Canadian Crude Oil Price Index Methodology

Transcription

1 Canadian Crude Oil Price Index Methodology (Enerdata) is an independent Price Reporting Agency (PRA) and energy information firm established in The company conducts crude oil, natural gas and NGL pricing surveys and calculates and publishes various price indices. Canadian Crude Oil Price Indices Canadian Consolidated Index Products ( CCI ) Indices are calculated for a wide range of Canadian crude oil products for Daily ( 1D ) and Monthly ( 1M ). A complete list and description of these products appears at the end of this document. Index Period Index hours are 7 AM MT to 4 PM MT. In general, for each crude oil index product there are three index periods as follows: 1. CCI 1M - The first trading day of the month prior to delivery until the last day before the first Notice of Shipments (NOS)* date for the delivery month, inclusive. 2. CCI 1D - Daily index for each trading day of the month. The CCI 1M and CCI 1C indices are expressed as a differential to the Calendar Month Average (CMA) of the NYMEX Light Sweet Crude Oil futures settlement price. * The official Notice of Shipment - NOS dates as published by Enbridge Pipeline. Source Data Enerdata obtains daily trade data from Marex Spectron and One Exchange (participating brokers) to calculate the Price Indices. The trade data will include all consummated transactions for the relevant products during the Index Hours and over the Index Period. The trade data file contains the following fields: Product Name Name of the product, pipeline, location. Date/Time - The date and time of the Transaction that will be included in the generation of the Price Indices. Trade ID The unique identifier of the trade. Price - The price agreed to in the Transaction that will be included in the generation of the Price Indices. Daily Contract Quantity - The daily delivery quantity of energy agreed to in the Transaction that will be included in the generation of the Price Indices. Please note that the trade data file does not include counterparty information. Calculation Methodology 1. Volume Weighted Average (CCI 1M): The volume weighted average price over the Index Period is calculated using the following methodology: 1

2 a) Multiply the Transaction price by the Transaction quantity (in cubic metres, M3) for each trade in the trade data file. b) Sum the product(s) achieved in step (a). c) Sum the Transaction quantity for each trade in the source data file. d) Divide the sum from step (b) by the sum from step (c). Volume Weighted Average Price = Sum (Price x Quantity)/Sum (Quantity) The weighted average prices are calculated for the respective Index Periods by Enerdata and subsequently cross- checked against a manual calculation for accuracy. Once verified, the weighted average prices are used in the generation of the Price Indices. 2. Daily Weighted Average (CCI 1D): The daily weighted average price over the Index Period is calculated using the following methodology: a) Calculate the volume- weighted average prices for each Trading day over the Index Period. b) Sum the numbers calculated in volume (a). c) Sum the number of days in the Index Period. d) Divide (b) by (c). Daily Weighted Average Price = Sum (Daily Volume Weighted Average Prices)/Sum (Number of days). Conversion Factors Enerdata uses the Heavy conversion factor ( ) for CCI Heavy Products in the CCI Report to convert volumes between M3 and BBL, and the Standard conversion factor ( ) for Non- Heavy products to convert volumes between M3 and BBL. Price Assessments In the event that no transactions are reported for a product on a given trading day, Enerdata will make a determination of the Daily Weighted Average Price. Such price assessments are arrived at by Enerdata using market information such as bids and offers, settlement prices, prices at comparable locations and information obtained from informed market participants. Methodology Revisions/Changes Enerdata is entitled to amend this methodology in such manner and with such notice to any person, including Users, as it may determine in its sole discretion. Publication of Price Indices Enerdata will publish the Price Index data to participating brokers. Limits of Liability Neither Enerdata, nor its agents, directors, officers and employees shall be liable for any losses, costs or expenses arising from any matter relating to the calculation, methodology, compilation, or publication of any Price Index which are compiled or calculated by Enerdata and which are used for the settlement of any Transaction. Neither Enerdata nor its agents, directors, officers 2

3 and employees shall, under any circumstances, be liable for errors or deficiencies in the calculation, methodology of calculation or publication of any Price Index nor shall Enerdata be obligated to provide notice of, or publish, errors in any of such Price Index in any manner. NFX (C.C.I.) Basis and Financial Futures Nasdaq Futures Inc. (NFX) lists the following basis and financial futures contracts: NFX (C.C.I.) Canadian Condensate (C5) Basis Futures (NC5) NFX (C.C.I.) Canadian Condensate (C5) Financial Futures (CCFQ) NFX (C.C.I.) Canadian Light Sweet Crude Oil Basis Futures (NSW) NFX (C.C.I.) Canadian Light Sweet Crude Oil Financial Futures (CSWQ) NFX (C.C.I.) Canadian Light Sour Blend Crude Oil Basis Futures (NSR) NFX (C.C.I.) Canadian Light Sour Blend Crude Oil Financial Futures (CSDQ) NFX (C.C.I.) Canadian Synthetic Sweet Crude Oil Basis Futures (NSP) NFX (C.C.I.) Canadian Synthetic Sweet Crude Oil Financial Futures (CSNQ) NFX (C.C.I.) Western Canadian Select Crude Oil Basis Futures (NWC) NFX (C.C.I.) Western Canadian Select Crude Oil Financial Futures (CHYQ) These contracts settle on the respective Enerdata CCI indices for the crude oil products as follows: NFX CCI Basis/Futures Contract CCI Products Included Location Feeder Pipeline Condensate Blend (C5- CRW) Fort Saskatchewan Condensate (C5- FSPL) Canadian Condensate C5 C5- All Peace Condensate (C5- PCE) Peace Condensate Namao (C5- PCE NAMAO (CDH)) Pembina Condensate (C5- PEM) Canadian Light Sour Blend LSB Light Sour Blend (LSB) Enbridge Light Sweet (SW- ENB) Federated Light Sweet (SW- FED) Canadian Light Sweet Crude SW Peace Light Sweet (SW- PCE) Pembina Light Sweet (SW- PEM) Mixed Sweet Blend (SW- MSW) Syncrude Sweet Premium Canadian Synthetic Sweet SSP (SSP) Crude Western Canadian Select WCS Western Canadian Select (WCS) Namao Cromer Hardisty Enbridge Southern Lights, Plains Rangeland, Wizard Lake, Cochin Plains Fort Saskatchewan Peace Peace Pembina Source), Tundra, TEML Westspur Source) Federated Peace Pembina Pembina Bonnie Glen, Plains Rangeland Source), Pembina Alberta Oil Sands, Trans Mountain Source), Husky 3

4 Additional CCI Index Products CCI Index Name AHS AHS/WCS AWB AWB (X- App)/CDB (x- app) AWB/CDB AWB/WCS Bak SW- BL Bak SW- JoCo Bak SW- Ramberg Bak SW- Stan BAKK BAKK BAKK Bakk SW FOB BNSF Bakken Sweet Field Blend BR NORTH BR NORTH/WCS BR SOUTH BR SOUTH/WCS C5- ALL C5- CRW C5- CRW/C5- PCE C5- FSPL C5- FSPL/C5- CRW C5- FSPL/C5- PCE C5- FSPL/C5- PCE NAM C5- FSPL/C5- PEM C5- PCE C5- PCE NAM- X APP C5- PCE NAMAO (CDH) C5- PCE Total C5- PCE- X APP C5- PCE/C5- PEM C5- PEM CAL CDB Description Albian Heavy Synthetic Albian Heavy Synthetic/Western Canadian Select Swap Access Western Blend Access Western Blend (X- App)/Christina Dilbit Blend Swap (X- App) Access Western Blend/Christina Dilbit Blend Swap Access Western Blend/Western Canadian Select Swap Bakken Sweet Beaver Lodge Bakken Sweet Johnson County Bakken Sweet Ramberg Bakken Sweet Stanley Bakken Sweet Dore Bakken Sweet Epping Bakken Sweet Sav Bakken Sweet FOB BNSF Bakken Sweet Total Bakken Heavy Blend US Gulf Coast Bow River North Bow River North/Western Canadian Select Swap Bow River South Bow River South/Western Canadian Select Swap Condensate Total Condensate Blend Condensate Blend/Condensate Peace Swap Condensate Fort Saskachewan Condensate FSPL/Condensate Blend Swap Condensate FSPL/Condensate Peace Swap Condensate FSPL/Condensate Peace CDH Swap Condensate FSPL/Condensate Pembina Swap Condensate Peace Condensate Peace CDH X- APP Condensate Peace CDH Condensate Peace Total Condensate Peace X- APP Condensate Peace/Condensate Pembina Swap Condensate Pembina Central Alberta Light Christina Dilbit Blend Christina Dilbit Blend US Gulf Coast 4

5 CDB EIL CDB X- APP CDB/WCS EIL FH FH/WCS HDB HDB/WCS HLT LLB LLB/WCS LLK LLK/WCS LS- CNS LSB LSO LT LT (WTI) LT MID MSB PSO PSY PSY/SSP SC SH (RBW) SHB SHB/WCS SSP SSP & SYN SW Christina Dilbit Blend Enbridge In- Line Christina Dilbit Blend X- APP Christina Dilbit Blend/Western Canadian Select Swap Conventional Heavy Conventional Heavy /Western Canadian Select Swap Cold Lake Cushing Cold Lake Cold Lake Enbridge In- Line Cold Lake /Western Canadian Select Swap Cold Lake Hardisty Cold LakeHardisty/Western Canadian Select Swap Cold Lake Patinka Cold Lake US Gulf Coast Cold Lake Wood River Fosterton Heavy Fosterton Heavy/Western Canadian Select Swap Hardisty Dilbit Blend Hardisty Dilbit Blend/Western Canadian Select Swap Hardisty Light Lloydminster Blend Lloydminster Blend/Western Canadian Select Swap Lloydminster Blend Kerrobert Lloydminster Blend Kerrobert/Western Canadian Select Swap CNRL Light Sweet Synthetic Light Sour Blend Light Sour Light Sweet Guernsey Light Sweet Guernsey WTI Light Sweet Wood River Midale Medium Sour Blend Peace Sour Premium Synthetic Premium Synthetic/Syncrude Sweet Premium Swap Smiley Colville Seal Heavy Rainbow Surmont Heavy Blend Surmont Heavy Blend/Western Canadian Select Swap Syncrude Sweet Premium Syncrude Sweet Premium/Syncrude Sweet Blend Sweet 5

6 SW MSY SW MSY/SW MSW SW MSY/SW PCE SW MSY/SW PEM SW PCE/SW MSW SW- PCE/SW- RBW SW- PEM/SW- RBW SYN SYN/SSP UHC WCB WCB/BR- N WCB/WCS WCS WCS EIL WDB WDB/WCS WH/WCS Sweet Hardisty Sweet Light Smiley Sweet Light Smiley/Sweet Mixed Blend Swap Sweet Light Smiley/Sweet Peace Swap Sweet Light Smiley/Sweet Pembina Swap Sweet Peace/Sweet Mixed Blend Swap Sweet Peace/Sweet Rainbow Swap Sweet Pembina/Sweet Raindow Swap Syncrude Sweet Blend Syncrude Sweet Blend US High Sweet at Clearbrook, Minnesota US High Sweet at Cromer Western Canadian Blend Western Canadian Blend/Bow River North Swap Western Canadian Blend/Western Canadian Select Swap Western Canadian Select Western Canadian Select Cushing Western Canadian Select US Gulf Coast Western Canadian Select Enbridge In- Line Western Canada Dilbit Western Canada Dilbit US Gulf Coat Western Canada Dilbit/Western Canadian Select Swap Wabasca Heavy/Western Canadian Select Swap Please direct any questions or comments to: Richard Zarzeczny, President richardz@enerdata.com Tel: Cell: