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Main Principles of Electricity and Capacity Market
Functioning
The Importance of the Electricity Industry and the
Interrelation of Markets within the Fuel and
Energy Complex
2
The Importance of the Electricity
Industry in the Russian Economy
0,5% – 1,5%*
construction,
engineering,
agriculture; coke,
oil products and
nuclear materials
production
4,9% – 6,1%*
chemical
industry,
metallurgy
2,0% – 2,6%*
transport and
communications;
gas, water and
steam production
and distribution;
mining operations
17,8%*
electricity
industry
* Electricity cost in the final product
3
Planned Electricity Consumption
Europe and Urals
Planned electricity consumption is the entire planned volume of customer purchase determined as a result of
competitive day-ahead bid selection
2 500
Thousand MWh
Planned electricity consumption 2010
Planned electricity consumption 2009
2 300
Planned electricity consumption 2008
Planned electricity consumption 2007
2 100
1 900
1 700
1 500
1 300
J
F
M
A
M
J
J
A
S
O
N
D
Reduction of electricity consumption results from economic slowdown in Russia.
2009 electricity consumption equals that of 2006
4
Planned Electricity Consumption
Siberia
Planned electricity consumption is the entire planned volume of customer purchase determined as a result of
competitive day-ahead bid selection
750
Planned electricity consumption 2009
700
Planned electricity consumption 2008
650
Thousand MWh
Planned electricity consumption 2007
600
550
500
450
400
350
J
F
M
A
M
J
J
A
S
O
N
Reduction of electricity consumption results from the economic slowdown in Russia.
2009 electricity consumption equals that of 2006
D
5
Markets of the Fuel and Energy Complex
By 2011, all electricity shall be sold at nonregulated prices, except for electricity sold to the
population (at regulated tariffs until 2014)
From July 1 till December 31 2009, 50 % of
electricity from the FTS balance and consumption
volume for 2007 shall be sold at non-regulated
prices
Increasing marginal gas prices in order to
ensure equal profitability of domestic and
external markets by 2011 (domestic market gas
price = gas price on the European market less
logistics and export duties)
6
Synchronous Liberalization of Electricity and Gas
Markets
Supplies at non-regulated prices
80%
ELECTRICITY
5%
From
1.01.07
From
1.07.07
60%
50%
15 %
10 %
From
1.01.08
100%
25%
From
1.07.08
30%
From
1.01.09
From
1.07.09
From
1.01.10
From
1.07.10
From 1.01.11
European market price
79%
GAS
92%
100%
From 1.07.10
From 1.01.11
66%
53%
15%
From 1.01.07
40%
From 1.01.08
From 1.01.09
From 1.07.09
From 1.01.10
7
The Electricity and Capacity Market Model
8
Market Model:
a Two-level System
Wholesale Market
Retail Market
Suppliers: generating companies of the
wholesale market, electricity importers
Suppliers: energy supply companies
and suppliers of last resort, generating
companies of the retail market
Buyers: large consumers (total connected
capacity of at least 20 MVA and at least 2
MVA in each
delivery point cluster),
including partial participants (over 85% of
planned consumption purchased on the
retail market), energy supply companies and
suppliers of last resort, electricity exporters
Buyers:
retail
participants
Electricity and capacity are sold separately
Each participant may act both as a seller
and a buyer
customers,
partial
Electricity and capacity may be sold
both separately or as a single product
(electricity inclusive of capacity)
9
Wholesale Market Model: Entities and Infrastructure
Technological
System Operator
Distribution companies
Commercial
Market
infrastructure
Consumers and retail
companies
Generation
Kontsern
Energoatom, OJSC
Consumers – market
entities
Suppliers of last
resort
Energy supply
companies
NP “Market Council”
TSA, OJSC
CFS, CJSC
Market entities
RusHydro, OJSC
7 WGCs, 14 TGCs
Other generating
companies
10
Wholesale Market Model: Regulation
NON-STATE
STATE
Connection Agreement
(NP “Market Council”)
Tariff
(FTS of Russia)
Regulatory
Antimonopoly
(FAMS of Russia)
Contract
relations
WECM rules
(NP “Market Council”)
11
Wholesale Market Areas
в– NON-PRICE AREAS
(areas with a regulated wholesale
market) –Kaliningrad and
Arkhangelsk Regions, Komi
Republic, the Far East
в– в– PRICE AREAS
(areas with a liberalized
wholesale market) –
European Russia and Urals
+ Siberia
в– ISOLATED REGIONS
12
Wholesale Market Model: Sectors
Capacity Market
Electricity Market
Regulated Contracts (RCs)
Electricity and/or capacity sale and purchase contracts between suppliers and buyers where the
prices are set according to electricity and/or capacity tariffs set by the FTS
Non-regulated Bilateral Contracts (NRBCs)
Electricity sale and purchase contracts between suppliers and buyers where the terms and
conditions, including prices, are agreed upon by the parties
Day-Ahead Market (DAM)
System of relations within price areas of the wholesale electricity market between wholesale market
participants and FGC UES, which involves supply/consumption of electricity in volumes determined
based on the results of competitive selection of day-ahead price bids
Balancing Market (BM)
Sector for the trade of deviations from planned volumes of electricity supply determined as a result of
competitive selection of price bids for system balancing and (or) determined by actual
generation/consumption of electricity based on metering data
13
Wholesale Market Model: Sectors
Electricity Market
Capacity Market
Regulated Contracts (RCs), including:
Capacity contracts for generating equipment of nuclear and hydro power plants (CBCs)
Sale and Purchase and Agency Contracts
Sales of excessive electricity or capacity by the buyer or purchase of deficient electricity or capacity by the supplier
under agency or sale and purchase contracts
Non-regulated Electricity and Capacity Sale and Purchase Contracts (NRECCs), including:
Stock-Exchange NRECCs
Non-regulated sale and purchase electricity and capacity contracts concluded during trading on the exchange
organized according to Russian Federation legislation on commodity exchanges and exchange trade, by a commodity
exchange, the rules for exchange trade of which contain a procedure for conclusion of non-regulated electricity and
capacity sale and purchase contracts through trading on the exchange and determination of prices in such contracts,
and other terms for arranging stock-exchange auctions that correspond to the requirements of the Agreement on
connection to the trading system of the wholesale market
Over-the-Counter NRECCs
Non-regulated electricity and capacity sale and purchase contracts concluded in accordance with the Agreement on
connection to the trading system of the wholesale market or concluded for volumes of generating equipment capacity
not included in the forecast balance for 2007
14
Wholesale Market Performance
(Price Areas)
Electricity Market Turnover,
2009
Sales volume,
mln MWh
Sector share,
RCs
527,94
46,9%
DAM
457,91
40,7%
Sector
Capacity Market Turnover,
2009
Sales volume,
mln MWh
Sector share,
%
RCs
1 371,96
63,5%
CBCs
155,65
7,2%
OTC NRECCs
216,75
10,0%
121
5,6%
296,17
13,7%
2 161,53
100%
Sector
NRBCs
85,00
7,6%
Stock-exchange
NRECCs
BM
54,20
4,8%
Agency or
sale/purchase
1125,05
100%
Total
Total
15
Pricing on the Wholesale Electricity and Capacity Market
16
Regulated Contracts
Formation of the buyer’s regulated contracts package
Supplier
Supplier’s tariff
Contract
volume
Contract cost
Generator 1
100
150
15 000
Generator 2
200
60
12 000
Generator 3
300
40
12 000
Total under RCs:
250
39 000
RC package tariff:
156
Customer’s
consumption
250
Customer’s tariff
156
Terms of the regulated
contracts (prices, volumes,
counterparts binding) are
defined by the Federal Tariff
Service (the FTS of Russia)
and the commercial operator
(TSA, OJSC) so that the
average price of regulated
contracts does not exceed the
electricity tariff set by the FTS
for the relevant region
The share of regulated
contracts in the electricity
generation/consumption
balance approved by the FTS
for 2007 is gradually
decreasing; by 2011 RCs
shall cease to exist
17
Operation of the Competitive Sector of the
Wholesale Electricity Market
Day X-7
Operation day
(X)
Trading day (X-1)
Payment upon
delivery
Suppliers
Bids
Bids
UC results
Trading results
(prices, volumes)
Supply
Payment
Price bid auction
UC
DAM
(unit
(competitive
selection)
commitment)
Balancing market
Collection
of metering
data
Payment
upon
delivery
Reserve
formation
Bids
Trading results
(prices, volumes)
Consumption
Payments
Customers
18
Unit Commitment Procedure
Based on indicative price bids (for start-ups and electricity generation) of suppliers for all
units and “regime” generating units System Operator conducts a Unit Commitment
Procedure (UCP) according to electricity generation cost minimization criteria
Generating Equipment at the WECM
Units (non-block sections) of TPPs, the state of
which may be determined based on the results of
the UC optimization calculation
State
determined
based on bids
“Regime” generators
On/off state
determined based on
results of the optimization
calculation
On state is fixed before
the optimization
calculation in order to
ensure system reliability
Units (non-block sections),
the state of which in the UC optimization
calculation is always predetermined
Forced modes
• NPPs
• HPPs
• TPPs: units (non-block sections),
On state is fixed before the
optimization calculation on other
grounds (e.g., generation of
thermal power, equipment
condition)
IC of at least 150 MWh
On/off state
is fixed before the optimization
calculation
19
Day-Ahead Market
The Day-Ahead Market (DAM) is based on a competitive selection (auction)
conducted by TSA (OJSC) of price bids of suppliers and buyers with
delivery on the day following the day of the auction
Electricity losses and system constraints are considered during competitive selection
Based on DAM results the following are determinedfor each node of the computed model for
every hour of the next day:
в—Џ
в—Џ
в—Џ
Planned hourly consumption
Planned hourly generation
Equilibrium electricity prices
At the DAM marginal pricing is used – the price is determined based on the most
expensive electricity supply bid satisfied
20
DAM: Marginal Pricing
Price
Demand
(buyers’ bids)
Supply
(suppliers’ bids)
Equilibrium
price
Equilibrium
volume
Volume
21
DAM: Preventing Manipulation
To reduce the risk of price manipulation, the participants are incited to bid
competitively – the lowest price bids are satisfied first
Administrative measures aimed at manipulation prevention
State
•Corporate procedures for naturally monopolistic entities where the controlling stake belongs
to the State
•Introducing price regulation for specific market entities
•Introducing bidding constraints
•Mandatory separation of dominating market entities
Infrastructure organizations
•Deprivation of WECM entity status
•Terminating admission to the trading system
•Applying BM imbalance distribution coefficients for metering and billing violations
•Reducing the value of the generating equipment availability factor
•Applying penalties
22
DAM: Price Volatility
Equilibrium electricity price index dynamics in Siberia
(January – October 2009), rub/MWh
750
The DAM prices are
characterized by:
• Cyclical fluctuations (daily,
600
weekly, annual)
• Price fluctuations caused by
450
unforecastable changes in
the demand or supply side
300
• High volatility
150
0
СЏРЅРІ
фев
мар
On March 29, 2009, against
the background of demand
reduction, a flow increase
over the controlled
connection between the
Europe and Siberia price
areas towards Siberia was
observed. A price reduction
in the price bids of suppliers
was also observed. As a
result the auctions accepted
the lowest price bids.
апр
май
РёСЋРЅ
РёСЋР»
авг
сен
РѕРєС‚
The participant risks:
• Lower competition as a
On June 3, 2009, in Siberia a
sharp decline of the equilibrium
price index, owing to a decrease
of electricity demand, was
observed. As a result the low
price bids of generating
companies were the closing bids.
Nonzero prices were established
in Omsk and Altai, but in the rest
of Siberia, the price was
approaching minimum.
On September 13, 2009,
impacted by the
decrease of electricity
consumption due to the
absence of an electricity
purchase bid from a large
customer, the equilibrium
price index in Siberia
decreased.
result of a monopolistic
power of a consumer or the
generator in some regions
• Lower system reliability as a
result of planning difficulties
23
Non-regulated Bilateral Contracts
Non-regulated Bilateral Contracts for Electricity Sale and Purchase (NRBCs)
are concluded between the supplier and the buyer under the terms and
conditions agreed by the parties
The NRBCs allow the participants:
в—Џ
в—Џ
в—Џ
в—Џ
to carry out long-term business planning
to fix the electricity purchase/sale prices
to hedge the risks of performing obligations under regulated contracts
to determine the terms and procedure of payments for electricity
Non-regulated contracts allow the participants to reduce financial risks resulting from
high volatility of electricity prices on the day-ahead market
24
Balancing Market
The Balancing Market (BM) is designed to cover the deviations of the actual
electricity generation and consumption from those planned
At the BM trading is conducted by the System Operator as a competitive selection of the
suppliers' bids in conditions of short-term planning of generation and consumption (3 hours
ahead) and real-time
At the Balancing Market marginal pricing is used with account of losses and system
constraints
25
Balancing Market:
Competitive Selection
Price
Consumption
growth
BM indicator
DAM price
DAM planned consumption
Volume
26
Capacity Market
Competitive Capacity Selection (CCS) for operation the following year:
в—Џ
Is performed by System Operator on the basis of generators’ bids
в—Џ
The bid price is set no higher than the FTS tariff
Capacity sales at the tariffs of Regulated Contracts:
The share – according to the electricity market liberalization process
Non-regulated Bilateral Electricity and Capacity Contracts (NRECCs)
Stock-exchange
The participants sell/buy standard
electricity and capacity contracts
at the exchange
Over-the-counter
For new
generation
To replace
the RCs
The remaining capacity is sold by the generators at the CCS
bid price
27
Capacity Market:
Mechanisms of Determining the Purchase Price
The capacity purchase price as a result of the CCS is determined as follows
At the end of each year a competitive selection is conducted for capacity admitted
to settlements for capacity for the entire following year and a preliminary price of
capacity purchase is determined
Prices in CCS bids made by generating companies commissioning new entries
during the year are adjusted with a subsequent recalculation of the
preliminary average weighted capacity price
Over-the-Counter NRECCs, new entry NRECCs and stock-exchange NRECCs
Actual capacity purchase price calculated by price area
The payment for capacity is conducted as follows
Tariff
• Regulated Contracts
• Bilateral Contracts for
HPP/NPP capacity supply
(CBCs)
Non-regulated price
• Exchange NRECCs
• OTC NRECCs
• New Entry NRECCs
Non-regulated price
According to generator bids but no higher than the
tariff
• Sales and Purchase and Agency
Contracts
28
Capacity Market:
Non-regulated Contracts
Non-regulated Electricity and Capacity Sale and Purchase Contracts
(NRECCs) assume simultaneous supply of electricity and capacity
NRECCs are traded on certified stock-exchanges (currently, the MEEX) in the form of
contracts standardized by terms, types and volumes of electricity and capacity .
In organized NRECC trade, marginal pricing is used.
Over-the-counter NRECCs are concluded between suppliers and consumers under the terms
agreed upon by the parties.
Under agency and sale-and-purchase contracts the following is sold:
в—Џ
в—Џ
excess energy resulting from purchase under RCs (including CBCs), sold at the weighted
average RC price
excess energy resulting from purchase under non-regulated contracts, sold at the price equal to
the weighted average price of the bids for all selected capacity
Trade in capacity agency and sale-and-purchase contracts is performed through
CFS (CJSC) (a subsidiary of Market Council and TSA)
29
Capacity Market: CSCs
Capacity Supply Contracts (CSCs): an obligation of the generator to
introduce new capacity with specified characteristics within a set period
with guaranteed payment for the commissioned capacity for a specified
period
New system of capacity supply contracts has been designed.
These contracts:
в—Џ
в—Џ
в—Џ
provide supply of capacity via generating facilities
are included in investment programs of generating companies
provide payment for such capacity, in general, within 7 years of the facility commissioning date
These contracts provide, among other things, the mechanism of control over
fulfillment of the investment programs, and the responsibility of the parties for failure
to fulfill their obligations
30
Capacity Market: Transition to the Target Model
Transition Model
Payment for all existing capacity
•No competition between suppliers
•No motivation to decrease the costs
•The customer pays for excess capacity
Separate pricing for two related
products
•Marginal revenue from the electricity
market does not reduce the cost of the
supplier’s capacity – overstating the
aggregate cost for the customer
Long-term Capacity Market
Competition between suppliers for payment of
capacity – partial payment for capacity
•Motivation to reduce costs
•Only the capacity needed in the system is paid for –
move away from excess capacity
•Accurate price signals reflecting sufficiency
(deficiency) of capacity in the regions
Interrelation of the capacity and electricity
markets
•Motivation to reduce aggregate electricity and
capacity costs
Long-term relations
No long-term relations
•No long-term conditions for investments
•No long-term signals for the customer
• Long-term guarantee of payment for capacity in the
future (after its commissioning)
• Possibility of bilateral relations
• Long-term regional price signals for industrial
growth
31
Retail Electricity Market
32
Retail Market: Main Principles of Operation
Electricity and capacity purchased by suppliers of last resort and retail
companies at the wholesale market are sold to end customers
Each supplier of last resort (SLR) operates in its special area of operation. One area – one
SLR
The supplier of last resort concludes a contract with each customer according to the
contract form approved by the government
The SLR translates the non-regulated wholesale market prices to retail customers:
в—Џ
в—Џ
Sells the volumes purchased under the RCs at a regulated tariff to retail
Sells the volumes purchased at non-regulated prices to the end customers also at nonregulated prices
The population buys electricity from the SLR only at regulated prices
An energy supply company has the right to conclude a contract with a customer
under any terms and conditions, as well as to refuse to conclude a contract
33
Retail Market:
Wholesale Market Price Translation
Wholesale Market
Supply under regulated contracts
(tariffs)
Wholesale market
regulated price
Liberalized portion
Wholesale market nonregulated price
Retail Market
Supplier of last resort
Population
Energy supply company
Customers on the retail market
34
Retail Market: Pricing
2009 Retail Price Structure
FGC*
5%
Regional
grids*
27%
Sales
margin*
4%
Infrastructure
(SO, TSA)*
3%
Regional
generation;
6%
Electricity
and capacity
on the
WECM; 55%
The main factor influencing the price
for the end customer is the cost of
electricity and capacity purchased at
the wholesale market
Changes of electricity and capacity
cost purchased on the wholesale
market may be due to:
•Price changes under the influence of
supply and demand
•Change of regulated tariffs
•Change of the share of liberalized
volumes
•Change of electricity and/or capacity
consumption volumes
_____
* regulated prices
35
Information Disclosure
36
Information Disclosure
Government Order #24 of 21.01.2004 established information disclosure standards
For all entities of the electricity market
в—Џ
в—Џ
Financial (accounting) reporting
Tariffs
For network organizations
в—Џ
в—Џ
в—Џ
в—Џ
в—Џ
в—Џ
Contract terms and conditions
Return on investment (for RAB)
Asset flow
Capital investment
Network losses and grid state
Number of applications for technological connection
For System Operator
в—Џ
в—Џ
в—Џ
в—Џ
в—Џ
в—Џ
Contract terms and conditions
Market simulation model
Electricity quality and electricity supply reliability
Dispatcher orders and reasons for deviation from the planned schedule
Generation and consumption plans (day, month, 1 year, 5 years)
Repair, hydroregime and system constraints forecasts and schedules
37
Information Disclosure
Government Order #24 of 21.01.2004 established information disclosure standards
For generating companies
в—Џ
в—Џ
Hazardous emissions
Hydrologic system use mode and its state (for HPPs)
For the commercial operator
в—Џ
в—Џ
в—Џ
в—Џ
в—Џ
в—Џ
List of wholesale market entities
Terms and conditions of the connection agreement and of participation in wholesale market
trading
Membership fee for market participants
Aggregated wholesale market operation results (without detailing transactions of specific
participants)
List of system generators
Reports on the results of control over System operator actions
Information disclosure:
в—Џ via mass-media
в—Џ via web-sites of disclosing organizations
в—Џ at the request of a market participant
38
DERIVATIVES MARKET
DERIVATIVES MARKET IN POWER SECTOR
INSTRUMENTS
пЃ®
пЃ®
пЃ®
В«MEEXВ» has built up a work group from energy companies representatives,
Russian and foreign brokers, В«RTSВ» clearing center professionals, that
analyzed foreign experience of electric power trades, technology of commodity
assets trading in Russian exchanges.
Contract specification is developed. Month futures contract is selected, based
on the average price of electric power index in Center and Ural hubs of the
Price zone 1 and Kuzbass hub of the Price zone 2 during certain delivery
hours (base-load hours and peak hours).
The trading technology is similar to the EEX exchange technology that makes
the trading mechanism multipurpose for the Russian and foreign participants.
TRADE ORGANIZATION
client
MEEX
TRADE ORGANIZER.
REGISTRATION OF DEALS,
DEVELOPMENT OF TRADE
REGULATIONS
CLEARING
CENTER
GUARANTEE OF
TRANSACTION FULFILLMENT.
FINANCIAL SETTLEMENT OF
CONTRACTS
client
client
client
client
BROKER
client
DEPOSITARY OF
PARTICIPANTS’ CASH ASSETS.
MONEY TRANSFERS
ACCORDING TO TRADE
RESULTS
PRICE FORMATION
� A METHOD OF PRICE FORMATION – CONTINIOUS TWO WAY AUCTION
пѓ� SUBMISSION OF ORDERS TO THE EXCHANGE SYSTEM.
• ANONIMOUS ORDERS
MARKET PRICE.
FIXED PRICE.
• ADDRESS LIMIT ORDERS:
FIXED PRICE.
пѓ� TRADING HOURS 10:30-23:50 (MOSCOW TIME)
� CLEARING – SYSTEM OF THE PARTIES’ OBLIGATIONS DEFINITION
UNDER TRANSACTIONS:
• CLEARING TIME: 14-00, 18-45.
• VARIATION MARGIN RECALCULATION.
• SETTLEMENT PRICE DETERMINATION (TWICE A DAY).
Thank you for your attention!
39
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