美国加州碳排放交易市场介绍 黄杰夫洲际交易所 2013 年 10 月 30 日
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ICE 欧洲碳市场年交易量和结算价格 2013 年 9 月
ICE 欧洲碳市场持仓总量 2013 年 9 月
ICE 欧洲碳市场碳交易所 ( 二级市场 ) 市场份额 2013 年 9 月
ICE Emissions Members ABN Amro Clearing Bank N. V. ADM Investor Services INC ADM Investor Services International Ltd Alpiq Swisstrade AG Banco Santander Central Hispano SA Barclays Capital BG International Ltd BNP Paribas Commodity Futures Ltd BP Gas Marketing Ltd Centrica Energy Ltd CEZ A.S. Citadel Derivatives Trading Ltd Citadel Equity Fund Ltd Citigroup Global Markets Ltd Consus France S.A.R.L. Credit Agricole Corporate & Investment Bank Credit Suisse Securities (Europe) Ltd Credit Suisse Securities (USA) LLC Deutsche Bank AG Deutsche Bank AG BHF E.On Energy Trading SE E&T Energie Handelsellschaft M. B. H. EDF Trading Ltd EDP Energias de Portugal SA EGL AG EGL Energia Iberia SL Electrabel SA Endesa Generacion SA Energa-Obrót SA Energie AG Oberosterreich Trading GmbH European Investment Bank FCStone, LLC First New York Securities LLC Five Rings Capital, LLC Fortum Power and Heat OY Galp Power SA Gazprom Marketing & Trading Ltd Gazprom M&T Singapore Pte Ltd GFI Securities Ltd GH Financials Ltd Goldman Sachs International HSBC Bank PLC ICAP Corporates LLC ICAP Securities Ltd Infinium Capital Management LLC Jaypee International Inc Jefferies Bache Ltd Jefferies Bache LLC JP Morgan Securities Ltd Jump Trading LLC KFW Bankengruppe Knight Capital Americas LLC Macquarie Bank Limited (London Branch) Macquarie Futures USA LLC Marex Financial Ltd Marubeni Corporation Merrill Lynch Commodities (Europe) Ltd Merrill Lynch International Merrill Lynch, Pierce, Fenner & Smith Inc Mitsui & Co. Mizuho Securities USA Inc Morgan Stanley & Co International Ltd Natixis Commodity Markets Ltd Newedge UK Financial Ltd Newedge USA LLC Nomura International PLC Nordea Bank Finland Optiver VOF Orbeo Climate Change OTC Europe LLP Penson GHCO PetroChina International (London) Company Ltd Proxima Clearing LLC Public Power Corporation S. A. R.J. O Brien & Associates LLC Rand Financial Services Inc RBC Capital Markets LLC RBC Europe Ltd REN Trading SA RWE Supply and Trading GmbH Sagacarbon Scottish Power Energy Management Ltd SEB Futures Shell Int. Trading & Shipping Co Ltd SmartestEnergy Ltd Spectron Energy Services Ltd Stadtwerke Leipzig GmbH Statkraft Energi AS Sunrise Brokers LLP Susquehanna Ireland Ltd Tauron Polska Energia Spolka Akcyjna TFS Derivatives The Royal Bank of Scotland PLC ThyssenKrupp AG Tibra Trading Europe Ltd Total Global Steel Ltd TRX Futures Limited Tullett Prebon (Europe) Ltd UBS Ltd Vattenfall Energy Trading GmbH Vattenfall Energy Trading Netherlands N. V. Verbund AG Virtu Financial Global Markets LLC Wells Fargo Bank N. A. XR Trading, LLC
加州碳交易市场在 ICE 的期货和期权市场 California Carbon Allowance Futures Physically delivered Units of Trading: 1,000 California Carbon Allowances Minimum Price Flux: $0.01 per California Carbon Allowance = $10.00 per contract Contract Series Standard-cycle contract listings: Monthly contract sets for the current year + 3 years. Annual December contract sets through 2020 The Exchange may list any other calendar month contract sets off the standard-cycle listing schedule through the last expiring contract set. California Carbon Allowance Options Calls and Puts European style Contract Size1 lot = 1 California Carbon Allowance Forward Contract
加州碳交易市场持仓总量和价格 期货和期权 $25.00 California Carbon Allowance Open Interest and Settlement Price (by Oct 16, 2013) 40,000 $20.00 35,000 30,000 $15.00 25,000 20,000 $10.00 15,000 $5.00 10,000 5,000 $0.00 0 Call Put Futures Settlement Price
加州碳交易市场交易量 期货和期权 14000 California Carbon Allowance Trading Volume (By Oct 17, 2013) 12000 10000 8000 6000 4000 2000 0 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct 2011 2012 2013 Call Volume Put Volume Futures Volume
案例说明 : 发电厂的风险管理 Futures: an efficient way to manage emission risks and cash flows A power plant sells a 480,000 MWh block of energy to be delivered and paid equally through out the year @ $50/MWh The generation of power has an associated emission liability of 240,000* tons of CO 2 The power plant needs to hold allowances for compliance in Jan 2014 The power plant is unsure about price movement and is concerned that allowances will become more costly than at the time the deal was struck. Option I Option II Option III Wait and buy allowances at the compliance deadline (i.e. Jan 2014) Buy 240,000 allowances at the time the deal is made, and hold them for compliance Buy 240,000 allowances on ICE via 240 lots of ICE CCA Futures with a Dec 30, 2013 delivery date * Assumes 0.5 Mt CO 2 /MWh
案例说明 : 发电厂的风险管理 The current spot market price for carbon allowances is $15.00 The current futures market price for December delivery is $15.20 $7.50/MWh is the power revenues allocated to carbon allowances (0.5 Mt CO 2 /MWh $15.00) Scenario 1: Allowance price is $17.00 on Dec 31 2013 Cost of Compliance Initial Cash Layout Option I: Buy on Dec-31-2013 $17.00 240,000= $ 4,080,000 0 Option II: Buy Immediately $15.00 240,000= $ 3,600,000 $3,600,000 Option III: Futures Market $15.20 240,000= $ 3,648,000 $420,000 1 Scenario 1: Cash inflows & outflows allocated to carbon allowances (in thousands) Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Cash Inflow 2 $300 $300 $300 $300 $300 $300 $300 $300 $300 $300 $300 $300 Outflow Opt. I $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 ($4,080) Cumulative $300 $600 $900 $1,200 $1,500 $1,800 $2,100 $2,400 $2,700 $3,000 $3,300 ($480) Outflow Opt. II ($3,600) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 Cumulative ($3,300) ($3,000) ($2,700) ($2,400) ($2,100) ($1,800) ($1,500) ($1,200) ($900) ($600) ($300) $0 Outflow Opt. III 3 ($420) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 ($3,228) Cumulative ($120) $180 $480 $780 $1,500 $1,080 $1,380 $1,680 $1,980 $2,280 $2,880 ($48) 1. The initial margin of 240 lots of ICE California Carbon Futures Vintage 2013 2. Monthly cash inflow allocated to carbon allowances = $7.50 40,000 MWh = $300,000 3. This is a simplified example that assumes a step change in the futures price at the delivery, therefore variation margin is ignored
案例说明 : 发电厂的风险管理 Scenario 2: Allowance price is $13.00 on Dec 31 2013 Cost of Compliance Initial Cash Layout Option I: Buy on Dec-31-2013 $13.00 240,000= $ 3,120,000 0 Option II: Buy Immediately $15.00 240,000= $ 3,600,000 $3,600,000 Option III: Futures Market $15.20 240,000= $ 3,648,000 $420,000 1 Scenario 2: Cash inflows & outflows allocated to carbon allowances (in thousands) Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Cash Inflow 2 $300 $300 $300 $300 $300 $300 $300 $300 $300 $300 $300 $300 Outflow Opt. I $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 ($3,120) Cumulative $300 $600 $900 $1,200 $1,500 $1,800 $2,100 $2,400 $2,700 $3,000 $3,300 $480 Outflow Opt. II ($3,600) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 Cumulative ($3,300) ($3,000) ($2,700) ($2,400) ($2,100) ($1,800) ($1,500) ($1,200) ($900) ($600) ($300) $0 Outflow Opt. III 3 ($420) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 ($3,228) Cumulative ($120) $180 $480 $780 $1,500 $1,080 $1,380 $1,680 $1,980 $2,280 $2,880 ($48) 1. The initial margin of 240 lots of ICE California Carbon Futures Vintage 2013 2. Monthly cash inflow allocated to carbon allowances = $7.50 40,000 MWh = $300,000 3. This is a simplified example that assumes a step change in the futures price at the delivery, therefore variation margin is ignored Further benefits by enjoying margin credit when the power plant hedging with power contracts on ICE
加州温室气体许可权第一次拍卖 2012 年 11 月 14 日拍卖 GHG Allowances Offered for Sale in the November 2012 Auction Auction Number of GHG Allowances Current Auction (2013 vintage) 23,126,110 Advance Auction (2015 vintage) 39,450,000 The number of allowances listed for the Current Auction is a minimum number and may increase as a result of additional consignments of allowances. Administrative Requirements Eligibility: California covered entities, opt-in covered entities, and voluntarily associated entities Entities must have CITSS account* *Compliance Instrument Tracking System Service (CITSS)
加州温室气体许可权第一次拍卖结果 2012 年 11 月 14 日拍卖 Current Auction of 2013 Vintage Allowances Total 2013 Allowances Sold at Auction: 23,126,110 (23,126,110 Allowances Available for Sale) Settlement Price Per Allowance: $10.09 (Auction Reserve Price: $10.00) Allowances Purchased by Compliance Entities: 97.0% Maximum Price: $91.13, Minimum Price: $10.00, Mean Price: $13.75, Median Price: $12.96 Herfindahl Hirschman Index: 1133 (indicating moderate concentrated) Advance Auction of 2015 Vintage Allowances Total 2015 Allowances Sold at Auction: 5,576,000 (39,450,000 Allowances Available for Sale) Settlement Price Per Allowance: $10.00 (Auction Reserve Price: $10.00) Allowances Purchased by Compliance Entities: 91.0% Maximum Price: $17.25, Minimum Price: $10.00, Mean Price: $11.07, Median Price: $10.59 Herfindahl Hirschman Index: 1485 (indicating moderate concentrated)
加州温室气体许可权第二次拍卖结果 2013 年 2 月拍卖 Current Auction of 2013 Vintage Allowances Total 2013 Allowances Sold at Auction: 12,924,822 (12,924,822 Allowances Available for Sale) Settlement Price Per Allowance: $13.62 (Auction Reserve Price: $10.71) Allowances Purchased by Compliance Entities: 88.15% Maximum Price: $50.01, Minimum Price: $10.71, Mean Price: $14.71, Median Price: $12.96 Herfindahl Hirschman Index: 728 (indicating competitive) Advance Auction of 2016 Vintage Allowances Total 2015 Allowances Sold at Auction: 4,440,000 (9,560,000 Allowances Available for Sale) Settlement Price Per Allowance: $10.71 (Auction Reserve Price: $10.71) Allowances Purchased by Compliance Entities: 100% Maximum Price: $40.00, Minimum Price: $10.70, Mean Price: $12.40, Median Price: $11.12 Herfindahl Hirschman Index: 3159 (Highly concentrated)
加州温室气体许可权第三次拍卖结果 2013 年 5 月拍卖 Current Auction of 2013 Vintage Allowances Total 2013 Allowances Sold at Auction: 14,522,048 (14,522,048 Allowances Available for Sale) Settlement Price Per Allowance: $14.00 (record high price, Auction Reserve Price: $10.71) Allowances Purchased by Compliance Entities: 90.22% Maximum Price: $50.01, Minimum Price: $10.71, Mean Price: $16.67, Median Bid Price: $13.49, Median Allowance Price: $14.25 Herfindahl Hirschman Index: 609 (indicating competitive) Advance Auction of 2016 Vintage Allowances Total 2015 Allowances Sold at Auction: 7,515,000 (9,560,000 Allowances Available for Sale) Settlement Price Per Allowance: $10.71 (Auction Reserve Price: $10.71) Allowances Purchased by Compliance Entities: 86.49% Maximum Price: $35.00, Minimum Price: $10.71, Mean Price: $12.19, Median Bid Price: $11.19, Median Allowance Price: $11.02 Herfindahl Hirschman Index: 1198 (Moderately concentrated)
加州温室气体许可权第四次拍卖结果 2013 年 8 月拍卖 Current Auction of 2013 Vintage Allowances Total 2013 Allowances Sold at Auction: 13,865,422 (13,865,422 Allowances Available for Sale) Settlement Price Per Allowance: $12.22 (Auction Reserve Price: $10.71) Allowances Purchased by Compliance Entities: 95.5% Maximum Price: $50.01, Minimum Price: $10.71, Mean Price: $15.35, Median Bid Price: $12.62, Median Allowance Price: $13.01 Herfindahl Hirschman Index: 861 (indicating competitive) Advance Auction of 2016 Vintage Allowances Total 2015 Allowances Sold at Auction: 9,560,000 (9,560,000 Allowances Available for Sale) Settlement Price Per Allowance: $11.10 (Auction Reserve Price: $10.71) Allowances Purchased by Compliance Entities: 96.3% Maximum Price: $30.00, Minimum Price: $10.71, Mean Price: $11.78, Median Bid Price: $10.95, Median Allowance Price: $11.10 Herfindahl Hirschman Index: 1605 (Moderately concentrated)
中国碳市场未来猜想 上海碳市场 - 上海自贸区可以扮演的角色? 深圳碳市场 - 前海深港现代服务业合作区?
中国人民银行副行长易纲 通过在碳排放配置限额下进行的碳交易, 市场可大大提高效率, 减少整个社会的减排成本, 而金融机构在碳交易中将起到非常重要的作用 不论欧洲还是芝加哥的碳交易所, 银行 基金管理公司 金融机构, 都是参与碳交易的主要机构 做市商, 也是价格发现者, 金融机构在碳交易中扮演着重要的角色 2010 年 9 月 10 日
The creation of new markets is frequently complicated and sometimes even thwarted by ideological enmity, political resistance, fear of uncertainty, or mere ignorance. -Ronald H. Coase From Forward to Good Derivatives
Jeff Huang Email: jeff.huang@theice.com