Description

Weekly Review

This panel provides an overview for the week of Mon Dec 25, 2023 to Sun Dec 31, 2023.

Notes

1. We only show prices associated with hubs.
2. Residual load is the load less renewable generation — it is mostly the load served by thermal generating units.
3. We assume a carbon dioxide emissions coefficient of 53.07 kg/mmBtu associated with natural gas.
4. Renewable premium/discount is determined from the day-ahead baseload prices for wind and day-ahead on-peak (i.e., as hours ending in 0700 to 2200 PST/PDT including weekends) prices for solar.

Day-ahead energy prices

Day-ahead load

Natural gas and emissions cash prices

HASP (15-min) energy prices

Actual load

Actual renewable generation

Day-ahead Expanded System A/S prices

Day-ahead Expanded System A/S minimum requirements

Renewable premium/discount relative to day-ahead prices

Description

Weekly Renewables

This panel provides for key renewable plants a summary for the week of Mon Dec 25, 2023 to Sun Dec 31, 2023.

Notes

1. Roll over each dot to get the details associated with the generating asset.
2. When the day-ahead price is above the real-time price (for a given node), it suggests that a bullish energy forecast is more favorable than a bearish one — an element to consider when offering the asset in the market.
3. When a generating asset has a nodal price quite different from its market hub, it means that the supply/demand balance at the node is quite sensitive (e.g., generation leads to local congestion, no generation leads to expensive local imports) — something to recognize, in addition to the generating profile risk, when hedging forward.

On-peak prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Baseload prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Description

52-Week Review

This panel provides an overview of the last 52 weeks, i.e., from Mon Jan 02, 2023 to Sun Dec 31, 2023.

Notes

1. We only show prices associated with hubs.
2. We define peak (not to confuse with on-peak) hours from 1600 to 2000 PST/PDT. Non-peak hours are the other hours.
3. Residual load is the load less renewable generation — it is mostly the load served by thermal generating units.
4. We assume a carbon dioxide emissions coefficient of 53.07 kg/mmBtu associated with natural gas.
5. We determine the average revenue associated with renewable energy based on the actual generation and day-ahead prices. We compare the average revenue with baseload prices for wind and on-peak (i.e., as hours ending in 0700 to 2200 PST/PDT including weekends) prices for solar.

Day-ahead energy prices

Actual load

Natural gas and emissions cash prices

Day-ahead peak/non-peak price spread distribution

Day-ahead Expanded System A/S prices

Actual renewable generation

Day-ahead/HASP (15-min) price spread distribution

Day-ahead Expanded System A/S minimum requirements

Renewable average revenue relative to average price

Description

52-Week Renewables

This panel provides for key renewable plants an overview of the last 52 weeks, i.e., from Mon Jan 02, 2023 to Sun Dec 31, 2023.

Notes

1. Roll over each dot to get the details associated with the generating asset.
2. When the day-ahead price is above the real-time price (for a given node), it suggests that a bullish energy forecast is more favorable than a bearish one — an element to consider when offering the asset in the market.
3. When a generating asset has a nodal price quite different from its market hub, it means that the supply/demand balance at the node is quite sensitive (e.g., generation leads to local congestion, no generation leads to expensive local imports) — something to recognize, in addition to the generating profile risk, when hedging forward.

On-peak prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Baseload prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Description

Weekly Review

This panel provides an overview for the week of Mon 25 Dec 2023 to Sun 31 Dec 2023.

Notes

1. Intra-day energy prices panel is currently a place holder. We are in the process of getting intra-day orders from EPEX SPOT.
2. Renewable energy accounts for biomass, geothermal, run-of-river, solar, waste and wind generation.
3. We assume a carbon factor of 0.18404 mt/MWh and an efficiency of 50% for the calculation of clean spark spread (css).
4. We assume a carbon factor of 0.32356 mt/MWh and an efficiency of 40% for the calculation of clean dark spread (cds).
5. Renewable premium/discount is determined from the day-ahead baseload prices for wind and day-ahead on-peak prices for solar.
6. We define on-peak hours as hours ending in 0900 and 2000 CET/CEST — including weekends.

Day-ahead energy prices

Day-ahead cross-border energy prices

Actual and residual loads

Intra-day energy prices

Fuels and emissions cash prices

Actual renewable generation

Balancing energy prices

Clean dark/spark spreads

Solar/wind premium/discount relative to day-ahead prices

Description

52-Week Review

This panel provides an overview of the last 52 weeks, i.e., from Mon 02 Jan 2023 to Sun 31 Dec 2023.

Notes

1. We define winter from December to February, while summer represents the other months.
2. We define on-peak hours as hours ending in 0900 and 2000 CET/CEST — including weekends.
3. Renewable energy accounts for biomass, geothermal, run-of-river, solar, waste and wind generation.
4. We assume a carbon factor of 0.18404 mt/MWh and an efficiency of 50% for the calculation of clean spark spread (css).
5. We assume a carbon factor of 0.32356 mt/MWh and an efficiency of 40% for the calculation of clean dark spread (cds).
6. We determine the average revenue associated with renewable energy based on the actual generation and day-ahead prices. We compare the average revenue with baseload prices for wind and on-peak prices for solar.

Day-ahead energy prices

Day-ahead cross-border energy price distribution

Actual and residual loads

Day-ahead on-peak/off-peak price spread distribution

Fuels and emissions cash prices

Actual renewable generation

Day-ahead/balancing price spread distribution

Clean dark/spark spreads

Renewable average revenue relative to average price

Description

Backtesting

We have backtested two power assets (see this document for an introduction to backtesting)

• DE Coal Plant — Coal-fired plant located in Germany
• DE Battery — Electrical energy storage (100 MW, 400 MWh) located in Germany

over the time horizon from Sun 02 Jul 2017, to Sat 30 Jun 2018.

For each asset, we have run three scenarios:

1. Day-ahead market only
2. Day-ahead and intra-day markets without the ability to buy and sell multiple times the same products (flip-flopping) — we allow arbitrages between these two markets
3. Day-ahead and intra-day markets with flip-flops — we allow arbitrages between these two markets

From these scenarios, we can compute the contribution associated with each market and trading strategy.

Key assumptions

• Break-even gross margin:
  • CAPEX €990/kW
  • O&M costs €11.0/kW-yr and warranty costs €13.0/kW-yr
  • Capital structure
    • 20% debt at 8%
    • 80% equity at 12%
• Flip-flops must be supported by the asset — i.e., we cannot sell/purchase intra-day orders without generation or consumption, or “spinning” reserve up/down.
• We sell at bid price, purchase at offer price.
• Due to the number of daily intra-day orders in Germany (more than 1 million per day), we have only considered 20 MW orders and above.

Fixed O&M related to German coal plant

DE Coal Plant’s total gross margin

DE Coal Plant’s weekly gross margins

DE Coal Plant’s sales & purchases

Break-even gross margin for a new battery in Germany

DE Battery’s total gross margin

DE Battery’s weekly gross margins

DE Battery’s sales & purchases

Description

Weekly Review

This panel provides an overview for the week of Mon Dec 25, 2023 to Sun Dec 31, 2023.

Notes

1. We only show prices associated with hubs, i.e., no load zones or nodes.
2. Residual load is the load less renewable generation — it is mostly the load served by thermal generating units.
3. Renewable premium/discount is determined from the day-ahead baseload prices for wind and day-ahead on-peak (i.e., as hours ending in 0700 to 2200 CST/CDT including weekends) prices for solar.

Day-ahead energy prices

Day-ahead load

Natural gas cash prices

Real-time (15-min) energy prices

Actual load

Actual renewable generation

Day-ahead A/S prices

A/S total offers

Renewable premium/discount relative to day-ahead prices

Description

Weekly Renewables

This panel provides a summary for the week of Mon Dec 25, 2023 to Sun Dec 31, 2023.

Notes

1. Roll over each dot to get the details associated with the generating asset.
2. When the day-ahead price is above the real-time price (for a given node), it suggests that a bullish energy forecast is more favorable than a bearish one — an element to consider when offering the asset in the market.
3. When a generating asset has a nodal price quite different from its market hub, it means that the supply/demand balance at the node is quite sensitive (e.g., generation leads to local congestion, no generation leads to expensive local imports) — something to recognize, in addition to the generating profile risk, when hedging forward.

On-peak prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Baseload prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Description

52-Week Review

This panel provides an overview of the last 52 weeks, i.e., from Mon Jan 02, 2023 to Sun Dec 31, 2023.

Notes

1. We only show prices associated with hubs, i.e., no load zones or nodes.
2. We define winter from December to March, while summer represents the other months.
3. We define peak (not to confuse with on-peak) hours during the summer as hours ending in 1500 to 1900 CST/CDT; and during the winter as hours ending in 0600 to 0900 CST/CDT (early morning) and 1700 to 2100 CST/CDT (early evening). Non-peak hours are the other hours.
4. Residual load is the load less renewable generation — it is mostly the load served by thermal generating units.
5. We determine the average revenue associated with renewable energy based on the actual generation and day-ahead prices. We compare the average revenue with baseload prices for wind and on-peak (i.e., as hours ending in 0700 to 2200 CST/CDT including weekends) prices for solar.

Day-ahead energy prices

Actual load

Natural gas prices

Day-ahead peak/non-peak price spread distribution

Day-ahead A/S prices

Actual renewable generation

Day-ahead/real-time (15-min) price spread distribution

A/S total offers

Renewable average revenue relative to average price

Description

52-Week Renewables

This panel provides an overview of the last 52 weeks, i.e., from Mon Jan 02, 2023 to Sun Dec 31, 2023.

Notes

1. Roll over each dot to get the details associated with the generating asset.
2. When the day-ahead price is above the real-time price (for a given node), it suggests that a bullish energy forecast is more favorable than a bearish one — an element to consider when offering the asset in the market.
3. When a generating asset has a nodal price quite different from its market hub, it means that the supply/demand balance at the node is quite sensitive (e.g., generation leads to local congestion, no generation leads to expensive local imports) — something to recognize, in addition to the generating profile risk, when hedging forward.

On-peak prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Baseload prices ($/MWh)

Day-ahead/real-time price spreads

Hub day-ahead price spreads

Description

Backtesting

We have backtested two power assets (see this document for an introduction to backtesting)

• Odessa — Combined-cycle located in West hub
• Battery West — Electrical energy storage (100 MW, 400 MWh) located in West hub

over the time horizon from Mon Jan 02, 2023, to Sun Dec 31, 2023.

For each asset, we have run three scenarios:

1. Day-ahead market only
2. Day-ahead and capacity markets — we allow arbitrages between these two markets
3. Day-ahead, capacity and real-time markets — we allow arbitrages between these three markets

From these scenarios, we can compute the contribution associated with each market.

Key assumptions

• Break-even gross margin for a new CCGT:
  • CAPEX $1,000/kW
  • O&M costs $12.0/kW-yr
  • Capital structure
    • 20% debt at 8%
    • 80% equity at 12%
• Break-even gross margin for a new battery:
  • CAPEX $1,040/kW
  • O&M costs $11.6/kW-yr and warranty costs $13.6/kW-yr
  • Capital structure
    • 20% debt at 8%
    • 80% equity at 12%
• Limits on the amount of reserve that a power asset can offer
  • RDown 65 MW
  • RUp 80 MW
  • RRS 190 MW
  • NSpin 165 MW
• Probability of being activated
  • RDown 35%
  • RUp 35%
  • RRS 20%
  • NSpin 5%
• Limits on real-time purchases and sales are respectively
  • 20% of the consumption capacity
  • 20% of the available generation capacity

Break-even gross margin for a new CCGT

Odessa’s total gross margin

Odessa’s weekly gross margins

Odessa’s sales & purchases

Break-even gross margin for a new battery

Battery West’s total gross margin

Battery West’s weekly gross margins

Battery West’s sales & purchases

Description

France

Generation’s Carbon Footprint

This panel shows the carbon footprint associated with electricity generation in France over the past month and the past twelve months. Carbon intensity varies depending on fuel and efficiency.

Notes

1. The Paris Agreement has a target of about 15kgCO2e/MWh for 2050.
2. We define on-peak hours as hours ending in 0900 and 2000 CET/CEST for each day, excluding weekend days and regardless of public holidays.

Total carbon emissions from January 2023 to December 2023

Share of carbon intensity by source for the month of December 2023

Distribution of hourly carbon intensities from January 2023 to December 2023

Distribution of hourly carbon intensities as a function of solar/wind generation from January 2023 to December 2023

Total generation from January 2023 to December 2023

Share of generation by source for the month of December 2023

Generation by source from January 2023 to December 2023

Generation by source as a function of solar/wind generation from January 2023 to December 2023

Description

ERCOT

Generation’s Carbon Footprint

This panel shows the carbon footprint associated with electricity generation in ERCOT over the past month and the past twelve months. Carbon intensity varies depending on fuel and efficiency.

Notes

1. The Paris Agreement has a target of about 15kgCO2e/MWh for 2050.
2. The strong correlation between sunlight and wind between the various renewable power generation assets in Texas makes it very expensive to rely solely on these to achieve net-zero emissions (see bottom right graphic).
3. We define peak (not to confuse with on-peak) hours during the summer as hours ending in 1500 to 1900 CST/CDT; and during the winter as hours ending in 0600 to 0900 CST/CDT (early morning) and 1700 to 2100 CST/CDT (early evening). Non-peak hours are the other hours.

Total carbon emissions from December 2022 to November 2023

Share of carbon intensity by source for the month of November 2023

Distribution of hourly carbon intensities from December 2022 to November 2023

Distribution of hourly carbon intensities as a function of solar/wind generation from December 2022 to November 2023

Total generation from December 2022 to November 2023

Share of generation by source for the month of November 2023

Generation by source from December 2022 to November 2023

Generation by source as a function of solar/wind generation from December 2022 to November 2023

Description

Germany

Generation’s Carbon Footprint

This panel shows the carbon footprint associated with electricity generation in Germany over the past month and the past twelve months. Carbon intensity varies depending on fuel and efficiency.

Notes

1. The Paris Agreement has a target of about 15kgCO2e/MWh for 2050.
2. The strong correlation between sunlight and wind between the various renewable power generation assets in Germany makes it very expensive to rely solely on these to achieve net-zero emissions (see bottom right graphic).
3. We define on-peak hours as hours ending in 0900 and 2000 CET/CEST for each day, excluding weekend days and regardless of public holidays.

Total carbon emissions from January 2023 to December 2023

Share of carbon intensity by source for the month of December 2023

Distribution of hourly carbon intensities from January 2023 to December 2023

Distribution of hourly carbon intensities as a function of solar/wind generation from January 2023 to December 2023

Total generation from January 2023 to December 2023

Share of generation by source for the month of December 2023

Generation by source from January 2023 to December 2023

Generation by source as a function of solar/wind generation from January 2023 to December 2023