A) Activity in the over-the-counter market (OTC)
A great part of the wholesale activity in the electricity market takes place over-the-counter (OTC), through direct transactions or through intermediaries (brokers and trading platforms). The total volume of OTC transactions is not public. CRE issues aggregated volumes on transactions through intermediaries (see: Electricity indicators).
The following graph shows block exchange nominations of companies to RTE. These numbers do not represent the volume of transactions during the period, but net physical deliveries between companies resulting from transactions in the OTC market.
Volume of net deliveries resulting from OTC transactions
0 2 4 6 8 10 12 14 16 18 20 22 24 26
Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11
TWh
Sources: TSO – Analysis: CRE
Volumes of block exchange nominations resulting from OTC transactions were of 74.7 TWh in 2011 Q1, a 2% increase compared with the previous quarter and a 11% increase compared with the same quarter last year. These volumes represented about 52% of national consumption in the first quarter 2011, similar to the previous quarter but higher than in the first quarter 2010 (44%).
B) Trading trends on the French intermediated market
The French intermediated market covers trading executed on organised markets and brokerage venues (intermediated OTC). Trends commented below can be observed in the section Development of trading in France of the indicators published by CRE.
Overview of trading in the first quarter 2011 Spot products
21.1 TWh were exchanged on the spot market during the 1st quarter 2011 through around 14,000 transactions. Trading slightly increased compared with previous quarter in volumes (+4%) but the number of trades decreased by one third. Similar changes are noted compared to the first quarter 2010: +2% in volumes and -42% in liquidity.
On the day-ahead market volumes increased by 5% compared with the previous quarter and by 3%
compared to 2010. This is the result of a strong increase in volumes traded on the exchange (+17%
compared to 2010 Q4) combined to a sharp drop in volumes traded through brokers (-23%).
As a consequence, there was an increase in the share of spot volumes traded on the exchange from 70% in 2010 Q4 to 78% in 2011 Q1.
Futures and forwards9
During the 1st quarter 2011, 150 TWh of futures products10 were traded. It means an increase by 4%
compared with the previous quarter and by 5% compared with the 1st quarter of 2010.
Almost all trading is done on brokerage venues since EPD France only represents 6% of volumes and transactions. The increase in activity on futures and forwards is due to a progression on brokerage venues (+5% in volumes and +19% in number of trades) whilst it decreased on the organised market (respectively -6% and -17%).
From one year to another, volumes traded increased by 5% (+6% on brokerage venues and -14% on EPD France) whilst liquidity slightly decreased by 2% (-2% on the brokerage market segment and -4%
on the exchange).
Traded volumes by product on the French wholesale electricity markets
0 100 200 300 400 500 600 700 800
2008 2009 2010 Q1 2010 Q1 2011
Volumes in TWh
Intraday Day-ahead Week-end Weekly Monthly Quarterly Yearly Others 696 TWh
754 TWh
656 TWh
198 TWh 196 TWh
Sources: brokers, EPEX Spot France, EPD France; Analysis: CRE
Monthly products:
Traded volumes were steady in the 1st quarter of 2011 whilst liquidity increased by 7%: 2,500
transactions on monthly products took place for 25.6 TWh. These figures are however below those in the 1st quarter 2010 (around -20% both in terms of volumes and transactins).
Volumes for M+1 products, that account for 65% of volumes of monthly products traded, remained steady although the number of trades increased compared to the previous quarter. Trade in M+2 products increased, both in terms of volumes and liquidity, whilst trade in M+3 products followed an opposite trend.
Compared to 2010 Q1, volumes of monthly products were down 6.8 TWh : this decline is mainly due to a reduction in M+1 and M+2 products (- 29% and -13%), while M+3 products were more traded (+80%). Liquidity followed a similar pattern on the various segments.
Quarterly products:
Trading in quarterly products was boosted over the 1st quarter 2011 compared with the 4th quarter 2010 (+61% in volumes and +72% in number of trades) as well as with the 1st quarter 2010 (+29%
and +34% respectively). A total of 60.5TWh were traded through 2,850 transactions.
Volumes and number of trades rose for Q+1, Q+2 and Q+3 products but dropped for Q+4 products.
The strongest increase was noticed for Q+3 products: volumes traded for those products were even higher than volumes for Q+1. 21.6 TWh to be delivered over the fourth quarter of 2011 were traded through around 1,000 transactions. These figures were multiplied by 4 compared to the previous quarter and by 2 compared to the same period last year.
Q+1 products were the second most traded with 20.8 TWh exchanged over the first quarter of 2011.
This is an increase of 10% compared to the previous quarter and of 24% compared to 2010. The number of trades (around 1,000) rose as well by respectively 16% and 23%
Trading in Q+3 products increased too with 14 TWh traded, i.e. +72% compared to the previous quarter but -10% compared to 1st quarter 2010. Liquidity rose by respectively 95% and 11% to reach 660 transactions.
Q+4 products remained the least traded with 4TWh exchanged through 180 transactions. Volumes dropped by one third compared to the previous quarter and by 20% compared to 2010.
Yearly products:
Unlike other futures products, trading in calendar products decreased by around 20% in the first quarter of 2011: 64 TWh were traded through 1,250 transactions versus 81 TWh through 1,700 transactions in the previous quarter. Volumes were however similar to those of last year at the same period along whilst liquidity dropped by 17%.
Compared with the previous quarter, the decrease in trading of calendar products was general:
volumes were down 16%, 25% and 62% for Y+1, Y+2 and Y+3 products respectively and the number of trades followed a similar pattern on the various segments.
Compared with the 1st quarter 2010, volumes were similar across calendar products. Liquidity remained steady for Y+2 and Y+3 products but dropped significantly for Y+1 products.
C) Activity on organised markets and international comparison
Volumes exchanged on EPEX Spot slightly kept increasing in the 1st quarter of 2011 compared with the previous quarter: average monthly trading was 5.4 TWh, higher than in the 1st quarter of 2010. On EPD France, average monthly volumes were up too and reached the same level as last year same quarter.
Average monthly volumes of transactions on organised markets in France (all maturities combined)
0 1 2 3 4 5 6
Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011
TWh
EPEX Spot France EPD France
Source: EPEX Spot, EPD France
French exchanges are in second position compared to other European marketplaces but remain far behind German exchanges.
Average monthly volumes of transactions on main European power exchanges (excluding obligatory or quasi-obligatory markets)
– First quarter 2011 –
0 10 20 30 40 50 60 70
TWh
Futures 3,7 46,2 0,7 1,7
Day-ahead 5,4 18,7 1,1 3,1 0,9
France (EP EX Spo t /
EP D)
Germany (EP EX Spo t /
EP D)
B elgium B elpex/Endex
Netherlands A P X/Endex
UK A P X UK
Sources: EPEX Spot, EPD France, Belpex, Endex, APX