Risk exposures: Volatility in the natural gas market, pricing instability for electric energy, capacity and ancillary services; narrowing of the spark spread
(the difference between the market price of electricity and its cost of production) in most regions of the United States in which the company operates generation facilities; market contraction; reduced liquidity in the U.S.
The spark spread
is the difference in cost between electrical power and fuel.
A sampling of topics: control systems identification in finance and economics, a neural network approach to option pricing, hedge fund portfolio selection with modified expected shortfall, looking for short term signals in stock market data, and modeling spark spread
option and power plant evaluation.
Its EBITDA margin (12% in 1H 2011) depends on efficient Kostromskaya GRES, which produces 40% of company electricity and has the highest spark spread
(selling price of 1 kWh minus cost of fuel needed to produce it) among company assets thanks to lowest fuel use (306 g/kWh).
He said: "The difference between the dark spread (the gap between the wholesale cost of coal and its market price) and the spark spread
(the same for gas-fired power) is wide and massively favouring coal.
In PC2, natural gas price, spark spread
, electricity retail price has larger but negative coefficients.
This profit margin, known as the spark spread
, is the price difference between the cost of natural gas and the price of electricity.
In the nine months to September 2018, growth was supported by cost savings (EUR15 million) and the consolidation of ACAM and Recos (EUR20 million in total), while organic growth and higher hydro volumes (EUR24 million in total) more than offset the negative effect of the reduction in spark spreads
. In the same period, free cash flow was positive by around EUR160 million, but after acquisitions (and the related debt consolidation) group net debt was broadly in line with FYE 2017 at around EUR2.970 million.
I suspect that current spark spreads
are around about zero (they certainly were a year or so ago) which means that 44 [pounds sterling]/ MWh would probably pay for not much more than the gas consumed by a combined-cycle gas turbine.