wind valuation model

7/31/2019 Wind Valuation Model

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InputSensitivity Analysis Info:

4.1 Value of Operational Phase Exogenous Varia

4.2 ENPV Value Endogenous Vari

4.3 ROV Binomial Approach

4.4 ROV Quadranomial Approach

5.2 ENPV Incl. Financial Side Effects

5.3 ROV Incl. Financial Side Effects

Input

Park info:

Country

Region

Developer

Time of Valuation

Type

Number of TurbinesMW/WTG

Total Installed Capacity

Construction Costs for Wind Farm (Year 2012

Expected Annual Production

Expected Grid Loss

Park Availability

Expected Net Production

Tariff:

Expected Market Price (2013)

Annual Electricity Price Volatility

Subsidies

Subsidised Number of Full-load Hours

Operational Costs:

Service (From Year 3)Techical Management (DKK/kwh)

Land Lease (% of Revenue)

Insurance

Administration

Own Energy Consumption


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Development Stages:

Stage 1

Stage 2

Stage 3

Stage 4

Cost of Equity:

Risk-free Rate (10 Year Danish Government B

Beta

Market Risk Premium

Cost of Equity

Mid-year Factor

Cost of Debt:

CIBOR Swap Rate (10 Year Fixed for Floating

Risk Premium Debt

Cost of Debt

Initial Leverage

Nominal Amount

Tax, Inflation and Depreciation:

Inflation Rate

Tax Rate

Depreciation Method

Annual Asset Depreciation

Carry Forward if No Income to Depreciate

Depreciable Intrerest (of EBITDA)

Sensitivity Analysis

DCF Value

DCF Value of Operational Phase

-20%

Electricity Price kr 0.28

DCF Value kr 57,251,514

Ex


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Relative Change -18.8%

-20%

Cost of Equity 5.45%

DCF Value kr 76,197,989

Relative Change 8.1%

ENPV

ENPV (All Equity Financed)

-20%

Probability Stage 1 40%

ENPV -kr 68,703

-20%


ENPV -kr 117,822

-20%


ENPV -kr 141,523

Binomial Real Options Valuation

ROV Value

-20%

Volatility 14.10%

ROV kr 2,667,486


Quadranomial Real Options Valuation

QROV Value

-20%


QROV kr 325,032

Relative Change -25%


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-20%

Probability Stage 2 40.00%

QROV kr 284,096


-20%

Probability Stage 3 64.00%

QROV kr 266,741


-20%

Volatility 14.10%

QROV kr 303,471


Value of ITS

Value of ITS

ENPV (Including Debt)

Value of ENPV (Including Debt)

Quadranomial Real Options Valuation (Including

QROV Value (Including Debt)


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ble

able

6.9 MW

)

21,293,440 kWh

2013 Prices

216,805DKK0.0849DKK

4.00%

159,181DKK

95,509DKK

31,836DKK

4.00%

2.00%

97.00%

0.3432 DKK/kWh

17.62%

0.25 DKK/kWh

Denmark

Jutland

European Energy

Primo 2010

SWT 2.3-93

32.3 MW

61,000,000DKK

22,400,000 kWh

150,000DKK

90,000DKK

30,000DKK

22,000

204,300DKK0.0800DKK

2010 Prices


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Desciptrion: Prob. Of Success:

Feasibility Studies and Pre-approval 50%

VVM and Final Approval 50%

Complaints and Compensation 80%

Construction 100%

ond)

6.82%

3.35%

WAP)

6.40%

48,800,000DKK

70,479,996

-10% kr 0.34 +10% +20%

kr 0.31 kr 0.34 kr 0.38 kr 0.41

kr 63,536,947 kr 70,479,996 kr 77,385,156 kr 84,271,567

2.50%

4.10%

3.90%

3.62%

0.78

80%

25%

2.00%

Accelerated

pected Electricity price (DKK/kWh)

25%

100%

Yes


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-9.9% - 9.8% 19.6%

-10% 6.82% +10% +20%

6.14% 6.82% 7.50% 8.18%

kr 73,233,942 kr 70,479,996 kr 67,916,858 kr 65,527,291

3.9% - -3.6% -7.0%

(60,879)

-10% 50.00% +10% +20%

45% 50% 55% 60%

-kr 64,791 -kr 60,879 -kr 56,966 -kr 53,054

-10% 50.00% +10% +20%

45% 50% 55% 60%

-kr 89,350 -kr 60,879 -kr 32,407 -kr 3,935

-10% 80.00% +10% +20%

72% 80% 88% 96%

-kr 101,201 -kr 60,879 -kr 20,556 kr 19,766

3,324,569

-10% 17.62% +10% +20%

15.86% 17.62% 19.38% 21.14%

kr 2,998,610 kr 3,324,569 kr 3,646,250 kr 3,964,440

-9.8% - 9.7% 19.2%

431,289

-10% 50.00% +10% +20%

45% 50% 55% 60%

kr 378,161 kr 431,289 kr 484,418 kr 537,547

-12% - 12% 25%

Success Probability Stage 1



Volatility


Cost of Equity


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-10% 50.00% +10% +20%

45.00% 50.00% 55.00% 60.00%

kr 357,693 kr 431,289 kr 504,886 kr 578,482

-17.1% - 17.1% 34.1%

-10% 80.00% +10% +20%

72.00% 80.00% 88.00% 96.00%

kr 349,015 kr 431,289 kr 513,564 kr 595,838

-19.1% - 19.1% 38.2%

-10% 17.62% +10% +20%

15.86% 17.62% 19.38% 21.14%

kr 368,090 kr 431,289 kr 493,353 kr 554,507

-14.7% - 14.4% 28.6%

2,155,734

297,104

Debt)

645,763

Volatility




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2013 Prices, 3 WTGs

650,414DKK0.0849DKK

4.00%

477,544DKK

286,526DKK

95,509DKK


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Cost of stage Duration:

100,000DKK 6 Months

500,000DKK 12 Months

500,000DKK 12 Months

61,000,000DKK 6 Months


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2013 2014 2015 2016 2017 2018 2019

7,307,909 7,454,067 7,603,148 7,755,211 7,910,315 8,068,522 8,229,892

5,323,360 5,323,360 5,323,360 5,323,360 5,323,360 5,323,360 5,323,360

12,631,269 12,777,427 12,926,508 13,078,571 13,233,675 13,391,882 13,553,252

- - 690,225 704,029 718,110 732,472 747,122

1,807,742 1,843,896 1,880,774 1,918,390 1,956,758 1,995,893 2,035,811

505,251 511,097 517,060 523,143 529,347 535,675 542,130

477,544 487,094 496,836 506,773 516,909 527,247 537,792

286,526 292,257 298,102 304,064 310,145 316,348 322,675

95,509 97,419 99,367 101,355 103,382 105,449 107,558

3,172,571 3,231,763 3,982,365 4,057,754 4,134,650 4,213,084 4,293,087

9,458,698 9,545,663 8,944,143 9,020,817 9,099,025 9,178,797 9,260,165

61,000,000 45,750,000 34,312,500 25,734,375 19,300,781 14,475,586 10,856,689

15,250,000 11,437,500 8,578,125 6,433,594 4,825,195 3,618,896 2,714,172

-5,791,302 -1,891,837 366,018 2,587,224 4,273,830 5,559,901 6,545,992

- -5,791,302 -7,683,139 -7,317,121 -4,729,897 -456,067 -

-5,791,302 -1,891,837 366,018 2,587,224 4,273,830 5,559,901 6,545,992

-5,791,302 -7,683,139 -7,317,121 -4,729,897 -456,067 - -

- - - - - 5,103,834 6,545,992

- - - - - 1,275,958 1,636,498

- - - - - 3,827,875 4,909,494

9,458,698 9,545,663 8,944,143 9,020,817 9,099,025 4,074,963 2,714,172


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2020 2021 2022 2023 2024 2025 2026

8,394,490 8,562,380 8,733,627 8,908,300 9,086,466 9,268,195 9,453,559

686,480 - - - - - -

9,080,970 8,562,380 8,733,627 8,908,300 9,086,466 9,268,195 9,453,559

762,064 777,305 792,852 808,709 824,883 841,380 858,208

2,076,527 2,118,057 2,160,418 2,203,627 2,247,699 2,292,653 2,338,506

363,239 342,495 349,345 356,332 363,459 370,728 378,142

548,547 559,518 570,709 582,123 593,765 605,641 617,754

329,128 335,711 342,425 349,274 356,259 363,384 370,652

109,709 111,904 114,142 116,425 118,753 121,128 123,551

4,189,215 4,244,991 4,329,891 4,416,489 4,504,818 4,594,915 4,686,813

4,891,755 4,317,389 4,403,736 4,491,811 4,581,647 4,673,280 4,766,746

8,142,517 6,106,888 4,580,166 3,435,124 2,576,343 1,932,257 1,449,193

2,035,629 1,526,722 1,145,041 858,781 644,086 483,064 362,298

2,856,125 2,790,667 3,258,695 3,633,030 3,937,562 4,190,216 4,404,448

- - -

2,856,125 2,790,667 3,258,695

- - - -

2,856,125 2,790,667 3,258,695 3,633,030 3,937,562 4,190,216 4,404,448

714,031 697,667 814,674 908,258 984,390 1,047,554 1,101,112

2,142,094 2,093,000 2,444,021 2,724,773 2,953,171 3,142,662 3,303,336

2,035,629 1,526,722 1,145,041 858,781 644,086 483,064 362,298


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4,177,723 3,619,722 3,589,063 3,583,554 3,597,257 3,625,726 3,665,634

2020 2021 2022 2023 2024 2025 2026

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

714,031 697,667 814,674 908,258 984,390 1,047,554 1,101,112

246,137 - - - - - -

- - - - - - -

-246,137 - - - - - -

- - - - - - -

- - - - - - -

246,137 - - - - - -

- - - - - - -

246,137 - - - - - -


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2027 2028 2029 2030 2031 2032

9,642,630 9,835,483 10,032,192 10,232,836 10,437,493 10,646,243

- - - - - -

9,642,630 9,835,483 10,032,192 10,232,836 10,437,493 10,646,243

875,372 892,880 910,737 928,952 947,531 966,482

2,385,277 2,432,982 2,481,642 2,531,275 2,581,900 2,633,538

385,705 393,419 401,288 409,313 417,500 425,850

630,109 642,711 655,565 668,676 682,050 695,691

378,065 385,626 393,339 401,206 409,230 417,415

126,022 128,542 131,113 133,735 136,410 139,138

4,780,549 4,876,160 4,973,684 5,073,157 5,174,620 5,278,113

4,862,081 4,959,322 5,058,509 5,159,679 5,262,873 5,368,130

1,086,895 815,171 611,378 458,534 343,900 257,925

271,724 203,793 152,845 114,633 85,975 257,925

4,590,357 4,755,530 4,905,664 5,045,046 5,176,898 5,110,205

4,590,357 4,755,530 4,905,664 5,045,046 5,176,898 5,110,205

1,147,589 1,188,882 1,226,416 1,261,261 1,294,224 1,277,551

3,442,768 3,566,647 3,679,248 3,783,784 3,882,673 3,832,654

271,724 203,793 152,845 114,633 85,975 257,925


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Prob.

Stage

Probability of

ConstructionCash Flow (t) PV (t=0)

Probability

Weighted PV

50% 100% -100,000 -100,000 -100,000

50% 50% -500,000 -491,189 -245,594

80% 25% -500,000 -474,029 -118,507100% 20% -61,000,000 -55,811,136 -11,162,227

- 20% 70,479,996 57,827,251 11,565,450

ENPV -60,879

Prob.

Stage

Probability of

ConstructionCash Flow (t) PV (t=0)

Probability

Weighted PV50% 100% -100,000 -100,000 -100,000

50% 50% -500,000 -491,189 -245,594

80% 25% -500,000 -474,029 -118,507

100% 20% -61,000,000 -55,811,136 -11,162,227

0% 20% 70,479,996 57,827,251 11,565,450

- 20% 2,155,734 1,789,912 357,982

ENPV (Including Debt) 297,104


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Input

Sensitivity Analysis

4.1

4.2

4.3

4.4

5.25.3

Binomial Real Options Valuation

Input: Asset Value Treet 0.25

Risk-free (quarterly) 0.91% Figures given in thousands

Annual Volatility 17.62%

Quarterly Volatility 8.81%

Up-movement: 1.045 Primo 2010 Q1 2010 Q2 2010

Down-movement: 0.957 57,827 60,431 63,153

Prob. Up: 59.21% 55,335 57,827

Prob. Down: 40.79% 52,951

Value of Operational Phase

DCF Value (2013) 70,479,996kr

DCF Value (2010) 57,827,251kr

Option Value tree

Stage 1 100,000

Stage 2 500,000 Figures given in thousands

Stage 3 500,000

Stage 4 61,000,000

Primo 2010 Q1 2010 Q2 2010

3,325 4,703 6,279

1,645 2,520

412

ROV Incl. Financial Side Effects

Feasibility Studies and

Pre-approvalValue t=0

Cost of Stages

Value of Operational Phase

ENPV Value

ROV Binomial Approach

ROV Quadranomial Approach

ENPV Incl. Financial Side Effects

Value t=0Feasibility Studies and

Pre-approval


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Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012

65,997 68,969 72,075 75,321 78,713 82,258 85,962 89,834

60,431 63,153 65,997 68,969 72,075 75,321 78,713 82,258

55,335 57,827 60,431 63,153 65,997 68,969 72,075 75,321

50,669 52,951 55,335 57,827 60,431 63,153 65,997 68,969

48,485 50,669 52,951 55,335 57,827 60,431 63,153

46,396 48,485 50,669 52,951 55,335 57,827

44,396 46,396 48,485 50,669 52,951

42,483 44,396 46,396 48,485

40,652 42,483 44,396

38,901 40,652

37,224

Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012

8,669 10,858 13,313 15,990 19,347 22,352 25,512 28,834

4,186 5,684 7,536 9,723 12,709 15,415 18,263 21,258

1,394 2,104 3,121 4,528 6,840 9,063 11,625 14,321

232 395 674 1,148 2,509 3,765 5,547 7,969

- - - 435 741 1,263 2,153

- - - - - -

- - - - -

- - - -

- - -

- -

Complaints and Compensation

VVM and Final Approval Complaints and Compensation

VVM and Final Approval


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59,917

55,041

50,575

46,486

42,742

39,314


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wind valuation model

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