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| ANR Pipeline Co. Oklahoma Basis Swap Futures (Platts IFERC) |
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ANR Pipeline Co., a subsidiary of El Paso Corp., operates one of the nation's largest interstate natural gas pipeline systems. ANR provides storage, transportation, and various capacity-related services to customers in the United States and Canada. Through its approximately 10,600 miles of pipeline, ANR delivers more than 1 trillion cubic feet of natural gas annually. Prices for mainline deliveries to ANR at its Midcontinent pool are based on the company's Oklahoma pricing point.
The volatility of natural gas prices has given rise to a basis market that is quoted as a differential to the price of the New York Mercantile Exchange, Inc., Henry Hub natural gas futures contract, which has evolved into the benchmark for forward natural gas markets industry-wide because of its liquidity and transparency.
To better help market participants offset their price risk in this major market center, the Exchange provides an ANR Pipeline Co. Oklahoma basis swap futures contract. The final settlement is calculated as Platts Inside FERC's Gas Market Report ANR Pipeline Co. Oklahoma index minus the NYMEX Division Henry Hub natural gas futures contract final settlement price for the corresponding contract month. Platts Inside FERC calculates the index price from its monthly bid week survey.
The lot size of 2,500 million Btus represents a commonly traded market unit and is one-quarter the size of the Henry Hub futures contract, giving market participants additional flexibility in managing price risk. The contract must be traded in a multiple of the number of calendar days in the month.
All positions will be aggregated and margined according to the value at risk as calculated by the SPAN® system. Cross margining of offsetting positions across markets can result in reduced margin obligations.
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