SUBSCRIBER NOTE: Platts proposes calculation changes in Brent Frontline Houston swaps calendar

Platts proposes to change its calculation for Brent Frontline Houston Swaps from November 2, 2015.

This follows the adoption of the month-ahead standards by ICE for the March 2016 contract onwards. A change to the calculation method for Frontline Houston swaps would be made for the monthly strips leading up to March 2016 as well.

The month-ahead standards were implemented by the physical market in March 2015.

Platts proposes to update the calculation method in order 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. 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.

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 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). This change would occur in conjunction with the proposed methodology change for the way the Frontline Houston crude swaps are calculated, which would no longer include a particular swap's front-month futures contract expiry date as a trading date for the front-month.

Please send any feedback, comments and queries by August 31, 2015, to americas_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.