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


Pilot project status


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


Project management


WP1: Data sourcing

& interfaces

WP 2: Data analysis

& statistics

Steering Committee

ERGEG Financial Services WG

WP 3: IT application

WP 4: Proof of

concept &


wp 1 data sourcing interfaces
WP 1: Data sourcing & interfaces


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)


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


wp 1 key components of a trade data reporting scheme
WP 1 - Key components of a Trade Data Reporting Scheme


  • Participants
  • Fundamental data
  • Trade data

Data exchange:

  • Data items/format
  • Communication
  • Timeliness of data



  • Anonymization
  • Access rights
  • Information rights
  • publication

Data analysis &


  • Surveillance


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


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


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.


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


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


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


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)


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

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 ?


  • How could an effective governance process look like?


  • 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


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