Following the sale of the lignite operations, Vattenfall's portfolio and risk exposure have changed substantially. The dominant risk exposure is now related to price exposure for Nordic nuclear and hydro power base load generation. In addition, Vattenfall's continuing operations generate a higher share of regulated revenue from distribution, heat and subsidies from wind power, which reduces the total risk exposure. On the Continent Vattenfall continues to have some price exposure between electricity and used fuel. Such an exposure has a lower risk profile than in the Nordic countries. Based on this, Vattenfall has decided to decrease its price hedging activity and to focus on hedging its Nordic generation.
Average indicative Nordic1 hedge prices as per 30 June 2018
| EUR/MWh |
2018 |
2019 |
2020 |
| |
27 |
27 |
30 |
Sensitivity analysis – Continental2 portfolio
| Market quoted |
+/- 10% price impact on future profit before tax, MSEK 3
|
Observed yearly volatiliy
|
| |
2019 |
2020 |
2021 |
|
| Electricity |
+/- 1,513 |
+/- 1,397 |
+/- 1,449 |
15% - 19% |
| Coal |
-/+ 360 |
-/+ 303 |
-/+ 268 |
20% - 28% |
| Gas |
-/+ 768 |
-/+ 713 |
-/+ 652 |
14% - 16% |
| CO2 |
-/+ 278 |
-/+ 318 |
-/+ 347 |
35% - 47% |
Vattenfall's estimated Nordic1 hedge ratio (%) as per 30 June 2018
| Item title |
Nordic hedge ratio |
| 2018 |
75 |
| 2019 |
64 |
| 2020 |
30 |
1) Nordic: Sweden, Denmark, Norway, Finland
2) Continental: Germany, the Netherlands, the United Kingdom
3) The denotation +/- entails that a higher price affects operating profit favourably, and -/+ vice versa.
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