Copyright 2015 All rights reserved. Phelix Power Futures

Transcription

1 Phelix Power Futures

2 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 to the German Exchange Act and is supervised by state authorities EEX is the majority shareholder of Paris based EPEX Spot SE which operates the spot market for power delivery in Germany, France, Austria and Switzerland Furthermore, EEX organizes trading markets for natural gas, emission allowances, coal, guarantees of origin, freight as well as agricultural products Clearing and settlement of all transactions is done by European Commodity Clearing AG (ECC), the clearing house of EEX and its partner exchanges. Page 2

3 EEX Power Derivatives Markets Exchange-traded EEX Power Futures EEX Trade Registration Services for Power Futures ECC Clearing for Partner Exchanges Page 3

4 A Growth Story Total market size (Jan Jul 2015) 3,269 TWh (+11% yoy) Thereof cleared market size (Jan Jul 2015) 1,052 TWh (+46% yoy) Thereof EEX (Jan Jul 2015) 977 TWh (+41% yoy) EEX share in cleared market 93% Volume [TWh] The calculation of EEX s market share is based on the figures published by the exchanges and the London Brokers Association (LEBA) every month. Volume Phelix Futures (Exchange + TR) Days Weeks 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 Percent [%] 16 Page

5 A Growth Story EEX has provided the trading platform for the German/Austrian Power market for over a decade, with Phelix Futures developing into the most liquid contract and benchmark for European Power trading In contrast to the overall market contraction, exceptional growth for exchange trading confirmed by a strong increase in market share for Phelix Futures, which peaked at 34% in December last year With the expansion into new Power market areas, EEX provides the key trading platform to a broad and diversified member base, with over 180 registered members for Phelix Futures EEX is a leading innovator in meeting the challenging demands of the Energy Transition Energiewende by developing a new suite of products targeting the needs of the market Page 5

6 Phelix Spreads Spread [ ] 1,20 Phelix Spread Weeks and Month Baseload Bid-Ask Spread Weeks Bid-Ask Spread Front Month 1,00 0,80 0,60 0,40 0,20 0,00 JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Spread [ ] 0,16 0,14 Phelix Spread Quarter and Year Baseload Bid-Ask Spread Front Quarter Bid-Ask Spread Front Year 0,12 0,10 0,08 0,06 0,04 0,02 0,00 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 Contract Contract Underlying The Phelix Future is a financial derivatives contract settling against the average power spot market prices of future delivery periods for the German/ Austrian market area. Underlying of these contracts is the Physical Electricity Index determined by EPEX Spot Exchange on a daily basis for base and peak load profiles. Phelix Base is the average price of the hours 1 to 24 for electricity traded on the spot market. It is calculated for all calendar days of the year as the simple average of the Auction prices for the hours 1 to 24 in the market area Germany / Austria. Phelix Peak is the average price of the hours 9 to 20 for electricity traded on the spot market. It is calculated for all calender days of the year as the simple average of the Auction prices for the hours 9 to 20 in the market area Germany / Austria. Page 7

8 Product Overview EEX offers continuous trading and trade registration of financially fulfilled Phelix Futures. Available load profiles are base, peak and off peak. Trading Participants have the option of arranging physical delivery on the spot market for month and week contracts Final settlement at negative prices is also possible Phelix Futures Market area Germany/Austria Day- / Weekend Futures Week Futures Month Futures* Quarter Futures* Year Futures* *Load profile off-peak available, for all other contracts base and peak only Page 8

9 Cascading In Phelix Future contracts, longer maturities cascade into corresponding shorter maturities. Cascading into weeks or days is not offered Year Future Cascading process Month future Jan Month future Feb Month future Mar Quarter future 2 nd Quarter Quarter future 3 rd Quarter Quarter future 4 th Quarter Cascading process Month future Apr Month future May Month future Jun Details on the Cascading Process can be found in the Contract Specifications Page 9

10 Contract Specifications Products Underlying Phelix Power Futures Index based on the mean value of all auction prices of the hourly contracts auctioned on the EPEX Spot Market for the market area Germany / Austria Available delivery periods Pricing Trading and registration times Margining End of day prices Last trading day of the delivery month Fulfillment during the delivery month At maximum the following the following delivery periods can be traded / registered for clearing: the current and the next 4 full weeks the current and the next 9 full months the next 11 full quarters the next 6 full years Two decimal places Mondays Fridays from 8:00 to 18:00 (CET) The contracts are tradable during delivery months Daily mark-to-market, which results in a daily cash flow between buyer and seller (Variation Margin) Daily settlement prices Upon availability of all underlyings for the respective contract Fulfillment by means of cash settlement based on the final settlement price on the settlement day following the last trading day Page 10

11 Phelix Options EEX offers trading in European style options on the Phelix Base Future In addition short dated options with four expiry dates in the course of the year are available Regardless of the different maturities, the corresponding futures position of the underlying asset is booked upon exercising of the option. Phelix Options Market area Germany/Austria Month Quarter Year Page 11

12 Location Spreads The success story continues: Connecting Phelix to other European power markets Location spreads with guaranteed execution, enabling members to trade price differences between markets, thus enabling participants to benefit from better liquidity and tighter spreads. Products Phelix / French Power W, M, Q, Y Base, Peak Italian / Phelix Power W, M, Q, Y Base, Peak Phelix / Nordic Power M, Q, Y Base Phelix / Swiss Power M, Q, Y Base Spread order book (Snapshot EEX TT screen) Page 12

13 Location Spreads Connecting Phelix to key EEX Power markets France and Italy Following the successful launch of EEX Italian Power Futures in October 2013, we have also seen a strong volume increase in French Power Futures in parallel Today, 75+ participants are trading EEX French Power Futures and 80+ participants are trading EEX Italian Power Futures Trading the spreads between Germany- France and Italy-Germany will greatly benefit participants, who have a natural hedge in these products. Page 13

14 Location Spreads Connecting Phelix to new EEX markets Nordic and Swiss Power Nordic Power In light of regulatory changes due to EMIR in the Nordics, clients can now benefit from EEX s cleared Nordic Power offering EEX offers continuous trading and trade registration in Nordic baseload Month, Quarter and Year Futures Competitive pricing, with only the Phelix leg being charged for spread trading Swiss Power Due to its central location and its hydroelectric capacity, Switzerland is an important cross-border hub and assumes a key role for power trading in Europe. EEX offers continuous trading and trade registration in Swiss Baseload Month, Quarter and Year Futures Highly liquid Phelix Futures will push liquidity into these new markets Page 14

15 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 15

16 Physical Fulfillment The additional physical fulfilment is currently only offered for the Phelix Futures and French Futures Price-independent order to buy or sell in the spot market To be submitted once every delivery month No daily submission of bids any more, only in case of change in Future position (Trades) 2 Days before start of the delivery month Shown separately on invoices and no additional EEX exchange transactions fees The basic financial risk no longer exists, as unfavourable price developments in the Spot market are hedged over the futures contract. Since any subsequent delivery always takes place at the agreed price. (Price-independent bid on the Spot market). The final settlement price is defined as the average of all relevant spot market prices. Page 16

17 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 17

18 Settlement & Margining European Commodity Clearing (ECC) provides clearing and settlement of all transactions concluded on the exchange. Member benefit from integrated clearing which allows for netting and cross margining of positions across various commodities and exchanges. Level 1 Combined commodities: Netting of Futures and Options with the same underlying Level 2 Perfect Spreads between products with perfect overlapping delivery period and profile: A year against its 4 quarters Baseload against peakload and offpeak of the same delivery period Level 3 Spreads between all possible combinations of two products with different: Commodities Delivery area Delivery profile Delivery period Maturity Netting efficiency 100% Netting efficiency 99% Netting efficiency 0% - 99% Positions in EEX Power Futures are fully integrated in ECC Cross-Margining Page 18

19 Settlement & Margining 30,000 In a simplified portfolio with 1 front base cal 25,000 20,000 Phelix Futures (long) and 1 front base cal 15,000 French Power (short), initial margins would 10,000 be reduced by 55% through cross 5,000 margining. 0 Split exposure Combined exposure in x-margining In a simplified portfolio with 1 front base cal Phelix Futures (long) and 1 front base cal Italian Power Futures (short), initial margins would be reduced by 42% through cross margining. 30,000 25,000 20,000 15,000 10,000 5,000 0 Split exposure Combined exposure in x-margining In a simplified portfolio with 1 front base cal Phelix Futures (long) and 1 front base cal Swiss Power Futures (short), initial margins would be reduced by 43% through crossmargining 30,000 25,000 20,000 15,000 10,000 5,000 0 Split exposure Combined exposure in x- margining Page 19

20 Fee structure The standard EEX and ECC fees for Power Derivatives apply Fee EEX trade registration fee ECC clearing fee per MWh per MWh Physical fulfillment for Phelix Futures on EPEX Spot Fee EPEX Fee ECC clearing fee no fee per MWh Options Fee Option premium 0.15 per MWh Options premium < 0.15 per MWh Delivery per MWh per MWh no fee Page 20

21 Contact: Sales Power Tel

22 Appendix: Phelix Product Codes - Base Phelix Futures Long Name Bloomberg Code Thomson Reuters RIC Base F1BY Phelix Base Year Future HP1 Comdty 0#F1BY: F1BQ Phelix Base Quarter Future GT1 Comdty 0#F1BQ: F1BM Phelix Base Month Future GI1 Comdty 0#F1BM: F1B1 Phelix Base Week Future GIB1W Comdty 0#F1B1: F1B2 Phelix Base Week Future GIB2W Comdty 0#F1B2: F1B3 Phelix Base Week Future GIB3W Comdty 0#F1B3: F1B4 Phelix Base Week Future GIB4W Comdty 0#F1B4: F1B5 Phelix Base Week Future GIB5W Comdty 0#F1B5: FWB1-FWB5 Phelix Base Weekend Future FWBAW Comdty 0#EEXFB: FB01-FB34 Phelix Base Day Future FBDAILY Comdty 0#EEXFB: Page 22

23 Appendix: Phelix Product Codes - Peak Phelix Futures Long Name Bloomberg Code Thomson Reuters RIC Peak F1PY Phelix Peak Year Future NE1 Comdty 0#F1PY: F1PQ Phelix Peak Quarter Future HI1 Comdty 0#F1PQ: F1PM Phelix Peak Month Future GJ1 Comdty 0#F1PM: F1P1 Phelix Peak Week Future GIP1W Comdty 0#F1P1: F1P2 Phelix Peak Week Future GIP2W Comdty 0#F1P2: F1P3 Phelix Peak Week Future GIP3W Comdty 0#F1P3: F1P4 Phelix Peak Week Future GIP4W Comdty 0#F1P4: F1P5 Phelix Peak Week Future GIP5W Comdty 0#F1P5: FWP1-FWP5 Phelix Peak Weekend Future FWPAW Comdty 0#EEXFP: FP01-FP34 Phelix Peak Day Future FPDAILY Comdty 0#EEXFP: Page 23

24 Appendix: Phelix Product Codes Off Peak Phelix Futures Long Name Bloomberg Code Thomson Reuters RIC Off Peak F1OY Phelix Off Peak Year Future PBA1 Comdty 0#F1OY: F1OQ Phelix Off Peak Quarter Future PDA1 Comdty 0#F1OQ: F1OM Phelix Off Peak Month Future POA1 Comdty 0#F1OM: Page 24