Pilot Project – Energy Trade Data Reporting Scheme
3rd Steering Committee Meeting
Brussels, 21 January 2011
Agenda
1.
2.
Pilot project– achievement of objectives
• Objective 1: Pilot trade data reporting scheme
• Objective 2: Data Analysis for Monitoring
Purposes
• Objective 3: Recommendations
Next steps
Pilot Project Status
Pilot Project Energy Trade Date
Reporting Scheme
Prototype of an energy trade data reporting and monitoring
scheme has been successfully developed and implemented
within 6 months:
• Feasibility of trade data reporting via EFETBox (eXRP) tested
and proven
• Sample of historic trade data from EEX, EPEX Spot and
EXAA and for OTC trades via broker and trading company
collected and imported to pilot project database (over
500.000 reported transactions in power), i.e. a significant
part of the EU market
• Sample of historic fundamental data from EEX transparency
platform and Genscape collected and imported to the pilot
project database (over 30.000 reported fundamental data)
• Data analysis and statistical reporting supported by Scila
Surveillance software
Project components
(Work Packages)
WP1: Data Sourcing
& interfaces
WP 2: Data analysis
& statistics
ERGEG FIS
WP 4: Proof of
Concept &
Conclusions
Steering Committee
Project management
E-Control
Project partners
WP 3: IT application
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
Sourcing of OTC data –
eXRP process
eXRP – UMTF process for Pilot
Broker
Seller
CRN
CNF
CRN
1
Buyer
BCN
CNF
CRN
Timestamp
Buyer
Seller
Product
Price
...
CRQ
Clearing Agent
Regulator/Surveillance Role
3
CRP
CRQ
2
CNF/BCN ... Trade/Broker Confirmation
CRQ ... Clearing Request
CRP ... Clearing Response
CRN ... Clearing Registration Notification
Clearing Bank
Sourcing of historical exchange
and fundamental data
Three energy exchanges
active in international trading
in three EU Member States:
EXAA, EPEX Spot and EEX
Two providers of
fundamental data:
EEX and Genscape
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
Monitoring concept
Fundamental Data i.e.
Load
Generation
Transmission
Policy Impact
Regulatory Impact
Energy Trade
Database
Market Risk assessment
Company behavior analysis
Additional data i.e.
Fuel prices
Political decisions
Regulatory measures
WP 3 –
IT application
Content:
• Transpose concept of trade data reporting scheme into
IT specification
Deliverables:
• Based on deliverables of WP 1 & 2 prepare
specification for an IT application for collection, storing,
analysing and disseminating trade data
• Implementation of an IT application according to
specification
Pilot project test setting (1)
• Establishing a fully functional prototype for collecting and
processing energy trade data and fundamental data
Fundamental
data
SCILA
analysis
eXRP
Trade data
EFETbox
Exchange
Trade data
Database
Pilot project test setting (2)
• Real time processing of trade data and power plant outage reports
• Importing data from three different exchanges, OTC data from the
eXRP project via the EFETbox communication system and
fundamental data/news events
• Mapping of different data structures (e.g. product codes, member ids,
timestamps)
• Processing and analyzing huge data volumes
IT-Architecture (1) –
Concept for data sourcing
Other Data
(e.g. weather data)
Matched Trades
Cleared and uncleared Trades
Brokered and unbrokered Trades
Exchange and OTC Trades
Trade Data
Fundamental Data
(e.g. ETSOVISTA)
Load
Generation
Transmission
...
Exchange trades
including unmatched orders
...
Potential
reporting
paths
Obligation
to report
Exchange
Trader
Broker
Trader
Usage of automatic trading
systems is possible
Trader
TSO
Generator
TSO
IT-Architecture (2) –
Concept for Data Access
Trade Data
access authorization and framework for public information
European Level
• ACER
• ESMA
• ….
National Level
• National Regulatory
Authorities
• National Financial
Supervision Authorities
• Exchange Market
Surveillances
• …..
Public Level
• General Public
• Academia
• Other interested parties
•…
WP 4 – Proof of concept &
conclusions
Content:
• Operation of energy trade data reporting scheme under near realtime 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 (proof of
concept)
Proof of concept
• Discussions with energy regulators already performing market
monitoring tasks and with several market surveillances from energy
and derivatives exchanges.
• The impression was that no harmonized approach as regards the
use of surveillance software exists and that it is rather relied on own
developments, which may have their obstacles for an oversight
regime at EU level.
• Few software providers seem to exist offering surveillance software
which could also serve the purposes of regulators as regards market
insights and large data volumes.
Proof of Concept
• For testing potential surveillance the Scila software was chosen
since it has proven its value for financial and commodity market
surveillance purposes. Market oversight can be done on a
continuous basis using alerts.
• Predefined alert rules of Scila were adapted successfully to the
energy wholesale market.
• New alerts taking into account the specificities of the energy
wholesale market were developed as examples.
• Additional Feed-in of fundamental data from external sources of
information was tested
Data analysis – Concept of
market abuse
• The surveillance routines developed could already be based on the
concept of market abuse as foreseen in REMIT, which itself is based
on the concept of market abuse stipulated in MAD, i.e.
• Prohibition of insider dealing
• Prohibition of market manipulation
Data analysis – Assessment of
Unmatched Orders
Task for the Market Surveillance Departments of Trading Venues
Please note that information on orders is both relevant for market manipulation and attempted manipulation
Example of statistics
for publication
•Number of participants
•Active participants
Source: EEX website
•Turnover share of participants
•Buy and sell side (Exchanges)
•Buy and sell side (OTC)
Recommendations
from Pilot
Recommendations
Legal framework for cooperation and data access across borders has
to be ensured
A legal framework is needed stipulating market abuse rules for the energy
wholesale market taking into account the specific market characteristics,
the monitoring of regulators and reporting obligations for market
participants.
As in the financial market legislation, traders should report their matched
electronic trades within 24 hours.
The supervisory framework should involve ACER, national regulatory
authorities and market surveillances from trading venues. The latter
should assess and store the unmatched orders and cooperate closely
with national regulatory authorities and ACER. Energy and financial
regulators as well as competition authorities should closely cooperate.
Recommendations
Preference for a central data reporting system at EU level as opposed
to national schemes
A central data reporting system at EU level would benefit the regulatory
oversight of the market and eliminate possible coordination problems
amongst regulators
There is a preference among market players for a single European reporting
system rather than various national ones.
This approach would eliminate the multiple reporting of cross border trades
and ensuring a harmonized set of data (trade and fundamental) across
Europe.
Recommendations
Market knowledge and relevant fundamental data are crucial for a
meaningful monitoring of the energy wholesale market.
Useful interpretation of energy trading requires market knowledge and the
reference to fundamental data.
Need to cooperate with Market Surveillances from trading venues.
Trading in Energy is strongly linked to fundamentals (i.e. supply, demand,
infrastructure availability).
The pilot revealed that data is not sufficiently available and consistent
between countries for market monitoring purposes. Regulators will still
have to rely on fundamental data present to them.
Standards need to be defined and easy data access for regulators to identify
the identity of the publisher at platforms like ETSOvista and/or exchange
transparency platforms needs to be ensured for an effective oversight.
Recommendations
Concerns of market participants with respect to data security and
anonymization
Information on actual trade transactions is highly sensible business data.
Hence data security and anonymization issues are vital within any future
trade data reporting scheme.
Encryption of historical trade date in the pilot project.
Concerns if trade data is in private hands as this might trigger potential
conflicts of interest.
Concerns if trade data is in hands of trade repositories outside the EU.
Rules have to be developed for data access on a national and European
level but also for financial and energy regulators as well as competition
authorities.
Recommendations
Publication
The publication of aggregated and time-delayed trade data to the market
should be considered when implementing a central data reporting and
monitoring scheme in the EU.
Academics should have access to historic anonymous trade data “on
demand” in order to enhance scientific research
Confidentiality of data (e.g. counterparty information) needs to be
maintained at all times.
Publications might also complement monitoring tasks by regulators and
support market transparency.
Recommendations
Governance Issues
To ensure the management of a European reporting and monitoring scheme
proper governance rules have to be in place. It is recommended to install
an advisory group consisting of relevant stakeholders that has to be
consulted in case of any changes to issues such as IT, communication or
reporting standards.
ACER to have a working group with regulators and market participants
defining those standards
Open Issues
•
Harmonization of reporting standards from European Energy Regulators
and Financial Market Authorities
• To do for ERGEG Financial Services WG
•
Coverage of non-standardized trades still needs further clarification
• To do for Final Report on the Pilot Project
Objectives fulfilled
1.
Demonstration of the feasibility of an efficient and cost effective
standardized trade data collection, storage and monitoring scheme

2.
Recommendations for a future European trade data reporting and
monitoring scheme on issues such as data field definition
standardization, communication interfaces, transaction data
anonymization, secure data access and data publication

3.
Development of a concept and examples for analyses of trade (and
other relevant) data for market monitoring purposes including potential
market abuse

4.
Development of a concept and representative examples for statistical
analyses of trade data

REMIT
• Recommendations of the pilot project are to a large extent satisfied
by the current draft of the REMIT proposal from the Commission,
particularly
•
•
•
•
•
•
•
Sector-specific market abuse regime
Central reporting of trade data at EU level
Provision of fundamental data foreseen
Data security aspects included
Cooperation of competent authorities
Publication of aggregated data foreseen
Governance to be defined by ACER
• More detailed rules to be defined in secondary legislation.
• But: Obstacles through development in EU financial market
legislation (EMIR, MiFID) and their interactions with REMIT.
Outlook: A potential future
regulatory landscape
European Regulator(s)
National level
EU level
Trade data
Fundamental data
Monitoring
Analysis
Trade database
National
Regulator(s) I
Transparency
purposes
Cooperation
Monitoring
Market Surveillance
at trading venue I
Monitoring
Exchange (and clearing) data
National
Regulator(s) II
Monitoring
Cooperation
Market Surveillance
at trading venue II
Monitoring
Exchange (and clearing) data
Next steps
•
Prepare final report and finalize the proof of concept phase for the data
analysis with Scila surveillance software to develop further surveillance
routines
•
Presentation, discussion and approval in FIS WG
•
Dissemination of results of pilot project
• Commission services DG Energy and DG Market
• ESMA and financial regulators
• EFET, LEBA, EuroPEX
• Public
•
Potential follow up projects?