انتشار تجاری و تصمیمات سرمایه گذاری در بخش قدرت __ مطالعه موردی در فنلاند

Organizations, which consider investment in or divestment of power production licences/capacity within the European Community, are exposed to the impacts of the European Union Emission allowance Trading Scheme (EU ETS). In this paper, the consequences of the EU ETS on investment decisions are explored in a country-specific setting in Finland. First, we review the general mechanisms through which the EU ETS influences size, timing and cashflows of an investment. Next, we discuss the projected changes in Finnish power producers’ investment environment and examine the financial impacts due to the EU ETS on a case investment decision, a hypothetical condensing power plant (250 MWe). The standard discounted cash flow (DCF) analysis is extended to take into account the value of two real options: the option to wait and the option to alter operating scale. In a quantitative investment appraisal, the impact of emissions trading not only depends on the expected level of allowance prices, but also on their volatility and correlation with electricity and fuel prices. The case study shows that the uncertainty regarding the allocation of emission allowances is critical in a quantitative investment appraisal of fossil fuel-fired power plants.

On 13 October 2003, the Directive 2003/87/EC of the European Parliament and of the Council establishing a carbon dioxide (CO2) emission allowance trading scheme (EU ETS) within the Community entered into force. The directive creates a framework for emissions trading and gives guidance on the details of the trading scheme, such as the allocation method and penalties, until 2012. The European Union is expected to need some 650 GW of new power capacity and to replace some 330 GW of existing power stations over the next 30 years (IEA, 2003a). The economic lifetime of an investment in power capacity typically ranges from 20–40 years (OECD NEA/IEA, 1998). Within the EU ETS, the value of emission allowances can affect the cashflows of a power plant during its entire lifetime. In particular, there is a considerable and fundamental price risk (“what is the value of an allowance? will trading continue?”) (see e.g. Springer and Varilek, 2004). The character of the price risk is somewhat different from that of fuels or electricity, which can be considered “genuine necessities” and are already traded in large volumes. IEA (2003b, p. 31) characterizes the price risk as “potentially critical”. Any investor within the Community considering investment or divestment of power production licences or capacity, be it a green-field plant, a retrofit of an existing plant or an acquisition, should therefore be interested in the impacts of the allowance trading scheme. Implications of the EU ETS for investment decisions in the power sector have been discussed on a European scale e.g. by Reinaud (2003) and de Leyva and Lekander (2003). In this paper, the impacts of the EU ETS on investment decisions are explored in a more detailed regional setting in Finland. We consider a single-firm optimization problem using an exogenous, stochastic price model,1 and back the modelling results with an analysis of the investment environment. Section 2 provides a brief review on the general mechanisms through which emissions trading affects size, timing and cashflows of an investment decision. Section 3 explores the projected changes in the Finnish power producers’ investment environment. Section 4 examines the financial impacts due to the EU ETS on a case investment decision, a hypothetical 250 MWe condensing power plant. We extend the broadly used discounted cash flow (DCF) analysis to better reflect the value of two real options:2 the option to wait and the option to alter operating scale. Finally, some conclusions are drawn.

Emissions trading has significant impacts on the results of a quantitative investment appraisal through several variables: through the output prices, through the value of the surrendered allowances, through the operating hours and through the value of free allowances allocated for installations. This makes it challenging to weigh up the impacts. Since the investment costs are known with a reasonable certainty, financial performance of power projects depends in particular on the concurrent level and projected development of the stochastic market prices of electricity, fuels and (potential) emission allowances. In addition, there is a stepwise uncertainty regarding the number of free allowances. Stochastic process assumed for each market price, the parameters of the stochastic process and the mutual correlations of the market prices determine the total impact. In our case study, two stochastic market prices were considered: the price of an emission allowance and the baseline electricity price (price without emissions trading). Fuel prices were treated as deterministic and independent on the allowance price for simplicity. The case study shows that the result of a quantitative investment appraisal for a gas-fired power plant highly depends on the assumptions made on emissions trading in a power market similar to that of Finland. The impact mainly depends on the assumed price level of emission allowances and the (potential) allocation of free allowances. However, behaviour of the allowance market (e.g. volatility, correlation to electricity and fuel prices) can have a significant impact on the expected return of gas-fired power plants. In the “high allowance price” scenario of our case study, the value of an option to invest in a gas-fired plant became positive, whereas the value of an option to invest in a coal-fired plant remained unaffected. Uncertainty regarding the impact of the EU ETS on fuel prices may decrease the attractiveness of gas plants from that seen here. The case study also shows that a simple NPV approach ignores the value of the option to alter operating scale, which can be important for technologies with high variable costs. Power companies and investors should move from deterministic to stochastic valuation and consider the impacts of emissions trading schemes comprehensively in markets similar to Europe. The high uncertainty regarding the allocation of free allowances is critical to decisions to switch to natural gas. It should also be noted that renewable energy and nuclear power remain unaffected by this uncertainty. We approached valuation of real options in a real risk-adjusted framework, which is not the optimal way to value options theoretically. Our analysis provides a new perspective to the decision-making of managers, who are not necessarily fully consistent in their treatment of risk and apply a subjective discount rate in valuation. Emissions trading will change the risk of free cash flows (and thus returns on assets). A rational investor would aim at taking this into account in the selection of the discount rate, which was not considered here. The analysis carried out here is sensitive to the stochastic processes assumed and their parameters. We used mean-reverting price processes, which can be regarded as a “conservative approach” to power plant valuation: a mean-reverting price process implies that potential market outcomes tomorrow differ less from today than in the commonly used geometric Brownian motion (i.e. the variance is smaller).