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EFP, EFS and Block Trades are not included in the ICE ECX CFI Futures calculation of settlement prices.
Settlement Procedure for ICE ECX CFI Futures
The Unofficial Closing Prices are determined from trades made during the closing period which is a period of time specified by the Directors from time to time. The closing period during which settlement prices are determined is between 16:50:00 – 16:59:59 hours (UK local time).
The Unofficial Closing Price shall be:
(i) Where the total number of lots traded during the closing period is equal to or exceeds 100 lots (or a level determined by the Exchange from time to time), the trade weighted average as detailed below;
(ii) Where the total number of lots traded during the closing period is fewer than 100 lots (or the level determined by the Exchange from time to time), an Unofficial Closing Price will be determined by a designated Market Supervision Official at his discretion as either:
(a) A Quoted Settlement Price (‘QSP’) which is an average of quoted prices for specific contract months provided daily by market participants.
(Where the settlement price so established would be below a final valid bid or above a final valid offer equal to or greater in size than the level determined by the Exchange and made in the closing period, the settlement price shall be the final valid bid or offer of such size closest to the QSP.)
QSPs may be used to interpolate QSPs for those contract months for which no quoted prices are received from market participants or for which no bid or offer quotes are made; or
(b) A price determined by the designated Market Supervision Official taking account of previous business day’s settlement prices, bids and offers, spread values during that ICE Platform trading session, activity in other contracts or groups of contracts, and/or in a related market, and/or other prices that are recorded by the Exchange or any other factors considered relevant.
Trade Weighted Average
The trade weighted average is calculated as follows:
(a) Multiply the number of lots traded at each price by that price;
(b) Add together the resulting aggregate figures;
(c) Divide the total from (b) by the total number of lots traded in (a);
(d) Where such average is an exact half tick, the price will be rounded up.
Official Settlement Price
An Unofficial Settlement Price may be corrected or amended at the discretion of the designated Market Supervision Official. Fifteen minutes after the display of the Unofficial Settlement Prices for a Contract, or the corrected Unofficial Settlement Prices for a Contract, such prices will be displayed as Official Settlement Prices for such Contract. Prices will be displayed on the ICE Platform. The Official Settlement Prices for a Contract will be communicated to ICE Clear Europe by the Exchange forthwith, and will become the Exchange Settlement Prices for such Contract thirty minutes after the closing period.
No amendment to the Official Settlement Price for a Contract may be made without the express approval of the Vice President of Market Operations, or the Vice President of the Compliance Department or their appointed deputies, or other senior Exchange staff.
Official Settlement Prices are available from Quote Vendors, displayed on ICE Futures Europe Platform and the Clearing Processing System (CPS) and used by ICE Clear Europe in the calculation of variation margin in the usual way.
MARKET DATA 
