زمان بندی سرمایه گذاری دارایی های خطوط انتقال با استفاده از منحنی ارزش فعلی خالص

Improvement and expansion of the transmission grid is still an unresolved issue in the new competitive environment. In current electricity markets, transmission lines have become assets that need financial instruments for investors who wish to ensure steady long-term returns and to withstand short-term market volatility. The timing and the combination of new transmission investments is key to analyze their long-term effects. This paper presents the concept of net present value (NPV) curve to estimate the best investment time for the investor, where the curve is constructed by calculating the NPVs resulting from the investment in successive years. A specific contract model based on financial transmission rights (FTR) is used for the NPV evaluation of transmission assets, and the stochastic properties of all variables related to the investment market structure are considered. The model is applied to the IEEE 24-bus Reliability Test System (RTS) showing the approach capabilities as a decision-aid tool for transmission investors.

New energy markets undergoing deregulation, with increasing competition and volatility of energy prices, expose participants to risk. Deregulation impacts both consumers and producers, thus the need of risk management and the use of financial derivative instruments to control exposure to volatile energy prices. New financial instruments are especially needed in the case of new transmission investments placed to overcome grid congestion. The problem of network expansion is a very complex multi-period and multi-objective optimization problem (Rosellón, 2003). Its inherent uncertainty of future developments and nonlinear nature constitute major complications being difficult to solve even in the earlier centralized environments. In the vertically integrated electricity market structure, the construction of new transmission facilities was associated with the addition of new generating resources and their integration into the existing network. The deregulation of the energy sector resulted in a new economic environment, due to the daily operations of the electric markets, and this new environment needs to be considered with the economics of investment in new facilities (Kirschen and Strbac, 2004). The multiplicity of players, including existing owners, investors, regulators, and the broad variety of customers, represent a key complication issue. The long-term horizon with the sequence of appropriate decisions adds to the complexity of the problem. Besides all these factors there is the wide range of uncertainty in the actions of market players and transmission investments, whose combined effects make this problem a stochastic one. Thus, a future investor in transmission assets must have a tool to decide when and where to invest in new assets. In order to analyze transmission expansion in a competitive environment all the uncertain variables of the system, including locational marginal prices (LMP), fuel costs and bidding schemes, must be properly quantified considering a wide variety of long-term scenarios. The outline of the paper is as follows: Section 2 presents the literature review. Section 3 states the main objectives and contributions of our work. Section 4 describes contracts for transmission investment from different FTR models showing various degrees of hedging. Section 5 shows how the stochastic LMP values are obtained and used in transmission investment to calculate the stream of cash flows and the net present value (NPV) obtained from the FTR contracts. Section 6 describes a general pool-based electricity market, including the electrical transmission network that generates the LMPs. In Section 7 the FTR contract for line investment and the generated NPV curve (a curve whose points are made of different NPVs obtained when investing in successive years) are evaluated and applied to a realistic multi-year case study, the IEEE 24-bus RTS (Grigg et al., 1999). The paper ends in Section 8 presenting relevant conclusions and future work.

Investing to improve the electric transmission grid involves demanding challenges due to the existence of multiple players, market imperfections and long-term horizon of investment. This paper proposes a model that deals with uncertainty over this long-term horizon, applying an investment–recovery model based on an FTR contract and a framework, where the stochastic modeling of the parameters are defined by means of the Wiener processes. The model is applied to line additions in the IEEE 24-bus RTS, where the analysis is carried out for a project that installs one line, or a second one, or both, for a particular FTR type of contract. The model introduces the notion of NPV curve to estimate the change in the values accrued to investors as a function of the time of the investment. Further research will analyze whether the NPV curves remain the same if new lines are added under different scenarios of nodal prices taking into account the price jumps in the model. From an investment standpoint, a real options approach will be applied to maximize the investment value, and compared with the NPV curve analysis, to decide what investment should be the chosen one.