GB Wholesale Market Summary May 2021

Published June 2021 Aurora offers power market forecasts and market intelligence spanning Europe’s key markets, Australia and the US

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Source: Aurora Energy Research 2 Month-on-month Year-on-year Monthly value1 Slide reference(s) E x e c u t i v e change change Power prices +5.7 +50.3 72.3 5, 6 £/MWh (8.5%) (229.6%) S u m m a r y Gas prices +3.6 +18.3 22.2 7 £/MWh (19.2%) (460.0%) Carbon2 prices +8.1 +29.1 64.8 7 ▪ May saw power prices rise to £72/MWh £/tCO2 (14.2%) (81.1%) driven by the continued increase in gas Transmission demand -0.2 +3.7 and carbon prices 20.6 10 TWh (0.9%) (22.2%) ▪ The UK-ETS debuted on 19th May with Low carbon3 generation +0.5 -1.2 allowances trading between £45– 11.2 11, 12 TWh (4.9%) (9.4%) 50/tCO2, ~8% higher than EU-ETS Thermal4 generation -1.5 +4.5 ▪ Driven by higher gas and carbon prices, 8.9 11, 12 thermal generation in May decreased to TWh (14.6%) (103.2%) 9 TWh as renewables output increased Carbon emissions -0.6 +1.9 3.9 14 ▪ Wind assets saw increased profitability MtCO2e (13.4%) (90.5%) in May as both load factors and capture Grid carbon intensity -23.4 +84.0 prices increased by 11% and 12% 216.5 14 gCO2e/kWh (9.8%) (63.4%) respectively, relative to April Wind load factors5 +2.5 -0.4 26.7 20 ▪ Year-on-year, system demand has % (10.8%) (1.3%) recovered from the economic slowdown Wind capture prices5 +7.3 +50.9 caused by COVID-19, driving up carbon 67.1 22 emissions to 91% above 2020 levels £/MWh (12.1%) (314.9%)

*all data presented in this report is as collated on 7th of June 2021 1) Values averaged over the calendar month. 2) Includes CPS and EU-ETS until 18th of May 2021 and from 19th of May onwards, includes CPS and UK ETS. 3) Includes renewables and nuclear generation 4) Includes CCGTs, coal and other fossil plants. 5) Average of onshore and offshore wind Sources: Aurora Energy Research, Thomson Reuters, National Grid, Ofgem, Elexon 3 Agenda

I. System performance

II. Company performance (available to subscribers only)

III. Plant performance

4 1 System performance Half-hourly EPEX spot price for May

1 EPEX spot price Monthly average price in May 2021: £/MWh £72.25/MWh 130 120 110 100 90 80 70 60 50 40 30 20 10 0 -10 -20 -30 -40 -50 03-May 10-May 17-May 24-May 31-May

1) Half-hourly EPEX is the volume-weighted reference price over that half-hour interval, as provided by EPEX Spot

Sources: Aurora Energy Research, Thomson Reuters 5 1 System performance Historic monthly average EPEX spot price

Average EPEX spot price1, £/MWh

70 +9% 65

50 +230% 45

20 May- May- May- May- May- May- May- May- May- May- May- May- 10 11 12 13 14 15 16 17 18 19 20 21

Average monthly spot price Annual average spot price x Month-on-month difference x Year-on-year difference 1) Average monthly EPEX is the average over the month of the volume-weighted reference prices for each half-hour interval.

Sources: Aurora Energy Research, Thomson Reuters 6 1 System performance Historic fuel prices Gas, Coal and Carbon daily prices

Gas/Coal price Carbon price1

£/MWh £/tCO2

35 +14% 70

30 60

25 +19% 50

20 40

15 30

10 20

5 10

0 0 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21

Gas Coal Carbon Monthly average x Month-on-month difference

1) Includes CPS and EU-ETS until 18th of May 2021 and from 19th of May 2021 onwards, includes CPS and UK ETS.

Sources: Aurora Energy Research, Thomson Reuters 7 1 System performance Half-hourly spot prices against half-hourly system margins for May

EPEX spot price1, £/MWh

140

120

100

-20

-40

-60 10,000 15,000 20,000 25,000 30,000 35,000

Margins2, MW

1) Half-hourly EPEX is the volume-weighted reference price over that half-hour interval, as provided by EPEX Spot. 2) Margins are calculated as the difference between MEL and Demand for each half-hour period. Demand data presented here is Initial Transmission System Demand Out-Turn, and does not include embedded demand. MEL is calculated as the sum of all transmission BM units reporting MEL values in each half-hour. Where a BMU gives multiple values in a half-hour, only the least is taken. Sources: Elexon, National Grid, Thomson Reuters, Aurora Energy Research 8 1 System performance Daily May max and min demand Relative to historic May max and min demand since 20101

Demand2, GW

0 Sa Su M Tu W Th F Sa Su M Tu W Th F Sa Su M Tu W Th F Sa Su M Tu W Th F Sa Su M

Daily range Historic maximum/minimum 1) Data from previous years is matched to the nearest weekday within the current month, to maintain the weekly demand pattern. 2) Demand data presented here is Initial Transmission System Demand Out-Turn, and does not include embedded demand.

Sources: National Grid, Aurora Energy Research 9 1 System performance Monthly historical demand on the transmission system

Total demand1, TWh

22 -1%

20 +22% 18

16 May- May- May- May- May- May- May- May- May- May- May- May- 10 11 12 13 14 15 16 17 18 19 20 21

Total monthly demand Annual average demand x Month-on-month difference x Year-on-year difference 1) Demand data presented here is Initial Transmission System Demand Out-Turn, and includes station transformer load, pumped storage demand and interconnector demand, but does not include embedded demand.

Sources: National Grid, Aurora Energy Research 10 1 System performance Monthly fuel mix breakdown

Output1 TWh 22 1.4 0.1 20.1 20 1% 1.9 7% 18 2.0 9% 16 2.1 10% 14 2.3 11% 12 3.5 12% 10 100% 18% 8 6.7 6 4 33% 2 0 CCGT Nuclear Offshore Other fossil Onshore Other Solar Coal Total Wind Wind2 renewables3 Load factor, % 33 50 32 33 21 45 15 3

1) Includes outputs from generators registered as BM Units as well as embedded wind and solar PV assets. All numbers are rounded to 0.1 TWh which means that subtotals may not sum to total value. 2) Other fossil includes oil, CHP-CCGT and OCGT. 3) Other renewables includes biomass and hydro. Sources: Elexon, Sheffield Solar, National Grid, Aurora Energy Research 11 1 System performance Historical fuel mix breakdown

Output1 % of total

100% 7% 7% 8% 8% 7% 7% 12% 7% 6% 6% 7% 90% 3% 7% 9% 7% 12% 7% 6% 8% 8% 13% 80% 5% 8% 23% 6% 7% 10% 19% 7% 9% 8% 8% 70% 38% 23% 6% 13% 50% 9% 8% 10% 60% 21% 11% 11% 50% 37% 37% 9% 40% 35% 40% 44% 32% 36% 24% 22% 17% 33% 30% 24% 6% 2% 1% 0% 20% 0% 1% 27% 25% 25% 24% 24% 24% 25% 22% 25% 10% 17% 19% 18%

0% May- May- May- May- May- May- May- May- May- May- May- May- 10 11 12 13 14 15 16 17 18 19 20 21

Nuclear Coal CCGT Other fossil2 Other renewables3 Onshore Wind Offshore Wind Solar 1) Includes outputs from generators registered as BM Units as well as embedded wind and solar PV. 2) Other fossil includes oil, CHP-CCGT and OCGT. 3) Other renewables includes biomass and hydro.

Sources: Elexon, Sheffield Solar, National Grid, Aurora Energy Research 12 1 System performance Monthly interconnector flow duration curve Flow in each half-hour for GB interconnectors

Flow1, MW

2,000

1,500

1,000

500

-500

-1,000

-1,500

-2,000

Time I/C France I/C Netherlands I/C Rep. Ireland Half-hours I/C France 2 I/C N. Ireland I/C Belgium

1) Positive flow is imports into GB, negative flow is exports.

Sources: Elexon, National Grid, Aurora Energy Research 13 1 System performance Monthly emissions by technology

Emissions1 Carbon intensity

MtCO2e gCO2e/kWh +63% 6 5.8 300

-13% 5 250 4.6 4.5 4.2 3.9 4 3.8 3.8 3.7 3.7 200 3.6 3.4

3 2.9 150

2.1 2 100

1 50

0 0 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21

Biomass Other fossil2 CCGT Coal System carbon intensity x Month-on-month difference x Year-on-year difference 1) Please refer to Appendix for details of methodology employed to calculate emission amounts. Includes all Balancing Mechanism plants. 2) Other fossil includes oil, OCGT and gas CHP-CCGT.

Sources: Elexon, Ofgem, Aurora Energy Research 14 Agenda

I. System performance

II. Company performance (available to subscribers only)

III. Plant performance

15 Agenda

I. System performance

II. Company performance (available to subscribers only)

III. Plant performance

16 3 Plant Performance Plant utilisation – load factors by plant

Load factor1 Column width % reflects capacity

100

40 Ø 34 30

0 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48 50 52 54 56 58 60 62 64 66 68 70 72 74 Capacity, GW Biomass Coal Hydro Nuclear Offshore Wind Onshore Wind Solar CCGT Gas CHP-CCGT Interconnector OCGT Oil Pumped Storage 1) Represents 60 plants with highest capacity according to the Balancing Mechanism (BM) database, as well as aggregated data for wind and solar. Capacity of each plant represents the sum of capacities of all its generators that have been active at least once in the last three months. Please refer to Appendix for a detailed description of the data used and categories presented Sources: Aurora Energy Research, Elexon, BEIS 17 3 Plant Performance CCGT plant utilisation – by plant

Full load hours1 Column width % of total for the period reflects capacity

100

90 81.2 80

64.0

62.2

60.9 60.8

60 60.0 53.6

42.4

40.4 35.9

40 38.4

35.9

32.0

31.4 29.8

30 27.0

23.0

22.3 21.1

11.4 10.5

8.0

0.0 0.0

10 0.0

4.7

2.6

0.0 0.0 0.0 0.0 0.0 0 0.0 0 5 10 15 20 25 30 1 2 3 4 5 6 7 8 9 10 11 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 30 31 33 12 28 29 32 Calon Centrica Drax EDF EPH ESB Intergen Munich Re RWE SSE Uniper Capacity,

Plant Names: 1. South Humber Bank, 2. Didcot B, 3. Pembroke, 4. Marchwood, 5. Kings Lynn, 6. Carrington, 7. Great Yarmouth, 8. Spalding, 9. Staythorpe, 10. Little Barford, 11. Enfield Energy, 12. Cottam Dvpt Centre, 13. Coryton, 14. Rocksavage, 15. GW West Burton B, 16. Langage, 17. Shoreham, 18. Peterhead, 19. Damhead Creek, 20. Connahs Quay, 21. Seabank 2, 22. Keadby, 23. Rye House, 24. Medway, 25. Killingholme 2, 26. Sutton Bridge, 27. Seabank 1, 28. Glanford Brigg, 29. Killingholme 1, 30. Severn, 31. Corby, 32. Peterborough, 33. Baglan Bay. 1) Includes all CCGT plants of the presented companies that report to the Balancing Mechanism

Sources: Aurora Energy Research, Elexon 18 3 Plant performance Coal plant utilisation – by plant

Full load hours1 Column width % of total for the period reflects capacity

100

10 8.0 0.0 0.0 0.0 0 0 2 4 6 1 2 3 4 Capacity, Drax EDF SIMEC Uniper GW

Plant Names: 1. Ratcliffe, 2. West Burton, 3. Uskmouth, 4.Drax Coal.

1) Includes all coal plants of the presented companies that report to the Balancing Mechanism

Sources: Aurora Energy Research, Elexon 19 3 Plant performance Monthly load factors by technology

Average load factor1 %

40 50 20 34 40 42 41 36 39 26 28 28 27 24 26 0 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 60

40 56 52 52 59 20 41 48 45 31 36 34 36 28 32 0 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 30

10 20 17 16 15 13 12 15 6 6 9 0 4 2 3 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21

Onshore Wind Onshore average Offshore Wind Offshore Average Solar Solar Average 1) Includes outputs from generators registered as BM Units as well as embedded wind and solar PV

Sources: Aurora Energy Research, Elexon, Crown Estate 20 3 Plant performance Wind farm utilisation – load factor by wind farm

Load factor1 %

100 90 80 70 60 50 40 30 20 10 0 1 10 20 30 40 50 60 70 80 90 100 107 109 108 Offshore Wind Onshore Wind

Plant Names: 1. Galloper, 2. Gordonstown, 3. Cour, 4. Hywind Scotland, 5. Rampion, 6. Sanquhar Community, 7. Brockloch Rig 2, 8. Blackcraig, 9. East Anglia One, 10. Carraig Gheal, 11. London Array, 12. Dorenell, 13. Hornsea 1 , 14. Dudgeon, 15. Fallago Rig, 16. Westermost Rough, 17. Halsary Windfarm, 18. Corriegarth, 19. Walney Extension, 20. Aikengall 2, 21. Assel Valley, 22. Kilbraur, 23. West of Duddon Sands, 24. A Chruach, 25. Burbo Extension, 26. Greater Gabbard, 27. Kilgallioch, 28. Beatrice, 29. Auchrobert, 30. Crystal Rig, 31. Gunfleet Sands, 32. Sheringham Shoals, 33. Race Bank, 34. An Suidhe, 35. Lincs, 36. Thanet, 37. Galawhistle, 38. Gwynt y Mor, 39. Dalswinton, 40. Walney, 41. Whiteside Hill, 42. Aberdeen, 43. Glen App, 44. Hill of Glaschyle, 45. Andershaw, 46. Freasdail, 47. Coire Na Cloiche, 48. Gordonbush, 49. Pen y Cymoedd, 50. Minsca, 51. Burbo Bank, 52. Humber, 53. Bad a Cheo, 54. Baillie, 55. Ormonde, 56. Millennium, 57. Beinn An Tuirc , 58. Barrow, 59. Tullymurdoch, 60. Rothes Extension, 61. Beinneun, 62. Stronelairg, 63. Airies, 64. Farr, 65. Dersalloch, 66. Afton, 67. Robin Rigg, 68. Clyde, 69. Camster, 70. Embedded Wind, 71. Griffin, 72. Mark Hill, 73. Burn of Whilk, 74. Dunmaglass, 75. Arecleoch, 76. Glens of Foudland, 77. Minnygap, 78. Middle Muir, 79. Strathy North, 80. Braes of Doune, 81. Mid Hill, 82. Clashindarroch, 83. Corriemoillie, 84. Goole Fields, 85. Berry Burn, 86. Kype Muir, 87. Tullo, 88. Harburnhead, 89. Tullo Extension, 90. Toddleburn, 91. Ewe Hill, 92. Hadyard Hill, 93. Bhlaraidh, 94. Edinbane, 95. Craig, 96. Hare Hill Extension, 97. Harestanes, 98. Dun Law Extension, 99. Beinn Tharsuinn, 100. Hill of Towie, 101. Lochluichart, 102. Black Law, 103. Glenchamber, 104. Moy, 105. Whitelee, 106. Clachan Flats, 107. Brownieleys, 108. Kincardine, 109. Keith Hill.

1) Represents UK wind farms reporting Balancing Mechanism Unit data. Figures presented reflect Final Physical Notification (FPN) expectations reported to the grid, which are not always representative of actual production

Sources: Aurora Energy Research, Elexon, Crown Estate 21 3 Plant performance Wind capture price versus baseload price

Price £/MWh

80 +315% +12% 70

0 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21

Wind load factors %

23 22 23 21 28 28 34 32 26 43 34 20 21

31 36 34 36 41 56 52 52 48 59 45 28 32

Baseload1 Wind Capture 2 x Month-on-month difference x Year-on-year difference 1) Baseload price is the average monthly EPEX price; 2) Wind capture price is the load-weighted monthly average EPEX price across all wind Balancing Mechanism plants for all half-hourly periods

Sources: Aurora Energy Research, Elexon, Thomson Reuters 22 Appendix

Data used

▪ Output values used in this summary reflect the sum of Final Physical Notifications (FPN) submitted by all BM Units of a given plant that have been active over the last three months. ▪ Capacity values used in this summary reflect the sum of capacities of individual BM Units, as reported to the Balancing Mechanism, that have been active over the last three months. They reflect long-term capacities and exclude temporary fluctuations due e.g. to plant failures or scheduled maintenance. ▪ Prices used in this summary are the EPEX half-hourly Reference Prices for half-hourly, two-hourly and four-hourly spot products.

Categories presented

▪ Full-load hours represent the plants’ load factors, calculated as the ratio of the output produced in a given month to the maximum possible output given the plants’ capacity. ▪ Running hours represent the proportion of time in a given month when a plant has been active, i.e. when at least one of its BM Units produced output greater than zero. ▪ Capture prices (or average output-weighted prices) are calculated as an average of EPEX half-hourly prices per MWh weighted by the plants’ corresponding half-hourly outputs for all periods. ▪ Average gross margins are calculated as a sum of the uplift and inframarginal rent. Uplift is calculated as the difference between the EPEX price and the system marginal cost (SMC). SMC is the maximum marginal cost of all the plants with at least one generator producing above 80% of its installed capacity in a given half-hour. ▪ Emissions are calculated as plant output divided by electrical efficiency, multiplied by theoretical carbon content of the fuel input. The carbon content of fuel inputs is sourced from BEIS’s Greenhouse gas reporting – Conversion factors 2016. System carbon intensity is calculated as the total emission divided by total electricity generated.

Source: Aurora Energy Research 23 Disclaimer and Copyright

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