Challenges for Future Price Modelling - AKTUELLES · Challenges for Future Price Modelling ......

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Challenges for Future Price Modelling

European Forum on Electricity PricingBerlin, 27th of May, 2013

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The FfE

The expansion of RES

The influence of RES on German Power Markets Day-Ahead Intraday Control Reserve

Summary

Outlook: Modelling the residual load - A top-down approach

Agenda

33

Company Portrait

Founded in 1949 Located in Munich since 1969 Members from power industry, industry as well as science Independent institution which deals with current questions in power engineering

and economics Post-graduate education of more than 300 scientists since 1949

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What do we do?

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Executive Committee and Management

Dipl.-Ing. Stephan Schwarz (Chairman)Stadtwerke München GmbH, Managing Director Utilities and Technology

Dr. Werner Brinker (Vice Chairman)CEO of the EWE AG, Oldenburg

Prof. Dr. Wolfram Münch (Vice Chairman) EnBW AG Karlsruhe, Director Research and Development

Prof. Dr.-Ing. Ulrich Wagner (Scientific Director)DLR Cologne, Member of the Executive Board, Director of Energy and Transport

Prof. Dr.-Ing. Wolfgang Mauch (Managing Director)Research Center for Energy Economics, Munich

Executive Committee

Management

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Elected Managing Committee

Dipl.-Ing. Dipl.-Wi.-Ing. Karl-Heinz BackhausVaillant GmbH, Remscheid Director of Association

Dr. Marcus BolligBMW Group, MunichVice President Efficient Dynamics

Dr. Udo BrockmeierStadtwerke Düsseldorf AGCEO

Dr. Frank-Detlef DrakeRWE AG, EssenDirector Research and Development

Dipl.-Ing. Martin FuchsTenneT TSO GmbH, BayreuthCEO

Dipl.-Ing. Erik HöhneENERVIE AG, HagenDirector Technology

Dr. Frank MayVattenfall Europe Wärme AG, BerlinCEO

Dipl.-Ing. Helmut MennelIllwerke vkw, BregenzMember of the Executive Board

Dipl.-Ing. Michael RiechelThüga AG, MunichMember of the Executive Board

Dr. h.c. Norbert SchürmannLEW AG, AugsburgMember of the Executive Board

Dr. Thomas UnnerstallN-ERGIE AG, NurembergMember of the Executive Board

Dr. Egon WestphalE.ON Bayern AG, RegensburgMember of the Executive Board

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The FfE



Summary


Agenda

88

The expansion of RES - Germany

Tremendous increase of solar-capacity during last 3 years, in average 7.5 GW/year.

Wind capacity increase approx. 2 GW per year. In the next years weestimate a growth of at least 3 GW per year.

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The expansion of RES - Europe

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DE AT BE CZ DK FR GB IT NL PL SE

Installed Capacity of RES in GW

2020

2013

Data: ScenarioOutlookAndForecast 2013 – EU2020Secenario

1010

Thesis

Renewables change the nature of pricemodelling

Question

Are there already visible effects on pricebuilding mechanisms due to the significant increase

in renewable power?

The expansion of RES and its consequences for power markets

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The FfE


The influence of RES on German Power Markets* Day-Ahead Intraday Control Reserve

Summary


Agenda

* Data in scatter plots from 2012

1212

Day-Ahead-Analysis

Price follows predominantly the residual load Several occurences of negative prices

Conclusion: No predominant influence of RES in price building mechanism visible

1313

Events of negative prices

DA-Price = Day-Ahead Price, Data-Source: transparency.eex.com

Extrema of the day in GWSolar Wind Coal Lignite Nuclear

Min 0 10.229 1.147 9.186 8.564Max 4.843 18.416 2.506 12.258 11.121

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Schemes of Remuneration

The German Renewable Energy Act offers choice of the scheme of remuneration for feed-in as of 2012.

* +/-+=

=Earnings by Feed-In-Tariff

-

+

=

*

Earnings by Direct Selling

Feed-In

Revenue at EEX Market Bonus Feed-In

Imbalance Energy

Payments

Management Bonus

Remuneration for Feed-In Rate

Monthly Weighted Average Price

Remuneration for Feed-In Rate

1515

Change in Management-Bonus

Management-Bonus in ct/kWh2012 2013 2014 2015

Biomass, Hydro and others 0,3 0,275 0,25 0,225Wind and Solar w.o. remote control 1,2 0,65 0,45 0,3Wind and Solar w. remote control - 0,75 0,6 0,5

Feed-In cut-off-Price: Market-Bonus >= Day-Ahead-Price

25.12.2012: Prices should not have fallen below: -81 €/MWh

12.00 €/MWh91.00 €/MWh 21.98 €/MWh 81.02 €/MWh

-+Management

BonusRemuneration

for Feed-In RateMonthly Weighted

AverageMarket Bonus=

-+ =

1616

Development in the capacity of Direct-Selling

Hydro Gas Biomass Wind Offshore Solar Total in MWJan 2012 344 67 933 12.062 48 59 13.513Jun 2012 392 42 1.433 19.884 238 828 22.817Nov 2012 445 43 1.836 23.409 308 1.961 28.002Apr 2013 451 57 2.328 24.484 333 3.012 30.670

1717

The FfE


The influence of RES on German Power Markets* Day-Ahead Intraday Control Reserve

Summary


Agenda

* Data in scatter plots from 2012

1818

Intraday-Analysis

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Day‐Ahead‐Price in €/MWh

©FfE MOS-KOSI_00048

Day-Ahead and average Intraday-Prices still correlate quite well in 2012

still enough short-term flexibilityavailable

Increase in traded ID-Volume until 2011 2012 ID-Volume decreased although

volatile RES-Production increased by15 %

Conclusion: No predominant influence of RES visible

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EEXEPEX


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y = 0,0035x + 43,117

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Day‐Ahead ‐ Intraday Error in MW


Intraday-Analysis

ID-Price correlates with DA–ID-Error Gradient of 0.0035 (€/MWh) / MW

Traded volume increases with DA-ID-Error

Conclusion:An ID-variaton of the demand approximately doubles the slope ofthe regression line „price vs. residual load“ compared to „DA-Price vs. residual load“ (for comparison see slide 12)

Day-Ahead – Intraday Error = DA-Prognosis – ID-Prognosis

y = 0.4152x + 1205

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Intraday – AnalysisMonthly evolution of price range

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Increase of gap between Intraday-High-Price and Intraday-Low-Price

Conclusion: Increase of price risk in intraday-market

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Day-Ahead- & Intraday-Error

Feed-In > 15 GW no increase in max. DA-Prognosis error

Intraday-prognosis improvementcompared to Day-Ahead-prognosis

Conclusion: (1) A simple extrapolation of the expected error yields

wrong conclusions(2) The improved intraday prognosis still shows strong

deviations at several points

‐8‐6‐4‐202468

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Exan

te‐Expost in GW

Wind+Solar‐Production in GW

©FfE MOS_00111

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The FfE



Summary


Agenda

2323

Market for Control Reserve - Volume

Conclusion:The Optimised Cooperation of Transmission System Operators (01.05.2010)

reduces the total market volume

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©FfE BMWi-10#A PiV-Opt_eV_00029

SCR/TCR = Secondary / Tertiary Control Reserve

2424 c

Secondary Control Reserve (SCR) – Accepted Volume

The average accepted volumedecreases for neg. and pos. SCR.

2011 and 2012 saturation in decrease

Pos. SCR: Revenue correlates withaccepted volume

Neg. SCR: Revenue anticorrelateswith accepted volume

Conclusion:The Optimised Cooperation of Transmission System Operators (01.05.2010)

reduced the average accepted volume.

2525 c

Tertiary Control Reserve (TCR) – Accepted Volume

Pos. TCR-Volume: constant decrease Neg. TCR-Volume: slight increase

Revenue from capacity fee correlateswith the accepted volume

Conclusion:If there is an effect of the Optimised Cooperation of Transmission System Operators (01.05.2010) it is only visible for the positive TCR

2626 c

Secondary Control Reserve (SCR) – Activated Volume

15 Minute avg. Activated Vol.

Min Max2008 -2627 26652009 -2860 26742010 -2506 29072011 -2281 23372012 -2245 2111

Conclusion:If there is an increase in the average activated volume due to RES itmight be covered by the effect of the Optimised Cooperation ofTransmission System Operators (01.05.2010)

Positive SCR-Volume: decreases Negative SCR-Volume: fluctuates with

a decreasing tendency

Decline in min and max values

2727 c

Tertiary Control Reserve (TCR) – Activated Volume

15 Minute avg. Activated Vol.

Min Max2008 -2229 14672009 -2437 22882010 -2903 21712011 -2578 22442012 -2491 2426

Slight increase of the maximum anda more or less constant minimum.

Positive TCR-Volume increases Negative TCR-Volume fluctuates with a

decreasing tendency starting from 2009

Conclusion:If there is an increase in the average activated volume due to RES itmight be covered by the effect of the Optimised Cooperation ofTransmission System Operators (01.05.2010)

2828 c

Secondary Control Reserve (SCR) - Prices

Positive SCR: slight increase Negative SCR: constant low positive

price pay for consumption

Positive SCR: constant decrease Negative SCR: increase until 2010 and

since 2011 decreasing

Conclusion:No drastic change in prices. We even see a reduction in revenues. This might be due to a change in minimum supply offer from 10 to5 MW and hence more market players.

2929 c

Tertiary Control Reserve (TCR) - Prices

Pos. TCR revenues decrease Neg. TCR revenues ≈ constant

Pos. TCR revenues ≈ constant Neg. TCR revenues increase

significantly receive money for consumption

Conclusion:Except for pos. TCR revenues from capacity fee there is no evidencethat the change in minimum supply offer from 15 to 5 MW has an influence on the prices.

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The FfE


The influence of RES on German Power Markets Day-Ahead Intraday Ancillary Services

Summary


Agenda

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The biggest challenge for price modelling and trading will be:

(a) to estimate the value of flexibility in Intraday-Trading

(b) to know how fast a new framework like Direct-Selling and the Optimised Cooperation of TSO’s will influence the market in which way.

(c) to know threshold values of RES-production when prices will strongly be influenced by every extra gigawatt.*

Summary

*not part of this presentation

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The FfE



Summary


Agenda

3333

Outlook – Modelling the residual load - A top-down approach

Thesis:Apart from RES-Scenarios the development of international

transfer capacities is most important for modelling the residual load.

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Sum of all Countries in GW

At the same time in GW

Export Import Export Import SaldoPhysical Flow 2012 20 25 13 9 11Cross-Border-Schedules 2012 18 20 14 12 12NTC 2012 101 151 101 141 -NTC 2023 (NEP) 29 31 - - -NTC 2033 (NEP) 41 41 - - -

Peak Values of Exchange-Data in Germany

1 The NTC values between Germany and Austria are not published by EntsoE. On top data for Sweden is missing. This can explain the differences between the CBS and the physical flow values.2 Calcultated via linear extrapolation

Flow-based NTC determination

Increase in transfer capacities

Examplary export capacities in GWNTC CBS Delta

2012 20 12,02012 (flow based) 14,4 + 2,4 GW2023 30 21,62 + 9,6 GW

Drastic increase in cross-border trading?

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Simplified Determination of the Residual Load

=Residual Load - WindLoad - Solar + Saldo of CBS*

*CBS : Cross-Border Commercial Schedules*NPP (sc) : Decommissioning of Nuclear Power Plants scenario*ITC (sc) : Installed Transfer Capacity scenario

=Maxmial Saldo of CBS - NPP (sc)*CBS (2012) + Solar (sc) -

Solar (2012) + Wind (sc) -Wind (2012)

Determination of the Residual Load for a given scenario:

=Saldo of CBS (sc) min(max(Maxmial Saldo of CBS, -ITC (sc)*), ITC (sc)*)

Determination of the Residual Load :

=Residual Load (sc) Load (2012) Wind (sc)- Solar (sc)- Saldo of CBS (sc)+

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Residual Load scenario


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CBS scenario©FfE MOS-KOSI_00078

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Residual Load 2012Residual Load scenarioResidual Load scenario incl. PP evolution


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CBS scenario

CBS scenario incl.PP evolution


CBS = Cross-Border Commercial Schedules

Scenario for 2017:

• Installed wind capacity: 40 GW• Installed solar capacity: 40 GW

• Installed Transfer Capacity: + 1.5 GW• NPP-Decomissioning: - 2.5 GW


Scenario:Export balance of 13 TWh

Scenario including power plant evolution:Export balance of 62 TWh

• Newly installed power plants: 6 GW

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CBS scenario

CBS scenario incl.PP evolution


cCBS = Cross-Border Commercial Schedules

Scenario for 2022:

• Installed wind capacity: 60 GW• Installed solar capacity: 60 GW• Newly installed power plants: 6 GW• Installed Transfer Capacity: + 1.5 GW• NPP-Decomissioning: - 12.5 GW


Scenario:Export balance of -47 TWhScenario including power plant portfolio:Export balance of 2 TWh

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Starting 2020, the change of theMerit Order gets more important

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Why to use this approach?

Quick-and-dirty estimation of influences of expansion scenarios and change in transfer capacities on the residual load

Depending on how the addition is chosen of extra feed-in by renewables you get min-/max-Scenarios for the flattening of the residual load.

It can be referenced with complex models

The approach is only valid for timescales of about 10 years as the power plant portfolio is more or less stable on this timescale

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Thank you for your attentionand the support of

Christoph Pellinger: [email protected] / +49-89-158-121-70

Challenges for Future Price Modelling - AKTUELLES · Challenges for Future Price Modelling ......

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