Input

Sensitivity Analysis
4.1
4.2
4.3
4.4
5.2
5.3

Info:

Value of Operational Phase

ENPV Value
ROV Binomial Approach
ROV Quadranomial Approach
ENPV Incl. Financial Side Effects
ROV Incl. Financial Side Effects

Exogenous Variable
Endogenous Variable

Input
Park info:
Country
Region
Developer
Time of Valuation
Type
Number of Turbines
MW/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

Development Stages:

Stage 1
Stage 2
Stage 3
Stage 4

Cost of Equity:
Risk-free Rate (10 Year Danish Government Bond)
Beta
Market Risk Premium
Cost of Equity
Mid-year Factor

Cost of Debt:
CIBOR Swap Rate (10 Year Fixed for Floating SWAP)
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

Expected Electricity price (DKK/kW

Electricity Price
DCF Value

-20%
kr 0.28
kr 57,251,514

Relative Change

-18.8%

Cost of Equity
DCF Value
Relative Change

-20%
5.45%
kr 76,197,989
8.1%

Cost of Equity

ENPV
ENPV (All Equity Financed)
Success Probability Stage 1
Probability Stage 1
ENPV

-20%
40%
-kr 68,703
Success Probability Stage 2

Probability Stage 2
ENPV

-20%
40%
-kr 117,822
Success Probability Stage 3

Probability Stage 3
ENPV

-20%
64%
-kr 141,523

Binomial Real Options Valuation

ROV Value
Volatility
Volatility
ROV
Relative Change

-20%
14.10%
kr 2,667,486
-19.8%

Quadranomial Real Options Valuation

QROV Value

Success Probability Stage 1

Probability Stage 1
QROV
Relative Change

-20%
40%
kr 325,032
-25%

Success Probability Stage 2

Probability Stage 2
QROV
Relative Change

-20%
40.00%
kr 284,096
-34.1%
Success Probability Stage 3

Probability Stage 3
QROV
Relative Change

-20%
64.00%
kr 266,741
-38.2%

Volatility
QROV
Relative Change

-20%
14.10%
kr 303,471
-29.6%

Volatility

Value of ITS
Value of ITS

ENPV (Including Debt)

Value of ENPV (Including Debt)

Quadranomial Real Options Valuation (Including Debt)

QROV Value (Including Debt)

Exogenous Variable
Endogenous Variable

nd Farm (Year 2012)

Denmark
Jutland
European Energy
Primo 2010
SWT 2.3-93
3
2.3 MW
6.9 MW
DKK

61,000,000
22,400,000 kWh
2.00%
97.00%
21,293,440 kWh

0.3432 DKK/kWh
17.62%
0.25 DKK/kWh
22,000

2010 Prices
DKK
DKK
DKK
DKK
DKK

204,300
0.0800
4.00%
150,000
90,000
30,000

DKK
DKK
DKK
DKK
DKK

2013 Prices
216,805
0.0849
4.00%
159,181
95,509
31,836

Desciptrion:
Feasibility Studies and Pre-approval
VVM and Final Approval
Complaints and Compensation
Construction

anish Government Bond)

Prob. Of Success:
50%
50%
80%
100%

3.62%
0.78
4.10%
6.82%
3.35%

r Fixed for Floating SWAP)

3.90%
2.50%
6.40%
80%
DKK

2.00%
25%
Accelerated
25%
Yes
100%

70,479,996

Expected Electricity price (DKK/kWh)

-10%
kr 0.31
kr 63,536,947

kr 0.34
kr 0.34
kr 70,479,996

+10%
kr 0.38
kr 77,385,156

+20%
kr 0.41
kr 84,271,567

48,800,000

-9.9%

9.8%

19.6%

+10%
7.50%
kr 67,916,858
-3.6%

+20%
8.18%
kr 65,527,291
-7.0%

+10%
55%
-kr 56,966

+20%
60%
-kr 53,054

Success Probability Stage 2

-10%
50.00%
45%
50%
-kr 89,350
-kr 60,879

+10%
55%
-kr 32,407

+20%
60%
-kr 3,935

Success Probability Stage 3

-10%
80.00%
72%
80%
-kr 101,201
-kr 60,879

+10%
88%
-kr 20,556

+20%
96%
kr 19,766

+10%
19.38%
kr 3,646,250
9.7%

+20%
21.14%
kr 3,964,440
19.2%

+10%
55%
kr 484,418
12%

+20%
60%
kr 537,547
25%

Cost of Equity
-10%
6.82%
6.14%
6.82%
kr 73,233,942 kr 70,479,996
3.9%
-

(60,879)
Success Probability Stage 1
-10%
45%
-kr 64,791

50.00%
50%
-kr 60,879

3,324,569
Volatility
-10%
17.62%
15.86%
17.62%
kr 2,998,610
kr 3,324,569
-9.8%
-

431,289

Success Probability Stage 1

-10%
50.00%
45%
50%
kr 378,161
kr 431,289
-12%
-

Success Probability Stage 2

-10%
50.00%
45.00%
50.00%
kr 357,693
kr 431,289
-17.1%
-

+10%
55.00%
kr 504,886
17.1%

+20%
60.00%
kr 578,482
34.1%

Success Probability Stage 3

-10%
80.00%
72.00%
80.00%
kr 349,015
kr 431,289
-19.1%
-

+10%
88.00%
kr 513,564
19.1%

+20%
96.00%
kr 595,838
38.2%

+10%
19.38%
kr 493,353
14.4%

+20%
21.14%
kr 554,507
28.6%

-10%
15.86%
kr 368,090
-14.7%

Volatility
17.62%
17.62%
kr 431,289
-

2,155,734

297,104

Valuation (Including Debt)

645,763

2013 Prices, 3 WTGs

DKK
650,414
DKK
0.0849
4.00%
DKK
477,544
DKK
286,526
DKK
95,509

Cost of stage
DKK
DKK
DKK
DKK

Duration:
100,000
500,000
500,000
61,000,000

6 Months
12 Months
12 Months
6 Months

Input
Sensitivity Analysis
4.1
4.2
4.3
4.4
5.2
5.3

Value of Operational Phase

ENPV Value
ROV Binomial Approach
ROV Quadranomial Approach
ENPV Incl. Financial Side Effects
ROV Incl. Financial Side Effects

DCF Value of Operational Phase

DCF Value of Operational Phase

Input:
Construction Cost
Electricity Price
Annual Production
Cost of Equity
Inflation
Tax
Depreciation Rate

DKK 61,000,000
0.3432 DKK/kWh
21,293,440 kWh
6.82%
2.00%
25.00%
25.00%

Year

Primo 2013

Revenue
Electricity Sales (Market Price)
Electricity Sales (Subsidy Premium)
Total Revenue
Costs
Service (From Year 3)
Technical Management
Land Lease
Insurance
Administration
Own Energy Consumption
Total Cost
Net operating income / EBITDA
Book Value, Tangible Assets
Asset Depreciation
Operating income/EBIT
Carry Forward Previous Period
Carry Forward for Period
Remaining Carry Forward
Taxable income:
Tax
Profit after tax
Asset Depreciation for Period

Free cash Flow

Value of Operational Phase

Correction for Mid-year Factor
DCF Value of Operational Phase

Financial Side Effects

Input:
Cost of Debt
Leverage Ratio
Principal
Tax

68,193,605
2,286,391
70,479,996

6.40%
80%
DKK 48,800,000
25.00%

Year

Primo 2013

Interest Expense
Remaining Principal Primo
Installment
Remaining Principal Ultimo

48,800,000

Tax
ITS Carry Forward Primo
ITS Generated in Period
Cash Flow from ITS
ITS Carry Forward Ultimo

Remaining Principal Ultimo

Cash Flow from ITS
Remaining Principal Ultimo
(Corrected for ITS Cash Flow)

48,800,000

Cash Flow from Interest Tax Shield

PV, Interest Tax Shield

Mid-year Factor
PV, Financial Side Effects:

2,089,944
65,790
2,155,734

2013

2014

2015

2016

2017

2018

2019

7,307,909
5,323,360
12,631,269

7,454,067
5,323,360
12,777,427

7,603,148
5,323,360
12,926,508

7,755,211
5,323,360
13,078,571

7,910,315
5,323,360
13,233,675

8,068,522
5,323,360
13,391,882

8,229,892
5,323,360
13,553,252

1,807,742
505,251
477,544
286,526
95,509
3,172,571

1,843,896
511,097
487,094
292,257
97,419
3,231,763

690,225
1,880,774
517,060
496,836
298,102
99,367
3,982,365

704,029
1,918,390
523,143
506,773
304,064
101,355
4,057,754

718,110
1,956,758
529,347
516,909
310,145
103,382
4,134,650

732,472
1,995,893
535,675
527,247
316,348
105,449
4,213,084

747,122
2,035,811
542,130
537,792
322,675
107,558
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
15,250,000
-5,791,302

45,750,000
11,437,500
-1,891,837

34,312,500
8,578,125
366,018

25,734,375
6,433,594
2,587,224

19,300,781
4,825,195
4,273,830

14,475,586
3,618,896
5,559,901

10,856,689
2,714,172
6,545,992

-5,791,302
-5,791,302

-5,791,302
-1,891,837
-7,683,139

-7,683,139
366,018
-7,317,121

-7,317,121
2,587,224
-4,729,897

-4,729,897
4,273,830
-456,067

-456,067
5,559,901
-

6,545,992
-

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

9,458,698

9,545,663

8,944,143

9,020,817

9,099,025

7,902,839

7,623,667

2013

2014

2015

2016

2017

2018

2019

3,120,760

2,715,449

2,278,657

1,852,399

1,393,978

901,241

371,891

48,800,000
6,337,938
42,462,062

42,462,062
6,830,214
35,631,848

35,631,848
6,665,486
28,966,361

28,966,361
7,168,419
21,797,943

21,797,943
7,705,047
14,092,896

14,092,896
7,001,598
7,091,297

5,815,339
5,815,339
-

1,275,958

1,636,498

780,190
780,190

780,190
678,862
1,459,052

1,459,052
569,664
2,028,716

2,028,716
463,100
2,491,816

2,491,816
348,495
2,840,311

2,840,311
225,310
-1,275,958
1,789,662

1,789,662
92,973
-1,636,498
246,137

42,462,062
-

35,631,848
-

28,966,361
-

21,797,943
-

14,092,896
-

7,091,297
1,275,958

1,636,498

42,462,062

35,631,848

28,966,361

21,797,943

14,092,896

5,815,339

1,275,958

1,636,498

2020

2021

2022

2023

2024

2025

2026

8,394,490
686,480
9,080,970

8,562,380
8,562,380

8,733,627
8,733,627

8,908,300
8,908,300

9,086,466
9,086,466

9,268,195
9,268,195

9,453,559
9,453,559

762,064
2,076,527
363,239
548,547
329,128
109,709
4,189,215

777,305
2,118,057
342,495
559,518
335,711
111,904
4,244,991

792,852
2,160,418
349,345
570,709
342,425
114,142
4,329,891

808,709
2,203,627
356,332
582,123
349,274
116,425
4,416,489

824,883
2,247,699
363,459
593,765
356,259
118,753
4,504,818

841,380
2,292,653
370,728
605,641
363,384
121,128
4,594,915

858,208
2,338,506
378,142
617,754
370,652
123,551
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
2,035,629
2,856,125

6,106,888
1,526,722
2,790,667

4,580,166
1,145,041
3,258,695

3,435,124
858,781
3,633,030

2,576,343
644,086
3,937,562

1,932,257
483,064
4,190,216

1,449,193
362,298
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

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

2027

2028

2029

2030

2031

2032

9,642,630
9,642,630

9,835,483
9,835,483

10,032,192
10,032,192

10,232,836
10,232,836

10,437,493
10,437,493

10,646,243
10,646,243

875,372
2,385,277
385,705
630,109
378,065
126,022
4,780,549

892,880
2,432,982
393,419
642,711
385,626
128,542
4,876,160

910,737
2,481,642
401,288
655,565
393,339
131,113
4,973,684

928,952
2,531,275
409,313
668,676
401,206
133,735
5,073,157

947,531
2,581,900
417,500
682,050
409,230
136,410
5,174,620

966,482
2,633,538
425,850
695,691
417,415
139,138
5,278,113

4,862,081

4,959,322

5,058,509

5,159,679

5,262,873

5,368,130

1,086,895
271,724
4,590,357

815,171
203,793
4,755,530

611,378
152,845
4,905,664

458,534
114,633
5,045,046

343,900
85,975
5,176,898

257,925
257,925
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

3,714,492

3,770,440

3,832,093

3,898,418

3,968,648

4,090,579

2027

2028

2029

2030

2031

2032

1,147,589

1,188,882

1,226,416

1,261,261

1,294,224

1,277,551

Input
Sensitivity Analysis
4.1
4.2
4.3
4.4
5.2
5.3

Value of Operational Phase

ENPV Value
ROV Binomial Approach
ROV Quadranomial Approach
ENPV Incl. Financial Side Effects
ROV Incl. Financial Side Effects

ENPV

Assumptions
Risk-free Rate
Cost of Equity
Cost of Debt

Stage
3.62%
6.82%
6.40%

Time

Stage 1: Analysis and Pre-approval

Stage 2: VVM & Final Approval
Stage 3: Complaints and Compensation
Stage 4: Construction
Value of Operational Phase

0
0.5
1.5
2.5
3

ENPV Including Debt

Stage
Stage 1:
Stage 2:
Stage 3:
Stage 4:

Time
Analysis and Pre-approval
VVM & Final Approval
Complaints and Compensation
Construction

Value of Operational Phase

Value of ITS

0
0.5
1.5
2.5
3
3

Prob.
Probability of
Probability
Cash Flow (t)
PV (t=0)
Stage
Construction
Weighted PV
50%
100%
-100,000
-100,000
-100,000
50%
50%
-500,000
-491,189
-245,594
80%
25%
-500,000
-474,029
-118,507
100%
20%
-61,000,000 -55,811,136
-11,162,227
20%
70,479,996 57,827,251
11,565,450
ENPV

-60,879

Prob.
Probability of
Probability
Cash Flow (t)
PV (t=0)
Stage
Construction
Weighted PV
50%
100%
-100,000
-100,000
-100,000
50%
50%
-500,000
-491,189
-245,594
80%
25%
-500,000
-474,029
-118,507
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

Input
Sensitivity Analysis
4.1
4.2
4.3
4.4
5.2
5.3

Value of Operational Phase

ENPV Value
ROV Binomial Approach
ROV Quadranomial Approach
ENPV Incl. Financial Side Effects
ROV Incl. Financial Side Effects

Binomial Real Options Valuation

Input:
t
Risk-free (quarterly)
Annual Volatility
Quarterly Volatility
Up-movement:
Down-movement:
Prob. Up:
Prob. Down:

Asset Value Tree

0.25
0.91%
17.62%
8.81%
1.045
0.957
59.21%
40.79%

Figures given in thousands

Value t=0
Primo 2010
57,827

Feasibility Studies and

Pre-approval
Q1 2010
Q2 2010
60,431
63,153
55,335
57,827
52,951

Value of Operational Phase

DCF Value (2013)
kr
70,479,996
DCF Value (2010)
kr
57,827,251

Option Value tree

Cost of Stages
Stage 1
Stage 2
Stage 3
Stage 4

100,000
500,000
500,000
61,000,000

Figures given in thousands

Value t=0
Primo 2010
3,325

Feasibility Studies and

Pre-approval
Q1 2010
Q2 2010
4,703
6,279
1,645
2,520
412

EX

100

500

ROV Value

Quadranomial Real Options Valuation

Prob. of Succeeding Stage
Stage 1
Stage 2
Stage 3
Stage 4

Option Value Tree

50%
50%
80%
100%

Figures given in thousands

Value t=0
Primo 2010
431

Prob.
EX

100%
100

Feasibility Studies and

Pre-approval
Q1 2010
Q2 2010
770
1,082
196
334
-

100%

50%
500

QROV Value

Quadranomial Real Options Valuation Including Debt

Asset Value Tree

Value of Interest Tax Shield

ITS, t=3
ITS, t=2,5

kr
kr

2,155,734
2,089,944

Figures given in thousands

Value t=0
kr

2,090

Primo 2010
57,827

Feasibility Studies and

Pre-approval
Q1 2010
Q2 2010
60,431
63,153
55,335
57,827
52,951

Option Value Tree

Figures given in thousands

Value t=0
Primo 2010
646

Prob.
EX

100%
100

Feasibility Studies and

Pre-approval
Q1 2010
Q2 2010
1,043
1,397
332
551
21

100%

QROV Value (Including Debt)

50%
500

VVM and Final Approval

Q3 2010
65,997
60,431
55,335
50,669

Q4 2010
68,969
63,153
57,827
52,951
48,485

Q1 2011 Q2 2011
72,075
75,321
65,997
68,969
60,431
63,153
55,335
57,827
50,669
52,951
46,396
48,485
44,396

VVM and Final Approval

Q3 2010
8,669
4,186
1,394
232

Q4 2010
10,858
5,684
2,104
395
-

Q1 2011 Q2 2011
13,313
15,990
7,536
9,723
3,121
4,528
674
1,148
-

Complaints and Compensation

Q3 2011
Q4 2011
78,713
82,258
72,075
75,321
65,997
68,969
60,431
63,153
55,335
57,827
50,669
52,951
46,396
48,485
42,483
44,396
40,652

Q1 2012
85,962
78,713
72,075
65,997
60,431
55,335
50,669
46,396
42,483
38,901

Q2 2012
89,834
82,258
75,321
68,969
63,153
57,827
52,951
48,485
44,396
40,652
37,224

Complaints and Compensation

Q3 2011
Q4 2011
19,347
22,352
12,709
15,415
6,840
9,063
2,509
3,765
435
741
-

Q1 2012
25,512
18,263
11,625
5,547
1,263
-

Q2 2012
28,834
21,258
14,321
7,969
2,153
-

500

61,000

3,324,569

VVM and Final Approval

Q3 2010
3,419
1,629
527
83

Q4 2010
4,294
2,224
801
141
-

100%

100%

Complaints and Compensation

Q1 2011 Q2 2011
5,276
6,346
2,965
3,839
1,199
1,761
240
409
-

100%

50%
500

Q3 2011
Q4 2011
15,478
17,882
10,167
12,332
5,472
7,251
2,007
3,012
348
593
-

100%

100%

Q1 2012
20,410
14,610
9,300
4,437
1,011
-

Q2 2012
23,067
17,006
11,457
6,375
1,722
-

100%

80%
61,000

431,289

VVM and Final Approval

Q3 2010
65,997
60,431
55,335
50,669

Q4 2010
68,969
63,153
57,827
52,951
48,485

Q1 2011 Q2 2011
72,075
75,321
65,997
68,969
60,431
63,153
55,335
57,827
50,669
52,951

Complaints and Compensation

Q3 2011
Q4 2011
78,713
82,258
72,075
75,321
65,997
68,969
60,431
63,153
55,335
57,827

Q1 2012
85,962
78,713
72,075
65,997
60,431

Q2 2012
89,834
82,258
75,321
68,969
63,153

46,396

48,485
44,396

VVM and Final Approval

Q3 2010
4,122
2,168
814
158

Q4 2010
5,050
2,865
1,203
269
-

100%

100%

645,763

52,951
48,485
44,396
40,652

55,335
50,669
46,396
42,483
38,901

57,827
52,951
48,485
44,396
40,652
37,224

Complaints and Compensation

Q1 2011 Q2 2011
6,065
7,152
3,689
4,623
1,733
2,416
459
782
-

100%

50,669
46,396
42,483

50%
500

Q3 2011
Q4 2011
17,105
19,524
11,794
13,974
6,989
8,893
3,043
4,381
686
1,169
-

100%

100%

Q1 2012
22,066
16,267
10,957
6,094
1,992
-

Q2 2012
24,739
18,678
13,129
8,047
3,394
-

100%

80%
61,000

Value ITS

+2090

Q2 2012
91,924
84,348
77,411
71,059
65,243

+2090
59,917
55,041
50,575
46,486
42,742
39,314