全球智库信息集成服务系统(G2TT): Redefining the Convenience Yield in the North Sea Crude Oil Market

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来源类型	Papers
规范类型	报告
	Redefining the Convenience Yield in the North Sea Crude Oil Market
	F. Caumon; J. Bower
发表日期	2004-07-01
出版年	2004
页码	19
语种	英语
概述	Despite falling production volumes and recent modifications to the way it is traded and prices reported, Brent crude oil produced in the North Sea remains the dominant marker grade for most of the crude oil produced and consumed outside of the Americas. This paper derives from a fundamental observation made by Paul Horsnell and Robert […]
摘要	Despite falling production volumes and recent modifications to the way it is traded and prices reported, Brent crude oil produced in the North Sea remains the dominant marker grade for most of the crude oil produced and consumed outside of the Americas. This paper derives from a fundamental observation made by Paul Horsnell and Robert Mabro1 which is that 80% of the physical, so called, dated Brent cargoes traded are still to be loaded at the time of the transaction. From its inception, the logistics of the Brent market meant that there was an average gap of roughly thirteen days between a dated Brent contract agreement being made and the first day of the three-day date range when the parcel of oil is to be loaded on to the vessel. Recent contract reforms now mean the gap has been extended to an average gap of 17 days. This is not the case, for example, in the market for West Texas Intermediate (WTI) which is the dominant crude oil marker grade for the Americas. Spot WTI is traded for immediate delivery. Given the importance of dated Brent crude as a marker, this observation has an important impact on the way we represent the term structure of spot and forward prices of Brent crude. Horsnell and Mabro did not develop their observation further but it has implications for the classical formulation of convenience yield and the theory of storage in relation to the North Sea oil market.
主题	Country and Regional Studies ; Energy Economics ; Finance ; Oil ; Oil & Middle East Programme
关键词	Arbitrage Brent Convenience Yield Futures Contracts Oil Markets Option Pricing Theory The North Sea Theory of Storage WPM 28 WPM28 WTI
URL	https://www.oxfordenergy.org/publications/redefining-the-convenience-yield-in-the-north-sea-crude-oil-market/
来源智库	Oxford Institute for Energy Studies (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/312049
推荐引用方式 GB/T 7714	F. Caumon,J. Bower. Redefining the Convenience Yield in the North Sea Crude Oil Market. 2004.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
WPM28-RedefiningtheC（145KB）	智库出版物		限制开放	CC BY-NC-SA	浏览