Pilot Project – Energy Trade Data Reporting Scheme

2nd Steering Committee Meeting

Amsterdam, 24 November 2010

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Agenda

1. 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

2. Open issues

3. Next steps

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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

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Project components (Work Packages)

Pro

ject man

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WP1: Data sourcing & interfaces

WP 2: Data analysis & statistics

WP 3: IT application

WP 4: Proof of concept &

conclusions

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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

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WP 1 - Key components of a Trade Data Reporting

Scheme

Reporting:

•Participants

•Fundamental data

•Trade data

Data analysis &

Statistics:

•Surveillance

software

Access:

•Anonymization

•Access rights

•Information rights

•publication

Data exchange:

•Data items/format

•Communication

•Timeliness of data

reporting

Other issues:

•Governance

•IT architecture

•Cooperation of

regulatory agencies

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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

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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

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WP 2 - Monitoring concept

Single trades

Aggregation of tr

ades

Comparison of

troducts/m

arkets

Market

monitoring

tasks

Additional data i.e.Fuel pricesPolitical decisionsRegulatory measures

Fundamental data i.e.LoadGenerationTransmission

Policy impact

Regulatory impact

Market risk assessment

Company behavior analysis

Trade database

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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)

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= specifically tested within pilot

Example “Price Jump”

• 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”

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WP 2 - Data analysis for assessment of regulatory

impact

• 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

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= specifically tested within pilot

Belgien – Wallonien: 3.90 Mio t long

Frankreich: 18 Mio t long

Spanien: 10.9 Mio t short

Example “Information leakage on 2005 figures”

Prices and Volume of EUAs on 26th April 2006

Analysis (examples)

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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

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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)

Database

SCILAanalysis

Exchange Trade data

Fundamental data

eXRP Trade data

EFETbox

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WP 3 – eXRP process

Seller Buyer

Broker

Clearing Agent

CRP

CRQ

CRP

CRP CRQ

CRQ

Regulator/Surveillance Role

Clearing Bank

confirmedCRQ

TimestampBuyerSellerProductPrice...

1

3

2

CRQ ... Clearing Request

CRP ... Clearing Response

eXRP – UMTF process for Pilot

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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

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IT-Architecture (1) – Concept for data sourcing

Trade database Additional data(e.g. weather data, newsfeed)

Exchange Broker

Trader TraderTrader Generator

TSO

LoadGenerationTransmission

Matched TradesCleared and uncleared TradesBrokered and unbrokeredExchange Trades and OTC

TSO

Fundamental data

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IT-Architecture (2) – Concept for data access

Trade Database

access authorisation

European Level

Ø ACERØ ESMA

National Level

Ø National energy regulatory authorities

Ø Exchange market surveillance

Ø National financial supervision authorities

Ø ...

Public Level

Ø AcademiaØ General publicØ …

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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?

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Project planJul 2010 – Jan 2011

Jul 10 Aug 10 Sep 10 Oct 10 Nov 10 Dec 10 Jan 11

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

Implementation phase: Set up IT application, test runs

Proof of concept phase: Data exchange & analysis

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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