Pexapark & AFRY Management Consulting have partnered to bring together their respective short- & long-term pricing curve to produce the Daily Valuation Curve. This product combines Pexapark’s market-based assessment of PPAs & capture rates and AFRY’s fundamental price curve into a novel product that covers the entire tenor range out to 2060 for all technologies updating on a daily basis.
Generation of Curves and Methodology:
The Pexapark-AFRY Daily Valuation Curve (DVC) consists of the market curve on the short end (typically the liquid horizon or where Pexapark see price evidence), a transition period (combining both the Pexapark & AFRY pricing curves), and a forecasted curve beyond the transition period. This combination ensures the curve accurately represents value across all tenors, from the present day to 2060, offering a unified perspective on the potential lifespan of renewable assets.
Daily updates capture market movements for the short-term and transition periods, while the long-term forecast reflects AFRY's quarterly insights. This holistic approach provides a reliable basis for analysing renewable asset values over typical PPA durations and beyond.
To address price uncertainty, the DVC includes P90 and P10 monthly range. These outline the expected price realisation range with an 80% probability for a given month, based on observed market volatilities for the short end and fundamental-implied volatilities for the long-end. The interpolation between both along the tenor axis is performed using the volatility term structure implied by a market-standard two-factor model.