20210527Bulkley Exhibit 14.pdf

Case No. PAC-E-21-07
Exhibit No. 14
Witness: Ann E. Bulkley
BEFORE TI{E IDAHO PUBLIC UTILITIES COMMISSION
ROCKY MOUNTAIN POWER
Exhibit Accompanying Direct Testimony of Ann E. Bulkley
CAPM
May 2021
Rocky Mountain Power
Exhibit No. 14 Page 1 ot 2
Case No. PAC-E-21-07
Wrhess: Ann E. Bulkley
CAPITAL ASSET PRICING MODEL - LONG.TERM AVERAGE BETA
CAPM: K= Rr + p R n - R) / ECAPM: K= Rf + O.25(Rm - n + 0.75p (Rm - R0
Risk-FreeRate B€ta(R) (F)
Market Risk
Retum Premium CAPM ECAPM(R-) (R^ - R) (K) (K)
Cunent 304ay average of30-year U.S. Treasury bond yield [1]
Near-term projectod 30-year U.S. Treasury bond yiald (Q22O21 - A22O22)l2l
Proiected 30-year U.S. Treasury bond yield QO22- 20261131
2.31%
2.60%
2.80%
0.726
o.726
o.726
13.71%
13.71%
13.71%
11.40%
11.11%
10.9't%
10.58%
10.66%
10.72%
11.36%
11.420Yo
1',t.47%
Average: 10.85% 11.12%
Notes:
[1] Source: Bloomberg Professional, as of March 31,2021
[2] Source: tslue Chip Financial ForEcasts, Vol.40, No. 4, April 1, 2021, al2
[3] Source: Blue Chip Financial Forecasts, Vol. 39, No. 12, Decomber 1,2O2Q,at14
[4] See Notes [1], [2], and [3]
[5] Source: Exhibit No. 14, page 2
[6] Source: Exhibit No. 13, page 4
[J Equals [6] - [a]
[8] Equals [4] + [5] x [l
[9] Equals [4] + 0.25 x (El) + 0.75 x ([sl x m)
Rocky Mountain Power
Exhibit No. 14Page2ot2
Case No. PAC-E-21-O7
\Mrhress: Ann E. Bulkley
HISTORICAL BETA . 2O1 1 . NzO
ALLETE, hc.
Allianl Energy Corporalim
Ameren Coeoralion
Amien Electic PmrCompany, |rc.
Avista Corporatim
CMS EneEy Crypomtiof,
OTE Energy Company
Duke Energry Corpaatim
Entergy Corporatim
Evdgy, lnc.
NsxtEE Erergy, lnc.
NorthWastem Corpaatim
OGE Energy Corpomtim
Ottor Tail Corporation
Pinnads West Capital Corptration
Por{and GereEl Elecfic Cmpany
SouthmCmpmy
Xcal Energy lnc.
ALE
LNT
AEE
AEP
AVA
CMS
DTE
DUK
ETR
EVRG
NEE
t.{wE
OGE
OTTR
PNW
POR
SO
XEL
0.75
0.73
o.72
0.66
0.73
0.e6
o.l2
o.a2
0.70
r.o0
0.69
0.70
0.88
0.88
0.70
o.74
0.58
0.04
NMF
0.05
0.@
0.55
0.55
0.65
0.55
0.55
0_50
0,60
0.75
0.70
0.65
0.05
0.70
0.65
0.05
0-60
0.65
0.80
0.80
0.75
0.70
0.80
0.75
0.75
0.85
0.70
0.75
0.70
0.95
0.85
0.75
0.80
0.60
0.65
0.70
0.70
0.75
0.90
0.70
0.75
0.55
0.65
0.70
0.75
0.80
0.70
0.70
0.75
0.75
0.65
0.70
0.75
0.70
0.80
0.90
0.70
0.75
0.55
0.65
0.70
0.70
0.80
0.65
0.70
0.75
0.75
0.60
0.70
0.75
0.75
0.80
0.70
0.70
0.70
0.80
0.05
0.70
0.70
0.70
0.85
0.95
0.70
0.75
0.55
0.65
0.80
0.80
0.75
0.70
0.80
0.70
0.75
0,60
0.70
0.70
0.70
0.90
0.90
0.70
0.80
0.55
0.70
0.80
0.70
0.70
0.05
0.75
0.65
0.65
0.60
0.65
0.65
0.70
0.95
0.90
0.70
0.80
0.55
0.60
0.65
0.00
0.55
0.55
0.60
0.50
0.55
0.50
0.60
0.55
0.00
0.75
0.70
0.55
0.60
0.50
0.50
0.85
0.85
0.85
0.75
0.90
0.80
0.95
0.85
0.95
1.00
0.90
0.90
1.10
0.85
0.85
0.85
0.90
0.80
NMF
0.05
0.70
0.90
0.85
0.70
0.70
0.55
0.60
0.55
0.60
0,85
0,75
0-60
0.00
0.50
0.55
Maan o.72 0.71 0.73 0.74 0.75 0.69 0.71 0.80 0.58 0.88 0.73
Not6:@s,2011, md Dmmb3t23,2011
[2] Value Une, dated Novmber 2, 201 2, Novemb€r 23, 201 2, ild Demb€r 21, 201 2.
[3] Valu€ Une, dated Nrymber I , 201 3, November 22, 201 3, md D@mbar 20, 201 3.
[4! Valu6 Line, dated Odober 31, 2014, Novmber 21, 20'14, and D@mbq 19, 2014.
[5] Value Une, dated Octob€r 30,2015, tlomber 20, 2015, and Docember 18, 2015.
[0] Value Line, dated Octobtr 28, 2010, Novmb€r 18, 2016, and December 16, 2016.
m Vatue Line, dated Octob€r 27, 2017, Novembcr 17, 2017, md Dember 15, 2017.
[8]Value Lire, dated @ob€r'18,2018, Novomb€r'16,2018, and Oember 14,2018.
[9] Vdm Une, dated Oc'tob€r 25, 2019, tlovemb€r 15, 2019, and O#mber 13, 2019.
[10] Value Line, dated october23,2020, tlov6mber 13,2020, and Dember ll,2020.
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