the growth of brent crude oil · s&p gsci brent vs. crude oil (wti) sub-indices 3-year...
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S&P GSCI BRENT VS. CRUDE OIL (WTI)SUB-INDICES 3-YEAR PERFORMANCE
UK & NORWAYBRENT • FORTIES • OSEBERG • EKOFISK • FLOTTA • GULLFAKS
NIGERIA, ANGOLA AND CONGOBONNY LIGHT • BRASS RIVER • EA
ESCRAVOS • FORCADOS • QUA IBOE • CABINDA • HUNGO
MED CRUDESSUEZ BLEND •
ALGERIAN LIGHT • ES-SIDER • BREGA
RUSSIAURALS • SIBERIAN LIGHT
• AZERI LIGHT
WTI/ASCI
THE GROWTH OFBRENT CRUDE OIL
WHAT DOES ICE BRENT, A WATERBORNE OIL CONTRACT, HAVE TO OFFER?
• Deep liquidity for passive and active strategies
• A global benchmark and longevity, less volatile pricing inter-relationships
• An expanding physical base that underscores longevity
• Geographical reach, global footprints
• Diversification benefit with traditional asset classes
• Liquid Brent Options market with 300% annual volume growth
ROLL YIELD CONTRIBUTION* ICE BRENT VS. ICE DOLLARINDEX PERFORMANCE
ICE BRENT AND WTI FORWARD CURVE
theice.com »theice.com/contact »ICE Brent: The World’s Most Liquid Crude Futures Contract »
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ARAB GULF (WEST BOUND SALES)ARAB LIGHT • BURGAN (KUWAIT) •
IRANIAN HEAVY
VIETNAM & AUSTRALIA
COSSACK • BACH HO • MINAS
BRENT
DUBAI
LONG TERM SUCCESS OFICE BRENT FUTURES 1,
6m
80
0k
1990
2010
-15% 95 8079
-10%
-5%
0%
110 95
81
83
5%
10% 125 11085
2011 2012 2013 2014 YTD JAN ‘13 OCT ‘14 OCT ‘18OCT ‘16OCT ‘15 OCT ‘17 OCT ‘19 OCT ‘20
$/bbl $/bbl$
MAY ‘13 SEP ‘13 JAN ‘14 MAY ‘14 SEP ‘14 OCT ‘21
1995 2000 2005 2010 2014 2009
60
100
140
180
2010 20142011 2012 2013
Since March 2012, ICE Brent has been
the world’s largest crude oil futures
contract with annual volume reaching a
record 159 million contracts in 2013 and
market share doubling since 2008.
Supporting the importance of Brent
in the global pricing of crude oil,
commodity indices have increased
their allocation to Brent. Historical
price trends show that Brent is closely
correlated to other international grades
such as LLS, Dubai and Mars.
• Open Interest record of 1,656,691 lots in June 2014
• July 2014 Average Daily Volume in futures and options 827,000 lots, up by 26% year-on-year
v2.2
Data normalized at 100 since 08 September 2009
* Use Bloomberg Generic Rolls Calculation
Brent roll yields contributed over 5% to returns during 2011 and 2013
Feb’s tapering could lead to a stronger U.S. dollar and weaker oil prices
BRENT ROLL YIELD (%) WTI ROLL YIELD (%)ICE BRENT FUTURES (LEFT) DOLLAR INDEX (RIGHT)
S&P GSCI BRENT CRUDE TR S&P GSCI CRUDE OIL (WTI) TRAVERAGE DAILY VOLUME AVERAGE OPEN INTEREST
ICE BRENT ICE WTI
Enhanced Roll minimizes the negative roll yield when the front-end contangoed