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Course Level
Intermediate
Delivery Method
Live Instructor-Led Virtual Course
Professional Development Credit Hours
14
Pre-requisites
Basic knowledge of power markets, physical transactions and derivatives, physical sales and purchases, forward, futures, and options.


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. 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. Dr. Blanco was recently awarded the GARP Sustainability and Climate Risk (SCR) certification.


Accreditations

NASBA: Mennta Energy Solutions is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its web site: www.nasbaregistry.org

CPD Certification Services: The CPD Certification Service works with Mennta Energy Solutions to ensure valuable knowledge is structured to complement the universal guidelines of Continuing Professional Development. Mennta Energy Solutions courses are approved by CPD at one credit per training hour.

BAC: Mennta Energy Solutions is pleased to be endorsed by the BAC for Independent Further Education as a Short Course Provider. Endorsement covers courses delivered in the UK only.

GARP: Mennta Energy Solutions is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.

Introduction to Hedging and Risk Management for Utilities (VIRTUAL) - PRM1V


Course Schedule

Date Time Location Price* Registration Deadline**
31 Oct-1 Nov 2022
Register
9:00am-3:00pm (Los Angeles)
Zoom: Americas
USD 1,960 (PRM1V-VILTNA22-10)
30 Sep 2022

*Prices do not include VAT, GST, or any other local taxes. All applicable taxes will be added to the invoice.
**Please register by the deadline to help us ensure sufficient attendance and avoid postponing the course.


Course Summary

Introduction to Hedging and Risk Management for Utilities is a two-day VIRTUAL instructor-led course presented by the energy training experts at Mennta Energy Solutions. 

This is an introductory course on gas and power hedging and risk management for utilities in an applied context.

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

We will present standard approaches to hedge energy exposures with derivatives with physical forward, futures, swaps, and options. Numerous case studies and hand-on Excel examples will illustrate contract payoffs, potential hedge gains and losses, derivatives valuation, communication and reporting.

What Will You Learn?

  • POWER PRICES, DRIVERS, BEHAVIOR, AND VOLATILITY
  • PHYSICAL HEDGES: PHYSICAL PURCHASE AND SALES
  • FINANCIAL HEDGES: FUTURES, SWAPS
  • PHYSICAL AND FINANCIAL OPTIONS
  • UTILITY HEDGING STRATEGY
  • MARK TO MARKET, P/L AND POSITION MANAGEMENT

Who Should Attend?

  • Energy Traders and Marketers
  • Energy Analysts
  • Marketing Managers
  • Sales Managers
  • Asset Optimizers
  • 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
  • COOs
  • Finance department personnel
  • Compliance and Internal Audit
  • Middle and Back-Office Personnel
  • Government agencies

Course Content

Power Prices, Drivers, Behavior, and Volatility

  • Physical and Financial Gas and Power Markets: From Producers to End-users
  • Risk dimensions: Market, credit, liquidity, volume, operations, operational
  • Long or short? Volumetric and Financial Considerations
  • Forward curve analysis for power markets: Shaping and Extrapolation
  • Case study: Forward curves vs. Price Forecasts
  • Gas and Power Price Drivers in North America
  • Net Loads in California: The evolving Duck curve
  • Spot and Forward energy price behavior and its volatility structure
  • Case Study: CAISO extreme price behavior during August 2020 Heat Wave

Physical Hedges: Physical purchase and sales

  • Physical purchase and sale contracts
    • Fixed Price, Index, Heat Rate, NYMEX + Basis
  • Price Fixing, delivery window and settlement timeline in physical vs. financial contracts
  • Mark-to-market and fixed price in physical contracts
  • Risk analysis of long and short fixed price positions

Financial Hedges: Futures, Swaps

  • Futures contracts
  • Margin and settlements
  • Case study: Hedging with NYMEX Henry Hub futures
  • Swaps (Fixed-for-Floating, Index)
  • Basis Swaps and Spread trades
  • Hedging locational basis risk with basis swaps

Physical and Financial Options

  • Overview of key option concepts
  • Options types and payoffs
  • Intrinsic and Extrinsic Value
  • Key drivers of option premiums
  • Using call options to set a cap on costs
  • Zero Cost Collars: Benefits and risks
  • Use of options in utility hedging programs

Utility Hedging Strategy

  • Why should utilities hedge and what risks should they hedge?
  • Risk and regret in hedging programs
  • Alternative hedging programs: Programmatic, discretionary, risk-based
  • Risk appetite statements and risk tolerance
  • Common hedging mistakes
  • Setting hedge benchmarks and program objectives
  • Introduction to risk metrics and key risk indicators
  • Case study: Market, credit, liquidity and regret risk from alternative hedging strategies
  • Hedging in a low price environment
  • Case study: Portland General Electric $100+ million trading loss in Q2 2020 from “ill-advised trades”

Mark to Market, P/L and Position Management (I)

  • Book Structure and Position Management
  • Front, Middle and Back Office: Roles and Responsibilities
  • Key Trading and Trade Capture Processes
  • Transaction limit monitoring
  • Mark to market vs. Mark to Model
  • Case study: Pricing a swap with forward curves
  • Mark-to-model: Illiquid instruments and derivatives valuation
  • Pricing an option with Black-76. Implied volatility calculations

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