26-27 November, 2012, AmsterdamCross Border Gas Trading

Jeroen Koster, Mercurious Course Leader

This course is designed to provide participants with a strong overview of Gas Trading, particularly market participants, gas products, pricing, trading, storage, cross-border trading, cross-border connections, cross-border transport capacity and capacity auctioning.

IntroductionThe training is based on a strong interactive approach in which the contribution of participants is of utmost importance. The workings of gas markets, relevant developments therein, risks and other relevant issues are shown during the training sessions by means of questions, theory and theses.

This course covers two full days. In dealing with each subject, we focus our attention on the various characteristics, aspects, opportunities and risks attached to that particular subject.

This course is designed to be extremely practical and hands-on. Participants will play trading simulations and will have to solve various exercises. The course has a steep learning curve and a marked increase of both knowledge and skills in the area of Cross Border Gas Trading will be the end result.COU

RSE

COU

RSE

COU

RSE

Who should attend?This course is particularly suited to the compliant energy and commodity community including these key roles:

▶ Gas traders, energy traders and commodity traders ▶ Gas executives ▶ Gas asset and portfolio managers ▶ Risk managers ▶ Back offi ce staff ▶ ICT experts and project managers ▶ Legal staff and compliance offi cers ▶ Employees within the Finance and Control departments

Learning objectives ▶ The workings of local, regional and international gas markets

▶ Transportation of gas: Shipping, pipelines and hubs ▶ TSOs and Balancing regimes ▶ Products traded in the gas markets ▶ The workings and applications of those products ▶ Cross-border gas trading and business reasons underpinning it

▶ Customary cross-border gas trading techniques and methods

▶ Cross-border gas trading ▶ Currency risk and FX trading ▶ Proxy hedging (dirty hedge) ▶ Correlation coeffi cients and correlation trading ▶ Arbitrage and statistical arbitrage

Cross Border Gas Trading

AGEN

DA

AGEN

DA

AGEN

DA

ProgramDAY 1Session 1: Gas markets

▶ Working of the gas markets ▷ Hubs ▪ Physical vs. Virtual hubs ▪ Henry Hub, NBP, TTF, Zeebrugge, Baumgarten

▶ Market participants ▶ Features of gas

▷ Quality ▪ High calorifi c ▪ Low calorifi c ▪ Wobbe-index ▪ Quality conversion (capacity)

▶ Transport ▷ Pipelines vs. LNG ▷ Regassifi cation vs. liquefaction capacity ▷ The eff ect of LNG on gas pricing ▷ Transmission System Operators (TSOs) ▪ National Grid, Fluxys, Gas Transport Services ▪ Balancing regimes

▶ Pricing ▷ Fundamental price drivers ▷ Non-fundamental price drivers ▷ Gaspec ▷ o Price formulas ▷ o Correlation with oil price ▷ o Benchmarks & indices Session 2:

Session 2:Gas trading

▶ Physical markets vs. Financial markets ▶ Spot products (Intraday, Day ahead, BOW, BOM, BOY, WKND, WDNW)

▶ Forward products (Months, Quarters, Seasons, Cal products)

▷ Consumption curve; seasonality ▪ Daily pattern (day-night) ▪ Weekly patterns (working days vs. weekend) ▪ Yearly patterns (winter-summer) ▷ Defi nitions ▪ Peak vs. off -peak

▪ Base load vs. peak load ▶ Contract specifi cations & structuring

▷ Physical delivery vs. Financially settled products ▶ Forward curves

▷ Backwardation ▷ Contango ▷ Convenience yield

▶ OTC markets vs. Exchange trade ▷ The role of brokers

▶ ICE, APX-Endex, EEX ▷ Clearing ▪ Margining & Collateralization

▶ Spread trading

Session 3 + 4: Auctioning gas transport capacity

▶ Preferred auction of cross-border transport capacity ▷ ENTSOG ▷ Programme responsible parties (PRPs) ▷ Interconnection points (IPs) ▷ Strategies ▪ Each PRP has to decide how to purchase the

requested units of capacity. ▪ Optimization of bids, taken into account the capacity

of the IPs, the diff erent prices and the restraint of the budget.

▪ Forecast behaviour of competitors and what the consequences will be.

Simulation: Auction of (cross-border) gas transport capacityParticipants will be allocated a budget and will be assigned a target. Based on these two ingredients they have to participate in an auction and fulfi ll their tasks in the best way

LEADERCO

URS

ECO

URS

ECO

URS

E ProgramDAY 2Session 5: Cross-border gas trading

▶ The reasons for it explained ▷ Sourcing ▷ Hedging ▷ Arbitrage ▷ Speculation

▶ Solutions to avoid delivery at the wrong place ▷ Gas swap ▷ Physical ▷ Financial ▷ Liquidating position ▷ Spot markets

▶ Currency risk ▷ FX trading ▷ Treasury mgt. department vs. Trading department

Exercise:Cross-border gas trading

Session 6:Risk management

▶ Value at Risk ▷ VaR ▪ Time horizon ▪ Confi dence level

▶ VaR of a combined gas portfolio ▷ Various commodities ▪ NBP gas & TTF gas ▪ How to implement correlation coeffi cients?

▶ Dirty hedge ▪ Cross-margining ▪ Interpretation of exposures

Exercise: Calculate the VaR of a cross-border gas position

Session 7: Hedging

▶ Proxy hedging ▷ Dirty hedge ▷ The impact of a proxy hedge ▷ How to eff ectuate proxy hedging in practice? ▷ Disadvantages of correlation trading ▪ Normality ▪ Linearity

Session 8: The real option approach

▶ The real option approach explained ▶ Asset optimization ▶ Optimization of allocation of assets ▶ Dynamic hedging ▶ Delta hedging

Simulation: Cross-border gas trading

▶ NBP-TTF ▶ Physical & virtual trading ▶ Optimization of cross-border transport capacity

Participants will be allocated physical transport capacity and have to optimize the value by hedging dynamically.

Jeroen Koster is the co-author of the book entitled “Refacing Risk, building a fortune”. After fi nishing high school, Jeroen Koster studied Applied Mathematicsat the Technical University (TU) of Twente. In 1996 he became a professional Options Trader (Market Maker) on the trading-fl oor of the

European Option Exchange (EOE) in Amsterdam.

For a number of years thereafter Jeroen traded in various option classes, both single stocks and indices and FX. Subsequently he became responsible for the education of new hires and trainees at the European Option Exchange. Following the new millennium and the technical improvements and challenges it brought along, including the migration from open-outcry to screen-based trading on electronic platforms, Jeroen became the Head of Trading at the trading fi rm and specialist Van der Moolen.

Jeroen has also worked as a Corporate Trainer at the international derivatives trading fi rm All Options, in which position he was responsible for training staff for the roles of Derivatives Trader, (senior) Traders and Back Offi ce employees. The training centered onto several subjects including corporate actions, risk management, compliance, volatility and trading strategies.

With over two decades worth of experience in the energy sector, Jeroen Koster is highly skilled and formally schooled in the nuances of this exciting industry. His experience and passion for passing on knowledge really make him an excellent tutor.

Jeroen Koster Trainer-Consultant Mercurious

LEADERLEADERLEADERCOURSE LEADER

Jeroen Koster is the co-author of the book entitled “Refacing Risk, building a fortune”.

After fi nishing high school, Jeroen Koster studied Applied Mathematicsat the Technical University (TU) of Twente. In 1996 he became a professional Options Trader (Market Maker) on the trading-fl oor of the

LANGUAGEThe workshop will be delivered in English.

DATE 26-27 November 2012, Amsterdam, The Netherlands

SCHEDULEEach day starts at 09.00 and finishes at 17.00hrs.

REGISTRATIONhttp://www.energy-expert-network.com/coursesE-mail: Johanna.oberg@energy-expert-network.comPhone:+46 (0) 85 333 2599

FEESEarly Bird 1990€ (register before 12 October) + Dutch VATStandard price 2490€ + Dutch VAT

MULTIPLE REGISTRATION DISCOUNTRegister two or more people from the same companyand get a 10% discount per person.

FOOD AND BEVERAGEFood and beverages will be provided to theparticipants during the day. Specific wishes can besubmitted to the organization.

DOCUMENTATIONParticipants receive documentation, calculations andexercises in a manual.

ABOUT THE ORGANIZERS

ENERGY EXPERT NETWORKThe Energy Expert Network is a network of experts and hands-on energy market participants that provides companies with tailored courses.

The Energy Expert Network consists of the ‘best of the best’ industry experts, well known for their knowledge and experience in teaching energy industry professionals. Energy Expert Network also provide open courses on fixed dates in co-operation with external experts.