Infoscience

Thesis

Valuation of a pumped-storage hydro-plant in a multiple markets framework: a Swiss Case Study

There has been an evolving electricity market structure starting from the spot market and its derivatives, to several other markets such as the Intraday Market, the Balancing Market and the Reserve Capacity Market. The participation in these markets has changed significantly the operation policy of the plants and therefore their value in the market. The process of valuating a generation plant is closely related to the markets the plant can participate in terms of country and type (Day Ahead Market, Intraday Market, Balancing Market). Increasingly more Renewable Energy Sources plants have been entering into the system, increasing thus the factor of intermittency in the power profile.In addition to the variability in generation, solar photovoltaic plants, where their generation is consistently during the peak hours, together with the wind power plants have driven down the peak Day Ahead Market prices. Furthermore, the decision of countries in Europe to decommission their nuclear power plants, has driven up the off-peak prices. The current research tackles the problem of the long term valuation of a Hydro Pumped-Storage plant participating in the Day Ahead Market and Intraday Market, for thirty-five (35) years ahead, starting from 2015 and ending to 2050. The consideration of hourly time stage was indispensable since the markets, a Hydro Pumped-Storage plant achieves its main revenues are in the short-term, such as Day Ahead Market and Intraday Market. Within the scope of this research was required the application of four (4) modules that assisted in calculating the intermediate results in order to valuate the Hydro Pumped-Storage plant through a set of economic and financial indicators. Among the four (4) modules, three (3) where specifically developed within this research, one for the IM prices simulation, using the R statistics package, one for the operation simulation of an Hydro Pumped-Storage in the Day Ahead Market and Intraday Market, using MatLab and the IBM Cplex algorithm, and one for the financial and economic valuation of the plant, in excel using the financial formulas package. The fourth (4)th module was a commercial software, named AURORAxmp and developed by the USA company EPIS, for the operation simulation of the Day Ahead Market and the calculation of a proxy of the Day Ahead Market prices throughout the horizon. The latter module was fed with four (4) generation expansion capacity scenarios and reciprocal demand evolutions until 2050, based in the official European Union reports. The final purpose of this research was to design, implement and apply a methodology, on a real case study, for the valuation of a Hydro Pumped-Storage plant in a long term horizon. The results for the Hydro Pumped-Storage plant participating in the Day Ahead Market and Intraday Market, showed after corporate tax, an Net Present Value of 653 million EUR, a payback of the in thirty-one (31) years and of the private equity in twenty (20) years, an Internal Rate of Return of the project of 7.9% and of the private equity of 12.81% (for 20% of private equity). Comparing to the results above, a Hydro Pumped-Storage participating in the Day Ahead Market only, showed deteriorated numbers, having an Net Present Value of 243 million EUR, a payback of the project in thirty-four (34) years and of the private equity in twenty-eight (28) years,an Internal Rate of Return of the project of 6.5% and of the private equity of 10.32%.

Fulltext

  • Thesis submitted - Forthcoming publication

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