Platts to update WTI frontline derivatives to include expiration day futures

Platts, a part of S&P Global Commodity Insights, will use the prompt-month futures contract up to and including expiration day for the WTI frontline derivatives, effective Nov. 1, 2022.

Platts publishes calendar-month derivatives that settle against the NYMEX light sweet crude futures contract. Currently Platts determines the value using whichever futures contract is most prompt on each day, except on expiration day, when the second-month contract is used.

The change to use the first-month contract on expiration day for the WTI frontline derivatives will bring it in line with the WTI Financial Futures, which includes the settlement day.

This change affects the WTI frontline derivatives that are published at the London and US closes. All other WTI assessments, including Platts' assessments of crude futures values at the close, will be unchanged.

For example, the September WTI frontline is made of October and November WTI futures. The October futures contract expires Sept. 20. Platts currently calculates the September WTI frontline with Sept. 20 as a November futures value, and would be valuing Sep. 20 using October futures.

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