Energyforum
Cross Commodity Trading
19-20 November 2007, Amsterdam, The Netherlands
Day 1: Monday November 19
9.00-9.45 Registration and coffee/tea
9.45-10.00 Welcome and opening of the conference by the chairman
Kasper Walet, Managing Director, Maycroft Consulting
10.00-10.45 Legal and regulatory aspects on International Cross Commodity Trading
ˇ Mifid
ˇ OTC
ˇ Exchanges
Floortje Nagelkerke, Associate, Norton Rose LLP
10.45-11.30 Coffee and Tea Break
11.30-.12.10 Integration of Gas and Power Trading
ˇ Market Coupling from idea to reality
ˇ Combined trading of power & gas on a single screen
ˇ Combined clearing of power & gas
ˇ Gas Market integration from the European perspective
Bert den Ouden, CEO, APX Group
12.10-12.50 Spot and futures prices at Nord Pool from 1996 to 2006: An empirical analysis
ˇ Spot and futures prices
ˇ General relationship between commodity spot and futures prices
ˇ Spot and future price relationship in the electricity market
ˇ Empirical analysis of data from 1996 to 2006
ˇ Spot prices and hydro reservoir levels
ˇ Futures and forward prices
ˇ Analysis of long-term contracts
ˇ Trading strategies and recommendations
ˇ Risk and investment decisions
Dr. Tarjei Kristiansen, analyst, Sempra Energy Europe Limited (SEEL)
12.50-14.00 Lunch
14.00-14.40 Coal as a Cross Commodity
ˇ Supply, demand and volatility drivers
ˇ Coal and electricity; the dark spread
ˇ Impact EU emission trading scheme
ˇ Indexation
ˇ Trading fundamentals
ˇ Role of freight
Kasper Walet, Managing Director, Maycroft Consulting
14.40-15.00 Experiences and strategies from an investment banker in cross commodity trading - Case study
ˇ Cross commodity trading around assets
ˇ Linkage to finance
ˇ Structured Contracts trading
Brieuc Raskin, Project Manager, Morgan Stanley
15.00-15.30 Coffee break
15.30-16.10 Biofuels Markets - Price tendencies and Impacts on Commodity Prices
ˇ Overview over current ethanol and biodiesel markets
ˇ Trading and hedging of biofuel feedstock
ˇ Will biofuels impact oil and gasoline prices?
ˇ Are biofuels a threath to current transportation fuel markets?
ˇ Biofuels markets Price Forecasts
Erik Meidell, Senior Analyst, Kingsman SA and Research Fellow at the University of Lausanne.
16.10-17.00 The diminishing influence of gas in the UK power market
Overview
ˇ Trends in prices vs. spreads
ˇ Correlations between energy prices
ˇ Comparison of sparks and darks
ˇ The impact of carbon
ˇ Base vs. peak and off-peak
ˇ Power Price drivers
Analysis
ˇ Fundamental modelling approaches
ˇ The challenge of forecasting in volatile markets
ˇ Dealing with uncertainty (e.g. price distributions, confidence levels, scenarios and sensitivities)
Mahul Raval, Management Consultant, Booz Allen Hamilton
17.00 Chairman's summary and closing of day one
19.00 Conference Dinner
All speakers and delegates are cordially invited to the dinner. The venue will be presented during day one of the conference.Welcome!
Day 2: Tuesday November 20
9.00-9.10 Welcome and opening of the second day by the chairman
Kasper Walet, Managing Director, Maycroft Consulting
09.10-9.50 Relationships between commodities - Case study
Kasper Walet, Managing Director, Maycroft Consulting.
9.50-10.30 Carbon price modeling with stochastic fundamentals (fuel, weather)
ˇ Common EUA and electricity price formation
ˇ Relevant price drivers - sensitivity of allowance prices and power prices on model parameters
ˇ Windfall profits
ˇ Is auctioning a good solution?
Max Fehr, Ph.D. student at the Institute for Operations
10.30-11.00 Coffee break
11.00-11.40 Dynamic interplay between CO2, electricity and gas markets
ˇ Historical context
ˇ Future trends
Franziska Sinner, Carbon Market Analyst, ECON Analysis
11.40-12.20 Practical aspects of modelling: Back- and side testing of price simulation models - Case study
ˇ The need for back testing
ˇ Problems in back testing of non-simulation price models
ˇ Concepts
ˇ Criteria
ˇ Limitations of result interpretation
Henrik Specht , Analyst, Vattenfall Europe
12.20-13.30 Lunch
13.30 -14.10 Risk Measurement and hedging of an asset portfolio considering market liquidity and cross commodity risks - Case study
ˇ Liquidity adjusted VaR of a multi-commodity asset portfolio
ˇ Hedging and minimising the liquidity adjusted VaR
Dr. Markus Burger , Head of Risk Controlling, EnBW Trading GmbH
14.10-14.30 Coffee and tea break
14.30- 15.10 Handling CO2 risk - Case study
ˇ Hedging CO2 positions of gas and coal fired plants - until and beyond 2012
ˇ Block 21 in Bremen - an example of a coal plant project.
ˇ Different types of certificates for hedging
ˇ Price development - an outlook beyond 2012.
Remco Frenken, Manager, Structure Origination and Projects, Essent Energy Trading BV, Deutschland.
15.10-15.50 The development of emissions markets
ˇ An exchange viewpoint
ˇ The development of new asset classes
ˇ The need for clearing
ˇ Visions for the forthcoming year
Tim Greenwood, Market Development, European Energy Exchange AG
15.50-16.00 Questions and answers
16.00 Closing of the conference
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