節點風險：如何辨別信息并避免常見陷阱.pdf

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1、Nodal Risks:What To Believe and How to Avoid Common PitfallsMay 1st,2024Olivier Beaufils,Market Lead,ERCOT2Source:Aurora Energy ResearchAurora provides power market leading forecasts&data-driven intelligence for the global energy transitionRegular detailed coverageAnalytics on demandPower marketsRen

2、ewables&PPAsStorageHydrogenNatural gasCarbonElectric vehiclesH2CO2So PauloAustinOaklandGrid&CongestionStockholmSydneyMelbourneTokyoSingaporeDelhiNew YorkBerlinParisRomeAthensOxfordMadrid14officesand two more coming soon600+market experts850+subscribing companies150+transactions supported in 2023Noda

3、l Risks:What To Believe and How to Avoid Common Pitfalls3Average Real-Time SPPs1 7PM June 20,2023Sources:Aurora Energy Research,ERCOTA market like ERCOT is susceptible to extreme price differentiation,with increased offers rather than scarcity pricing driving high prices in 2023Average price3 breakd

4、own when hourly ATC price$500/MWh$/MWh1)Settlement Point Price.2)2023 data YTD through October 31.3)Lower Rio Grande Valley.3)Real-Time price.February 2021 excluded.5,000$/MWh185$/MWhIn LRGV2,the RT prices were as low as$185/MWh due to severe congestion,a$4,457/MWh basis to the South hub.95%of real-

5、time nodal prices exceeded$4,000/MWh as margins tightened by high demand and low wind paired with solar ramp-down.HoustonAustinSan AntonioLubbockDallas-Fort Worth6998093959349031,611366123220(24%)2018782(40%)2019372(49%)202068(7%)2021367(26%)202248(3%)202329201,9567671,0251,3931,691Energy price(syst

6、em lambda)Reliability adderORDC adderThe ORDC adder made up just 3%of ATC value when prices exceed$500/MWh.Nodal Risks:What To Believe and How to Avoid Common PitfallsNumber of hours when hourly ATC price$500/MWh285117237510612023 has seen extreme price differentiation in the market1Value has been i

7、ncreasingly coming from the offer price rather than price adders,which exacerbates existing basis risk24-200-150-100-50050100150200250Sources:Aurora Energy Research,ERCOTGetting forecasted nodal basis or curtailment wrong can make or break projects and expose assets to massive risks1)All data for Ju

8、ne 2023 on slide.SPP=Settlement Point Price.2)Additionally showing 345kv and 138kv lines in green and GTCs in red.67+35 South hub ATCTGW SPPCedro Hill SPPTGW basisCedro Hill basisAverage Real-Time ATC price and basis June 2023,$/MWhAverage Real-Time SPPs1 June 2023Key2Project size,GWTechnologyATC pr

9、ice,$/MWhCCGTPeakingWindSolarBattery100300500Cedro Hill WindTexas Gulf Wind(TGW)-27.7-13.4GWA basis,$/MWhMonthly avg.-52.3-13.3Peak price hours coincide with high wind output and create large negative basisATC basis,$/MWhMonthly avg.Some wind assets are seeing extreme basis risk in the South hub bec

10、ause of high wind production at negative basis hours2Average Real-Time SPPs1 June 2023Congestion in LRGV has driven severe basis for several wind assets1Nodal Risks:What To Believe and How to Avoid Common Pitfalls5Sources:Aurora Energy Research,ERCOTERCOT continues to be a volatile market,with only

11、1 in 10 of nodes in the top 10th percentile in 2019 remained in the top 50th percentile by 2022ERCOT nodal ATC basis1 percentile range,2019(left)and 2022(right)Nodal percentile countBottom 10thpercentile nodesTop 10thpercentile nodes4040X9050-7518164023Only 10%of nodes in the 90thDA ATC price percen

12、tile in 2019 remained in the top 50thpercentile in 2022(4 of 40 nodes).1The only node from the selected set in the top 90thDA ATC price percentile in 2022 was in the bottom 10th price percentile in 20191)Basis calculated as the average Day-Ahead ATC price at the settlement point,subtracting the aver

13、age Day-Ahead ATC price of the relevant hub(Panhandle assets compared to the West Hub).Number of nodesNodal Risks:What To Believe and How to Avoid Common Pitfalls6 6ATC basis of node SIRIUS_UNIT11$/MWh Regression-based analysis uses past to guide the future.Therefore,forecasts are largely dependent

14、on past trends.However,when the trend is non-linear,this is not captured in a regression-based approach.As the network gets increasingly complex could interactively affect a nodes performance,making regression-based modeling more challenging.Sources:Aurora Energy Research,ERCOTPitfall 1|Past trends

15、are a poor guide to future nodal prices,as transmission dynamics create step changes1)The SIRIUS_UNIT1 node is in the McCamey region in ERCOT with a solar asset online before 2017.2)Total solar capacity in the McCamey region.No growth in capacity in 2021 and 2022.100200300400500600700800900-11-10-9-

16、8-7-6-5-4-3-2-1001232016201720182019202020212022Regression hypothesisHistorical data before 2020Real data after 2020Regression result after 2020Increasing amount of renewable capacity in the McCamey region in earlier years caused ERCOT to trigger a GTC in 2018,which significantly depressed the ATC b

17、asis in the subsequent years.Solar Capacity2,MWHistorical data before 2020Historical data after 2020A linear regression-based forecast would lead to a basis of approximately$-10/MWh as the solar capacity in the McCamey region reaches 900MW.Regression lineRegression forecast errorIn reality,as the so

18、lar capacity in the McCamey region reaches 900MW in 2020,basis increased to$-0.9/MWh as upgrades happened.Basis further improved in 2022 as GTC was lifted.Nodal Risks:What To Believe and How to Avoid Common Pitfalls7Sources:Aurora Energy Research,ERCOTPitfall 2|Failing to consider broader system-dyn

19、amics such as GTCsEven distant lines and generators can materially impact local prices and congestion-20-10010209575502505T-1:no GTC bindingT:Hour when GTC binding is triggeredChange in price at the Houston Hub2 when the WTE3 GTC binds$/MWh1)GTC line locations are approximate.2)Prices are averaged p

20、rices across all nodes in Houston Hub.3)West Texas Export.T:GTC binding+$1.3/MWhNodal analysis should consider more than just local dynamics.Aurora forecasts Large Generic Transmission Constraints to remain in ERCOT which can have far reaching impacts1For example,the WTE GTC binding hours led to lar

21、ge cost impacts in the Houston hub,hundreds of miles away.2Nodal Risks:What To Believe and How to Avoid Common Pitfalls Panhandle Key drivers:Wind generation attempting to export power to the DFW area.Key trends:Without upgrades,the Panhandle GTC binds during hours with high wind production.GTCs in

22、ERCOT active through 20501 North To Houston Key drivers:Load growth requiring imports from baseload generation in the North Hub.Key trends:As more baseload generation retires in the area,the North to Houston GTC begins to bind more in the forecast.CA West Texas Export(WTE)Key drivers:Large renewable

23、s buildout in West Texas attempting to export power Key trends:Renewable capacity build in the North and South Hubs eventually helps eases congestion.BCAABBBKey345 kV lines100+kV linesNetworkGTC lines8Sources:Aurora Energy Research,ERCOTPitfall 3|Taking the interconnection queue at face value and ov

24、erestimating(or underestimating)overbuild risks1)2023 deployment YTD through September 30.2023 queue size using projects in the September 2023 GIS queue;all other years using January of the following years GIS.2)Using projects in the September 2023 GIS queue.County-level distribution of projects in

25、the queue3,GW02468All Texas counties in ERCOTBatterySolarWindThermal35%(3GW)in Harris county21%(5GW)in five West counties9%(11GW)in Wharton and Brazoria counties10%(10GW)in Harris and Brazoria counties18 counties in ERCOT have no projects in the queueNumber of counties with active projects,ordered f

26、ewest to most1432352163Brazoria county has the highest queue capacity at 10.2GWFuture generator deployment does not scale linearly with queue growth;external factors may accelerate or decelerate deployments1Projects are concentrated in few counties;practical constraints,reliability issues,and changi

27、ng economics lead to high dropout rates2Nodal Risks:What To Believe and How to Avoid Common PitfallsWindBattery storageUtility solarPeakingTechnologyNetwork345 kV lines100+kV linesKeyGas CCGTOtherInstalled CapacityMW1001000500ACCAABBERCOTs full interconnection queue as of September 20239Pitfall 4|Co

28、nsider the transmission system static beyond planned upgradesTransmission outlook evolves with market conditions and forecasts should reflect thisSources:Aurora Energy Research,ERCOT,PotomacNodal Risks:What To Believe and How to Avoid Common PitfallsAuroras forecasted network upgrades and newbuild c

29、apacity(2027-35)1)Includes capacity coming from new transmission lines and capacity added to existing corridors.2)Inflation Reduction Act.Major upgrades are implemented near large solar interconnections supported by the IRA2.Pre-dominantly RTP and RPG network upgrades02040608010012014016018020252030

30、2035204020452050Auroras forecasted cumulative network capacity buildout1 2024-2050,GWKeyExisting 345 kV linesExisting 100+kV linesNetworkUpgraded 345 kV transmissionUpgraded 100+kV transmissionExisting 100kV linesUpgraded 100kV transmissionTechnology WindSolarBattery storagePeakingGas CCGTOtherThe t

31、ransmission system will not remain static past 2027:post RTP,additional upgrades can be identified based on congestion costs1Future transmission upgrades can be modeled based on cost-benefit of investment 210Average GWA(2024-2035)$/MWh-yearSources:Aurora Energy ResearchPitfall 5|Having inconsistent

32、hub&nodal forecasts with different assumptions Forceasts should be based on internally consistent supply/demand/grid assumptions1)Interconnection agreement.352510Hub GWABasisAsset GWA352537Hub GWABasisAsset GWA32Average GWA(2024-2035)$/MWh-yearMarket study low case:lower gas prices and demandTransmi

33、ssion study low case:all local plants in IC queue buildUnderestimated project valuation Market and transmission low cases are often combined to create a downside scenario.In reality,market and transmission low cases are unlikely to occur together(e.g.,all IC queue plants will not build in an environ

34、ment with low natural gas prices).This pitfall can lead to inaccurate project valuations.Market study low case:lower gas prices and demandTransmission study low case:advanced stage local projects buildAccurate project valuation Utilizing a single provider for both market and transmission studies gua

35、rantees that results are driven from the same set of assumptions,which subsequently ensures consistency between forecasts,flexibility in scenario design and accuracy in project valuation.IllustrativeAdditional value unlocked with consistent forecastsCombining zonal and nodal pricing forecasts from d

36、ifferent sources with different assumptions can materially overestimate risk1Using internally consistent forecasts for zonal and nodal pricing evaluation may enable additional debt financing2Nodal Risks:What To Believe and How to Avoid Common Pitfalls11What do you need to do to avoid these five pitf

37、alls for your next asset valuation or project financing?Nodal Risks:What To Believe and How to Avoid Common PitfallsPitfallSolutionOver-relying on history to predict the futureUse bottom-up power flow SCED models to consider future capacity additions,transmission upgrades,and system-wide dynamicsFai

38、ling to consider system-wide power dynamics such as GTCsTaking the interconnection queue at face valueUse a capacity additions methodology based on historical success factors combined with project economicsOnly accounting for planned transmission upgradesModel further transmission upgrades based on

39、cost-benefit of investment Combining results from models with different assumptionsUse integrated models that provide consistent zonal and nodal forecasts driven by the same assumptions12AppendixI.About Aurora13Source:Aurora Energy ResearchOur market leading models underpin a comprehensive range ofs

40、eamlessly integrated services to best suit your needsAdvisoryAccess tailored expert adviceand analytics for your crucial projectsSoftware SolutionsMake standard analysis bespoke through direct access to our modelsSubscription AnalyticsReceive regularly updated forecasts,sample investment cases andti

41、mely deep-divesModels&DataMarket-leading models for power,gas,hydrogen,carbon,oil&coal marketsUnique SaaS subscriptions to create your own scenariosand asset-specific investment cases100+company licensesTrusted advice and dedicated support for strategy,investments,transactions and policy engagement1

42、400+projects globallyIndustry-standard outlook reports,bankable price forecasts and strategic insights for power and commodities600+subscribing companiesSTANDARDISEDCUSTOMISEDProprietary and continuously updated cutting-edge models populated with highest quality curated datasetsDeveloped over 10 yea

43、rs,40+dedicated modellersAbout Aurora14Sources:Aurora Energy ResearchWe are working with key US and international utilities,investors,lenders,developers and governmentAbout Aurora“Part of our policy role is to understand the data behind the system and reading your documents and getting insight from

44、yall at Aurora is fantastic.Thank you.”Jimmy Glotfelty,PUCT Commissioner15$348MM debt financing of 288MW of solar assets in ERCOT for Lightsource BP$568MM debt financing of a 350MW Storage portfolio in CAISO$650MM debt financing of a 215MW Solar+Storage facility in CAISO$130MM debt financing of a 15

45、0MW Solar project in ERCOTMarket advisor for debt financing of a 600 MW onshore wind farm in ERCOT for a global Canadian developerTax equity raise support for Solar+Storage project in CAISO for developerMarket advisor for debt financing of Gresham Houses 400+MW battery storage portfolio Debt financi

46、ng of a 826MW CCGT asset192MM debt financingSaltend CCGT with CHP.LMA for regular forecasts471 MW solar financing in ERCOT leveraging our market forecast and transmission modellingDebt financing of a 250MW Solar/150MW Storage project in CAISO for developerTax equity raise support for Storage project

47、 in ERCOT for developerMarket advisor for the financing of a portfolio of hydro and PV assetsSell side advisor for the largest operational battery storage portfolio within the frequency containment reserve in Europe(90 MW)Market advisor for first project financing of battery storage in the UK48MM de

48、bt financing220MW Potegowo onshore wind farm of Israel Infrastructure FundMarket Advisor for Debt financing providing structural floor pricing for term loansTax equity due diligence for Storage project in CAISO for financial institution investorAuroras price forecasts have been relied upon by lender

49、s in recently completed transactions:Aurora is trusted as a bankable lenders advisor across US and European power markets Source:Aurora Energy ResearchOngoing financing projects:About Aurora16 Technology,commodity,demand,policy assumptions etc.Sources:Aurora Energy ResearchAurora approach|Auroras bo

50、ttom-up power flow modelling is internally consistent with our market-wide outlook1)2022 ERCOT Regional Transmission Plan Report,using 2024 Base Case network model inputsContinuous iteration until an equilibrium is reached Simultaneously models wholesale and ancillary service markets Hourly granular

51、ity Iterative modelling Capacity build/exit/mothballing IRR/NPV driven Detailed technology assessments ERCOT Power Market ModelWholesale market assumptionsStep 1:Model the wholesale and ancillary marketsStep 2:Model the network flows Clears least cost dispatch under transmission constraints Calibrat

52、ed on historic prices and flowsERCOT Network Model Asset level generation Nodal price outcomes Transmission line flowsNetwork Level OutputsNetworkERCOT 2022 RTP network model1ERCOT TPIT and RTP transmission line upgradesGenerationERCOT interconnection queueLoadERCOT load demand forecastNodal load pa

53、rticipation factorsIndustrial load participationInput parameters Total load Generation mix and economic capacity expansion Economic plant retirements Short run marginal cost by plantMarket Level OutputsInputIn-house modelOutputFeed back loop for new build capacity Locational capacity limits Basis im

54、pacts on asset economicsAbout Aurora17Before economic upgrades2030 ATC heat map$/MWhSources:Aurora Energy Research,ERCOTAurora approach|New build generation assets and transmission upgrades are placed following an economic logic,which in turn influences future build1)2030 relative to 2023.Queue data

55、 from September 2023 GIS report.2)Budget assumed to scale from 3 billion dollars in 2024 to 6.3 billion by 2050.3)Generator bubbles sized by installed capacity.15NuclearCoalGas CCGTOther thermalSolarWindPeakingBatteryGTCsTop constraintsLine upgrades5747Austin52Thermal53Battery84Wind147Solar681220New

56、 installed capacity in Aurora Central1GWFrom queueEconomic buildMap of plant capacity near AustinCumulative line upgrades,GVAAnnual congestion rent,$bn01205010082024282025282026508202753202028533220295346203058738499Key:Lines and project technology3ERCOT planned line upgradesEconomic line upgradesCo

57、ngestion rent(right axis)KilleenWe forecast 46GW of new capacity on the system by 2030;67%is economic build.AThese factors and more contribute to Auroras Central view of ERCOT by 2030.DEconomic build is then mapped to optimal locations given practical constraints.BWe incorporate planned and economic

58、 line upgrades based on an annual scaling budget.2CEconomic build+placementAbout Aurora18General DisclaimerThis document is provided as is for your information only and no representation or warranty,express or implied,is given by Aurora Energy Research Limited and its subsidiaries Aurora Energy Rese

59、arch GmbH and Aurora Energy Research Pty Ltd(together,Aurora),their directors,employees agents or affiliates(together,Auroras Associates)as to its accuracy,reliability or completeness.Aurora and its Associates assume no responsibility,and accept no liability for,any loss arising out of your use of t

60、his document.This document is not to be relied upon for any purpose or used in substitution for your own independent investigations and sound judgment.The information contained in this document reflects our beliefs,assumptions,intentions and expectations as of the date of this document and is subjec

61、t to change.Aurora assumes no obligation,and does not intend,to update this information.Forward-looking statementsThis document contains forward-looking statements and information,which reflect Auroras current view with respect to future events and financial performance.When used in this document,th

62、e words believes,expects,plans,may,will,would,could,should,anticipates,estimates,project,intend or outlook or other variations of these words or other similar expressions are intended to identify forward-looking statements and information.Actual results may differ materially from the expectations ex

63、pressed or implied in the forward-looking statements as a result of known and unknown risks and uncertainties.Known risks and uncertainties include but are not limited to:risks associated with political events in Europe and elsewhere,contractual risks,creditworthiness of customers,performance of sup

64、pliers and management of plant and personnel;risk associated with financial factors such as volatility in exchange rates,increases in interest rates,restrictions on access to capital,and swings in global financial markets;risks associated with domestic and foreign government regulation,including exp

65、ort controls and economic sanctions;and other risks,including litigation.The foregoing list of important factors is not exhaustive.CopyrightThis document and its content(including,but not limited to,the text,images,graphics and illustrations)is the copyright material of Aurora,unless otherwise state

66、d.This document is confidential and it may not be copied,reproduced,distributed or in any way used for commercial purposes without the prior written consent of Aurora.Details and disclaimerPublication:Large Scale Solar 2024 Nodal Risks:What To Believe and How to Avoid Common PitfallsPresented byOlivier Beaufils(Olivier.B)5119