Challenges of Power Price Forecasting

Transcription

1 Challenges of Power Price Forecasting 9th Energy & Finance Conference, Essen 10 th October 2013 Thomas Pieper, RWE Supply & Trading PAGE 1

2 Major fundamental factors influencing power prices on the wholesale market Fuel Markets Precipitation / Snow melt Reservoir / Runof-River Hydro Plants CO 2 prices Gas prices Crude prices Coal prices Marginal costs of thermal plants Revision schedule Supply Wind Wind generators Renewable power generation Thermal power generation Available capacity Unplanned outages Solar radiation Photovoltaic / Solar Power price Cross-border exchange balance Cloud cover Lighting Consumer behaviour School Holidays Temperature Air Conditioning/ Electric Heating Bank Holidays Demand Weather Impacts Time of day These principles remain intact but interdependencies are becoming more complex and global Page 2

3 Challenges of Power Market Analysis 1. Analysis must go global!!! Interdependencies with macroeconomics and global energy markets increasingly influence our local power and gas markets 2. Understand the neighbouring markets!!! Crossborder effects become stronger among the European power markets. 3. Meteorology is essential!!! Weather impact is increasing. 4. Data mining remains key!!! Data transparency is lagging behind. Page 3

4 1. Increasing Global Interdependencies Global macro and global primary fuel developments increasingly influence our regional fuel and power markets US Shale Gas Boom Energy Efficiency / Demand Destruction Renewables Expansion Asian Energy Appetite Acceptance of Nuclear Energy Global Freight (LNG, Dry bulk) Environmental Policy (CO 2, SO x /NO x ) Power Demand Renewable Generation Power Price Cross-border Flows Power Plant Availability Arab Spring Abenomics US Budget Crisis Chinese 5-Year Plan Geopolitics Quantitative Easing EU Debt Crisis Page 4

5 2. Increasing Cross Border Dependency Germany is exporting weather and availability effects abroad and vice versa. Export effects German PV and wind sensitivity (but renewables shut-in effect due to limited crossborder capacities) German nuclear availability (esp. nuke moratorium in March 11) Import effects French temperature sensitivity French nuclear availability Nordic, Alpine and Balkan hydro sensitivity Dutch gas sensitivity (and further links to UK and Nordic via BritNed and NorNed cable) Increasing swing character of Polish and Czech border as well as Hungarian and Slovenian border via Austria (Hungarian and Czech nuke availability, hydro in Balkans) Market Coupling will accelerate crossborder effects further Net transfer capacity in MW NL 2,700 FRANCE 3,000 3,500 SWITZERLAND (Winter 2010/11) 3,850 3,200 DENMARK WEST EAST 1, , GERMANY 2, SWEDEN 610 1,200 POLAND 1,100 2,300 CZECH 2,000 AUSTRIA Page 5

6 2. Development of German Crossborder Exchange Balance*: Increasing Exports with higher Volatility day Moving Average Mean and Enveloping Standard Deviation (in MW) German imports German exports Jan-10 Apr-10 Jul-10 Oct-10 Fukushima and nuke moratorium Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Upper STD band Average Lower STD band Jul-13 * Net German crossborder nominations (Denmark, Sweden, Poland, Czech, Austria, Switzerland, France, Netherlands) Page 6

7 3. German renewable capacities continue to grow impacting residual demand and spot price. Residual demand* for conventional electricity production A Summer weekday in Germany, in GW Latest installation numbers (as of Aug13): - PV 34.8 GW - Wind 32.1 GW (thereof 0.5 GW offshore) German PV and wind installations account for 46% of installed capacity and 23% of generated power. Expected reform of the renewables law under the new German government causes major uncertainties regarding renewables capacity growth PV generation is driving down residual demand and spot price in sunshine hours: from dromedary to camel shape :00 06:00 12:00 18:00 * Residual demand: UCTE hourly load wind and PV generation Page 7

8 4. Multiple disclosure requirements from various sources exist and are often discussed but not yet uniformly set Legal Framework Legal Overlap Mainly EU Congestion Guideline, REMIT, Markttransparenzstellengesetz (Germany), EU Regulation 714/2009 and EU Directive 2003/6/EC Overlapping in disclosure requirements for ex ante and post market data as part of the financial markets regulation and fraud control (e.g. EMIR, MIFID) Associations & Authorities ACER, ERGEG, Entso-E, EFET, Eurelectric, BNetzA, BKartA Market Power producers, TSOs and transparency platforms: e.g. RWE, Eon, EnBW, GdF Suez, RTE, Elia, EEX, Nordpool, EMFIP RTE real-time electricity generation EEX available generation capacity 1) 1) Voluntary Commitment Page 8

9 4. Quality before Quantity How to improve publication requirements of power plant data? Current Status: Data Quality and IT Issues Data inconsistencies (definitions, granularity) Differing time horizons and completeness of published revision plans Missing of relevant plants or specific outage data Availability forecasts are too optimistic compared D-30 vs. D-1 Non-timely publication of revision extensions and unplanned outages Handling data errors (double entries) and corrections Handling newbuild or mothballed capacities (test operations, etc.) Problems on tracking data updates and changes Establish European-wide standards for power plant data A uniform transparency platform with consistent publications Publication of realistic capacity availabilities Identical data granularity and publishing frequency Ad-hoc announcements of unplanned power plant outages Publication of realistic and complete revision plans Solid and reliable data structure More focus regarding data corrections Clear labelling and consistent rules when correcting data Possibility of tracking events (outages, revisions, etc.) Page 9