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| Columbia Gas Transmission Corp. Appalachia (TCO) Basis Swap Futures (Platts IFERC) |
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Columbia Gas Transmission moves an average of more than 3 billion cubic feet of natural gas per day through a 12,750-mile pipeline network that covers midwestern, northeastern, and mid-Atlantic States for local distribution companies and industrial and commercial customers. The Columbia Appalachia index covers mainline deliveries at pools, interconnects, and on-system delivery receipt points.
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 help market participants offset their price risk in this major market center, the Exchange provides an Appalachia natural gas basis swap futures contract. The final settlement is calculated as Platts Inside FERC's Gas Market Report Columbia Gas Transmission Corp. Appalachia index, minus the final settlement price of the Exchange's benchmark Henry Hub natural gas futures contract 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 of the size of the Henry Hub futures contract, giving market participants additional flexibility in managing price risk. The contract, which must be traded as a multiple of the number of calendar days in the month, is available for trading on the NYMEX ClearPortsm trading platform.
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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