Transcript Wholesale market prices trend

WHOLESALE ELECTRICITY MARKET
DESIGN AND STRUCTURE
Massimo Parati
Market Department
Italian Regulatory Authority for Electricity and Gas
Milan, March 4, 2010
1
Agenda
1.
2.
Wholesale Market Design
a)
Long term forward and derivative markets
b)
Short term forward markets and balancing market
Wholesale Market Structure
a)
Wholesale market prices trend
b)
Market Concentration and Pivotal Market Players
2
Agenda
1.
2.
Wholesale Market Design
a)
Long term forward and derivative markets
b)
Short term forward markets and balancing market
Wholesale Market Structure
a)
Wholesale market prices trend
b)
Market Concentration and Pivotal Market Players
3
Long term forward and derivative
markets

Over-The-Counter (OTC) trading: free trading of
customized forward electricity contracts
(physical delivery)

MTE: forward market managed by Gestore dei
Mercati Energetici (GME); regulated trading
of yearly, quarterly and monthly standard
forward contracts (physical delivery)

IDEX: future market managed by Borsa
Italiana (BI); regulated trading of yearly,
quarterly and monthly standard future contracts
(cash settlement or physical delivery)
4
Long term forward and derivative
markets
Long term forward and
derivative markets
Central
Counterparty
OTC
None
MTE
GME
IDEX
CC&G (Cassa di
Compensazione e
Garanzia) clearing
house
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Long term forward and derivative
markets
OTC
MTE
IDEX
PCE
Notification
to GME of
forward and
future
contractual
positions to
settle by
physical
delivery
MGP
Notification
to GME of
production
and
consumption
schedules for
physical
delivery
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Agenda
1.
2.
Wholesale Market Design
a)
Long term forward and derivative markets
b)
Short term forward markets and balancing
market
Wholesale Market Structure
a)
Wholesale market prices trend
b)
Market Concentration and Pivotal Market Players
7
Short term forward markets and real-time
market

MGP: Day-Ahead Market managed by GME (the
Power Exchange - PX)

MI (two sessions: MI1; MI2): Intra-Day Markets
managed by GME (the Power Exchange - PX)

MSD ex-ante and MB (five sessions: MB1; MB2;
MB3; MB4; MB5): Ancillary Services Markets managed
by TERNA (the Transmission System Operator TSO)
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Short term forward markets and
balancing market
Short term forward
markets and balancing
market
Central
Counterparty
MGP
GME (PX)
MI1 and MI2
GME (PX)
MSD ex-ante, MB1, MB2,
MB3, MB4 e MB5
TERNA (TSO)
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Short term forward markets and
balancing market
Short term forward
markets and balancing
market
Pricing rule
MGP
Zonal Marginal Prices
(for sellers) and Single
National Price (for
buyers)
MI1 and MI2
Zonal Marginal Prices
MSD ex-ante, MB1, MB2,
MB3, MB4 e MB5
Pay-as-Bid
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Short term forward markets and real-time
market
MARKET
TIME HORIZON
MGP FROM 0:00 TO 24:00 OF DAY D
MI1 FROM 0:00 TO 24:00 OF DAY D
MI2 FROM 0:00 TO 24:00 OF DAY D
MSDexante FROM 0:00 TO 24:00 OF DAY D
MB1 FROM 0:00 TO 6:00 OF DAY D
MB2 FROM 6:00 TO 12:00 OF DAY D
MB3 FROM 12:00 TO 16:00 OF DAY D
MB4 FROM 16:00 TO 22:00 OF DAY D
MB5 FROM 22:00 TO 24:00 OF DAY D
GATE CLOSURE
9:30 OF DAY D-1
12:00 OF DAY D-1
15:00 OF DAY D-1
17:00 OF DAY D-1
17:00 OF DAY D-1
4:30 OF DAY D
10:30 OF DAY D
14:30 OF DAY D
20:30 OF DAY D
FINAL RESULTS
11:30 OF DAY D-1
12:30 OF DAY D-1
15:30 OF DAY D-1
21:00 OF DAY D-1
21:00 OF DAY D-1
H+1 OF DAY D
H+1 OF DAY D
H+1 OF DAY D
H+1 OF DAY D
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MGP

In the Day-Ahead Market, hourly energy blocks are
traded for the next day

Market Participants submit offers/bids where they specify
the minimum/maximum price at which they are willing to
sell/purchase the designated quantity

After the gate closure, supply offers/demand bids are
accepted in the economic merit order and in such a way
as to satisfy transmission limits between zones
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MGP
Euro/MWh
Supply Curve
Demand Curve
Clearing Price
P*
MWh
Equilibrium
Quantity
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MGP

Accepted supply offers are valued at the clearing
price of the zone to which they belong. This price
is determined, for each hour, by the intersection of
the demand and supply curves and is
differentiated from zone to zone in case of binding
transmission limits (inter-zonal congestions ->
market splitting)

Accepted demand bids are valued at the single
national price (PUN), which is equal to the
average of the zonal clearing prices, weighted by
the amount of energy purchased in each zone
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15
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MI

In the Intra-day Market participants are allowed to
modify the schedules resulting from the Day-Ahead
Market by submitting additional demand bids or
supply offers

Supply offers and demand bids are selected under
the same criterion as for the Day-Ahead Market;
contrary to the Day-Ahead Market, accepted
demand bids are valued at the zonal price
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MSD ex ante and MB

Participation in this market is compulsory for and limited
to the dispatching users only on the “production side”

Dispatching users:
•
•
•

are required to offer all the available capacity from their units,
which TERNA has authorized to provide dispatching services
must submit incremental bids (in order to increase injections) and
decremental bids (in order to decrease the injections)
bids are differentiated for “secondary reserve” and for “other
services”
TERNA procures resources required for managing,
operating and controlling the system, in order to:
•
•
•
solve intra-zonal congestions
create a reserve margin
balance injections and withdrawals in real time
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MSD ex ante and MB
TERNA uses ancillary services for the security management
of the national system and to assure the service quality
 Primary frequency control
 Primary voltage control
 Load rejection
 Black start capability
 Secondary voltage control
Mandatory services
(outside MSD)
 Interruptible customers
Regulated contracts
 Congestion management
 Secondary reserve (f / P control)
 Tertiary reserve
Dispatching Services
 Real–time balancing
Market (MSD)
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Agenda
1.
2.
Wholesale Market Design
a)
Long term forward and derivative markets
b)
Short term forward markets and balancing market
Wholesale Market Structure
a)
Wholesale market prices trend
b)
Market Concentration and Pivotal Market Players
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Wholesale market prices trend
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Wholesale market prices trend
2005
2006
2007
2008
2009
€/MWh
€/MWh
€/MWh
€/MWh
€/MWh
ITALIA
58,59
74,75
70,99
86,99
63,72
GERMANIA
45,98
50,79
37,99
65,76
38,85
FRANCIA
46,67
49,29
40,88
69,15
43,01
SPAGNA
53,68
50,53
39,35
64,44
36,96
SCANDINAVIA
29,33
48,59
27,93
44,73
35,02
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Wholesale market prices trend
2005
2006
2007
2008
2009
ITALIA
100
128
121
148
109
GERMANIA
100
110
83
143
84
FRANCIA
100
106
88
148
92
SPAGNA
100
94
73
120
69
SCANDINAVIA
100
166
95
153
119
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Wholesale market prices trend
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Wholesale market prices trend
2005
2006
2007
2008
2009
€/MWh
€/MWh
€/MWh
€/MWh
€/MWh
Pun
58,59
74,75
70,99
86,99
63,72
Nord
57,71
73,63
68,47
82,92
60,82
Centro Nord
58,62
74,98
72,80
84,99
62,26
Centro Sud
59,03
74,99
73,05
87,63
62,40
Sud
59,03
74,98
73,04
87,39
59,49
Sicilia
62,77
78,96
79,51
119,63
88,09
Sardegna
60,38
80,55
75,00
91,84
82,01
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Wholesale market prices trend
Pun
2005
2006
2007
2008
2009
Nord
100
128
119
144
105
Centro Nord
100
128
124
145
106
Centro Sud
100
127
124
148
106
Sud
100
127
124
148
101
Sicilia
100
126
127
191
140
Sardegna
100
133
124
152
136
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Agenda
1.
2.
Wholesale Market Design
a)
Long term forward and derivative markets
b)
Short term forward markets and balancing market
Wholesale Market Structure
a)
Wholesale market prices trend
b)
Market Concentration and Pivotal Market
Players
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Market Concentration and Pivotal Market
Players
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Market Concentration and Pivotal Market
Players

Residual demand analysis: the aim of this
analysis is to measure the unilateral market
power by calculating the share of hourly demand
that a producer can monopolize in one or more
market zones (residual demand); in other words,
a so-called pivotal producer has the power to
push the market clearing price as high as she
wants (up to the cap) without losing that share
of demand
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Market Concentration and Pivotal Market
Players
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Market Concentration and Pivotal Market
Players
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Market Concentration and Pivotal Market
Players
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