North American Gas and Power Trading and Risk Management (VIRTUAL CLASSROOM) - NAGPV 

CPE Credits Awarded: 18
Categories: The Natural Gas Industry , The Power Industry, Trading, Derivatives, Hedging and Risk Management, LNG, Global Association of Risk Professionals (GARP) Approved Course , Virtual Classroom Courses

Course Date Duration Venue Price Registration Deadline Register
08 Dec 2021 3 Days Globally Online - Los Angeles Time Country: us
$ (USD)2,095.00
6 Nov 2021

UPCOMING SCHEDULE DETAILS

8-10 December 2021
 Los Angeles Timing
Session 1: 8 December 2021  
 9:00am - 3:00pm PST
Session 2: 9 December 2021
 9:00am - 3:00pm PST
Session 3: 10 December 2021
 9:00am - 3:00pm PST

COURSE SUMMARY

This virtual course will expose delegates to North American gas and power trading and risk management through real-life case studies and engaging discussions.

The course will enable participants to gain a practical working knowledge of gas and power market drivers, main players and common traded instruments. Delegates will gain a practical understanding of the various dimensions of risk in gas and power markets and the various tools to manage and transfer those risks.

We will present new approaches to hedge energy exposures with derivatives as well as useful techniques to unbundle gas and power structures in long term contracts and physical assets. Particular emphasis is placed on the use of derivatives as well as physical assets and contracts to manage price, credit, volumetric, and operations risk. A new section covers regulatory risk management and compliance for energy trading operations and case studies with lessons learnt from recent market manipulation cases.

Numerous case studies and trading simulations are presented throughout the courses, with particular emphasis on the interpretation and use of trading and risk management concepts introduced in real-life examples.  Delegate participation and group discussion is highly encouraged.

WHO SHOULD ATTEND?

  • Energy Traders and Marketers
  • Energy Analysts
  • Gas and Power Utilities staff
  • Power and Fuel purchasing managers<
  • End-users of derivatives in corporations
  • Market Risk Managers
  • Credit Risk Analysts
  • Risk consultants
  • Risk and Audit Committee Members
  • CFOs and Treasury Managers
  • Finance department personnel
  • Compliance and Internal Audit
  • Middle and Back-Office Personnel
  • Government agencies

COURSE CONTENTS

101: Overview of Gas and Power Markets (I): Main players, market structure, and drivers

  • Overview of the Physical and Financial Gas and Power Markets
  • Market Hubs, Exchanges and OTC markets
  • Risk dimensions: Price, basis, volume, regulation, weather, operations
  • Long or short? Volumetric and Financial Considerations
  • How are gas and power bought and sold?
  • Gas markets: Supply and demand drivers
  • Power markets: Supply and demand drivers
  • Impact of increasing renewable penetration on power and gas markets
  • Case Study: Power and Gas Market response to supply and demand shocks
  • Case study: ERCOT February 2021 Polar Vortex and CAISO August 2020 Heat Wave (NEW)

102: Overview of Gas and Power Markets (II): Spot Prices, Basis, Forward Curves

  • Spot and Forward Prices for Gas and Power
  • Forward curve analysis for gas and power markets
  • Case study: Forward curves vs. Price Forecasts
  • Shaping the forward curve: Bullets, Trading Packages and Shaping Factors
  • Dealing with illiquid hubs and long term maturities
  • Structural change and price forecasts with increased renewable penetration (NEW)
  • Understanding energy price behavior and its volatility structure

103: Gas and Power Physical and Financial Instruments (I): Physical Contracts and Linear Instruments

  • Physical purchase and sale contracts: Fixed Price, Index Price and Basis Deals
  • Main Types of Derivatives: Futures, Forwards, Swaps and Options
  • Exchange-based and OTC trading
  • Open Interest, Bid-ask Spreads and Volume
  • Clearing, collateral and margin issues
  • Swaps (Fixed-for-Floating), Basis Swaps
  • Futures vs. Swaps. NYMEX ‘look-alike’ Forwards
  • Hedging Physical Purchases and Sales with Forward, Futures and Swaps

104: Gas and Power Physical and Financial Instruments (II) -  Options and Greeks

  • Options and Strips of Options
  • Using Energy Options: Hedging and Speculation
  • Options types and payoffs
  • Average Price (Asian) Options
  • Understanding optionality and contract components
  • Implied price and implied volatility views in option strategies
  • Gas Hedging with Swaps vs. Options
  • Case Study: Daily Options vs. European Options vs. Asian Options
  • Case study: Optionsellers.com and the risk of selling natural gas options (NEW)
  • Zero Cost Collars
  • Energy option ‘Greeks’: uses and limitations
    • Case Study: Explaining P&L changes with “Greeks”

201: Mark to Market, P/L and Position management

  • Front, Middle and Back Office
  • Mark to market vs. Mark to Model
  • Bid-ask spreads in Gas and Power transactions
  • Setting up reserves for illiquid positions
  • Profit and Loss decomposition for a trading book
  • Case study: Pricing a Natural Gas swap. Step by step calculations
  • Option Valuation: Implied volatility, volatility skews and surfaces
  • Hedging and Trading Philosophy and Policy
  • Analysis of hedging strategy of producers and end-users in gas and power markets (NEW)
  • Common hedging mistakes and prevention methods (NEW)

202: Trading Strategy and Technical Analysis

  • Market Psychology and Technical Analysis
  • Line Charts, Bar, and Candlestick Charts
  • Identifying Trends, Support, Resistance
  • Commonly used indicators: Moving Averages, MACDs, RSIs, Bollinger Bands
  • Backtesting Trading Models
  • Commitment of Trader Reports: Hedgers, Money Managers and Market Makers (NEW)
  • Integrating Fundamental and Technical Analysis
  • Case study: Using Fundamentals, Technicals and Algorithmic Trading in different market environments
  • Elements of a Trading Strategy: Money management, position sizing, entry and exits

203: Market and liquidity Risk Management

  • Market risk measurement and reporting
  • Understanding and interpreting “at-Risk” measures:
    • Value at Risk, Earnings at Risk (EaR), Cash Flow at Risk (CFaR)
  • Sensitivity analysis and Stress Tests
  • Market Liquidity vs. Funding Liquidity Risk
  • Trading Limits: Stop Loss, VaR/EaR limits, Volumetric and Counterparty Limits
  • Risk adjusted performance (RAROC)
  • Optimal hedges

204: Counterparty Risk Analysis and Management

  • Key issues in credit risk management for Gas and Power Markets
  • ISDA agreements: Netting, Collateral and Credit Triggers
  • Other Credit Risk mitigation tools: Prepayments, Letters of Credit, Credit derivatives
  • Novation and OTC Clearing
  • Market Based Default Probabilities: Bond Markets and Credit Default Swaps
  • Current Exposure and Walk Forward Analysis of Credit Exposures
  • Credit Exposures and Potential Future Exposure Modeling
  • Case study: ERCOT February 2021 and Credit Events (NEW)

301: Generation Assets, Cross-Commodity Instruments and Real Options

  • Hedging Physical Asset and Contractual exposures
  • Intrinsic and extrinsic value of generation assets
  • Spark Spreads and Heat Rate Forwards and Options
  • Case Study: Generation Assets as real options.
  • Modeling renewable generation: Solar and Wind (NEW)
  • Renewable PPAs, VPPAs and Proxy Revenue Swaps (NEW)
  • Monetization of the optionality in Generation Assets

302: Transportation, transmission and Storage contracts and assets in Gas and Power

  • Physical Assets as Real Options
  • Intrinsic and Extrinsic Value of Real Options
  • Pipeline capacity: Using basis swaps to hedge transportation and transmission
  • Financial Transmission Rights (FTR) and Congestion Revenue Rights (CRRs)
  • Natural Gas Storage and Calendar Spread Strategies
    • Optimization based on Intrinsic Value
    • Re-optimization
  • Battery Storage and trading strategies (NEW)
  • Monetization of Real Options

303: Volumetric Risk and Weather derivatives

  • Key sources of volume risk in gas and power markets
  • Volumetric risk and Operational Risk:
  • Unplanned Outage Insurance
  • Volumetric risk in hydro, wind and solar generation (NEW)
  • Case study: Hedging storage contracts and operational risk
  • Possible problems when hedging physical exposures with financial forwards
  • Hedging Volumetric Risk: Weather Derivatives and Multiple-trigger contracts
  • Prepayment deals and force majeure

304: Regulatory Risk Management and Compliance

  • Regulatory risk management and compliance in energy physical and financial trading
  • Identifying potential regulatory risk ‘red flags’
  • A practical framework for analysis of market manipulation
  • Case study: FERC enforcement case against BP for alleged market manipulation
  • FERC enforcement case against Vitol for allege manipulation of power markets (NEW)
  • Proactive compliance monitoring techniques
  • Effective exception reporting and intervention

FACULTY

DR CARLOS BLANCO is a financial risk management expert with over 20 years of diverse experience in energy markets. He has worked with some of the largest energy and commodity market firms worldwide providing educational, advisory services and software solutions.

He is the managing director of analytic solutions for Ascend Analytics. He has advised risk groups and senior management in oil, gas, power, mining and trading firms on various matters related to the risk management process including risk policy, hedging strategy, risk model development and validation, risk appetite and risk metrics.

Dr. Blanco is an active faculty member for Mennta Energy Solutions since 2004, and he has conducted a wide range of energy derivatives hedging, pricing and risk management seminars worldwide. A frequent conference speaker and writer, he has coauthored over 150 articles for Energy Risk Magazine, Commodities Now, Energy Metro Desk, Oil and Gas Journal and others.

He is a former VP Risk Solutions at Financial Engineering Associates, Inc (a MSCI/BARRA Company), where he managed the market risk suite of products as well as the firm’s product support and professional services group. He also taught finance at the University of California, Berkeley, and the ABN AMRO Academy.

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