Spot or Futures Market?
When optimising the procurement of electricity quantities, the question often arises whether a certain share of the quantities is not hedged in the long term but runs into the spot market. Whether the price optimisation can be estimated in advance is often determined by experience or even by gut feeling. Energy Brainpool has therefore developed a method to determine the most likely spot market prices.
With the Energy BrainSwarms Y+3 you can now calculate the probable spot market prices of the liquid delivery years. You receive a frequency distribution of the expected annual spot market prices up to delivery year Y+3 based on the fundamental calculation of over 1,000 possible scenarios.
These over 1,000 scenarios cover a wide range of influences on the expected spot price. They include short-term commodity price fluctuations as well as weather and economic effects on renewable energy generation and electricity demand. Also included are the market values and sales revenues of renewable energies.
Energy BrainSwarms Y+3 offers you a valuable basis for decision-making in volatile energy markets. The valuation basis is always derived on current developments in the energy market and helps you
- to compare fundamental reference values with current futures market prices,
- to evaluate load curves that deviate from base and peak according to profile,
- to evaluate electricity supplies in procurement and sales,
- to evaluate different revenue options as a renewable energy plant operator, and
- to successful valuate assets and contracts (e.g. PPAs), investment and financing decisions, and market stability.
Fig: Over 1000 possible price paths of the scenario swarm calculation with frequency distribution
We provide you with a probability distribution of possible electricity spot prices, which we fundamentally calculate from representative monthly updates of forward prices for CO2, gas, coal and oil. The currently traded futures market prices can then be placed in the distribution curve and the probability of occurrence of higher or lower spot market prices can be derived. If, for example, the current futures market price is at the so-called P-25 value, this means that 25 percent of the calculated scenarios are above the current futures market price and 75 percent are below it. In this case, it is to be expected that the futures market is overestimated and the expected spot market prices in the delivery year will most likely be below it.
The Calculation
The scenario swarm analysis is based on our "Energy Brainpool" scenario from the electricity price scenarios. With regard to the development of the power plant fleet, current national plans are taken into account based on information from the transmission system operators (TSOs), the European Commission and national energy plans.
A Monte Carlo simulation with 1,000 individual scenarios (the "scenario swarms") produces a distribution function for possible electricity prices. This allows P-values, fluctuation ranges and possible price corridors to be defined. Future spot price levels are thus given a fundamental probability of occurrence and price risks can be quantified with the greatest possible precision.
In each scenario run, the possible price effects of key input parameters for levelized costs of electricity are taken into account again. This includes short-term commodity price fluctuations in terms of historical volatility, changing weather patterns for temperature, solar irradiation and wind, as well as economic effects on electricity and commodity demand. Interdependencies of influences are taken into account. In order to take your own market expectations sufficiently into account, you are welcome to coordinate the weighting of individual price influences in the analysis with us.
Scope of Delivery
The monthly results include the frequency distribution of market values, sales values and quantities for wind onshore, offshore and solar as well as peak and baseload prices. All results can be aggregated for any monthly and annual periods. In addition, you receive the assumptions for the next three years in each case, as well as an explanation of the modelling approach.
Available Countries
You can currently order the Energy BrainSwarms Y+3 for Germany.
Your Contact
Michael Claußner
Expert
Tel.: +49 (0)30 76 76 54 - 10
E-Mail
Contact us for an individual offer.
Our Customers
„Active and forward-looking asset management contributes significantly to the successful performance of an investment. In the renewable energy asset class, Energy Brainpool supports us with probability-based power price analyses and energy market knowledge in making the right decisions when optimising our wind and solar power plants."
Mathias Erl
Transaktion Manager
LHI Kapitalverwaltungsgesellschaft mbH
