SUBSCRIBER NOTE: Platts to change Brent Frontline Swaps calculation on Sep 1

Platts will change its calculation for Brent Frontline Swaps from September 1, 2015. This follows the adoption of the month-ahead standards by ICE for the March 2016 contract onwards. The month-ahead standards were implemented by the physical market in March 2015.

Platts will maintain its current published methodology for calculating Brent Frontline Swaps, but will update the calculation method to reflect the impact of the changes to ICE Brent expiry.

Under current methodology, Platts calculates daily Brent frontline swaps using mean adjusted values for the number of trading days that each futures contract spends as the front month (with the exception of the front month's expiry date). This is done by calculating the exact number of trading days within each month, which will vary according to the calendar month.

Under new expiry rules, the ICE Brent Futures contract will expire on the last working day of each month. As a result, Platts proposes to continue to calculate daily Brent Frontline Swaps based on the number of trading days that each futures contract spends as the front month, with the exception of the last working day of the month (the front month's expiry date).

As a result, the typical weighting of any given Brent Frontline Swap will alter, with the weighting given to the front month ICE Brent Futures contract increasing, and the weighting given to the second month decreasing.

For example, in February 2016, the front month ICE Brent Futures contract will be April, and this contract will expire on February 29. There are 21 trading days in February 2016.

The February Brent Frontline Swap will therefore consist of 20 days of the April ICE Brent Futures contract, and one day of the May ICE Brent Futures contract for February 29 (the April contract's expiry date).

Please send any feedback, comments and queries to europe_crude@platts.com and pricegroup@platts.com.

For written comments, please provide a clear indication if comments are not intended for publication by Platts for public viewing.

Platts will consider all comments received and will make comments not marked as confidential available upon request.