.svg){kind=icon}
Balancing Risk and Upside in LNG Portfolios
Find the full detailed analysis here
We’ve released a case study comparing three LNG portfolio strategies under shifting market conditions. We combined Monte Carlo simulations across volatility regimes with deterministic price sweeps to quantify risk–return. It also showcases our new FOB Short modelling in X-LNG.
The Challenge
How should managers structure contract mixes and indexation as HH–TTF spreads and volatility shift? We compare dual-index exposure vs. netback strategies, and the value of optional spot outlets.
Our Approach
We benchmarked three strategies with similar baseline profits at current forwards to isolate risk/vol effects:
Scenario 1: US FOB-long (HH) to Europe DES-short (TTF), no spot outlets
Scenario 2: S1 plus optional FOB-short and DES-long spot outlets to unwind at small losses
Scenario 3: TTF-only “netback” for US supply (no HH), with a buy-side premium
We ran:
- Monte Carlo at low/base/high volatility
- HH and TTF price sweeps to map spread sensitivity
Key Insights
1) Upside vs. downside
S1 has the highest upside at base vol (~$165m mean) but the fattest left tail; HH↑/TTF↓ can drive severe losses (one sim > $400m).
2) Loss-capping via spot outlets
S2 materially reduces tail risk by enabling FOB–FOB and DES–DES matches at small per-cargo losses. It leads under high volatility (~$139m mean).
3) Defensive netback
S3 (TTF-only) is tightest and largely insensitive to TTF shifts, but with lower expected profit (~$67m at base vol).
4) Volatility matters
Low vol: S2 slightly tops S1 (~$99m vs. ~$98m); S3 ~ $63m.- High vol: S2 dominates; S1 sees frequent losses; S3 is most stable but lowest return.
5) Price sensitivity
HH increase /TTF decrease is most punitive for dual-index portfolios. S2 caps losses there; S3 stays steady via matched indexation.
How X-LNG Helps
- Model firm/optional contracts (FOB Short, DES Long) alongside core positions
- Run Monte Carlo by volatility regime plus deterministic sweeps
- Compare dual-index vs. netback and optional unwind routes
- Quantify tails and expected value to fit risk appetite
.svg)
Legal Notice
Impressum
Angaben gemäß § 5 TMG
Calypso Ventures GmbH
Bismarckstraße 10/12
10625 Berlin
Handelsregister: HRB 239736 B
Amtsgericht Charlottenburg
Umsatzsteuer: DE342781749
Vertreten durch:
Michael Schach
Kontakt
Telefon: +49 30 41734423
E-Mail: [email protected]
Nutzungsvereinbarungen
Imprint
Disclosures according to German law § 5 TMG
Calypso Ventures GmbH
Bismarckstraße 10/12
10625 Berlin
Registered number: HRB 239736 B
Amtsgericht Charlottenburg (Germany)
VAT: DE342781749
Represented by:
Michael Schach
Contact
Phone: +49 30 41734423
E-Mail: [email protected]
User Agreements
Balancing Risk and Upside in LNG Portfolios
Find the full detailed analysis here
We’ve released a case study comparing three LNG portfolio strategies under shifting market conditions. We combined Monte Carlo simulations across volatility regimes with deterministic price sweeps to quantify risk–return. It also showcases our new FOB Short modelling in X-LNG.
The Challenge
How should managers structure contract mixes and indexation as HH–TTF spreads and volatility shift? We compare dual-index exposure vs. netback strategies, and the value of optional spot outlets.
Our Approach
We benchmarked three strategies with similar baseline profits at current forwards to isolate risk/vol effects:
Scenario 1: US FOB-long (HH) to Europe DES-short (TTF), no spot outlets
Scenario 2: S1 plus optional FOB-short and DES-long spot outlets to unwind at small losses
Scenario 3: TTF-only “netback” for US supply (no HH), with a buy-side premium
We ran:
- Monte Carlo at low/base/high volatility
- HH and TTF price sweeps to map spread sensitivity
Key Insights
1) Upside vs. downside
S1 has the highest upside at base vol (~$165m mean) but the fattest left tail; HH↑/TTF↓ can drive severe losses (one sim > $400m).
2) Loss-capping via spot outlets
S2 materially reduces tail risk by enabling FOB–FOB and DES–DES matches at small per-cargo losses. It leads under high volatility (~$139m mean).
3) Defensive netback
S3 (TTF-only) is tightest and largely insensitive to TTF shifts, but with lower expected profit (~$67m at base vol).
4) Volatility matters
Low vol: S2 slightly tops S1 (~$99m vs. ~$98m); S3 ~ $63m.- High vol: S2 dominates; S1 sees frequent losses; S3 is most stable but lowest return.
5) Price sensitivity
HH increase /TTF decrease is most punitive for dual-index portfolios. S2 caps losses there; S3 stays steady via matched indexation.
How X-LNG Helps
- Model firm/optional contracts (FOB Short, DES Long) alongside core positions
- Run Monte Carlo by volatility regime plus deterministic sweeps
- Compare dual-index vs. netback and optional unwind routes
- Quantify tails and expected value to fit risk appetite
Legal Notice
Impressum
Angaben gemäß § 5 TMG
Calypso Ventures GmbH
Bismarckstraße 10/12
10625 Berlin
Handelsregister: HRB 239736 B
Amtsgericht Charlottenburg
Umsatzsteuer: DE342781749
Vertreten durch:
Michael Schach
Kontakt
Telefon: +49 30 41734423
E-Mail: [email protected]
Nutzungsvereinbarungen
Imprint
Disclosures according to German law § 5 TMG
Calypso Ventures GmbH
Bismarckstraße 10/12
10625 Berlin
Registered number: HRB 239736 B
Amtsgericht Charlottenburg (Germany)
VAT: DE342781749
Represented by:
Michael Schach
Contact
Phone: +49 30 41734423
E-Mail: [email protected]
User Agreements