Gas-to-Electricity Arbitrage & Maximizing
the Profitability of Electric Generation Assets

To attend, Call (412) 279-9298 or Register Online

I. Fundamental Concepts

Cross-commodity margin basics 1-2 Heat rate & cross-commodity economics 1-5 The difference between operational & economic heat rates 1-10 The "spark spread" 1-11 Defining the spark spread as product basis 1-12 Defining the spark spread as the Market Implied Heat Rate 1-16 Tolling arrangements 1-18

II. Trading the Spark Spread & Cross-Commodity Derivatives

Spark spread trading 1-27 Margin swaps 1-37 Spark spread swaps 1-43 Cross-commodity swaps-Btu swaps, heat rate swaps 1-50 Heat rate linked transactions:  Four different class exercises 1-56 Arbitrage Example using the Put-Call Option Parity Equation 1-69

III. Leveraging Electric Generation Assets

Merchant plants: Both assets and liabilities 1-72 Case #1: Selling generation plant optionality 1-81 Case #2: Selling plant optionality as a "Spark Call" 1-93 Case #3:  Using natural gas swing gas to back electricity peaking options 1-99 Case #4:  Using natural gas OTC options to back electricity peaking options 1-105

IV. Valuing Electric Generation Assets

Merchant plants as a "spark call" option 1-115 Approximating electric generating assets using physical options 1-117

APPENDIX

Approximating Electric Generating Assets Using Physical Options (Spreadsheet Exercise) Answer Guide