datawatch february 2013
DESCRIPTION
Data News and Updates for Energy and Commodities MarketsTRANSCRIPT
February 2013
datawatchD ata n e w s f o r e n e r g y a n d c o m m o d i t i e s m a r k e t s
Powered by
NYSE opens new office in Philippines
Argus expands to chemical and fertilizer sectors
DoErsquos solar data analysis to improve
Europersquos natural gas virtual storage by Vattenfall
How Renewables Shape the Futureby KYOS Energy Consulting
February 2013 datawatch Summary
Editorial p 3
Once again US President Barack Obama called for a continued fight against climate change This time it was during his State of the Union speech In it he urged Congress to develop a market-based solution that would mitigate the impact of climate changehellip I couldnrsquot resist revisiting the last decade of such bills that have gone through Congress None of them has ever become law
Data News
Power Markets p 4Argus Expands its Forward Curve ServicesUS DoE Announces New Data-Driven Solar InitiativesNASDAQ OMX Launches German Power FuturesNGX Extends Tenor of Canadian Power Products to 96 Months
Fossil Fuel Markets p 5-8CME Adds to its Natural Gas OTC OfferingICE Introduces Oil Swap Futures EuropeICE Launches API 8 South China Coal FuturesAsian Coal Market Evolves with API 5 Coal IndexArgus Launches Marine Fuels Pricing and Analysis ServicePlatts to Publish Midpoints for LPG AssessmentsPlatts Launches Durban MGO AssessmentPlatts to Add Points on Transco and Tennessee Gas PipelinesVattenfall Creates Standard Product for Virtual Gas StorageTwo Oil UBS ETFs Launched on XetraPlatts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio CME Denatures Fuel Ethanol Forward Month FuturesCME Expands European Gasoil (100mt) Bullet FuturesCME Expands Heating Oil Calendar Spread Option ListingICE Amends Specs for Heating Oil and Related Inter-Product SpreadsPlatts to Change Basis for US Ethylene and Propylene Assessments Agriculture Forestry and Metal Markets p 9-10BMampFBOVESPA Launches Derivatives for SugarEthanol TOCOM Launches New Corn Bean and Sugar ContractsPlatts to Publish Iron Ore Lump Contract Price PremiumsNCDEX Launches New Gold Futures CME Lists Platinum Options and Palladium Options ICE Launches Iron Ore ContractsXetra Launched Four Precious Metals ETFCME Delists International Skimmed Milk Powder ProductsArgus Acquires Fertilizer and Chemical ConsultancyPlatts Updates US Aluminum Specifications
Environmental Markets and Weather Services p 11China Partners with AccuWeather for Worldwide Weather DistributionNASDAQ OMX Commodities Adds to the Nordic and Carbon Product OfferingsBMampFBOVESPA and BNDES Develop Carbon Efficient Index
FX Interest Rates Credit and Equity Indexes p 12 - 14CME Lists Standard and E-micro USDOffshore RMB FuturesCME Lists Standard and E-micro Indian RupeeUSD Futures
New Interest Rate Derivatives Launched by BMampFBOVESPAExchange Traded Bonds and Sukuk Launched on Bursa MalaysiaComStage ETF SampP SMIT 40 launched on XetraEGX and NYSE Liffe to List EGX 30 Index Futures Xetra Five db X-trackers on CSI300 Sector Index FamilyHKEx Introduces New ETF OptionsISE Introduces ISE ETF VenturesClearstream on the Offshore RMB MarketClearstream and Belfius Expand Global Services to OTCMarkit Launches Markit CMBX Series 6Eurex Repo Offers Funding for GC Pooling and Euro Repo MarketsCME Delists 2 -Year Treasury Note vs2-Year Deliverable IR SwapTOCOM Delists Nikkei-TOCOM Index Future
Other Matters p 15- 16Department of Energyrsquos ESnet Launches New Map ToolEIA Expands API Options with State Energy DataCBOE Launches Customized Option Pricing through MDXNYSE Expands Asian Offerings with NYSE Philippines IncClearstream and 360T To Launch Pioneering Triparty Repo Service New Data Centre Opened by HKEx in Tseung Kwan OLiquidity Alliance Launched to Address Global Collateral Crunch
ZEMA Market Dashboard p 17 - 18Actual Weather (AccuWeather)North American Natural Gas Spot Prices (ICE)Henry Hub Natural Gas Forward Curve (ICE)North American Electricity Day-Ahead Prices (ICE)Crude Oil Brent vs WTI (NYMEX) - Prompt-Month ContractCrude Oil Brent vs WTI (NYMEX) - Forward Curve
News from Data Vendors p 19 - 20
Carbon Market Data Releases Phase III Data on the EU ETSEPEX SPOT SE Power Trading Results in January 2013EPEX SPOT SE North-Western European Price Coupling in Good ProgressOTC Global Holdings Launches Power Implied Volatilities OTC Global Holdings Completes Gas and Power Data SuiteNew Data Reports for ZEMA
In Depth p 21 - 24
How Renewables Shape the Future by KYOS Energy Consulting
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels
February 2013 datawatch Editorrsquos letter
EditorOlga GorstenkoPhone 778-296-4183Email olgazecom
Advertising amp Vendor RelationshipsBruce ColquhounPhone 604-790-3299Email bruceczecom
ZEMA Suite Inquiries Bruce ColquhounPhone 604-790-3299Email bruceczecom
Have an idea for an article or would like to contribute to an upcoming issueWrite to us at datawatchzecom
To access previous issues of ZE DataWatch go to datawatchzecom
No matter how much attention oil and natural gas sectors have been drawing in recent times renewable power generation continues to maintain significant attention from media circles and government programs
Once again US President Barack Obama called against climate change This time it was during his State of the Union speech In it he urged Congress to develop a market-based solution that would mitigate the impact of climate change If the Congress fails to act the White House will do so through executive actions
After hearing this I thought this wasnrsquot the first time this sort of legislative action has been considered A cap-and-trade system formed the cornerstone of several climate bills that have been reviewed by US Congress I couldnrsquot resist revisiting the last decade of such bills that have gone through Congress None of them can be referred to as a success as none of them has ever become law
bull S 843 Clean Air Planning Act of 2003 proposed a nation-wide cap-and-trade system to set up tonnage caps for nitrogen oxides sulfur dioxide mercury and carbon dioxide
bull HR 5049 Keep America Competitive Global Warming Policy Act of 2006 considered the introduction of a mandatory market-based cap for all large emitters with allowances trading mechanism The program permitted a ldquosafety valverdquo ($7 per ton of CO2) when the price can only increase if the President and Secretary of State certify that other countries are controlling their emissions
bull S 309 Global Warming Pollution Reduction Act allowed the EPA to determine the mandatory market-based system and aimed to bring CO2 emissions 80 below 1990 levels by 2050
bull S 280 Climate Stewardship and Innovation Act of 2007 called for a mandatory market-based cap for all large emitters resulting in a 60 emission reduction below 1990 levels by 2050
bull S 485 Global Warming Reduction Act of 2007 promised to freeze emissions in 2010 and to gradually reduce to 65 below the 2050 levels
bull S 1766 Low Carbon Economy Act of 2007 established a mandatory GHG allowance program to maintain emissions at approximately 2006 levels in 2020 1990 levels in 2030 and at least 60 below 1990 levels by 2050
bull S2191 Americarsquos Climate Security Act of 2007 aka the Lieberman-Warner bill which would have aligned US with the Kyoto goals by creating a national cap-and-trade scheme for greenhouse gas emissions where emitters would be allocated allowances The cap would get lower over time and in 2050 emissions would be reduced to 63 below 2005 levels
bull HR 2454 American Clean Energy and Security Act of 2009 also known as the Waxman-Markey Bill - was approved by the House on June 26th 2009 The bill proposed the introduction of a federal RPS and GHG cap-and-trade program calling for emissions reductions of 17 by 2020 with energy efficiency features
bull S 1733 Clean Energy Jobs and American Power Act of 2009 the Kerry-Boxer Bill was proposed in the Senate as an alternative to HR 2454 The bill sought an emissions reduction of 20 by 2020
bull S2877 Carbon Limits and Energy for Americarsquos Renewal Act of 2009 introduced by Sens Maria Cantwell (D-WA) and Susan Collins (R-ME) considered capping carbon dioxide emissions and allowing very limited emissions trading
bull A draft discussion American Power Act of 2010 by Sens John Kerry (D-MA) Joseph Lieberman (I-CT) proposed a cap-and-trade program on greenhouse gas emissions and called for reducing carbon pollution by over 80 in 2050
I may have missed out on a few bills from the list above In any event what will be of most interest now is to see is if the odds are high for this bill to be more successful than its predecessors this time round
Olga Gorstenko
datawatch February 2013 Power Markets
Back to Summary4
datawatch Editorrsquos letterArgus Expands its Forward Curve Services
On January 9 2013 Argus launched new implied volatility curves for North American electricity and natural gas expanding its suite of forward curve services To establish the market value for electricity and natural gas locations and forward periods that stretch to a minimum of two years daily assessments of the volatilities must use a wide range of data sources When locations and terms are illiquid the basis for establishing fair market values are locational spreads and time spreads The new implied volatilities can be used to validate internal price curves assess risk on energy transactions forecast trends and evaluate physical and financial assets
US DoE Announces New Data-Driven Solar Initiatives
On January 30 2013 the Department of Energy (DoE) announced seven projects aimed at improving data analysis to find new opportunities in solar energy development The set of projects named the SunShot Initiative will run in California Colorado Connecticut Massachusetts North Carolina and Texas Through these initiatives the goal is to achieve viable methods to increase the effectiveness of solar deployments from manufacturing to final implementation
With a $9 million investment DoE hopes to fund research teams from various universities and labs from around the country These teams will apply statistical and computational tools to datasets provided by industry players such as utilities By working directly with utilities that operate in the solar power market it is hoped that this research will accelerate technological breakthrough and reduce costs associated with the technology
For more information about this initiative click here
NASDAQ OMX Commodities Launches New German Futures and Options
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013 Five power product lines will be created and extended
Product DescriptionExtension of German Power Futures
German product offering will be extended to include 6 monthly 8-11 quarterly and 5 yearly futures contracts
Launch of European Style Options for Ger-man Power Forward and Futures
A suite of European Style options will be launched on monthly quarterly and yearly German Forwards and Futures contracts
Extension of the German Power Forward Curve
The extended forward curve will cover 6 monthly 8-11 quarterly and 5 yearly contracts
Extension of the Nordic Power Forward Curve
The extended forward curve will cover up to 10 yearly contracts and the new contracts will have the same technical setup in regards to delivery and settlement procedures
Introduction of Swedish and Norwegian Electricity Certificates
Products will be Euro denominated covering daily spot contracts and 5 yearly forward contracts with March expiry dates
Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
All new and extended products are subject to successful testing which is ongoing as of January 24 2013
NGX Extends Tenor of Canadian Power Products to 96 Months
Effective January 21 2013 NGX extended the tenor of all of its Alberta and Ontario power products to 96 months Power products will be available for trading out to January 2021 on WebIce on the effective date The products will roll forward 96 months as each month rolls off the current calendar Below is the list of impacted future products
Product DescriptionAlberta Ext Off Peak Fixed for Floating (AESO)Alberta Ext Peak Fixed for Floating (AESO)Alberta Flat Fixed for Floating (AESO)Alberta Off Peak Fixed for Floating (AESO)Alberta On Peak Fixed for Floating (AESO)Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
datawatch February 2013 Fossil Fuel Markets
5Back to Summary
CME Adds to its Natural Gas OTC Offering
On January 25 2013 CME Grouprsquos European clearing house announced the addition of two new over-the-counter European natural gas forward contracts for launching on 25 February 2013 subject to approval by the Financial Services Authority The newly listed forward contracts are the United Kingdom National Balancing Point Natural Gas Physically Delivered and the Netherlands (NL) Title Transfer Facility Natural Gas Physically Delivered
The addition of European natural gas to CME Grouprsquos suite of global energy products provides market participants with new trading strategies to manage risk in the natural gas market These products offer online access to straight-through-processing which means instant trade confirmations and real-time clearing for the natural gas market
These contracts are listed for clearing on CME ClearPort and are subject to the rules of CME Clearing Europe - CME Grouprsquos European clearing house
ICE Introduces Oil Swap Futures Europe
On February 11 2013 ICE Futures Europe listed 13 Oil Swap Future contracts for trading subject to regulatory non-objection
The below ICE Futures Europe Swap Futures contracts are listed on the ICE trading platform and cleared by ICE Clear Europe which will act as a central counterparty to all trades
ICE Code Description PGA PageTMC TMX C5 1b Swap
Future1850
FSR Fuel Oil Straight Run 05-07 FOB NWE Cargoes Swap Future
1850
EON Argus Euro-Bob Oxy FOB Rotterdam Barges vs Naphtha CIF NWE Cargoes Swap Future
1850
STB Singapore Mogas 92 Unleaded vs Brent 1st Line Swap Future
1870
SFB Singapore Mogas 95 Unleaded vs Brent 1st Line Swap Future
1870
SSB Singapore Mogas 97 Unleaded vs Brent 1st Line Swap Future
1870
DDB Daily Dated Brent Swap Future - lOOOb-bl
1870
BFM Brent CFD vs First Month Swap Future -1000bbl
1860
BSM Brent CFD vs Second Month Swap Future -1000bbl
1860
BTM Brent CFD vs Third Month Swap Future -1000bbl
1860
DBL Daily Dated Brent vs Brent 1st Line Swap Future
1860
MAM-MBQ Urals North vs Dated Brent CFD Balmo Swap Future
1860
MED-MFH Urate Med vs Dated Brent CFD Balmo Swap Future
For TMC contract specifications click here
For FSR contract specifications click here
For EON contract specifications click here
For STB contract specifications click here
For SFB contract specifications click here
For SSB contract specifications click here
For DDB contract specifications click here
For BFM contract specifications click here
For BSM contract specifications click here
For BTM contract specifications click here
For DBL contract specifications click here
For MAM-MBQ contract specifications click here
For MED-MFH contract specifications click here
ICE Launches API 8 South China Coal Futures
On January 28 2012 ICE announced the launch of the ICE Futures API South China Coal Futures Contract for the trade date February 11 2013 This new contract is a cash-settled contract quoted in USDtonne and will be listed up to six consecutive calendar years in monthly quarterly and yearly formats This contract is cleared by ICE Clear Europe who acts as a central counterparty to all trades
ICE Code DescriptionCRF API 8 CFR South China Coal Futures (ArgusIHS Mc-
Closkey Coal)
For contract specification click here
Asian Coal Market Evolves with API 5 Coal Index
On January 18 2013 the first over-the-counter coal swap deal using the Australian API 5 coal index as a basis was transacted The deal was brokered by Marex Spectron with Standard Bank acting as one of the counterparties The API 5 index represents 5500 kcalkg NAR of high-ash coal shipped from Australia The API 8 index represents the same quality coal shipped to China As the demand for coal rises in China and India so too does the
datawatch February 2013 Fossil Fuel Markets
6Back to Summary
interest in this index which is viewed as a reliable independent price assessment among the coal trading community The introduction of swaps using this index provides producers end-users and other market participants with more flexibility in their businesses
Argus Launches Marine Fuels Pricing and Analysis Service
On January 7 2013 Argus launched Argus Marine Fuels This is a daily marine fuels pricing and analysis service that will add transparency to the increasingly complex international bunker fuels markets As environmental regulations force ships to use more expensive low-sulfur fuels ship-owners and managers are noticing the trade in marine fuels is rapidly changing The Argus Marine Fuels service offers precise price assessments for high and low-sulfur marine fuels at more than 60 ports worldwide as well as refueling options at some lesser known ports A key offering of the service is its pricing of ECA-compliant bunkers in the Atlantic basin which is critical information for those involved in the marine fuel trade
Platts to Publish Midpoints for LPG Assessments
Effective March 1 2013 Platts is proposing to publish midpoints for all global LPG assessments that are not already being published These assessments will be conducted for propane butane ethane and natural gas and will represent the average between the high and low of each market assessment published daily Midpoint assessments will be published and databased to three decimal places while the high and low for each assessment will be published to two decimal places only The method for calculating month-to-date averages monthly averages and weekly averages will also be updated by Platts The averages will be published and databased to three decimal places and will be created by averaging each point itself For example the average high will be the average of the highs for the month or week
Platts Launches Durban MGO Assessment
On February 1 2013 Platts launched a new marine gasoil assessment for Durban to be assessed on an ex-wharf basis and reflect typical standards as defined in document ISO 82172005 This MGO assessment will be published alongside Platts MDO and 180 CST bunker fuel assessments in Durban Platts Global Alert page 1860 Platts Bunkerwire and the Platts price assessment database will publish the assessment under the code AAXDB00 Marine Gasoil Ex-Wharf Durban The monthly average for the new assessment will also be published by Platts on Platts Global Alert page 1861 under the code AAXDB03 Marine gasoil Ex-Wharf Durban MAvg
Platts to Add Points on Transco and Tennessee Gas Pipelines
On January 24 2013 Platts proposed adding two locations to its daily and monthly bidweek North American spot-price surveys Transcontinental Gas Pipe Line Leidy Line receipts and Tennessee Gas Pipeline Zone 4-200 leg
The daily postings would begin effective trade on March 28 for flow date on April 1 and would appear in Gas Dailyrsquos ldquoDaily price surveyrdquo table in the ldquoAppalachiardquo section and the ldquoNortheastrdquo section of Energy Traders ldquoDaily spot gas pricesrdquo table Monthly bidweek postings would be effective with the late-March bidweek trading for delivery in April (on March 22 25 26 27 28) They will appear in the ldquoPrices of Spot Gas Delivered to Pipelinesrdquo tables in Inside FERCrsquos Gas Market Report Energy Trader and Gas Daily Price Guide and the ldquoBidweek Physical Basis Prices Delivered to Pipelinesrdquo table The prices also would be published on Natural Gas Alert and in Platts Market Data
The proposed description of the new Leidy line location would be ldquoTranscontinental Gas Pipe Line Leidy Line receipts (daily and monthly surveys) Deliveries to Transcorsquos Leidy Line downstream of the LeidyWharton storage facilities in Clinton and Potter counties Pennsylvania to Transcorsquos Station 505 in Hunterdon County New Jersey This pricing location does not include transactions at the storage-related interconnects with Dominion Transmission National Fuel Gas Supply UGI Storage or Tennessee Gas Pipeline The proposed description of the Tennessee location would be ldquoTennessee Gas Pipeline Zone 4-200 leg (daily and monthly survey) Deliveries into Tennessee at all points of receipt on the 200 line in the states of Pennsylvania and Ohio as well as transactions at Tennesseersquos Station 219 poolrdquo
Vattenfall Creates Standard Product for Virtual Gas Storage
On February 1 2013 Vattenfallrsquos trading unit announced the launch of a virtual storage product for the gas markets in the Netherlands and Germany By buying and selling this standardized product Vattenfall aims to support market participants in balancing their gas portfolios and create a liquid market place for gas storage in Europe As more and more small and mid-size players especially in Germany are managing their own gas portfolio the need for flexibility and transparency in pricing is increasing
The virtual product has the same characteristics and value as a physical gas storage facility but without the associated costs and constraints of operating an actual facility A lsquoStandard Storage Bundlersquo consists out of an injection capacity of 1 MW a withdrawal capacity of 2 MW and a working gas volume of 2928 MWh Customers can choose between a base load product meaning that the injected or withdrawn volume is constant over the day and an hourly profile product meaning that hourly volume can differ and customers can re-nominate
Customers can buy the same product bundle in the size and at the location that they desire Starting out the delivery points are Title Transfer Facility Gaspool and NetConnect Germany Vattenfall
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
February 2013 datawatch Summary
Editorial p 3
Once again US President Barack Obama called for a continued fight against climate change This time it was during his State of the Union speech In it he urged Congress to develop a market-based solution that would mitigate the impact of climate changehellip I couldnrsquot resist revisiting the last decade of such bills that have gone through Congress None of them has ever become law
Data News
Power Markets p 4Argus Expands its Forward Curve ServicesUS DoE Announces New Data-Driven Solar InitiativesNASDAQ OMX Launches German Power FuturesNGX Extends Tenor of Canadian Power Products to 96 Months
Fossil Fuel Markets p 5-8CME Adds to its Natural Gas OTC OfferingICE Introduces Oil Swap Futures EuropeICE Launches API 8 South China Coal FuturesAsian Coal Market Evolves with API 5 Coal IndexArgus Launches Marine Fuels Pricing and Analysis ServicePlatts to Publish Midpoints for LPG AssessmentsPlatts Launches Durban MGO AssessmentPlatts to Add Points on Transco and Tennessee Gas PipelinesVattenfall Creates Standard Product for Virtual Gas StorageTwo Oil UBS ETFs Launched on XetraPlatts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio CME Denatures Fuel Ethanol Forward Month FuturesCME Expands European Gasoil (100mt) Bullet FuturesCME Expands Heating Oil Calendar Spread Option ListingICE Amends Specs for Heating Oil and Related Inter-Product SpreadsPlatts to Change Basis for US Ethylene and Propylene Assessments Agriculture Forestry and Metal Markets p 9-10BMampFBOVESPA Launches Derivatives for SugarEthanol TOCOM Launches New Corn Bean and Sugar ContractsPlatts to Publish Iron Ore Lump Contract Price PremiumsNCDEX Launches New Gold Futures CME Lists Platinum Options and Palladium Options ICE Launches Iron Ore ContractsXetra Launched Four Precious Metals ETFCME Delists International Skimmed Milk Powder ProductsArgus Acquires Fertilizer and Chemical ConsultancyPlatts Updates US Aluminum Specifications
Environmental Markets and Weather Services p 11China Partners with AccuWeather for Worldwide Weather DistributionNASDAQ OMX Commodities Adds to the Nordic and Carbon Product OfferingsBMampFBOVESPA and BNDES Develop Carbon Efficient Index
FX Interest Rates Credit and Equity Indexes p 12 - 14CME Lists Standard and E-micro USDOffshore RMB FuturesCME Lists Standard and E-micro Indian RupeeUSD Futures
New Interest Rate Derivatives Launched by BMampFBOVESPAExchange Traded Bonds and Sukuk Launched on Bursa MalaysiaComStage ETF SampP SMIT 40 launched on XetraEGX and NYSE Liffe to List EGX 30 Index Futures Xetra Five db X-trackers on CSI300 Sector Index FamilyHKEx Introduces New ETF OptionsISE Introduces ISE ETF VenturesClearstream on the Offshore RMB MarketClearstream and Belfius Expand Global Services to OTCMarkit Launches Markit CMBX Series 6Eurex Repo Offers Funding for GC Pooling and Euro Repo MarketsCME Delists 2 -Year Treasury Note vs2-Year Deliverable IR SwapTOCOM Delists Nikkei-TOCOM Index Future
Other Matters p 15- 16Department of Energyrsquos ESnet Launches New Map ToolEIA Expands API Options with State Energy DataCBOE Launches Customized Option Pricing through MDXNYSE Expands Asian Offerings with NYSE Philippines IncClearstream and 360T To Launch Pioneering Triparty Repo Service New Data Centre Opened by HKEx in Tseung Kwan OLiquidity Alliance Launched to Address Global Collateral Crunch
ZEMA Market Dashboard p 17 - 18Actual Weather (AccuWeather)North American Natural Gas Spot Prices (ICE)Henry Hub Natural Gas Forward Curve (ICE)North American Electricity Day-Ahead Prices (ICE)Crude Oil Brent vs WTI (NYMEX) - Prompt-Month ContractCrude Oil Brent vs WTI (NYMEX) - Forward Curve
News from Data Vendors p 19 - 20
Carbon Market Data Releases Phase III Data on the EU ETSEPEX SPOT SE Power Trading Results in January 2013EPEX SPOT SE North-Western European Price Coupling in Good ProgressOTC Global Holdings Launches Power Implied Volatilities OTC Global Holdings Completes Gas and Power Data SuiteNew Data Reports for ZEMA
In Depth p 21 - 24
How Renewables Shape the Future by KYOS Energy Consulting
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels
February 2013 datawatch Editorrsquos letter
EditorOlga GorstenkoPhone 778-296-4183Email olgazecom
Advertising amp Vendor RelationshipsBruce ColquhounPhone 604-790-3299Email bruceczecom
ZEMA Suite Inquiries Bruce ColquhounPhone 604-790-3299Email bruceczecom
Have an idea for an article or would like to contribute to an upcoming issueWrite to us at datawatchzecom
To access previous issues of ZE DataWatch go to datawatchzecom
No matter how much attention oil and natural gas sectors have been drawing in recent times renewable power generation continues to maintain significant attention from media circles and government programs
Once again US President Barack Obama called against climate change This time it was during his State of the Union speech In it he urged Congress to develop a market-based solution that would mitigate the impact of climate change If the Congress fails to act the White House will do so through executive actions
After hearing this I thought this wasnrsquot the first time this sort of legislative action has been considered A cap-and-trade system formed the cornerstone of several climate bills that have been reviewed by US Congress I couldnrsquot resist revisiting the last decade of such bills that have gone through Congress None of them can be referred to as a success as none of them has ever become law
bull S 843 Clean Air Planning Act of 2003 proposed a nation-wide cap-and-trade system to set up tonnage caps for nitrogen oxides sulfur dioxide mercury and carbon dioxide
bull HR 5049 Keep America Competitive Global Warming Policy Act of 2006 considered the introduction of a mandatory market-based cap for all large emitters with allowances trading mechanism The program permitted a ldquosafety valverdquo ($7 per ton of CO2) when the price can only increase if the President and Secretary of State certify that other countries are controlling their emissions
bull S 309 Global Warming Pollution Reduction Act allowed the EPA to determine the mandatory market-based system and aimed to bring CO2 emissions 80 below 1990 levels by 2050
bull S 280 Climate Stewardship and Innovation Act of 2007 called for a mandatory market-based cap for all large emitters resulting in a 60 emission reduction below 1990 levels by 2050
bull S 485 Global Warming Reduction Act of 2007 promised to freeze emissions in 2010 and to gradually reduce to 65 below the 2050 levels
bull S 1766 Low Carbon Economy Act of 2007 established a mandatory GHG allowance program to maintain emissions at approximately 2006 levels in 2020 1990 levels in 2030 and at least 60 below 1990 levels by 2050
bull S2191 Americarsquos Climate Security Act of 2007 aka the Lieberman-Warner bill which would have aligned US with the Kyoto goals by creating a national cap-and-trade scheme for greenhouse gas emissions where emitters would be allocated allowances The cap would get lower over time and in 2050 emissions would be reduced to 63 below 2005 levels
bull HR 2454 American Clean Energy and Security Act of 2009 also known as the Waxman-Markey Bill - was approved by the House on June 26th 2009 The bill proposed the introduction of a federal RPS and GHG cap-and-trade program calling for emissions reductions of 17 by 2020 with energy efficiency features
bull S 1733 Clean Energy Jobs and American Power Act of 2009 the Kerry-Boxer Bill was proposed in the Senate as an alternative to HR 2454 The bill sought an emissions reduction of 20 by 2020
bull S2877 Carbon Limits and Energy for Americarsquos Renewal Act of 2009 introduced by Sens Maria Cantwell (D-WA) and Susan Collins (R-ME) considered capping carbon dioxide emissions and allowing very limited emissions trading
bull A draft discussion American Power Act of 2010 by Sens John Kerry (D-MA) Joseph Lieberman (I-CT) proposed a cap-and-trade program on greenhouse gas emissions and called for reducing carbon pollution by over 80 in 2050
I may have missed out on a few bills from the list above In any event what will be of most interest now is to see is if the odds are high for this bill to be more successful than its predecessors this time round
Olga Gorstenko
datawatch February 2013 Power Markets
Back to Summary4
datawatch Editorrsquos letterArgus Expands its Forward Curve Services
On January 9 2013 Argus launched new implied volatility curves for North American electricity and natural gas expanding its suite of forward curve services To establish the market value for electricity and natural gas locations and forward periods that stretch to a minimum of two years daily assessments of the volatilities must use a wide range of data sources When locations and terms are illiquid the basis for establishing fair market values are locational spreads and time spreads The new implied volatilities can be used to validate internal price curves assess risk on energy transactions forecast trends and evaluate physical and financial assets
US DoE Announces New Data-Driven Solar Initiatives
On January 30 2013 the Department of Energy (DoE) announced seven projects aimed at improving data analysis to find new opportunities in solar energy development The set of projects named the SunShot Initiative will run in California Colorado Connecticut Massachusetts North Carolina and Texas Through these initiatives the goal is to achieve viable methods to increase the effectiveness of solar deployments from manufacturing to final implementation
With a $9 million investment DoE hopes to fund research teams from various universities and labs from around the country These teams will apply statistical and computational tools to datasets provided by industry players such as utilities By working directly with utilities that operate in the solar power market it is hoped that this research will accelerate technological breakthrough and reduce costs associated with the technology
For more information about this initiative click here
NASDAQ OMX Commodities Launches New German Futures and Options
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013 Five power product lines will be created and extended
Product DescriptionExtension of German Power Futures
German product offering will be extended to include 6 monthly 8-11 quarterly and 5 yearly futures contracts
Launch of European Style Options for Ger-man Power Forward and Futures
A suite of European Style options will be launched on monthly quarterly and yearly German Forwards and Futures contracts
Extension of the German Power Forward Curve
The extended forward curve will cover 6 monthly 8-11 quarterly and 5 yearly contracts
Extension of the Nordic Power Forward Curve
The extended forward curve will cover up to 10 yearly contracts and the new contracts will have the same technical setup in regards to delivery and settlement procedures
Introduction of Swedish and Norwegian Electricity Certificates
Products will be Euro denominated covering daily spot contracts and 5 yearly forward contracts with March expiry dates
Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
All new and extended products are subject to successful testing which is ongoing as of January 24 2013
NGX Extends Tenor of Canadian Power Products to 96 Months
Effective January 21 2013 NGX extended the tenor of all of its Alberta and Ontario power products to 96 months Power products will be available for trading out to January 2021 on WebIce on the effective date The products will roll forward 96 months as each month rolls off the current calendar Below is the list of impacted future products
Product DescriptionAlberta Ext Off Peak Fixed for Floating (AESO)Alberta Ext Peak Fixed for Floating (AESO)Alberta Flat Fixed for Floating (AESO)Alberta Off Peak Fixed for Floating (AESO)Alberta On Peak Fixed for Floating (AESO)Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
datawatch February 2013 Fossil Fuel Markets
5Back to Summary
CME Adds to its Natural Gas OTC Offering
On January 25 2013 CME Grouprsquos European clearing house announced the addition of two new over-the-counter European natural gas forward contracts for launching on 25 February 2013 subject to approval by the Financial Services Authority The newly listed forward contracts are the United Kingdom National Balancing Point Natural Gas Physically Delivered and the Netherlands (NL) Title Transfer Facility Natural Gas Physically Delivered
The addition of European natural gas to CME Grouprsquos suite of global energy products provides market participants with new trading strategies to manage risk in the natural gas market These products offer online access to straight-through-processing which means instant trade confirmations and real-time clearing for the natural gas market
These contracts are listed for clearing on CME ClearPort and are subject to the rules of CME Clearing Europe - CME Grouprsquos European clearing house
ICE Introduces Oil Swap Futures Europe
On February 11 2013 ICE Futures Europe listed 13 Oil Swap Future contracts for trading subject to regulatory non-objection
The below ICE Futures Europe Swap Futures contracts are listed on the ICE trading platform and cleared by ICE Clear Europe which will act as a central counterparty to all trades
ICE Code Description PGA PageTMC TMX C5 1b Swap
Future1850
FSR Fuel Oil Straight Run 05-07 FOB NWE Cargoes Swap Future
1850
EON Argus Euro-Bob Oxy FOB Rotterdam Barges vs Naphtha CIF NWE Cargoes Swap Future
1850
STB Singapore Mogas 92 Unleaded vs Brent 1st Line Swap Future
1870
SFB Singapore Mogas 95 Unleaded vs Brent 1st Line Swap Future
1870
SSB Singapore Mogas 97 Unleaded vs Brent 1st Line Swap Future
1870
DDB Daily Dated Brent Swap Future - lOOOb-bl
1870
BFM Brent CFD vs First Month Swap Future -1000bbl
1860
BSM Brent CFD vs Second Month Swap Future -1000bbl
1860
BTM Brent CFD vs Third Month Swap Future -1000bbl
1860
DBL Daily Dated Brent vs Brent 1st Line Swap Future
1860
MAM-MBQ Urals North vs Dated Brent CFD Balmo Swap Future
1860
MED-MFH Urate Med vs Dated Brent CFD Balmo Swap Future
For TMC contract specifications click here
For FSR contract specifications click here
For EON contract specifications click here
For STB contract specifications click here
For SFB contract specifications click here
For SSB contract specifications click here
For DDB contract specifications click here
For BFM contract specifications click here
For BSM contract specifications click here
For BTM contract specifications click here
For DBL contract specifications click here
For MAM-MBQ contract specifications click here
For MED-MFH contract specifications click here
ICE Launches API 8 South China Coal Futures
On January 28 2012 ICE announced the launch of the ICE Futures API South China Coal Futures Contract for the trade date February 11 2013 This new contract is a cash-settled contract quoted in USDtonne and will be listed up to six consecutive calendar years in monthly quarterly and yearly formats This contract is cleared by ICE Clear Europe who acts as a central counterparty to all trades
ICE Code DescriptionCRF API 8 CFR South China Coal Futures (ArgusIHS Mc-
Closkey Coal)
For contract specification click here
Asian Coal Market Evolves with API 5 Coal Index
On January 18 2013 the first over-the-counter coal swap deal using the Australian API 5 coal index as a basis was transacted The deal was brokered by Marex Spectron with Standard Bank acting as one of the counterparties The API 5 index represents 5500 kcalkg NAR of high-ash coal shipped from Australia The API 8 index represents the same quality coal shipped to China As the demand for coal rises in China and India so too does the
datawatch February 2013 Fossil Fuel Markets
6Back to Summary
interest in this index which is viewed as a reliable independent price assessment among the coal trading community The introduction of swaps using this index provides producers end-users and other market participants with more flexibility in their businesses
Argus Launches Marine Fuels Pricing and Analysis Service
On January 7 2013 Argus launched Argus Marine Fuels This is a daily marine fuels pricing and analysis service that will add transparency to the increasingly complex international bunker fuels markets As environmental regulations force ships to use more expensive low-sulfur fuels ship-owners and managers are noticing the trade in marine fuels is rapidly changing The Argus Marine Fuels service offers precise price assessments for high and low-sulfur marine fuels at more than 60 ports worldwide as well as refueling options at some lesser known ports A key offering of the service is its pricing of ECA-compliant bunkers in the Atlantic basin which is critical information for those involved in the marine fuel trade
Platts to Publish Midpoints for LPG Assessments
Effective March 1 2013 Platts is proposing to publish midpoints for all global LPG assessments that are not already being published These assessments will be conducted for propane butane ethane and natural gas and will represent the average between the high and low of each market assessment published daily Midpoint assessments will be published and databased to three decimal places while the high and low for each assessment will be published to two decimal places only The method for calculating month-to-date averages monthly averages and weekly averages will also be updated by Platts The averages will be published and databased to three decimal places and will be created by averaging each point itself For example the average high will be the average of the highs for the month or week
Platts Launches Durban MGO Assessment
On February 1 2013 Platts launched a new marine gasoil assessment for Durban to be assessed on an ex-wharf basis and reflect typical standards as defined in document ISO 82172005 This MGO assessment will be published alongside Platts MDO and 180 CST bunker fuel assessments in Durban Platts Global Alert page 1860 Platts Bunkerwire and the Platts price assessment database will publish the assessment under the code AAXDB00 Marine Gasoil Ex-Wharf Durban The monthly average for the new assessment will also be published by Platts on Platts Global Alert page 1861 under the code AAXDB03 Marine gasoil Ex-Wharf Durban MAvg
Platts to Add Points on Transco and Tennessee Gas Pipelines
On January 24 2013 Platts proposed adding two locations to its daily and monthly bidweek North American spot-price surveys Transcontinental Gas Pipe Line Leidy Line receipts and Tennessee Gas Pipeline Zone 4-200 leg
The daily postings would begin effective trade on March 28 for flow date on April 1 and would appear in Gas Dailyrsquos ldquoDaily price surveyrdquo table in the ldquoAppalachiardquo section and the ldquoNortheastrdquo section of Energy Traders ldquoDaily spot gas pricesrdquo table Monthly bidweek postings would be effective with the late-March bidweek trading for delivery in April (on March 22 25 26 27 28) They will appear in the ldquoPrices of Spot Gas Delivered to Pipelinesrdquo tables in Inside FERCrsquos Gas Market Report Energy Trader and Gas Daily Price Guide and the ldquoBidweek Physical Basis Prices Delivered to Pipelinesrdquo table The prices also would be published on Natural Gas Alert and in Platts Market Data
The proposed description of the new Leidy line location would be ldquoTranscontinental Gas Pipe Line Leidy Line receipts (daily and monthly surveys) Deliveries to Transcorsquos Leidy Line downstream of the LeidyWharton storage facilities in Clinton and Potter counties Pennsylvania to Transcorsquos Station 505 in Hunterdon County New Jersey This pricing location does not include transactions at the storage-related interconnects with Dominion Transmission National Fuel Gas Supply UGI Storage or Tennessee Gas Pipeline The proposed description of the Tennessee location would be ldquoTennessee Gas Pipeline Zone 4-200 leg (daily and monthly survey) Deliveries into Tennessee at all points of receipt on the 200 line in the states of Pennsylvania and Ohio as well as transactions at Tennesseersquos Station 219 poolrdquo
Vattenfall Creates Standard Product for Virtual Gas Storage
On February 1 2013 Vattenfallrsquos trading unit announced the launch of a virtual storage product for the gas markets in the Netherlands and Germany By buying and selling this standardized product Vattenfall aims to support market participants in balancing their gas portfolios and create a liquid market place for gas storage in Europe As more and more small and mid-size players especially in Germany are managing their own gas portfolio the need for flexibility and transparency in pricing is increasing
The virtual product has the same characteristics and value as a physical gas storage facility but without the associated costs and constraints of operating an actual facility A lsquoStandard Storage Bundlersquo consists out of an injection capacity of 1 MW a withdrawal capacity of 2 MW and a working gas volume of 2928 MWh Customers can choose between a base load product meaning that the injected or withdrawn volume is constant over the day and an hourly profile product meaning that hourly volume can differ and customers can re-nominate
Customers can buy the same product bundle in the size and at the location that they desire Starting out the delivery points are Title Transfer Facility Gaspool and NetConnect Germany Vattenfall
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
February 2013 datawatch Editorrsquos letter
EditorOlga GorstenkoPhone 778-296-4183Email olgazecom
Advertising amp Vendor RelationshipsBruce ColquhounPhone 604-790-3299Email bruceczecom
ZEMA Suite Inquiries Bruce ColquhounPhone 604-790-3299Email bruceczecom
Have an idea for an article or would like to contribute to an upcoming issueWrite to us at datawatchzecom
To access previous issues of ZE DataWatch go to datawatchzecom
No matter how much attention oil and natural gas sectors have been drawing in recent times renewable power generation continues to maintain significant attention from media circles and government programs
Once again US President Barack Obama called against climate change This time it was during his State of the Union speech In it he urged Congress to develop a market-based solution that would mitigate the impact of climate change If the Congress fails to act the White House will do so through executive actions
After hearing this I thought this wasnrsquot the first time this sort of legislative action has been considered A cap-and-trade system formed the cornerstone of several climate bills that have been reviewed by US Congress I couldnrsquot resist revisiting the last decade of such bills that have gone through Congress None of them can be referred to as a success as none of them has ever become law
bull S 843 Clean Air Planning Act of 2003 proposed a nation-wide cap-and-trade system to set up tonnage caps for nitrogen oxides sulfur dioxide mercury and carbon dioxide
bull HR 5049 Keep America Competitive Global Warming Policy Act of 2006 considered the introduction of a mandatory market-based cap for all large emitters with allowances trading mechanism The program permitted a ldquosafety valverdquo ($7 per ton of CO2) when the price can only increase if the President and Secretary of State certify that other countries are controlling their emissions
bull S 309 Global Warming Pollution Reduction Act allowed the EPA to determine the mandatory market-based system and aimed to bring CO2 emissions 80 below 1990 levels by 2050
bull S 280 Climate Stewardship and Innovation Act of 2007 called for a mandatory market-based cap for all large emitters resulting in a 60 emission reduction below 1990 levels by 2050
bull S 485 Global Warming Reduction Act of 2007 promised to freeze emissions in 2010 and to gradually reduce to 65 below the 2050 levels
bull S 1766 Low Carbon Economy Act of 2007 established a mandatory GHG allowance program to maintain emissions at approximately 2006 levels in 2020 1990 levels in 2030 and at least 60 below 1990 levels by 2050
bull S2191 Americarsquos Climate Security Act of 2007 aka the Lieberman-Warner bill which would have aligned US with the Kyoto goals by creating a national cap-and-trade scheme for greenhouse gas emissions where emitters would be allocated allowances The cap would get lower over time and in 2050 emissions would be reduced to 63 below 2005 levels
bull HR 2454 American Clean Energy and Security Act of 2009 also known as the Waxman-Markey Bill - was approved by the House on June 26th 2009 The bill proposed the introduction of a federal RPS and GHG cap-and-trade program calling for emissions reductions of 17 by 2020 with energy efficiency features
bull S 1733 Clean Energy Jobs and American Power Act of 2009 the Kerry-Boxer Bill was proposed in the Senate as an alternative to HR 2454 The bill sought an emissions reduction of 20 by 2020
bull S2877 Carbon Limits and Energy for Americarsquos Renewal Act of 2009 introduced by Sens Maria Cantwell (D-WA) and Susan Collins (R-ME) considered capping carbon dioxide emissions and allowing very limited emissions trading
bull A draft discussion American Power Act of 2010 by Sens John Kerry (D-MA) Joseph Lieberman (I-CT) proposed a cap-and-trade program on greenhouse gas emissions and called for reducing carbon pollution by over 80 in 2050
I may have missed out on a few bills from the list above In any event what will be of most interest now is to see is if the odds are high for this bill to be more successful than its predecessors this time round
Olga Gorstenko
datawatch February 2013 Power Markets
Back to Summary4
datawatch Editorrsquos letterArgus Expands its Forward Curve Services
On January 9 2013 Argus launched new implied volatility curves for North American electricity and natural gas expanding its suite of forward curve services To establish the market value for electricity and natural gas locations and forward periods that stretch to a minimum of two years daily assessments of the volatilities must use a wide range of data sources When locations and terms are illiquid the basis for establishing fair market values are locational spreads and time spreads The new implied volatilities can be used to validate internal price curves assess risk on energy transactions forecast trends and evaluate physical and financial assets
US DoE Announces New Data-Driven Solar Initiatives
On January 30 2013 the Department of Energy (DoE) announced seven projects aimed at improving data analysis to find new opportunities in solar energy development The set of projects named the SunShot Initiative will run in California Colorado Connecticut Massachusetts North Carolina and Texas Through these initiatives the goal is to achieve viable methods to increase the effectiveness of solar deployments from manufacturing to final implementation
With a $9 million investment DoE hopes to fund research teams from various universities and labs from around the country These teams will apply statistical and computational tools to datasets provided by industry players such as utilities By working directly with utilities that operate in the solar power market it is hoped that this research will accelerate technological breakthrough and reduce costs associated with the technology
For more information about this initiative click here
NASDAQ OMX Commodities Launches New German Futures and Options
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013 Five power product lines will be created and extended
Product DescriptionExtension of German Power Futures
German product offering will be extended to include 6 monthly 8-11 quarterly and 5 yearly futures contracts
Launch of European Style Options for Ger-man Power Forward and Futures
A suite of European Style options will be launched on monthly quarterly and yearly German Forwards and Futures contracts
Extension of the German Power Forward Curve
The extended forward curve will cover 6 monthly 8-11 quarterly and 5 yearly contracts
Extension of the Nordic Power Forward Curve
The extended forward curve will cover up to 10 yearly contracts and the new contracts will have the same technical setup in regards to delivery and settlement procedures
Introduction of Swedish and Norwegian Electricity Certificates
Products will be Euro denominated covering daily spot contracts and 5 yearly forward contracts with March expiry dates
Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
All new and extended products are subject to successful testing which is ongoing as of January 24 2013
NGX Extends Tenor of Canadian Power Products to 96 Months
Effective January 21 2013 NGX extended the tenor of all of its Alberta and Ontario power products to 96 months Power products will be available for trading out to January 2021 on WebIce on the effective date The products will roll forward 96 months as each month rolls off the current calendar Below is the list of impacted future products
Product DescriptionAlberta Ext Off Peak Fixed for Floating (AESO)Alberta Ext Peak Fixed for Floating (AESO)Alberta Flat Fixed for Floating (AESO)Alberta Off Peak Fixed for Floating (AESO)Alberta On Peak Fixed for Floating (AESO)Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
datawatch February 2013 Fossil Fuel Markets
5Back to Summary
CME Adds to its Natural Gas OTC Offering
On January 25 2013 CME Grouprsquos European clearing house announced the addition of two new over-the-counter European natural gas forward contracts for launching on 25 February 2013 subject to approval by the Financial Services Authority The newly listed forward contracts are the United Kingdom National Balancing Point Natural Gas Physically Delivered and the Netherlands (NL) Title Transfer Facility Natural Gas Physically Delivered
The addition of European natural gas to CME Grouprsquos suite of global energy products provides market participants with new trading strategies to manage risk in the natural gas market These products offer online access to straight-through-processing which means instant trade confirmations and real-time clearing for the natural gas market
These contracts are listed for clearing on CME ClearPort and are subject to the rules of CME Clearing Europe - CME Grouprsquos European clearing house
ICE Introduces Oil Swap Futures Europe
On February 11 2013 ICE Futures Europe listed 13 Oil Swap Future contracts for trading subject to regulatory non-objection
The below ICE Futures Europe Swap Futures contracts are listed on the ICE trading platform and cleared by ICE Clear Europe which will act as a central counterparty to all trades
ICE Code Description PGA PageTMC TMX C5 1b Swap
Future1850
FSR Fuel Oil Straight Run 05-07 FOB NWE Cargoes Swap Future
1850
EON Argus Euro-Bob Oxy FOB Rotterdam Barges vs Naphtha CIF NWE Cargoes Swap Future
1850
STB Singapore Mogas 92 Unleaded vs Brent 1st Line Swap Future
1870
SFB Singapore Mogas 95 Unleaded vs Brent 1st Line Swap Future
1870
SSB Singapore Mogas 97 Unleaded vs Brent 1st Line Swap Future
1870
DDB Daily Dated Brent Swap Future - lOOOb-bl
1870
BFM Brent CFD vs First Month Swap Future -1000bbl
1860
BSM Brent CFD vs Second Month Swap Future -1000bbl
1860
BTM Brent CFD vs Third Month Swap Future -1000bbl
1860
DBL Daily Dated Brent vs Brent 1st Line Swap Future
1860
MAM-MBQ Urals North vs Dated Brent CFD Balmo Swap Future
1860
MED-MFH Urate Med vs Dated Brent CFD Balmo Swap Future
For TMC contract specifications click here
For FSR contract specifications click here
For EON contract specifications click here
For STB contract specifications click here
For SFB contract specifications click here
For SSB contract specifications click here
For DDB contract specifications click here
For BFM contract specifications click here
For BSM contract specifications click here
For BTM contract specifications click here
For DBL contract specifications click here
For MAM-MBQ contract specifications click here
For MED-MFH contract specifications click here
ICE Launches API 8 South China Coal Futures
On January 28 2012 ICE announced the launch of the ICE Futures API South China Coal Futures Contract for the trade date February 11 2013 This new contract is a cash-settled contract quoted in USDtonne and will be listed up to six consecutive calendar years in monthly quarterly and yearly formats This contract is cleared by ICE Clear Europe who acts as a central counterparty to all trades
ICE Code DescriptionCRF API 8 CFR South China Coal Futures (ArgusIHS Mc-
Closkey Coal)
For contract specification click here
Asian Coal Market Evolves with API 5 Coal Index
On January 18 2013 the first over-the-counter coal swap deal using the Australian API 5 coal index as a basis was transacted The deal was brokered by Marex Spectron with Standard Bank acting as one of the counterparties The API 5 index represents 5500 kcalkg NAR of high-ash coal shipped from Australia The API 8 index represents the same quality coal shipped to China As the demand for coal rises in China and India so too does the
datawatch February 2013 Fossil Fuel Markets
6Back to Summary
interest in this index which is viewed as a reliable independent price assessment among the coal trading community The introduction of swaps using this index provides producers end-users and other market participants with more flexibility in their businesses
Argus Launches Marine Fuels Pricing and Analysis Service
On January 7 2013 Argus launched Argus Marine Fuels This is a daily marine fuels pricing and analysis service that will add transparency to the increasingly complex international bunker fuels markets As environmental regulations force ships to use more expensive low-sulfur fuels ship-owners and managers are noticing the trade in marine fuels is rapidly changing The Argus Marine Fuels service offers precise price assessments for high and low-sulfur marine fuels at more than 60 ports worldwide as well as refueling options at some lesser known ports A key offering of the service is its pricing of ECA-compliant bunkers in the Atlantic basin which is critical information for those involved in the marine fuel trade
Platts to Publish Midpoints for LPG Assessments
Effective March 1 2013 Platts is proposing to publish midpoints for all global LPG assessments that are not already being published These assessments will be conducted for propane butane ethane and natural gas and will represent the average between the high and low of each market assessment published daily Midpoint assessments will be published and databased to three decimal places while the high and low for each assessment will be published to two decimal places only The method for calculating month-to-date averages monthly averages and weekly averages will also be updated by Platts The averages will be published and databased to three decimal places and will be created by averaging each point itself For example the average high will be the average of the highs for the month or week
Platts Launches Durban MGO Assessment
On February 1 2013 Platts launched a new marine gasoil assessment for Durban to be assessed on an ex-wharf basis and reflect typical standards as defined in document ISO 82172005 This MGO assessment will be published alongside Platts MDO and 180 CST bunker fuel assessments in Durban Platts Global Alert page 1860 Platts Bunkerwire and the Platts price assessment database will publish the assessment under the code AAXDB00 Marine Gasoil Ex-Wharf Durban The monthly average for the new assessment will also be published by Platts on Platts Global Alert page 1861 under the code AAXDB03 Marine gasoil Ex-Wharf Durban MAvg
Platts to Add Points on Transco and Tennessee Gas Pipelines
On January 24 2013 Platts proposed adding two locations to its daily and monthly bidweek North American spot-price surveys Transcontinental Gas Pipe Line Leidy Line receipts and Tennessee Gas Pipeline Zone 4-200 leg
The daily postings would begin effective trade on March 28 for flow date on April 1 and would appear in Gas Dailyrsquos ldquoDaily price surveyrdquo table in the ldquoAppalachiardquo section and the ldquoNortheastrdquo section of Energy Traders ldquoDaily spot gas pricesrdquo table Monthly bidweek postings would be effective with the late-March bidweek trading for delivery in April (on March 22 25 26 27 28) They will appear in the ldquoPrices of Spot Gas Delivered to Pipelinesrdquo tables in Inside FERCrsquos Gas Market Report Energy Trader and Gas Daily Price Guide and the ldquoBidweek Physical Basis Prices Delivered to Pipelinesrdquo table The prices also would be published on Natural Gas Alert and in Platts Market Data
The proposed description of the new Leidy line location would be ldquoTranscontinental Gas Pipe Line Leidy Line receipts (daily and monthly surveys) Deliveries to Transcorsquos Leidy Line downstream of the LeidyWharton storage facilities in Clinton and Potter counties Pennsylvania to Transcorsquos Station 505 in Hunterdon County New Jersey This pricing location does not include transactions at the storage-related interconnects with Dominion Transmission National Fuel Gas Supply UGI Storage or Tennessee Gas Pipeline The proposed description of the Tennessee location would be ldquoTennessee Gas Pipeline Zone 4-200 leg (daily and monthly survey) Deliveries into Tennessee at all points of receipt on the 200 line in the states of Pennsylvania and Ohio as well as transactions at Tennesseersquos Station 219 poolrdquo
Vattenfall Creates Standard Product for Virtual Gas Storage
On February 1 2013 Vattenfallrsquos trading unit announced the launch of a virtual storage product for the gas markets in the Netherlands and Germany By buying and selling this standardized product Vattenfall aims to support market participants in balancing their gas portfolios and create a liquid market place for gas storage in Europe As more and more small and mid-size players especially in Germany are managing their own gas portfolio the need for flexibility and transparency in pricing is increasing
The virtual product has the same characteristics and value as a physical gas storage facility but without the associated costs and constraints of operating an actual facility A lsquoStandard Storage Bundlersquo consists out of an injection capacity of 1 MW a withdrawal capacity of 2 MW and a working gas volume of 2928 MWh Customers can choose between a base load product meaning that the injected or withdrawn volume is constant over the day and an hourly profile product meaning that hourly volume can differ and customers can re-nominate
Customers can buy the same product bundle in the size and at the location that they desire Starting out the delivery points are Title Transfer Facility Gaspool and NetConnect Germany Vattenfall
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Power Markets
Back to Summary4
datawatch Editorrsquos letterArgus Expands its Forward Curve Services
On January 9 2013 Argus launched new implied volatility curves for North American electricity and natural gas expanding its suite of forward curve services To establish the market value for electricity and natural gas locations and forward periods that stretch to a minimum of two years daily assessments of the volatilities must use a wide range of data sources When locations and terms are illiquid the basis for establishing fair market values are locational spreads and time spreads The new implied volatilities can be used to validate internal price curves assess risk on energy transactions forecast trends and evaluate physical and financial assets
US DoE Announces New Data-Driven Solar Initiatives
On January 30 2013 the Department of Energy (DoE) announced seven projects aimed at improving data analysis to find new opportunities in solar energy development The set of projects named the SunShot Initiative will run in California Colorado Connecticut Massachusetts North Carolina and Texas Through these initiatives the goal is to achieve viable methods to increase the effectiveness of solar deployments from manufacturing to final implementation
With a $9 million investment DoE hopes to fund research teams from various universities and labs from around the country These teams will apply statistical and computational tools to datasets provided by industry players such as utilities By working directly with utilities that operate in the solar power market it is hoped that this research will accelerate technological breakthrough and reduce costs associated with the technology
For more information about this initiative click here
NASDAQ OMX Commodities Launches New German Futures and Options
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013 Five power product lines will be created and extended
Product DescriptionExtension of German Power Futures
German product offering will be extended to include 6 monthly 8-11 quarterly and 5 yearly futures contracts
Launch of European Style Options for Ger-man Power Forward and Futures
A suite of European Style options will be launched on monthly quarterly and yearly German Forwards and Futures contracts
Extension of the German Power Forward Curve
The extended forward curve will cover 6 monthly 8-11 quarterly and 5 yearly contracts
Extension of the Nordic Power Forward Curve
The extended forward curve will cover up to 10 yearly contracts and the new contracts will have the same technical setup in regards to delivery and settlement procedures
Introduction of Swedish and Norwegian Electricity Certificates
Products will be Euro denominated covering daily spot contracts and 5 yearly forward contracts with March expiry dates
Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
All new and extended products are subject to successful testing which is ongoing as of January 24 2013
NGX Extends Tenor of Canadian Power Products to 96 Months
Effective January 21 2013 NGX extended the tenor of all of its Alberta and Ontario power products to 96 months Power products will be available for trading out to January 2021 on WebIce on the effective date The products will roll forward 96 months as each month rolls off the current calendar Below is the list of impacted future products
Product DescriptionAlberta Ext Off Peak Fixed for Floating (AESO)Alberta Ext Peak Fixed for Floating (AESO)Alberta Flat Fixed for Floating (AESO)Alberta Off Peak Fixed for Floating (AESO)Alberta On Peak Fixed for Floating (AESO)Alberta Super Peak Fixed for Floating (AESO)Ontario Ext Off Peak Fixed for Floating (IESO)Ontario Ext Peak Fixed for Floating (IESO)Ontario Flat Fixed for Floating (IESO)Ontario Off Peak Fixed for Floating (IESO)Ontario On Peak Fixed for Floating (IESO)Alberta Ext Peak Index Floating (AESO) for Floating (RRO)Alberta Flat Index Floating (AESO) for Floating (RRO)
datawatch February 2013 Fossil Fuel Markets
5Back to Summary
CME Adds to its Natural Gas OTC Offering
On January 25 2013 CME Grouprsquos European clearing house announced the addition of two new over-the-counter European natural gas forward contracts for launching on 25 February 2013 subject to approval by the Financial Services Authority The newly listed forward contracts are the United Kingdom National Balancing Point Natural Gas Physically Delivered and the Netherlands (NL) Title Transfer Facility Natural Gas Physically Delivered
The addition of European natural gas to CME Grouprsquos suite of global energy products provides market participants with new trading strategies to manage risk in the natural gas market These products offer online access to straight-through-processing which means instant trade confirmations and real-time clearing for the natural gas market
These contracts are listed for clearing on CME ClearPort and are subject to the rules of CME Clearing Europe - CME Grouprsquos European clearing house
ICE Introduces Oil Swap Futures Europe
On February 11 2013 ICE Futures Europe listed 13 Oil Swap Future contracts for trading subject to regulatory non-objection
The below ICE Futures Europe Swap Futures contracts are listed on the ICE trading platform and cleared by ICE Clear Europe which will act as a central counterparty to all trades
ICE Code Description PGA PageTMC TMX C5 1b Swap
Future1850
FSR Fuel Oil Straight Run 05-07 FOB NWE Cargoes Swap Future
1850
EON Argus Euro-Bob Oxy FOB Rotterdam Barges vs Naphtha CIF NWE Cargoes Swap Future
1850
STB Singapore Mogas 92 Unleaded vs Brent 1st Line Swap Future
1870
SFB Singapore Mogas 95 Unleaded vs Brent 1st Line Swap Future
1870
SSB Singapore Mogas 97 Unleaded vs Brent 1st Line Swap Future
1870
DDB Daily Dated Brent Swap Future - lOOOb-bl
1870
BFM Brent CFD vs First Month Swap Future -1000bbl
1860
BSM Brent CFD vs Second Month Swap Future -1000bbl
1860
BTM Brent CFD vs Third Month Swap Future -1000bbl
1860
DBL Daily Dated Brent vs Brent 1st Line Swap Future
1860
MAM-MBQ Urals North vs Dated Brent CFD Balmo Swap Future
1860
MED-MFH Urate Med vs Dated Brent CFD Balmo Swap Future
For TMC contract specifications click here
For FSR contract specifications click here
For EON contract specifications click here
For STB contract specifications click here
For SFB contract specifications click here
For SSB contract specifications click here
For DDB contract specifications click here
For BFM contract specifications click here
For BSM contract specifications click here
For BTM contract specifications click here
For DBL contract specifications click here
For MAM-MBQ contract specifications click here
For MED-MFH contract specifications click here
ICE Launches API 8 South China Coal Futures
On January 28 2012 ICE announced the launch of the ICE Futures API South China Coal Futures Contract for the trade date February 11 2013 This new contract is a cash-settled contract quoted in USDtonne and will be listed up to six consecutive calendar years in monthly quarterly and yearly formats This contract is cleared by ICE Clear Europe who acts as a central counterparty to all trades
ICE Code DescriptionCRF API 8 CFR South China Coal Futures (ArgusIHS Mc-
Closkey Coal)
For contract specification click here
Asian Coal Market Evolves with API 5 Coal Index
On January 18 2013 the first over-the-counter coal swap deal using the Australian API 5 coal index as a basis was transacted The deal was brokered by Marex Spectron with Standard Bank acting as one of the counterparties The API 5 index represents 5500 kcalkg NAR of high-ash coal shipped from Australia The API 8 index represents the same quality coal shipped to China As the demand for coal rises in China and India so too does the
datawatch February 2013 Fossil Fuel Markets
6Back to Summary
interest in this index which is viewed as a reliable independent price assessment among the coal trading community The introduction of swaps using this index provides producers end-users and other market participants with more flexibility in their businesses
Argus Launches Marine Fuels Pricing and Analysis Service
On January 7 2013 Argus launched Argus Marine Fuels This is a daily marine fuels pricing and analysis service that will add transparency to the increasingly complex international bunker fuels markets As environmental regulations force ships to use more expensive low-sulfur fuels ship-owners and managers are noticing the trade in marine fuels is rapidly changing The Argus Marine Fuels service offers precise price assessments for high and low-sulfur marine fuels at more than 60 ports worldwide as well as refueling options at some lesser known ports A key offering of the service is its pricing of ECA-compliant bunkers in the Atlantic basin which is critical information for those involved in the marine fuel trade
Platts to Publish Midpoints for LPG Assessments
Effective March 1 2013 Platts is proposing to publish midpoints for all global LPG assessments that are not already being published These assessments will be conducted for propane butane ethane and natural gas and will represent the average between the high and low of each market assessment published daily Midpoint assessments will be published and databased to three decimal places while the high and low for each assessment will be published to two decimal places only The method for calculating month-to-date averages monthly averages and weekly averages will also be updated by Platts The averages will be published and databased to three decimal places and will be created by averaging each point itself For example the average high will be the average of the highs for the month or week
Platts Launches Durban MGO Assessment
On February 1 2013 Platts launched a new marine gasoil assessment for Durban to be assessed on an ex-wharf basis and reflect typical standards as defined in document ISO 82172005 This MGO assessment will be published alongside Platts MDO and 180 CST bunker fuel assessments in Durban Platts Global Alert page 1860 Platts Bunkerwire and the Platts price assessment database will publish the assessment under the code AAXDB00 Marine Gasoil Ex-Wharf Durban The monthly average for the new assessment will also be published by Platts on Platts Global Alert page 1861 under the code AAXDB03 Marine gasoil Ex-Wharf Durban MAvg
Platts to Add Points on Transco and Tennessee Gas Pipelines
On January 24 2013 Platts proposed adding two locations to its daily and monthly bidweek North American spot-price surveys Transcontinental Gas Pipe Line Leidy Line receipts and Tennessee Gas Pipeline Zone 4-200 leg
The daily postings would begin effective trade on March 28 for flow date on April 1 and would appear in Gas Dailyrsquos ldquoDaily price surveyrdquo table in the ldquoAppalachiardquo section and the ldquoNortheastrdquo section of Energy Traders ldquoDaily spot gas pricesrdquo table Monthly bidweek postings would be effective with the late-March bidweek trading for delivery in April (on March 22 25 26 27 28) They will appear in the ldquoPrices of Spot Gas Delivered to Pipelinesrdquo tables in Inside FERCrsquos Gas Market Report Energy Trader and Gas Daily Price Guide and the ldquoBidweek Physical Basis Prices Delivered to Pipelinesrdquo table The prices also would be published on Natural Gas Alert and in Platts Market Data
The proposed description of the new Leidy line location would be ldquoTranscontinental Gas Pipe Line Leidy Line receipts (daily and monthly surveys) Deliveries to Transcorsquos Leidy Line downstream of the LeidyWharton storage facilities in Clinton and Potter counties Pennsylvania to Transcorsquos Station 505 in Hunterdon County New Jersey This pricing location does not include transactions at the storage-related interconnects with Dominion Transmission National Fuel Gas Supply UGI Storage or Tennessee Gas Pipeline The proposed description of the Tennessee location would be ldquoTennessee Gas Pipeline Zone 4-200 leg (daily and monthly survey) Deliveries into Tennessee at all points of receipt on the 200 line in the states of Pennsylvania and Ohio as well as transactions at Tennesseersquos Station 219 poolrdquo
Vattenfall Creates Standard Product for Virtual Gas Storage
On February 1 2013 Vattenfallrsquos trading unit announced the launch of a virtual storage product for the gas markets in the Netherlands and Germany By buying and selling this standardized product Vattenfall aims to support market participants in balancing their gas portfolios and create a liquid market place for gas storage in Europe As more and more small and mid-size players especially in Germany are managing their own gas portfolio the need for flexibility and transparency in pricing is increasing
The virtual product has the same characteristics and value as a physical gas storage facility but without the associated costs and constraints of operating an actual facility A lsquoStandard Storage Bundlersquo consists out of an injection capacity of 1 MW a withdrawal capacity of 2 MW and a working gas volume of 2928 MWh Customers can choose between a base load product meaning that the injected or withdrawn volume is constant over the day and an hourly profile product meaning that hourly volume can differ and customers can re-nominate
Customers can buy the same product bundle in the size and at the location that they desire Starting out the delivery points are Title Transfer Facility Gaspool and NetConnect Germany Vattenfall
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Fossil Fuel Markets
5Back to Summary
CME Adds to its Natural Gas OTC Offering
On January 25 2013 CME Grouprsquos European clearing house announced the addition of two new over-the-counter European natural gas forward contracts for launching on 25 February 2013 subject to approval by the Financial Services Authority The newly listed forward contracts are the United Kingdom National Balancing Point Natural Gas Physically Delivered and the Netherlands (NL) Title Transfer Facility Natural Gas Physically Delivered
The addition of European natural gas to CME Grouprsquos suite of global energy products provides market participants with new trading strategies to manage risk in the natural gas market These products offer online access to straight-through-processing which means instant trade confirmations and real-time clearing for the natural gas market
These contracts are listed for clearing on CME ClearPort and are subject to the rules of CME Clearing Europe - CME Grouprsquos European clearing house
ICE Introduces Oil Swap Futures Europe
On February 11 2013 ICE Futures Europe listed 13 Oil Swap Future contracts for trading subject to regulatory non-objection
The below ICE Futures Europe Swap Futures contracts are listed on the ICE trading platform and cleared by ICE Clear Europe which will act as a central counterparty to all trades
ICE Code Description PGA PageTMC TMX C5 1b Swap
Future1850
FSR Fuel Oil Straight Run 05-07 FOB NWE Cargoes Swap Future
1850
EON Argus Euro-Bob Oxy FOB Rotterdam Barges vs Naphtha CIF NWE Cargoes Swap Future
1850
STB Singapore Mogas 92 Unleaded vs Brent 1st Line Swap Future
1870
SFB Singapore Mogas 95 Unleaded vs Brent 1st Line Swap Future
1870
SSB Singapore Mogas 97 Unleaded vs Brent 1st Line Swap Future
1870
DDB Daily Dated Brent Swap Future - lOOOb-bl
1870
BFM Brent CFD vs First Month Swap Future -1000bbl
1860
BSM Brent CFD vs Second Month Swap Future -1000bbl
1860
BTM Brent CFD vs Third Month Swap Future -1000bbl
1860
DBL Daily Dated Brent vs Brent 1st Line Swap Future
1860
MAM-MBQ Urals North vs Dated Brent CFD Balmo Swap Future
1860
MED-MFH Urate Med vs Dated Brent CFD Balmo Swap Future
For TMC contract specifications click here
For FSR contract specifications click here
For EON contract specifications click here
For STB contract specifications click here
For SFB contract specifications click here
For SSB contract specifications click here
For DDB contract specifications click here
For BFM contract specifications click here
For BSM contract specifications click here
For BTM contract specifications click here
For DBL contract specifications click here
For MAM-MBQ contract specifications click here
For MED-MFH contract specifications click here
ICE Launches API 8 South China Coal Futures
On January 28 2012 ICE announced the launch of the ICE Futures API South China Coal Futures Contract for the trade date February 11 2013 This new contract is a cash-settled contract quoted in USDtonne and will be listed up to six consecutive calendar years in monthly quarterly and yearly formats This contract is cleared by ICE Clear Europe who acts as a central counterparty to all trades
ICE Code DescriptionCRF API 8 CFR South China Coal Futures (ArgusIHS Mc-
Closkey Coal)
For contract specification click here
Asian Coal Market Evolves with API 5 Coal Index
On January 18 2013 the first over-the-counter coal swap deal using the Australian API 5 coal index as a basis was transacted The deal was brokered by Marex Spectron with Standard Bank acting as one of the counterparties The API 5 index represents 5500 kcalkg NAR of high-ash coal shipped from Australia The API 8 index represents the same quality coal shipped to China As the demand for coal rises in China and India so too does the
datawatch February 2013 Fossil Fuel Markets
6Back to Summary
interest in this index which is viewed as a reliable independent price assessment among the coal trading community The introduction of swaps using this index provides producers end-users and other market participants with more flexibility in their businesses
Argus Launches Marine Fuels Pricing and Analysis Service
On January 7 2013 Argus launched Argus Marine Fuels This is a daily marine fuels pricing and analysis service that will add transparency to the increasingly complex international bunker fuels markets As environmental regulations force ships to use more expensive low-sulfur fuels ship-owners and managers are noticing the trade in marine fuels is rapidly changing The Argus Marine Fuels service offers precise price assessments for high and low-sulfur marine fuels at more than 60 ports worldwide as well as refueling options at some lesser known ports A key offering of the service is its pricing of ECA-compliant bunkers in the Atlantic basin which is critical information for those involved in the marine fuel trade
Platts to Publish Midpoints for LPG Assessments
Effective March 1 2013 Platts is proposing to publish midpoints for all global LPG assessments that are not already being published These assessments will be conducted for propane butane ethane and natural gas and will represent the average between the high and low of each market assessment published daily Midpoint assessments will be published and databased to three decimal places while the high and low for each assessment will be published to two decimal places only The method for calculating month-to-date averages monthly averages and weekly averages will also be updated by Platts The averages will be published and databased to three decimal places and will be created by averaging each point itself For example the average high will be the average of the highs for the month or week
Platts Launches Durban MGO Assessment
On February 1 2013 Platts launched a new marine gasoil assessment for Durban to be assessed on an ex-wharf basis and reflect typical standards as defined in document ISO 82172005 This MGO assessment will be published alongside Platts MDO and 180 CST bunker fuel assessments in Durban Platts Global Alert page 1860 Platts Bunkerwire and the Platts price assessment database will publish the assessment under the code AAXDB00 Marine Gasoil Ex-Wharf Durban The monthly average for the new assessment will also be published by Platts on Platts Global Alert page 1861 under the code AAXDB03 Marine gasoil Ex-Wharf Durban MAvg
Platts to Add Points on Transco and Tennessee Gas Pipelines
On January 24 2013 Platts proposed adding two locations to its daily and monthly bidweek North American spot-price surveys Transcontinental Gas Pipe Line Leidy Line receipts and Tennessee Gas Pipeline Zone 4-200 leg
The daily postings would begin effective trade on March 28 for flow date on April 1 and would appear in Gas Dailyrsquos ldquoDaily price surveyrdquo table in the ldquoAppalachiardquo section and the ldquoNortheastrdquo section of Energy Traders ldquoDaily spot gas pricesrdquo table Monthly bidweek postings would be effective with the late-March bidweek trading for delivery in April (on March 22 25 26 27 28) They will appear in the ldquoPrices of Spot Gas Delivered to Pipelinesrdquo tables in Inside FERCrsquos Gas Market Report Energy Trader and Gas Daily Price Guide and the ldquoBidweek Physical Basis Prices Delivered to Pipelinesrdquo table The prices also would be published on Natural Gas Alert and in Platts Market Data
The proposed description of the new Leidy line location would be ldquoTranscontinental Gas Pipe Line Leidy Line receipts (daily and monthly surveys) Deliveries to Transcorsquos Leidy Line downstream of the LeidyWharton storage facilities in Clinton and Potter counties Pennsylvania to Transcorsquos Station 505 in Hunterdon County New Jersey This pricing location does not include transactions at the storage-related interconnects with Dominion Transmission National Fuel Gas Supply UGI Storage or Tennessee Gas Pipeline The proposed description of the Tennessee location would be ldquoTennessee Gas Pipeline Zone 4-200 leg (daily and monthly survey) Deliveries into Tennessee at all points of receipt on the 200 line in the states of Pennsylvania and Ohio as well as transactions at Tennesseersquos Station 219 poolrdquo
Vattenfall Creates Standard Product for Virtual Gas Storage
On February 1 2013 Vattenfallrsquos trading unit announced the launch of a virtual storage product for the gas markets in the Netherlands and Germany By buying and selling this standardized product Vattenfall aims to support market participants in balancing their gas portfolios and create a liquid market place for gas storage in Europe As more and more small and mid-size players especially in Germany are managing their own gas portfolio the need for flexibility and transparency in pricing is increasing
The virtual product has the same characteristics and value as a physical gas storage facility but without the associated costs and constraints of operating an actual facility A lsquoStandard Storage Bundlersquo consists out of an injection capacity of 1 MW a withdrawal capacity of 2 MW and a working gas volume of 2928 MWh Customers can choose between a base load product meaning that the injected or withdrawn volume is constant over the day and an hourly profile product meaning that hourly volume can differ and customers can re-nominate
Customers can buy the same product bundle in the size and at the location that they desire Starting out the delivery points are Title Transfer Facility Gaspool and NetConnect Germany Vattenfall
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Fossil Fuel Markets
6Back to Summary
interest in this index which is viewed as a reliable independent price assessment among the coal trading community The introduction of swaps using this index provides producers end-users and other market participants with more flexibility in their businesses
Argus Launches Marine Fuels Pricing and Analysis Service
On January 7 2013 Argus launched Argus Marine Fuels This is a daily marine fuels pricing and analysis service that will add transparency to the increasingly complex international bunker fuels markets As environmental regulations force ships to use more expensive low-sulfur fuels ship-owners and managers are noticing the trade in marine fuels is rapidly changing The Argus Marine Fuels service offers precise price assessments for high and low-sulfur marine fuels at more than 60 ports worldwide as well as refueling options at some lesser known ports A key offering of the service is its pricing of ECA-compliant bunkers in the Atlantic basin which is critical information for those involved in the marine fuel trade
Platts to Publish Midpoints for LPG Assessments
Effective March 1 2013 Platts is proposing to publish midpoints for all global LPG assessments that are not already being published These assessments will be conducted for propane butane ethane and natural gas and will represent the average between the high and low of each market assessment published daily Midpoint assessments will be published and databased to three decimal places while the high and low for each assessment will be published to two decimal places only The method for calculating month-to-date averages monthly averages and weekly averages will also be updated by Platts The averages will be published and databased to three decimal places and will be created by averaging each point itself For example the average high will be the average of the highs for the month or week
Platts Launches Durban MGO Assessment
On February 1 2013 Platts launched a new marine gasoil assessment for Durban to be assessed on an ex-wharf basis and reflect typical standards as defined in document ISO 82172005 This MGO assessment will be published alongside Platts MDO and 180 CST bunker fuel assessments in Durban Platts Global Alert page 1860 Platts Bunkerwire and the Platts price assessment database will publish the assessment under the code AAXDB00 Marine Gasoil Ex-Wharf Durban The monthly average for the new assessment will also be published by Platts on Platts Global Alert page 1861 under the code AAXDB03 Marine gasoil Ex-Wharf Durban MAvg
Platts to Add Points on Transco and Tennessee Gas Pipelines
On January 24 2013 Platts proposed adding two locations to its daily and monthly bidweek North American spot-price surveys Transcontinental Gas Pipe Line Leidy Line receipts and Tennessee Gas Pipeline Zone 4-200 leg
The daily postings would begin effective trade on March 28 for flow date on April 1 and would appear in Gas Dailyrsquos ldquoDaily price surveyrdquo table in the ldquoAppalachiardquo section and the ldquoNortheastrdquo section of Energy Traders ldquoDaily spot gas pricesrdquo table Monthly bidweek postings would be effective with the late-March bidweek trading for delivery in April (on March 22 25 26 27 28) They will appear in the ldquoPrices of Spot Gas Delivered to Pipelinesrdquo tables in Inside FERCrsquos Gas Market Report Energy Trader and Gas Daily Price Guide and the ldquoBidweek Physical Basis Prices Delivered to Pipelinesrdquo table The prices also would be published on Natural Gas Alert and in Platts Market Data
The proposed description of the new Leidy line location would be ldquoTranscontinental Gas Pipe Line Leidy Line receipts (daily and monthly surveys) Deliveries to Transcorsquos Leidy Line downstream of the LeidyWharton storage facilities in Clinton and Potter counties Pennsylvania to Transcorsquos Station 505 in Hunterdon County New Jersey This pricing location does not include transactions at the storage-related interconnects with Dominion Transmission National Fuel Gas Supply UGI Storage or Tennessee Gas Pipeline The proposed description of the Tennessee location would be ldquoTennessee Gas Pipeline Zone 4-200 leg (daily and monthly survey) Deliveries into Tennessee at all points of receipt on the 200 line in the states of Pennsylvania and Ohio as well as transactions at Tennesseersquos Station 219 poolrdquo
Vattenfall Creates Standard Product for Virtual Gas Storage
On February 1 2013 Vattenfallrsquos trading unit announced the launch of a virtual storage product for the gas markets in the Netherlands and Germany By buying and selling this standardized product Vattenfall aims to support market participants in balancing their gas portfolios and create a liquid market place for gas storage in Europe As more and more small and mid-size players especially in Germany are managing their own gas portfolio the need for flexibility and transparency in pricing is increasing
The virtual product has the same characteristics and value as a physical gas storage facility but without the associated costs and constraints of operating an actual facility A lsquoStandard Storage Bundlersquo consists out of an injection capacity of 1 MW a withdrawal capacity of 2 MW and a working gas volume of 2928 MWh Customers can choose between a base load product meaning that the injected or withdrawn volume is constant over the day and an hourly profile product meaning that hourly volume can differ and customers can re-nominate
Customers can buy the same product bundle in the size and at the location that they desire Starting out the delivery points are Title Transfer Facility Gaspool and NetConnect Germany Vattenfall
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013Fossil Fuel Markets Fossil Fuel Markets
7Back to Summary
has plans to offer the product in Belgium the Czech Republic France and the United Kingdom later this year
Two Oil UBS ETFs Launched on Xetra
On January 24 2013 two new exchange-traded equity index funds issued by UBS (Irl) ETF plc have been tradable in Deutsche Boumlrsersquos XTF segment The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of oil The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Oil Equities (USD) A-dis
IE00B5PYL424
UBS (Irl) ETF plc - Solactive Global Oil Equities (USD) I-dis
IE00B7KYPQ18
Platts to Discontinue Reporting of Tennessee Gas Pipeline Zone 4-Ohio
On January 24 2013 Platts proposed to discontinue publication of its Tennessee Gas Pipeline Zone 4-Ohio location occurring no less than six months after publication of a final notice The publication includes deliveries to Tennessee from the Rockies Express Pipeline in Guernsey and Muskingum counties in East Ohio The REXTennessee interconnect is in Tennesseersquos zone 4
Should Platts go ahead with a new location ldquoTennessee Gas Pipeline Zone 4-200 legrdquo transactions delivered to Tennessee would be included in it
CME Denatures Fuel Ethanol Forward Month Futures
On February 25 2013 CME Group convers the existing CBOT Denatured Fuel Ethanol Forward Month Swap to a future contract In addition the converted Ethanol Forward Month Futures are listed for electronic trading on CME Globex and could be eligible for block trading on ClearPort These contracts are listed with and subject to the rules and regulations of CBOT
CME Code DescriptionFZE Denatured Fuel Ethanol Forward Month Futures
For contract specifications click here
CME Expands European Gasoil (100mt) Bullet Futures
On February 11 2013 CME expanded the listing cycle for European Gasoil (100mt) Bullet futures such that January 2015 shall be the last listed contract month The trading venues are CME Globex and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionGLI European Gasoil (100mt) Bullet Futures
CME Expands Heating Oil Calendar Spread Option Listing
On January 28 2013 CME expanded the listing of the Heating Oil Calendar Spread Option (one-month) contract from the first three consecutive one-month spreads to the first 35 consecutive one-month spreads The new listing is available for electronic trading on CME Globex open outcry trading on the NYMEX trading floor and for clearing through CME ClearPort
CME Code DescriptionFA Heating Oil Calendar Spread Option
ICE Amends Specs for Heating Oil and Related Inter-Product Spreads
On January 31 2013 ICE advised members of amendments made to the contract specification for ICE Heating Oil Futures and related Inter-Product Spreads The amendment clarifies the wording used in the lsquoSettlementrsquo section of the contract specification and will be valid from March 28 2013 Attachment 1 lists the full amended ICE Heating Oil Futures (O) specification as well as the heating Oil inter-product spread contracts
bull Heating OilWTI Futures Crack (HO-WBS)bull Heating OilGasoil (HOGO) Futures Spread (HO-GAS)bull Heating OilLow Sulphur Gasoil Futures Spread (HO-ULS)bull Heating OilBrent Crack Spread (HO-BRN)bull Heating OilBrent NX Crack (HO-BNX)bull NYH (RBOB) GasolineHeating Oil Futures Spread (UHU-UHO)
Attachment 2 shows the full amended contract specifications for ICE Heating Oil WTI Futures Crack
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Fossil Fuel Markets
8Back to Summary
Platts to Change Basis for US Ethylene and Propylene Assessments
Effective April 1 2013 Platts is proposing to change the basis for the US ethylene and propylene assessments It will reflect pipeline delivery scheduling as the primary delivery method of the US olefins spot market It propose to change from a 3-to-30 day timing window basis to a current delivery month and a next delivery month three calendar days ahead of the end of the month Comments can be sent to kevin_allenplattscom with a copy to pricegroupplattscom
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Agriculture Forestry and Metal Markets
9Back to Summary
Fossil Fuel Markets
BMampFBOVESPA Launches Derivatives for SugarEthanol
On January 28 2013 MBampFBOVESPA launched new commodity derivatives for the sugarethanol sector They are the cash-settled crystal sugar futures contract and the anhydrous fuel ethanol futures contract The cash-settled crystal sugar futures contract is quoted in Brazilian Reals under ticker symbol ACF as of the April 2013 contract month The contract is approved for trading from 9am to 2pm (Sao Paulo time) After-hours trading is from 235pm to 6pm The contract size is 508 50-net kilogram bags On January 29 2013 call and put options on the cash-settled crystal sugar futures contract began trading and reflected the same specifications as the futures contract Prices reflect the product delivered at the Sao Paolo port of Santos for domestic consumption and for export and will be settled based on the Santos (SP) BMampFBOVESPA Crystal Sugar Price Index
The anhydrous fuel ethanol futures contract is being traded under ticker symbol ETN as of the May 2013 contract month with physical delivery Trading is authorized from 9am to 320pm Sao Paulo time and from 405pm to 6pm is after-hours trading The contract price reflects prices from the Paulinia region The size of the contract is 30 cubic meters (30000 liters) and each futures contract is quoted in Brazilian Reals
Market participants now have the ability to execute hedge and arbitrage strategies between these new contracts in local currency and on a single electronic trading platform
TOCOM Launches New Corn Bean and Sugar Contracts
On January 18 2013 the Tokyo Commodity Exchange (TO-COM) announced the launch of several agricultural and sugar products The new products are set to begin trading on February 12 2013 and feature corn soybean azuki (red bean) and raw sugar contracts
Contract specifications will primarily match those of the Tokyo Grain Exchange
Commodity DescriptionSoybean GMO GMO mixed and GMO non-segregated No 2
or better yellow soybeans produced in the USAAzuki (Red Bean)
Grading standards No 2 azuki (red bean) produced in Hokkaido Japan
Corn No 3 yellow corn produced in the USARaw Sugar Raw centrifugal cane sugar of a polarization of 96
degrees produced outside of Japan
For product specifications click here
Platts to Publish Iron Ore Lump Contract Price Premiums
On March 1 2013 Platts is proposing to launch contract price lump premiums for Australian iron ore lump agreed between
suppliers and Chinese steelmakers Published quarterly on a dollar per dry metric ton unit basis the lump premium would represent commonly traded brands such as Pilbara Blend and Newman lump Variations from company to company will depend on brand volumes and the negotiated package The lump premium would be published in a range and would appear in Platts SBB Steel Markets Daily Platts Metals Alert and the Platts SBB Price Analyzer The proposed lump premium would replace SBB Hamersley Pilbara Bld Lump 635 Fe Jap Aus Exp FOB W Aus port (SB01111) assessment in Platts SBB Steel Price analyzer
NCDEX Launches New Gold Futures
Effective January 14 2013 the National Commodity and Derivatives Exchange Limited (NCDEX) introduced futures contracts in Gold 100 grams (GOLDIND100) In the months of January February March April and May of 2013 Gold 100 grams futures contracts are available for trading with modified contract specifications COMTRACKreg will be exclusively used to settle all Gold 100 grams futures contracts expiring in January 2013 and thereafter
For contract specification click here
CME Lists Platinum Options and Palladium Options
Effective February 24 2013 NYMEX adds Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform for the following trade date pending CFTC review The trading venues are NYMEX trading floor and CME ClearPort These contacts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionPO NYMEX Platinum OptionsPAO NYMEX Palladium Options
ICE Launches Iron Ore Contracts
On January 28 2013 ICE announced the launch of two iron ore contracts on Ice Futures Europe which began trading on February 11 2013 All ICE contracts are cleared at ICE Clear Europe The new contracts are
ICE Code DescriptionIOC Iron Ore 62 Fe (TSI) CFR Tianjin Future (The Steel
Index)IOS Iron Ore 62 Fe (Platts IODEX) vs Iron Ore 62 Fe
(TSI) CFR Tianjin Future (PlattsTSI)
For IOC contract specifications click hereFor IOS contract specifications click here
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Agriculture Forestry and Metal Markets
10Back to Summary
Xetra Launched Four Precious Metals ETF
On January 24 2013 Xetra listed four new exchange-traded equity index funds issued by UBS (Irl) ETF plc The new UBS ETFs from the Structured Solutionsrsquo ldquoSolactiverdquo index series enable investors to participate in the performance of international companies which make their income from the exploration extraction andor refining of gold or copper The new products are aimed primarily at private investors through the A class and at institutional investors through the I class
Description ISIN CodeUBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) A-dis
IE00B7KMNP07
UBS (Irl) ETF plc - Solactive Global Pure Gold Miners (USD) I-dis
IE00B7KMTJ66
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) A-dis
IE00B7JM9X10
UBS (Irl) ETF plc - Solactive Global Copper Min-ing (USD) I-dis
IE00B7JMFQ66
CME Delists International Skimmed Milk Powder Products
On January 14 2013 CME delisted International Skimmed Milk Powder Futures and Options contracts
CME Code DescriptionISM International Skimmed Milk Powder
Argus Acquires Fertilizer and Chemical Consultancy
On January 14 2013 Argus acquired Fertilizer and Chemical Consultancy (FCC) for which it already owned a 49 percent stak e in FCC provides long-term outlooks and strategic consulting for fertilizer markets The founders of FCC Bernard Brentnall and Frances Wollmer will join Argus as principals bringing their extensive experience of fertilizer and fertilizer raw material markets
Platts Updates US Aluminum Specifications
Effective January 18 2013 Platts updated the methodology descriptions and specifications of its price assessments for US Aluminum Normalization factors are more detailed and the benchmark US Transaction assessment has been dissected into individual components The methodology and consistency of data
has not changed the update is merely clarifying what has been longtime practice
Contract specifications for MW US Transaction Premium MW US Transaction and MW US Net-cash Premium can be found here
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Environmental Markets and Weather Services
11Back to Summary
China Partners with AccuWeather for Worldwide Weather Distribution
On January 30 2013 weather service products available from Beijing Huafeng Innovative Network Technology Co Ltd became available across AccuWeatherrsquos original device manufacturer partners These manufacturers distribute across the Peoplersquos Republic of China This relationship came about due to a global cross-licensing agreement between the two
The agreement will supply AccuWeather with weather service products from Huafeng Innovative Network across all digital media AccuWeather will provide Huafeng Innovative Network with its information for use within the PRC This agreement applies to distribution on any device with an IP address
This arrangement will give device manufacturers and distributors a single reliable source for weather information when dealing with the PRC
An example of data reported by AccuWeather is displayed in the graph below
Data Source AccuWeather
NASDAQ OMX Commodities Adds to Nordic and Carbon Product Offerings
On January 9 2013 NASDAQ OMX Commodities announced that it will launch new products in Genium INET Genium INET will be upgraded to version 0222 during the weekend of March 23-24 2013
European Union Aviation Allowances (EUAA) Futures will be listed on a quarterly expiry (March June September and December) for the two nearest years and December contract up to 2020 Contracts will have the same technical setup in regards to delivery and settlement procedures as the existing EUACER future contracts The products are subject to successful testing which is on-going as of January 24 2013
Graph created with ZEMA
BMampFBOVESPA and BNDES Develop Carbon Efficient Index
On January 7 2013 BMampFBOVESPA and BNDES declared the new portfolio of the Carbon Efficient Index (ICO2) based on the end of trading on January 4 2013 and valid from January 7 2013 to May 3 2013 The portfolio comprises 36 stocks from the IBrX-50 Index in 35 companies These companies have committed to being transparent in reporting their greenhouse gas emissions (GGEs) They are
COMPANIES ISIN CodeALL AMBEV BMampFBOVESPABR MALLS BRADESCO BRADESPARBANCO DO BRASIL BRASKEM BRF FOODSCCR CEMIG CIELOCOSAN ELETROPAULO FIBRIAGOL ITAUacuteSA ITAUacute UNIBANCOJBS KLABIN LOJAS AMERICANASLOJAS RENNER MARFRIG MMXMRV NATURA OGX PETROLEOOI PDG REALTY SANDANDER BRSOUZA CRUZ SUZANO PAPEL TELEFOcircNICATIM e VALE
GGEs (factors recalculated annually) and the free floats (assessed every four months) of the companies are taken into consideration in the weighting of shares in the ICO2 index The Center for Sustainability Studies (GVces) of the Business Administration School of Fundaccedilatildeo Getuacutelio Vargas (FGV-EAESP) harmonizes all issued data for the current portfolio using the ICO2 guidelines these guidelines require mandatory presentation of a companyrsquos GGE inventory These emission inventories are published on a specific environment set up by BMampFBOVESPA on its Em Boa Companhia website
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
12Back to Summary
CME Lists Standard and E-micro USDOffshore RMB (CNH) Futures
On February 25 2013 CME lists standard-size and E-micro USDOffshore RMB (CNH) futures for trading on CME Globex These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH) priced in interbank terms of Chinese Renminbi per US dollar and associated with daily settlement variations banked in Chinese Renminbi offshore in Hong Kong The new CME USDCNH futures will allow hedging and risk-management opportunities based on the offshore RMB curve while multiple contract sizes provide increased trading flexibility as well as broader market participation
CME Code Description Tracks IndexCNH Standard-Size USDOffshore RMB
(CNH) Futures contractsISE Gemstone Indextrade
MNH E-micro Size USDOffshore RMB (CNH) Futures contracts
ISE Mining Service Indextrade
This contract is listed with and subject to the rules and regulations of CME
CME Lists Standard and E-micro Indian RupeeUSD Futures
On January 28 2013 CME added cash-settled Standard and E-micro Indian RupeeUS Dollar futures Since 2008 the Indian rupee (INR) market has grown 42 percent while trading at $ 255 billion per day Rising demand in international business transactions and increasing central bank activity have created a need for capital-efficient risk management tools on this emerging currency These two futures are offered in two contract sizes to expand flexibility and opportunities
bull Standard-sized futures - 5000000 INRbull E-micro sized futures - 1000000 INR
CME Code DescriptionSIR Standard-Size Indian RupeeUS Dollar FutureMIR E-micro Size Indian RupeeUS Dollar Future
The trading venues are CME Globex and CME ClearPort
New Interest Rate Derivatives Launched by BMampFBOVESPA
Effective March 1 2013 BMampFBOVESPA launches a new futures contract and new European-style call and put options on interest rates Both new derivatives will be referenced to the average of one-day repurchase agreements backed by federal securities However unlike the options for which the underlying asset will be an index specially created for this purpose the underlying asset for the futures contract will be the average rate itself
The futures contract is authorized to trade between 900am and 400pm with the April 2013 contract as the front month At
410pm the electronic call for calculation of the settlement price will take place Extended trading will be from 450pm to 600pm with the price of the final transaction in this session being the closing reference price The size of the contract will be 100000 points or BRL100000 using the effective annual interest rate to three decimal places as a reference The reference rate for the futures contract will be backed by federal securities via the Special System for Settlement and Custody (SELIC) This is managed by the Central Bank of Brazil who publishes the rate on SISBACEN its information system after it calculates it
Exchange Traded Bonds and Sukuk Launched on Bursa Malaysia
Danalnfra Nasional Berhad (Danalnfra) launched new Exchange Traded Bonds and Sukuk (ETBS) on Bursa Malaysia Berhad marking a historic milestone for the Malaysian capital market
ETBS are listed fixed income securities traded on the stock exchange that offer preset non-taxable returns and are paid out over fixed intervals A minimum of RM 1000 capital is needed by investors to begin investing Danalnfra was established to undertake funding for infrastructure projects assigned by the Government in Malaysia for the benefit of the general public One such project is the lsquoMy Rapid Transitrsquo project (MRT) The ETBS will be used to partly fund the MRT project providing a cost-effective method to raise capital as well as providing investors the opportunity to share in the growth and wealth of the nation
ComStage ETF SampP SMIT 40 launched on Xetra
On January 29 2013 ComStage ETF issued a new equity index fund on Xetra for trading Investors for the first time are able to participate in the performance of the SampP SMIT 40 TRN EUR Index The SampP SMIT 40 Net Total Return EUR Index tracks the performance of ten stock corporations in the emerging markets South Korea Mexico Indonesia and Turkey All four countries are given equal weighting in the index with the weighting of the individual stock corporations within a country determined by free-float market capitalization and trading volumes The index is a net return index which means dividend payments after tax deduction are taken into account
Description ISIN CodeComStage ETF SampP SMIT 40 Index TRN LU0860821874
EGX and NYSE Liffe to List EGX 30 Index Futures
On January 14 2013 the Egyptian Exchange (EGX) and NYSE Liffe - the European derivatives business of NYSE Euronext - signed a license agreement in London to enable the listing of an EGX Index futures contract This would offer investors in the Egyptian capital market a useful hedging tool while increasing volumes on the underlying constituents of EGX 30 index thus increasing liquidity
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
13Back to Summary
on the EGX cash market His Excellency Mr Osama Saleh Minister of Investment in Egypt witnessed the signing ceremony and highlighted the importance of the agreementrsquos timing as the Egyptian economy continues its recovery and reinforces its exposure to international markets
Five db X-trackers on CSI300 Sector Index Family Launched on Xetra
On January 21 2013 db X-trackers issued five new equity index ETFs for trades in Deutsche Boumlrsersquos XTF segment The five new db X-trackers ETFs from the CSI300 sector index series enable investors to participate for the first time in the performance of Chinese A-class shares in the following sectors banking energy healthcare real estate and consumer discretionary
Description ISIN Codedb X-trackers CSI300 Banks Index ETF LU0781021877db X-trackers CSI300 Consumer Discretionary Index ETF
LU0781021950
db X-trackers CSI300 Energy Index ETF LU0781022172db X-trackers CSI300 Health Care Index ETF LU0781022339db X-trackers CSI300 Real Estate Index ETF LU0781022099
The CSI300 sector index series only contains companies in the CSI300 index The CSI300 index comprises A-class equities of the 300 Chinese companies with the highest market capitalization and greatest liquidity traded on the Shanghai Stock Exchange or the Shenzhen Stock Exchange Currently the product offering in Deutsche Boumlrsersquos XTF segment comprises a total of 1014 exchange-listed index funds while the average monthly trading volume stands at approximately euro11 billion
HKEx Introduces New ETF Options
Effective January 21 2013 Hong Kong Exchanges and Clearing Limited (HKEx) introduced options on two A-share ETFs the CSOP FTSE China A50 (CSOP A50) ETF and ChinaAMC CSI 300 Index (CAM CSI300) ETF The options size for both is 200 and they will be traded in Hong Kong dollars As of January 21 2013 the expiry months available for trading are January February March June September and December of this year Full specifications can be found here
ISE Introduces ISE ETF Ventures
On January 30 2013 the International Securities Exchange (ISE) introduced ISE ETF Ventures a new product development group Its dedicated team focuses on expanding capabilities and partnership opportunities in the ETF space
Already experts in index development ISErsquos expansion in the ETF
business allows them to bring new ETFs and similar products to market by offering capital business development and marketing support positioning them as a respected partner of ETF and exchange traded notes issuers industry service providers and new entrants to the ETF space
Currently ISE has a portfolio of over 30 proprietary indexes with 19 exchange-traded products based on them
Clearstream on the Offshore RMB Market
On January 14 2013 Clearstream acted as the exclusive international central securities depository (ICSD) for the primary distribution of two new RMB bonds
1) China Construction Bank issued a RMB 125 billion certificate of deposit
2) Bank of China Hong Kong issued a RMB 650 million bond
These bonds represented Clearstreamrsquos first in 2013 but it follows a trend in 2012 which saw the ICSD support the issuance of more than RMB 84 billion of international bonds In 2012 Clearstream facilitated the primary distribution of a RMB 1 billion bond issued by CCBL Funding PLC with the China Construction Bank as guarantor
As the process of raising RMB funds outside of China is expected to grow to meet increasing demand Clearstream is working with major partners to facilitate this process
Clearstream and Belfius Expand Global Services to OTC Derivatives
On January 17 2013 Clearstream and Belfius announced a partnership to exclusively develop a new collateral management activity for bilateral trades focusing on OTC derivatives aimed primarily at corporate and medium-sized banks The services will leverage Belfiusrsquo specialist experience and will be white-labeled by Clearstream and offered to its clients
The new services are expected to be launched in summer 2013 and will be compliant with the best practices and standards in the European Market Infrastructure Regulation (EMIR) The deal is the latest in a number of partnerships created by Clearstream as it extends the reach and capabilities of its Global Liquidity Hub
Markit Launches Markit CMBX Series 6
On January 25 2013 global financial information services company Markit launched the Markit CMBX Series 6 product CMBX Series 6 is a family of synthetic indices based on a static portfolio of US commercial mortgage-backed securities (CMBS) In particular CMBX Series 6 consists of the following six sub-indices each of which references 25 bonds from a portfolio of 25 CMBS issued in 2012
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 FX Interest Rates Credit and Equity Indexes
14Back to Summary
Markit Index Underlying SecurityMarkit CMBXNAAAA6
Last cashflow AAA bonds
Markit CMBXNAAS6
Junior AAA bonds
Markit CMBXNAAA6
AA bonds
Markit CMBXNAA6
A bonds
Markit CMBXNABBB-6
BBB- bonds
Markit CMBXNABB6
BB bonds
The index composition is rules-based and selection criterion includes deal size pricing date and relevant rating and credit enhancement of the bonds included in each deal
Eurex Repo Offers Funding Opportunities for GC Pooling and Euro Repo Markets
On January 17 2013 Eurex Repo announced its plans to extend the maximum term of tradable securities for the Eurex Repo markets which include GC Pooling and Euro Repo As of January 21 the maximum duration for transaction was increased from one to two years This change provides Eurex Repo market participants with the ability to make use of the Long Term Refinancing Operations (LTRO) of the European Central Bank (ECB) As of January 30 the ECB allowed banks to prematurely return LTRO liquidity which they borrowed from December 2011 and February 2012 with a maturity of three years
CME Delists 2 -Year Treasury Note vs2-Year Deliverable Interest Rate Swap
On January 21 2013 CME delisted the 2-Year Treasury Note vs 2-Year Deliverable Interest Rate Swap intercommodity spread from CME Globex These contracts are listed with and subject to the rules and regulations of NYMEX
CME Code DescriptionZT 2-Year Treasury Note vs 2-Year Deliverable Interest Rate
Swap
Tokyo Commodity Exchange Delists Nikkei-TOCOM Index Future
On January 18 2013 the Tokyo Commodity Exchange announced the delisting of the Nikkei TOCOM Commodity Index Futures con-tract (TOCOM NEXT) The move will be completed upon regula-
tory approval from the Minister of Economy
The exchange will continue to calculate and publish the index in the future for benchmarking purposes in the evaluation of invest-ment trusts or commodity funds
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Other Matters
15Back to Summary
Department of Energyrsquos ESnet Launches New Map Tool
On January 16 2013 the Department of Energy publicized a high-level map of its Energy Sciences Network (ESnet) The new map is published on the ESnet website and depicts color-coded data transfer rates along with summaries on data traffic at given points in the network
Launched into production in November 2012 the network connects 40 research sites around the US with 100 gigabit-per-second connectivity This makes it the fastest coast-to-coast science network in the world ESnetrsquos directors decided to develop the map to give users better statistics on whatrsquos happening within their high-speed backbone The map is expected to be the first of several others for ESnet
EIA Expands API Options with State Energy Data
On January 29 2013 the US Energy Information Administration (EIA) expanded its API to include data from its State Energy Data Systems (SEDS) The SEDS library adds 14 million data points including figures on energy production consumption price and expenditure information
State data available in SEDS includes bull Energy production ndash crude oil natural gas coal and ethanolbull Energy consumption ndash by source and sector (residential industrial commercial and transportation)bull Energy costs and expenditures ndash by source and sectorbull GDP and population
Along with this data EIA plans to launch a wider range of datasets through the API which will include the agencyrsquos weekly monthly and annual petroleum and natural gas data
The following graph shows EIA monthly crude oil production for North Dakota California and Texas
Data Source ndash EIA
CBOE Launches Customized Option Pricing through MDX
On January 14 2013 the Chicago Board Options Exchange Inc (CBOE) launched the CBOE Customized Option Pricing Service (COPS) through Market Data Express LLC (MDX) COPS combines the market making expertise of CBOErsquos liquidity providing community with the access of MDX to deliver market consensus valuations This service meets the requirements of institutional investors that by law need to correctly price the value of custom options held in their portfolio on a daily basis and produce reports for their customers CBOE market makers help create indicative values for up to 3000 options series on 300 underlying options classes every day and it is their robust pricing models that COPS will rely on for pricing options Market makers will submit their valuations to MDX after the market close and COPS subscribers will receive custom data based on those averages every day Wolverine Trading Spot Trading and Sumo Capital will participate in the COPS service initially and will price
bull All open FLEX options positionsbull OTC optionsbull Theoretical option prices
NYSE Expands Asian Offerings with NYSE Philippines Inc
On January 14 2013 NYSE Euronext announced the completion of its resource transfer from Fixasia Technologies Inc to a newly created subsidiary NYSE Philippines Inc Based out of Manila the new subsidiary is being launched to expand NYSErsquos offerings in the Asian market
The new business is expected to operate as a regional technology hub with over 100 employees to start As NYSE Technologiesrsquo largest service desk the new subsidiary will handle infrastructure and client systems monitoring connectivity and operations support as well as development and quality assurance responsibilities
Clearstream and 360T To Launch Pioneering Triparty Repo Service
On January 9 2013 Clearstream and 360T Trading Networks AG announced their cooperation on the delivery of a streamlined triparty repo solution through 360Trsquos front office facilities and Clearstreamrsquos integrated collateral management platform and securities lending product portfolio The service reaches out to a wide customer base including corporate clients hedge funds and asset managers It seamlessly integrates Clearstreamrsquos leading collateral management solutions with the important trading functionalities of 360T The cooperation will further enrich Clearstreamrsquos Global Liquidity Hub through the Liquidity Hub Collect stream
Carlo Koumllzer CEO at 360T underlined ldquoWith the seamless integration of the 360T trading platform and the Global Liquidity Hub we will enable our clients to benefit from a single trading venue for electronic trading Moreover the whole product life cycle
Graph created with ZEMA
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 Other Matters
16Back to Summary
from price discovery to execution and settlement will be faster more reliable and fully STP-supportedrdquo
Both companies expect the service to go live in the first quarter of 2013
Steffen Koumlhler Chief Operating Officer of EEX said ldquoWith this initiative we react to the increasing requests from American participants To raise our distribution in the North American area we are working on connecting more independent software providers (ISVs) to our trading infrastructurerdquo
Currently 98 of EEXrsquos trading participants are based in Europe Eurex has 80 exchange members out of 430 based in the US
New Data Centre Opened by HKEx in Tseung Kwan O
On January 31 2013 Honk Kong Exchanges and Clearing (HKEx) opened its Next Generation Data Center in Tseung Kwan O Industrial Estate The new center is the linchpin of HKEx Orion Technology Initiatives a $3 billion transformative program of technology initiatives designed to elevate Honk Kongrsquos position as an international financial hub
Uniting the primary data centers for all of HKExrsquos markets and clearing house systems under one roof the five-storey facility will enable HKEx to support the growth and development of its markets Hosting Services will be offered at the center allowing participants to co-locate their systems next to HKExrsquos core platforms to provide access with the lowest possible latency The data center can also support up to 1200 racks with a total power load of 8MW making it the highest capacity service offered by any exchange in Asia-Pacific It also meets rigorous international environmental standards and is among the first data centers in the region to meet Tier-4 standards
Liquidity Alliance Launched to Address Global Collateral Crunch
On January 16 2013 a group of five Central Securities Depositories (CSDs) from around the world formed a liquidity alliance designed to help solve the global collateral shortage prompted by the 2007 financial crisis and subsequent regulatory changes Australiarsquos ASX Brazilrsquos Cetip Germanyrsquos Clearstream Spainrsquos Iberclear and South Africarsquos Strate announced they will cooperate together to help address the global collateral crunch The financial crisis prompted regulators to make risk avoidance their top priority bringing in a raft of new legislation including Dodd-Frank Emir and CRD IV
According to April 2012 estimates by the Basel Committee on Banking Supervision banks in Europe alone are facing an aggregate shortfall of stable funding of EUR 278 trillion in fulfilling the additional liquidity requirements of Basel III
The five members - who hope to bring in more CSDs in the future - plan to tackle this issue by exchanging information identifying common needs and extending global collateral solutions while encouraging research and development They will meet each
quarter to discuss partnership plans developments commercial opportunities in collateral management and to share individual market news
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more17
Chicago experienced some very cold weather in February dropping below -15 degrees Celsius on multiple occasions
New York experienced some temperature drops however most of the time the temperature ranged between -7 and +7 throughout January and February
Further south Raleigh saw its temperature drop below zero on three occasions this year and Sacramento has had fairly consistent temperatures hovering around +10 degrees Celsius
Eastern electricity prices climbed higher in December and January Natural gas prices in North America have exhibited volatility in February following a rather unpredictable weather pattern This has been a continuing trend from the last month With temperatures dropping substantially prices in the Northeast climbed higher in response accompanied by congested pipeline conditions In particular Transcontinental Pipelinersquos Zone 6 delivery point which serves New York City saw prices soar well above $30 per MMBtu on several occasions throughout the month
With unchanged fundamentals on the long term outlook ICE Henry Hub natural gas futures remained at approximately the same level with only a 2 change in price compared to last month
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
Henry Hub Natural Gas Forward Curve (ICE)
Actual Weather (AccuWeather)
North American Natural Gas Spot Prices (ICE)
North American Electricity Day-Ahead Prices (ICE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
February 2013
Monthly analytics for Power Natural Gas Crude Oil and Environmental markets Graphs prepared with ZEMA
Interested in ZEMA Suite Contact us to learn more18
North American Electricity Day-Ahead Prices (ICE)
Crude Oil Brent vs WTI (NYMEX) - Prompt-Month Contract
Crude Oil Brent vs WTI (NYMEX)- Forward Curve
ISO-NE and NYISO power prices rose sharply with dropping temperature and increase in natural gas prices
Milder temperatures in California and Southeast kept prices at a moderate level
Prompt month contract for Brent Crude Oil reached just above 115 USDBbl in February the highest since April 2012 Texas light sweet also rose to 96 USDBbl from 93 USDBbl in January yielding robust demand growth for oil
The transatlantic (Brent vs WTI) spread in February increased by almost 4 USDBbl to 19 USDBbl from January Chinese data showed increase of more than 7 in oil imports to the worldrsquos second-largest oil consumer which mainly impacted Brent prices Saudi Arabiarsquos announcement to increase second quarter output and uncertainty surrounding Italian election results weighed in on the euro and may have suppressed the optimism in global demand growth
Crude oil futures prices maintained their momentum as NYMEX WTI stood just above $95 USDBbl and Brent prices traded at $116 USDBbl in February
Data from the US Commodity Futures Trading Commission suggested hedge funds and other large speculators raised their bets on higher NYMEX crude oil futures and options for the eighth straight week the longest stretch since 2006 and the highest position since September
In February the Brent-WTI spread has widened since Enterprise Product Partners LP said at the start of the month that capacity will be limited until late 2013 on its Seaway pipeline to the Gulf Coast from Cushing Oklahoma - the delivery point for New York crude Both prices are expected to slide down smoothly in a longer term
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 News from Data Vendors
19Back to Summary
Carbon Market Data Releases New Phase III Data on the EU Emissions Trading Scheme
On February 20 2013 Carbon Market Data announced the release of new Phase III data regarding the EU emissions trading scheme
The third phase of the European cap-and-trade program started on January 1 2013 and will end in 2020 New sectors have been included into the scheme in particular the aluminum and chemical industries as well as the carbon capture and storage activities Moreover two new greenhouse gases have been added to the scope of the EU ETS ie nitrous oxide (N2O) and perfluorocarbons (PFCs)
New Phase III data can be consulted online in the World ETS DatabaseAccess and registration to the database are free
More info at httpwwwcarbonmarketdatacom
EPEX SPOT SE Power Trading Results in January 2013
Paris 4 February 2013 In January 2013 a total volume of 282 TWh was traded on EPEX SPOTrsquos Day-Ahead and Intraday markets (January 2012 296 TWh)
Day-Ahead markets
In January 2013 power trading on the Day-Ahead auctions on EPEX SPOT accounted for a total of 26571892 MWh (January 2012 27805694 MWh) and can be broken down as follows
Peak excl weekend
Prices within the French and the German market both coupled with Belgium and the Netherlands within the market coupling initiative in Central Western Europe (CWE) converged 38 of the time
Intraday markets
On the EPEX SPOT Intraday markets a total volume of 1621153 MWh was traded in January 2013 (January 2012 1811025 MWh)
without Austrian market which was launched in October 2012
In January cross-border trades represented 124 of the total Intraday
volume Volume in 15-Minute contracts amounted to 83942 MWh In January they represented 62 of the volume traded on the German Intraday market
EPEX SPOT SE operates the power spot markets for France Germany Austria and Switzerland (Day-Ahead and Intraday) Together these countries account for more than one third of the European electricity consumption EPEX SPOT SE is a European company (Societas Europaea) based in Paris with a branch in Leipzig 339 TWh have been traded in 2012 on EPEX SPOTrsquos power marketsClearing and settlement of all EPEX SPOT transactions are provided by European Commodity Clearing AG (ECC) the clearing house based in Leipzig
EPEX SPOT SE North-Western European Price Coupling in good progress
18 February 2013 ndash The Partners involved in the NWE Price Coupling are completely dedicated to the NWE project a project that will facilitate every further step to be taken towards the pan-European Market Coupling The NWE objective is to significantly increase the social welfare by optimizing the congestion management of more than twenty borders across thirteen countries
By implementing for the first time the Price Coupling of Regions (PCR) NWE will not only expand the scale of todayrsquos coupling solutions in Central Western Europe (CWE) the Nordic countries and between these two regions but will also include Great Britain the Baltic countries and the SwePol link between Sweden and Poland
NWE will provide a new price coupling system focusing on robustness and ensuring compatibility with the rest of Europe Since the South Western European region (Portugal and Spain) is already well advanced it is decided to have common testing with SWE making sure that price coupling of these countries will be feasible soon after NWE goes live
NWE Price Coupling is carried by a strong partnership between 13 Transmission System Operators (TSO) and 4 Power Exchanges It is pioneering the pan-European Market Coupling of Day-Ahead power markets NWE will cover 75 of the European Electricity market We are currently implementing and testing locally the necessary IT changes procedures and contracts Testing of all systems including integration testing shall start in April The project is targeted to go live in November 2013 subject to successful testing
Price coupling projects like NWE have a considerable impact on infrastructure hence this solution has to be extremely robust We the partners of the NWE Price Coupling project are therefore committed to enhance these quality standards to the NWE Price Coupling We are engaged to deliver this achievement on a European scale
Stakeholders will be regularly informed about the on-going process through the ACER Stakeholders Electricity Advisory Group (ASEAG) and Stakeholder meetings the next scheduled for June 14 in London Beginning of March all published material
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 News from Data Vendors
20Back to Summary
from the project including a monthly report to the regulators will be found on CASCrsquos and on the NWE Power Exchangesrsquo websites via the respective links as published at the bottom The national TSOs Power Exchanges and regulators are ultimately responsible for information and transparency to stakeholders and market participants in their own region
For more information please contact the co-chairs of the NWE project
Bente Hagem Executive Vice President of Statnett
Tel +47 91354720
Jean-Franccedilois Conil-Lacoste Chairman of the Management Board of EPEX SPOT
Tel +33 173039630
wwwcasceu
wwwapxendexcom
wwwbelpexbe
wwwepexspotcom
wwwnordpoolspotcom
OTC Global Holdings Launches Power Implied Volatilities
OTC Global Holdings LP (OTCGH) the leading independent interdealer broker in over-the-counter commodities formally announced the availability of its latest data product Power Implied Volatilities powered by EOXLive Drawing upon the deep liquidity of OTCGHrsquos breadth of brokerages the product is derived from the companyrsquos well-known EOXLive brokingtrading platform which combines the convenience of electronic trading with voice brokingrsquos unique ability to provide market color and create bespoke transactions It offers comprehensive power options data covering historical volatility straddles and skew for 12 locations across PJM MISO NEISO NYISO CAISO and WECC going out 24 months To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
OTC Global Holdings Completes Gas and Power Data Suite
OTC Global Holdings LP (OTCGH) completed their gas and power data suite powered by EOXLive Built from the deep liquidity of the OTCGH family of brokerages this product suite provides comprehensive gas and power data and offers much needed swaps and options price discovery to front offices as well as reliability to middle and back offices Products in the suite include
middot Natural Gas Forwards
middot Power Forwards
middot Natural Gas Volatilities
middot Power Implied Volatilities
middot Natural Gas Power Correlations
To learn more about OTCGHrsquos data products or to request a 30 day trial contact Jeff Shipp at shippjeoxlivecom
New Data Reports for ZEMA
At ZE we are continuously growing our data coverage Our highly flexible data parsers can collect information in any electronic format from any source and at a frequency Since the January 2013 edition of DataWatch we have added several new data reports to ZEMA
Data Source
Report Region
CME Block Trades GlobalD-Cypha Trade
Private Trade And Messages Australasia
EIA EPM Average Cost Of Coal For Electricity Generation By State
North America
EIA EPM Average Cost Of Natural Gas For Electricity Generation By State
North America
EIA EPM Consumption Of Natural Gas For Electricity Generation By State By Sector
North America
EIA EPM Consumption Of Coal For Electricity Generation By State By Sector
North America
Heren GLM GlobalICE EOD Futures Packages EuropeICE EOD Canada Futures North AmericaICE End of Day Europe Futures and Options EuropeIEA MODS Field By Field Supply North AmericaIIR Refinery Turnaround HTTP North AmericaJODI Oil World GlobalNEISO ISOExpress Fuel Mix North AmericaNYSE Liffe
CommodityFuturesProcessor Global
OPIS Crude Postings North AmericaOPIS Canadian Rack North AmericaOPIS 9am Rack Standard North AmericaOPIS Spot Replacement Index North AmericaOPIS Biodiesel Rack North AmericaReuters Precious Metal Forwards GlobalVicorus Com-modity Brokers
Market Report Global
VV Com-modities
Market Prices Global
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 In Depth
21Back to Summary
In 2012 the German capacity of solar energy passed the 32 GW mark The impact on the market prices is noticeable summer prices go down peak prices go down especially midday and gas fired power generation plants have difficulty making money In this article we take a detailed look at how this is further going to shape future price levels Whereas the market trades baseload and peakload products we shift attention to the more detailed hourly price differences reflected in hourly price forward curves (HPFCs) For example we demonstrate that during day-time an increase in the share of renewable production by 10 percentage points reduces power prices by 66 During the night the impact of renewables is even larger
Solar and wind are the primary renewable energy sources for Germany at the moment They have zero or even negative marginal costs whatever the power price level the owners earn a guaranteed income (the feed-in tariff) and will always produce This means that the flexibility to the system has to come from other elsewhere the lsquoconventionalrsquo sources That is mostly coal- and gas fired production The easiest way to understand the impact of renewables on price levels is to study a supply-demand curve The supply curve or merit order is constructed by ranking the production plants from lowest to highest marginal costs With increasing capacities of renewables and depending on the weather conditions the supply curves move to the right This pushes the conventional sources out of the production and thereby lowers price levels For sure market participants are factoring the renewable energy boom into their price levels The forward spread between peakload and baseload used to be around 43 prior to 20092010 but has been around 20-25 in the past three years This is quite a dramatic development for owners of gas-fired generation And even for owners of pump hydro who were expecting to benefit from unpredictable patterns in supply times are difficult
Time-series graphs like the one shown in the previous chapter indicate that solar and wind generation have reduced power prices and peak prices in particular The market trades baseload and peakload but what is more difficult to assess is what future hourly price patterns will look like
In order to incorporate the growing share of renewables in the hourly shaping of the forward curve we need more precise methods than a graphical analysis In fact it is necessary to filter out the impact of other developments For example over the same time period of the German renewable boom the economy has slowed down And over the same time period fuel prices have swung up and down For this reason a simple time-series analysis on the absolute price levels will not be very accurate It is advisable to zoom in on small time intervals instead such that the lsquotruersquo renewable effect can be filtered out from other general trends In statistical terms it is best to take first differences in order to make the time-series stationary
We apply this logic to hourly price data for each hour h consisting ofbull Ph German hourly power prices in euroMWhbull Sh German solar production in GWh
HOW RENEWABLES SHAPE THE FUTURECyriel de Jong Hans van Dijken and Emiliyan Enev KYOS Energy Consulting
The fundamentalsThe impact of renewable production
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 In Depth
22Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
bull Wh German wind production in GWhbull Th German total production in GWh
The power prices are from the daily auction at Epex as quoted on EEX The production data are from a couple of sources
With these variables it is possible to define various equations that capture a possible relationship between hourly power prices and renewable production After some testing and common sense choices a well-fitting equation is the following
∆119901h=minus1199011∙119901hminus24minus1199012∙∆119901hminus1199013∙∆119901h+119901h
bull We take 24 hourly time-steps so look at the difference between hour 1 on day t to hour 1 on day t+1 from hour 2 on day t to hour 2 on day t+1 etc This makes the analysis insensitive for the general intra-day (hourly) differences The 24-hourly differences are denoted by the sign Δ
bull As primary dependent variable (left-hand side) the equation contains the change in the natural logarithm of the hourly power price This is denoted by Δph This price transformation corresponds with a merit order that has an exponential shape It also gave better results than a regression on absolute price differences Note that prices below 1 are set to 1 because otherwise the natural logarithm cannot be taken
bull As primary explanatory variables (right-hand side) the equation contains the change in the share of renewables in the total production mix (Δsh and Δwh) This normalizes the data and gave somewhat better results than taking the absolute production levels
bull An important control variable is the log price level from the previous day This control variable captures the mean-reverting behavior of power prices on a single day a price can be extraordinarily high but generally trends to more moderate levels afterwards It is part of almost any spot price analysis
bull As control variables the equation furthermore contains dummies for Saturdays and Sundays (including public holidays) This is mainly because power prices tend to be lower on those days than on working days For simplicity the dummies are not shown in the equation
bull We perform this regression separately for the first 8 hours of the day and the remaining 16 hours This is because the impact of renewables appeared to be stronger during the night than day most likely because then the demand is lower
bull Because the expected impact of all explanatory variables is negative the regression contains minus signs
All parameters of the equation are highly significantly different from zero with t-values all above 20 (note 2 indicates significance at 95 level) The high R-squared of 20-23 is another indicator that the data fits quite well to the specification The parameters can be interpreted as follows
bull During the night an increase in the share of wind production by 10 percentage points (eg from 15 to 25) reduces power prices by 166 (eg from 3000 to 2540 euroMWh)
bull During day-time and evening an increase in the share of either wind or solar production by 10 percentage points reduces power prices by 64-68 (eg from 6000 to 5618 euroMWh)
This information in itself is very interesting and can help traders to make better short-term price forecasts In addition we will take a more long-term view and assess how this price-renewable dependency affects the hourly price forward curve HPFC
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 In Depth
23Back to Summary
HOW RENEWABLES SHAPE THE FUTURE
Forward curve building means that the available forward market prices are transformed into a continuous and accurate curve For power the end result typically has hourly granularity The hourly shapes reflect likely differences between individual hourly power prices in the future For example between 000 and 400 in the night prices tend to be lower than between 0400 and 0800 even though both blocks are offpeak At the same time the curves have to stay arbitrage-free relative to the current market quotes the average of the HPFC over forward delivery periods are equal to the prices of the forward contracts
If renewable generation capacities were constant past historical price patterns would be representative for the future However the share of renewables is growing so typical hourly patterns in 2009 are already quite useless for predicting shapes in 2013 Using 2012 historical data would be better but would not give us enough data and still be quite wrong for later years As a solution it is possible to generate lsquonewrsquo histories of historical price data consistent with future levels of renewables
Market watchers expect renewable capacities in 2015 to be around twice as high as in 2010 It is possible to combine this information with the regression results we create a hypothetical hourly spot price that would have been observed in 2010 if the renewable capacities of 2015 had already been in place The new hypothetical prices are more spiky and can be used to shape the 2015 forward prices Based on data from 19 July 2010 when there was quite a lot of solar production midday the adjustment is shown in the next chart
On a day with relatively a lot of solar production prices during midday (1100-1700) are pushed down most This leads to different patterns in the forward curve In particular it is realistic to assume that the general trend of renewable generation growth is incorporated in the peak and baseload forward prices in the market A forward curve that is arbitrage-free will therefore especially exhibit lower prices during midday but higher prices in the morning hours (800-1100) and especially later in the afternoon (1700-2000) when demand is high and solar production low Because wind is more evenly distributed over the day more wind capacity has a relatively smaller influence on the hourly price forward curve
How this eventually works out on the hourly price forward curve is visible in the next graph showing an average working-day shape for 2018
In this paper we presented a hybrid approach for shaping forward curves our methodology combines fundamental information (about renewable production) with statistical analysis The numbers shown have been estimated with around three years of German market data We also tested with different time windows but parameters were remarkably stable Still it is difficult to say whether the price response to renewables will generally decrease or increase This will largely depend on policy decisions that try to keep enough flexibility in the power system in addition to an increase in (non-flexible) renewable capacity
Shaping the future
Conclusion
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)
datawatch February 2013 In Depth
24Back to Summary
Hourly price forward curves form the basis of pricing any non-standard profile This can be a customer profile or eg the optimal production of a power station With a consistent implementation of renewables in the forward curve building process companies can price contracts and assets more accurately Of course inclusion of renewables in the forward curve building process is not the only important aspect However it is an important one and we hope this paper is a practical contribution of how this can be achieved
HOW RENEWABLES SHAPE THE FUTURE
Conclusion
About ZE PowerGroup IncZE is an experienced software and strategic consulting firm that combines energy industry expertise with advanced software development capability The company possesses deep industry knowledge and comprehensive operational experience ZE is the developer of ZEMA Suite a sophisticated Enterprise Data Management and Analysis solution built to meet the specific challenges of energy and commodity market participants
About ZEMAZEMA is an enterprise data management suite designed for collecting data and performing complex analysis ZEMA replaces fragmented data collection and analysis processes with a sophisticated unified and automated data management system Each ZEMA component can perform as an independent product this means greater flexibility when integrating ZEMA into your organization ZEMA is consistently ranked 1 for preferred system 1 for ease of system integration and 1 for customer service ZEMA is easy to use and backed by our support team around the clock
DisclaimerZE DataWatch is a report comprised of data updates and expectations for energy and commodity markets and powered by ZEMA The information contained in the ZE DataWatch is for information purposes only Although ZE PowerGroup believes the information in this report to be correct and attempts to keep the information current ZE PowerGroup does not warrant the accuracy or completeness of any information Information in this report is not intended to provide financial legal accounting or tax advice and should not be relied upon in that regard ZE PowerGroup is not responsible in any manner whatsoever for direct indirect special or consequential damages howsoever caused arising out of the use of this report
About KYOS
KYOS offers specialized advise on trading and risk management in energy markets Our expert team has years of experience in quantitative modeling The KyCurve software as used in this article is a quant solution for generating price forward curves in a variety of commodity markets Our clients operate the software in-house or subscribe to the curves we produce on a daily basis via wwwpricecurvescom (also available via ZE)