Structured Buying & Energy Risk Management Assessment
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1 Structured Buying & Energy Risk Management Assessment Strategy Consulting Digital Technology Operations
2 Structured Buying & Energy Risk Management Assessment Structured Buying is a customized Price Risk Strategy described by frequent, small, and formulaic buys with stop loss up-side protection, customized by region and season and actively adjusted and reported upon. The program uses a proprietary, but customizable, algorithm that runs daily and notifies the Risk Manager if a Strike Day or Stop Loss has been hit, which initiates the purchasing process. Active Management Structured buying is an Active Management Strategy which, when compared to a Fixed Price Strategy, seeks to spread purchasing risk over multiple buys instead of through a single purchase. Some clients feel that locking in a fully fixed price will eliminate their risk exposure, however this can be the riskiest strategy of all if you consider lost downside price movement opportunity. Active management addresses both the upside and downside risks associated with locking in energy prices. Percentile Buying The foundation of Structured Buying is a percentile approach that is used to determine when there is relative value for a given forward strip at today s price compared to the historical trading range. Contango is a term that describes the down-trending nature of commodity futures contracts approaching the settlement date (last trade). Structured buying takes advantage of intrinsic market volatility and contango to buy down the curve over the two years leading up to the delivery period. This dollar cost averaging approach allows clients to limit risk exposure while still buying opportunistically. BGE Strategy Comparison 80 $/MWh FIXED 1/24/2012 3/24/2012 5/24/2012 7/24/2012 9/24/ /24/2012 1/24/2013 3/24/2013 5/24/2013 7/24/2013 9/24/ /24/2013 1/24/2014 3/24/2014 5/24/2014 7/24/2014 9/24/ /24/2014 Structured Buying Purchase Days Active Management Purchase Days Fixed Price Purchase Day Futures Price Fixed Price Purchase Day Active Management Strategy Structured Buying Strategy 33% Block 100% Jan-Dec 2015 Locked: 8/1/2014 Locked: 2/20/2014 $ Purchases Over 3 Year Period 33% Block Locked: 8/18/2014 $ Average Lock $ % Real-Time $ % Real-Time $ Final Price $ Final Price $ Final Price $
3 Four Base Strategies Four Base Strategies are considered and customized for each commodity by client, region, and season to arrive at a Mixed Strategy that is dynamically updated on a quarterly basis. Value-Based: Targeted fixed %, purchasing based on down-side value signals 1. Conservative % fixed; 25th percentile buys; Aggressive Stop-Loss set close to initial budget. - Recommended for Q1 for most N.A. electricity zones. The volatility of spot and futures market pricing for this quarter suggests a strategy of locking in larger tranches early. 2. Medium % fixed; 10th percentile buys; Less Aggressive Stop-Loss above initial budget. - Recommended for Q2 and Q3 for most N.A. electricity zones, where summer volatility is possible but has been limited in recent years. Assures enough index exposure to take advantage of any low spot prices. 3. Aggressive % fixed; 2nd percentile buys; Stop-Loss well above initial budget. - Recommended for Q4 for most N.A. electricity zones, where spot prices have been lower than the lowest possible future s prices. Extreme Volatility Avoidance: 100% spot market exposure, purchasing only when up-side risk thresholds exceeded 4. Aggressive % fixed; Stop-Loss 10% above 1-year trading average for quarter. - Only purchase when Stop-Loss hits. After first Stop-Loss hits, next trade requires higher price. - Ideal for NYMEX or other markets that exhibit strong contango properties. 4-Year Historical Performance - Electricity ( ) $/MWh $10 100% 80% 60% 40% 20% $0 ComEd PSEG NYISO_ZC Delmarva AEP SP15 ERCOT_NZ Cons Med Agg Mixed Index Recommended Hedge % 0% 4-Year Historical Performance - Natural Gas ( ) $/dth $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 $2.5 $2.0 Q1 Avg Q2 Avg Q3 Avg Q4 Avg Min/Max NYMEX Settlement Range Cons Med Agg Agg+ Index * All strategies dollar cost average the price down by requiring one month between purchases and fill the desired fixed position one week prior to delivery if the max number of percentile strikes have not been met.
4 How would these strategies perform under different market structures? The last four years include a tremendous diversity of market trends. These strategies were successful across all trends and are forecasted to be successful going forward. However, the chosen strategies should be actively monitored and adjusted over time. Down Trending Market U-Shape $60 ERCOT NZ Shoulder 2012 $60 SP15 Shoulder 2012 Price/MWh Price/MWh May-09 Dec-09 Jul-10 Feb-11 Sep-11 Futures Trade Date 0.02 Percentile Strike Day 0.25 Percentile Strike Day Future Strip Settlement Index Settlement Nov-10 Apr-11 Sep-11 Feb-12 Jul-12 Dec-12 Futures Trade Date 0.02 Percentile Strike Day 0.25 Percentile Strike Day Future Strip Settlement Index Settlement Percentiles dollar-cost average the price down over time; spot prices traditionally low during low-risk periods. Percentiles dollar-cost average the price down over time; spot prices settle higher so early purchases beneficial. Structured Buying Case Studies ONE A Fortune 500 retailer with a $130m annual electric spend and an existing sophisticated block & index strategy recently migrated to Structured Buying after realizing that they could have saved $2.5M in 2015 while reducing portfolio price risk exposure by 80% arriving at a more conservative 55% fixed position. TWO A large global industrial client recently migrated to Structured Buying for its two North American sites after considering savings of $6.1M in 2015 on electricity and $1M on natural gas. Prior purchases were guided by supplier intelligence, however a more strategic fixed position could have been achieved at a lower price through Structured Buying. THREE A Fortune 500 telecom provider with a deregulated electric supply spend of approximately 0M would have saved $29M in 2015 utilizing a Conservative Structured Buying strategy that arrived at their same 90% fixed position, or M through a Mixed strategy nationwide.
5 Conclusion Instead of trying to time the market perfectly with large, infrequent purchases, Structured Buying aims to dollar cost average the price down through a large number of small, opportune buys over an extended purchasing window. Meanwhile, stop losses are put into place to protect the client s budget against any upswings in the market during that timeframe. These program attributes are supported by a powerful algorithm that provides a strategic advantage over a typical risk management plan. If you are interested in learning more about adding Structured Buying to your energy strategy, please contact Ashley Cline (ashley.c.cline@accenture.com) or your Client Manager. Copyright 2016 Accenture. All rights reserved. Accenture, its logo, and High Performance Delivered are trademarks of Accenture. ACC0403ww/06.16
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