imm quarterly report: spring 2015 march may€¦ · spring 2013–2015 - 8 - $0.00 $4.00 $8.00...

MISO Independent Market Monitor

David B. Patton, Ph.D.

Potomac Economics

June 17, 2015

IMM Quarterly Report: Spring 2015

March – May

Quarterly Summary

- 2 -

Value

Prior

Qtr.

Prior

Year Value

Prior

Qtr.

Prior

Year

RT Energy Prices ($/MWh) $27.03 -12% -37% FTR Funding (%) 103% 99% 96%

Fuel Prices ($/MMBtu) Wind Output (MW/hr) 5,279 3% 6%

Natural Gas - Chicago $2.77 -21% -56% Guarantee Payments ($M)4

Natural Gas - Henry Hub $2.74 -11% -41% Real-Time RSG $12.6 -13% -75%

Western Coal $0.58 -11% -21% Day-Ahead RSG $25.4 3% -23%

Eastern Coal $1.63 -14% -16% Day-Ahead Margin Assurance $9.6 -5% -67%

Load (GW)2 Real-Time Offer Rev. Sufficiency $3.3 1% -11%

Average Load 70.4 -12% -2% Price Convergence5

Peak Load 97.9 -8% 0% Market-wide DA Premium 1.0% 2.6% 4.4%

% Scheduled DA (Peak Hour) 99.2% 99.3% 99.7% Virtual Trading

Transmission Congestion ($M) Cleared Quantity (MW/hr) 9,640 8% 32%

Real-Time Congestion Value $364.3 7% -50% % Price Insensitive 36% 38% 48%

Day-Ahead Congestion Revenue $217.3 8% -47% % Screened for Review 1% 2% 3%

Balancing Congestion Revenue3 -$4.0 $1.8 -$3.3 Profitability ($/MW) $0.84 $0.74 $3.07

Ancillary Service Prices ($/MWh) Dispatch of Peaking Units (MW/hr) 551 491 459

Regulation $7.27 -6% -46% Output Gap- Low Thresh. (MW/hr) 71 98 237

Spinning Reserves $1.29 0% -50% Other:

Supplemental Reserves $0.49 5% -67%

Key: Expected Notes:

Monitor/Discuss

Concern

4. Includes effects of market power mitigation.

Change1

Change1

1. Values not in italics are the value for the past period rather than the change.

2. Comparisons adjusted for any change in membership.

5. Values include allocation of RSG.

3. Net real-time congestion collection, unadjusted for M2M settlements.

• The Spring 2015 quarter was characterized by continued decreases in fuel prices, particularly natural gas, and typical mild seasonal temperatures and loads.

• Lower natural gas prices this quarter continued to drive energy prices lower.

Real-time energy prices fell 37 percent from last spring to $27.03 per MWh, coinciding with a natural gas price decline of 56 percent over the same period.

Day-ahead and real-time RSG declined 23 and 75 percent from last spring, respectively.

Ancillary service costs declined by about 50 percent from last spring.

• Congestion levels were typical for the spring, down by about half from last year.

We note that last spring included extreme conditions at the beginning of March 2014, including unusually cold weather and higher and more volatile gas prices.

• MISO-wide price convergence was good, and significantly better than last spring.

Outages, both planned and forced, during the quarter led to price divergence at the Texas Hub in May and at the Louisiana Hub in March.

• Market-to-market coordination with SPP and the ELMP initiative were both successfully deployed on March 1.

Start-up issues with the M2M process are being addressed with SPP.

Summary of Spring 2015

- 3 -

Fuel Prices (Slide 11)

• Fuel Prices continue to be significantly lower than fuel prices from last year.

Lower gas prices have led to lower energy and ancillary service prices.

• Last March included days during the polar vortex when gas prices were usually

high due to shortages.

Excluding polar vortex days from last year gas prices, average prices this year

were still 41 percent lower this year ($2.77 per MMBtu) than last spring ($4.70

per MMBtu).

Price Convergence (Slide 13)

• Convergence this spring is significantly better than last spring.

• However, the market is still not quickly responding to congestion-related prices

differences.

Forced outages resulting from severe weather and flooding in Texas caused

significant price divergence at the Texas Hub in May.

A number of planned and forced outages resulted in two binding local constraints

in March and caused price divergence at the Louisiana Hub.

Highlights from Spring 2015

- 4 -

Virtual Load and Supply (Slides 15-17)

• Cleared virtual transactions rose 32 percent this spring compared to last year.

Total quantity of bids and offers also increased 16 percent.

A non-trivial portion of the increase was from participants in the virtual market

exploiting predictable divergence of the marginal loss component of LMP.

– MISO implemented and an interim solution at the beginning of April.

– A longer term solution has not yet been identified by MISO.

Virtual profitability fell from $3.07 last spring to $0.84 per MWh this spring.

• The DDC rate, paid by portfolios with net virtual supply, was only 34 cents this

spring compared to $1.21 last spring.


- 5 -

Congestion (Slides 18-20)

• Day-ahead and real-time congestion revenue fell by 50 percent from last year.

Typical loads and outages during the quarter drove the reduction.

• FTRs were funded at 103 percent this fall, with a surplus totaling $11.3 million.

This is the first quarter with a surplus since the Winter 2014.

The SRPBC produced over $4 million of the surplus.

• MISO paid about $6 Million to SPP for M2M coordination of SPP flowgates, 80 percent of which was not funded via LMP (charged to load as uplift).

This suggests that MISO has low-cost relief that is not being requested that would

lower the costs of managing the constraints in both regions.

RSG (Slides 22 and 23)

• Nominal values for day-ahead RSG declined 75 percent from last year, despite

significantly lower fuel prices.

Most of this RSG was from VLR payments in MISO South to gas-fired

generators.

• Real-time RSG has also fell by 23 percent from last year.


- 6 -

• We provided additional data and analyses to FERC related to prior referrals

regarding resources failing to update real-time offers.

• We continued discussions regarding interface pricing with SPP and PJM staff and

stakeholders.

• In response to a FERC directive, we filed comments on the status of a number of

seams issues with PJM, including interface pricing and capacity deliverability.

• We presented PRA results for the 2 015/2016 planning year with stakeholders at

the Supply Adequacy Working Group.

We are reviewing the complaints that have been filed regarding these results.

• We presented a summary of CTS results between PJM and NYISO to the MSC.

• We provided input to MISO and stakeholders in the Market Roadmap process.

• Provided stakeholder training on Module D and IMM operations to MISO

stakeholders in May.

• We met with the Texas PUC and the ERSC regarding market outcomes in the

South region.

Submittals to External Entities and Other Issues

- 7 -

Day-Ahead Average Monthly Hub Prices

Spring 2013–2015

- 8 -

$0.00

$4.00

$8.00

$12.00

$16.00

$20.00

$0

$20

$40

$60

$80

$100

Mar Apr May Mar Apr May Mar Apr May

Spring 2013 Spring 2014 Spring 2015

Na

tura

l G

as

Pri

ce (

$/M

MB

tu)

$/M

Wh

Minnesota Hub

Indiana Hub

Michigan Hub

Louisiana Hub

Texas Hub

Arkansas Hub

Mean Gas Price

All-In Price

2013 –2015

- 9 -

$0

$4

$8

$12

$16

$20

$0

$15

$30

$45

$60

$75

13 14 15 J F M A M J J A S O N D J F M A M J J A S O N D J F M A M

Spring 2013 2014 2015

Na

tura

l G

as

Pri

ce (

$/M

MB

tu)

All

-In

Pri

ce (

$/M

Wh

)

Capacity

Ancillary Services

Uplift

Energy (Shortage)

Energy (Non-shortage)

Natural Gas Price

Monthly Average Ancillary Service Prices

Regulation and Contingency Reserves, 2014–2015

- 10 -

-$6

-$3

$0

$3

$6

$9

$12

$15

$18

MAM J J A S O N D J F MAM MAM J J A S O N D J F MAM MAM J J A S O N D J F MAM

2014 2015 2014 2015 2014 2015

Regulation Spinning Reserve Supplemental Reserve

$/M

Wh

Regulation Price (exclude shortages)

MCP Impact from Reg Shortages

Spinning Reserve Price (exclude shortages)

MCP Impact from Spin Shortages

Supp Reserve Price (exclude shortages)

MCP Impact from OR Shortages

Day-Ahead Premium

MISO Fuel Prices

2013–2015

- 11 -

0.50

1.00

1.50

2.00

2.50

3.00 $0.00

$5.00

$10.00

$15.00

$20.00

$25.00

J F M A M J J A S O N D J F M A M J J A S O N D J F M A M

2013 2014 2015

Ind

ex (

Ja

n 2

01

3=

1)

$/M

MB

tu

$42

10.211.8

$37

3.0

2013 2014 2015

Oil $22.02 $21.51 $12.79

Natural Gas $4.13 $6.24 $2.77

Spring Average 2013 2014 2015

IB Coal $1.80 $1.93 $1.63

PRB Coal $0.62 $0.74 $0.58

Spring Average

Load and Weather Patterns

Spring 2013–2015

- 12 -

Note: Midwest degree day calculations include four representative cities in the Midwest: Cincinnati, Detroit, Milwaukee and

Minneapolis. The South region includes Little Rock and New Orleans.

0

20,000

40,000

60,000

80,000

100,000

120,000

0

250

500

750

1,000

1,250

1,500

13 14 15 13 14 15 13 14 15 13 14 15

Spring Mar Apr May

Lo

ad

(M

W)

Ad

just

ed D

egre

e D

ay

s

Midwest South

Average Load

Peak Load

CDD

HDD

Historical Avg.

Membership

Day-Ahead and Real-Time Price Convergence

2014–2015

- 13 -

-$10

$0

$10

$20

$30

$40

$50

$60

$70

$80

DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT DA RT

14 15 M A M J J A S O N D J F M A M

Spr. Avg. 2014 2015

$/M

Wh

Average Price Difference

Absolute Difference

RT RSG Rate

Average RT Price

DA RSG Rate

Average DA Price

Indiana Hub 1 1 -1 2 2 3 4 2 -2 3 0 2 1 1 0 1 1Michigan Hub 9 0 26 -1 2 -5 4 3 -2 3 0 2 7 6 -1 2 -1Minnesota Hub -2 1 -5 -3 3 4 1 3 0 3 4 -5 -1 0 -1 2 3WUMS Area 0 2 -1 -3 3 0 2 2 -5 1 3 1 1 0 2 4 1Arkansas Hub -5 1 -20 1 4 10 5 2 -4 -1 3 2 -3 3 -3 4 3Louisiana Hub -6 -4 -19 -12 11 1 4 3 -4 2 2 4 0 2 -10 -2 0Texas Hub -7 -4 -13 -4 -6 31 3 5 2 1 2 5 -1 1 -5 4 -10

Average DA-RT Price Difference Including RSG (% of Real-Time Price)

Day-Ahead Peak Hour Load Scheduling

2014–2015

- 14 -

80%

84%

88%

92%

96%

100%

104%

13 14 15 M A M J J A S O N D J F M A M

Spring 2014 2015

Sh

are

of

Act

ua

l L

oa

d

Net Virtual Supply

Net Virtual Load

Price Based Load

Fixed Load

Share of Actual Load (%)

All Hours

Peak Hours

Midwest

Peak Hours

South

99.0

99.4

98.2

99.2

99.8

99.1

100.1

100.2

99.8

98.7

99.0

99.7

99.0

99.1

98.7

97.9

98.3

98.3

98.6

98.9

99.2

99.3

99.5

98.0

99.5

99.8

99.5

98.8

100.2

100.7

101.1

99.9

99.7

99.2

98.9

99.3

101.2

98.8

100.4

101.5

101.6

102.7

102.5

100.7

99.5

99.7

99.4

97.0

97.9

97.7

97.3

100.2

99.0

Virtual Load and Supply

2014–2015

- 15 -

40,000

30,000

20,000

10,000

0

10,000

20,000

30,000

40,000


Spring 2014 2015

Av

era

ge

Ho

url

y V

olu

me

(MW

)

← S

up

ply

Dem

an

d →

Uncleared

Cleared, Price Sensitive

Cleared, Price Insensitive

Cleared, Screened Transactions

Virtual Load and Supply by Participant Type

Spring 2014–2015

- 16 -

18,000

15,000

12,000

9,000

6,000

3,000

0

3,000

6,000

9,000

12,000

15,000

18,000

21,000

13 14 15 M A M J J A S O N D J F M A M 13 14 15 M A M J J A S O N D J F M A M

Spring 2014 2015 Spring 2014 2015

Financial-Only Participants Generators / LSEs

Av

era

ge

Ho

url

y V

olu

me

(MW

)

← S

up

ply

Dem

an

d →

Uncleared

Cleared, Price Sensitive

Cleared, Price Insensitive

Cleared, Screened Transactions

Virtual Profitability

2014–2015

- 17 -

-$3

$0

$3

$6

$9

$0 M

$10 M

$20 M

$30 M

$40 M

$50 M

$60 M


Spring 2014 2015

Pro

fits

per

MW

To

tal

Pro

fits

Supply

Demand

Gross

Percent Screened

Demand 2.1 4.3 1.6 5.3 4.3 3.2 3.5 1.8 2.0 1.3 2.0 1.9 1.2 1.7 3.1 1.8 1.1 1.9

Supply 1.3 2.2 1.0 2.7 1.9 2.0 1.6 0.9 0.2 0.8 1.5 1.0 1.0 0.6 1.1 1.1 0.9 1.0

Total 1.7 3.4 1.3 4.2 3.3 2.7 2.7 1.4 1.2 1.1 1.7 1.5 1.1 1.2 2.2 1.4 1.0 1.5

Day-Ahead Congestion, Balancing Congestion

and FTR Underfunding, 2014–2015

- 18 -

-$15M

$0M

$15M

$0 M

$50 M

$100 M

$150 M

$200 M

$250 M

$300 M

M A M J J A S O N D J F M A M

2014 2015

2014 2015

Balancing Congestion Revenue ($3.3 M) ($4.0 M)

DA Congestion Revenues $408.3 M $217.3 M

FTR Surplus (Shortfall) ($29.7 M) $11.3 M

FTR Funding (%) 96.3% 102.8%

Spring Totals

Value of Real-Time Congestion

2014–2015

- 19 -

$0

$100

$200

$300

$400

$500


Spring Avg. 2014 2015

Co

ng

esti

on

Va

lue

($ M

illi

on

s)

Spr 14 Win 15 Spr 15

Midwest 495.7 M 289.6 M 271.5 M

Transfer Constraints 23.3 M 7.8 M 7.8 M

South 205.6 M 43.1 M 85.0 M

Total RT Value 724.6 M 340.5 M 364.3 M

DA Congestion Revenue 408.3 M 201.7 M 217.3 M

FTR Surplus/(Shortfall) (29.7 M) (5.4 M) 11.3 M

Congestion Costs on SPP Flowgates

2014–2015

- 20 -

0%

10%

20%

30%

-$4M

-$2M

$M

$2M

$4M

$6M

$8M

$10M

J F M A M J J A S O N D J F M A M

2014 2015

JOA Payments

Balancing Congestion Cost

Day-Ahead Congestion Cost

Share of Effect on Generation LMP

Peaking Resource Dispatch

2014–2015

- 21 -

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0

250

500

750

1,000

1,250

1,500

1,750

2,000

2,250

2,500


Spring 2014 2015

In-M

erit

MW

(%

)

Av

era

ge

Ho

url

y M

W

Real-Time Local Voltage

Real-Time Congestion

Real-Time Capacity

Committed Day-Ahead

Percent In-Merit

Day-Ahead RSG Payments

Spring 2014–2015

- 22 -

$0

$10

$20

$30

$40

$50

$60


Spring 2014 2015

RS

G P

ay

men

ts (

$ M

illi

on

s)

Midwest South Total

Fuel-Adjusted RSG: VLR $7.1 M $15.6 M $22.7 M

Fuel-Adjusted RSG: Capacity $5.7 M $8.1 M $13.8 M

VLR RSG not Allocated $2.0 M $2.0 M

Other Capacity RSG $5.7 M $6.1 M $11.8 M

Total Nominal RSG $10.3 M $16.2 M $25.6 M

RSG Mitigation $0.9 M

RSG Distribution: Spring 2015

Real-Time RSG Payments

Spring 2014–2015

- 23 -

$0

$10

$20

$30

$40

$50

$60


Spring 2014 2015

RS

G P

ay

men

ts (

$ M

illi

on

s)

RSG Distribution: Spring 2015 Midwest South Total

Fuel-Adjusted RSG: VLR $0.5 M $1.8 M $2.3 M

Fuel-Adjusted RSG: Congestion $1.9 M $1.3 M $3.3 M

Fuel-Adjusted RSG: Capacity $9.8 M $2.3 M $12.1 M

Total Nominal RSG $9.0 M $3.8 M $12.8 M

RSG Mitigation $0.2 M $0.1 M $0.2 M

Price Volatility Make Whole Payments

2014–2015

- 24 -

$0

$3

$6

$9

$12

$15

$18

$21

$0

$3

$6

$9

$12

$15

$18

$21


Spr. Avg. 2014 2015

Vo

lati

lity

(Av

era

ge

Inte

rva

l P

rice

Ch

an

ge)

Up

lift

Pa

ym

ents

($

Mil

lio

ns)

DAMAP (Midwest)

RTORSGP (Midwest)

DAMAP (South)

RTORSGP (South)

SMP Volatility

LMP Volatility

Wind Output in Real-Time and Day-Ahead Markets

7-Day Moving Average, 2014–2015

- 25 -

-1,500

0

1,500

3,000

4,500

6,000

7,500

9,000

10,500

M A M J J A S O N D J F M A M

2014 2015

Qu

an

tity

(M

W)

13 1 4 15

Spring Avg. 2014 2015

Day-Ahead Wind

Net Virtual Supply

Real-Time Wind

Wind Scheduling Difference

Net Scheduling Difference

Generation Outage Rates

2014–2015

- 26 -

0%

5%

10%

15%

20%

25%

30%


Spring 2014 2015

Sh

are

of

Ca

pa

city

Spring 2013 2014 2015

Short-Term Forced Outages 2.0% 1.9% 1.7%

Long-Term Forced Outages 3.4% 4.4% 4.6%

Planned Outages 10.4% 14.0% 12.1%

Total 15.8% 20.3% 18.4%

Monthly Output Gap

2014–2015

- 27 -

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

0

160

320

480

640

800


Spring 2014 2015

Sh

are

of

Act

ua

l L

oa

d

Ou

tpu

t G

ap

(M

W)

Low Threshold

High Threshold

Share of Actual Load

Low Threshold Results by Unit Status (MW)

High Threshold Results by Unit Status (MW)

Offline

Online

Offline

Online

5 95 7 130 83 71 13 21 15 20 9 19 50 11 18 5 3 11

18 43 15 57 26 46 54 41 21 60 62 75 36 6 24 16 10 19

6 112 8 154 99 82 18 29 22 32 14 21 52 12 33 5 4 15

81 125 63 150 105 120 150 107 65 131 149 147 92 34 72 53 46 90

Day-Ahead And Real-Time Energy Mitigation

2014–2015

- 28 -

0

250

500

750

1000

1250

1500

0

400

800

1200

1600

2000

2400

131415 M A M J J A S O N D J F M A M 131415 M A M J J A S O N D J F M A M

Spr.

Tot.

2014 2015 Spr.

Tot.

2014 2015

BCA NCA

MW

Mit

iga

ted

Ho

urs

DA Hours Mitigated, NCA

RT Hours Mitigated, NCA

DA Hours Mitigated, BCA

RT Hours Mitigated, BCA

Combined MW Mitigated

Day-Ahead and Real-Time RSG Mitigation

2014–2015

- 29 -

0

30

60

90

120

150

180

210

$0 M

$1 M

$2 M

$3 M

$4 M

$5 M

$6 M

$7 M


Spr. Avg. 2014 2015

Mit

iga

ted

Un

it-D

ay

s

RS

G M

itig

ati

on

Do

lla

rs

DA RSG Mitigated

RT RSG Mitigated

Combined Unit-Days

AMP Automated Mitigation Procedures

BCA Broad Constrained Area

CDD Cooling Degree Days

CMC Constraint Management Charge

DAMAP Day-Ahead Margin Assurance

Payment

DDC Day-Ahead Deviation & Headroom

Charge

DIR Dispatchable Intermittent Resource

HDD Heating Degree Days

JCM Joint and Common Market Initiative

JOA Joint Operating Agreement

LAC Look-Ahead Commitment

LSE Load-Serving Entities

M2M Market-to-Market

MSC MISO Market Subcommittee

NCA Narrow Constrained Area

ORCA Operations Reliability Coordination

Agreement

ORDC Operating Reserve Demand Curve

List of Acronyms

- 30 -

PRA Planning Resource Auction

PVMWP Price Volatility Make Whole

Payment

RAC Resource Adequacy Construct

RSG Revenue Sufficiency Guarantee

RTORSGP Real-Time Offer Revenue

Sufficiency Guarantee Payment

SMP System Marginal Price

SOM State of the Market

SRPBC Sub-Regional Power Balance

Constraint

TLR Transmission Line Loading

Relief

TCDC Transmission Constraint

Demand Curve

VCA Voluntary Capacity Auction

VLR Voltage and Local Reliability

WPP Weekly Procurement Process

WUMS Wisconsin Upper Michigan

System

imm quarterly report: spring 2015 march may€¦ · spring 2013–2015 - 8 - $0.00 $4.00 $8.00...

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