THE ICE BRENT INDEX - Methodology

Oct 12, 2026

Uploaded by Mary Man

The ICE Brent Index defines the cash settlement price for the ICE Brent Futures on expiry day, based on an average derived from Reference Quality Crude Oil trading in the relevant delivery month. Only published full cargo-size (700,000 barrels) trades and assessments are used. The Index is calculated as an average across five intraday sampling points, combining volume-weighted minute markers, full-cargo EFP and spread trades, independent assessments, and qualifying first-month trade contributions with specific cut-off rules.

LanguageEnglish

CategoryGeneral

FormatPDF

Pages5

Reading Time2 min

AccessFree to download

Calculation

Intraday sampling points

Volume-weighted minute markers

EFP and spread trades

Independent assessments and fallback rules

First month reference quality trades

The ICE Brent Index May 2026 © Copyright Intercontinental Exchange, Inc. 2026. All Rights Reserved. THE ICE BRENT INDEX The cash settlement price for the ICE Brent Future is based on the ICE Brent Index (‘the Index’) on expiry day for the relevant ICE Brent Futures contract month. The Index represents the average price of trading in the Reference Quality Crude Oil 1 market in the relevant delivery month as reported and confirmed by the industry media 2 . Only published full cargo-size (700,000 barrels) trades and assessments are taken into consideration in the calculation. Calculation The ICE Brent Index is calculated as the average of the values derived for each of the five intraday sampling points. Each of those values is derived, at each sampling point, by averaging: 1) The volume-weighted minute marker3 for the second month ICE Brent Futures contract at the sampling point, plus the weighted average value of full-cargo second month EFP4 trades, plus the weighted average of full-cargo spread trades (between first and second months) in the Reference Quality Crude Oil market, in the 30-minute period concluding at the sampling point in question; and 2) that same volume-weighted minute marker plus the sum of the straight averages of the independent assessment(s) specified in the Index methodology for the second month EFP value plus the spread between the first- and second-month Reference Quality Crude Oil assessments at the sampling point; and 3) a weighted average of full-cargo first month Reference Quality Crude Oil trades (if any) in the 5-minute period concluding at the sampling point in question. Should trades occur in only one of the component markets of section 1 above, the missing trade derived value will be replaced in the calculation above by an independent assessment of that component market at that time, but only where no trade in that component market has occurred. Should trades occur in neither component market during the 30-minute period in question, then the value for that sampling point will be calculated as per paragraphs 2 and 3 only, i.e. , on the basis of independent assessments and any full cash cargoes only. Should no trades occur in component market 3, then the value for that sampling point will be calculated as per paragraph 1 and/or 2 only, i.e. on the basis of independent assessments and/or any EFP and/or spread trade only. 1 As per Rule L.3- “ The Contract shall be referable to crude oil or crude oil blends of current quality permissible for delivery against the prevalent North Sea crude oil benchmark forward contract and/or such other crude oil grades as the Exchange shall from time to time determine having regard to market circumstances (“Reference Quality Crude Oil”) .” The currently determined reference quality is as announced in Circular 22/110 2 As per Rule L.4(c) - “Should forward market prices or a price assessment not be available from reporting services ofa number or nature satisfactory to the Exchange then the Exchange may in its absolute discretion make such change in the method of calculation of the ICE Brent Index as it deems necessary in order to establish what it considers in its absolute discretion to be a representative price.” 3 Described in [https://www.ice.com/report/83](https://www.ice.com/report/83) under ‘Show Methodology’ 4 Described in [https://www.ice.com/publicdocs/futures/IFEU_EFP_EFS_Policy.pdf](https://www.ice.com/publicdocs/futures/IFEU_EFP_EFS_Policy.pdf) 1. VOLUME-WEIGHTED SECOND MONTH MINUTE MARKERS The volume-weighted minute markers for the second month ICE Brent Futures contract are calculated by the Exchange by calculating the volume-weighted average price of trades executed in the ICE Brent Futures second month contract during the relevant period prior to of the five sampling points: 10:30, 12:30, 14:30, 16:30 and 19:305. In addition, each Marker is tradable as follows: | Full Marker Name | Relevant Period | Tradable | | -

FAQs

What does the ICE Brent Index determine for ICE Brent Futures?

It determines the cash settlement price for the ICE Brent Future based on the Index on expiry day for the relevant contract month.

How is the ICE Brent Index calculated across the day?

It is calculated as the average of values derived for five intraday sampling points, each based on specified trade and assessment components.

What trades qualify for inclusion, and what happens if trades are missing?

Only published full cargo-size (700,000 barrels) trades and assessments are considered. If component trades are missing in the relevant period, independent assessments replace the missing derived trade value, following the described fallback rules.

Oct 12, 2026

Uploaded by Mary Man