OperaÃÃes de SWAP no mercado de energia

AUTOR(ES)

Murilo Carrilho Mattos

DATA DE PUBLICAÇÃO

2008

RESUMO

In brazilian electrical sector, the linked system is divided by four subsystems, due to the electrical restrictions in their linkages. This condition brings, as result, an existing possibility of distinct Differences Clean-up Price in each of those subsystems. Concerning to actual brazilian legislation, the electrical sector agents are free to negotiate the delivery local of the power energy in the linked system, no matter where they are connected. The commercialization rules that the agents are submitted can offer them various risk, between them there is the short term clean-up risk that is obtained by application of the Differences Clean-up Price. In case of the consumption category, the short term clean-up can generate variable expenses that can reach unwished level. In case of production category, the short term clean-up generate revenue that can offer difficulties to the agents of this category in payments of their assumed compromises, when the Differences Clean-up Price where low. When the agents use their free condition to negotiate their power supply in any subsystem, an additional risk appears and must be considered in the business, the one correspondent to the exposition of the dissimilarity in Differences Clean-up Price between subsystems. This dissimilarity may be positive, bringing gains, or negative, bringing looses to the agents. The objective of this work is present some SWAP operation models as alternative to reduce or eliminate the financial exposition risk in short term clean-up involved in power supply trade. Therefore it is necessary: analyses the Differences Clean-up Price behavior; analyses the cash flow of existing contracts; analyses the price of these contracts in the context they where inserted; identify the involved risk in the power supply trade with Differences Clean-up Price dissimilarity in short term clean-up. The results of this dissertation show the application of SWAP operations of three models with distinct objectives and one more model corresponding to an association of two between those three ones. In this way, it is shown that those operations can be used in power supply trade, bringing gains to the agents of the electrical sector

ASSUNTO(S)

liquidaÃÃo de curto prazo swap exposiÃÃo financeira mercado de energia economia power contracts contrato de energia swap power market financial exposition short term clean-up

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