Canadian Crude Index

The Canadian Crude Oil Index (CCI) serves as a benchmark for oil produced in Canada.[1] It allows investors to track the price, risk and volatility of the Canadian commodity.[1]

The CCI was launched by Auspice Capital Advisors in 2014.[2] The Index moved from a day end posting to live in January 2016.[1] The CCI can be used to identify opportunities to speculate outright on the price of Canadian crude oil or in conjunction with West Texas Intermediate (WTI) to put on a spread trade which could represent the differential between the two.[3]

Currently, Canadian oil trades at a discount to WTI. The landlocked location and transportation constraints of crude oil in Western Canadian provinces contribute to this discount.[3] The CCI provides a fixed price reference for Canadian Crude Oil and provides an accessible and transparent index to serve as a benchmark to build investable products upon, and could ultimately increase its demand to global markets.[3] Other heavy sour crudes, like the Mexican Maya blend, currently trade at a premium to WTI.[4]

The CCI targets an exposure that represents a three-month rolling position in crude oil.[5] To create a price representative of Canadian crude the index uses two futures contracts: A fixed price contract, which represents the price of crude oil at Cushing, Oklahoma, and a basis differential contract, which represents the difference in price between Cushing and Canada.[5] Both contracts are priced in U.S. dollars per barrel. Together, these create a fixed price for Canadian crude oil.

The Index value is determined by its third-party calculation and publication agent, the NYSE Global Index Group, based on daily returns of prices published by ICE Futures Europe.[5]

References

  1. 1 2 3 |http://boereport.com/2016/01/04/auspice-capital-advisors-launches-first-live-index-tied-to-canadian-crude-oil/
  2. ↑ |https://hfm.global/ctaintelligence/news/proshares-launches-managed-futures-etf-2/
  3. 1 2 3 |http://content.auspicecapital.com/AuspiceCCIFactSheet2015.pdf
  4. ↑ |http://www.energy.alberta.ca/OilSands/pdfs/20130113_Fact_sheet-heavy_oil_prices_-_FINAL.pdf
  5. 1 2 3 |http://static1.squarespace.com/static/53a1ca9ce4b030ded763dbc2/t/55260223e4b0805894981ebb/1428554275298/Canadian+Crude+Excess+Return+Index+Methodology+3.0.1.pdf
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