The Auspice Commodity Indices capture the risk and return profiles of unique commodity markets such as Canadian Natural Gas and Canadian Crude Oil. They represent investable benchmarks in commodities that were previously inaccessible to retail investors.
Canadian Crude IndexTM
CCI™ represents a simple, transparent and liquid fixed price benchmark for heavy-sour oil, referred to as Western Canadian Select (WCS), that is produced in Canada.
The CCI is priced in USD and is calculated as the sum of WTI price and the WCS differential price (WCS currently trades at a discount to WTI).
CCI = WTI + WCS
Example using the 3 month weighted average prices from the table below:
$26.20 = $66.25 + ($41.75)
The CCI Reference Price (CDNCRUDE) and the CCI Excess Return Index (CCIER) are based on a rolling 3 month weighted average of WTI and WCS prices based on the weights in the table below.
|CCITM Reference Price|
The CCI™ Reference Price represents the fixed price in USD for the contracts that comprise the CCI™.
|CCITM Excess Return Index|
The CCI™ Excess Return Index reflects the returns that an investor would expect to receive from holding and rolling the contracts that comprise the CCI™.
|Current CCITM Weightings|
* The WCS price is the mid-market price of the ICE TDX futures contracts at 14:30 ET.
The CCI Excess Return Index is the benchmark for the CCX ETF, the only publicly traded product with direct exposure to Canadian WCS Oil.
KEY POINTS ABOUT THE CCI™
Priced in USD per barrel.
It accurately reflects the commodity price, risk and volatility of heavy-sour Canadian oil.
The price of CCI™ regularly disconnects from WTI. See Chart #4 below.
CCI™ represents a rolling 3 month exposure to take advantage of liquidity and minimize transaction costs (see Weightings and Index Calculation Historical Data).
ABOUT CANADIAN OIL
Canada has the third largest oil reserves in the world (CAPP, 2014). Over 90% of these reserves are located in Western Canada (IHS CERA, 2013) and are some of the most reliable sources of oil in the world.
Western Canadian Select (WCS) is the dominant grade for heavy sour physical crude oil in Alberta (Alberta Energy, 2013). Currently, WCS trades at a discounted price to Western Texas Intermediate (WTI). See Chart #2 above.
The landlocked location and transportation constraints contribute to the WCS price discount. As the seventh biggest producer globally, efforts are being made to find alternative transportation mechanisms.
Increased accessibility to global markets could increase the demand of WCS. Other heavy sour crudes, like the Maya (Mexico) blend (Alberta Government, 2013), currently trade at a premium to the WTI.
Why CCI™ matters?
The CCI™ gives investors a tool to better understand Canadian Crude Oil price. Prior to this it was almost impossible for a retail investor to get this type of transparency.
What can CCI™ be used for?
The CCI™ was created to provide a fixed price reference for Canadian Crude Oil and provide a transparent index to serve as a benchmark to build investable products upon.
To track the price of Canadian Crude oil without the equity market risks associated with buying specific resource equities (oil stocks).
To speculate on the differential between Canadian Crude and WTI. With changes in transportation, greater transparency and a new benchmark, Canadian crude could end up trading at a premium.
The CCI™ can be licensed to create third party investment products or benchmarks.
How to Invest?
Canadian Natural Gas Index
The Canadian Natural Gas Excess Return Index tracks the price of natural gas produced in Canada.
It represents a 3 month rolling exposure for gas for delivery on the TransCanada Mainline (AECO/NIT) in Alberta.
|CGITM Reference Price|
The CGI™ Reference Price represents the fixed price in USD for the contracts that comprise the CGI™.
|CGITM Excess Return Index|
The CGI™ Excess Return Index reflects the returns that an investor would expect to receive from holding and rolling the contracts that comprise the CGI™.
KEY POINTS ABOUT THE CGI
Priced in USD per mmBTU, for gas for delivery on the TransCanada Mainline (AECO/NIT) in Alberta.
Accurately reflects the commodity price, risk and volatility of Canadian natural gas.
The price of CGI regularly disconnects from Henry Hub. See Chart #4 below.
CGI represents a rolling 3 month exposure to take advantage of liquidity and minimize transaction costs.
About CANADIAN NATURAL GAS
Critically important to both Canadian domestic marketplace and the massive US market. Is the largest foreign source of gas to the US.
Canadian gas accounts for approximately 20% of total North American production, and of that, roughly 80% is produced in Alberta.
Until now there was no way to participate directly as a “pure play” into the Canadian natural gas commodity.
As the cleanest burning fossil fuel, and easy to transport, it is one of the most important commodities given its value spanning residential, commercial, and industrial uses.
It is a key fuel in the extraction process for the Canadian Oil Sands and in the generation of Electricity.
WHY THE CGI MATTERS
Until now, there is no way for non-wholesale investors to identify and use investment products that participate directly in Canadian natural gas.
CGI trades at a discount (Chart 4), is more volatile, and has a highly variable correlation to benchmarks creating trading opportunities.
The CGI can be used to identify opportunities to speculate outright on the price of Canadian natural gas or in conjunction with the Henry Hub (US gas) to put on a spread trade which could represent the differential between the two. See Chart 4.
The CGI can be licensed to create exchange traded products which will track the unique price of Canadian natural gas.