We analyzed the auction as arranged by APX-Endex. The auction will take place on 28 November 2012, and will sell the capacity for 2013/2014. Based on our assessment, KYOS believes € 4.00 is a fair price for a Standard Bundled Unit. This is a decrease of 49% compared to the fair value of the previous auction. The main reason for the decline is the reduced summer-winter spread.
The calculated full option value is based on a spot trading strategy including forward hedges, making it possible to secure most of the full storage value.
► click here to download the full report
News from 29 November:
The actual auction price ended at Euro 3.63. This is quite close to our assessment of 4.00 EUR/SBU, as published before the auction. In the previous auction (Feb-12) we estimated the value of the GasTerra storage to be 7.83, with an actual outcome of 6.28 EUR/SBU. That is a pretty large gap meaning we were of the opinion the storage was undervalued. Generally speaking we can conclude that the market has moved closer to KYOS’ assessment. The gap is now only 0.37 EUR/SBU.
Our overall assessment is lower than last time, and the auction outcome as well, because: a) the winter-summer spread (Q1 = winter minus Q3 = summer) has declined from 4.61 EUR/MWh to 2.29 EUR/MWh, and b) according to our analysis, spot volatility has gone down from 48% to 36%.
Would you also like to make your gas storage facility more profitable? Our gas storage modelling software makes this possible. KyStore supports traders and portfolio managers in natural gas markets. The gas storage optimization software raises revenues from gas storage trading operations, provides accurate valuations and reduces risk with adequate hedge recommendations. The model uses advanced stochastics including Least Squares Monte Carlo techniques to capture the full optionality in gas storage facilities.
Contact us for a free demonstration. We are more than happy to show you what our model can do. And more importantly, how it can work for you! Just leave your details in the black section below, or send an e-mail to email@example.com
Nieuwe Gracht 49
2011 ND Haarlem
Tel: +31 (0)23 551 02 21
Contact us via the form below. We will reply within 48 hours.