2017 ANNUAL VRL ANALYSIS - Southwest Power … vrl...2017 SPP Annual VRL Analysis 7 Furthermore, when we look at the binding instances by Shadow Price as a percent of all binding instances,

2017 ANNUAL VRL

ANALYSIS Subtitle

Published on 8/1/2017

By Ops Market Support/Forensics

Tom Burns

Ricky Finkbeiner

R

Southwest Power Pool, Inc.

CONTENTS

Executive Summary ................................................................................................................................................................ 1

Recommendations .................................................................................................................................... 2

Background ................................................................................................................................................................................ 3

Analysis of Current VRLs ...................................................................................................................................................... 5

Binding in the Integrated Marketplace ................................................................................................. 6

Breaching in Real-Time Balancing Market ............................................................................................ 8

Breaching in the Day Ahead Market ..................................................................................................... 9

Review of VRL changes from the 2016 VRL Analysis .......................................................................... 10

Sensitivity Analysis ............................................................................................................................................................... 13

Methodology ........................................................................................................................................... 13

Sensitivities Analyzed .............................................................................................................................. 13

Sensitivity Analysis Results ..................................................................................................................... 18

Conclusion ................................................................................................................................................................................ 22

Appendix ................................................................................................................................................................................... 23

Explanation of M2M Breached Intervals ................................................................................................ 23

Impact of kV Level to Shadow Prices and Congestion Cost .................................................................... 24

Cost of Congestion .............................................................................................................................. 24

Impact of External/Parallel Flows ....................................................................................................... 26

Determination of kV Method VRL Blocks ............................................................................................... 28


2017 SPP Annual VRL Analysis 1

EXECUTIVE SUMMARY

This report provides the annual analysis on the Integrated Marketplace Violation Relaxation Limits

(VRLs). It includes the effectiveness of the VRLs and their value on reliability and pricing, as well as

a sensitivity analysis with recommendations for changes. The primary focus of the analysis is for

the period July 2016 – June 2017.

VRLs are applied when the Shadow Price to meet a constraint exceeds the defined Violation

Relaxation Limit. The three VRL constraint/categories are

Spinning Reserve Requirement

Operating Constraint – including Manual, Pnode, Watch List, Flowgate, and Real-Time

Contingency Analysis (RTCA) constraints

Operating Constraint subject to Market-to-Market coordination

Table 1 below shows the summary of VRL instances in the Real-Time Balancing Market (RTBM) and

Day-Ahead Market (DAMKT) for the SPP Integrated Marketplace. Note that RTBM instances

account for a 5-minute interval while the DAMKT instances account for a 1-hour interval. Multiple

VRL instances can occur per interval if there are more than one constraint with a VRL application in

that interval. Analysis in this report will primarily focus on Operational Constraint VRLs due to the

large number of instances of that category’s application.

Table 1: Summary of VRL instances in the RTBM and DAMKT.

Day Ahead Real-Time

July 2015 -

June 2016

July 2016 -

June 2017

July 2015 -

June 2016

July 2016 -

June 2017

Spinning Reserve 0 0 237 622

Operating Constraint 245* 1386* 28,173 47,424

Operating Constraint – Lower

external M2M Shadow Price

0 0 12,501 18,608

*Day-Ahead Market constraint breaches are primarily due to phase shifter constraints that

breach when the equipment is out of service. These instances have $0 Shadow Price and no

pricing impact. They account for 220 of the 245 instances of breached DAMKT constraints in

2015-2016 reporting year and 1,296 of the 1,386 instances of breached DAMKT constraints in

the 2016-2017 reporting year.



RECOMMENDATIONS SPP recommends no changes to the VRLs related to Spinning Reserve Requirements and Operating

Constraints. Based on the sensitivity analysis presented in this report, SPP also does not

recommend making changes to the VRL blocks for Operational Constraints. The sensitivities

analyzed, while showing differing values from each approach, do not indicate a clear need for

changes or a better method at this time.

However, SPP believes further changes to the Operational Constraint VRLs may be warranted and

will continue analysis to identify improvements to reduce the large number of breached instances.



BACKGROUND

In certain situations, attempting to enforce all constraints may result in a solution that is not

feasible at a Shadow Price less than an appropriately priced VRL. In those cases, SPP will apply the

VRLs in the Market Clearing Engine (MCE) solution. Per the Integrated Marketplace Protocols,

VRLs and their associated values are intended to achieve the following objectives:

1. Mitigate the occurrence of price excursions or other extreme prices

2. Remove the portion of a loading violation attributed to market flow on a flowgate within

30 minutes of the start of a VRL violation

3. Mitigate the regulation burden placed on the Resources providing regulation services

4. Limit contribution to CPS violations

5. Minimize the need for OOMEs

Table 2 contains the current VRL constraints and values currently in place.

Table 2: Current VRL constraints.

Constraint Type Description VRL [$/MW]

Operating Constraint A MW limit that can be imposed

on SPP related to MW flow across

a market node, a manually-

identified transmission

constraint, a Watch List

transmission constraint, a

flowgate constraint, or a

transmission constraint identified

by SPP’s real-time contingency

analysis.

$750 when the loading is greater than

100% and less than or equal to 101%

at each network constraint at each

Operating Constraint.

$750 when >101% and <= 102%

$1,000 when >102% and <= 103%

$1,250 when >103% and <= 104%

$1,500 when >104%

Operating Constraint

subject to Market-to-

Market coordination

A MW limit that can be imposed

on SPP related to MW flow across

a market node, a manually-

identified transmission

constraint, a Watch List

transmission constraint, a

flowgate constraint, or a

transmission constraint identified

by SPP’s real-time contingency

analysis.

MISO’s Shadow Price as further

defined in Section 3.1 of the SPP-MISO

JOA

Spinning Reserve

Constraint

A MW value representing the

Spinning Reserve requirement

$200



SPP has requirements to provide (by November 1st each year) analysis as well as a set of proposed

Violation Relaxation Limits (“VRLs”) for review by the applicable working groups and committees

as described in the Integrated Marketplace Protocols. The report, analysis, sensitivities, and

recommendations are due to the appropriate working groups by August 1st. Sources for these

requirements are currently found in the following SPP governing documents:

Integrated Marketplace Protocols section 4.1.4

SPP Tariff Attachment AE section 3.4 and Addendum 1



ANALYSIS OF CURRENT VRLS

The following section provides and overview and analysis of the VRL usage in the SPP Integrated

Marketplace. The analysis focused on Operational Constraint VRLs due to the small usage of the

other VRL types. In the past few years, with the analysis and reporting due on August 1st, the data

has been focused on the previous year of data (July of previous year through June of current year)

to provide the latest data available. For this reason, unless otherwise noted, data referred to by

reporting year follows the convention defined below:

Reporting Year 2015: July 2014 – June 2015





BINDING IN THE INTEGRATED MARKETPLACE

Charts below show the reporting year-to-year changes in binding instances grouped by Shadow

Price range. Both RTBM and DAMKT saw similar large increases in binding instances, relative to the

previous year, with most of the increase occurring in $0-$100 Shadow Price ranges.

RTBM shows higher instances of congestion, but that is mostly due to having 5-minute intervals vs the 1-hour intervals of DAMKT.

SPP does encounter instances of binding with a Shadow Price greater than the $500 range in RTBM, even in 2015 and 2016 before first VRL block was raised above $500. These occur

on non-SPP M2M flowgates where, due to M2M logic, SPP (as the non-monitoring RTO) is

using the higher VRL blocks of the monitoring RTO and is able to bind to that level.

Figure 1: RTBM Binding instances by reporting year and Shadow Price

Figure 2: Day-Ahead Market binding instances by reporting year and Shadow Price.

104461

2429110466 6273 4118 10 18

159602

24353

9363 6241 4211 54 171

181597

49682

2571614497 9829

2761 2069

0

20000

40000

60000

80000

100000

120000

140000

160000

180000

200000

$0 - $100 $100 - $200 $200 - $300 $300 - $400 $400 - $500 $500 - $600 $600 +

To

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RTBM Binding Instances by Reporting Year

2014-2015 2015-2016 2016-2017

39371

3548 764 202 52

57254

2533 325 85 23

75423

6510 1945 692187

26 90

10000

20000

30000

40000

50000

60000

70000

80000

$0 - $100 $100 - $200 $200 - $300 $300 - $400 $400 - $500 $500 - $600 $600 +

To

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DAMKT Binding Instances by Reporting Year

2014-2015 2015-2016 2016-2017



Furthermore, when we look at the binding instances by Shadow Price as a percent of all binding

instances, we see a higher concentration of Day-Ahead Market binding instances in the $0 - $100

Shadow Price range. This is somewhat typical, though we do see a higher disparity between RTBM

and DAMKT compared to previous years. Causes for smaller Shadow Prices in the DAMKT are

primarily due to:

Less volatility than RTBM data, and

More options to solve constraints (virtual bids/offers, NDVERs participating as

dispatchable, etc.) so the DAMKT constraints can be solved more easily.

Figure 3: Real-Time Balancing Market OC Binding instance by Shadow Price – July 2016-June 2017

Figure 4: Day-Ahead Market OC Binding instance by Shadow Price – July 2016-June 2017

63.5%

17.4%

9.0% 5.1% 3.4% 1.0% 0.7%0%

20%

40%

60%

80%

100%

0

40,000

80,000

120,000

160,000

200,000

$0 -

$100

$100 -

$200

$200 -

$300

$300 -

$400

$400 -

$500

$500 -

$600

$600 +

% O

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In

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RTBM OC Binding Instances by Shadow Price

July 2016 - June 2017

Binding Instances Percentage

89.0%

7.7%2.3% 0.8% 0.2% 0.0% 0.0%

0%

20%

40%

60%

80%

100%

0

20,000

40,000

60,000

80,000

100,000

$0 -

$100

$100 -

$200

$200 -

$300

$300 -

$400

$400 -

$500

$500 -

$600

$600 +

% O

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In

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DAMKT OC Binding Instances by Shadow Price

July 2016 - June 2017

Binding Instances Percentage



BREACHING IN REAL-TIME BALANCING MARKET

The number of constraint breach events has continued to rise in RTBM from year to year. This is

partly due to increased congestion, as can be seen with the increased binding instances from the

previous section. Additionally, SPP has seen more wind added to the system and with it comes

more congestion. These situations outlined in the 2016 VRL Analysis, with low shift factors and low

offer prices, require Shadow Prices of larger magnitude to control.

This first chart shows the increase in occurrence of breach events in RTBM.

Figure 5: Real-Time Balancing Market Breach instances and severity by reporting year

While at the same time, when looked at as a percentage of total breaches, there has not been a large

change in the distribution of breach overloads, with most breaches staying in the 1-3% range.

Figure 6: Real-Time Balancing Market Percent Breach instances and severity by reporting year

0

5,000

10,000

15,000

20,000

1% or

less

1-2% 2-3% 3-4% 4-5% 5-6% 6-7% 7-8% 8-9% 9-10% 10+%

RT

BM

Bre

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RTBM Breach Instances and Severity (% over limit) by Reporting Year

Excluding Market Flow Control & External M2M

2014-2015 2015-2016 2016-2017

0%10%20%30%40%50%60%

1% or

less

1-2% 2-3% 3-4% 4-5% 5-6% 6-7% 7-8% 8-9% 9-10% 10+%

% o

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es

RTBM Percent Breach Instances and Severity (% over limit) by

Reporting Year


2014-2015 2015-2016 2016-2017



Breach instances are excluded from the above where SPP was controlling the constraint in Market

Flow Control (such as external M2M or congestion from TLR to meet market relief assignment).

BREACHING IN THE DAY AHEAD MARKET

The Day-Ahead Market sees far fewer breaches than RTBM, primarily due to:

Less volatility and unexpected system changes

A longer dispatch period (1 hour vs 5 minutes) to solve the constraint

Virtual bids and offers provide much options to resolve the constraint at lower Shadow Prices

Different Resource offer/dispatch behavior between Real-Time and Day-Ahead.

As noted in the opening of the report, many of the “breached” intervals in the Day-Ahead Market

are due to phase shifter control constraints that are unable to solve when the phase-shifting

transformer becomes temporarily radial due to transmission outages. These instances all resulted

in $0 Shadow Price and did not affect the solution but are still reported as breached.

Table 3: Day-Ahead Market Breach events

DAY AHEAD MARKET BREACH EVENTS

Reporting Year

Standard Constraint

Phase Shifter Outaged

Total

2014-2015 43 26 69

2015-2016 25 220 245

2016-2017 90 1296 1386

The vast majority of breached intervals in the Day-Ahead Market are at or below the 1% overload

mark.



Figure 7: DAMKT Breach Instances and Severity by Reporting Year

REVIEW OF VRL CHANGES FROM THE 2016 VRL ANALYSIS

After the 2016 VRL analysis, a change was proposed (and approved through the stakeholder

process) to modify the VRL blocks that had been in place for several years in SPP. The change was

minor – bypassing the first $500 block and setting both the first and second (for overloads between

100 and 102% of the limit) blocks to breach at a $750 Shadow Price. This helped reduce the

occurrence of continuously breaching flowgates and “economic breaches” (those instances where

plenty of relief was available to resolve the constraint, but at a Shadow Price magnitude larger than

the first VRL block). This change was proposed and accepted for several reasons, with the primary

intent being the reduction in the number of breaches experienced in the RTBM, which would result

in the following:

Increase the likelihood of maintaining a flowgate’s flow under the required limit

Increase transparency in the transmission congestion and allow for fewer effective limit

offsets (which had been required for continuously breaching flowgates)

Adjust for the changing system fleet in SPP, with more wind participating with very low offer prices and low shift factors that require large Shadow Prices to provide relief on the

transmission constraints.

0%

20%

40%

60%

80%

100%

1% or less 1-2% 2-3% 3-4% 4-5% 5% +

% o

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DAMKT Breach Instances and Severity by Reporting Year


2014-2015 2015-2016 2016-2017



Figure 8: SPP Operational Constraint VRL Blocks

SPP stakeholders and FERC approved this change with an effective date of March 6, 2017. With less

than four months of actual usage of the new blocks in the Integrated Marketplace, SPP has not had

the opportunity to see the full impact of the change. However, by analyzing the data from March 6,

2017 to June 30, 2017 estimates of the reduction in breach events were made.

$750 set as first

VRL block

starting 3/6/17

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

98% 99% 100% 101% 102% 103% 104% 105% 106% 107% 108%

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% of Effective Constraint Limit

SPP Operational Constraint VRL Blocks

Original VRL Blocks VRL Blocks as of 3/6/17



To see the reduction in breach events, SPP has added a new definition for “Breach Avoided”, due to

the raising of the first VRL block to $750. An instance is counted as a Breach Avoided if it was binding

in the solution with a Shadow Price between $500 and $750 – meaning that under the old VRL blocks

it would have been required to breach, but under the new VRL blocks it does not. The RTBM data

shows roughly 25% of breached instances were avoided with the new VRL blocks. This is similar to

the value of reduction realized from the 2016 analysis, which confirms that the methodology and

conclusions from the analysis were realistic.

Table 4: Summary of Binding, Breached, and Breach Avoided instances.

BINDING M2M

BREACHED BREACHED

BREACH AVOIDED

TOTAL CONGESTED

% OF BREACHES AVOIDED

DAMKT 27,709 1,299 34 29,042 2.6%

Mar-17 6,379

57

6,436 0.0%

Apr-17 7,729

1 5 7,735 83.3%

May-17 6,385

713 10 7,108 1.4%

Jun-17 7,216

528 19 7,763 3.5%

RTBM 95,461 7,102 13,615 4,747 120,925 25.9%

Mar-17 22,723 1,623 2,587 1,010 27,943 28.1%

Apr-17 26,760 3,106 3,977 1,519 35,362 27.6%

May-17 23,189 1,192 3,602 1,489 29,472 29.2%

Jun-17 22,789 1,181 3,449 729 28,148 17.4%

Figure 9: RTBM Percentage of Congested Instances by Month

Additionally, more coverage of the impacts and comparisons of this change, relative to others, will

be in the Sensitivity Analysis section.

50%

60%

70%

80%

90%

100%

7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6

2014 2015 2016 2017% o

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Month/Year

RTBM % of Congested Instances by MonthBinding Breach avoided Breached



SENSITIVITY ANALYSIS

METHODOLOGY Rather than just altering the value of the existing VRL blocks, this year’s sensitivity analysis

changed the method and grouping by which SPP applies VRLs. The VRL changes and their impacts

were assessed by re-running RTBM studies for two one-week spans. The weeks picked are recent

and representative of typical congestion patterns on the SPP system. Intervals included in the

assessment were:

4,025 intervals covering the days 5/20 – 5/26/17 and 6/22 – 6/28/17 o This range was used to cover only periods after the pricing implementation of

RR175 (Ramp Shortage Compliance) in early May 2017

System load ranging from 20.8 to 44.3 GW

System wind forecasts from 0.8 GW to 13.1GW

Net Scheduled Interchange ranging from -1.9 GW to +2.1 GW

There were four major sensitivities covered. The sensitivities defined were Base, Old Curve, kV

Method, and Ratchet Method.

The VRL blocks were the only input changes to the cases and the results were assessed based on the

performance of constraint control (how many breached instances are observed) as well as system

cost and pricing indicators.

SENSITIVITIES ANALYZED 1. Base – This was simply the existing curve as posted in the SPP Tariff and Protocols, effective

since 3/6/2017.

a. $750 when the loading is greater than 100% and less than or equal to 101% at each

network constraint at each Operating Constraint.

b. $750 when >101% and <= 102%

c. $1,000 when >102% and <= 103%

d. $1,250 when >103% and <= 104%

e. $1,500 when >104%

2. Old Curve – The original VRL blocks used for several years and in effect in SPP Integrated

Marketplace until 3/6/2017. This is included to provide some assessment of how the older

VRL blocks would fare against the current “Base” VRL blocks as well as other sensitivities.

a. The blocks are the same as the Base blocks with the exception of the first block

being set to $500 when the loading is greater than 100% and less than or equal to

101% at each network constraint at each Operating Constraint.

b. The comparison of Base and Old VRL blocks is shown below.



Figure 10: Example of Base and Old VRL blocks

3. kV Method – These VRL blocks are set differently based on the kV level of the monitored

element. This is a follow-up from the 2016 VRL Analysis, which showed many constraints

had similar responses to VRL changes as other constraints with the same kV level of the

monitored element(s). More information is available in the Appendix “Impact of kV Level to

Shadow Prices and Congestion Cost” and “Determination of kV Method VRL Blocks”. The kV

VRL blocks are listed in the Table 5 (and Figure 11).

Table 5: kV Method VRL blocks

69kV 115kV 138kV 161KV 230kV 345kV

If VRL passed,

relax limit to

First Block $1,000 $600 $750 $1,000 $300 $300 101%

$1,250 $800 $938 $1,250 $525 $475 102%

$1,500 $1,000 $1,125 $1,500 $750 $650 103%

$1,750 $1,200 $1,313 $1,750 $975 $825 104%

Last Block $2,000 $1,400 $1,500 $2,000 $1,200 $1,000 105%

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

98% 99% 100% 101% 102% 103% 104% 105% 106% 107% 108%

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SPP Operational Constraint VRL Blocks

Old Curve Base



Figure 11: kV Method VRL blocks

4. Ratchet Method – This sensitivity was another proposed item to investigate from the 2016

VRL Analysis. This method is an attempt to increase the VRL blocks after each breached

interval for a constraint. Every time a constraint was breached in the RTBM, the next

interval would shift the VRL blocks over one step. The intent was to imitate the increasing

urgency of a reliability situation as the breached condition persists and to put more pricing

pressure on resolving the situation.

Table 6: Ratchet Method VRL blocks

Base Ratchet

#1 Ratchet

#2 Ratchet

#3 If VRL passed, relax limit to

First Block $750 $1,000 $1,250 $1,500 101%

$750 $1,250 $1,500 $1,500 102%

$1,000 $1,500 $1,500 $1,500 103%

$1,250 $1,500 $1,500 $1,500 104%

Last Block $1,500 $1,500 $1,500 $1,500 105%

Figure 12 below provides a visual representation of the Ratchet Method VRL blocks.

Essentially, after each interval that a constraint breaches, the curve shifts to the left for that

particular constraint so the SCED will enforce a higher starting penalty for breaching the

flowgate.

115kV

138kV

69kV & 161kV

230kV345kV

$0

$500

$1,000

$1,500

$2,000

$2,500

98% 99% 100% 101% 102% 103% 104% 105% 106% 107% 108%

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VRL Blocks used for kV Method

69kV 115kV 138kV 161kV 230kV 345kV



Figure 12: Ratchet Method VRL blocks and timing

Consideration was also given for when to bring the ratchet back down. For instance, a

temporary event could cause sudden loading and several breached intervals for a flowgate.

This would cause the VRL blocks to ratchet up several times in this Ratchet Method. After

the event was resolved, we would still want some mechanism to ratchet back down to the

normal/pre-breach VRL blocks. For these situations, a time limit of 30 minutes with no

breaches was enforced before the ratchet down could start. The ratchet down was also

based on the largest magnitude Shadow Price from those prior 30 minutes, so SPP would

not ratchet down to a VRL block/curve that started lower than the first block of the selected

penalty curve. Table 7 below illustrates an example of both the ratchet up (occurring

intervals 00:15 – 00:20 based on breaching the prior intervals) and then the eventual

ratchet down (intervals 01:05 and 01:15) as the breaching had stopped and the congested

Shadow Price magnitude fell below that of the next lowest VRL block.

$0

$250

$500

$750

$1,000

$1,250

$1,500

$1,750

98% 99% 100% 101% 102% 103% 104% 105% 106% 107% 108%

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VRL Blocks used for Ratchet Method Sensitivity

Base Curve Ratchet #1 Ratchet #2 Ratchet #3

After 1st Breach move from

Base Curve to Ratchet #1

After 2nd Breach move from

Ratchet #1 to Ratchet #2

After 3rd Breach move from

Ratchet #2 to Ratchet #3



Table 7: Ratchet Method example application

INTERVAL CONSTRAINT

STATE SHADOW

PRICE PENALTY

CURVE USED COMMENT

0:00 Binding -$400 Base Curve


0:10 Breached -$1,100 Base Curve No impact to inputs yet because of no previous breach

0:15 Breached -$1,150 Ratchet #1 Ratchet up once based on Breach in previous interval

0:20 Binding -$1,150 Ratchet #2 Ratchet up once based on Breach in previous interval

0:25 Binding -$1,100 Ratchet #2 Keep same curve since breached in previous 6 intervals

0:30 Binding -$1,100 Ratchet #2 Keep same curve since breached in previous 6 intervals

0:35 Binding -$900 Ratchet #2 Keep same curve since breached in previous 6 intervals



0:50 Binding -$600 Ratchet #2 Keep same curve; no breaches but max |SP| in previous 6 intervals ($1,100) is still > $1,000 (Ratchet #1's first penalty)



1:05 Binding -$600 Ratchet #1 Ratchet down one curve; no breaches and max |SP| in previous 6 intervals ($900) is still > $750 (Base's first penalty)

1:10 Binding -$600 Ratchet #1 Keep same curve; no breaches but max |SP| in previous 6 intervals ($900) is still > $750 (Base's first penalty)

1:15 Binding -$600 Base Curve Ratchet down one curve; no breaches and max |SP| in previous 6 intervals ($600) is still < $750 (Base's first penalty)




SENSITIVITY ANALYSIS RESULTS Performance of the various VRL block sensitivities and methods was primarily analyzed in terms of

total number of breaching flowgate instances and system-level pricing and cost indicators. These

primary indicators are:

Total number of breach instances in the RTBM solutions

Average Marginal Energy Cost (MEC)

Total Intervals with AS Scarcity

Average Operating Cost (Total fuel/offer cost per interval of energy and ancillary services)

Average Settlement Cost (Total cost to be payed to resources based on DispatchMW * LMP + ReservesClearedMW * MCP)

Table 8: Sensitivity Key Indicators

SENSITIVITY AVERAGE

MEC

AVERAGE OPERATING

COST

AVERAGE SETTLEMENT

COST

TOTAL BREACH

INSTANCES

TOTAL AS SCARCE

INTERVALS

Old Curve $21.89 $19,066 $49,025 3708 23

kV Method $21.94 $19,073 $49,122 3370 23

Base $22.18 $19,076 $49,675 3236 23

Ratchet Method

$22.86 $19,113 $51,032 2667 26

The trends are relatively clear, especially when shown on a scatter plot (Figure 13). The tradeoff

between increased reliability (reduced breach events) and cost (system MEC and Settlement Cost)

are apparent, as the individual points appear to form a curve. An optimum VRL setting would most

likely move to the left on this scatter chart (and down as well), where we could see reduced breach

instances with no increase (potentially even a decrease) to system costs. The kV Method seems to

have taken the largest step in this direction, based on the Old Curve sensitivity.

Figure 13: Key Performance Indicators of VRL Sensitivities

Old

Curve

kV

Method

Base/

Current

Ratchet

Method

$48,500

$49,000

$49,500

$50,000

$50,500

$51,000

$51,500

$21.80

$22.00

$22.20

$22.40

$22.60

$22.80

$23.00

2,500 3,000 3,500 4,000Total Breach Instances

Av

era

ge

Se

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me

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Co

st

Av

era

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ME

C

VRL Sensitivity Key Performance Indicators

Average MEC Average Settlement Cost



The first set of values above are only averages and counts for the entire 2-week sensitivity time

span. These can show patterns overall, but there are also times when individual intervals,

constraints, and even days do not exhibit the same behavior among sensitivities as the overall

averages.

For instance, Figure 14 illustrates the comparison of total settlement cost of each sensitivity,

broken out by day, and scaled as a percentage of the largest settlement cost for that day. An

example would be 6/22/2017, which shows the Ratchet Method with the highest total settlement

cost where it is assigned a value in this chart of 100%. The other sensitivities are assigned values

indicating their daily settlement cost as a percent of the highest peak daily settlement cost (Ratchet

Method’s);“Base” shows up at 97%, “kV Method” shows as 89% and “Old Curve” shows up as 92%.

Even when stepped back one level (from the 2-week look to the daily look), the averages somewhat

break down as the complexity of each set of constraints and the day’s events illicit different relative

standings between the VRL methodologies. The differences are even more varied when looked at

by constraint or interval.

Figure 14: Daily Settlement Cost comparison of VRL Sensitivities

Overall, relative to the Base/Current VRL blocks:

Ratchet Method performed the most reliably, resulting in a 17% reduction in breach instances with an increase in MEC and Settlement cost around +3%

kV Method showed an increase of breach instances by 4% with a -1% change to MEC and settlement cost

Old Curve demonstrated an increase of breach instances by 14%, with a cost savings slightly better than the kV Method (still rounding to -1% changes)

60%

65%

70%

75%

80%

85%

90%

95%

100%

% o

f D

ay

's P

ea

k S

ett

lem

en

t C

ost

Se

nsi

tiv

ity

Daily Total Settlement Cost by Sensitivity

as % of Peak Daily Settlement Cost

Base kV Method Old Curve Ratchet Method



The individual sensitivities show what drove poor performance in some of the sensitivities.

The Ratchet Method showed quite a high percentage (Figure 15) of breach instances even when

moved all the way up to the Ratchet #3 block ($1,500 shadow price for any breach). This indicates

there may not have been sufficient relief available during these times and ratcheting up the VRL

blocks only served to increase system costs which still breached during 60% of those occurrences.

Figure 15: Daily Settlement Cost comparison of VRL Sensitivities

The kV Method results showed some improvement in the percentage of congested intervals that

breached. When comparing the Base to the kV Method in Figure 16, a slightly smoothing effect and

more consistent performance across all kV levels is illustrated. The 230kV and 345kV constraints

experienced more breaches compared to the Base, despite having historically seen the least

breaches. The reverse was true of 69kV and 161kV constraints, which saw a reduction in breach

instances in the kV Method, yet had been historically some of the most frequently breaching.

Figure 16: Binding and Breaching Percentages by kV Level

10291714 413

770

272 179 132

1088

0%

20%

40%

60%

80%

100%

Base Curve Ratchet #1 Ratchet #2 Ratchet #3

% o

f C

on

ge

ste

d I

nte

rva

ls

Ratchet Method - Binding/Breached share of each ratchet step

Binding Breached

0%10%20%30%40%50%60%70%80%90%

100%

Ba

se

kV

Me

tho

d

Ba

se

kV

Me

tho

d

Ba

se

kV

Me

tho

d

Ba

se

kV

Me

tho

d

Ba

se

kV

Me

tho

d

Ba

se

kV

Me

tho

d

115kV 138kV 161kV 230kV 345kV 69kV

% o

f C

on

ge

ste

d I

nte

rva

ls

kV Method - Binding/Breached share for each kV level

Breached

Binding



Breaking down the kV Method a bit more in Figure 17, the approximate trade-offs at each kV level

for the average Shadow Price (gold bars) when congested vs the total number of breach instances

(red markers) is shown.

Figure 17: Breakdown of kV Method congestion metrics

-$97 -$99

-$291 -$283-$255 -$261

-$221-$257

-$88 -$80

-$145 -$127

132 107

12001280

381 385 426 405

79 12321

730

200

400

600

800

1000

1200

1400

-$350

-$300

-$250

-$200

-$150

-$100

-$50

$0

Base

kV

Method Base

kV

Method Base

kV

Method Base

kV

Method Base

kV

Method Base

kV

Method

69kV 115kV 138kV 161kV 230kV 345kV

# o

f B

rea

ch

In

sta

nc

es

Av

g C

on

ge

ste

d S

ha

do

w P

ric

e

kV Method - Breach Instances and Avg Congested Shadow Prices

Avg Congested Shadow Price Breach Instances



CONCLUSION

Based on the sensitivity analysis presented in this report, SPP does not recommend making changes

to the VRL blocks for Operational Constraints. The sensitivities analyzed, while showing differing

values from each approach, do not indicate a clear need to change or a better method at this time.

The Ratchet Method showed promise in its ability to provide a substantial reduction in breach

instances, but it provided those at the highest cost of any of the sensitivities analyzed. It does

appear that some of that additional cost could be avoided if the method could be further tuned to

not have as many breach events in the Ratchet #3 block.

The kV Method did provide more consistent performance across all kV level constraints than the

current Base VRL blocks as well as show the best trade-off between reduced breaching instances

with little additional cost. However, the method tested still allowed more breaches than the Base

VRL blocks, so the VRL blocks set for the kV levels may not be ideal.

The Old Curve ($500, $750, $1000, $1250, $1500 blocks) that was active until 3/6/2017

demonstrated a large increase in breach occurrences without much cost reduction. This analysis

did help further validate the move from using the Old Curve to the new Base Curve (starting at

$750).

SPP still believes further changes to the Operational Constraint VRLs may be warranted and will

continue analysis to identify improvements to reduce the large number of breach instances.



APPENDIX

EXPLANATION OF M2M BREACHED INTERVALS M2M breaches are times when the constraint was reported as breached in the solution, but the

Penalty value it breached at was less than $750 (which is currently SPP’s first VRL block).

These instances are part of the design of Market-to-Market (M2M) flowgate coordination. When

SPP is the Non-Monitoring RTO (NMRTO) on an M2M flowgate, the maximum Shadow Price that

SPP will use in achieving its relief on the constraint is the Shadow Price of the Monitoring RTO

(MRTO) of the constraint. An explanation of this logic is contained in Section 3.1 and Section 7 of

the MISO-SPP Joint Operating Agreement, Attachment 2.

In normal M2M flowgate coordination, when the Monitoring RTO is congested on its flowgate, it will

calculate a relief request to send to the NMRTO in real-time. The NMRTO is to activate this

constraint in its dispatch system to meet the relief request until either of these conditions is met:

The Non-Monitoring RTO has provided the relief requested by the Monitoring RTO

The Non-Monitoring RTO has provided relief at a cost as high as the current Shadow Price

from the Monitoring RTO.

In the case where SPP is the NMRTO and the MRTO has the flowgate under control at a low Shadow

Price (such as $-30), the MRTO will send a relief request amount to SPP and SPP will attempt to

bind to meet the relief request. The Shadow Price of the MRTO will replace the VRL blocks of SPP,

such that $-30 is the largest magnitude Shadow Price SPP can be constrained on before it relaxes

the constraint limit in its solution. If SPP is able to meet the relief request at a Shadow Price

magnitude less than that of the MRTO, then the constraint is reported as binding in SPP’s RTBM

solution. However, when the MRTO has a low Shadow Price (such as the $-30), SPP may not be able

to bind to meet the relief request and the constraint will be reported as breached in SPP’s RTBM

solution. The “breach” events are not the same as a typical interval “breached” constraint for SPP, so

it creates a reporting/consistency issue. In order to help mitigate this, we consider those

constraints where SPP is breaching a flowgate in RTBM at a Penalty Value less than SPP’s first VRL

block ($750), to be “M2M breached” and those instances are excluded from most analysis on

breached intervals in RTBM.



IMPACT OF KV LEVEL TO SHADOW PRICES AND CONGESTION COST This is additional information from the 2016 VRL Analysis demonstrating the application of the OC

VRLs in the SPP Integrated Marketplace, as well as a further breakdown of congestion by kV level of

the monitored element. The primary focus of the data was be on the period July 2015 – June 2016,

for RTBM data. Due to constraint performance and shift factor behavior, flowgates with

transformers are grouped based on the kV level of the low-side of the transformer.

COST OF CONGESTION

Another indicator for the breach instances is the cost of congestion. Because of data reporting and

storage sizing issues, SPP cannot fully or easily recalculate the total cost of congestion for every

flowgate for every interval, however, approximations can be made with the available shift factor

and Shadow Price data. The cost of congestion as shown below is calculated as:

𝐶𝑜𝑠𝑡 𝐶𝑜𝑛𝑔𝑒𝑠𝑡𝑖𝑜𝑛𝐹𝐺 = ∑(𝐿𝑑𝐿𝐴) ∙ (𝑆𝑃𝐹𝐺) ∙ (𝑆𝐹𝐿𝐴,𝐹𝐺) − (𝐺𝑛𝑅𝐴) ∙ (𝑆𝑃𝐹𝐺) ∙ (𝑆𝐹𝑅𝐴,𝐹𝐺)

Where

LdLA = Estimated MWhr Load at Aggregate Load Location

SPFG = Shadow Price of flowgate FG

SFLA,FG = Shift factor of Load Aggregate LA on flowgate FG

GnRA = Estimated MWhr Generation at Resource Aggregate Location

SFRA,FG = Shift Factor of

This is essentially calculating the MCC for each aggregate Settlement Location and calculating the

cost based on the estimated MWhr of the Settlement Location for that instance. The generation

value has to be subtracted due to the reversal of polarity of generation (injecting) to load

(withdrawing). Because shift factors are gathered from the aggregate locations, there is potential

for the load costs to be less accurate due to reducing the granularity, where the true cost born by a

handful of loads in an aggregate may not necessarily equal the calculated cost of the aggregate itself.

Looking at the chart below showing the calculation for the entire year, SPP sees that it follows

roughly with DAMKT congestion, with a bit higher congestion costs per month.

$0

$10

$20

$30

$40

$50

$M

illio

n

RTBM Estimated Cost of Congestion (July 2015 - June 2016)



The second chart below shows this average cost, by kV level of the flowgate and Shadow Price for

breached instances (excludes M2M breaches).

While the lack of sample data at the higher kVs + higher Shadow Price makes the far right of the

chart look a bit messy (we very rarely breach 230kV and 345kV flowgates over $1,000), the trend is

clear: within the same Shadow Price levels, the lower the kV level of a flowgate, the lower the total

cost of congestion. The same effect can be observed with binding constraints (below).

$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000

$140,000

Co

nge

stio

n C

ost

per

inst

ance

Shadow Price > $Bucket

Estimated Average Congestion Cost by Shadow Price Level and kV Level(Breached Flowgates, July 2015 - June 2016)

69kV 115kV 138kV 161kV 230kV 345kV

$0$2,000$4,000$6,000$8,000

$10,000$12,000$14,000$16,000$18,000

$0 $100 $200 $300 $400

Co

nge

stio

n C

ost

per

inst

ance


Estimated Average Congestion Cost by Shadow Price Level and kV Level(Binding Flowgates, July 2015 - June 2016)

69kV 115kV 138kV 161kV 230kV 345kV



IMPACT OF EXTERNAL/PARALLEL FLOWS

These trends from the previous section make sense intuitively, as generation and load tend to have

higher per-MW shift factors on higher-kV constraints. It may be noticed that the 161kV constraints

seem to be out-of-order in this regard, sitting between the 115kV and 138kV constraints, rather

than 138kV and 230kV constraints as would be expected. This can be explained primarily by

looking at where the 161kV constraints are located. Most of the 161kV transmission system in SPP

is in Missouri, NW Arkansas, and eastern Nebraska – all areas heavily impacted by external entities.

These constraints have less flow attributed to SPP, and thus have less impacts that can be both

dispatched with (so Shadow Price is higher) and assign congestion cost to (so congestion cost will

be lower). The two charts below help illustrate this. The first chart shows the impacted load (had a

shift factor reported for it on the constraint) by kV level and Shadow Price. You can see the higher

kV flowgates (230kV and 345kV) impact much more load and the 161kV constraints impact far less

SPP load proportionally compared to the other kVs. Part of this is also due to the usage of

aggregates for the load impact estimation, and that can be seen with the 69kV constraints, who

have a larger load impact than would be expected.

0

5,000

10,000

15,000

20,000

25,000

30,000

Avg

Imp

acte

d L

oad

MW


Average Amount of SPP Load (MW) Impacted by constraintby Shadow Price Level and kV Level (July 2015 - June 2016)

69kV 115kV 138kV 161kV 230kV 345kV



Finally, the percent of occurrences of each VRL block by kV level are shown below, with the average

percent of external/parallel flow impacts overlaid with a red line. The VRL blocks are shown as the

next level that would be applied, so the $500 VRL block is an indication that the constraint was

binding. Note that the kV levels that have the most proportional occurrences of non-binding

intervals (VRL >$500) are the 69kV and 161kV constraints, which also have the highest average

parallel flow impact. This helps to further explain the complexity of congestion costs and Shadow

Prices for constraints, and to illustrate why, though kV level is a significant indicator of congestion

costs and Shadow Prices, it does not fully encompass the other aspects of a flowgate’s congestion.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

69kV 115kV 138kV 161kV 230kV 345kV

Flowgate kV Level

SPP Internal Flowgate Occurrence of VRL Block in RTBM, by kV Level

$500 $750 $1,000 $1,250 1500 Avg % External Flows



DETERMINATION OF KV METHOD VRL BLOCKS The VRL block settings for each kV level in use by the kV Method were determined with the process

below. Historical data was used to help estimate these, pulling all congested (binding or breached)

flowgates in RTBM between 10/1/15 and 4/1/17, internal flowgates only.

69kV 115kV 138kV 161KV 230kV 345kV

If VRL passed,

relax limit to

First Block $1,000 $600 $750 $1,000 $300 $300 101%

$1,250 $800 $938 $1,250 $525 $475 102%

$1,500 $1,000 $1,125 $1,500 $750 $650 103%

$1,750 $1,200 $1,313 $1,750 $975 $825 104%

Last Block $2,000 $1,400 $1,500 $2,000 $1,200 $1,000 105%

Then then data was broken into percentiles of shadow price for each kV level. Though the data was

not a normal distribution, the standard deviation points for that distribution type were used to

provide approximate minimum and maximum percentile bands for the block setting. The first

block for each kV was to be roughly the 2-sigma point (95.45 percentile). The setting of the last

block was determined by taking the higher of 2*first block or the 3-sigma point (99.73

percentile). This higher-of logic was used to ensure we were not just capping to our old VRL blocks

of $1,500 (because for 69kV and 161kV especially, we hit $1,500 shadow more frequently than

others). So a max of $1,500 may not be the ideal last breakpoint for the VRL blocks that we

need. All of this was to provide good starting points for kV-based VRL blocks using some standard

statistical values combined with general experiential knowledge.

The data from the October 2015 – March 2017 period are shown below, with starting points for

high and low blocks highlighted in the bold rows.

69 115 138 161 230 345

50.00% $111 $48 $96 $84 $34 $44

75.00% $375 $141 $324 $372 $93 $117

90.00% $636 $391 $567 $740 $192 $236

95.00% $1,000 $554 $748 $1,000 $277 $301

95.45% $1,057 $589 $750 $1,050 $298 $310

96.00% $1,150 $639 $795 $1,134 $336 $324

97.00% $1,255 $733 $898 $1,236 $427 $360

98.00% $1,401 $860 $998 $1,338 $500 $463

99.00% $1,488 $1,100 $1,237 $1,462 $750 $580

99.50% $1,495 $1,292 $1,401 $1,492 $1,000 $754

99.73% $1,498 $1,415 $1,476 $1,498 $1,245 $1,087

99.90% $1,500 $1,484 $1,498 $1,500 $1,442 $1,427



Below are two examples of how this initial data was transformed into the VRL blocks used in the kV

Method sensitivity:

69kV o First block was 2-sigma point of $1,057, so it was rounded to $1,000 o 2*first block = 2*1000 = $2,000 o 3-sigma point was $1,498 o Last block was max of $2,000 or $1,498 = $2,000. o For 69kV, the first block is $1,000, last block is $2,000, and the intermediate blocks

are scaled linear in-between 230kV

o First block was 2-sigma point of $298, so it was rounded to $300 o 2*first block = 2*300 = $600 o 3-sigma point was $1,245 o Last block was max of $600 or $1,245 = $1,245. This was rounded to $1,200 o For 230kV, the first block is $300, last block is $1,200, and the intermediate blocks

are scaled linear in-between

Documents

2017 ANNUAL VRL ANALYSIS - Southwest Power … vrl...2017 SPP Annual VRL Analysis 7 Furthermore, when we look at the binding instances by Shadow Price as a percent of all binding instances,