The Canadian Crude Oil Index (CCI) serves as a
benchmark for
oil produced in Canada.
[http://boereport.com/2016/01/04/auspice-capital-advisors-launches-first-live-index-tied-to-canadian-crude-oil/, http://boereport.com/2016/01/04/auspice-capital-advisors-launches-first-live-index-tied-to-canadian-crude-oil/] It allows investors to track the price, risk, and
volatility of the Canadian commodity.
The CCI was launched by Auspice Capital Advisors in 2014.
https://hfm.global/ctaintelligence/news/proshares-launches-managed-futures-etf-2/ The Index moved from a day end posting to live in January 2016.
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.
http://content.auspicecapital.com/AuspiceCCIFactSheet2015.pdf
Currently,
Western Canada, western Canadian oil trades at a discount to WTI. Western Canadian Oil from the
Athabasca tar sands is a heavier blend and more difficult to refine. This, as well as its landlocked location and transportation constraints, contribute to the discount.
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.
Other
heavy sour crudes, like the Mexican Maya blend, currently trade at a premium to WTI.
, http://www.energy.alberta.ca/OilSands/pdfs/20130113_Fact_sheet-heavy_oil_prices_-_FINAL.pdf
The CCI targets an exposure that represents a three-month rolling position in crude oil.
http://static1.squarespace.com/static/53a1ca9ce4b030ded763dbc2/t/55260223e4b0805894981ebb/1428554275298/Canadian+Crude+Excess+Return+Index+Methodology+3.0.1.pdf 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.
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
The New York Stock Exchange (NYSE, nicknamed "The Big Board") is an American stock exchange in the Financial District of Lower Manhattan in New York City. It is by far the world's largest stock exchange by market capitalization of its liste ...
Global Index Group, based on daily returns of prices published by
ICE Futures Europe.
References
Economy of Canada
Commodity price indices
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