[en] SETTLEMENT PRICE OF DIFFERENCES SWAP: THE CASE OF WIND-PARKS

• Main Author: ESLEY RODRIGUES DE JESUS
• Other Authors: LEONARDO LIMA GOMES
• Language: pt
• Published: MAXWELL 2016
• Subjects: [pt] ENERGIA ELETRICA; [en] ELECTRIC ENERGY; [pt] SUSTENTABILIDADE; [en] SUSTAINABILITY; [pt] HEDGE; [en] HEDGE; [pt] SWAPS; [en] SWAPS; [pt] PLD; [en] PLD
• Online Access: https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26802@1; https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26802@2; http://doi.org/10.17771/PUCRio.acad.26802

[pt] O atual panorama do mercado energético no Brasil permite aos produtores de energia realizar operações de swap de preços, o que diminui os riscos intrínsecos da operação, além de garantir, ocasionalmente, melhores lucros. Devido à diferenças existentes entre as demandas dos diversos submercados de energia, pode-se arbitrar os preços, de modo a minimizar as perdas. Tendo por objetivo encontrar melhores formas de realizar este swap e utilizando-se de duas mil séries dos preços projetados de liquidação das diferenças (PLD), dos anos de 2016, 2017 e 2018, analisou-se a magnitude dos riscos considerando-se o hedge especificamente para parques eólicos no nordeste com venda no sudeste. Os resultados encontrados indicam que apesar da magnitude do risco ser grande, os swaps de energia são bastante eficazes em sua mitigação. === [en] The panorama of the energy market in Brazil allows energy producers to make swap operations with prices, decreasing the intrinsic risks of operation, besides ensuring, occasionally, better profits. Due to the difference between the demands of the various energy submarkets, they may arbitrage the prices to minimize their losses. With the objective to find better ways to make this swap, and working on two thousand series of the settlement price of differences, from the years of 2016, 2017 and 2018, it was possible to analyze the magnitude of the risks, considering the hedge. Despite the results, the Brazilian energy infrastructure is highly dependent on rainfall patterns, showing clear weakness in drought periods. A higher investment in the sustainable energy sector, is necessary in or-der to ensure a more continuous supply, taking into account the experience of other countries.