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, 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.[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]