Pilot Project – Energy Trade Data Reporting Scheme
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Pilot Project – Energy Trade Data Reporting Scheme 2 nd Steering Committee Meeting Amsterdam, 24 November 2010. Agenda. Pilot project status Overview Progress of individual project components: Work package 1- Data sourcing & interfaces Work package 2 – Data analysis & statistics

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Agenda 4704840

Pilot Project – Energy Trade Data Reporting Scheme2nd Steering Committee MeetingAmsterdam, 24 November 2010


Agenda

Agenda

Pilot project status

Overview

Progress of individual project components:

Work package 1- Data sourcing & interfaces

Work package 2 – Data analysis & statistics

Work package 3 – IT application

Work package 4 - Proof of concept & conclusion

Open issues

Next steps


Pilot project status overview

Pilot project status – Overview

High interest in Pilot project by all market participants

Two-third into project duration

Good progress in achieving objectives of Pilot project:

Demonstration of feasibility of the reporting and monitoring scheme

Recommendations for future European scheme

Development of a concept for data analysis

Further discussions and workshops with regulators and market participants (e.g. LEBA)

Further dissemination of information on Pilot project e.g. on ERGEG website, EMART conference


Project components work packages

Project components (Work Packages)

Project partners

EFET, FORMAET Services

Project management

E-Control

WP1: Data sourcing

& interfaces

WP 2: Data analysis

& statistics

Steering Committee

ERGEG Financial Services WG

WP 3: IT application

WP 4: Proof of

concept &

conclusions


Wp 1 data sourcing interfaces

WP 1: Data sourcing & interfaces

Content:

Establish trade data content and format based on EFETnet eXRP project

Liaise with potential project partners (exchanges, broker, trader, clearing houses) and establish data reporting interfaces

Determine sources for fundamental data

Concept for data access (including publication)

Deliverable:

Prepare concept for an IT application (trade data reporting scheme) for collection, storing, analysing and disseminating of trade and fundamental data considering issues such as

Data reporting requirements

Publication of data

Cooperation with other market surveillance authorities e.g. of exchanges

Access rights for national regulators/authorities

etc


Wp 1 key components of a trade data reporting scheme

WP 1 - Key components of a Trade Data Reporting Scheme

Reporting:

  • Participants

  • Fundamental data

  • Trade data

Data exchange:

  • Data items/format

  • Communication

  • Timeliness of data

    reporting

Access:

  • Anonymization

  • Access rights

  • Information rights

  • publication

Data analysis &

Statistics:

  • Surveillance

    software

Other issues:

  • Governance

  • IT architecture

  • Cooperation of

    regulatory agencies


Wp 1 experiences in sourcing historical data

WP 1 - Experiences in sourcing historical data

Trade data:

  • Anonymization issue

  • Currently regulatory access to trade data from foreign energy exchanges not foreseen

  • Regulatory competences with respect to national trade data not clearly defined (OTC vs. exchange data)

    Fundamental data:

  • Lack of availability of constistent fundamental data


Wp 2 data analysis statistics

WP 2 – Data analysis & statistics

Content:

Research on existing tools and methods to analyse trade data (e.g. regulators, exchange market supervision)

Develop examples and ideas for data analysis and statistics

Develop ideas for data dissemination for transparency purposes

Deliverable:

Concept for trade data analysis with respect to market and position monitoring and statistics

Run analysis in WP 4 and provide conclusion for final report


Wp 2 monitoring concept

WP 2 - Monitoring concept

Fundamental data i.e.

LoadGenerationTransmission

Comparison of troducts/markets

Aggregation of trades

Single trades

Policy impact

Market monitoringtasks

Regulatory impact

Market risk assessment

Company behavior analysis

Additional data i.e.

Fuel prices

Political decisions

Regulatory measures


Wp 2 data analysis based on single trades

WP 2 - Data analysis based on single trades

  • Clusters of intensive trading within day

  • Distribution of clip size i.e. by trading venue

  • Price development of contract and identification of single „Out of the Market“ trades

Analysis (Examples)

Identification of price jumps with exact time stamp

Price volatility of contract and identification of volatility jumps with exact time stamp

Example “Out of Market Trade”

Example “Price Jump”

= specifically tested within pilot

10


Wp 2 data analysis for assessment of regulatory impact

WP 2 - Data analysis for assessment of regulatory impact

Frankreich: 18 Mio t long

Analysis (examples)

Example “Information leakage on 2005 figures”

  • Effect of regulatory decision making process on market liquidity (trade volumes)

  • Effect on market risk (volatility)

  • Price movements introduced

  • Effect of decisions on correlation of products and regional marketsi.e the effect of market coupling

  • Impact on activities of specific companies and groups of companiesi.e. implementation of transparency attracts non-incumbents

Belgien – Wallonien: 3.90 Mio t long

Spanien: 10.9 Mio t short

= specifically tested within pilot

Prices and Volume of EUAs on 26th April 2006

11


Wp 2 preliminary remarks on analysis statistics

WP 2 - Preliminary remarks on analysis/statistics

Cross country and market comparisons would best be hosted within a core group of well trained people as experience evolves over time

Such analysis would best stretch across all European Markets as i.e. bigger companies trade in almost all markets

Some basic public reporting (with time delay) might also be beneficial for existing and potential market participants (i.e. trigger stronger interest for participation)

Strong links to and cooperation with the academia would help to speed up the evolution of analysis and communication of the “European Market Model”

Meaningful data analysis requires a broad background i.e. on asset position of trading company to assess the potential systemic risk associated with certain market positions


Wp 3 it application for pilot project

WP 3 – IT application for Pilot project

Three data sources

eXRP trade data

Exchange trade data

Fundamental data

Data analysis with SCILA surveillance software (CINNOBER)


Wp 3 exrp process

WP 3 – eXRP process

eXRP – UMTF process for Pilot

CRQ ... Clearing Request

CRP ... Clearing Response


Wp 4 proof of concept conclusions

WP 4 – Proof of concept & conclusions

Content:

Operation of energy trade data reporting scheme under near real-time conditions (proof of concept)

Draw conclusions from experience gained through all project phases (work packages)

Deliverable:

Prepare and present conclusions for a future EU reporting scheme for energy wholesale markets based on information/feedback gained through project phase and operational phase


It architecture 1 concept for data sourcing

IT-Architecture (1) – Concept for data sourcing


It architecture 2 concept for data access

IT-Architecture (2) – Concept for data access


Some open issues to be discussed

Some open issues to be discussed

Coverage of non-standardized trades:

  • How to deal with non-standardized trades?

    Pre trade data (bids and offers):

  • Exchanges vs. OTC ?

    Governance:

  • How could an effective governance process look like?

    Publication:

  • What kind of information could be made public? What should be the time delay for publication?

    Information rights:

  • How will those rights be guarded?


Project plan jul 2010 jan 2011

Project planJul 2010 – Jan 2011

Concept phase: Data sourcing, access & analysis, IT specification & software

Kick-off

Implementation phase: Set up IT application, test runs

1 st Steering C

Proof of concept phase: Data exchange & analysis

2 nd Steering C

3 rd Steering C*

First results

* planned


Next steps

Next steps

Further sourcing of historical trade and fundamental data for testing

Nov 2010: Finalization of IT set-up

Dec2010: Start of final phase of project (proof of concept)

Date of 3rd Steering Committee meeting: Mid January in Brussels


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