| 摘要 | ABSTRACT
1. Research Purpose
The demand for domestic natural gas is highly seasonal; thus, it is important for gas wholesaler such as Kogas to deliver promised quantities of gas in a timely fashion by preparing a cost-effective set of supply- and demand-side options. So far, the supply and demand balancing of the natural gas has been managed mainly using the means in supply-side: To secure the supply of gas in winter season, Kogas brings more gas in winter season by increasing the share of winter delivery in term contracts or through short-term contracts or spot gas trade. Also, Kogas try to secure adequate storage capacity needed in order to store the excess gas in summer and release them in winter. For this Korean government has announced a storage expansion plan to increase storage capacity up to 16 percents of domestic demand by 2017 through biennial plan
In a view of global gas market, it is expected that the changes come over the supply and demand, gas price determination methods, and the trade patterns for the natural gas, which is caused by the high oil price, PNG introduction in Northeast Asia, and higher export potential of shale gas in North America. It is expected that a short-term LNG market is to expand to a certain level due to additional flexible LNG, changes on terms and conditions in contracts, shale gas production, and an increase in the number of LNG producers and consumers, despite the important role of the long-term contract market. Therefore seeking the ways to utilize a short-term trade market can be a important policy option for government to consider in alleviating the burden of expensive LNG procurement due to the high oil price.
With the expansion of storage facilities and changes in global gas market environment, Kogas should face an expanded array of option for balancing supply and demand. In the past, the gas purchase with spot trade was a supplement way to support the gas purchase with term contracts. However, it is necessary for Kogas to manage a supply and demand through developing the proper mix of spot/short- and term contracts.
In this study, we look for an optimal portfolio by considering gas prices determined by long term contracts with spot trade and gas price volatilities in order to secure both economical and stable LNG. This study investigates 1) both the cost of various procurement means available and risk structure other than the term contract through the analyses on global gas market, 2) predicts the cost-risk structures for the alternatives of supply and demand management by considering available supply-side resources, and 3) examines an optimal mix of LNG supply options by utilizing a mean-variance portfolio analysis widely used in analyses on optimal power technology mix recently.
2. Summary
According to reports and papers that analysts and industry participants have issued recently focusing on future global LNG market situation, long-term contracts in Asia-Pacific region are likely to remain due to higher investment costs. Also liquid regional LNG trading hub development in Asia-Pacific region, take-off of oil-linked pricing is not expected. Nevertheless, the reports provide it is likely that the spot market will be growing steadily. Also, spot prices will remain at lower level than term contract price, together with decoupling the prices between the spot and the term contract.
In the medium term, it seems that the term-contract prices and spot prices in Asian-Pacific region would have a similar trend based on the supply and demand conditions in global LNG market. However, in the long-term, the revitalization of inter-regional LNG trade may cause the disparity between the term-contract prices and the spot prices.
If the LNG spot prices is decoupled from the oil prices due to the changes in global gas market condition, the gas purchasers should consider the correlation of each costs estimated by each alternative as well as the average of the costs when they determine the optimal mix of term and spot contracts.
Beyond the simple cost-comparison among each alternative, a portfolio model is considered as the way to reduce the unique risk caused by individual purchase, taking each alternative price��s co-movements into account. Originally the portfolio model is used to consider return and risk of financial assets, so it is necessary to modify major parameters on the portfolio model in order to find the optimal gas purchasing mix. It is possible to use the portfolio model for the study on finding the optimal gas purchasing mix, through the modification of some measures and reasonable interpretations on the analysis results. In recent years, many studies takes portfolio methods for power generation technology mix as well as gas purchasing mix.
Using the portfolio model analysis, we find that the spot purchase weight for lowest risk would be on between 3 to 6 percents. But it is a low level, given actual purchasing ratio with more than 10%. This means that such a difference comes from realistic market conditions that it is difficult to make a term contract in time and that the capacity for storage is scarcely adequate.
Additional storage capacity is expected to expand the range of alternatives available. That is, the existing function of storage facility focused on the management of supply and demand within a year should be re-examined by considering the changes of LNG market conditions, along with the expansion of storage facility. Once the proportion of spot trade in global gas markets and decoupling between term contracts and spot prices are increased, the opportunities for using storage facilities in various ways would also increase.
The expected changes in gas market conditions in the future and a steady increase of the capacity for storage demonstrate the need for adjusting buying patterns. In the global gas markets, spot markets, other than term contracts markets, have a great potential to grow stably. Also, the prices formed in spot markets might be cheaper than the term-contract prices linked with the oil prices, as inter-regional gas trade would expand, and the price discrimination might happen in between winter and summer.
Based on the such premises, the result of portfolio analysis for additional gas procurement shows that the ratio in lowest risk between spot gas procurement in summer and term-contract purchase is estimated to be 78:22. According to the market forecast, increasing spot purchase up to storage capacity available in off season could be an alternative that minimizes the average purchase cost under the acceptable risk(volatility) level, assuming the development of storage facility as planned, no changes on price determination method for term contract, and the stabilization of the transport market.
3. Policy Implications
In reality, there are limitations for the result of portfolio analysis to be accepted as it is. Nevertheless, the analysis using the portfolio model has several policy implications:
First, increasing the weight on the purchase with the term contracts due to the volatility of spot prices may not be a proper decision as the size of the spot market has been expanded owing to the change of market conditions.
Second, using the storage facility simply for surplus quantities in off-season of term-contract volume, though constructed for supply and demand management, could be inefficient. Once the size of spot market is expanded in the future, the decoupling between spot and term-contract prices by season is more likely to be high. Therefore, if using the decoupled prices enables economic purchase performance to be achieved, the perspective on utilization of storage facility needs to be changed.
Third, the economic value should be also considered with the security of supply when the storage facility is expanded. Until now the capacity of storage facility has been expanded according to the security of supply such as the response for seasonality of demand, safety enhancement in emergency and so forth. However, now the fact that storage facilities can be used in a wide variety of purchasing activities should be properly reflected in the expansion plan of storage facility.
Fourth, it is also necessary to examine another possible alternative that is not confined to the purchasing activities associated with the demand. Depending on global LNG market conditions, the supply and demand management with the term contract volume beyond anticipated demand can also be considered. This is because selling abroad the surplus in summer can be an alternative for expanding storage facility, although there are unstable aspects of market conditions.
Fifthly, methods reflecting flexibility of a variety of supply options available should be considered, taking into account the limit in which the optimal purchasing ratio is decided based on portfolio analysis.
Portfolio analysis has a positive aspect to help utilize merits of diversification in purchasing decision making, but there are some additional considerations. Besides risk aversion in accordance with the mix of various purchasing alternatives, the value of options that each purchasing alternative has needs to be considered. The value of option increases as uncertainty of future is high and the periods are long. Thus, a measure considering the value of option is needed in order to make a proper choice related to natural gas purchase in an uncertain environment. |
