amsterdam power exchange an auctioned electricity market b. den ouden ceo, amsterdam power exchange...
TRANSCRIPT
Amsterdam Power
eXchange
An auctioned electricity marketAn auctioned electricity market
B. Den OudenB. Den Ouden
CEO, Amsterdam Power Exchange CEO, Amsterdam Power Exchange Spotmarket BVSpotmarket BV
Pagina 2
Amsterdam Power
eXchangeIndependent Independent
Shareholder: grid company 100%Shareholder: grid company 100% Shareholder grid company: Dutch Shareholder grid company: Dutch
statestate Completely independentCompletely independent
Firm trading systemFirm trading system Back-up systemsBack-up systems
AlwaysAlways produces a price produces a price
Dutch state
Grid operator TenneT
AmsterdamPower
eXchange
100%
100%
Pagina 3
Amsterdam Power
eXchange
Daily spot market: 2-sided auction, Daily spot market: 2-sided auction, anonymous bids, batch process anonymous bids, batch process
0,0
500,0
1.000,0
1.500,0
2.000,0
2.500,0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
0,005,0010,0015,0020,0025,0030,0035,0040,00MWh Eur
Prijs
Hoeveelheid
AanbodVraag
marktprijs
Verhandeld volume
24x + blocks:
Daily program
Conditional bids
Pagina 4
Amsterdam Power
eXchangeFull bid curve transparencyFull bid curve transparency
curves\curves.html
Print this page
Pagina 5
Amsterdam Power
eXchange
Monthly base price average
€ 26,24
€ 51,03
€ 40,12
€ 83,98
€ 32,64
€ 49,99
€ 34,62€ 29,83
€ 25,91
€ 0,00
€ 25,00
€ 50,00
€ 75,00
€ 100,00
J anuary Febuary March April May J une J uly August September October November December
Pri
ce
2003
2002
2001
Price (movements)Price (movements)
Av. 2001: 33 €/MWh Av. 2002: 30 €/MWh
Pagina 6
Amsterdam Power
eXchange
Spot volumes as % of national Spot volumes as % of national consuptionconsuption
% Yearly traded volume of Dutch Consumption
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
1999 2000 2001 2002 2003
Pagina 7
Amsterdam Power
eXchangeMarket suffers somewhat…Market suffers somewhat…
ENRON demiseENRON demise
USA traders have left the stageUSA traders have left the stage
Ongoing mergers/consolidationsOngoing mergers/consolidations
Market power issuesMarket power issues
Skepticism about electricity liberalizationSkepticism about electricity liberalization
Pagina 8
Amsterdam Power
eXchangeNo. of market parties directly activeNo. of market parties directly active
0
10
20
30
40
50
60
1999 2000 2001 2002 2003
Dutch electricity
UK electricity
UK gas
Pagina 9
Amsterdam Power
eXchangeAcquisitionsAcquisitions
First combined First combined exchange in electricity exchange in electricity & natural gas & natural gas
International International
Multi-commodity Multi-commodity
Added valueAdded value
Brand in EuropeBrand in Europe
APXUK
EnMO
Pagina 10
Amsterdam Power
eXchangeMonthly volumesMonthly volumes(gas scale 50% reduced)(gas scale 50% reduced)
Monthly volumes gas volume scaled down by 50%
0
500
1000
1500
2000
2500
3000
3500
4000
5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9
1999 2000 2001 2002 2003
GWh/monthelectricity
0
1000
2000
3000
4000
5000
6000
7000
8000
Dutch electricity UK electricity
UK gas
GWh/month Natural gas
Pagina 11
Amsterdam Power
eXchangeVolumes UK gas: EnMO Volumes UK gas: EnMO
0,0
1,0
2,0
3,0
4,0
5,0
6,0
7,0
8,0
9,0
10,0
11,0
Oct
Jan
Apr Ju
l
Oct
Jan
Apr
il
July
Oct
Jan
Apr
July
Oct
Jan
Apr
July
GPF BoW
GPF WDNW
GPF Weekend
GPF Days
OCM Physical
OCM Locational
OCM Title
Mln MWh/mnd
Pagina 12
Amsterdam Power
eXchangeBelgium and the Netherlands: Belgium and the Netherlands: physical flowsphysical flows
‘Rare’
87%
36%
29%21%
91%
93%
10%
Pagina 13
Amsterdam Power
eXchange
Implicit auctioning: Implicit auctioning: partial in the first step? partial in the first step?
Belgium-Dutch border:Belgium-Dutch border:
Yearly auctionYearly auction325325
Monthly auctionMonthly auction225225
Daily explicit auctionDaily explicit auction~ 550 MW~ 550 MW
Daily Daily implicitimplicit auction auction~ 550 MW~ 550 MW
Long term contracts: still physical in this phaseLong term contracts: still physical in this phase
Pagina 14
Amsterdam Power
eXchange
Development into full market Development into full market couplingcoupling
Belgium-Dutch border:Belgium-Dutch border:
Yearly auctionYearly auction325325
Monthly auctionMonthly auction225225
Daily explicit auctionDaily explicit auction~ 550 MW~ 550 MW
Daily Daily implicitimplicit auction auction~ 1100 MW~ 1100 MW
Long term contracts: financial Long term contracts: financial
Pagina 15
Amsterdam Power
eXchangeTrading system for implicit auctioning:Trading system for implicit auctioning: Exchange price varies with potential im/exportExchange price varies with potential im/export
Price
Volume
Price:
exports
with exports >
isolated area >
imports
with imports >
Pagina 16
Amsterdam Power
eXchangeImplicit auctioningImplicit auctioningPrice Elasticity Curves for each areaPrice Elasticity Curves for each area
AreaPrices
Exports Imports
Isolated price X
Isolated price Y
price of
area Y
price of
area X
Elasticity curves
Depicting price influence of potential im/exports to/from each individual area
0© June 2003 Amsterdam Power Exchange Spotmarket BV www.apx.nl
Pagina 17
Amsterdam Power
eXchangeImplicit auctioning: coupling the areas Implicit auctioning: coupling the areas Import in X = export in YImport in X = export in Y
AreaPrices
Flow X->Y Flow Y-> X
Isolated price X
Isolated price Y
price of
area Y
price of
area X
Daily capacity ?
To be supplied by TSO’s………
0© June 2003 Amsterdam Power Exchange Spotmarket BV www.apx.nl
Pagina 18
Amsterdam Power
eXchangeImplicit auctioning: unconstrainedImplicit auctioning: unconstrained
AreaPrices
Flow X->Y Flow Y-> X
price of
area Y
price of
area X
Unconstrained case
Price for both areas identical: enough capacity to set price at intersection of curves
0© June 2003 Amsterdam Power Exchange Spotmarket BV www.apx.nl
Area price X = Area price Y
Available transmission capacity
Pagina 19
Amsterdam Power
eXchangeImplicit auctioning: constrainedImplicit auctioning: constrained
AreaPrices
Flow X->Y Flow Y-> X
price of
area Y
price of
area X
Constrained case
Prices for areas differ: set at maximum im/exports
0© June 2003 Amsterdam Power Exchange Spotmarket BV www.apx.nl
Area price X
Area price Y
Available transmission capacity
Pagina 20
Amsterdam Power
eXchange
Block bids: user-definable multi-hourBlock bids: user-definable multi-hourSuited for thermal generation Suited for thermal generation
0,0
500,0
1.000,0
1.500,0
2.000,0
2.500,0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
0,00
5,00
10,00
15,00
20,00
25,00
30,00
35,00
40,00MWh Eur
Supply Blocksexample
Demand BlocksExample
+ “price peak shaving”
Pagina 21
Amsterdam Power
eXchange
Some improvements of auction Some improvements of auction systemsystem
Old systemOld system New systemNew system
HandlingHandling Centrally, internetCentrally, internet Local clientLocal client
Preparation bidsPreparation bids Only on-lineOnly on-line Off-line + on-lineOff-line + on-line
SpeedSpeed Slow to Medium Slow to Medium Fast to very FastFast to very Fast
Data im/exportData im/export Typing + “bid Typing + “bid generator”generator”
Copy&paste: Copy&paste: XML, ExcelXML, Excel
Security settingsSecurity settings Limited, central onlyLimited, central only Many, locally Many, locally customizedcustomized
AlgorithmAlgorithm LicensedLicensed Own developmentOwn development
IT maint./operat.IT maint./operat. OutsourcedOutsourced Partly in-housePartly in-house
Back-upBack-up CumbersomeCumbersome AutomatedAutomated
Pagina 23
Amsterdam Power
eXchangeIt’s not only auctions….It’s not only auctions….
Continuous trading systemContinuous trading system
Developed for: Developed for: – Electricity market UKElectricity market UK– Other productsOther products– Derivatives marketsDerivatives markets
Possibility to combine with auctions in one Possibility to combine with auctions in one systemsystem
““One stop shop”One stop shop”
Pagina 24
Amsterdam Power
eXchange……but auctions are still the best!but auctions are still the best!(At least for our type of market)(At least for our type of market)
Fast and reliableFast and reliable Easy, user-friendyEasy, user-friendy Concentrate all the daily liquidityConcentrate all the daily liquidity Integrate hourly trading & block tradingIntegrate hourly trading & block trading Enable implicit cross-border auctionsEnable implicit cross-border auctions Generate one clear index for OTC reference and Generate one clear index for OTC reference and
derivativesderivatives
sound basis for financial marketsound basis for financial market