Развитие спотового ценообразования в ЕС: влияние на экспортную политику ПАО «Газпром»
Цель: выявить, как развитие спотового ценообразования на европейском рынке газа влияет на экспортную стратегию ПАО «Газпром». Задачи: выявить отсутствие или наличие корреляции между спотовыми ценами, ценами на нефть и ценами по долгосрочным контрактам на поставку газа посредством использования регрессионного анализа; проанализировать тренд изменения данной корреляции на протяжении периода 31.12.2008-31.03.2018; на основе полученных результатов сформулировать рекомендации касательно экспортной стратегии ПАО «Газпром» и других экспортеров на рынке Европы. Результаты: выявлено наличие корреляции между спотовыми ценам, ценами на нефть и ценами по долгосрочным контрактам на поставку газа; выявлено снижении корреляции между спотовыми ценами и ценами на нефть; выявлено повышение корреляции между спотовыми ценами и ценами по долгосрочным контрактам BAFA, что подтверждает факт развития спотового рынка в Европе. На основе полученных результатов был проведен сценарный анализ, послуживший базой для формулировки практических рекомендаций. ПАО «Газпром» следует сохранять поставки по долгосрочным контрактам в Европу, однако компании следует придерживаться более гибкой экспортной стратегии, при которой «спотовый» компонент расчетной формулы по ценам на газ должен быть увеличенпри уменьшении нефтяной индексации в формуле. Данный подход позволит российскому газу быть более конкурентоспособным на Европейском рынке газа.
Energy market is one of the most volatile, changing and developing market nowadays. Gas market has been undergoing considerable changes, especially in Europe. The rapid development of spot trading as a new alternative to gas delivery under long-term contracts has changed the European gas market conditions dramatically that directly influence foreign export companies’ strategies.
The two gas hubs – National Balancing Point (NBP) in Great Britain and Title Transfer Facility (TTF) in the Netherlands – are nowadays the most developed hubs with the high number of market participants and gas volume traded there. These two virtual gas hubs provide the European market with an ability to buy gas not only under long-term contracts but also at spot prices that enables fast gas purchase. Furthermore, the possibility to trade gas through forwards and futures at gas hubs makes spot trading at TTF and NBP lucrative financial activity. Other European hubs have low liquidity levels and thus cannot be considered as mature hubs where prices potentially respond to market changes in supply and demand.
With the development of gas hubs at Europe spot prices are considered to be dominant gas pricing mechanism nowadays while oil-indexed contract prices for gas delivery are labeled as “outdated approach” for gas pricing. While long-term contract prices are formed based on a special pricing formula that contains oil indexation and thus defines the relationship between LTC and oil prices, there is no united opinion on whether spot prices depend on oil prices or they represent independent pricing mechanism.
A number of researchers claim that there is no or very slight correlation between spot and oil prices that explains a relatively low level of spot prices in comparison with LTC prices for gas delivery (Hulshof, Maat, & Mulder, 2015). These scientists reckon that gas hubs where spot trading takes place are developed enough in terms of liquidity levels that directly depend on number of hub participant and gas volume traded to provide market with spot prices that reflect market equilibrium, e.g. market supply and demand intersection that is profitable for both buyers and suppliers.
Other scientists claim basing on their empirical research that even if liquidity levels at hubs are high spot prices could not be considered as an independent pricing mechanism that is forcing out LTC prices. These researches report that there is still quite strong correlation between spot and oil prices (Asche, Misund, &Sikveland: 2013; Komlev, 2016). Furthermore, S.Komlev (2016) claims that spot prices could be only considered as “a secondary” prices in relation to LTC prices that creates “pricing ceiling” for spot ones. Thus, in this case spot prices are not considered as an independent gas pricing paradigm since they follow oil and LTC price dynamics.
Thus, there is no united opinion on the existence of the correlation between spot, oil and LTC prices. The result of the dispute is the lack of clarity about the nature of spot prices: what in reality drive spot prices, how they correlate with oil and to what degree they represent supply and demand changes. The uncertainty regarding this issue leads to the fact that export strategy of export companies cannot be consistent enough since the analysis regarding spot prices does not have stable basement.
Furthermore, the highly rapid development speed of the European gas market requires quite often updates of the analysis. The research prepared by S. Komlev in 2016 covered the time period from 2007 till 1.01.2016. The current research covers the time period 31.12.2008 – 31.03.2018 and, thus, presents the most up-to-date analysis that include the prices even for the beginning of 2018. This enables to see the status-quo of the European gas market nowadays and its development over the last 10 years.
Finally, in the current research paper it is aimed to examine not only the existence of the correlation between spot prices, oil prices and LTC prices, but also to analyze how this correlation have been changing over a particular time period. The time period taken for the analysis is divided into three sub-periods in order to examine how correlation between spot, oil and LTC prices have been changing over time.
In this regard research questions are: is there a correlation between spot price at TTF and NBP and Brent oil prices? Is there a correlation between spot prices at TTF and NBP and BAFA long-term contract prices? If the correlation exists, is the correlation between TTF and NBP spot prices and Brent oil and BAFA prices is weakening over a particular time period?
Thus, the object of the research paper is spot prices at TTF and NBP gas hubs. The subject of the current research is the relationship of spot prices with Brent oil prices and BAFA long-term contract prices and the strength of this correlation.
The Chapter 1 comprise an overview of the European gas market and Russian gas market status-quo, the notion of the liquidity and its importance for hubs efficiency assessment, main pricing paradigms in gas market and an overview of main European gas hubs. An overview of the European gas market is presented in this research in order to show the current market reality and how the European market has been developing over the recent years. The Russian market overview and the Gazprom export strategy is discussed in the paper since managerial implications are focused primarily for Gazprom and at the second place for other exporters all over the world. Two pricing paradigm are analyzed in detail in order to have a deep insight of pricing approaches in the gas market and to reveal an absence of unique opinion on the nature of spot prices. An overview of main European hubs were elaborated in order to create the finished picture of the European gas market and to show the development process of spot trading in the market.
In the Chapter 2 the methodology for the analysis is discussed. The rational for choosing the time period 31.12.2008-31.03.2018 is explained. Furthermore, data choosing for the research and the sources where data for the analysis were extracted are reported. Finally, the research method – the regression analysis – is explained and preliminary research plan is elaborated.
The Chapter 3 presents the results of the regression analysis and the conclusions. The scenario analysis is carried out in order to get deep insights of risks for Gazprom in the current market situation and potential strategy paths how to adjust the company’s export strategy to volatile new market reality. Practical and theoretical implications of the research are explained. For practical implication to be done the scenario analysis is prepared where 4 scenarios are considered based on the scenario matrix 2×2.
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