Canadian Natural Gas Index
CGI™ represents a simple, transparent and liquid fixed price benchmark for natural gas, referred to as Alberta energy storage facility (AECO), that is produced in Canada.
The CGI is priced in USD and is calculated as the sum of HH price and the AECO differential price (AECO currently trades at a discount to WTI).
CGI = HH + AECO
Example using the 3 month weighted average prices from the table below:
$00.00 = $00.00 + ($00.00)
The CGI Reference Price (CDNGAS) and the CGI Excess Return Index (CNGER) are based on a rolling 3 month weighted average of HH and AECO prices based on the weights in the table below.
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™.
|Current CGITM Weightings|
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.