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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)
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)
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;

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(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.