Two-way Two-way Two-way Two-way Two-way Two-way Two-way Two-way Two-way Two-way Two-way Two-way

Prompt X-H J-V Prompt X-H J-V Prompt X-H J-V Prompt X-H J-V

Tier 1

EAST Chicago 0.005 0.01 0.015 0.005 0.005 0.01 0.005 0.01 0.01 0.005 0.005 0.005

EAST Panhandle 0.005 0.02 0.01 0.005 0.01 0.01 0.005 0.01 0.01 0.005 0.005 0.005

EAST Dominion 0.025 0.04 0.03 0.01 0.02 0.015 0.01 0.015 0.01 0.005 0.005 0.01

GULF Houston Ship 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005

GULF TexOk 0.005 0.005 0.01 0.005 0.005 0.01 0.005 0.005 0.01 0.005 0.005 0.005

GULF Sonat 0.01 0.01 0.015 0.01 0.005 0.015 0.005 0.005 0.015 0.005 0.005 0.01

GULF Col Mainline 0.005 0.005 0.01 0.005 0.01 0.005 0.005 0.005 0.005 0.005 0.005 0.005

WEST SoCal 0.005 0.01 0.015 0.005 0.0075 0.01 0.005 0.0075 0.0075 0.005 0.005 0.005

WEST PGE Citygate 0.005 0.01 0.015 0.005 0.0075 0.01 0.005 0.0075 0.0075 0.005 0.005 0.005

WEST Rockies 0.005 0.01 0.015 0.005 0.0075 0.01 0.005 0.0075 0.0075 0.005 0.005 0.005

CANADA Aeco/NIT 0.005 0.01 0.01 0.005 0.01 0.01 0.005 0.01 0.01 0.005 0.01 0.01

CANADA DAWN 0.01 0.02 0.03 0.005 0.01 0.02 0.005 0.01 0.01 0.005 0.0075 0.0075

Tier 2

EAST Mich 0.005 0.01 0.02 0.005 0.01 0.015 0.005 0.01 0.01 0.005 0.01 0.01

EAST Tetco M3 0.01 0.1 0.015 0.01 0.05 0.01 0.005 0.03 0.01 0.005 0.02 0.01

EAST NNG Vent 0.01 0.02 0.02 0.01 0.015 0.01 0.005 0.01 0.01 0.005 0.01 0.01

GULF Waha 0.01 0.01 0.015 0.01 0.005 0.015 0.005 0.005 0.015 0.005 0.005 0.01

GULF Transco Z4 0.01 0.01 0.015 0.005 0.005 0.01 0.005 0.005 0.01 0.005 0.005 0.005

GULF Tenn 500 0.01 0.01 0.015 0.01 0.01 0.015 0.005 0.01 0.01 0.005 0.01 0.01

GULF FGT Z3 0.01 0.01 0.015 0.01 0.01 0.015 0.01 0.005 0.01 0.01 0.005 0.01

WEST Waha 0.005 0.01 0.015 0.005 0.0075 0.01 0.005 0.0075 0.0075 0.005 0.005 0.005

WEST San Juan 0.0075 0.015 0.02 0.005 0.015 0.0175 0.005 0.0125 0.015 0.005 0.01 0.0125

WEST Permian 0.005 0.01 0.015 0.005 0.01 0.0125 0.005 0.01 0.01 0.005 0.0075 0.0075

WEST Malin 0.0075 0.015 0.02 0.005 0.015 0.015 0.005 0.0125 0.0125 0.005 0.01 0.01

WEST CIG 0.0075 0.015 0.02 0.005 0.015 0.0175 0.005 0.0125 0.015 0.005 0.01 0.0125

CANADA Emerson 0.05 0.05 0.05 0.025 0.025 0.025 0.025 0.025 0.025 0.02 0.02 0.02

CANADA Waddington 0.1 0.1 0.1 0.05 0.05 0.05 0.05 0.05 0.05 0.02 0.02 0.02

Tier 3

EAST Transco z6 0.07 0.2 0.1 0.05 0.15 0.05 0.03 0.05 0.01 0.02 0.05 0.01

EAST NNG Demarc 0.015 0.04 0.04 0.01 0.02 0.02 0.01 0.01 0.01 0.005 0.005 0.01

GULF Tetco ELA 0.02 0.2 0.02 0.03 0.03 0.05 0.03 0.05 0.05 0.05 0.05 0.05

GULF Tenn Z0 0.015 0.03 0.03 0.015 0.03 0.03 0.015 0.02 0.02 0.015 0.02 0.02

GULF Tetco STX 0.015 0.03 0.03 0.015 0.03 0.03 0.015 0.02 0.02 0.015 0.02 0.02

WEST Cheyenne Hub(trade as index diffs.) 0.0125 0.015 0.0175 0.01 0.0125 0.015 0.0075 0.01 0.0125 0.005 0.0075 0.01

WEST PGE Topock(trade as index diffs.) 0.0125 0.015 0.0175 0.01 0.0125 0.015 0.0075 0.01 0.0125 0.005 0.0075 0.01

WEST SoCal CityGate(trade as index diffs.) 0.0125 0.015 0.0175 0.01 0.0125 0.015 0.0075 0.01 0.0125 0.005 0.0075 0.01

CANADA St. 2 0.1 0.1 0.1 0.1 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05

CANADA Niagara 0.1 0.1 0.2 0.2

CANADA Chipewa No longer trades No longer trades

No longer trades

No longer trades

No longer trades

No longer trades

Current 1 Yr Ago 2 Yr Ago 3 Yr Ago (pre-Dood-Frank)

No longer trades

Analysis of Natural Gas Financial Basis Bid/Ask Spreads and Market Depth Presented at the July 29, 2015 CFTC EEMAC Meeting
EAST "I would say the major difference is in how much volume it takes for the market to move or how quick the two way gets wide when it does trade."

EAST On the Tier 1 locations a 1 day trade will ususally move the market .01 to .02, and 1/2 day in the xh or JV does the same. Where as a year ago it would take 2 day, 2 years ago 3 day and 3 years ago 5 day

EAST On the Tier 2 locations a 1/2 a day trade will move the market .01 to .02, and a quarter a day will do the same xh and jv. Whereas it would have taken 1 day a year ago, 2 day 2 years ago and 4 or 5 day 3 years ago.

EAST On the Tier 3 locations a 1/4 day will move the market .02 to .04 and .04 to .05 in the xh and jv. Where as a year ago would have been half a day, 2 years ago 1 day and 3 years ago 2 or 3 a day

GULF "It's been interesting to see that some markets have actually gained some liquidity due to the fundamental changes in the market such as back-hauls, LNG projects and Mexico exports."

GULF On the Tier 1 locations a 5/day trade will usually move the market .01 to .02, and 3 day in the xh or JV does the same. Where as a year ago it would take 7/day, 2 years ago 7/day and 3 years ago 10/day

GULF On the Tier 2 locations a 2/day trade will move the market .01 to .02, and a 1/day will do the same xh and jv. Whereas it would have taken 3/day a year ago, 4/ day 2 years ago and 5/day 3 years ago.

GULF On the Tier 3 locations a 1/day will move the market .015 to .02 and .02 to .03 in the xh and jv. Some of the Tier 3 markets were barely quoted 2 to 3 years ago. (more active with Back-haul and Mexico exports)

WEST "Market depth has significantly dropped beyond prompt month and balance of season. In addition, beyond 12 to 18 months out there is virtually no market makers to quote even light volume at any price."

WEST On the Tier 1 locations a 1/day to 5/day trade can move the market .01 to .03 and 1/4 day to 1/day in XH and JV can move it .01 to .03 with no follow. 3 years ago 2/day to 4/day could trade moving market .02.

WEST On the Tier 2 locations a 1/day to 2/day trade can move the market .01 to .03 and 1/4 day to 1/2/day in XH and JV can move it .01 to .03 with no follow. 3 years ago 1/day to 2/day could trade moving market .02.

WEST On the Tier 3 locations a 1/day to 3/day trade can move the market .01 to .02 and 1/2 day in XH and JV can move it .02 to .03 with no follow. 3 years ago 3/day to 5/day could trade moving market .01 to .02.

CANADA "On the whole our basis at AECO has held in there liquidity wise even with participants exiting the market. Physical production flows out East have changed those basis markets the most with traditional flow being reversed"

CANADA On the Tier 1 locations a 1 day trade may not move the market . and 1/day in the xh or JV may move the market .005 to .01

CANADA On the Tier 2 locations a 1/2 a day trade will move the market .01 to .02, and a 1/2 day will do the same xh and jv. Whereas it would have taken 1 day a year ago, 2 day 2 years ago and 4 or 5 day 3 years ago.

CANADA On the Tier 3 locations a 1/2 day will move the market .02 to .04 and .04 to .05 in the xh and jv. Where as a year ago would have been 1/day, 2 years ago 2/day and 3 years ago 2 or 3/day

contracts/day Current 1 year ago 2 years ago 3 years ago

East tier 1 1 2 3 5

East tier 2 0.5 1 2 4.5

East tier 3 0.25 0.5 1 2.5

Gulf tier 1 5 7 7 10

Gulf tier 2 2 3 4 5

Gulf tier 3 1 NA NA NA

West tier 1 3 3 3 3

West tier 2 1.5 1.5 1.5 1.5

West tier 3 2 2 2 4

Canada tier 1 2 2 2 2

Canada tier 2 0.5 1 2 4.5

Canada tier 3 0.5 1 2 2.5

Analysis of Natural Gas Financial Basis Bid/Ask Spreads Presented at the July 29, 2015 CFTC EEMAC Meeting