wind valuation model
TRANSCRIPT
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InputSensitivity Analysis Info:
4.1 Value of Operational Phase Exogenous Varia
4.2 ENPV Value Endogenous Vari
4.3 ROV Binomial Approach
4.4 ROV Quadranomial Approach
5.2 ENPV Incl. Financial Side Effects
5.3 ROV Incl. Financial Side Effects
Input
Park info:
Country
Region
Developer
Time of Valuation
Type
Number of TurbinesMW/WTG
Total Installed Capacity
Construction Costs for Wind Farm (Year 2012
Expected Annual Production
Expected Grid Loss
Park Availability
Expected Net Production
Tariff:
Expected Market Price (2013)
Annual Electricity Price Volatility
Subsidies
Subsidised Number of Full-load Hours
Operational Costs:
Service (From Year 3)Techical Management (DKK/kwh)
Land Lease (% of Revenue)
Insurance
Administration
Own Energy Consumption
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Development Stages:
Stage 1
Stage 2
Stage 3
Stage 4
Cost of Equity:
Risk-free Rate (10 Year Danish Government B
Beta
Market Risk Premium
Cost of Equity
Mid-year Factor
Cost of Debt:
CIBOR Swap Rate (10 Year Fixed for Floating
Risk Premium Debt
Cost of Debt
Initial Leverage
Nominal Amount
Tax, Inflation and Depreciation:
Inflation Rate
Tax Rate
Depreciation Method
Annual Asset Depreciation
Carry Forward if No Income to Depreciate
Depreciable Intrerest (of EBITDA)
Sensitivity Analysis
DCF Value
DCF Value of Operational Phase
-20%
Electricity Price kr 0.28
DCF Value kr 57,251,514
Ex
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Relative Change -18.8%
-20%
Cost of Equity 5.45%
DCF Value kr 76,197,989
Relative Change 8.1%
ENPV
ENPV (All Equity Financed)
-20%
Probability Stage 1 40%
ENPV -kr 68,703
-20%
Probability Stage 2 40%
ENPV -kr 117,822
-20%
Probability Stage 3 64%
ENPV -kr 141,523
Binomial Real Options Valuation
ROV Value
-20%
Volatility 14.10%
ROV kr 2,667,486
Relative Change -19.8%
Quadranomial Real Options Valuation
QROV Value
-20%
Probability Stage 1 40%
QROV kr 325,032
Relative Change -25%
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-20%
Probability Stage 2 40.00%
QROV kr 284,096
Relative Change -34.1%
-20%
Probability Stage 3 64.00%
QROV kr 266,741
Relative Change -38.2%
-20%
Volatility 14.10%
QROV kr 303,471
Relative Change -29.6%
Value of ITS
Value of ITS
ENPV (Including Debt)
Value of ENPV (Including Debt)
Quadranomial Real Options Valuation (Including
QROV Value (Including Debt)
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ble
able
6.9 MW
)
21,293,440 kWh
2013 Prices
216,805DKK0.0849DKK
4.00%
159,181DKK
95,509DKK
31,836DKK
4.00%
2.00%
97.00%
0.3432 DKK/kWh
17.62%
0.25 DKK/kWh
Denmark
Jutland
European Energy
Primo 2010
SWT 2.3-93
32.3 MW
61,000,000DKK
22,400,000 kWh
150,000DKK
90,000DKK
30,000DKK
22,000
204,300DKK0.0800DKK
2010 Prices
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Desciptrion: Prob. Of Success:
Feasibility Studies and Pre-approval 50%
VVM and Final Approval 50%
Complaints and Compensation 80%
Construction 100%
ond)
6.82%
3.35%
WAP)
6.40%
48,800,000DKK
70,479,996
-10% kr 0.34 +10% +20%
kr 0.31 kr 0.34 kr 0.38 kr 0.41
kr 63,536,947 kr 70,479,996 kr 77,385,156 kr 84,271,567
2.50%
4.10%
3.90%
3.62%
0.78
80%
25%
2.00%
Accelerated
pected Electricity price (DKK/kWh)
25%
100%
Yes
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-9.9% - 9.8% 19.6%
-10% 6.82% +10% +20%
6.14% 6.82% 7.50% 8.18%
kr 73,233,942 kr 70,479,996 kr 67,916,858 kr 65,527,291
3.9% - -3.6% -7.0%
(60,879)
-10% 50.00% +10% +20%
45% 50% 55% 60%
-kr 64,791 -kr 60,879 -kr 56,966 -kr 53,054
-10% 50.00% +10% +20%
45% 50% 55% 60%
-kr 89,350 -kr 60,879 -kr 32,407 -kr 3,935
-10% 80.00% +10% +20%
72% 80% 88% 96%
-kr 101,201 -kr 60,879 -kr 20,556 kr 19,766
3,324,569
-10% 17.62% +10% +20%
15.86% 17.62% 19.38% 21.14%
kr 2,998,610 kr 3,324,569 kr 3,646,250 kr 3,964,440
-9.8% - 9.7% 19.2%
431,289
-10% 50.00% +10% +20%
45% 50% 55% 60%
kr 378,161 kr 431,289 kr 484,418 kr 537,547
-12% - 12% 25%
Success Probability Stage 1
Success Probability Stage 1
Success Probability Stage 3
Volatility
Success Probability Stage 2
Cost of Equity
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-10% 50.00% +10% +20%
45.00% 50.00% 55.00% 60.00%
kr 357,693 kr 431,289 kr 504,886 kr 578,482
-17.1% - 17.1% 34.1%
-10% 80.00% +10% +20%
72.00% 80.00% 88.00% 96.00%
kr 349,015 kr 431,289 kr 513,564 kr 595,838
-19.1% - 19.1% 38.2%
-10% 17.62% +10% +20%
15.86% 17.62% 19.38% 21.14%
kr 368,090 kr 431,289 kr 493,353 kr 554,507
-14.7% - 14.4% 28.6%
2,155,734
297,104
Debt)
645,763
Volatility
Success Probability Stage 3
Success Probability Stage 2
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2013 Prices, 3 WTGs
650,414DKK0.0849DKK
4.00%
477,544DKK
286,526DKK
95,509DKK
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Cost of stage Duration:
100,000DKK 6 Months
500,000DKK 12 Months
500,000DKK 12 Months
61,000,000DKK 6 Months
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2013 2014 2015 2016 2017 2018 2019
7,307,909 7,454,067 7,603,148 7,755,211 7,910,315 8,068,522 8,229,892
5,323,360 5,323,360 5,323,360 5,323,360 5,323,360 5,323,360 5,323,360
12,631,269 12,777,427 12,926,508 13,078,571 13,233,675 13,391,882 13,553,252
- - 690,225 704,029 718,110 732,472 747,122
1,807,742 1,843,896 1,880,774 1,918,390 1,956,758 1,995,893 2,035,811
505,251 511,097 517,060 523,143 529,347 535,675 542,130
477,544 487,094 496,836 506,773 516,909 527,247 537,792
286,526 292,257 298,102 304,064 310,145 316,348 322,675
95,509 97,419 99,367 101,355 103,382 105,449 107,558
3,172,571 3,231,763 3,982,365 4,057,754 4,134,650 4,213,084 4,293,087
9,458,698 9,545,663 8,944,143 9,020,817 9,099,025 9,178,797 9,260,165
61,000,000 45,750,000 34,312,500 25,734,375 19,300,781 14,475,586 10,856,689
15,250,000 11,437,500 8,578,125 6,433,594 4,825,195 3,618,896 2,714,172
-5,791,302 -1,891,837 366,018 2,587,224 4,273,830 5,559,901 6,545,992
- -5,791,302 -7,683,139 -7,317,121 -4,729,897 -456,067 -
-5,791,302 -1,891,837 366,018 2,587,224 4,273,830 5,559,901 6,545,992
-5,791,302 -7,683,139 -7,317,121 -4,729,897 -456,067 - -
- - - - - 5,103,834 6,545,992
- - - - - 1,275,958 1,636,498
- - - - - 3,827,875 4,909,494
9,458,698 9,545,663 8,944,143 9,020,817 9,099,025 4,074,963 2,714,172
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2020 2021 2022 2023 2024 2025 2026
8,394,490 8,562,380 8,733,627 8,908,300 9,086,466 9,268,195 9,453,559
686,480 - - - - - -
9,080,970 8,562,380 8,733,627 8,908,300 9,086,466 9,268,195 9,453,559
762,064 777,305 792,852 808,709 824,883 841,380 858,208
2,076,527 2,118,057 2,160,418 2,203,627 2,247,699 2,292,653 2,338,506
363,239 342,495 349,345 356,332 363,459 370,728 378,142
548,547 559,518 570,709 582,123 593,765 605,641 617,754
329,128 335,711 342,425 349,274 356,259 363,384 370,652
109,709 111,904 114,142 116,425 118,753 121,128 123,551
4,189,215 4,244,991 4,329,891 4,416,489 4,504,818 4,594,915 4,686,813
4,891,755 4,317,389 4,403,736 4,491,811 4,581,647 4,673,280 4,766,746
8,142,517 6,106,888 4,580,166 3,435,124 2,576,343 1,932,257 1,449,193
2,035,629 1,526,722 1,145,041 858,781 644,086 483,064 362,298
2,856,125 2,790,667 3,258,695 3,633,030 3,937,562 4,190,216 4,404,448
- - -
2,856,125 2,790,667 3,258,695
- - - -
2,856,125 2,790,667 3,258,695 3,633,030 3,937,562 4,190,216 4,404,448
714,031 697,667 814,674 908,258 984,390 1,047,554 1,101,112
2,142,094 2,093,000 2,444,021 2,724,773 2,953,171 3,142,662 3,303,336
2,035,629 1,526,722 1,145,041 858,781 644,086 483,064 362,298
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4,177,723 3,619,722 3,589,063 3,583,554 3,597,257 3,625,726 3,665,634
2020 2021 2022 2023 2024 2025 2026
- - - - - - -
- - - - - - -
- - - - - - -
- - - - - - -
714,031 697,667 814,674 908,258 984,390 1,047,554 1,101,112
246,137 - - - - - -
- - - - - - -
-246,137 - - - - - -
- - - - - - -
- - - - - - -
246,137 - - - - - -
- - - - - - -
246,137 - - - - - -
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2027 2028 2029 2030 2031 2032
9,642,630 9,835,483 10,032,192 10,232,836 10,437,493 10,646,243
- - - - - -
9,642,630 9,835,483 10,032,192 10,232,836 10,437,493 10,646,243
875,372 892,880 910,737 928,952 947,531 966,482
2,385,277 2,432,982 2,481,642 2,531,275 2,581,900 2,633,538
385,705 393,419 401,288 409,313 417,500 425,850
630,109 642,711 655,565 668,676 682,050 695,691
378,065 385,626 393,339 401,206 409,230 417,415
126,022 128,542 131,113 133,735 136,410 139,138
4,780,549 4,876,160 4,973,684 5,073,157 5,174,620 5,278,113
4,862,081 4,959,322 5,058,509 5,159,679 5,262,873 5,368,130
1,086,895 815,171 611,378 458,534 343,900 257,925
271,724 203,793 152,845 114,633 85,975 257,925
4,590,357 4,755,530 4,905,664 5,045,046 5,176,898 5,110,205
4,590,357 4,755,530 4,905,664 5,045,046 5,176,898 5,110,205
1,147,589 1,188,882 1,226,416 1,261,261 1,294,224 1,277,551
3,442,768 3,566,647 3,679,248 3,783,784 3,882,673 3,832,654
271,724 203,793 152,845 114,633 85,975 257,925
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Prob.
Stage
Probability of
ConstructionCash Flow (t) PV (t=0)
Probability
Weighted PV
50% 100% -100,000 -100,000 -100,000
50% 50% -500,000 -491,189 -245,594
80% 25% -500,000 -474,029 -118,507100% 20% -61,000,000 -55,811,136 -11,162,227
- 20% 70,479,996 57,827,251 11,565,450
ENPV -60,879
Prob.
Stage
Probability of
ConstructionCash Flow (t) PV (t=0)
Probability
Weighted PV50% 100% -100,000 -100,000 -100,000
50% 50% -500,000 -491,189 -245,594
80% 25% -500,000 -474,029 -118,507
100% 20% -61,000,000 -55,811,136 -11,162,227
0% 20% 70,479,996 57,827,251 11,565,450
- 20% 2,155,734 1,789,912 357,982
ENPV (Including Debt) 297,104
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Input
Sensitivity Analysis
4.1
4.2
4.3
4.4
5.25.3
Binomial Real Options Valuation
Input: Asset Value Treet 0.25
Risk-free (quarterly) 0.91% Figures given in thousands
Annual Volatility 17.62%
Quarterly Volatility 8.81%
Up-movement: 1.045 Primo 2010 Q1 2010 Q2 2010
Down-movement: 0.957 57,827 60,431 63,153
Prob. Up: 59.21% 55,335 57,827
Prob. Down: 40.79% 52,951
Value of Operational Phase
DCF Value (2013) 70,479,996kr
DCF Value (2010) 57,827,251kr
Option Value tree
Stage 1 100,000
Stage 2 500,000 Figures given in thousands
Stage 3 500,000
Stage 4 61,000,000
Primo 2010 Q1 2010 Q2 2010
3,325 4,703 6,279
1,645 2,520
412
ROV Incl. Financial Side Effects
Feasibility Studies and
Pre-approvalValue t=0
Cost of Stages
Value of Operational Phase
ENPV Value
ROV Binomial Approach
ROV Quadranomial Approach
ENPV Incl. Financial Side Effects
Value t=0Feasibility Studies and
Pre-approval
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Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012
65,997 68,969 72,075 75,321 78,713 82,258 85,962 89,834
60,431 63,153 65,997 68,969 72,075 75,321 78,713 82,258
55,335 57,827 60,431 63,153 65,997 68,969 72,075 75,321
50,669 52,951 55,335 57,827 60,431 63,153 65,997 68,969
48,485 50,669 52,951 55,335 57,827 60,431 63,153
46,396 48,485 50,669 52,951 55,335 57,827
44,396 46,396 48,485 50,669 52,951
42,483 44,396 46,396 48,485
40,652 42,483 44,396
38,901 40,652
37,224
Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012
8,669 10,858 13,313 15,990 19,347 22,352 25,512 28,834
4,186 5,684 7,536 9,723 12,709 15,415 18,263 21,258
1,394 2,104 3,121 4,528 6,840 9,063 11,625 14,321
232 395 674 1,148 2,509 3,765 5,547 7,969
- - - 435 741 1,263 2,153
- - - - - -
- - - - -
- - - -
- - -
- -
Complaints and Compensation
VVM and Final Approval Complaints and Compensation
VVM and Final Approval
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59,917
55,041
50,575
46,486
42,742
39,314
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