EEX European Power Futures and Introduction of Cap Futures

Transcription

1 EEX European Power Futures and Introduction of Cap Futures Tim Greenwood, Steffen Riediger, Dr. Maximilian Rinck Essen, 11 February 2015

2 Agenda 1. Review volumes and trends in EEX Power Derivatives Product Suite 3. Introduction EEX Intraday Cap Futures 4. Q&A Page 2

3 EEX Power Trends in 2014 Market share On-exchange execution Short-term products Strong growth Italian Power Regional expansion Options Page 3

4 EEX Power Volumes 2014/12 Market Unit 2014 cum. Prev. Year cum. Power Spot TWh 387,0 345,8 +12% Power Derivatives Phelix (Σ) TWh 1.369, ,5 +10% Exchange Futures TWh 812,1 669,0 +21% Trade Registration TWh 524,5 537,4-2% Options TWh 32,6 37,1-12% Exchange-Ratio % 59% 54% +6% French Power TWh 82,7 20,3 +307% Italian Power TWh 115,6 1, % OTC bundle (Σ) TWh 1,9 0, % Spanish TWh 1,6 0,0 -- Swiss TWh 0,29 0,0 -- Greek TWh 0,02 0,0 -- Delta (%) Page 4

5 German Power EEX Market Share Page 5

6 Trends and Liquidity Phelix Futures Volume Phelix Futures (Exchange + OTC, with Phelix Options) Volume [TWh] Percent [%] Short Term Months Quarters Years Volatility (Source: Thomson Reuters) JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Number of contracts Number of traded contracts for Phelix Products (Exchange + OTC, with Phelix Options) Short Term Months Quarters Years JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Page 6

7 French Power Futures EEX Market Share Page 7

8 Trends and Liquidity French Power Futures Volume [TWh] Volume French Futures (Exchange + OTC) Weeks Months Quarters Years Volatility (Source: Thomson Reuters) Percent [%] JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Number of contracts Number of traded contracts for French Products (Exchange + OTC) Weeks Months Quarters Years JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Page 8

9 Italian Power Futures EEX Market Share Page 9

10 Trends and Liquidity Italian Power Futures Volume [TWh] 30 Volume Italian Futures (Exchange + OTC) Weeks Months Quarters Years Volatility (Source: Thomson Reuters) Percent [%] JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Number of contracts Number of traded contracts for Italian Products (Exchange + OTC) Weeks Months Quarters Years JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Page 10

11 Agenda 1. Review volumes and trends in EEX Power Derivatives Product Suite 3. Introduction EEX Intraday Cap Futures 4. Q&A Page 11

12 Market Coverage Power Derivatives December 2012 Exchange-traded EEX Power Futures EEX Trade Registration Services for Power Futures ECC Clearing for Partner Exchanges Page 12

13 Market Coverage Power Derivatives December 2013 Exchange-traded EEX Power Futures EEX Trade Registration Services for Power Futures ECC Clearing for Partner Exchanges NL/BE: physical futures Page 13

14 Market Coverage Power Derivatives December 2014 Exchange-traded EEX Power Futures EEX Trade Registration Services for Power Futures ECC Clearing for Partner Exchanges NL/BE: physical futures Page 14

15 Market Coverage Power Derivatives February 2015 Exchange-traded EEX Power Futures EEX Trade Registration Services for Power Futures ECC Clearing for Partner Exchanges NL/BE: physical futures Page 15

16 Base Base Base Base Base Base/Peak Base Base Base/Peak Off- Peak Base/Peak Base/Peak EEX Power Futures and Options Current Product Offering Phelix Futures French Futures Italian Futures Day and Weekend Futures Week Futures Month Futures Quarter Futures Year Futures Dutch Futures (physical) Month Futures Quarter Futures Year Futures Cleared-only Spanish Futures Week Futures Month Futures Quarter Futures Year Futures Week Futures Month Futures Quarter Futures Year Futures Belgian Futures (physical) Month Futures Quarter Futures Year Futures Cleared-only Swiss Futures Month Futures Quarter Futures Year Futures Cleared-only Romanian Futures Month Futures Week Futures Month Futures Quarter Futures Year Futures Options on Phelix Futures Month Futures Quarter Futures Year Futures Cleared-only Nordic Futures Month Futures Quarter Futures Year Futures Cleared-only Greek Futures Month Futures Exchange Orderbook Trade Registration Quarter Futures Quarter Futures Year Futures Year Futures Page 16

17 Base Spread Spread Spread Base Base Base Spreads Spreads Spreads Base Base Extension of product suite Phelix Futures French Futures Italian Futures Phelix / French Power Day Futures Day Futures Italian / Phelix Power Phelix / Nordic Power Swiss / Phelix Power Exchange-traded Swiss Futures Month Futures Quarter Futures Year Futures Swiss / Phelix Power Swiss / French Power Italian / Swiss Power Weekend Futures Phelix / French Power Italian / French Power Swiss / French Power Exchange-traded Nordic Futures Month Futures Quarter Futures Year Futures Phelix / Nordic Power Weekend Futures Italian / French Power Italian / Phelix Power Italian / Swiss Power Exchange-traded Spanish Futures Day Futures Weekend Futures Month Futures Quarter Futures Year Futures Spanish / French Power 16 February 2015 Options Spanish Power Italian Power French Power April 2015 Page 17

18 Agenda 1. Review volumes and trends in EEX Power Derivatives Product Suite 3. Introduction EEX Intraday Cap Futures 4. Q&A Page 18

19 Product Innovations for the Energiewende Power Spot- Market 15min. Contracts Intraday Market (DE) Intraday Market (AT) Intraday Market (CH) 15-min Intraday Auction (DE) Lead time reduction Market Coupling FR/DE cross-border intraday NWE-Market Coupling (CWE+UK+Nordics) Derivatives Day/Weekend Futures (DE/AT) Day/Weekend Futures (FR/IT/ES) Cap-Futures* Wind Power Futures Daily / Hourly Options *Hedging against price risks in the Intraday market Page 19

20 EPEX Spot Power Intraday Markets Trends and Initiatives Growing intraday markets The Volumes on the Intraday markets of EPEX SPOT, covering Germany/Austria, France and Switzerland, have surged in 2014, up by 33% year-on-year, underlining the relevance of intraday trading. Intraday auction EPEX Spot successfully launched a 15min auction on 9 December 2014 to concentrate liquidity and improve the price reference for quarter-hourly trading. More than 70 active members already. Lead time trading closer to delivery EPEX SPOT and ECC are currently working on reducing the lead time for continuous Intraday trading from 45min to 30min. Page 20

21 EEX Cap Future Hedging against Intraday Price Risks The problem 1. In case of deviations between forecasted generation and actual generation, RES suppliers have to act as price takers in the power intraday market 2. Providers of flexible generation capacities can sell their electricity at peak prices to meet shortterm demand. The solution 1. By mid 2015, EEX will launch a standardized financial future that allows to hedge against peak prices on EPEX SPOT s intraday power market in Germany. 2. RES suppliers insure against peak prices 3. Flexible generators secure peak prices Page 21

22 EEX Cap Future Product Design #1 Intraday Index Typically, price spikes in the intraday market occur shortly before delivery (less than 3h) This pattern is caused by generation scarcity and necessary purchases, which are related to compensate deviations between actual generation and forecast generation The new intraday index will be based on all trades within 3h before the delivery hour in order to capture the scarcity signal. At the same time, the 3h window allows to capture enough volume to ensure robustness of the index. Page 22

23 EEX Cap Future Product Design #2 General idea In contrast to the Day-Ahead market (auction-based), the EPEX SPOT intraday market is a continuous market with different trading products opening call-auction on d-1 continously traded 1h contracts continously traded 1/4h contracts In order to ensure robustness of the Cap Futures underlying, EPEX SPOT will build the new intraday index only on 1h contracts Page 23

24 EEX Cap Future Product Design #3 Payout For each hour in the delivery period, the underlying Index is calculated as volume-weighted average of all EPEX SPOT intraday market trades within 3 hours before delivery. If the index is above the Cap, the pay-out for the specific hour will be the difference between the index and the cap. If the index is below the cap, the payout is zero. Contract details Type Market Area Underlying Maturities Cap Contract Size Expiry Financial future with daily mark-to-market Germany New EPEX SPOT Intraday index Week contracts (current week + 4 weeks ahead tradable) Proposal: 65 /MWh, to be confirmed with market participants 168 MWh, similar to Phelix Base Week Futures Monday after delivery week, similar to Phelix Week Future Page 24

25 EEX Cap Future Example Example The new EEX Cap Futures are set up as futures (daily mark-to-market) but have a payout-profile similar to an option Only hours where the intraday index is above the Cap (e.g 65 /MWh), will generate a payout Hour Intraday price index Payout : /MWh /MWh : /MWh /MWh : /MWh 8.63 /MWh : /MWh /MWh : /MWh 6.32 /MWh Sum /MWh Final Settlement The final settlement price is the average pay-out over the delivery period; hours with prices below the cap are counted with zero. (This is equivalent of taking the total payout and dividing it by 168) In the example above (week 9/2014), the final settlement price of the Intraday Week Cap Future will be /MWh Page 25

26 EEX Cap Future Buy and Sell Side Who is interested? RES suppliers Conventional power suppliers Financial players Trading scenarios Industry group RES suppliers RES suppliers Conventional power suppliers Conventional power suppliers Financial players Trading strategy Hedge against scarcity prices in case of necessary replacement purchases Limit the downside of the spread between dayahead and peak intraday prices Cap futures can serve as capacity premium for peak price periods. Sell part of monthly production via cap-future and hedge via the physical asset. Sell monthly production via standard products (base or peak profile) and buy cap-future: additional revenue in case of scarcity. High volatility in intraday market brings new trading opportunities Page 26

27 EEX Cap Future Outlook Timeline EEX will introduce the new Intraday Cap Futures by mid The exact launch date and technical setup parameters will be communicated to the trading and clearing community via Customer Information and Circulars. Next steps Once sufficient liquidity in the Cap Future is achieved, the product idea will be extended. EEX s next step will be a Cap Future to hedge against negative prices on the intraday market. In combination, both products allow efficient hedging of storages on the intraday market. With the introduction of new and innovative products, EEX is strengthening the energy-only-market. Page 27

28 Agenda 1. Review volumes and trends in EEX Power Derivatives Product Suite 3. Introduction EEX Intraday Cap Futures 4. Q&A Page 28

29 Contacts Questions? Please contact us! Tim Greenwood Head of Sales Power, Environmental Markets, Training & Education Managing Director Exchange Phone: Steffen Riediger Business Development Senior Expert Phone: Dr. Maximilian Rinck Business Development Phone: Page 29

30 Thank you for your attention.