New York Mercantile Exchange Announces Change To Brent Settlement Basis

The New York Mercantile Exchange, Inc., today announced that it will change the basis for the final settlement for the Brent futures contract to an index of cash market data collected by Energy Argus, ICIS–LOR, and Reuters beginning with the expiration of the January futures contract on December 16.

The revised index, which will take the place of the Platts index currently used, will be based on cash market information collected during the regular trading hours of the Brent futures contract from 10:00 AM to 7:30 PM, London/Dublin time, averaging the following three components:

Weighted Average of front-month 21–day Brent–Forties–Oseberg (BFO) cash market transactions: prices on market transactions for Brent cargoes and partial cargoes for the front-month, the same contract-month which is terminating trading in the futures market.

Implied front–month price based on spread trading between the first and second months forward: an implied weighted average front–month price based on cash BFO transactions for the second–month forward and spreads between the front-month and second-month cash BFO.

Price indications of front–month cash BFO: periodic price assessments of front-month prices for 21–day cash BFO based on the transaction information and best bids and offers in the marketplace.

Exchange President James E. Newsome said, "This new method will result in more comprehensive input into the final settlement, while maintaining a transparent process."