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August 12, 2016

Nord Pool At A Glance 
ELSPOT Day-Ahead Market, N2EX Day-Ahead Market, Nord Pool Spot (Intraday) Market 

Dr. Okan YARDIMCI
August 2016

The information provided in this document is intended for informational purposes only and is subject to change.

ELSPOT Day-Ahead Market

Region: The Nordic and Baltic
Authorized by: Nord Pool is authorized by Norwegian Water Resources and Energy Directorate to organize and operate the Physical Markets
Number of members: 324 (as of 2016)


Order types: single hourly orders (price independent or price dependent), block orders (regular or profile), flexible hourly orders, combination of all three, exclusive group
Purchases are designated as positive numbers, sales as negative numbers
Official trading currency: Euro (Nord Pool offers a currency service for NOK, SEK or DKK; but settlement is in Euro. Currency service fee is 0,01% of traded value)
Volumes: MWh (trade lot: 0,1 MWh)
Lower & upper technical price limits: -500 Euro/MWh, 3000 Euro/MWh (price tick: 0,01 Euro/MWh)
Price dependent single hourly order: 62 price steps & linear interpolation of volumes between adjacent pair of submitted price steps
Block order: at least three consecutive hours within the same day (same for the regular and profile block orders)
Minimum acceptance ratio of the block orders: curtailment is applicable (all-or-nothing or partially acceptance)
Linking block orders: parent-child-grandchild (maximum of three child blocks can be connected to a parent block. Each child block can be connected to maximum three grandchild blocks)
All linked block orders must be either only sales or only purchase blocks
Exclusive group: cluster of sell and/or buy blocks
It is not possible to link block orders within an exclusive group
Duration of orders: up to 12 days ahead
Gate closure: 12:00 CET (for the orders with the delivery next day)
Publication of prices: the system and area prices are calculated and published at 12:42 CET or later with a four minute notice
Reserved time for the service breaks: 17:00-18:00 CET
Price calculation algoritm: Euphemia
Software: the internet based electronic trade system is SESAM (Nord Pool Spot’s day ahead trading system)
Objective function: The SESAM calculation is based on an application of the social welfare criterium (maximisation of the difference between consumers’ utility and producers’ costs + constraints) in combination with market rules. SESAM is maximising the value of the objective function subject to physical constraints; like volume constraints, area balances, transmissions and ramping constraints.
Social welfare definition: Social welfare means a quantification to assess the potential implications of alternative policy options, including a consideration of the additional economic benefit or costs, defined as the sum of the additional individual benefits and costs which are expected to be accrued due to th implementation of the respective policy options compared to the status quo.
Reference price: system price (unconstrained market clearing price)
Bidding areas: 15 (as of April 2016)
Norway (NO1-NO5), Sweden (SE1-SE4), Finland, Denmark (DK1 and/or DK2), Estonia (EST) Lithuania (LT, LBE, LBI,and/or LKAL) or Latvia (LV, LRE and/or LRI)
Price according to the transmission capacities and congestions: area price
Ramping restrictions: 600 MW
Loss factor: 3,2% on NordNed (Norway-Netherland), 2,4 on Baltic Cable
Colleteral: Minimum colleteral is 30.000 Euro or equivalent to one week’s worth of trading for trading on both day-ahead and intraday markets, including VAT,excluding traing fees.
Colleterals are monitored through the security report. This report is distributed as a pdf attachment to an e-mail in the morning of every clearing day. One of the columns in the security report is named collateral call. The total collateral that has to be available is stated in that column. The collateral has to be available before 11:00 CET on the same day.
Central Counterparty: Nord Pool Spot AS
Settlement: Day 0, 14:00 – 16:00 CET, Nord Pool Spot AS conducts settlement of physical –market trade and dispatches invoices/credit to participants. Day 1, 07:30 – 08:00 CET, security reports. Day 1, 08:00 CET, Nord Pool Spot AS submits electronic payment files. Day 1, no later than 11:00 CET, minimum required balance should be available. Day 2, currency translation and payment of self billing invoices.
Fees: Variable fee: 0,04 Euro/MWh. Corresponding fee for the intraday market: 0,11 Euro/MWh. Settlement fee day-ahead and intraday: 0,006 Euro/MWh (500.000 Euro ceiling per member per country for the settlement fee). Gross volume fee: 0,0035 Euro/MWh (150.000 Euro ceiling per calendar year for the gross volume fee). Currency service fee for trading in local currency (SEK/DKK/NOK): 0,01% of traded value. Participant day-ahead and intraday (Elspot and Elbas): 18.000 Euro/year. Participant day-ahead and intraday (Elspot, Elbas and N2EX): 29.000 Euro/year. Additional country Access/portfolio: 1.500 Euro/year. Day-ahead (Elspot) small participants: 0,13 Euro/MWh. Additional trading token (non-recurring): 100 Euro/device. Clients day-ahead and intraday: 1.500 Euro/year. Annual Gross Bidding service fee for Clients: 3.000 Euro/year. Annual fixed fee electronic transmission of intraday (Elbas)data or report per country: 1.000 Euro. View only licence intraday (Elbas): 10.000 Euro. Intraday (Elbas) trade cancellation fee: 1.000 Euro. 


N2EX Day-Ahead Market

Region: The UK
Authorized by: Nord Pool is authorized by Norwegian Water Resources and Energy Directorate to organize and operate the Physical Markets
Number of members: 57 (as of 2016)
Order types: single hourly orders (aka single orders or hourly orders) (price independent or price dependent), block orders (linked, profiled or curtailed), flexi orders (aka flexible orders), combination of all three, group block orders
Buy orders are positive and displayed as black on SAPRI software, sell orders are negative and displayed as red on SAPRI software.
Official trading currency: GBP (Pound Sterling)
Volumes: MWh (trade lot: 0,1 MWh)
Lower & upper technical price limits:  -500 GBP/MWh, 3000 GBP/MWh (price tick: GBP 0,01/MWh)
Price dependent single hourly order: 200 price steps & linear interpolation of volumes between adjacent pair of submitted price steps
Block order: maximum amount of block orders: 80 block orders per portfolio per delivery day, at least two consecutive hours within the same day.
Volume Weighted Average Price (VWAP) determines whether the block is accepted or not
Maximum volume per block: 500 MW
Minimum acceptance ratio of the block orders: temporarily suspended (as of April 2016), all-or-none
Linking block orders: parent-child-grandchild (a child order can only be linked to one parent order, a grandchild order can only be linked to one child order, a block order cannot be linked to a flexi order or vice versa, order A-B and C can span any set of hours independently of each other, order A-B and C can have any order price independently of each other, the number of link levels must not exceed three, a paren tor child order can have up to three child or grandchild orders, circular link chains are not allowed, if the parent block is curtailable the child block can only be accepted to the same ratio as its parent, a family of linked blocks can be accepted even though the parent block is out of the money if the child blocks provide sufficient surplus to compensate for the loss of the parent)
Flexi order: maximum amount of flexi orders per portfolio: 3, maximum volume per order is 500 MW
Group block order: maximum amount of group block orders per portfolio: 3, maximum amount of block orders per group: 15, maximum volume per order is 500 MW
Duration of orders: every Tuesday contracts for the following week will be listed in SAPRI. In effect the day-ahead market will have between 7-14 days open for bidding at any given time.
Gate closure: 11:00 GMT/BST
Publication of prices:
11:42 GMT/BST: preliminary auction results are publishing
11:55 GMT/BST: final confirmation of results
11:10 – 11:40 GMT/BST: price thresholds have been implemented to allow members to adjust their orders if the prices outturns below -150 GBP or above 500 GBP. When the price in any one hour breaches these thresholds it will trigger a secod auction. Therefore, the publication of the Market Coupling Results is delayed.
Price calculation algoritm: Euphemia
Software: SAPRI trade client and CONDICO clearing station
Objective function: The SESAM calculation is based on an application of the social welfare criterium in combination with market rules. SESAM is maximising the value of the objective function subject to physical constraints; like volume constraints, area balances, transmissions and ramping constraints.
Maximisation of the difference between consumers’ utility and producers’ costs.
Reference price: system price (unconstrained market clearing price)
Colleteral Call: min (Daily Margin Call + Extraordinary Margin Call – Daily Overnight Position Exposure Short; Base Colleteral Call + Extraordinary Margin Call)
Central Counterparty: Nord Pool Spot AS
Settlement: delivery day for buy positions, delivery day+1 for sell positions
Fees: Application rates are offered to Partcipants and Account Holders on the N2EX Market only. Participant (N2EX market only): 13.400 GBP. Participant (N2EX market, intraday only): 8.000 GBP. Participant (N2EX market and Nord Pool markets): 21.500 GBP. View only licence: 7.500 GBP. Client agreement: 4.000 GBP. Combined trading and clearing: 0,0200 GBP/MWh. ECV notification (net fee per energy account): 0,0006 GBP. Gross volume fee: 0,0035 GBP/MWh (maximum gross volume fee: 60.000 GBP per year). Combined trading and clearing on spot market: 0,0240 GBP/MWh (transaction matched and registered before 19:00 on D-1). Combined trading and clearing on spot market: 0,0500 GBP/MWh (transaction matched and registered after 19:00 on D-1). Additional trading portfolio auction market: 1.000 GBP. Additional or new RSA SecurID token: 250 GBP. Additional intraday portfolios: 1.100 GBP/year. Additional Vasko token for intraday: 75 GBP. Spot market cancellation fee: 1.000 GBP.


Nord Pool Spot (Intraday) Market (aka ELBAS)

Region: The Nordic/Baltic, Germany and the UK
The spot market runs on the Nord Spot Intraday Trading system
Authorized by: Nord Pool is authorized by Norwegian Water Resources and Energy Directorate to organize and operate the Physical Markets
Number of members: 150 (as of 2016)
Available order types: limit (matching either for the full volume or for a part of the volume, aka fill), immediate-or-cancel (immediately match for as much of the order volume as possible and then cancelled, aka IoC), fill-or-kill (immediately match for the whole order volume or cancelled, aka FoK)
Orders may be sales or purchase
Orders may be hourly (partly accepted – all or some) or block (only all-or-nothing)
Suspended order types: all-or-nothing (matching only for the full volume), iceberg order (other participants can only see the first clip of the order)
Quotation method: continuous trading during trading hours, first-come-first served basis where the lowest sell price and highest buy price take priority
Trading close to delivery hour: members can adjust their positions close to delivery hour (up to 5 minutes). Gate closure (time interval before start of physical delivery until which trades can be conducted) of Belgium and The Netherlands: 5 minutes; Germany: 30 minutes; Denmark, Estonia, Fİnland, Latvia, Lithuania,Norway and Sweden: 60 minutes; The UK (75 minutes for the half hour product-76 minutes for the power hour product)
Official trading currency: Euro (UK operates with different rulebook to other Nord Pool Spot market areas. It is GBP (Pound Sterling) for the UK)
Trade lot: 0,1 MWh
Tick size: 0,1 Euro/MWh (it is GBP 0,01/MWh for the UK)
Available products: half hour, 1 hour (aka power hour)
Suspended products: 2 hour block, 4 hour block, day overnight, block 3+4, day peak, day off-peak, day extenden peak, day base
Software: Intraday Web and ELBAS 4 (for the all members in the UK, Nordics, Baltics and Germay). ELBAS (Electricity Balance Adjustment System) is used under licence by APX for the intraday markets in the Netherlands and Belgium. The NorNed cable connects APX’ and NPS’ markets for intraday trading on Elbas
Application Programming Interface Fee: Intra-day API: 5.000 Euro/Year; REMIT API: free for NPS/N2EX members
Colleteral: Minimum colleteral is 30.000 Euro or equivalent to one week’s worth of trading for trading on both day-ahead and intraday markets, including VAT,excluding traing fees.
Central Counterparty: Nord Pool Spot AS
Settlement: delivery day +2 for buy positions, delivery day+3 for sell positions
Fees: Variable fee: 0,04 Euro/MWh. Corresponding fee for the intraday market: 0,11 Euro/MWh. Settlement fee day-ahead and intraday: 0,006 Euro/MWh (500.000 Euro ceiling per member per country for the settlement fee). Gross volume fee: 0,0035 Euro/MWh (150.000 Euro ceiling per calendar year for the gross volume fee). Currency service fee for trading in local currency (SEK/DKK/NOK): 0,01% of traded value. Participant day-ahead and intraday (Elspot and Elbas): 18.000 Euro/year. Participant day-ahead and intraday (Elspot, Elbas and N2EX): 29.000 Euro/year. Additional country Access/portfolio: 1.500 Euro/year. Day-ahead (Elspot) small participants: 0,13 Euro/MWh. Additional trading token (non-recurring): 100 Euro/device. Clients day-ahead and intraday: 1.500 Euro/year. Annual Gross Bidding service fee for Clients: 3.000 Euro/year. Annual fixed fee electronic transmission of intraday (Elbas)data or report per country: 1.000 Euro. View only licence intraday (Elbas): 10.000 Euro. Intraday (Elbas) trade cancellation fee: 1.000 Euro. 

Ref: Nord Pool Documents and Website

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