SUBSCRIBER NOTE: Platts rolls Brent/WTI Futures spreads on Brent expiry

In line with the move by the ICE exchange to amend the expiry of the ICE Brent Futures contract, Platts has amended the date on which the Platts assessment of Brent/WTI Futures spreads rolls from one monthly contract to the next, effective February 1, 2016.

Platts assesses values daily at 16:30 London time for the monthly contracts for ICE Brent Futures, NYMEX WTI Futures, as well as the spread between the two contracts, which is known as the Brent/WTI Futures spread.

As the ICE Brent Futures and NYMEX WTI contracts expire on different dates, the spread between them was formerly assessed until the expiry of NYMEX WTI, which occurred later than the expiry of ICE Brent Futures.

After the expiry of the front-month NYMEX WTI contract, the Brent/WTI Futures spread published by Platts also expired, or rolled, to the next month's contract.

In line with the transition by ICE to month-ahead expiry for ICE Brent Futures, for the March 2016 contract onwards ICE Brent Futures now expires earlier than at present.

This means that the front month NYMEX WTI contract has no comparable front month ICE Brent Futures contract during most assessments. As such, a front-month Brent/WTI Futures spread which rolled following WTI expiry would have resulted in no front month values being available for most of the month.

Platts has therefore amended the roll for its assessments of Brent/WTI Futures spreads to ICE expiry, rather than WTI expiry. This means the assessments now roll earlier than previously, and front month values for Brent/WTI Futures spreads are now published on all relevant publication days.

This change has no impact on Platts assessments of ICE Brent Futures or NYMEX WTI, which continue to be assessed as per their contract expiry dates.

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