Electric Forward Market Report

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Transcription:

Mar-01 Mar-02 Jun-02 Sep-02 Dec-02 Mar-03 Jun-03 Sep-03 Dec-03 Mar-04 Jun-04 Sep-04 Dec-04 Mar-05 May-05 Aug-05 Nov-05 Feb-06 Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Apr-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 Electric Forward Market Report Front Year PJM Western Hub On-Peak (5x16) - $140 $120 $100 $80 $20 $0

Electric Forward Market Report Annual PJM Western Hub On-Peak (5x16) - $90 $80 $70 $20 $10 $0 Forward Year Average 2011 2012 2013 2014 2015 2016

Electric Forward Market Report Front Strips, PJM Western Hub On-Peak (5x16) - $70 $65 $55 $45 $35 12 Month 18 Month 24 Month Current 1 Week Ago 1 Month Ago 3 Months Ago 1 Year Ago

Electric Forward Market Report Calendar Forward Strips PJM Western Hub On-Peak (5x16) - $35 2016 2017 2018 Current 1 Week Ago 1 Month Ago 3 Months Ago 1 Year Ago

$70 Electric Forward Market Report Summer Calendar Strips, PJM Western Hub On-Peak (5x16) - $65 $55 $45 $35 2018 2019 2020 2021 Current 1 Week Ago 1 Month Ago 3 Months Ago 1 Year Ago

May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Electric Forward Market Report Term Structure, Monthly PJM Western Hub On-Peak (5x16) - $55 $45 $35 Current 1 Week Ago 1 Month Ago 3 Months Ago 1 Year Ago

PJM Western Hub - - 12 Month Strip 5-Year Regression Analysis - Forward Gas vs. Forward Electricity PJM Western Hub / NYMEX 12 Month Strip $90 $80 Outliers from Jan 14 caused a significant drop in R2 but the regression equation is still appropriate. $70 $20 $10 y = 8.0763x + 17.04 R² = 0.5809 $0 $2 $3 $3 $4 $4 $5 $5 $6 NYMEX Gas $/MMBTU - 12 Month Strip

PJM Western Hub - - 12 Month Strip $46 1-Year Regression Analysis - Forward Gas vs. Forward Electricity PJM Western Hub / NYMEX 12 Month Strip $44 $42 $38 $36 $34 $32 y = 5.5336x + 20.497 R² = 0.3089 $3.00 $3.05 $3.10 $3.15 $3.20 $3.25 $3.30 $3.35 $3.40 $3.45 $3.50 NYMEX Gas $/MMBTU - 12 Month Strip

PJM Summary Report Front Year PJM Western Hub On-Peak Graph p. 1 Average of the Front 12-Months NYMEX Future Contracts for PJM West-Hub Electric trading on that Date Example: The Front-Year on 7/15/08 was the Average of the Jul-08 to Jun-09 contracts, which was $104.35/MW Annual PJM Western Hub On-Peak Graph p. 2 Historical front-year PJM Western Hub price vs. the average 12-Month price by Calendar Year Example: Calendar Year 2010 is the Average of the Jan-10 to Dec-10 contracts for all dates that those 12 contract months were trading Front Strips, PJM Western Hub On-Peak Graph p. 3 Average of the 12, 18, and 24 Month forward on-peak PJM West Hub prices compared to the same durations 1 Week, 1 Month, 3 Months, and 1 Year ago Example: 18-Month Duration on 7/15/08 was the average of the Jul-08 to Dec-09 contracts, which was $103.05/MW 1 Month Ago, the average price on 6/15/08* was for the months Jun-08 to Nov-09 and was $110.99/MW Calendar Forward Strips, PJM Western Hub On-Peak Graph p. 4 Average of January to December On-Peak PJM West Hub prices for the noted year at Current Price, 1 Week, 1 Month, 3 Months and 1 Year Ago Summer Calendar Strips, PJM Western Hub On-Peak Graph p. 5 Average of June to September On-Peak PJM West Hub prices for the noted year at Current Price, 1 Week, 1 Month, 3 Months and 1 Year Ago Term Structure, Monthly PJM Western Hub On-Peak Forward Curve p. 6 PJM Western Hub On-Peak price of each contract month as they settled on the Current (most recent) close date, 1 Week, 1 Month, 3 Months, and 1 Year Ago Purpose: To show the relative shape of the forward curve. Note that Winter and Summer contracts are higher than shoulder months 5-Year Regression Analysis - Forward Gas vs. Electricity p. 7 Relationship of natural gas forwards (1-yr strip) and electricity forwards (1-yr peak strip) over the last five years Explanation: Each data point represents where the electric (y-axis) and gas (x-axis) closed on a given day Purpose: To demonstrate the very close relationship of gas and electric prices over the past 5 years PJM Western Hub is used because it is the most liquid of traded nodes in the world and therefore removes any localized anomolies from the data 1-Year Regression Analysis - Forward Gas vs. Electricity p. 8 Relationship of natural gas and electricity forwards (1-yr peak strip) over the last year PJM Western Hub is used because it is the most liquid of traded nodes in the world and therefore removes any localized anomolies from the data *6/15/08 was a Sunday, average prices would be based on 6/13/08 close PJM Report Chart Descriptions