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 Comprehensive Power Power Market Bespoke Market Services Forecast Reports forecasts Market forecast Power market Aurora can provide ✓ reports ✓ forecast reports ✓ power market forecasts upon Forecast data in Forecast data in request ✓ Excel ✓ Excel Global energy ✓ Analyst support ✓ market forecast reports Strategic insight ✓ reports Regular subscriber ✓ group meetings ✓ Policy updates ✓ Bilateral workshops ✓ Analyst support 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 75 70 +9% 65 60 55 50 +230% 45 40 35 30 25 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 80 60 40 20 0 -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 55 50 45 40 35 30 25 20 15 10 5 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 34 32 30 28 26 24 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 0 -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.