Products & Services

Valuation & Risk

Our desktop product is now available, see FuelMetrics

The nuclear fuel markets are experiencing some fundamental changes in contracting preferences, order flow and trade execution process.  The duration based pricing information resulting from these rapid enhancements can be utilised to provide a more sophisticated analysis of forward fuel supply commitments and their sensitivity to a range of underlying risks.

Our ‘Portfolio Valuation and Risk Analysis’ service involves the following steps:

(1) Asset/Liability Dissection from Contracted Supply Portfolios


This stage involves taking a portfolio of supply contracts and isolating the individual assets and liabilities contained within, these often include but are not limited to each of the below components across delivery durations:

  • Fixed Price Deliveries
  • Market Related Deliveries
  • Market Related Ceilings
  • Market Related Floors
  • Volume Flexibility
  • Inflation Exposures (via Base Escalated)

(2) Valuation of Isolated Components


Once each component has been independently isolated we overlay these positions with prevailing market pricing information to derive real time value indications for each.  The market information utilised includes spot nuclear fuel prices, forward curve information, volatility data and inflation swap rates.  If required, at this stage we can also include a measurement of the performance of the contracting decision and retrospectively the optimum price / method.

(3) Detailed Risk and Sensitivity Analysis


Following component valuations, we look closer at the sensitivity of each these values to changing conditions.  We pay specific attention to the notional value changes resulting from movements in the following factors:

  • Uranium Prices (Linear Curve Shifts)
  • Interest Rates (Steepening / Flattening of Curves)
  • Credit Spreads (Steepening / Flattening of Curves)
  • Inflation (Effects on Base Escalating Deliveries)
  • Volatility (Effects on Floors/Ceilings and Volume Flex)
  • Regional/Political Risks
  • Specific Counterparty Risks

(4) Aggregating the Detailed Valuations and Risk into an Overall Summary


Often multiple activities occur within specific periods, so we utilise the detailed analysis previously conducted to generate a quick overarching view of the complete portfolios valuation and risk summary, aggregated up on a monthly/quarterly basis.

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