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Agenda

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

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

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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)

  14. WP 3 – eXRP process eXRP – UMTF process for Pilot CRQ ... Clearing Request CRP ... Clearing Response

  15. 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

  16. IT-Architecture (1) – Concept for data sourcing

  17. IT-Architecture (2) – Concept for data access

  18. 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?

  19. 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

  20. 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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