Modification 500 slides for Workgroup Malcolm Montgomery Matthew Hatch.

Modification 500 slides for Workgroup

Malcolm Montgomery

Matthew Hatch

2

Session 1 – Primary Processes

Auction Overview

Process Overview

Joint Booking Platform

Available Firm Capacity

Ascending Clock Auctions

Uniform Price Auctions

3

Content – Further Sessions

CMP Surrender

CMP LT UIOLI

Transfers

Scale backs

Buy backs

Unbundling

Voluntary Bundling

Tariffs & Charging Methodology

Transitional Arrangements

Contingency

User PRISMA Registration

Credit / Invoice / Over-run / Neutrality / Termination / Voluntary Discontinuance

PRISMA

Secondary Processes Supporting Processes

4

CAM/CMP high level auction overview

Surrenders

NG

GE

MIN

IP

RIS

MA

SH

IPP

ER

Oth

er T

SO

Compileauction data

LT UIOLI, Oversubscription

,+Prices

CA

M c

alen

dar

Compileauction data

Surrendercut-off

Calculatebundle

AuctionInvite(s)

Run Auctions

On going Viewauction

Submitbids

Receiveoutcomes

Post auctionprocessing

Receiveinvoices

NG &Shipper inventory

Viewinfo

Publishresults

TO BE DEFINED BY OTHER TSO

TSO informed of bundled/unbundled

split

TSO informed of bundled/unbundled

split

5

Interconnector Capacity & Auctions

Annual Yearly Interconnector Capacity Auction

Annual Quarterly Interconnector Capacity Auction

Rolling Monthly Interconnector Capacity Auction

Rolling Day Ahead Interconnector Capacity Auction

Interruptible Rolling Day Ahead Interconnector Capacity Auction

Within Day Interconnector Capacity Auction

Annual NTS Interconnector Capacity

Quarterly NTS Interconnector Capacity

Monthly NTS Interconnector Capacity

Daily NTS Interconnector Capacity

Interruptible NTS Interconnector Capacity

Daily NTS Interconnector Capacity

Auction Capacity

6

CAMStandard capacity products - auction calendar

Auction Frequency ProductCapacity

Commencing

Start of the

auction

Invitation publication

AllocationAuction

algorithm

Annual Yearly

annually

FirmY1 to Y15

annual strips

1st October1st

Mondayof March

1 month before

auction startsnext

business day

(after the closing

bid window)

Ascendingclock

Annual Quarterly

FirmQ1 to Q4

1st October1st January

1st April1st of July

1st Mondayof June

2 weeks before

auction starts

RollingMonthly

monthlyFirm

monthly tranche

1st day of each month

3rd Mondayof the month

1 week before auction starts

RollingDay ahead

dailyFirm &

InterruptibleD+1

Start of the gas day

Firm 15:30*

Interrupt’ [16:30]

At the start of the auction

30 minutes after the bidding round closes Uniform

price

Within Day hourlyFirm

D

Hour bar +3.5 from end of bid window

D-1[18:00]

After closure of the day

ahead auction

30 minutes after the bidding round closes

* All times are GMT for winter and BST for summer

7

PRISMA

CAM Regulation requires that TSOs offer capacity via a joint web based booking platform.

NG launched open letter consultation on PRISMA.

NG is now signed up as a shareholder of PRISMA along with other TSOs in (NW) Europe.

Users will need to complete Registration on PRISMA before using PRISMA functionalities.

Relevant User data will be exchanged between NGG and PRISMA for the purposes of completing processes within modification 500.

8

NG / PRISMA Processes Overview

User Registration

User Registration

Credit Limit

Credit Sanction

Grid Point Data Maintenance

Add Location

Surrender Request

Surrender Process

Run Auction

Set up Auction

Process Results

Secondary Transactions

Transfers

PRISMA Processes

NG Processes

Assignment

Buybacks

Oversubscription

LT UIOLI

TariffsScalebacks

InvoicingRecall

9

Over-subscription

Available Firm Capacity

LT UIOLI

Surrender

Unsold Technical

NG Available Capacity

Available Bundled

Available Unbundled

PRISMA Adjacent TSO

Available Capacity

NG Technical Capacity = Licence Baseline

10

Technical Capacity Set Asidefor shorter term auctions

Y+6 to Y+15

Y+1 to Y+5

- 20% of Technical Capacity

- 10% of Technical Capacity

Relevant for Annual Yearly Interconnector Auctions only

In the event that technical capacity has sold out to more than 80/90% for a relevant gas year then all remaining unsold technical capacity will be set aside for shorter term auctions.

11

Uneven sold profile over Year Y

SoldQ1

SoldQ2

SoldQ3 Sold

Q4

Unsold‘a’

Unsold ‘b’Unsold ‘c’

Unsold ‘d’

Technical Capacity

(80/90% level)

Technical Capacity made available for the year above in an Annual Yearly Auction = ‘b’

12

CAM Cross border bundling - unsold capacity

Available to ‘bundle’

Available Capacity

NG

Unbundled

Where more available firm capacity exists on UK side – NGG may offer excess as unbundled product

Bundled Capacity

Consists of corresponding entry and exit capacity on both sides of the IP

Cross border bundling of unsold capacity has to be given priority

Unbundled Capacity

Where more available firm capacity exists on one side of an IP, this can be offered as an unbundled product up to 1 year ahead except for matching up to the sold level

Available Capacity

Adjacent TSO(s)

13

Restriction in sale of unbundled capacity (>Y+1)

14

Available Interruptible Capacity

In line with existing UNC provisions.

Entry Release (as per UNC Section B 2.5.10):

Exit Release (as per UNC Section B 3.6.2):

Reverse Flow

An amount equal to the forward flow technical capacity.

Ascending Clock Auctions

16

Ascending Clock Auctions – overview

Allow Users to place volume bids for capacity in bidding rounds at pre-defined prices (starting with the reserve price)

The price increases in each round (by the Large Price Step) until the demand for capacity has reduced such that the bids can be allocated in full

But if a First Time Undersell happens (when aggregate demand is first less than the offered capacity)

a further bidding round will be undertaken with the price equal to the previous round’s price plus the Small Price Step

Users can submit more than 1 bid per round

Total volume of bids in any round from the same User must be less than or equal to the capacity offered in the auction

Bids can be modified or withdrawn up to the close of the relevant bid window

Once the bidding round closes, no changes can be made

17

Auction Invitation

18

Ascending Clock Bid windows

Bid Window

19

Ascending Clock Auctions – Algorithm (1-to-1)

1st round of auction

Capacity offered atReserve price (P0)

Are aggregate bids <=Offered capacity?

Auction Closes

Allocate in full at the Reserve price

2nd and subsequent rounds

Capacity offered atPrevious Round’s price +

Large Price Step

Are aggregate bids =Offered capacity?

Auction Closes

Allocate in full at the Offered price(Previous Round’s price + LPS)

Are aggregate bids <Offered capacity?

First Time Undersell

YES

NO

NO

YES

YES

NO

20

Ascending Clock Auctions – First Time Undersell (1-to-1)

First Time Undersell (FTU)

Capacity offered atPrevious completed round Price + Small Price Step


Auction Closes

Allocate in full at the Offered price(Previous completed round’s price +

SPS)

2nd and subsequent rounds

Capacity offered atPrevious FTU price +

Small Price Step


Auction Closes

Allocate in full at the Offered price(Previous FTU price + SPS)

YES

NO

YES

NO

Iterate round until Offered price is equal to price which led to FTU occurring - SPS

Auction will then close at this point, with capacity allocated at price which led to FTU occuring

21

Auction in Progress example screen - 1

22

Auction In Progress example screen - 2

23

Ascending Clock example (1)

Shipper Qty

A 100

B 90

C 50

The available quantity is 200.

Applicable Price for round 1 is equal to the reserve price

Shipper bids are as follows

The bid demanded in round 1 is 240

This is greater than the available, so the auction progresses to the next round and the price increments by 1 large price step.

24


This is greater than the available, so the auction progresses to the next round and the price increments by 1 large price step.


Shipper Rd 1 Rd 2

A 100 90

B 90 85

C 50 45

Applicable Price for round 2 is equal to the reserve price + 1 Large Price Step.

Shipper bids are as follows.

Note: Rd 2 quantities must be less than or equal to the Rd 1 quantity

25

Applicable Price for round 3 is equal to the reserve price + 2 Large Price Step.



Shipper Rd 1 Rd 2 Rd 3

A 100 90 80

B 90 85 75

C 50 45 35


This is less than the available for the first time

so the auction progresses to the next round and the price decrements by 1 large price step and increments by 1 small price step.

Note: Rd 3 quantities must be less than or equal to the Rd 2 quantity

26

Applicable Price for round 4 is equal to the reserve price + 1 Large Price Step + 1 small price step.



Shipper Rd 1 Rd 2 Rd 3 Rd 4

A 100 90 80 86

B 90 85 75 81

C 50 45 35 41


This is greater than the available so the auction progresses to the next round by 1 small price step.

Note: Rd 4 quantities must be between Rd 2 and Rd 3 quantities

27

Applicable Price for round 5 is equal to the reserve price + 1 Large Price Step + 2 small price steps.



Shipper Rd 1 Rd 2 Rd 3 Rd 4 Rd 5

A 100 90 80 86 83

B 90 85 75 81 77

C 50 45 35 41 36


This is less than the available, but not for the first time, so the bids for round 5 are allocated in full.

4 units of capacity remain unsold.

Note: Rd 5 quantities must be between Rd 3 and Rd 4 quantities.

28

Ascending Clock Auctions – Prices paid

The User pays the cleared price for the capacity as determined through the auction algorithm

Set at the reserve price plus the relevant auction premium (multiples of the LPS and/or SPS as relevant)

If the auction is for unbundled capacity, National Grid NTS invoices the User for the cleared price obtained in the auction

If the auction is for bundled capacity, National Grid NTS invoices the User for its share of the cleared price obtained in the auction

[Determined by the reserve price plus the relevant multiples of the LPS/SPS]

Uniform Price Auctions

30

Uniform Price Auctions – overview

There is a single bidding round in which Users bid a price as well as a quantity

Users can submit up to 10 bids

Multiple bids from the same User are treated independently

Total volume of bids from the same User must be less than or equal to the capacity offered in the auction

Bids can be modified or withdrawn up to the close of the relevant bid window

Once the bidding round closes, no changes can be made

Only Daily or Within-Daily Capacity is offered

31

Daily Auction Bid Windows

32

Uniform Price Auction Invitation (unbundled)

33

Uniform Price Auction Invitation (bundled)

34

Uniform Price Auctions – Algorithm (1-to-1)

Uniform Price Auction

Capacity offeredUsers bid quantity and price

Bids are ranked in price order, highest first


Auction Closes

Allocate in fullUsers pay clearing price

Are all the bids allocated in full?

NO

YES

YES

Allocate capacity to

highest priced bids first

up to available capacity

All users pay the clearing price, set as follows:

•if demand is less than offered capacity, the clearing price is the reserve price or

• if demand is above offered capacity, the clearing price is the price of the lowest successful bid

Auction Closes

Allocate in fullUsers pay clearing price

Allocate remaining available

capacitypro-rated to

remaining bids*

Auction Closes

Some users have beenallocated in full, some

pro-ratedUsers pay clearing price

NO

* Providing the pro-rated amount is above the Users’ minimum quantity submitted

35

Uniform Price Example (1)

Available quantity for auction is 400.

3 Shippers enter 6 bids.

At the end of the auction then all bids are sorted by price.

Bids at the same price create a bid price group

Shipper Qty Min Qty Price

A 100 100 4

B 50 20 4

A 70 1 3

C 80 5 2

B 150 10 2

C 150 1 1

36

Uniform Price example (2)

Shipper Qty Min Qty Price Provisional allocation

Remaining capacity

Group < supply?

A 100 100 4 100

50

400

B 50 20 4

A 70 1 3 70 250

C 80 5 2 80

150

180 x

B 150 10 2

C 150 1 1 0 0 n/a

Pro-rate 3rd bid group to reduce bid group quantity (230) down to the remaining available capacity for that group (180)

37


So after pro-ration the bid for 80 is reduced to 62.6 and the bid for 150 is reduced to 118.4


Min < pro-rated qty?

A 100 100 4 100

50

B 50 20 4

A 70 1 3 70

C 80 5 2 62.6

118.4

B 150 10 2

C 150 1 1 0 n/a

If pro-rated bids > min requested quantity then allocation is complete.

38




A 100 100 4 100

50

B 50 20 4

A 70 1 3 70

C 80 5 2 62.6

118.4

xB 150 150 2

C 150 1 1 0 n/a

If pro-rated bids < min requested quantity then bid is ‘killed’.

39


Bid stack is re-evaluated with any ‘killed’ bid(s) reduced to zero.

Shipper Qty Min Qty

Price Provisional allocation

Remaining capacity

Group < supply?


Final allocation

A 100 100 4 100

50

400 100

50B 50 20 4

A 70 1 3 70 250 70

C 80 5 2 80

0

180

x

80

0B 150 50 2

C 150 1 1 150 100 x 100

40

Uniform Price Auctions – Prices paid

The User pays the cleared price for the capacity as determined through the auction algorithm

If the auction is for unbundled capacity, National Grid NTS invoices the User for the cleared price obtained in the auction

If the auction is for bundled capacity, National Grid NTS invoices the User for its share of the cleared price obtained in the auction

Determined from the National Grid NTS applicable reserve price plus a [50%] share of the auction premium

Post Auction

42

Post Auction Reporting

Aggregate auction results will be published on the Joint Booking Platform.

Individual auction results will be sent directly from the Joint Booking Platform to Users.

In addition to this:

Auction information will be viewable on Gemini;

Net entitlements will be updated and viewable on Gemini.

43

View Aggregate Uniform Price Details - 1

44

View Aggregate Uniform Price Details - 2

45

Additional Info in case of competition - 1

46

Additional Info in case of competition - 2

47

View Aggregate Ascending Clock Details - 1

48

View Aggregate Ascending Clock Details - 2

49

Individual Auction Result Info from PRISMA

TSO

Auction ID

Deal ID

Product

Network Point Name

Network Point ID

Direction of gas flow

Market Area

Category (bundled/unbundled)

Quantity

Capacity Period

Type of gas

Regulated Tariff

Surcharge

Total (clearing) price

Split factor (uniform price)

User details (i.e. User who placed bid)

50

Post Auction processing by National Grid

Allocate bundled results first:

Unsold > Surrenders > LT UIOLI > Oversubscription

Then allocate unbundled results:

Remaining unsold > remaining surrenders > remaining LT UIOLI > remaining oversubscription

This way all unsold must be used before re-allocating surrenders; all surrenders before LT UIOLI; and all LT UIOLI before non-ob.

unsold Surrender LT UIOLI Non-Ob

U S L O

Auction results come back from PRISMA.

- Bundled bid demand

- Unbundled bid demand

Next Steps

52

Next steps

Date for next Workgroup

Content for future Workgroup sessions

Feedback from this session

AOB

53

National Grid UNC Mod (CAM & CMP adaptations)Initial Estimated Timescales

Jun 14 Jul 14 Aug14

Modification WG

development

UNC Panel Vote on

FMR and submission to Ofgem

Modification WG

development

Nov 14Oct 14Sep 14

Ofgem Decision

Dec 14

EUWorkgroup

Modification WG

Development

Modification WG development

EU Workgroup

Consultation

Nov 15

Implementation Date

May 14

Draft CAM Mod shared with EU WG

Modification raised at UNCPanel

Modification WG

Development

Finalise WG Report and submit to

Panel

UNC Panel to review

WG report and issue to consultation

Feb 15Jan 15

1 M

ay

15 M

ay

5 Ju

n 3 Ju

l

7 A

ug 4

Sep

2 O

ct

Feb

1st N

ov*

20 N

OV

18 D

EC

6 N

OV

*W.E.F 1st November 2015

Modification 500 slides for Workgroup Malcolm Montgomery Matthew Hatch.

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Transcript of Modification 500 slides for Workgroup Malcolm Montgomery Matthew Hatch.