TBs Methodology

1. Introduction

The Modo Energy TB (Top-Bottom) Benchmarks measure the maximum theoretical energy arbitrage opportunity available in a given electricity market, expressed as a daily price spread scaled to an annual value per MW.

Each benchmark is calculated from published market prices alone. It uses no operational data, no dispatch model and no assumptions about how a particular energy asset is run. Modo Energy uses this method because it is simple, reproducible from public data and comparable across countries, markets and settlement granularities. The benchmarks are intended as a reference for the arbitrage opportunity in a market, not as an estimate of the revenue any asset earns.

This document sets out:

• the terms used and how each benchmark is named,
• how each benchmark is calculated and the parameters Modo Energy sets,
• the price data used in each region,
• how Modo Energy handles missing data, judgment calls and revisions,
• how changes to this methodology are classified and notified, and
• the limitations of the benchmarks.

2. Definitions

3. Benchmark Naming Convention

Each TB Benchmark name identifies the product, geography, market and benchmark period:

Where:

• ME stands for Modo Energy.
• TB[duration] is the Top-Bottom product and the number of benchmark periods on each side of the spread (TB1, TB2, TB4).
• [Geography] is a two-letter ISO country code (e.g. DE), a bidding zone (e.g. NO1) or an ISO, hub or zone identifier (e.g. ERCOT, ERCOT-HOUSTON, AUS NEM-VIC). The geographies published in each region are listed in §5.
• [Market] is the price series used: DA, ID, RT or FMM. Where a geography has only one market, this part is omitted.
• ([Granularity]) is the benchmark period.

3.1 Example Benchmark Names

• ME TB2 FR DA (Hourly) - 2-hour TB Benchmark for France using hourly day-ahead prices.
• ME TB1 NO1 ID (Hourly) - 1-hour TB Benchmark for the NO1 bidding zone in Norway using the hourly continuous intraday index.
• ME TB2 AUS NEM-VIC (5-min) - 2-hour TB Benchmark for Victoria in the Australian NEM using 5-minute prices.

4. Calculation Methodology

Each benchmark value is calculated from published prices in four steps, for every day and every geography.

1. Align prices to the benchmark period. If the market period is shorter than the benchmark period (e.g. 5-minute prices and an hourly benchmark), the prices within each benchmark period are averaged. For an hourly benchmark on a 5-minute market, the twelve 5-minute prices in each clock hour are averaged and that hourly price is used in step 2. If the market period equals the benchmark period, prices are used as published.
2. Select periods. For each day, identify the X highest-priced and the X lowest-priced benchmark periods, where X is the TB duration (1 for TB1, 2 for TB2, 4 for TB4). The highest and lowest periods need not be consecutive and need not occur in any particular order.
3. Calculate the daily spread. Sum the X highest prices and subtract the sum of the X lowest prices. The result is in the market's currency per MW per day.
4. Annualise. Multiply the daily spread by 365 to give the benchmark value in currency per MW per year. The factor is 365 in every year, including leap years.

The benchmark is a per-MW value. It represents an energy asset with 1 MW of power and X MWh of usable energy for a TB benchmark of duration X.

4.1 Parameters Set by Modo Energy

4.2 Assumptions

The TB Benchmarks are built on the following assumptions. They are deliberate simplifications that make the benchmark a theoretical maximum rather than an achievable revenue; their consequences are set out in §10.

• 100% efficiency: perfect round-trip efficiency, with no losses on import or export.
• No constraints: no interconnection, state-of-charge, cycling or ramping constraints.
• Perfect foresight: prices are known in advance, so the charge and discharge periods are always the best available.

No models, extrapolation or calibration are used. Every benchmark value is a direct arithmetic function of published prices.

5. Data Sources

All prices are taken from publicly available datasets published by the exchange or system operator named below. Modo Energy does not use any private, contributed or operational data in the TB Benchmarks.

5.1 Europe

Prices are sourced from EPEX Spot and Nord Pool (N2EX). TB Benchmarks are published for the day-ahead and intraday markets.

5.1.1 Day-Ahead Market (DA)

• GB - average of the EPEX and N2EX hourly day-ahead auctions.
• AT, BE, DE, DK, ES, FI, FR, IT, NL, NO, PT, SE - average of the EPEX and Nord Pool hourly day-ahead coupled auction (SDAC) prices.
• CH - EPEX hourly day-ahead auction.

5.1.2 Intraday Market (ID)

Intraday TB Benchmarks use the following EPEX continuous intraday indices:

• GB - RPD HH (30-minute).
• AT, BE, DE, DK, ES, FI, FR, IT, NL, NO, PT, SE - IDFULL 60min (hourly).

5.2 USA

TB Benchmarks are published for the day-ahead (DA) and real-time (RT) markets in every ISO below, and additionally for the fifteen-minute market (FMM) in CAISO. Each benchmark geography maps to a published hub, zone or node as follows.

5.2.1 Electric Reliability Council of Texas (ERCOT)

5.2.2 California Independent System Operator (CAISO)

5.2.3 PJM Interconnection (PJM)

5.2.4 New York Independent System Operator (NYISO)

NYISO publishes LMP = Energy + Loss − Congestion, which differs from every other ISO. For consistency, Modo Energy multiplies the published congestion component by −1 so that LMP = Energy + Loss + Congestion in its datasets. The LMP used in the benchmark is unchanged by this.

5.2.5 ISO New England (ISO-NE)

5.2.6 Southwest Power Pool (SPP)

5.2.7 Midcontinent Independent System Operator (MISO)

5.3 Australia

Prices are sourced from the datasets published by AEMO for the National Electricity Market (NEM). TB Benchmarks are published for the real-time (RT) market at 5-minute granularity for each NEM region: AUS NEM-NSW, AUS NEM-QLD, AUS NEM-SA, AUS NEM-TAS and AUS NEM-VIC.

6. Data Priority and Missing Data

6.1 Data Priority

Each benchmark uses one price series per geography and market, as listed in §5. Where two auctions are averaged (GB and SDAC day-ahead), both are required. Modo Energy does not substitute prices from another market, hub or source.

6.2 Minimum Data

A daily benchmark value is calculated only when the published prices for every benchmark period of that day are available. If any period is missing, no value is published for that day until the data is available.

6.3 Late, Missing or Distorted Data

Prices in all covered markets are published by the exchange or system operator after the fact and are not forecast or estimated by Modo Energy. When data is late, the benchmark is calculated once the data is published. When the source publishes a correction, the affected benchmark values may be recalculated (see §8). Modo Energy does not adjust, cap or exclude published prices, including during periods of market stress, so the benchmark reflects the prices that were actually published for that day.

7. Expert Judgment

The calculation is fully automated. Benchmarks are calculated by scheduled pipelines that run when the source data pipeline completes, apply the rules in §4 and §6 identically to every geography, and publish without any manual approval, review or sign-off step. No discretionary inputs are used. Modo Energy can trigger a recalculation for a date range, for example after a source correction; this runs the same code and applies the same rules.

8. Errors and Revisions

Published benchmark values may be revised where the source publishes corrected prices, or where Modo Energy identifies an error in the data it ingested or in the calculation. Revised values replace the previously published values. Where a revision is material to users of the benchmark, Modo Energy may notify them.

9. Methodology Changes

Changes to this methodology are classified as material or non-material.

A change is material where it may meaningfully affect benchmark values, the inputs used, or what the benchmark measures. Material changes are announced with not less than 30 days' written notice before they take effect, together with an impact analysis.

Non-material changes are corrections and clarifications that do not alter the substance of the methodology. They may be made without prior notice and are disclosed as soon as practicable.

Emergency changes needed to protect the integrity of the benchmark or to comply with law may be made without prior notice, with notice given as promptly as circumstances permit.

All changes are recorded, with their effective date, in the change log in §11.

10. Limitations

The TB Benchmarks are a theoretical upper bound on energy arbitrage, not a measure of revenue earned. Users should be aware of the following.

• Perfect foresight and no constraints (§4.2) mean no real asset can achieve the benchmark value. Efficiency losses, state-of-charge limits, cycling limits, availability and trading execution all reduce achievable revenue.
• The benchmark covers energy arbitrage in one price series only. It excludes ancillary services, capacity payments, other markets and any revenue from trading between markets.
• The benchmark uses published prices and does not depend on any asset's data, so it is not affected by concentration of inputs. It is, however, only as representative as the published price series: hub and zonal prices can differ materially from nodal prices at a specific site, and thinly traded intraday indices may be based on low volumes.
• Where source prices are published with a lag or are later corrected, benchmark values may be published late or revised (§6, §8).
• Values are per MW and scaled to a year by a fixed factor of 365, so a single day's value is not a forecast of annual revenue.
• The benchmark is not a forecast. It describes prices that have already been published.

11. Change Log

Disclaimer

This document, including the methodology and benchmarks described in it, is the proprietary work of MODO ENERGY LIMITED ("Modo Energy") and is provided solely for informational purposes. The benchmarks are designed for use in financial analysis, benchmarking and decision-making. They do not constitute investment advice or a recommendation regarding any specific financial instrument, asset or strategy.

While Modo Energy strives to ensure the accuracy, reliability and transparency of the benchmarks and methodology, all information is provided "as is", without any express or implied warranties, including but not limited to warranties of merchantability or fitness for a particular purpose. Users should be aware that the benchmarks are derived from data that may be subject to revisions, delays or inaccuracies. Past performance is not indicative of future results, and external factors such as regulatory changes, market conditions and asset-specific characteristics may affect benchmark values.

Modo Energy encourages users to conduct their own due diligence and consult qualified financial professionals before making any investment or operational decisions based on the benchmarks or methodology. Modo Energy disclaims any liability for direct, indirect, incidental or consequential losses or damages arising from the use of the benchmarks, methodology or related data.

It is not possible to invest directly in a benchmark. Benchmarks are intended to represent performance references, and exposure to an asset class represented by a benchmark may be available only through separate investable instruments. Modo Energy does not sponsor, endorse or manage any financial products that aim to track the performance of its benchmarks.

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This document is subject to change as set out in §9. For further information, including licensing enquiries, please contact Modo Energy directly.

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