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Description

Energy markets in Europe are changing at a fast pace.

Established monopolies have to cope with fierce competition from other worldwide utilities and energy traders. As in most liberalized industries, consolidation has started to take place. Major utilities have formed joint ventures or are merging to cover lost domestic market share or to increase their power capacity base. An example is the take-over of the Dutch generator EPON by Belgium's Electrabel.

In such transactions it is often an Investment Banker who assesses the company's value. However, Energy Traders, with a sound knowledge of option theory and understanding of energy markets and their volatility, are in a better position to value stand alone assets such as power plants. A so-called tolling agreement is a perfect example.

The book describes some aspects of the gas and power markets in Europe, points out and explains the relevant academic literature on asset valuation and explores a pricing model which can be used to value Spark Spread Options, i.e. generation units. The model is calibrated according to the physical reality of gas-fired plants as well as prevailing market conditions, leading to a value for power plants at different European locations.

Around the concept of a Spark Spread, the value differential between the price of one unit of power and the price of the natural gas volume required to produce that unit, the objective of this case study is to provide tools to assess the value of power generation units.