Markets / Natural Gas

Storage

 

Your Challenges

Valuing a single or a portfolio of gas storage assets

Applying a trading strategy to lock in value, monetise volatility and/or manage risk

Valuing gas storage using market implied volatilities instead of relying on historical volatilities

Valuing a gas storage facility using accurate estimates of price volatility and seasonality

Understanding optimal physical dispatch of a gas storage asset or gas storage capacity

Understanding the sensitivity of the value of a gas storage asset to changes in price and volatility

Explaining and defending to senior management accurate storage valuations with a transparent methodology and granular details of cashflows

Forecasting of physical injection/withdrawal profiles under different storage valuation methodologies and across varying contract terms

We Understand Your Market

Heightened volatility from increased LNG imports, the collapse in the oil price, demand reductions from the pandemic, extreme weather, and dips and spikes in spot prices are creating significant opportunities for traders, storage producers and holders of storage capacity to experience increased returns. However, these market dynamics are also creating increased risk from holding such assets and underpin the need for a specialised approach to energy trading and risk management for natural gas storage market players.

Be confident that you are working with specialists that understand your natural gas storage valuation challenges. With many years of experience, we see your storage valuation concerns from a practical, real-world perspective.

Our Solution

Lacima offers two solutions for natural gas storage market participants: Lacima Trader and Lacima Analytics – providing a complete solution from structuring and trading to risk management of storage portfolios.

Lacima’s solutions use the same consistent models and methodologies to capture the unique market characteristics whilst providing the comfort of stress testing and scenario analysis tools to analyse future uncertainty.

Whether you are in Trading, Structuring & Origination or Risk Management, use Lacima’s solutions to accurately value gas storage contracts and physical assets, and support key decision making by leveraging Lacima’s risk solutions to gain deep insights into the drivers of risk and how they change through time. Lacima calculates the full range of market and credit risk metrics including Earnings-at- Risk and Revenue-at-Risk, as well as more standard risk management metrics such as Value-at-Risk (VaR) and Potential Future Exposure (PFE), for superior trading and risk management results.

Traders, Structurers and Risk Managers can enjoy a range of benefits including:

  • Value and hedge the intrinsic and extrinsic value of a storage contract
  • Drill down to granular revenues and costs at a daily level over the life of a deal
  • Understand the value under multiple valuation strategies, not just on a single strategy that is profitable at one point in time
  • Flexibly design bespoke gas storage dashboards
  • Integrate with market data from 3rd party providers like Bloomberg, Reuters or Trayport
  • Utilise a range of valuation methods including Intrinsic, Rolling Intrinsic, Basket of Spreads and Spot Optimal
  • Identify trades required to rebalance to optimal positions for monetisation of trading strategies
  • Obtain real-world actionable outputs including optimal positions, individual trades profit and loss and a full set of Greeks
  • Analyse and obtain detailed drilldown to all sources of value with an exhaustive list of output properties for all models including Greeks, unit Greeks, model parameters and individual simulations
  • Stress Test inputs such as market prices, volatilities or correlations to quantify potential effects on a gas storage valuation and required hedges
  • Calibrate to market implied volatilities as well as historical spot and forward data