|
|
 |
 |
 |
| |
|
also see: NYMEX Crude Oil Backwardation/Contango Index
The MBF Alpha Commodities Index (MACI) for crude oil was created to offer investors a way to help mitigate roll risk for an investment in crude oil futures. Advantages provided by the MACI contracts over traditional indexes are the ease of point and click transparency, 60/40 tax treatment for eligible participants, credit risk mitigation, and liquidity from the many NYMEX trading institutions and locals.
The MACI is comprised of ownership in two components: (1) a six-month rolling strip of crude oil futures and (2) a smoothing index, called the Cumulative Roll Differential (CRD). Through a combination of a rolling strip and the CRD, this instrument approaches the true value for an investment in crude oil. The rolling strip consists of six consecutive months of futures contracts. On the first day of trading the index equals the average of the 2nd through 7th month forward NYMEX Crude Oil Futures contracts' settlement prices plus $100. The index will adjust at the close of business the first business day of each calendar month thereafter as follows: subtract the first nearby NYMEX Crude Oil Futures contract settlement price (divided by 6), add the seventh nearby NYMEX Crude Oil Futures contract price (divided by 6), and add the value of the change in the NYMEX Crude Oil Backwardation/Contango (B/C) Index.
The MACI has an initial maturity of three years, with an additional MACI contract listed annually. The contract size is equivalent to 200 barrels of crude oil, 20% of the underlying Light Sweet crude oil contract. The contract rolls in a constant 200 barrel amount. |
|
 |
|