Modellering av säkringsstrategier för en elförsäljningsportfölj

Because of the high volatility of the electricity spot price there is a necessity of hedging the sales price of the production. The electricity spot price are volatile and are affected by climate, producer supply and political decisions. This means that the revenues from the power activites can vary alot from one year to another. The revenues from the power activites are especially important to be able to budget with probability since they are included in the total budget of Umeå municipality. In order to evaluate possible investment strategies the production along with the electricity spot- and futures prices of different maturities are modelled together. The modelling of production and electricity spot prices are based on a general seasonal block bootstrap method. Furthermore, two different assumptions are made about the relationship between spot prices and futures prices. The first emprical model is based on an assumption that there exists a mismatch between spot prices and the futures prices and historical differences are used to calculate this. The second model is based on the assumption that the futures prices are the same as the expected future spot price and that these are consistent. The municipality’s current strategy is to hedge 300 GWh of the annual production in futures with three different maturities and sell the remaining of the production at spot price. This strategy can be seen as an average of four electricity prices and therefore reduces the risk of mismatch between the futures and spot price. The empirical study show that historically it has been most profitable to invest in futures with maturity of three years. This has to do with the historical differences between futures prices and the electricity spot prices for this maturity has been the largest and thus gives the highest expected sales profit in the model. Furthermore, the study show that it has been more profitable to invest in futures compared with selling to spot price. Whether this is something that will continue into the future is uncertain due to the nature of the futures contract and the pricing of these. Finally, the study also show which investment strategies has been most profitable in a so-called backtest