Fortinbras is a private investment boutique. Founded in 2004 by Chris, our origin is in systematic trading strategies for the interest rate and energy markets. In the past we partnered with leading, global investment banks who created and distributed structured product where some cumulative €2.5 billion in assets were raised for these strategies. In 2017 we sold off the third-party asset management business and now focus on a broad range of investment themes around renewable energy production, power trading and environmental commodities.
In 2015 we set up Miranda Clean Energy GmbH in Germany as an independent power producer (IPP) for our photovoltaic assets. To hedge our production against the increasing frequency of negative power prices we recently executed a day-ahead swap with a major European utility. We pay a daily fixed rate and receive a floating rate consisting of the highest hour minus the lowest hour of the day-ahead auction (a so-called TB1 spread) and settle financially. Overlaying this derivative on our portfolio of PV plants increased our overall capture rate from 50% to 66% last year.
Going forward, we believe European power price volatility will increase as renewable deployment out-paces flex investment. To monetize that phenomenon, we are now launching our Volatility Transfer, Asset-Linked (“VOLTAL”) strategy where we are building a portfolio of power price-linked derivatives like DA swaps, BESS revenue floors and flexibility purchase agreements. Such structures essentially offer flex owners a (bankable) fixed revenue off-take and thus improves their financing conditions. Using standard (ISDA) documentation makes these transactions quick and easy to execute. Currently we have some 85 MW in such transactions for our VOLTAL strategy, and we are capitalized to scale the portfolio to 1 GW.
