewable trading and clearing mechanisms in the Iberian Electricity Forward Market Renewable auctions in Latin America The Peruvian case The Brazilian case The first mechanisms in the Iberian electricity market The Contract for Differences derived from CESUR auctions in Spain The auctions for the sale of the special regime production in Portugal Results iv

13 CHAPTER 7. EVALUATION OF THE HEDGING PERFORMANCE BASED ON OPEN INTEREST AND CLEARED VOLUMES Introduction Analysis of the net position ratio of the Spanish electricity derivatives The net position ratio and the prudential oversight of the systemic risk Results CHAPTER 8. RESULTS, CONCLUSIONS AND FUTURES LINES OF RESEARCH Regulatory recommendations Further research..152 CHAPTER 9. REFERENCES..159 ANNEX: LIST OF PUBLICATIONS 179 v

14 vi

15 FIGURES INDEX Figure 1.1. Evolution of resulting Weighted Average Equilibrium Price in OMIP Call Auctions versus Average Underlying Spot Price ( /MWh)...13 Figure 3.1. Evolution of the Spanish prompt year ( Y+1 ) base load power futures settlement price versus the underlying spot price, the French base load power futures settlement price and the forward GTCC generation costs ( /MWh)...40 Figure 3.2. Evolution of traded and cleared volumes in OMIP-OMIClear, traded volumes in CESUR auctions, and cleared volumes in MEFF Power (TWh)...47 Figure 3.3. Evolution of the ex-post forward risk premia in the Iberian energy derivatives exchange and in CESUR auctions...52 Figure 4.1. OMIP Risk Premia in different quotation periods with different Reference Prices...62 Figure 4.2. Comparison of OMIP Settlement Prices: Quarterly Contracts versus Weighted Average Monthly Contracts (*) and underlying spot prices (OMEL)...64 Figure 4.3. OMIP Forward Risk Premia distinguishing Reference Prices per approach to maturity...69 Figure 4.4. Powernext Forward Risk Premia distinguishing Reference Prices per approach to maturity...69 Figure 4.5. Nord Pool Forward Risk Premia distinguishing Reference Prices per approach to maturity...70 Figure 4.6. NBP Gas Forward Risk Premia distinguishing Reference Prices per approach to maturity...70 Figure 4.7. Brent Forward Risk Premia distinguishing Reference Prices per approach to maturity...71 Figure 4.8. EEX ARA Coal Forward Risk Premia distinguishing Reference Prices per approach to maturity...71 Figure 4.9. Delivered Energy (MWh) per MIBEL Forward Contracting Mechanism...76 Figure Evolution of OMIP Auction and Continuous Volumes of Month Contracts...77 Figure Evolution of OMIP Auction and Continuous Volumes of Quarter and Year Contracts...77 Figure Forward Risk Premia of OMIP Month Futures Contracts...79 Figure Forward Risk Premia of OMIP Quarter and Year Futures Contracts...79 Figure Forward Risk Premia of OMIP Futures: Global weighted average versus weighted average of month contracts...81 Figure Quarterly Forward Risk Premia of MIBEL Forward Contracting Mechanisms...82 Figure 5.1. Evolution of OMIP Closing Spreads: Monthly Futures contracts quoting from July 3 rd 2006 to July 2 nd vii

16 Figure 5.2. Evolution of OMIP Closing Spreads: Quarterly & Yearly Futures contracts quoting from July 3 rd 2006 to July 2 nd Figure 5.3. Evolution of OMIP Closing Spreads: Monthly Futures contracts quoting from July 3 rd 2007 to November 20 th Figure 5.4. Evolution of OMIP Closing Spreads: Quarterly & Yearly Futures contracts quoting from July 3 rd 2007 to November 20 th Figure 5.5. Enrollment of OMIP trading members...97 Figure 5.6. The three-layers liquidity pyramid Figure 6.1. Evolution of power (OMIP), gas (TTF), LNG import prices in Spain and emission (ICE EUA) forward prices (month maturity) Figure 6.2. Evolution of power (OMIP), gas (TTF) and emission (ICE EUA) forward prices (quarter maturity) Figure 6.3. Evolution of power (OMIP), gas (TTF) and emission (ICE EUA) forward prices (year maturity) Figure 6.4. Daily evolution of CSS built with M+1 power and gas contracts and Spanish month LNG index Figure 6.5. Daily evolution of the CSS built with the prompt quarter power and gas contracts Figure 6.6. Daily evolution of the CSS built with the prompt year power and gas contracts Figure 7.1. Evolution of OMIP-OMIClear and MEFF Power net position ratio per delivery month..135 viii

17 TABLES INDEX Table 1.1. Iberian Regulated Forward Contracting Mechanisms within the MIBEL Framework complementing the OMIP call auctions...21 Table 3.1. Correlation coefficients of the Spanish prompt year base load power futures settlement price with the underlying spot price, the French prompt year power futures and the forward GTCC Generation Costs...40 Table 3.2. Evolution of traded volumes in OMIP, CESUR auctions, OTC and demand (TWh)...49 Table 3.3. Correlation coefficients between OMIP continuous traded volumes and the monthly evolution of key trading drivers...50 Table 3.4. Comparison of the Iberian power futures market with the most developed European energy derivatives exchanges...51 Table 3.5. Economic impact of the electricity purchased by the Spanish last resort suppliers in CESUR auctions...53 Table 3.6. Main European legislative pieces impacting on energy derivatives trading...55 Table 4.1. Costs assessment of Energy purchased in OMIP Call Auctions by Spanish Distribution Companies. Distinction per Forward Risk Premium nature...62 Table 4.2. Costs assessment of Energy purchased in OMIP Call Auctions by Spanish Distribution Companies. Distinction per contract type...63 Table 4.3. Basic Statistics of F all & Underlying Spot Prices of Monthly Futures Contracts during period Aug.06-Jul Table 4.4. Basic Statistics of F all & Underlying Spot Prices of Quarterly Futures Contracts during period Q4.06-Q Table 4.5. t-student test regarding null hypothesis of no existence ( zero value ) for the Forward Risk Premium...68 Table 4.6. Regression results regarding compliance with Bessembinder-Lemmon's Hypothesis...73 Table 4.7. Spanish Regulated Forward Contracting Mechanisms within the MIBEL Framework complementing the OMIP call auctions...75 Table 4.8. Analysis of OMIP Forward Risk Premia: basic statistics...80 Table 4.9. Average OMIP Forward Risk Premia per delivery year for global and maturity weighted average series...81 Table Basic statistics of the quarterly Forward Risk Premia for the MIBEL forward contracting mechanisms...83 Table 5.1. Derivatives listed in OMIP: basic features and liquidity diagnosis...89 Table 5.2. Market maker agreements within the Iberian Power Futures Market...91 ix

18 Table 5.3. Evolution of OMIP Closing Spreads: Futures contracts quoting from July 3 rd 2006 to November 20 th Table 5.4. Comparison of the main European Power Derivatives Exchanges with data of year Table 5.5. Regression model results of traded energy in OMIP continuous market...99 Table 6.1. Correlation Matrix between Wholesale Energy Prices Table 6.2. Correlation between Gas Prices (TTF, in /MWh) and Oil Prices (Brent, $/Bbl) Table 6.3. Dickey-Fuller s Test for Analysis of Unit Root Variables in Energy Log Price Series Table 6.4. Unitary Root Analysis of the Residue in Regression OMIP M+1 versus Fuels in Columns Table 6.5. Regression Results OMIP M+1 versus Fuels shown in columns Table 6.6. Comparison of Annual Average CSS per Maturity ( M+1, Q+1, Y+1 ) and CSS built with Spanish LNG Monthly Index x

19 RESUMEN El mercado ibérico de futuros de energía eléctrica gestionado por OMIP ( Operador do Mercado Ibérico de Energia, Pólo Português, con sede en Lisboa), también conocido como el mercado ibérico de derivados de energía, comenzó a funcionar el 3 de julio de Se analiza la eficiencia de este mercado organizado, por lo que se estudia la precisión con la que sus precios de futuros predicen el precio de contado. En dicho mercado coexisten dos modos de negociación: el mercado continuo (modo por defecto) y la contratación mediante subasta. En la negociación en continuo, las órdenes anónimas de compra y de venta interactúan de manera inmediata e individual con órdenes contrarias, dando lugar a operaciones con un número indeterminado de precios para cada contrato. En la negociación a través de subasta, un precio único de equilibrio maximiza el volumen negociado, liquidándose todas las operaciones a ese precio. Adicionalmente, los miembros negociadores de OMIP pueden liquidar operaciones Over-The-Counter (OTC) a través de la cámara de compensación de OMIP (OMIClear). Las cinco mayores empresas españolas de distribución de energía eléctrica tenían la obligación de comprar electricidad hasta julio de 2009 en subastas en OMIP, para cubrir parte de sus suministros regulados. De igual manera, el suministrador de último recurso portugués mantuvo tal obligación hasta julio de Los precios de equilibrio de esas subastas no han resultado óptimos a efectos retributivos de tales suministros regulados dado que dichos precios tienden a situarse ligeramente sesgados al alza. La prima de riesgo ex-post, definida como la diferencia entre los precios a plazo y de contado en el periodo de entrega, se emplea para medir su eficiencia de precio. El mercado de contado, gestionado por OMIE ( Operador de Mercado Ibérico de la Energía, conocido tradicionalmente como OMEL ), tiene su sede en Madrid. Durante los dos primeros años del mercado de futuros, la prima de riesgo media tiende a resultar positiva, al igual que en otros mercados europeos de energía eléctrica y gas natural. En ese periodo, la prima de riesgo ex-post tiende a ser negativa en los mercados de petróleo y carbón. Los mercados de energía tienden a mostrar niveles limitados de eficiencia de mercado. La eficiencia de precio del mercado de futuros aumenta con el desarrollo de otros mecanismos coexistentes dentro del mercado ibérico de electricidad (conocido como MIBEL ) es decir, el mercado dominante OTC, las subastas de centrales virtuales de generación conocidas en España como Emisiones Primarias de Energía, y las subastas para cubrir parte de los suministros de último recurso conocidas en España como subastas CESUR y con una mayor integración de los mercados regionales europeos de energía eléctrica. Se construye un modelo de regresión para analizar la evolución de los volúmenes negociados en el mercado continuo durante sus cuatro primeros años como una función de doce indicadores potenciales de liquidez. Los únicos indicadores significativos son los volúmenes negociados en las subastas obligatorias gestionadas por OMIP, los volúmenes negociados en el mercado OTC y los volúmenes OTC compensados por OMIClear. El número de creadores de mercado, la incorporación de agentes financieros y compañías de generación pertenecientes a grupos integrados con suministradores de último recurso, y los volúmenes OTC compensados por OMIClear muestran una fuerte correlación con los volúmenes negociados en el mercado continuo. La liquidez de OMIP xi

20 está aún lejos de los niveles alcanzados por los mercados europeos más maduros (localizados en los países nórdicos (Nasdaq OMX Commodities) y Alemania (EEX)). El operador de mercado y su cámara de compensación podrían desarrollar acciones eficientes de marketing para atraer nuevos agentes activos en el mercado de contado (p.ej. industrias consumidoras intensivas de energía, suministradores, pequeños productores, compañías energéticas internacionales y empresas de energías renovables) y agentes financieros, captar volúmenes del opaco OTC, y mejorar el funcionamiento de los productos existentes aún no líquidos. Resultaría de gran utilidad para tales acciones un diálogo activo con todos los agentes (participantes en el mercado, operador de mercado de contado, y autoridades supervisoras). Durante sus primeros cinco años y medio, el mercado continuo presenta un crecimento de liquidez estable. Se mide el desempeño de sus funciones de cobertura mediante la ratio de posición neta obtenida al dividir la posición abierta final de un contrato de derivados mensual entre su volumen acumulado en la cámara de compensación. Los futuros carga base muestran la ratio más baja debido a su buena liquidez. Los futuros carga punta muestran una mayor ratio al producirse su menor liquidez a través de contadas subastas fijadas por regulación portuguesa. Las permutas carga base liquidadas en la cámara de compensación ubicada en Madrid MEFF Power, activa desde el 21 de marzo de 2011 muestran inicialmente valores altos debido a bajos volúmenes registrados, dado que esta cámara se emplea principalmente para vencimientos pequeños (diario y semanal). Dicha ratio puede ser una poderosa herramienta de supervisión para los reguladores energéticos cuando accedan a todas las transacciones de derivados en virtud del Reglamento Europeo sobre Integridad y Transparencia de los Mercados de Energía ( REMIT ), en vigor desde el 28 de diciembre de La prima de riesgo ex-post tiende a ser positiva en todos los mecanismos (futuros en OMIP, mercado OTC y subastas CESUR) y disminuye debido a la curvas de aprendizaje y al efecto, desde el año 2011, del precio fijo para la retribución de la generación con carbón autóctono. Se realiza una comparativa con los costes a plazo de generación con gas natural (diferencial clean spark spread ) obtenido como la diferencia entre el precio del futuro eléctrico y el coste a plazo de generación con ciclo combinado internalizando los costes de emisión de CO 2. Los futuros eléctricos tienen una elevada correlación con los precios de gas europeos. Los diferenciales de contratos con vencimiento inmediato tienden a ser positivos. Los mayores diferenciales se dan para los contratos mensuales, seguidos de los trimestrales y anuales. Los generadores eléctricos con gas pueden maximizar beneficios con contratos de menor vencimiento. Los informes de monitorización por el operador de mercado que proporcionan transparencia post-operacional, el acceso a datos OTC por el regulador energético, y la valoración del riesgo regulatorio pueden contribuir a ganancias de eficiencia. Estas recomendaciones son también válidas para un potencial mercado ibérico de futuros de gas, una vez que el hub ibérico de gas actualmente en fase de diseño, con reuniones mensuales de los agentes desde enero de 2013 en el grupo de trabajo liderado por el regulador energético español esté operativo. El hub ibérico de gas proporcionará transparencia al atraer más agentes y mejorar la competencia, incrementando su eficiencia, dado que en el mercado OTC actual no se revela precio alguno de gas. xii

21 ABSTRACT The Iberian Power Futures Market, managed by OMIP ( Operador do Mercado Ibérico de Energia, Pólo Português, located in Lisbon), also known as the Iberian Energy Derivatives Market, started operations on 3 July The market efficiency, regarding how well the future price predicts the spot price, is analysed for this energy derivatives exchange. There are two trading modes coexisting within OMIP: the continuous market (default mode) and the call auction. In the continuous trading, anonymous buy and sell orders interact immediately and individually with opposite side orders, generating trades with an undetermined number of prices for each contract. In the call auction trading, a single price auction maximizes the traded volume, being all trades settled at the same price (equilibrium price). Additionally, OMIP trading members may settle Over-the-Counter (OTC) trades through OMIP clearing house (OMIClear). The five largest Spanish distribution companies have been obliged to purchase in auctions managed by OMIP until July 2009, in order to partly cover their portfolios of end users regulated supplies. Likewise, the Portuguese last resort supplier kept that obligation until July The auction equilibrium prices are not optimal for remuneration purposes of regulated supplies as such prices seem to be slightly upward biased. The ex-post forward risk premium, defined as the difference between the forward and spot prices in the delivery period, is used to measure its price efficiency. The spot market, managed by OMIE (Market Operator of the Iberian Energy Market, Spanish Pool, known traditionally as OMEL ), is located in Madrid. During the first two years of the futures market, the average forward risk premium tends to be positive, as it occurs with other European power and natural gas markets. In that period, the ex-post forward risk premium tends to be negative in oil and coal markets. Energy markets tend to show limited levels of market efficiency. The price efficiency of the Iberian Power Futures Market improves with the market development of all the coexistent forward contracting mechanisms within the Iberian Electricity Market (known as MIBEL ) namely, the dominant OTC market, the Virtual Power Plant Auctions known in Spain as Energy Primary Emissions, and the auctions catering for part of the last resort supplies known in Spain as CESUR auctions and with further integration of European Regional Electricity Markets. A regression model tracking the evolution of the traded volumes in the continuous market during its first four years is built as a function of twelve potential liquidity drivers. The only significant drivers are the traded volumes in OMIP compulsory auctions, the traded volumes in the OTC market, and the OTC cleared volumes by OMIClear. The amount of market makers, the enrolment of financial members and generation companies belonging to the integrated group of last resort suppliers, and the OTC cleared volume by OMIClear show strong correlation with the traded volumes in the continuous market. OMIP liquidity is still far from the levels reached by the most mature European markets (located in the Nordic countries (Nasdaq OMX Commodities) and Germany (EEX)). The market operator and its clearing house could develop efficient marketing actions to attract new entrants active in the spot market (e.g. energy intensive industries, suppliers, small producers, international energy companies and renewable xiii

22 generation companies) and financial agents as well as volumes from the opaque OTC market, and to improve the performance of existing illiquid products. An active dialogue with all the stakeholders (market participants, spot market operator, and supervisory authorities) will help to implement such actions. During its firs five and a half years, the continuous market shows steady liquidity growth. The hedging performance is measured through a net position ratio obtained from the final open interest of a month derivatives contract divided by its accumulated cleared volume. The base load futures in the Iberian energy derivatives exchange show the lowest ratios due to good liquidity. The peak futures show bigger ratios as their reduced liquidity is produced by auctions fixed by Portuguese regulation. The base load swaps settled in the clearing house located in Spain MEFF Power, operating since 21 March 2011, with a new denomination (BME Clearing) since 9 September 2013 show initially large values due to low registered volumes, as this clearing house is mainly used for short maturity (daily and weekly swaps). The net position ratio can be a powerful oversight tool for energy regulators when accessing to all the derivatives transactions as envisaged by European regulation on Energy Market Integrity and Transparency ( REMIT ), in force since 28 December The ex-post forward risk premium tends to be positive in all existing mechanisms (OMIP futures, OTC market and CESUR auctions) and diminishes due to the learning curve and the effect since year 2011 of the fixed price retributing the indigenous coal fired generation. Comparison with the forward generation costs from natural gas ( clean spark spread ) obtained as the difference between the power futures price and the forward generation cost with a gas fired combined cycle plant taking into account the CO 2 emission rates is also performed. The power futures are strongly correlated with European gas prices. The clean spark spreads built with prompt contracts tend to be positive. The biggest clean spark spreads are for the month contract, followed by the quarter contract and then by the year contract. Therefore, gas fired generation companies can maximize profits trading with contracts of shorter maturity. Market monitoring reports by the market operator providing post-trade transparency, OTC data access by the energy regulator, and assessment of the regulatory risk can contribute to efficiency gains. The same recommendations are also valid for a potential Iberian gas futures market, once an Iberian gas hub currently in a design phase, with monthly meetings amongst the stakeholders in a Working Group led by the Spanish energy regulatory authority since January 2013 is operating. The Iberian gas hub would bring transparency attracting more shippers and improving competition and thus its efficiency, as no gas price is currently disclosed in the existing OTC market. xiv

23 KEY WORDS / PALABRAS CLAVE Energy regulation; Power futures; Market supervision; Market efficiency; Forward risk premium; Risk Management; Energy derivatives Regulación energética; Futuros de energía eléctrica; Supervisión del mercado; Eficiencia del Mercado; Prima de riesgo a plazo; Gestión del riesgo; Derivados de energía xv

24 xvi

25 LIST OF ABBREVIATIONS ACER: Agency for the Cooperation of Energy Regulators ACM: Dutch Energy Regulatory & Competition Authority ADF: Augmented Dickey-Fuller s Test AOC: Spanish Gas Virtual Trading Point ARA: Amsterdam-Rotterdam-Antwerp coal import harbours ARIAE: Association of the Ibero-American Energy Regulatory Agencies ARIS: ACER REMIT Information System ARMA: AutoRegressive Moving Average BB: Best Bid (the most expensive purchase) BME: Spanish Bourse and Markets BO: Best Offer (the cheapest sale) BOE: Spanish Official Gazette CAE: Portuguese Energy Purchasing Contracts CCGT: Combined Cycle Gas Turbine CCP: Central CounterParty CEER: Council of European Energy Regulators CESUR: Energy Contracts for the Last Resort Supply CfD: Contracts for Differences CFTC: U.S. Commodity Futures Trading Commission CMVM: Portuguese Securities Market Commission CNE: Spanish Energy Commission CNMC: Spanish Commission of Markets and Competition CNMV: Spanish Securities Market Commission COB: California-Oregon Border COT: Commitments of Traders report CPUC: California Public Utilities Commission DERA: Danish Energy Regulatory Authority DG ENER: European Commission s Directorate-General for Energy DG TREN: European Commission s Directorate-General for Transport and Energy DJ-UBSCI: Dow Jones-UBS Commodity Index DTe: Dutch Office of Energy Regulation EEC: European Commodity Clearing EEX: European Energy Exchange EFET: European Federation of Energy Traders EI: Swedish Energy Market Inspectorate ENTSO-E: European Network of Transmission System Operators for Electricity ENTSO-G: European Network of Transmission System Operators for Gas EPE: Energy Primary Emissions EPEX: European Power Exchange ERSE: Portuguese Regulatory Entity for the Energy Services EU: European Union EUA: European Union Allowances EU ETS: European Union Emissions Trading System FERC: Federal Energy Regulatory Commission FIFO: First In First Out FTB: Futures Base load FTR: Financial Transmission Right xvii

Analysis of the Iberian Power Futures Market Hedging Efficiency

Analysis of the Iberian Power Futures Market Hedging Efficiency 5 th International Conference on Industrial Engineering and Industrial Management XV Congreso de Ingeniería de Organización Cartagena, 7 a 9 de Septiembre de 2011 Analysis of the Iberian Power Futures

More information

Evaluation of the Efficiency of the Iberian Power Futures Market

Evaluation of the Efficiency of the Iberian Power Futures Market II International Conference on Industrial Engineering and Industrial Management XII Congreso de Ingeniería de Organización September 3-5, 2008, Burgos, Spain Evaluation of the Efficiency of the Iberian

More information

Comments on Draft OECD/IOPS Good Practices on Pension Fund s Use of Alternative Investments and Derivatives

Comments on Draft OECD/IOPS Good Practices on Pension Fund s Use of Alternative Investments and Derivatives Comments on Draft OECD/IOPS Good Practices on Pension Fund s Use of Alternative Investments and Derivatives This document includes comments from various FIAP members, belonging to different countries.

More information

Energy Trading. Jonas Abrahamsson Senior Vice President Trading. E.ON Capital Market Day Nordic Stockholm, July 3, 2006

Energy Trading. Jonas Abrahamsson Senior Vice President Trading. E.ON Capital Market Day Nordic Stockholm, July 3, 2006 Energy Trading Jonas Abrahamsson Senior Vice President Trading E.ON Capital Market Day Nordic Stockholm, July 3, 2006 Agenda The Nordic Power Market The Role of Energy Trading within E.ON Nordic Page 2

More information

DAILY AND INTRADAY ELECTRICITY MARKET OPERATING RULES

DAILY AND INTRADAY ELECTRICITY MARKET OPERATING RULES Madrid, 23 July 2012 Non-binding Translation of the Market Operating Rules This translation has been carried out for the sole and exclusive purpose of enabling the text of the Market Operating Rules to

More information

1. HOW DOES FOREIGN EXCHANGE TRADING WORK?

1. HOW DOES FOREIGN EXCHANGE TRADING WORK? XV. Important additional information on forex transactions / risks associated with foreign exchange transactions (also in the context of forward exchange transactions) The following information is given

More information

Consultation on Forward Risk-Hedging Products and Harmonisation of Long-Term Capacity Allocation Rules

Consultation on Forward Risk-Hedging Products and Harmonisation of Long-Term Capacity Allocation Rules Deres referanse Vår referanse Dato PC_2012_E_13 N 26.10.2012 ACER Trg Republike 3 1000 Ljubljana, Slovenia Consultation on Forward Risk-Hedging Products and Harmonisation of Long-Term Capacity Allocation

More information

Renewable Energy Policy in México

Renewable Energy Policy in México Renewable Energy Policy in México Odon de Buen, M.C. Junio de 2003 To use Renewable Energy (RE) is to protect public goods Conservation of non-renawable resources Reduced enviromental impacts Positive

More information

ELECTRIC SYSTEM IN SPAIN: GENERATION CAPACITY, ELECTRICITY PRODUCTION AND MARKET SHARES

ELECTRIC SYSTEM IN SPAIN: GENERATION CAPACITY, ELECTRICITY PRODUCTION AND MARKET SHARES International Journal on Technical and Physical Problems of Engineering (IJTPE) Published by International Organization on TPE (IOTPE) ISSN 2077-3528 IJTPE Journal www.iotpe.com ijtpe@iotpe.com December

More information

7: The electricity market

7: The electricity market 7: The electricity market 94 : Facts 2008 : Energy and Water Resources in Norway The power sector in Norway is regulated by the Energy Act. Market-based power trading is one of the principles incorporated

More information

2. Executive Summary. Emissions Trading Systems in Europe and Elsewhere

2. Executive Summary. Emissions Trading Systems in Europe and Elsewhere 2. Executive Summary With the introduction of CO 2 emission constraints on power generators in the European Union, climate policy is starting to have notable effects on energy markets. This paper sheds

More information

EMIR and REMIT: Wholesale Energy Trading on the Docket. How to Prepare Your Business for the New Paradigm. www.allegrodev.com

EMIR and REMIT: Wholesale Energy Trading on the Docket. How to Prepare Your Business for the New Paradigm. www.allegrodev.com www.allegrodev.com EMIR and REMIT: Wholesale Energy Trading on the Docket How to Prepare Your Business for the New Paradigm 2013 Allegro Development. All rights reserved. Introduction At a Glance EMIR

More information

Trends in electricity prices and their relation to the competitiveness and efficiency in EU countries

Trends in electricity prices and their relation to the competitiveness and efficiency in EU countries International Conference on Renewable Energies and Power Quality (ICREPQ 15) La Coruña (Spain), 25 th to 27 th March, 2015 exçxãtuäx XÇxÜzç tçw céãxü dâtä àç ]ÉâÜÇtÄ(RE&PQJ) ISSN 2172-038 X, No. 13, April

More information

An Introduction to Alberta s Financial Electricity Market

An Introduction to Alberta s Financial Electricity Market An Introduction to Alberta s Financial Electricity Market TABLE OF CONTENTS PAGE EXECUTIVE SUMMARY...1 1 INTRODUCTION...1 2 FINANCIAL ELECTRICITY MARKET...4 2.1 Trading Platforms of the Financial Electricity

More information

SPECIAL UPDATE. A New Power Market in Mexico. A Competitive Power Market. Wholesale Market Participants

SPECIAL UPDATE. A New Power Market in Mexico. A Competitive Power Market. Wholesale Market Participants SPECIAL UPDATE A New Power Market in Mexico by Raquel Bierzwinsky, in New York and Mexico City, and David Jiménez and Javier Félix, in Mexico City Mexico has enacted secondary legislation that creates

More information

ANNUAL CONSOLIDAted. financial statements. PORTADA Consolidated

ANNUAL CONSOLIDAted. financial statements. PORTADA Consolidated ANNUAL CONSOLIDAted financial statements PORTADA Consolidated Financial Statements ANNUAL CONSOLIDATED FINANCIAL STATEMENTS 2011 2 Contents Annual Consolidated financial statements 2011/Contents 01 02

More information

About BME. BME is a technically advanced company. It is widely diversified, very sound financially and has a strong presence in international markets.

About BME. BME is a technically advanced company. It is widely diversified, very sound financially and has a strong presence in international markets. 10 10 BME is a technically advanced company. It is widely diversified, very sound financially and has a strong presence in international markets. BME currently integrates systems for registering, clearing

More information

TRADING FEATURES IN THE PUBLIC DEBT SEGMENT: BONOS, OBLIGACIONES, STRIPS, BILLS AND SWITCHES

TRADING FEATURES IN THE PUBLIC DEBT SEGMENT: BONOS, OBLIGACIONES, STRIPS, BILLS AND SWITCHES TRADING FEATURES IN THE PUBLIC DEBT SEGMENT: BONOS, OBLIGACIONES, STRIPS, BILLS AND SWITCHES 1 TRADING FEATURES IN THE PUBLIC DEBT SEGMENT: BONOS, OBLIGACIONES, STRIPS, BILLS AND SWITCHES In exercise of

More information

Power Trading and Retail System. empowering. smarter trading. across the energy value chain. Smart energy. Powering progress

Power Trading and Retail System. empowering. smarter trading. across the energy value chain. Smart energy. Powering progress Power Trading and Retail System empowering smarter trading across the energy value chain Smart energy. Powering progress In today s turbulent and increasingly complex energy markets, Atos Worldgrid PTRS

More information

MiFID II Level 2 and energy trading:

MiFID II Level 2 and energy trading: MiFID II Level 2 and energy trading: How to further specify the ancillary activity exemption in Article 2? 17 April 2015 1. Introduction The undersigned associations believe that open, robust, liquid,

More information

on Wholesale Electricity Markets: The German Case, May 29, 2013, Madrid.

on Wholesale Electricity Markets: The German Case, May 29, 2013, Madrid. Oxford Energy Comment June 2013 Living with Intermittent Renewable Power: Challenges for Spain and the EU 1 David Robinson 1. Introduction This note summarizes thirteen policy challenges facing Spain in

More information

Annual consolidated financial statements

Annual consolidated financial statements Annual consolidated financial statements 2012 Annual consolidated financial statements 4 Annual consolidated financial statements 2012 Contents Contents 5 01 02 Independent auditor s report page 7 Annual

More information

International comparison of electricity and gas prices for commerce and industry

International comparison of electricity and gas prices for commerce and industry International comparison of electricity and gas prices for commerce and industry FINAL REPORT ON A STUDY PREPARED FOR CREG October 2011 Frontier Economics Ltd, London. October 2011 Frontier Economics

More information

Price developments on the EU retail markets for electricity and gas 1998 2011

Price developments on the EU retail markets for electricity and gas 1998 2011 Price developments on the EU retail markets for electricity and gas 1998 2011 The Market Observatory for Energy has analysed price developments on the retail markets for electricity and natural gas (domestic

More information

PV Parity project (IEE/10/307 / SI2.592205) Electricity prices scenarios until at least the year 2020 in selected EU countries. Deliverable 2.

PV Parity project (IEE/10/307 / SI2.592205) Electricity prices scenarios until at least the year 2020 in selected EU countries. Deliverable 2. PV Parity project (IEE/10/307 / SI2.592205) Electricity prices scenarios until at least the year 2020 in selected EU countries Deliverable 2.2 Prepared by WIP Renewable Energies (WIP) Sylvensteinstr. 2

More information

Market design and the use of FTRs and CfDs

Market design and the use of FTRs and CfDs THEMA Report 2011-15 ISBN no. 978-82-93150-07-7 Market design and the use of FTRs and CfDs A report prepared for Energy Norway September 2011 CONTENT 1 SUMMARY AND CONCLUSIONS...3 2 INTRODUCTION...4 3

More information

About BME. BME s headquarters and all of its subsidiary companies main offices are in Spain, where the group carries out its business.

About BME. BME s headquarters and all of its subsidiary companies main offices are in Spain, where the group carries out its business. 15 is a technologically advanced company. It is widely diversified, financially sound and has a strong presence in the international markets. s headquarters and all of its subsidiary companies main offices

More information

Business Area Markets

Business Area Markets Business Area Markets Stefan Dohler Head of Business Area Markets Vattenfall Capital Markets Day, Solna, 27 May 2015 Facts and figures Business Area Markets Our Mission We commercially optimise Vattenfall

More information

COAL MARKET FREQUENTLY ASKED QUESTIONS

COAL MARKET FREQUENTLY ASKED QUESTIONS COAL MARKET FREQUENTLY ASKED QUESTIONS Over the course of the past decade, numerous issues have arisen in the U.S. coal trading arena. Bankruptcies, standardized trading contracts, and liquidity are a

More information

Corporate and Social Responsibility Report 2010 / BME. What is BME

Corporate and Social Responsibility Report 2010 / BME. What is BME 4 is the operator of all stock exchanges and financial Markets in Spain. is a limited company, has been a public company since 4 July 006 and an IBEX 35 constituent since July 007 is a technologically

More information

9M10 Results Presentation

9M10 Results Presentation 9M10 Results Presentation November 5th, 2010 9M10: Highlights of the period EBITDA: 2,651m, +9% YoY EBITDA from Brazil: +28% YoY: 19% of EDP Group EBITDA in 9M10 Electricity distributed +15% YoY EBITDA

More information

ANNEX ON GENERAL RULES APPLICABLE TO (LIFE AND NON-LIFE) INSURERS OPERATING IN SPAIN UNDER FREEDOM TO PROVIDE SERVICES OR RIGHT OF ESTABLISHMENT

ANNEX ON GENERAL RULES APPLICABLE TO (LIFE AND NON-LIFE) INSURERS OPERATING IN SPAIN UNDER FREEDOM TO PROVIDE SERVICES OR RIGHT OF ESTABLISHMENT SECRETARÍA DE ESTADO, ANNEX ON GENERAL RULES APPLICABLE TO (LIFE AND NON-LIFE) INSURERS OPERATING IN SPAIN UNDER FREEDOM TO PROVIDE SERVICES OR RIGHT OF ESTABLISHMENT The list set out below is not exhaustive,

More information

Copyright 2015 All rights reserved. Phelix Power Futures

Copyright 2015 All rights reserved. Phelix Power Futures Phelix Power Futures EEX at a glance The European Energy Exchange develops, operates and connects secure, liquid and transparent markets for energy and related products. EEX is a regulated market according

More information

GDF SUEZ. Introduction. Jean-François Cirelli

GDF SUEZ. Introduction. Jean-François Cirelli GDF SUEZ Introduction Jean-François Cirelli Content 1. Focus on gas market dynamics 2. Focus on electricity market dynamics 3. Focus on P&L resilience and sensitivities 4. Focus on synergies and performance

More information

ANNUAL REPORT TO THE EUROPEAN COMMISSION

ANNUAL REPORT TO THE EUROPEAN COMMISSION ANNUAL REPORT TO THE EUROPEAN COMMISSION August 2012 ENTIDADE REGULADORA DOS SERVIÇOS ENERGÉTICOS Este documento está preparado para impressão em frente e verso Rua Dom Cristóvão da Gama n.º 1-3.º 1400-113

More information

Analysis of the Operating Efficiency of Mobile Operators During the 2002 to 2008 Period

Analysis of the Operating Efficiency of Mobile Operators During the 2002 to 2008 Period 6th International Conference on Industrial Engineering and Industrial Management. XVI Congreso de Ingeniería de Organización. Vigo, July 18-20, 2012 Analysis of the Operating Efficiency of Mobile Operators

More information

ICAP Execution Policy

ICAP Execution Policy ICAP Execution Policy August 2013 This Execution Policy is applicable to broker services provided to you by ICAP Group and/or any of its relevant group companies, as notified to you from time to time (

More information

Opportunities in the Power Sector

Opportunities in the Power Sector South Asia Energy Cooperation Presentation and Title Business ( Arial, Font size 28 ) Opportunities in the Power Sector Date, Venue, etc..( Arial, Font size 18 ) Amulya Charan February 2012 Scope of Energy

More information

Energy and peak performance Alpiq Commerce & Trading

Energy and peak performance Alpiq Commerce & Trading Energy and peak performance Alpiq Commerce & Trading 1 2 Alpiq is a leading Swiss electricity and energy services provider with a European focus. The company is active in power production, as well as energy

More information

ABOUT ELECTRICITY MARKETS. Power Markets and Trade in South Asia: Opportunities for Nepal

ABOUT ELECTRICITY MARKETS. Power Markets and Trade in South Asia: Opportunities for Nepal ABOUT ELECTRICITY MARKETS Power Markets and Trade in South Asia: Opportunities for Nepal February 14-15, 2011 Models can be classified based on different structural characteristics. Model 1 Model 2 Model

More information

The financial market. An introduction to Nord Pool s financial market and its products. Bernd Botzet

The financial market. An introduction to Nord Pool s financial market and its products. Bernd Botzet The financial market An introduction to Nord Pool s financial market and its products Bernd Botzet Introduction to Nord Pool s financial market Financial products Case: Forwards Contracts for difference

More information

Regulatory framework for non-mainland generation. - Investor Relations Days -

Regulatory framework for non-mainland generation. - Investor Relations Days - Regulatory framework for non-mainland generation - Investor Relations Days - Palma de Mallorca, June 2006 1 The regulatory framework for non-mainland generation has been completed with the enacting of

More information

Economic Analysis of the Renewable Energy Policies in the European Union

Economic Analysis of the Renewable Energy Policies in the European Union 6th International Conference on Industrial Engineering and Industrial Management. XVI Congreso de Ingeniería de Organización. Vigo, July 18-20, 2012 Economic Analysis of the Renewable Energy Policies in

More information

Harmonisation of electricity generation transmission tariffs. A EURELECTRIC contribution to ACER s scoping exercise

Harmonisation of electricity generation transmission tariffs. A EURELECTRIC contribution to ACER s scoping exercise Harmonisation of electricity generation transmission tariffs A EURELECTRIC contribution to ACER s scoping exercise December 2015 EURELECTRIC is the voice of the electricity industry in Europe. We speak

More information

Re: Notice and Request for Comments - Determinations of Foreign Exchange Swaps and Forwards (75 Fed. Reg. 66829)

Re: Notice and Request for Comments - Determinations of Foreign Exchange Swaps and Forwards (75 Fed. Reg. 66829) ISDA International Swaps and Derivatives Association, Inc. 360 Madison Avenue, 16th Floor New York, NY 10017 United States of America Telephone: 1 (212) 901-6000 Facsimile: 1 (212) 901-6001 email: isda@isda.org

More information

Commodity Markets Intelligence Series

Commodity Markets Intelligence Series Commodity Markets Intelligence Series How to master (OTC) Clearing for Energy Companies October, 2012 Introduction The move to clearing of standardised over-the-counter (OTC) derivatives represents a significant

More information

OTC Derivatives: Benefits to U.S. Companies

OTC Derivatives: Benefits to U.S. Companies OTC Derivatives: Benefits to U.S. Companies International Swaps and Derivatives Association May 2009 1 What are derivatives? Derivatives are financial instruments that: Transfer risk from one party to

More information

Clearing and Settlement Initiatives 2013/2014

Clearing and Settlement Initiatives 2013/2014 Clearing and Settlement Initiatives 2013/2014 Agenda 1. Introduction of ECC 2. Milestones since June 2013 3. Product innovations - Partner Exchanges 4. ECC The clearing house serving the European Energy

More information

Single Electricity Market (SEM) and interaction with EMIR. Central Bank of Ireland

Single Electricity Market (SEM) and interaction with EMIR. Central Bank of Ireland Single Electricity Market (SEM) and interaction with EMIR Central Bank of Ireland 11 th July 2014 About EAI Overview of SEM and its Participants The market is a gross mandatory pool and consists of generators

More information

3/11/2015. Crude Oil Price Risk Management. Crude Oil Price Risk Management. Crude Oil Price Risk Management. Outline

3/11/2015. Crude Oil Price Risk Management. Crude Oil Price Risk Management. Crude Oil Price Risk Management. Outline 1 Phoenix Energy Marketing Consultants Inc. 2 Outline What is crude oil price risk management? Why manage crude oil price risk? How do companies manage crude oil price risk? What types of deals do companies

More information

XIV. Additional risk information on forward transactions in CFDs

XIV. Additional risk information on forward transactions in CFDs XIV. Additional risk information on forward transactions in CFDs The following information is given in addition to the general risks associated with forward transactions. Please read the following information

More information

OPTIMIZACIÓN DE GENERACIÓN ELÉCTRICA Y EFICIENCIA ENERGÉTICA OGE&EE

OPTIMIZACIÓN DE GENERACIÓN ELÉCTRICA Y EFICIENCIA ENERGÉTICA OGE&EE PETROAMAZONAS EP OPTIMIZACIÓN DE GENERACIÓN ELÉCTRICA Y EFICIENCIA ENERGÉTICA OGE&EE SECTOR HIDROCARBUROSPROYECTOS Van Den Berg, Berend 15 1. PROJECT DISCRIPTION: Have you ever asked yourself the question

More information

Liquidity Secure and Promote - Monitoring update

Liquidity Secure and Promote - Monitoring update Liquidity Secure and Promote - Monitoring update Yasmin Valji 27/10/15 Reminder: Structure of the intervention For objective 1 (availability of products to support hedging): Secure fair trading terms for

More information

The Nordic Electricity Exchange and The Nordic Model for a Liberalized Electricity Market

The Nordic Electricity Exchange and The Nordic Model for a Liberalized Electricity Market The Nordic Electricity Exchange and The Nordic Model for a Liberalized Electricity Market 1 The market When the electricity market is liberalized, electricity becomes a commodity like, for instance, grain

More information

Topic 9: Energy Pricing and Trading in Financial Markets. () Global Energy Issues, Industries and Markets 1 / 41

Topic 9: Energy Pricing and Trading in Financial Markets. () Global Energy Issues, Industries and Markets 1 / 41 Topic 9: Energy Pricing and Trading in Financial Markets () Global Energy Issues, Industries and Markets 1 / 41 Introduction Energy prices determined in many ways E.g. long term contracts for natural gas

More information

Case 6: Institutional arrangements of a green or fossil energy mix

Case 6: Institutional arrangements of a green or fossil energy mix POLINARES is a project designed to help identify the main global challenges relating to competition for access to resources, and to propose new approaches to collaborative solutions POLINARES working paper

More information

Program for Energy Trading, Derivatives and Risk Management by Kyos Energy Consulting, dr Cyriel de Jong Case studies

Program for Energy Trading, Derivatives and Risk Management by Kyos Energy Consulting, dr Cyriel de Jong Case studies Program for Energy Trading, Derivatives and Risk Management by Kyos Energy Consulting, dr Cyriel de Jong Case studies We use cases throughout its course in various forms. The cases support the application

More information

SUBCHAPTER A. AUTOMOBILE INSURANCE DIVISION 3. MISCELLANEOUS INTERPRETATIONS 28 TAC 5.204

SUBCHAPTER A. AUTOMOBILE INSURANCE DIVISION 3. MISCELLANEOUS INTERPRETATIONS 28 TAC 5.204 Part I. Texas Department of Insurance Page 1 of 10 SUBCHAPTER A. AUTOMOBILE INSURANCE DIVISION 3. MISCELLANEOUS INTERPRETATIONS 28 TAC 5.204 1. INTRODUCTION. The commissioner of insurance adopts amendments

More information

Secondary and short term natural gas markets International experiences

Secondary and short term natural gas markets International experiences Secondary and short term natural gas markets International experiences Bogotá, 13 th May 2011 Presented by: Dan Harris Principal The Brattle Group Copyright 2011 The Brattle Group, Inc. www.brattle.com

More information

FRAMEWORK DESIGN FOR SPOT GAS TRADING IN IBERIAN MARKET

FRAMEWORK DESIGN FOR SPOT GAS TRADING IN IBERIAN MARKET UNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ENGINEERING (ICAI) OFFICIAL MASTER IN ELECTRICTY SECTOR MASTER THESIS FRAMEWORK DESIGN FOR SPOT GAS TRADING IN IBERIAN MARKET RAVI PRATAP SINGH MADRID 23 October

More information

PVM Execution Policy. A tullett prebon company. PVM Oil Associates Ltd. PVM Oil Futures Ltd. London

PVM Execution Policy. A tullett prebon company. PVM Oil Associates Ltd. PVM Oil Futures Ltd. London PVM Execution Policy This document details how we handle orders for our customers and strive to obtain the best possible outcome each time we deal on their behalf., NJ and PVM Oil Associates Ltd & PVM

More information

E.ON s UK Consolidated Segmental Report for the year ended 31 December 2012

E.ON s UK Consolidated Segmental Report for the year ended 31 December 2012 E.ON s UK Consolidated Segmental Report for the year ended 31 December 2012 Introduction In accordance with the Electricity Generation Licence Condition 16 - Financial Information Reporting, and the Electricity

More information

Reflections on the Spanish Regulation Framework. Dr. Luis Crespo Secretary General of Protermosolar President of ESTELA

Reflections on the Spanish Regulation Framework. Dr. Luis Crespo Secretary General of Protermosolar President of ESTELA Reflections on the Spanish Regulation Framework Dr. Luis Crespo Secretary General of Protermosolar President of ESTELA Recent History of STE regulation and deployment in Spain The Electrical Sector Law

More information

Encuesta de Expectativas Económicas al Panel de Analistas Privados

Encuesta de Expectativas Económicas al Panel de Analistas Privados Encuesta de Expectativas Económicas al Panel de Analistas Privados ECONOMIC EXPECTATIONS SURVEY TO THE PANEL OF PRIVATE ANALYSTS - EEE (For its acronym in Spanish) - JUNE 2011 The Economic Expectations

More information

AP SPANISH LANGUAGE 2011 PRESENTATIONAL WRITING SCORING GUIDELINES

AP SPANISH LANGUAGE 2011 PRESENTATIONAL WRITING SCORING GUIDELINES AP SPANISH LANGUAGE 2011 PRESENTATIONAL WRITING SCORING GUIDELINES SCORE DESCRIPTION TASK COMPLETION TOPIC DEVELOPMENT LANGUAGE USE 5 Demonstrates excellence 4 Demonstrates command 3 Demonstrates competence

More information

Avocados Australia, PO Box 8005 Woolloongabba Queensland 4102 Australia

Avocados Australia, PO Box 8005 Woolloongabba Queensland 4102 Australia Proceedings VII World Avocado Congress 2011 (Actas VII Congreso Mundial del Aguacate 2011). Cairns, Australia. 5 9 September 2011 Retail prices shed light for avocado industry Julie Petty and Joanna Embry

More information

Making CfDs work for renewable generators

Making CfDs work for renewable generators Making CfDs work for renewable generators This is in two parts. 1 st a brief introduction to the Green Power Auction Market. 2 nd gives more detail on the structure and follows on. We consider this a critical

More information

LINIO COLOMBIA. Starting-Up & Leading E-Commerce. www.linio.com.co. Luca Ranaldi, CEO. Pedro Freire, VP Marketing and Business Development

LINIO COLOMBIA. Starting-Up & Leading E-Commerce. www.linio.com.co. Luca Ranaldi, CEO. Pedro Freire, VP Marketing and Business Development LINIO COLOMBIA Starting-Up & Leading E-Commerce Luca Ranaldi, CEO Pedro Freire, VP Marketing and Business Development 22 de Agosto 2013 www.linio.com.co QUÉ ES LINIO? Linio es la tienda online #1 en Colombia

More information

Power market integration. Geir-Arne Mo Team Lead Nordic Spot Trading Bergen Energi AS

Power market integration. Geir-Arne Mo Team Lead Nordic Spot Trading Bergen Energi AS Power market integration Geir-Arne Mo Team Lead Nordic Spot Trading Bergen Energi AS 1 Geir-Arne Mo Some background information: Working for Bergen Energi since 2015 Team Lead Nordic Spot Trading I work

More information

MiFID II/MiFIR series

MiFID II/MiFIR series Financial institutions Energy Infrastructure, mining and commodities Transport Technology and innovation Life sciences and healthcare MiFID II/MiFIR series Impact on commodities and commodity derivatives

More information

MONEY MARKET FUTURES. FINANCE TRAINER International Money Market Futures / Page 1 of 22

MONEY MARKET FUTURES. FINANCE TRAINER International Money Market Futures / Page 1 of 22 MONEY MARKET FUTURES 1. Conventions and Contract Specifications... 3 2. Main Markets of Money Market Futures... 7 3. Exchange and Clearing House... 8 4. The Margin System... 9 5. Comparison: Money Market

More information

CAPACITY MECHANISMS IN EU POWER MARKETS

CAPACITY MECHANISMS IN EU POWER MARKETS CAPACITY MECHANISMS IN EU POWER MARKETS Can we progress to bilateral energy options? Simon Bradbury Ultimately, European renewable targets mean that prices and dispatch patterns will be dictated by wind

More information

Natural Gas market in Spain before market liberalization. Jesús Muñoz San Miguel. Yolanda Hinojosa Bergillos

Natural Gas market in Spain before market liberalization. Jesús Muñoz San Miguel. Yolanda Hinojosa Bergillos ABSTRACT: Natural Gas market in Spain before market liberalization Jesús Muñoz San Miguel Yolanda Hinojosa Bergillos Universidad de Sevilla. Spain In this paper we analyze the natural gas market in Spain

More information

Derivative Markets and the NEM

Derivative Markets and the NEM CEEM Specialised Training Program EI Restructuring in Australia Derivative Markets and the NEM Iain MacGill and Hugh Outhred Centre for Energy and Environmental Markets School of Electrical Engineering

More information

Summary. Key business impacts. Key business impacts. Trading venues. Product intervention commodity derivatives

Summary. Key business impacts. Key business impacts. Trading venues. Product intervention commodity derivatives Key business impacts Trading venues Product intervention MiFID 2: commodity derivatives Summary The Markets in Financial Instruments Directive (MiFID) required member state implementation by 1 November

More information

Forward Risk-Hedging Products PC_2012_E_13

Forward Risk-Hedging Products PC_2012_E_13 Answer to public consultation Petteri Haveri 26.10.2012 1(5) Agency for the cooperation of energy regulators consultation2012r08@acer.europa.eu Forward Risk-Hedging Products PC_2012_E_13 The Finnish Energy

More information

Clearing and settlement of exchange traded derivatives

Clearing and settlement of exchange traded derivatives Clearing and settlement of exchange traded derivatives by John W. McPartland, consultant, Financial Markets Group Derivatives are a class of financial instruments that derive their value from some underlying

More information

Mexican Energy Reform. Implications and opportunities in the national electricity network

Mexican Energy Reform. Implications and opportunities in the national electricity network Mexican Energy Reform Implications and opportunities in the national electricity network Contents 1. What are the implications of the reform? 4 2. How can we help you identify opportunities and obtain

More information

REGULATIONS GOVERNING THE SENAF MULTILATERAL TRADING FACILITY

REGULATIONS GOVERNING THE SENAF MULTILATERAL TRADING FACILITY REGULATIONS GOVERNING THE SENAF MULTILATERAL TRADING FACILITY 1 SENAF REGULATIONS TITLE I - GENERAL PROVISIONS Article 1. Object Article 2. Scope of application Article 3. Governing bodies Article 4. Applicable

More information

Introduction to Equity Derivatives on Nasdaq Dubai NOT TO BE DISTRIUTED TO THIRD PARTIES WITHOUT NASDAQ DUBAI S WRITTEN CONSENT

Introduction to Equity Derivatives on Nasdaq Dubai NOT TO BE DISTRIUTED TO THIRD PARTIES WITHOUT NASDAQ DUBAI S WRITTEN CONSENT Introduction to Equity Derivatives on Nasdaq Dubai NOT TO BE DISTRIUTED TO THIRD PARTIES WITHOUT NASDAQ DUBAI S WRITTEN CONSENT CONTENTS An Exchange with Credentials (Page 3) Introduction to Derivatives»

More information

4 DAY Course Outline. Power Purchase Agreements. for Emerging Countries

4 DAY Course Outline. Power Purchase Agreements. for Emerging Countries 4 DAY Course Outline Power Purchase Agreements for Emerging Countries Overview This intensive and highly interactive four day hands-on course will provide a comprehensive analysis of issues associated

More information

General Forex Glossary

General Forex Glossary General Forex Glossary A ADR American Depository Receipt Arbitrage The simultaneous buying and selling of a security at two different prices in two different markets, with the aim of creating profits without

More information

FREQUENTLY ASKED QUESTIONS BY INSURANCE PROFESSIONALS WHO ARE CONSIDERING FLEX OPTIONS

FREQUENTLY ASKED QUESTIONS BY INSURANCE PROFESSIONALS WHO ARE CONSIDERING FLEX OPTIONS FREQUENTLY ASKED QUESTIONS BY INSURANCE PROFESSIONALS WHO ARE CONSIDERING FLEX OPTIONS WHAT ARE FLEX OPTIONS? FLEX options are customizable options where users define their own terms. They differ from

More information

THE PROFESSIONAL RISK MANAGERS' GUIDE TO THE ENERGY MARKET

THE PROFESSIONAL RISK MANAGERS' GUIDE TO THE ENERGY MARKET THE PROFESSIONAL RISK MANAGERS' GUIDE TO THE ENERGY MARKET Edited by PETER C. FUSARO New York Chicago San Francisco Lisbon London Madrid Mexico City Milan New Delhi San Juan Seoul Singapore Sydney Toronto

More information

Session IX: Lecturer: Dr. Jose Olmo. Module: Economics of Financial Markets. MSc. Financial Economics

Session IX: Lecturer: Dr. Jose Olmo. Module: Economics of Financial Markets. MSc. Financial Economics Session IX: Stock Options: Properties, Mechanics and Valuation Lecturer: Dr. Jose Olmo Module: Economics of Financial Markets MSc. Financial Economics Department of Economics, City University, London Stock

More information

Dual Purpose Transmission Rights

Dual Purpose Transmission Rights Dual Purpose Transmission Rights The pros and cons of physical and financial transmission capacity rights and a recommended EFET approach for a pan European model DISCUSSION PAPER November 2008 Executive

More information

CREDITEX BROKERAGE LLP BEST EXECUTION POLICY

CREDITEX BROKERAGE LLP BEST EXECUTION POLICY CREDITEX BROKERAGE LLP BEST EXECUTION POLICY Version 1.1 The Execution Policy is applicable to broker services provided by Creditex Brokerage LLP ( CBL ). Introduction When providing brokerage services

More information

Best Execution Policy

Best Execution Policy Black Pearl Securities Limited "the Firm" Best Execution Policy This Best Execution Policy is applicable to Matched Principle Broker (MPB) services provided to you by the Firm and it should be read in

More information

Warrants, Certificates and other products

Warrants, Certificates and other products Interconnection Trading System Warrants, Certificates and other products MARKET MODEL DESCRIPTION January 2015 TABLE OF CONTENTS 1. INTRODUCTION 4 1.1. Background 4 1.2. Institutional market configuration

More information

Key Points. Ref.:EBF_007865E. Brussels, 09 May 2014

Key Points. Ref.:EBF_007865E. Brussels, 09 May 2014 Ref.:EBF_007865E Brussels, 09 May 2014 Launched in 1960, the European Banking Federation is the voice of the European banking sector from the European Union and European Free Trade Association countries.

More information

Different types of electricity markets modelled using PLEXOS Integrated Energy Model The UK Balancing Market example

Different types of electricity markets modelled using PLEXOS Integrated Energy Model The UK Balancing Market example Different types of electricity markets modelled using PLEXOS Integrated Energy Model The UK Balancing Market example Peny Panagiotakopoulou, Senior Power Systems Consultant, Energy Exemplar Europe Overview

More information

The debate on market design in the EU energy policy

The debate on market design in the EU energy policy The debate on market design in the EU energy policy 12 th International Conference on the European Energy Market - EEM15 Lisbon, May 20 th, 2015 Pedro Neves Ferreira Head of Energy Planning pedro.nevesferreira@edp.pt

More information

Auctioning German Auctioning of Emission Allowances Periodical Report: First Quarter 2014

Auctioning German Auctioning of Emission Allowances Periodical Report: First Quarter 2014 Auctioning German Auctioning of Emission Allowances Periodical Report: First Quarter 2014 Deutsche Emissionshandelsstelle Impressum Publisher German Emissions Trading Authority (DEHSt) at the Federal Environment

More information

Introduction, Forwards and Futures

Introduction, Forwards and Futures Introduction, Forwards and Futures Liuren Wu Zicklin School of Business, Baruch College Fall, 2007 (Hull chapters: 1,2,3,5) Liuren Wu Introduction, Forwards & Futures Option Pricing, Fall, 2007 1 / 35

More information

Measuring prices in the electronic communications market: some thoughts about non-linear tariffs for mobile phone calls

Measuring prices in the electronic communications market: some thoughts about non-linear tariffs for mobile phone calls Measuring prices in the electronic communications market: some thoughts about non-linear tariffs for mobile phone calls Begoña García Mariñoso Íñigo Herguera David Suárez* Department of Studies and Statistics

More information

UNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION

UNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION UNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION List of Subjects by Department 14-15 DEPARTAMENTO DE ECONOMÍA - DEPARTAMENT OF ECONOMICS Análisis de la Coyuntura Analysis

More information

Summary of the Impact assessment for a 2030 climate and energy policy framework

Summary of the Impact assessment for a 2030 climate and energy policy framework Summary of the Impact assessment for a 2030 climate and energy policy framework Contents Overview a. Drivers of electricity prices b. Jobs and growth c. Trade d. Energy dependence A. Impact assessment

More information

Response by NIE Energy (PPB)

Response by NIE Energy (PPB) NIE Energy Limited Power Procurement Business (PPB) Review of K factors & Supply Margins and Tariff Structure Review Consultation Paper CER-09-093 Response by NIE Energy (PPB) 11 September 2009. Introduction

More information

Dyna ISSN: 0012-7353 dyna@unalmed.edu.co Universidad Nacional de Colombia Colombia

Dyna ISSN: 0012-7353 dyna@unalmed.edu.co Universidad Nacional de Colombia Colombia Dyna ISSN: 0012-7353 dyna@unalmed.edu.co Universidad Nacional de Colombia Colombia POSADA, ENRIQUE Rational energy use and waste minimization goals based on the use of production data Dyna, vol. 75, núm.

More information

Developments in the Traded Market:

Developments in the Traded Market: PatrickHeatherConsultancy Developments in the Traded Market: The Evolution of European Traded Gas Hubs Eurogas Conference on Central and Eastern Europe Ljubljana, 15 th December, 2015 The contents of this

More information