Abstract
We examine the observed response of Brent futures to the unregulated spot Dated Brent benchmark published by Platts. Trading activity in the futures market intensifies during the benchmark assessment. We also find directional trading in Brent futures during the benchmark price assessment window. Aligned positions and a substantially increased arrival rate of informed traders suggest that the price run-up in Brent futures, ahead of the Dated Brent publication, is induced by informed traders, able to realize an average return of up to 21 bps. Our findings underline the significance of physical commodity benchmarks as critical elements of the financial market infrastructure.
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