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Central European Gas Hub 16.10.2009. OTC DEVELOPMENT. Number of daily Nominations. CEGH – Monthly Title Tracking Volumes. Number of Customers. CEGH – Churn Rate. 2600 nominations / day including intraday operations. Volumes Traded in July 2009: 1.78 bcm. - PowerPoint PPT Presentation
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Central European Gas Hub
16.10.2009
0200400600800
1.0001.2001.4001.600
10/2
005
04/2
006
10/2
006
04/2
007
10/2
007
04/2
008
10/2
008
04/2
009
OTC DEVELOPMENT
Volumes Traded in July 2009: 1.78 bcmChurn rate in 2009 at 2.91 on
average1475 nominations per day necessary to
complete matching (stated July 2009)
Inte
rfac
e to
E
xch
ang
e sy
stem
s
Tec
hn
ical
im
ple
men
tati
on
o
f IT
AB
Allo
cati
on
p
roce
ss p
rep
ared
fo
r O
BA
En
han
cem
ent
of
BU
BD
fu
nct
ion
alit
ies
Bill
ing
fu
nct
ion
alit
ies
for
exch
ang
e tr
ades
Adaption of existing IT systems 2009
Deals brokered via ICAP
Development ofspreads
2600 nominations / day including intraday operations
0
5
10
15
20
25
30
12.0
6.20
07
12.0
7.20
07
12.0
8.20
07
12.0
9.20
07
12.1
0.20
07
12.1
1.20
07
12.1
2.20
07
12.0
1.20
08
12.0
2.20
08
12.0
3.20
08
12.0
4.20
08
12.0
5.20
08
12.0
6.20
08
12.0
7.20
08
12.0
8.20
08
12.0
9.20
08
12.1
0.20
08
12.1
1.20
08
12.1
2.20
08
12.0
1.20
09
12.0
2.20
09
12.0
3.20
09
12.0
4.20
09
12.0
5.20
09
12.0
6.20
09
12.0
7.20
09
12.0
8.20
09
Tra
des
per
day
0
500
1.000
1.500
2.000
2.500
10/2
005
04/2
006
10/2
006
04/2
007
10/2
007
04/2
008
10/2
008
04/2
009
Mio
. m³
0
20
40
60
80
100
10/2
005
04/2
006
10/2
006
04/2
007
10/2
007
04/2
008
10/2
008
04/2
009
Active customers - CEGH
Registered customers - CEGH
92 customers registered with July 2009, 71 members active
CEGH – Monthly Title Tracking Volumes Number of Customers
Number of daily Nominations
1,0
1,5
2,0
2,5
3,0
3,5
10
/20
05
04
/20
06
10
/20
06
04
/20
07
10
/20
07
04
/20
08
10
/20
08
04
/20
09
Ch
urn
Ra
te
CEGH – Churn Rate
Price quotations in Baumgarten are reflecting the market
environment
Price Quotations in Baumgarten are reflecting the market environment
0
10
20
30
40
01
.05
.20
08
01
.06
.20
08
01
.07
.20
08
01
.08
.20
08
01
.09
.20
08
01
.10
.20
08
01
.11
.20
08
01
.12
.20
08
01
.01
.20
09
01
.02
.20
09
01
.03
.20
09
01
.04
.20
09
01
.05
.20
09
01
.06
.20
09
01
.07
.20
09
01
.08
.20
09
EU
R / M
Wh
ICAP BMGT OTC - Front MonthHEREN BMGT OTC - Front Month (Weekly)PLATTS N.G. PSV - Front MonthEGM BMGT-Import-Price (Monthly)HEREN TTF - Front Month
Globalizing trading activities
Exchange: contribution to trade
Standardizing trading activities
Anonymous trade
Price quotation (anonymous)
No risk exposure for traders Traders not utilizing EFET term sheets can easily participate trade
Across regions
Across industries and businesses
Standardized contracts ( interchangeable with other exchanges)
OTC - clearing
EXCHANGE STRUCTUREContractualAuthorities Operational
BackUp/BackDown-Services
Co-operation Contract
Clearing-&Settlement Rules
Membership- agreement
Market Participation Rules
Trading Rules
Fee Matrix
Trading License
Market Maker Contract
CEGH Agreement
Nomination
Clearing Agreement
Co-operation Contract
Co-operation Contract
Trading Workshop
Trade Report
Billing
General Clearing Agreement
Trade Report
Trade Report
General Clearing Member
General Clearing Member
Trading Systems
Federal Ministry of Economy, Family and
Youth
Financial Market Authority Austria
Federal Financial Supervisory Authority Germany
European Federation of Energy Traders
Austrian Federal Competition Authority
Connectivity Agreement-Premium Access -Combined Access -iAccess -Brokernet
Interconnection Agreement
Operating Balancing Agreement
Service Level Agreement
EUStream
OMV Gas GmbH
TAG GmbH
BOG GmbH
European Regulators Group for Electricity and Gas
Matching Nomination
Matching Nomination
iAccess
Premium Combined
Member Database
ID, Name, GCM
Helpdesk
Quantitiy Report
Exchange Participant
CEGH Market Operations & Analysis
CEGH Dispatching
Margining Billing
Brokernet
Rough concept IT data flows
Frankfurtany where
Vienna
ViennaLeipzig
any where
any where
Vienna
Anywhere
85 traders
4 TSOs
TAGc
HUB as trading point between many transportation and storage systems
c c
c
c
c
WAG
Regulatory Zone Austria
HAGMAB
Storage
eustream
CEGH Activities 2009/09
2600 Nominations per day
Partner
Clearing volumes ( energy) in € 2008
APX: 6,3 Bill € 3%
Nordpool: 119,4 Bill € 53%
ECC: 101 Bill € 44%
Power Natural Gas
Emissions
SpotDerivatives
SpotDerivatives
SpotDerivatives
ECC Clearing across products and across exchanges
Jan Feb Mar Apr May Jun Jul
Daily Cash Flows / Variation Margin [€]
Sample Portfolio
25 MW SellPowernext Base load Contract
25 MW BuyEEX Base load Contract Separated Clearing
Integrated Clearing
Benefits of integrated clearing Netting of cash flows
12Source: ECC
Margin system to cover counterparty risks
13
Clearing Member/
NCM
Clearing Member
Variation Margin0…145 Mio. €
ECC14 Mio. €
Margin 3…657 Mio. €
Clearing Member3…28 Bn. €
Clearing Fond117 Mio. ۉ
ECC
• Clearing Members pledge margins in cash or securities.
• Clearing Members are obliged to call margins from Non-Clearing Members in at least the same amount.
• ECC bears the counterparty risk for all cleared exchange and OTC-transactions.
• To cover the potential insolvency of one or more Non-Clearing Members, ECC calculates and calls margins from the Clearing Members.
Source: ECC
Non-Clearing Members
2
3
7
5
4
5
3
18
7
24
3
31323
1
2
73 7
1
207 Non-Clearing Members
19 Countries
as of January 2009
Source: ECC
CEGH Customers
as of January 2009 / June 2009Source: ECC / CEGH
… CEGH Customers
1
1
14
1
9
10
1
1
4
2
25
4
9
2
3
88 Customers
16 Countries
Clearing volumes in € 2008
APX: 6,3 Bill € 3%
Nordpool: 119,4 Bill € 53%
ECC: 101 Bill € 44%
Clearing volumes in € including ICE Brent
Nordpool: 119,4 Bill € 1,7%ECC: 101 Bill € 1,4%
APX: 6,315 Bill € 0%
ICE: 6771 Bill € 96%
2008
Clearing volumes in € including LCH
LCH (Clearnet): 616 Trillion € 99%
ICE: 6771 Bill € 1%
APX: 6,315 Bill € 0%
Nordpool: 119,4 Bill € 0%
ECC: 101 Bill € 0%
2008
Result
Correlation long term – short term
Gas Border Prices (Heren European Gas Markets) vs. Crude Oil Price (shifted)
0
5
10
15
20
25
30
35
40
45
01.0
5.20
05
01.0
7.20
05
01.0
9.20
05
01.1
1.20
05
01.0
1.20
06
01.0
3.20
06
01.0
5.20
06
01.0
7.20
06
01.0
9.20
06
01.1
1.20
06
01.0
1.20
07
01.0
3.20
07
01.0
5.20
07
01.0
7.20
07
01.0
9.20
07
01.1
1.20
07
01.0
1.20
08
01.0
3.20
08
01.0
5.20
08
01.0
7.20
08
01.0
9.20
08
01.1
1.20
08
01.0
1.20
09
01.0
3.20
09
01.0
5.20
09
01.0
7.20
09
Ga
s P
ric
es
in E
UR
/ M
Wh
0
15
30
45
60
75
90
Cru
de
Oil
Pri
ce
in E
UR
/ b
rl
Waidhaus: GE -> E.ON RuhrgasVelke Kapuszany: GE -> WIEHEmden Troll: Statoil -> E.ON RuhrgasDutch Border: Gasunie -> E.ON RuhrgasDutch Border: Gasunie -> GdFBlaregnies: Philips -> GdFMontoir LNG: Sonatrach -> GdFBaumgarten: GE -> OMVBaumgarten: GE -> ENI G&PTunisian Border: Sonatrach -> ENI G&PBarcelona LNG: Brega -> Gas NaturalZeebrugge Troll: Statoil -> DistrigazBrent Crude Oil
Gas border prices follow crude oil price with an average time lag of 5 month (correlation: 91,64%) !
Gas Prices vs. Crude Oil Price (shifted 5 Month)
0
5
10
15
20
25
30
35
40
45
01.0
1.20
05
01.0
3.20
05
01.0
5.20
05
01.0
7.20
05
01.0
9.20
05
01.1
1.20
05
01.0
1.20
06
01.0
3.20
06
01.0
5.20
06
01.0
7.20
06
01.0
9.20
06
01.1
1.20
06
01.0
1.20
07
01.0
3.20
07
01.0
5.20
07
01.0
7.20
07
01.0
9.20
07
01.1
1.20
07
01.0
1.20
08
01.0
3.20
08
01.0
5.20
08
01.0
7.20
08
01.0
9.20
08
01.1
1.20
08
01.0
1.20
09
01.0
3.20
09
01.0
5.20
09
01.0
7.20
09
Gas
pri
ces
in E
UR
/ M
Wh
0
15
30
45
60
75
90
Cru
de
Oil
Pri
ce
EU
R/b
rl
Baumgarten Imp.: GE -> OMV (EGM-monthly)
NBP - Front Month (EGM-monthly)
TTF - Front Month (EGM-monthly)Brent Crude Oil - Lag of 5 Month (monthly)
- Correl: Baumgarten Imp - Brent Crude Oil = 91,64%- Correl: NBP Front Month - Brent Crude Oil = 38,58%- Correl: TTF Front Month - Brent Crude Oil = 42,78%
Correlation long term – short term
Back UP
GAS EXCHANGE- Spot Trading
- Futures Trading
TRADING
Exchange Trader
Exchange Trader
z.B. Bank Austria
z.B. EconGas, RAG, StGW, Essent Energy Trading, …
OMX System
[€/MWh]
CLEARING & SETTLEMENT
(RISK MANAGEMENT)
Physical Trade - OTC
EXCHANGE TRADING
OTC TRADING
General Clearing Member (GCM)
Non Clearing Member (NCM)
Direct Clearing Member (DCM)
Non Clearing Member (NCM)Non Clearing
Member (NCM)Non Clearing Member (NCM)
Remote Member
Clearing Agent (Bank)
Exchange Trader 1
Exchange Trader 2
€
t
€
t
Day of Delivery -1
Supply & Demand
GasExchange
GAS EXCHANGE- Spot Trading
- Futures Trading
TRADING
Exchange Trader
Exchange Trader
z.B. Bank Austria
z.B. EconGas, RAG, StGW, Essent Energy Trading, …
OMX System
[€/MWh]
CLEARING & SETTLEMENT
(RISK MANAGEMENT)
EXCHANGE TRADING
OTC Transfers
General Clearing Member (GCM)
Non Clearing Member (NCM)
Direct Clearing Member (DCM)
Non Clearing Member (NCM)Non Clearing
Member (NCM)Non Clearing Member (NCM)
Remote Member
Clearing Agent (Bank)
Exchange Trader 1
Exchange Trader 2
€
t
€
t
Day of Delivery -1
Supply & Demand
Physical Trade - OTC
Geographical spread
What to clear is what to trade
Seasonal spread
Commodity spread
Gas price development
Day Ahead / Front Month Gaspreise - Hubs, BPs, ICE, NYMEX, ENDEX, EEX, Nord Pool
0
10
20
30
40
50
60
70
80
90
100
13
.04
.20
04
13
.06
.20
04
13
.08
.20
04
13
.10
.20
04
13
.12
.20
04
13
.02
.20
05
13
.04
.20
05
13
.06
.20
05
13
.08
.20
05
13
.10
.20
05
13
.12
.20
05
13
.02
.20
06
13
.04
.20
06
13
.06
.20
06
13
.08
.20
06
13
.10
.20
06
13
.12
.20
06
13
.02
.20
07
13
.04
.20
07
13
.06
.20
07
13
.08
.20
07
13
.10
.20
07
13
.12
.20
07
13
.02
.20
08
13
.04
.20
08
13
.06
.20
08
13
.08
.20
08
13
.10
.20
08
13
.12
.20
08
13
.02
.20
09
EU
R / M
Wh
ZeebruggeNational Balancing PointICE Natural Gas Future Front MonthBEB Virtual PointPSVTTF EndexNYMEX Henry HubPEG NordE.ON Ruhrgas - Choice MarketEGT Virtual PointEEX BEB Spot Day AheadEEX EGT Spot Day AheadNord Pool GasBaumgarten BORDERICAP Baumgarten OTC
06:00 am
Start physical delivery
Lines of Defense
06:00 am
Final allocation
RE-CONCILIATION PROCESS?
09:00 amStart of
exchangetrading
05:00 pmEnd of
exchange trading
07:00pm
Scheduling
t t + 1 t + 2
1. Re-Nomination
2. Backup / Back down
3. Re-conciliation
?
or cashadjustments?
Physical interruption
Price quotations in Baumgarten are reflecting the market
environment
Price Quotations in Baumgarten are reflecting the market environment
0
10
20
30
40
01
.05
.20
08
01
.06
.20
08
01
.07
.20
08
01
.08
.20
08
01
.09
.20
08
01
.10
.20
08
01
.11
.20
08
01
.12
.20
08
01
.01
.20
09
01
.02
.20
09
01
.03
.20
09
01
.04
.20
09
01
.05
.20
09
01
.06
.20
09
01
.07
.20
09
01
.08
.20
09
EU
R / M
Wh
ICAP BMGT OTC - Front MonthHEREN BMGT OTC - Front Month (Weekly)PLATTS N.G. PSV - Front MonthEGM BMGT-Import-Price (Monthly)HEREN TTF - Front Month
Trading Day Gas Spot Market
MAIN TRADING PHASEPre-
tradingPost-
trading
Call Call
Continuous Trading09:00 until 17:00
Opening auction Closing auction
8:00until8:59
1 minmax.
15sec
1 minmax.
15sec
17:01until17:45
… random end
Source:WBAG
Rough concept IT data flows
Frankfurtany where
Vienna
ViennaLeipzig
any where
any where
Vienna
Anywhere
85 traders
4 TSOs
09:00 amStart of
exchangetrading
05:00 pmEnd of
exchange trading
t
06:00 am
Start physical Delivery
06:00 am
t + 1
SCHEDULING OF PHYSICAL DELIVERIES
t + 2
12:30 pm First matching run≤01:00 pm Confirmation ( Deliveries to Italy!)
05:30 pm Final matching run≤06:00 pm Final confirmation
Trading Day Gas Spot Market
MAIN TRADING PHASEPre-
tradingPost-
trading
Call Call
Continuous Trading09:00 until 17:00
Opening auction Closing auction
8:00until8:59
1 minmax.
15sec
1 minmax.
15sec
17:01until17:45
… random end
operational
Source:WBAG
• OBLIGATIONS:“ … during 50% of trading hours providing simultaneously buy and sell quotes for Spot Day-Ahead products with a minimum size of 30 MWh and a maximum spread of 0.5 €/MWh …”
50% of trading hours?
But at least 2 hours in the morning
30 MWh minimum size?
Maximum spread:
Threshold value = 5.0 €
If last price < 5.0 € absolute spread = 0.5 €/MWh
If last price >= 5.0 €/MWh relative spread = 2 - 5%?
INCENTIVES:
x% rebate on trading fees
MARKET MAKERS
SPOT MARKET:
Spot Exchange start with Day Ahead Product ONLY!
Physical delivery: delivery on 06:00 am (t+1) to 06:00 am (t+2)
Gas product type: Base load
2 Delivery points: Virtual point Baumgarten + Oberkappel
continuous trading from 09:00 am to 05:00 pm
Price units: EUR/MWh
Minimum price increment: 0.025 EUR / MWh
Minimum trade size: 10 MW
single sided nomination – initial nomination by CEGH for customers and no re-nomination by customers
FINAL MAIN CONTRACT SPECIFICATIONS - SPOToperational
