Asset Optimisation and Trading

Transcription

1 Asset Optimisation and Trading Harald von Heyden Head of Business Division Asset Optimisation and Trading Stockholm, 21 September 211

2 Today s focus Organisation and key figures AOT comprises four business activities AOT s role within Vattenfall Hedge strategy process Hedge position Market development and outlook 2 Capital Markets Day, Stockholm 21 September 211

3 Organisation and key figures Key figures: EBITDA (21): SEK 6,35 million (1% of Group Total) FTE: 65 Nationalities: 24+ Trading Volume (External) 21 Electricity in TWh 1,9 CO 2 (EUA and CER) in mt 43 Gas in TWh 925 Counterparts ~55 Asset Optimisation and Trading (AOT) Transactions per day >1,65 Asset optimisation Europe Asset optimisation Nordic Trading Operations Optimisation and Dispatch of Assets Hedging and Hedging Strategy Interface to Assets Market Access Prop Trading Fuel Sourcing Origination Analysis Models and systems IT operation AOT common processes 3 Capital Markets Day, Stockholm 21 September 211

4 AOT comprises four main business activities Dispatch optimisation Maximize value of assets in spot and intraday markets Asset backed proprietary trading Maximize value of assets in forward markets - Trade on flows incl. hedging - Exploit physical optionality Non asset backed proprietary trading Generate profit on back of financial risk capital EUR 2 million max loss limit 4 Origination Acquire & restructure contractual assets (semi-physical contracts) and other contracts 4 Capital Markets Day, Stockholm 21 September 211

5 AOT s role within Vattenfall Electricity and commodity markets Generation Power Supply of fuels Asset Optimisation and Trading Sourcing power and gas Sales Hydro Coal B2B Nuclear Oil B2C Thermal Gas Renewables CO 2 5 Capital Markets Day, Stockholm 21 September 211

6 Introducing new hedge strategy Old hedge reference environment primary focus on production plans and how the volumes should be hedged from a Business Unit perspective financial aspects only implicitly represented New hedge strategy process financial aspects explicitly incorporated when deciding the hedge strategy focus is derived from an overall Group perspective whilst taking national level requirements into account Identify hedge objectives Set guiding thresholds Analyse/decide hedge strategy Implement and review 6 Capital Markets Day, Stockholm 21 September 211

7 Hedge ratios % hedged of forecasted electricity generation, 3 June Nordic region Continental Europe EUR/MWh Nordic region Continental Europe Capital Markets Day, Stockholm 21 September 211

8 Market development and outlook Oversupply situation in Northern Europe Risk of market splitting and lower liquidity - E.g. the Swedish market will be split into 4 price areas 1 November Liquidity constraints on some local power and gas markets e.g. Netherlands, UK and Spain Post-Fukushima changes in German and Swiss physical market - Will Germany become a net importer? - Grid constrains Increased and changed regulation - Proposed financial regulation by the EU on e.g. transparency, market integrity, capital requirements, MiFID and mandatory clearing 8 Capital Markets Day, Stockholm 21 September 211

9 Appendix 9 Capital Markets Day, Stockholm 21 September 211

10 Changes in the Nordic system price are highly correlated with changes in hydrological balance System price and hydrological balance EUR/MWh jun-4 okt-4 feb-5 jun-5 okt-5 mar-6 Systemprice apr-7 nov-6 jul-6 aug-7 dec-7 maj-8 sep-8 Hydrological Balance Financial crisis 28 pushed prices down despite weakening hydrology jan-9 jun-9 okt-9 feb-1 jul-1 nov-1 mar-11 jul-11 okt-11 jan-12 apr-12 Outlook Changes in the balance will continue to be the main price driver going forward. Correlation has not changed. A new major downturn in the economy will surely affect Nordic prices as output falls. jul-12 okt-12 jan-13 apr-13 jul-13 okt TWh 1 Capital Markets Day, Stockholm 21 September 211

11 Marginal cost of coal acts as support to the Nordic system price - except hydrological balance is very positive System price and marginal cost of coal EUR/MWh jul-5 nov-5 mar-6 aug-6 dec-6 apr-7 aug-7 jan-8 maj-8 Systemprice Hydbal >15 TWh okt-9 jun-9 feb-9 sep-8 mar-1 jul-1 nov-1 mar-11 SRMCC aug-11 nov-11 feb-12 maj-12 aug-12 Outlook With normalisation of the hydro balance, dark spreads will be under pressure in the Nordic region considering the expansion of wind and nuclear. Could CO2 prices again edge towards zero if the economy turns down and output falls? The uptrend in coal prices will be broken if the economy turns down. Although, support of coal prices will remain when money flies into gold, commodities, property (things that retain value when money dies ). okt-12 jan-13 apr-13 jul-13 okt Capital Markets Day, Stockholm 21 September 211

12 German off-peak prices provide additional support - except hydrological balance is very positive Systemprice German Off Peak System price and German off-peak EUR/MWh Hydbal >15 TWh Outlook With normalisation of the hydro balance, also the Nordic-German off-peak spread will be under pressure in the Nordic region considering the expansion of wind and nuclear. German off-peak prices will be supported by nuclear decomissioning. They will also stay strong in relation to peak prices although considering the expansion of solar power. okt-13 jul-13 apr-13 jan-13 okt-12 jul-12 apr-12 jan-12 okt-11 jul-11 mar-11 nov-1 jul-1 feb-1 okt-9 jun-9 jan-9 sep-8 maj-8 dec-7 aug-7 apr-7 nov-6 jul-6 mar-6 okt-5 jun-5 feb-5 12 Capital Markets Day, Stockholm 21 September 211

13 The Nordic system price is most of the time below the German peak - except hydro balance is extremely strained in winter* *in combination with low nuclear availability, low temperature and precipitation. Systemprice German Peak System price and German peak EUR/MWh Hydbal < - 3 TWh Outlook More installed wind capacity in the Nordic region will lead to higher peak / off-peak spreads and higher volatility in the spot prices. Potential if hydro goes extremely negative again? Solar power expansion will put pressure on German peak prices. okt-13 jul-13 apr-13 jan-13 okt-12 jul-12 apr-12 jan-12 okt-11 jul-11 mar-11 nov-1 jul-1 feb-1 okt-9 jun-9 jan-9 sep-8 maj-8 dec-7 aug-7 apr-7 nov-6 jul-6 mar-6 okt-5 jun-5 feb-5 13 Capital Markets Day, Stockholm 21 September 211

14 The German moratorium triggered a big trade balance swing Import/Export Balance Germany (7day moving average) MW (+ Import / - Export) Offline before: Biblis B, Krümmel Brunsbüttel Isar 1, Philippsburg 1 Neckarwestheim 1 Unterweser, Biblis A Grafenrheinfeld (maintenance) Grohnde, Gundremmingen B Philippsburg 2, Emsland -8 Jan Feb Mar Apr Mai Jun Jul Aug Sep Oct Nov Dec Average (7-1) 14 Capital Markets Day, Stockholm 21 September 211

15 France contributed the most with a shift of >4, MW Import/Export Balance Germany-France (7day moving average) MW (+ Germany imports / - Germany exports) Jan Feb Mar Apr Mai Jun Jul Aug Sep Oct Nov Dec 15 Capital Markets Day, Stockholm 21 September Average (7-1)

16 Highest nuclear production in France since years facilitates high exports 44 Nuclear Production France TWh If France sticks to the target, a lower utilisation (~1,5MW) would be the result for Q4 Jan Feb Mar Apr Mai Jun Jul Aug Sep Oct Nov Dec Estimated 211 based on target Capital Markets Day, Stockholm 21 September 211

17 Higher wind production in Germany gives relief to imports MW (+ Germany imports / - Germany exports) Offpeak Import/Export Balance DE-FR (7day moving average) Jan Feb Mar Apr Mai Jun Jul Aug Sep Oct Nov Dec Average (7-1) 17 Capital Markets Day, Stockholm 21 September 211 Wind Germany 211 (deviation from norm)

18 Wind and solar complement one another in the peak 14 Typical Wind & PV production pattern in Germany 12 1 MW Jan Feb Mar Apr Mai Jun Jul Aug Sep Oct Nov Dec Total Wind & Solar Solar (Peak) Wind 18 Capital Markets Day, Stockholm 21 September 211

19 Definitions Asset backed Trading Trades with an underlying natural exposure from a trading asset Proprietary Trading Trades with no underlying natural exposure Origination Trading of highly non-standardised contracts, often with multi-commodity components. Origination also incorporates Portfolio Management services, mainly executing more or less standardised transactions 19 Capital Markets Day, Stockholm 21 September 211