Italy-France Cross-border Intraday: Technical
feasibility study
CSE SG Group meeting
Rome, 15 May 2012
Agenda
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Background
High level requirements
IT requirements
Clearing and Financial settlement
Background
No intraday tool currently in place on the Italian-French border
• Interim solution: TSOs (TERNA-RTE) are going to activate an explicit intraday auction to allocate
the XB transmission capacity remaining to previous auction sessions.
• Current Italian and French intraday markets
Italian intraday market
French intraday market
Implicit auctions:
2 auctions in D-1
2 auctions in D
Continuous trading
• Target model on cross-borders trading in respect of ACER’s Framework Guidelines on Capacity Allocation and
Congestion Management
• Preference for implicit continuous trading
• Embedding a criteria for the pricing of the XB ID allocated capacity
EPEX Spot and GME carried a study to analyze possible solutions and features to connect
France and Italy ID markets with a continuous trading mechanism
Agenda
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Background
High level requirements
IT requirements
Clearing and Financial settlement
High level requirements
Italian intraday market
French intraday market
4 Implicit auctions:
Mandatory for participants to be balanced in
the Italian ID market
Continuous trading
Continuous cross-border trading, taking into account available cross border capacities
• Before gate closure of Italian IDM Auctions,
• Cross-border trades for corresponding hours are transferred into the Italian auction
• French-Italian cross-border order book is closed for hours which cannot be traded in a later
Italian MI auction
• GME is counterpart for Italian bids; ECC (EPEX CCP) is counterpart for French bids; GME and ECC
manage the settlement of the XB trades
• OTC cross-border implementation subject to a common position from both regulators
Continuous XB platform
linked with Italian implicit auctions
Bids
EPEX
members
Intraday Cross
Border trading
system(SOB)
Bids
Order
registration
Capacity
information
TSO
Capacity
information
Italian
Members
CMM
Capacity
information
TSO
Bids
GME
OTC ?
Order
registration
Italian intraday
auction
Process: Italian bids transfered into MI auctions
• Italian bids matched in the cross-border intraday market are transferred into the
subsequent MI auction as bids and offers according to the following criteria:
• Purchasing bids in the cross border market are transferred into the MI auction as selling offers
(and vice versa)
• Bids and offers are located in the virtual France zone of the Italian MI auction
• Price at which the matched order in the cross border market is transferred in the in the MI
auction is either:
• freely set by the market participant
• set as market price (zero for selling offers and no indication of price for purchasing bids)
• set equal to the price of the matched order in the cross-border market
• In case the bids/offers transferred to the Italian MI auction is not matched (lack of liquidity or not
competitive price) the Italian market participant is unbalanced in the Italian market
• As currently happens to Yearly, Monthly and Daily PTRs’ holders that nominate cross-border
flow and are unable to sell/buy energy on the Italian day-ahead market
• Firmness of the cross border nomination is independent from the local nomination process and in
any case ensured
Price limits
• Italian MI auction and in the French ID market have different price limits:
• 0 €/MWh; 3.000 €/MWh in the Italian MI market
• -9.999 €/MWh; +9.999 €/MWh in the French ID market
• Suggestions:
1. Restrictive: Adoption of different price limits for Italian and French market participants in
the cross-border market without allowing cross-border matching, in case prices on French
side exceed Italian price limits (Italian participants are prohibited to buy and sell at
negative price and at prices over 3000€/MWh in the XB ID market)
2. Less restrictive: Italian participants can be allowed to buy and sell at negative price and at
prices over 3000€/MWh in the XB ID market
• Price limits of Italian MI auctions would not be changed
• Impact on definition of price to which XB ID trades are transferred into Italian ID
auction, as described in slide 7
Timeframe French-Italian Xborder continuous trading
15h
D-1
French Intraday
continuous
Italian-French Intraday
Cross-border
continuous
Italian
Intraday 4 Mi
auctions
Order submission and matching
7h30 - x
Order submission and
matching
11h30 - x
Xborder trading closed
for H13-H16
Timeframe issues
• Under current EPEX SPOT and GME MI timing, only delivery hours from the 13th to the 24th
would be tradable on a continuous cross border intra-day
• Overlap between delivery hours in MI auctions. For example, MI3 regards delivery hours from
the 13th to the 24th hour, and MI4 regards delivery hours from the 17th to the 24th hour.
• To be decided whether FR-IT intraday trades sent to GME MI auctions are:
• all the recent trades on the continuous platform not sent yet in a previous MI auction, or
• only the trades regarding the hours for which trading is closed, e.g. delivery hours from
the 13th to the 16th hours at the MI3 auction
Italian virtual zones
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France is a virtual zone of the Italian market
France is directly connected to North zone with an infinite ATC
Only PTRs’ holders are allowed to place their bids in the France zone
France virtual zone is always cleared with the same zonal price as the North one and the ATC can
never get congested
• France and North zones, in the Italian market, can be considered as a unique zone, from a market
perspectives (prices, competition among market players)
• Connection with Southern zones with France: Italian importers locate their bids in the French
virtual zone. These bids are matched with other Italian bids, located in all Italian zones, subject
to the market splitting mechanism, respecting Italian internal congestion (ATC)
Agenda
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Background
High level requirements
IT requirements
Clearing and Financial settlement
IT requirements
• Shared Order Books /Congestion Management Module System (SOB/CMM) in order to
allow that, provided that there is available capacity:
• Order books have to be updated simultaneously according to the capacity values sent to the
SOB/CMM
• Bids submitted to one local order book are simultaneously shown on the other order books
provided they are compatible with the updated values of XB capacity
• There is a perfect synchronization of all order books
• Cross matching of bids submitted to different order books is supported
• Time stamp of the bids is similar (crucial to correctly manage priority of bids with same
price)
• Both order books would be hosted in the same platform:
Market A
Buy
Market B
Sell
P:50MW@70€
S:25MW@70€
P:25MW@65€
S:50MW@75€
P:30MW@60€
S:20MW@80€
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ATC
60
Buy
Sell
P:50MW@70€
S:25MW@70€
P:25MW@65€
S:35MW@75€
P:45MW@60€
S:20MW@80€
With 60 MW capacity from A to B
• 60 MW cheapest sell orders in A are shown in B
• 60 MW most expensive buy orders in B are shown in A
Agenda
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Background
High level requirements
IT requirements
Clearing and Financial settlement
Hypothesis: GME is connected to the SOB through an API,
like a “broker”
Hub FR
Hub IT
Capacity Platform
RTE
Terna
Capa. FR-IT
EPEX trading
system
Trading
Financial
settlement of
the energy
Nominations
€
Seller A
Seller A
500 €
J+1
Seller A
ECC
ECC
10 MWh @ 50
SOB
500 €
GME
GME
Export Import
500 €
M+1
Financial settlement
cycled of GME and
EPEX CCP have to be
harmonized
Buyer B
Buyer B
Buyer B
GME
A
B
“A sells to B”
TSO A
TSO B
B
A
“B sells to A”
“Nomination”
Energy shipping
Thank you for your attention