Energy, Carbon and Environmental Market Forecasting Services December 2011

Transcription

1 Energy, Carbn and Envirnmental Market Frecasting Services December Frecasting Services Summary Sheet Energy Edge

2 Energy Edge Frecasting Services Energy Edge ffers Energy and Envirnmental Market Frecasting services using prprietary mdeling sftware and applying the team s experience in markets and understanding f current issues and participant behaviur. Clients can chse frm a standard frecasting reprt with Energy Edge s wn mdel inputs r we can wrk with clients t refine mdel parameters, chse the right mdeling methdlgy and custmize the utputs and summary statistics. Chse frm Market Pint Frecasts (single likely utcme) r Market Risk Frecasts (range f utcmes), acrss a range f market cmmdities. Frecasting reprts are delivered with a market cmmentary abut the key drivers f market utcmes. Yu can extend the frecasting services t Prtfli Risk Mdeling. We can apply the results f the Market Risk Frecasts t yur wn prtfli, r scenari investment prtflis including physical assets, supply cntracts and derivatives. The Energy Edge frecasting apprach cvers the Natinal Electricity Market and assciated fuel, carbn and envirnmental markets. Frecasting is perfrmed with several mdeling appraches which can accmmdate shrt term and lng term frecasts. MARKET MODELLING ASSUMPTIONS NEM ELECTRICITY MODEL GAS MODEL ENVIRONMENTAL & CARBON MODEL MARKET FORECAST RESULTS PORTFOLIO ASSUMPTIONS PORTFOLIO RISK MODEL PORTFOLIO RISK RESULTS 2 Frecasting Services Summary Sheet Energy Edge

3 The Frecasting Apprach Establish frecasting requirements Select the degree f custmizatin Cllabrate t refine mdel assumptins Establish mdel utputs and frmat Energy Edge mdeling Extend t Prtfli Risk Mdelling Cntact Energy Edge t discuss yur frecasting needs. D yu need a ne-ff frecasting r nging frecasts; d yu require a single cmmdity frecast r a range f cmmdities; Purchase a standard reprt r custmize the frecast Energy Edge engages with yu t develp the mdel parameters and assumptins. We apply a dcumented prcess t liaise in determining the full range f mdeling inputs, whether they adpt yur wn assumptins, the Energy Edge assumptins r a cmbinatin. Discuss with Energy Edge the frmat f yur results; d yu need prices, generatin levels, carbn emissin levels, gas balances r mre. Wuld yu like results brken dwn by mnth, quarter, year r in peak r flat perids? Energy Edge will cnduct mdeling using the agreed upn apprach. Draft and final reprts will be delivered with an pprtunity fr clients t review results and affirm the presentatin frmats. The Market Price Frecasts can be extended t the Prtfli Risk Mdel t analyse the financial risk and perfrmance f yur prtfli. Energy Edge can wrk thrugh the prtfli assumptins f physical and financial securities t deliver the Prtfli Risk analysis reprt. 3 Frecasting Services Summary Sheet Energy Edge

4 Technical Frecasting Methdlgy Energy Edge applies a structural r equilibrium frecasting apprach depending upn the hrizn f the analysis and the reslutin required fr the results. Structural Mdel Our structural mdel uses ur prprietary sftware system fr market mdelling built n the Market Edge technlgy. The sftware simulates the NEM dispatch engine rules by aggregating pwer statin ffers acrss the NEM and dispatching in a way similar t the AEMO NEM dispatch algrithm. NEM Elements: The frecasting mdel handles the key elements f the AEMO dispatch lgic including bid aggregatin, intercnnectr cnstraints and lsses and key market cnstraints. Simulatin apprach: The Energy Edge structural mdel handles randmized frced utages and demands, stchastic intercnnectr limits and a nnlinear intercnnectr lss mdel. Market Interrelatinships: Generatr bids are cnstructed within the mdel n the basis f fuel and envirnmental csts and revenues, creating a fully integrated market mdel. Participants behaviural characteristics are calibrated int the prtflis by the mdeling team. Equilibrium Mdel The equilibrium mdelling apprach is a tp dwn mdel based n lng-run equilibrium ecnmic mdelling. The initial stage establishes lng-run equilibrium market prices n the basis f investment csts. The secnd stage perfrms randmized simulatins n the basis that markets perate in a dynamic way and that lng-run equilibrium is nly enjyed n average acrss the business cycle. Frward Market Interactins: The mdel integrates available market frward price data fr shrt term frecasts. Risk premiums and histrical price patterns are applied t mdel prices t a finer reslutin. Market Derived Quantities: Market price frecasts are established as the weighted Lng-Run-Marginal prductin csts beynd the shrt-term hrizn. Under ecnmic equilibrium, the cst f meeting the demand is based n a riskadjusted cst f prductin, where the cst f prductin itself depends n varius market-linked cmmdities, capital csts and peratinal csts. Envirnmental Market Clsed Lp: Envirnmental and Carbn markets in turn affect the electricity prices. The mdel applies a clsed lp apprach t mdel the interrelatinship between fuel, envirnmental and electricity markets. 4 Frecasting Services Summary Sheet Energy Edge

5 Where are Market Frecasts Used? Market Frecasting services and the Prtfli Risk mdel add value fr: Trading and risk management: Independent Market Frecasts fr electricity, gas, carbn and ther traded quantities t supprt trading and risk decisins Risk prfiles f existing and prpsed prtflis Cmpetitr analysis Prtfli ptimizatin Energy prcurement Establish likely energy purchase prices as well as best-case and wrstcase scenaris Determine expected energy and cmpliance csts fr the prtfli Cmpare alternative strategies: spt purchases, retail cntracts r whlesale hedging Due diligence: Independent and transparent third party Market Frecast Expected Prtfli earnings and earnings risk prfiles Financial investment: Calculatin f Prtfli Earnings, Net present value and prtfli earnings risk prfiles Establish the lwest risk prfile f the prtfli under ptimal hedging Crprate Budgeting and Business Planning Validatin f business plan frecasts and cnclusins Risk assessment f ptential financial utcmes cmpared with budget estimates Market Frecasting Appraches 5 Frecasting Services Summary Sheet Energy Edge

6 Energy Edge Multi-Cmmdity Market Mdel Fuel Price $/GJ O&M cst $/MWh Env. Certificate Price $/cert Supply Dispatch MW Dispatch Algrithm Electricity price $/MWh Electricity Demand # Env. Certificates Env. Certificate Supply Banking / Mnetising Env. Certificate Price $/cert Env. Certificate Demand 6 Frecasting Services Summary Sheet Energy Edge

7 Energy Edge Fact Sheet Energy Edge is an innvative cnsulting rganisatin that specialises in cmmercial and market risk management services and business activities. Energy Edge helps clients in utilities t meet their needs fr managing cmmercial and market risk, trading requirements and expsures t envirnmental and energy csts. The Energy Edge team has a cmbinatin f financial and cmmdity market experience thrugh the full spectrum f trading and risk management areas, cmmercial and crprate finance activities. This breadth and depth f experience cmbined with extremely strng cmmercial, analytical, mathematical and sftware develpment skills frms the base frm which Energy Edge prvides a range f cnsultancy services t entities directly and indirectly impacted by energy, envirnmental and ther cmmdity markets. Recent Prjects: Sme recent prjects undertaken by Energy Edge include Designing, develping and implementing pricing and risk management sftware tls in energy markets Carbn Market and Cmpliance Readiness Reviews Develpment and implementatin f Trading and Risk Management functins fr emerging energy cmpanies Develping and installing cntract management sftware fr urban water market settlement and invicing Implementatin, design, cnfiguratin and testing f third party sftware acrss frnt ffice, middle ffice and back ffice prcesses Prject Management and delivery f Gas STTM trading and risk management capabilities Designing and develping electricity price benchmarking tls and transfer pricing prcesses Cmmercializatin strategies and feasibility studies fr gas and gas generatin prjects Due diligence wrk fr majr utility acquisitins Valuatin f real ptins embedded in gas supply agreements Enterprise wide reviews f carbn risk and pprtunities Plicy and prcedure reviews and Delivery f a trader and risk manager decisin supprt suite f sftware tls Market Edge, based n specific Energy Edge intellectual prperty. Trading and market risk management Trading strategy develpment Prtfli ptimisatin Training Market research and surveys Plicy develpment and reviews Risk identificatin and measurement services 7 Frecasting Services Summary Sheet Energy Edge

8 Cmmercial Advice Assistance in due diligence prcesses Assistance in business plan develpment Analysis f cmmercial implicatins arising frm regulatry r market changes Cmpetitr analysis under different market structure scenaris Enterprise Wide Services Treasury risk management services Assistance t Internal audit teams Fitness fr full retail cmpetitin Review f business risks and their crrelatins with ther markets Develpment and implementatin f Trading and Risk Management functins fr emerging energy cmpanies Systems and Sftware Develpment and installatin f a Water Cntract Management system. Develpment and implementatin f custmised analytical and pricing tls Develpment and installatin f the Energy Edge prprietary trading and risk management sftware Market Edge. Prject management f systems and sftware prjects Retrspective dcumentatin, standardisatin and prcess management fr adhc in-huse systems and tls. Envirnmental Markets Market structure advice Plicy advice Mdelling f envirnmental markets, price frecasts and assessment f cmmercial implicatins Assistance in registratin and accreditatin prcesses Envirnmental prduct strategy develpment Enterprise wide carbn risk assessments and management planning 8 Frecasting Services Summary Sheet Energy Edge

9 Bigraphies f key persnnel Angus Macled, Managing Directr Angus has ver twelve years experience in the Australian energy markets in rles establishing electricity trading desks and managing trading peratins. His experience has spanned market trading activities and managing large cmmercial negtiatins and prjects. He was elected Chairman f the AFMA Electricity Cmmittee in 2005 and Angus has experience in frnt and middle ffice rles acrss a range f markets including base metals, precius metals, freign exchange, equity and interest rate markets. He has a further seven years experience in dmestic and internatinal financial and cmmdity markets and ver fur years as an auditr fr Delittes In the rle f Managing Directr f Energy Edge since June 2006, Angus has lead a team t prvide a wide array f clients with high quality advice and slutins acrss electricity, gas, Carbn and envirnmental trading and risk management issues. Ellit Tnkes, Directr Risk and Analytics Ellit is an experienced and highly regarded risk manager and market analyst with an utstanding backgrund in cmmercial and academic envirnments with ver ten years experience in the Australian energy, carbn and envirnmental prduct market. He has experience in energy and envirnmental markets as the chief risk and market analyst at a majr generatr. leading small teams t perfrm frecasting, risk quantificatin, pricing and analysis f derivatives and structured financial prducts, strategy evaluatin, prject valuatin, system develpment and sftware implementatin. As Directr f Risk and Analytics at Energy Edge since September 2006, Ellit has prvided high quality advice t bards thrugh t executive teams, risk managers, analysts, and traders. Ellit has implemented slutins fr a range f risk management issues in electricity, gas, carbn and ther envirnmental prduct markets. Ellit is als respnsible fr the design and develpment f Energy s suite f prprietary sftware and prject managed several majr deal capture and risk management bespke sftware develpment prjects fr ur clients. Dr Antny Stace, Risk and Trading Cnsultant Antny is a highly experienced risk and market mdeler with significant experience in electricity, carbn, envirnmental prducts and ther cmmdity and financial markets. Antny has experience in electricity businesses as a cnsultant with expsure t spt and cntract trading systems, including experience as a spt trader. As a Key Mdelling Cnsultant at Energy Edge, Antny ensures quality mdel inputs, and keeps a clse-ear t the grund fr market intelligence and spt trading behavir. He is able t cnvey cmplex mdelling principles and results in an insightful way fr clients. Other team members Other members f the Energy Edge team can be fund at the website: 9 Frecasting Services Summary Sheet Energy Edge

10 Mre Infrmatin Fr mre infrmatin n the Frecasting Services, Sftware Prducts r Energy Edge s ther services visit r alternatively phne Angus Macled n r send an t amacled@energyedge.cm.au 10 Frecasting Services Summary Sheet Energy Edge