Transcript Managing carbon markets : lessons from commodity markets 25/11/2010 Workshop - Graz 1. The link between energy and CO2 prices The link between energy and CO2 prices ► Price.

Managing carbon markets : lessons from
commodity markets
25/11/2010
Workshop - Graz
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1. The link between energy and CO2
prices
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The link between energy and
CO2 prices
►
Price index (base 100, 2008)
Source: CDC Climat Recherche, Reuters
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Economic activity:
Combustion sector as a decisive sector
►
►
Allocation
by country
Allocation 2008
Allocation by sectors
Allocation 2008*
Bulgaria
2%
Germany
20%
UK
11%
Italy
11%
Poland
10%
Belgium
3% Greece
3%
Roumania
Netherland4%
4%
Rép. Tchèque
4%
France
Spain 7%
Ceramics
1%
Cement
11%
Iron and
steel
10%
Glass
1%
Paper and
board
2%
Metal ore
1%
Coke ovens
1%
Refineries
8%
Combustion
65%
8%
Source : CDC Climat Recherche, CITL
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Economic activity:
Emission to cap by EU ETS sectors
►
Emission to cap by sectors
Source : CDC Climat Recherche, CITL
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2. Carbon pricing fundamentals
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2. Carbon pricing
fundamentals
►
Price = function of EUA supply and demand
■
■
Supply = policy decisions
Demand = actual emissions / energy demand
Short run
 1. Weather conditions
CO2 price
 2. Electricity price
 3. Relative energy prices
 4. Economic growth
 5. Regulatory decisions
Long run
Energy demand
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2.1 Weather conditions:
Temperature
Source: CDC Climat, BlueNext Weather Index
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2.1 Weather conditions:
Precipitation & reservors’levels
►Cold
and dry weather in the Nordic region has reduced the
level of dams: Norway (68%), Finland (59%) and Sweden
(67,7%)
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2.2 Power production and prices:
Impact on Nordic electricity forward
price
►More
than 50 % of electricity generated in the Nordic region
come from Hydroelectric power stations.
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2.2 Power production and prices:
EU power production up…
►
■
■
■
■
■
■
+2,7% since beginning of 2010
EU : 222,8 TWh,
between January
and August
2010…
- 3% compared to
2008
Germany: +5,1%
France: +3,6%
Poland:+4%
Spain: +1,8 %
Source: AIE, Monthly Electricity Statistics, August 2010, OECD Europe
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2.2 Power production and prices:
… including renewable-based
power production
►
+110 TWh since beginning of 2010
► +14,6 % compared to 2009
■
France: +41%
■
Poland: +41%
■
Italy:+23%
■
Portugal: +38%
■
UK: +3%
Source: AIE, Monthly Electricity Statistics, August 2010, OECD Europe
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L’ambition
du groupe
2.3 Relative
energy prices
Energy Caisse
& CO2 markets
des Dépôts (PD)
Source: CDC Climat Research, Reuters
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2.3 Relative energy prices:
L’ambition du groupe
German Clean Dark & Sparks
spread Caisse des Dépôts (PD)
Source: CDC Climat Research, Reuters
►
►
CO2 price change the merit order between gas and coal power
station.
The relative raise in coal price and gas price has entailed a drop of
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the clean dark and spark spread
2.4 Economic activity:
Focus on the EU ETS
►Uneven
■
■
and often quite low economic recovery:
Among member states
Among industrial sectors
Source: CDC Climat Research, Reuters
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2.4 Economic activity:
Detail for EU ETS sectors
Source: CDC Climat Research, Eurostat
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3. Structure of CO2 markets
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3.1 OTC vs exchange volume
1800
2010 (jusqu'à fin
octobre): 4 101 Mt
Millions
1600
2009: 4 952 Mt
1400
1200
2008: 2 713 Mt
1000
800
2007: 1 455 Mt
600
2006: 809 Mt
400
2005: 262 Mt
200
0
T1
T2
T3
2005
T4
T1
T2
T3
2006
T4
T1
T2
T3
2007
Volumes de gré à gré
►
►
►
T4
T1
T2
T3
T4
T1
2008
T2
T3
T4
T1
2009
T2
T3
2010
Volumes de places de marché
Source: CDC Climat Research, Point carbon
Boom in EUA trades: *5 compared to 2006
Seasonality in T2 for compliance
Financial crisis: more trades in stock exchange than in OTC
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3.2 Spot vs Futures
Millions
700
600
500
400
300
200
100
0
janv.- févr.- mars- avr.- mai- juin- juil.- août- sept.- oct.- nov.- déc.- janv.- févr.- mars- avr.- mai- juin- juil.- août- sept.- oct.- nov.- déc.- janv.- févr.- mars- avr.- mai- juin- juil.- août- sept.- oct.08
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10
10
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Spot
Dec 08
Dec 09
Dec 10
Dec 11
Dec 12
Dec 13
Source: BlueNext, NordPool, EEX,
►
►
EUA market is becoming more mature and sophisticated
Futures markets in boom compared to a drop in exchange in the
spot market
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4. Volatility and price term structure
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4.1 A medium volatility in the
commodities’ family
Source: CDC Climat recherche, Reuters
►
Coal has a smaller volatility than others
► Starting 2011, the volatility might become higher because of hedging
strategies of power generators.
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4.2 EUA & CER price term
structure
■
■
►
►
EUA price
Corridor between 14 et 17 €/t
since June
Contango
EUA price term structure
CER price term structure
14,00
13,50
13,00
€/t
12,50
12,00
►
11,50
►
11,00
CER price
12 à 14 €/t since June
Backwardation
10,50
10,00
déc.-2010
déc.-2011
Trimestre 1
Trimestre 3
déc.-2012
octobre
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5. Institutional environment
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5.1 The strong importance of
regulatory decisions
►
Cap for 2013: 2 039 MtCO2
► EU target -20 % or -30 % ?
► Phase III auctions
► Allocation benchmarks
► Qualitative restrictions (HFC, N20)
► Post-Kyoto uncertainties
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5.2 EUA price forecast
►
Average price forecast is from 24,5 €/t in 2012 and 30,3 €/t in 2020.
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37,7 €/t
35
29,6 €/t
30,3 €/t
30
15,9 €/t
€/t
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22,8 €/t
24,5 €/t
17,9 €/t
20
19,3 €/t
15
13,9 €/t
10
5
0
2008
2009
2010
2011
Spot EUA BlueNext
2012
2013
Moyenne
2014
2015
2016
Moyenne + écart-type
2017
2018
2019
2020
2021
Moyenne - écart-type
Source: CDC Climat Research, Reuters
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Thank you for your attention.
[email protected]
www.cdcclimat.com
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