Introduction
Market Index Data is used in Settlement to calc
ulate a price (expressed in £/MWh) in respect
of each Settlement Period which reflects the price of wholesale electricity in Great Britain for
delivery in respect of that Settlement Period in the short term market in circumstances where
the levels of liquidity in the market during that period are not exceptionally low.
For the avoidance of doubt, any queries on the Market Index Data, Market Index Definition
Statement should be directed to the BSC Service Desk and not to the Market Index Data
Provider.

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1.1
Purpose and Scope of the Market Index Definition Statement
The BSC Panel is required to establish and have
in force at all times, in accordance with
Section T of the Balancing and Settlement Code (the Code), a Market Index Definition
Statement which is approved by the Authority containing details for each Market Index Data
Provider. There is no specification in the Co
de as to the requisite number of Market Index
Data Providers. The Market Index Definition Statement shall be reviewed by BSCCo, on behalf
of the BSC Panel, from time to time and in
any event at least once every 12 months.
The Market Index Definition Statement contains the following information:
(a) Market Index Data Provider details;
(b) full definition of the particular data and
methodology to be used by the Market Index

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Data Provider(s) in determining the Market Index Data for each Settlement Period;
and
(c)
Individual Liquidity Thresholds for each Market Index Data Provider.
1.2
Review Procedure for the Market
Index Definition Statement
The BSC Panel shall review the Market Index Definition Statement at least once every 12
months or sooner if there are any changes in circumstances, or when another Approved
Modification requires amendment to the definition statement. Changes to the Market Index
Definition Statement will be made in accordance with Section T of the Code, and with the
procedure set out in BSCP40 ‘Change Management’.

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In establishing and reviewing the Market Index Definition Statement, the BSC Panel shall:
(a) assess the data previously supplied by
the Market Index Data Provider(s);
(b) consult with Parties and other interested parties; and
(c) provide to the Authority copies of any written representations so made and not
withdrawn.
Following the review process, the amendments to the Market Index Definition Statement,
which have been recommended by the BSC Panel, will be submitted to the Authority for
approval.
Market Index Definition Statement Version 7.0
© ELEXON Limited 2012 Page 6 of 23 1 April 2012
1.3
Main Users of the Market Index Definition Statement
The main users of this Market Index Definition Statement are:
?
Market Index Data Providers;
?
BSC Parties;
?
BSCCo;
?
BSC Panel; and
?
The Authority.
Market Index Definition Statement Version 7.0
© ELEXON Limited 2012 Page 7 of 23 1 April 2012
2.
Acronyms and Definitions
2.1
List of Acronyms
The following is a list of acronyms used in this Market Index Definition Statement:
BMRA Balancing Mechanism Reporting Agent
BSCCo Balancing and Settlement Code Company
MIDP Market Index Data Provider
SAA Settlement Administration Agent
Other acronyms used are defined, where used, in the indivdual methodology statements.
2.2

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List of Definitions
Market Index
Definition Statement
has the meaning given to that term in Section T of the Code;
Individual Liquidity
Threshold
has the meaning given to that term in Section T of the Code;
Market Index Data
Provider
has the meaning given to that term in Section T of the Code;
Market Index Data
means the data to be provided by the Market Index Data Provider(s)
in accordance with the Market Index Definition Statement or, in
relation to a particular Market Index Data Provider, the data to be so
provided by that Market Index Data
Provider, in each case as set out
in Section T of the Code;
Market Index Price
In relation to a Market Index Data Provider and a Settlement Period,
the price data to be provided by that Market Index Data Provider in
accordance with the Market Index Definition Statement or (where
applicable) deemed in accordance with Section T of the Code;
Market Index Volume

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In relation to a Market Index Data Provider and a Settlement Period,
the volume data to be provided by
that Market Index Data Provider in
accordance with the Market Index Definition Statement or (where
applicable) deemed in accordance with Section T of the Code;
qualifying
contract/product
A qualifying contract or product is a contract or product which is
traded on the spot market in the short term and which is eligible for
inclusion in the Market Index Data calculation.
Qualifying contracts or products for each Market Index Data Provider
are defined in the individual methodology statements in this Market
Index Definition Statement;
short term
Short term is defined in Section T of the Code, as no more than 3
Business Days prior to Gate Closure for the relevant Settlement
Period;
time weighting
Trades nearer to Gate Closure will be weighted so these trades have
more influence on the Market Index Data than trades notified earlier;
timebands
are the time periods used for the time weighting, and are as defined
in section 4.4.1 of this Market Index Definition Statement;
product weighting
Products traded nearer to real time are weighted to ensure that they
have a more proportion
ate effect on the Market Index Price than
those products traded earlier thus making the Market Index more
reflective of the price of short term energy and ensuring that
unrepresentative products do not have a disproportionate effect on
the resulting Market Index Data.
Market Index Definition Statement Version 7.0
© ELEXON Limited 2012 Page 8 of 23 1 April 2012
3.
Market Index Data Provider(s)
In respect of each Market Index Data Provider (MIDP) the Market Index Definition Statement
contains the following:
3.1

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Company Data
Each MIDP is required to provide its company details as shown in the forms in Appendix 1 and
Appendix 2.
3.2
Methodology for Derivation of the Market Index Data
Each MIDP is required to derive a Market Index Price and Market Index Volume (referred to as
Market Index Data) for each Settlement Period, for use in the derivation of the Energy
Imbalance Prices. Market Index Data will be calculated by each Market Index Data Provider in
accordance with the methodology statement specific to that Provider (provided for the current
Market Index Data Provider(s) as appendices to
this Market Index Definition Statement).
The methodology statement contains a description of the qualifying products for each MIDP,
the time and product weightings to be applied to these qualifying products, the detailed
calculation for derivation of the Market Index
Data and the mechanism for application of the
Individual Liquidity Threshold.
Market Index Volume (MWh)
Each MIDP is required to provide a Market Index Volume, expressed in MWh, for each
Settlement Period in accordance with the calculations detailed in the methodology statement,
in the relevant Appendix.
Market Index Price (£/MWh) per Settlement Period
Each MIDP is required to provide a Market Index Price, expressed in £/MWh, for each
Settlement Period in accordance with the calculations detailed in the methodology statement,
in the relevant Appendix.
3.3
Individual Liquidity Threshold
The BSC Panel sets each MIDP an Individual Liquidity Threshold for each Settlement Period.
For the avoidance of doubt, if the Market Index Volume is less than the Individual Liquidity
Threshold then the Market Index Volume will be reported as zero.
3.3.1
Long and short day
For the avoidance of doubt, the following describe
s the rules to be applied by each MIDP to its
Individual Liquidity Thresholds on clock change Settlement Days (long and short days).
Unless the Individual Liquidity Thresholds relati
ng to a specific clock change day have been
notified to each MIDP by BSCCo, then, where an Individual Liquidity Threshold is defined for a
range of days that span a ‘long’ or ‘short’
day, the following rules will be applied:
(a)

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For a ‘short’ day, having 46 Settlement Periods (i.e. the spring clock change when
1am GMT changes to 2am BST);
Market Index Definition Statement Version 7.0
© ELEXON Limited 2012 Page 9 of 23 1 April 2012
(i) Settlement Periods 1 to 2 (00:00 to
01:00 GMT) of the ‘short’ day take
the values of Settlement Periods 1 to 2 (00:00 to 01:00 local time) of the
‘normal’ day data;
(ii) Settlement Periods 3 to 46 (02:00 to 24:00 BST) of the ‘short’ day take
the values of Settlement Periods 5 to 48 (02:00 to 24:00 local time) of
the ‘normal’ day data;
(iii) Settlement Periods 3 and 4 of the ‘normal’ day data are not used on a
short day.
(b)
For a ‘long’ day, having 50
Settlement Periods (i.e. the autumn clock change when
2am BST changes to 1am GMT):
(i) Settlement Periods 1 to 4 (00:00 to
02:00 BST) of the ‘long’ day take the
values of Settlement Periods 1 to 4 (00:00 to 02:00 local time) of the
‘normal’ day data;
(ii) Settlement Periods 5 to 6 (01:00 to 02:00 GMT) of the ‘long’ day take the
values of Settlement Periods 3 to 4 (01:00 to 02:00 local time) of the
‘normal’ day data;
(iii) Settlement Periods 7 to 50 (02:00 to 24:00 GMT) of the ‘long’ day take
the values of Settlement Periods 5 to
48 (02:00 to 24:00 local time) of
the ‘normal’ day data.
Market Index Definition Statement Version 7.0
© ELEXON Limited 2012 Page 10 of 23 1 April 2012
4.
Individual Liquidity Threshol
ds, Weightings and Timebands
The following sections list the principles that were applied in determining the Individual
Liquidity Thresholds, and how these thresholds should be reviewed, and the weightings to be
applied to different products. These principles were derived from the responses received from
the first consultation and the two meetings of the Expert Group. Timebands have also been
included.
4.1
Principles to be applied in settin
g Individual Liquidity Thresholds
(a)
Individual Liquidity Thresholds should be set to the same value(s) for every MIDP;
(b)
Individual Liquidity Thresholds may be set to zero;
(c)
Individual Liquidity Thresholds may be set to different values for different Settlement
Periods in the day and may va
ry by Season or Day Type;
(d)
Individual Liquidity Thresholds should be set based on the analysis of historic data;
(e)

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Individual Liquidity Thresholds should be se
t at a level that minimises the likelihood
that the Market Index Price will
be set by a single trade;
(f)
Individual Liquidity Thresholds should be set to ensure that the Market Index Price is
defaulted in the minimum number of Settlement Periods, subject to (e) above.
4.2
Principles to be applied in setting product and time weighting values
(a)
Weightings should be applied to the components that make up the Market Index
Price;
(b)
Weightings should not be applied to the Market Index Volume and should not be used
in determining whether the traded volume
meets the Liquidity Threshold for the half
hour;
(c)
Weightings may be applied to reflect how close to real time a trade was made
(timeband weighting);
(d)
Weightings may be applied to the product or contract types which qualify in the index
calculation (ie those which are traded in the short term as defined in the BSC);
(e)
The same weightings must be applied to equivalent qualifying products and timebands
across all MIDPs (eg 4 Hour blocks, Half Hour blocks);
(f)
Weightings may be set to ensure that the Market Index Price is reflective of the price
of trades as close as possible to gate closure;
(g)
Weightings may be set to minimise the flattening effect on the Market Index Price of
including traded products used in the methodology that have one price for a time
period longer than one Settlement Period;
(h)
Weightings may take values from 0 to 1;
(i)
Where a weighting is set to 0, the weighting
is effectively null, trades in the related
product type and timeband will be excluded from the Market Index Volume (and
Price) calculation.

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