C.F.T.C. 

HUNTON& 

WilliAMS 

OFFICE Of THE SECRETARIATHUNTON&WILLIAMSLLP - 1900 K STREET, N.W. 

aoos'. ~~~ . ~ m'l )IO? WASHINGTON, D.C. 20006-1109 

TEL 202 • 955 • 1500 

November 4, 2009 

David A. Stawick, Secretary 

Commodity Futures Trading Commission 

Three Lafayette Center 

1155 21st Street, NW 

Washington, DC 20581 

FAX 202 • 778 • 2201 

MARK W. MENEZES 

DAVID T. MCINDOE 

R. MICHAEL SWEENEY, JR. 

EMAIL: mmenezes@hunton.com 

dmcindoe@hunton.com 

rsweeney@hunton.com 

FILE NO: 76142.2 

VIA ELECTRONIC MAIL 

COMML~r 

Re: Significant Price Discovery Contract Proceeding, Phys, BS, LDJ (US/MM), AB-NIT 

Contract, et al., Comment File 09-029 

Dear Secretary Stawick: 

On behalf ofthe Working Group of Commercial Energy Firms (the "Working 

Group"), Hunton & Williams LLP submits the following comments in response to the request 

for public comment set forth in the Notice oflntent ("NOI") issued by the Commodity 

Futures Trading Commission ("CFTC" or "Commission") and published in the Federal 

Register on October 20, 2009/ addressing whether the Phys, BS, LDl (US/MM), AB-NIT 

Contract, et al., offered for trading on the Natural Gas Exchange, Inc. ("NGX") perform 

significant price discovery functions. Specifically, the Working Group respectfully submits 

comments that are limited to the following contracts identified in the NOI: 

• Phys, BS, LDl (USIMM), AB-NIT Contract ("Alberta Basis Contract"); 

• Phys, BS, LDl (US/MM), Union-Dawn Contract ("Union-Dawn Basis Contract"); 

and 

• Phys, ID, 7a (CA/GJ), AB-NIT Contract ("Alberta Index Contract").2 

Notice of Intent, Pursuant to the Authority in Section 2(h)(7) of the Commodity Exchange Act and 

Commission Rule 36.3(c)(3), to Undertake a Determination Whether the (1) Phys, BS, LDJ (USIMM), AB-NIT 

Contract, et al., Offered for Trading on the Natural Gas Exchange, Inc., Perform Significant Price Discovery 

Functions, 74 Fed. Reg. 53,724 (Oct. 20, 2009). 

2 The Alberta Basis Contract, Union-Dawn Basis Contract, and Alberta Index Contract are collectively 

referred to as the ''NGX Contracts." 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 2 

The Working Group is a diverse group of commercial firms in the domestic energy 

industry whose primary business activity is the physical delivery of one or more energy 

commodities to customers, including industrial, commercial and residential consumers. 

Members of the Working Group consist of energy producers, marketers and utilities. The 

Working Group considers and responds to requests for public comment regarding legislative 

and regulatory developments with respect to the trading of energy commodities, including 

derivatives and other contracts that reference energy commodities. 

As discussed further in these comments, the Working Group does not believe that 

these NGX Contracts perform a significant price discovery function and therefore should not 

be designated as significant price discovery contracts ("SPDCs") at this time. 

I. COMMISSION AUTHORITY AND DISCRETION TO DESIGNATE CONTRACTS AS SPDCS. 

In 2000, Congress enacted the Commodity Futures Modernization Act ("CFMA"), 3 

which amended the Commodity Exchange Act ("CEA"), 7 U.S.C. §§ 1 et seq., to create a 

tiered approach to the regulation of futures and derivatives markets to replace the CEA's 

then-existing "one size fits all" regulatory framework. As part of this tiered approach, the 

CFMA created exempt commercial markets ("ECMs"). ECMs are principal-to-principal 

electronic trading platforms designed to encourage electronic trading of derivatives by 

sophisticated market participants. 4 ECMs were subject to limited Commission regulation and 

oversight under the CFMA amendments to the CEA. 

In June 2008, Title XIII ofthe Food, Conservation and Energy Act of20085 was 

enacted and, in relevant part, amended the CEA to include new Section 2(h)(7). CEA Section 

2(h)(7) expanded the Commission's limited authority over ECMs to identify and list contracts 

that serve a significant price discovery function. 6 Specifically, this provision sets forth 

enumerated factors that the Commission must consider when determining whether a contract 

performs a significant price discovery function: (I) Price Linkage; (2) Arbitrage; (3) Material 

Price Reference; ( 4) Material Liquidity; and (5) Other Factors. 

The purpose of new CEA Section 2(h)(7) is to make the regulation of certain contracts 

traded on ECMs similar to the Commission's regulation of those contracts traded on 

designated contract markets ("DCMs"). Accordingly, in situations where the Commission 

Incorporated as Appendix E ofthe Consolidated Appropriations Act of2001, Pub. L. No. 106-554, 114 

Stat. 2763 (Dec. 21, 2000). · 

The NGX is an ECM. 

Title XIII of the Food, Conservation and Energy Act of2008, Pub. L. No. 110-246, 122 Stat. 1623 (June 

18, 2008) (the "Reauthorization Act"). 

6 Section 13204(c) of the Reauthorization Act requires the Commission to identifY contracts that it deems 

appropriate for designation as SPDCs within 180 days after issuing rules implementing new CEA Section 2(h)(7). 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 3 

determines that ECM contracts serve a significant price discovery function similar to 

contracts traded on a DCM, those contracts are subject to comparable regulation. 

On March 23, 2009, the Commission issued a final rule implementing the provisions 

of new CEA Section 2(h)(7) subjecting ECMs with SPDCs to self-regulatory and reporting 

requirements, as well as certain Commission oversight authorities with respect to those 

contracts? The SPDC Final Rule became effective on April22, 2009. Among other things, 

the Commission adopted regulations establishing the procedures and the standards by which 

it will determine whether an ECM contract performs a significant price discovery function 

and provided guidance with respect to compliance with nine statutory core principles 

applicable to ECMs. 8 

The Commission has broad discretion when determining whether to designate a 

contract as an SPDC. Importantly, not all of the various statutory factors must be present to 

support a determination that a contract performs a significant price discovery function. In 

this regard, CEA Section 2(h)(7) neither prioritizes nor specifies the degree to which a 

contract must conform to the various factors. 

II. PROPOSED DESIGNATION OF THE NGX CONTRACTS AS SPDCS. 

The Working Group fully supports the Commission's efforts to exercise in a 

disciplined and deliberate manner its statutory obligations under the Reauthorization Act to 

designate contracts traded on ECMs that meet the statutory criteria set forth in CEA Section 

2(h)(7) as SPDCs. However, it is not clear that these NGX Contracts satisfY the factors upon 

which the Commission proposes to base its respective determinations that these contracts 

perform significant price discovery functions. Accordingly, the Working Group respectfully 

submits that the Commission should refrain from designating the referenced NGX Contracts 

as SPDCs. 9 

The designation of the NGX Contracts as SPDCs will not further in a meaningful 

manner other policy concerns identified by the Commission to the extent that they relate to 

protecting (a) the NYMEX NG Contract and (b) the underlying physical markets at Henry 

Hub from excessive speculation or manipulation. The designation of the NGX Contracts as 

SPDCs and the required imposition of position limits on these contracts by NGX have the 

potential to harm liquidity, which, in turn, could result in industrial, commercial and 

residential consumers in the U.S. and Canada incurring higher energy prices. 

See Significant Price Discovery Contracts on Exempt Commercial Markets, 74 Fed. Reg. 12,178 (Mar. 

23, 2009) ("SPDC Final Rule"); 17 C.F.R. § 36.3 (2009). 

!d. at§ 36.3(c)(3). 

Attached as Exhibit I is the NGX Price Index Methodology Guide (Oct. 16, 2009 Version) published by 

NGX (the "Methodology Guide"). The methodology for all of the NGX physical indices is set forth in detail in 

the Methodology Guide, starting at page 8. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page4 

Specifically, existing NYMEX-enforced accountability levels and position limits 

protect the NYMEX NG Contract and the underlying physical Henry Hub market from the 

effects of excessive speculation and manipulation. 10 In addition, physical pricing at Henry 

Hub is also protected from excessive speculation in over-the-counter ("OTC") derivatives 

markets through position limits enforced by ICE for the Henry Financial LDl Fixed Price 

contract that was recently designated as an SPDC. 11 

The Commission also has broad authority under CEA Section 9(a)(2) to protect 

against entities engaged in CFTC-jurisdictional activities from manipulating physical prices 

at Henry Hub. 12 With regard to physical prices at Henry Hub, this authority is complemented 

by the Federal Energy Regulatory Commission's ("FERC") jurisdiction under the Natural 

Gas Act ("NGA''), 15 U.S.C. § 717 et seq., to regulate wholesale, physical natural gas 

markets and FERC's authority to prohibit the manipulation of natural gas markets under 

NGA Section 4A, 15 U.S.C. § 717c-1. 

Each NGX Contract is separately addressed below. 

A. ALBERTA BASIS CONTRACT. 

The Alberta Basis Contract is a monthly contract that calls for physical delivery of 

natural gas based on the final settlement price for NYMEX' s Henry Hub physically-delivered 

natural gas futures contract for the specified calendar month ("NYMEX NG Contract"), plus or 

minus the price differential (basis) between the Alberta delivery point ("Alberta System") and 

the Henry Hub. There is no standard size for the Alberta Basis Contract, although a minimum 

volume of 100 mmBtu is required in increments of 100 units per day. The Alberta Basis 

Contract is listed for 60 consecutive calendar months. The NOI states that the Alberta Basis 

Contract appears to satisfy the Material Liquidity, Price Linkage, and Material Price Reference 

factors required for SPDC designation. 13 · 

10 See <<http://www.nymex.com/NG spec.aspx>>. The NYMEX-enforced accountability levels and 

position limits for the NYMEX NG Contract are "12,000 net futures, but not to exceed 1,000 in the last three days 

of trading in the spot month." · 

II See Order Finding that the ICE Henry Financial LDJ Fixed Price Contract Traded on the 

Intercontinenta!Exchange, Inc., Performs a Significant Price Discovery Function, Final Order, 74 Fed. Reg. 

37,988 (July 30, 2009). 

12 7 U.S.C. § 9(a)(2). 

13 NOI at p. 53,726. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 5 

1. MATERIAL PRICE REFERENCE. 

The NOI states that the Alberta Basis Contract may perform a significant price 

discovery function as it appears to satisfy the Material Price Reference factor. CEA Section 

2(h)(7)(B)(iii) requires the Commission to consider "the extent to which, on a frequent and 

recurring basis, bids, offers, or transactions in a commodity are directly based on, or are 

determined by referencing, the prices generated" by the ECM. 14 Guidance set forth in 

Appendix A to Section 36 of the Commission's regulations states that the Commission will 

rely on one of two sources of evidence, direct or indirect, that the contract is a Material Price 

Reference. 15 A direct reference would be whether the cash market quotes the ECM 

contract. 16 An indirect reference would be whether an industry publication quotes the ECM 

contract's price. 17 The Alberta Basis Contract does not meet either of these standards. 

a. Direct Reference. 

There are no other related contracts traded in any market that settle to, or reference, 

the Alberta Basis Contract. The Material Price Reference for the Alberta Basis Contract itself 

is derived from the settlement price for the NYMEX NG Contract and the price differential 

between the Alberta System and the Henry Hub. Neither price reference is based on the 

Alberta Basis Contract. Although the Alberta Basis Contract is influenced by these direct 

references, the Alberta Basis Contract itself neither influences the settlement of the NYMEX 

NG Contract nor does it influence the price differential between Henry Hub and the Alberta 

System. 

b. Indirect Reference. 

As to the indirect reference regarding whether an industry publication quotes the ECM 

contract's price, the only publication to which the CFTC refers is the "OTC Gas End of Day," 

which is published by the IntercontinentalExchange, Inc. ("ICE"), an ECM, on behalf of 

NGX and its participants. As noted in the NOI, NGX has entered into an alliance with ICE 

pursuant to which ICE (a) is the exclusive trading platform for virtually all natural gas and 

electricity products traded in the NGX markets, including the Alberta Basis Contract, and (b) 

provides clearing and settlement services for physical OTC natural gas contracts on select 

U.S. trading hubs, including Henry Hub. 

The Working Group does not believe the fact that ICE publishes the settlement prices 

ofNGX physical transactions constitutes sufficient evidence of a Material Price Reference 

14 

15 

16. 

17 

7 U.S. C. § 2(h)(7)(B)(iii). 

17 C.F.R. Part 36, Appendix A (2009) (Guidance on Significant Price Discovery Contracts). 

!d. 

!d. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 6 

necessary to satisfy the requirements of CEA Section 2(h)(7)(B)(iii). No data is sold between 

NGX and ICE and NGX does not publish any trade data on its own website. Given this 

unique arrangement, it is only logical that ICE publishes transaction data regarding the NGX 

physical deals in its "OTC Gas End of Day" publication. There is no evidence whatsoever 

that a contract in any market is tied directly or indirectly to the settlement price of the Alberta 

Basis Contract. 

2. PRICE LINKAGE. 

To establish Price Linkage, an agreement, contract or transaction must use or otherwise 

rely on a settlement price or other major price parameter of a contract(s) listed for trading on a 

DCM or an SPDC on an ECM. 18 As noted in the NOI, the Alberta Basis Contract is 

technically linked to the NYMEX NG Contract. Notwithstanding this partial linkage, the 

Alberta Basis Contract does not appear to perform a significant price discovery function. 

Guidance set forth in Appendix A of Part 36 of the Commission's regulations is 

instructive in this regard as it states, in relevant part, that: 

18 

19 

A price-linked contract is a contract that relies on a contract traded 

on another trading facility to settle, value or otherwise offset the 

price linked contract. The link may involve one-to-one linkage, in 

that the value of the linked contract is based on a single contract's 

price, or it may involve multiple contracts. 

For a linked contract, the mere fact that a contract is linked to 

another contract will not be sufficient to support a determination 

that a contract performs a significant price discovery function. To 

assess whether such a determination is warranted, the Commission 

will examine the relationship between transaction prices of the 

linked contract and prices of the referenced contract. The 

Commission believes where material liquidity exists, prices for the 

linked contract would be observed to be substantially the same as 

or move substantially in conjunction with prices of the referenced 

contract(s). 19 

17 C.P.R.§ 36, Appendix A(B). 

17 C.P.R.§ 36, Appendix A(B)(2) (emphasis added). 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page7 

Publicly-available, empirical data shows that the Alberta Basis Contract (a) is not 

substantially the same as the NYMEX NG Contract nor (b) does it move substantially in 

conjunction with NYMEX NG Contract. 

A head-to-head comparison of the Alberta Basis Contract with the NYMEX NG 

Contract settlement prices published during the 75-day period beginning July 21, 2009 through 

November 2, 2009, clearly establishes that these contracts are not "substantially the same." 

For example, the price for the December NYMEX NG Contract during this period is 

approximately $5.30/mmbtu. In contrast, the basis price of the Alberta Basis Contract is 

approximately $.0.40/mmbtu below the December NYMEX NG Contract price. Price data 

published during this period also provides evidence that the Alberta Basis Contract does not 

"move substantially in conjunction with" the December NYMEX NG Contract. Specifically, 

the correlation of the daily changes between the December NYMEX NG Contract and the 

Alberta Basis Contract is negative 35 percent for this period. 

3. MATERIAL LIQUIDITY. 

To meet the Material Liquidity test, CEA Section 2(h)(7)(B)(iv) requires that the 

contract traded on the ECM must trade with sufficient volume "to have a material effect on 

other agreements, contracts, or transactions listed for trading ... on a designated contract 

market" or ECM.20 The Commission also states "[l]iquidity is a broad concept that captures 

the ability to transact immediately with little or no price concession."21 The Alberta Basis 

Contract lacks both (a) a material effect on other contracts and (b) sufficient liquidity to 

perform a significant price discovery function. 

a. No Material Effect on Other Contracts Listed for Trading. 

As noted above, there is no evidence of other related contracts traded in any market 

that settle to, or reference, the Alberta Basis Contract. The NGX trading platform is unique 

as it offers both basis contracts, i.e., the Alberta Basis Contract, and outright contracts. 

Because the pricing components of the basis and outright physical contracts traded on the 

NGX platform are interrelated, they help to create a market equilibrium within the Canadian 

system. Consequently, given this equilibrium, although the Alberta Basis Contract is 

influenced by the price differential of physical gas between the Alberta System and Henry 

Hub and the settlement of the NYMEX NG Contract, it has no functional effect on the 

20 7 U.S. C. § 2(h)(7)(B)(iv). 

21 17 C.P.R. Part 36, Appendix A (2009). 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 8 

NYMEX NG Contract itself, nor does it have any effect on actual physical prices at Henry 

Hub. 22 

b. Liquidity in the Alberta Basis Contract Is Insufficient for 

Designation as an SPDC. 

Guidance set forth in Appendix A to Section 36 ofthe Commission's regulations 

states, in relevant part, that "in markets where material liquidity exists, a more or less 

continuous stream of prices can be observed and the prices should be similar," for example, 

to "a market where trades occur multiple times per minute." The quoted language indicates 

two factors that can show li~uidity: (a) a narrow bid/ask spread, and (b) a trade frequency of 

multiple trades per minute. 2 The NOI does not address either of these factors. Rather, it 

states that the Alberta Basis Contract was transacted on an average daily basis of23.2 times. 

Based on the average daily trade data set forth in the NOI, the trade frequency of the Alberta 

Basis Contract in terms of multiple trades per minute is very low. 24 Because neither factor is 

presented by the Alberta Basis Contract, trading in this contract fails to meet this standard. 

B. UNION-DAWN BASIS CONTRACT. 

The Union-Dawn Basis Contract is a monthly contract that calls for physical delivery of 

natural gas based on the final settlement price for NYMEX's Henry Hub physically-delivered 

natural gas futures contract for the specified calendar month ("NYMEX NG Contract"), plus or 

minus the price differential (basis) between the Dawn delivery point ("Dawn Hub") and the 

Henry Hub. There is no standard size for the Union-Dawn Basis Contract, although a 

minimum volume of 100 mmBtu is required in increments of 100 units per day. The UnionDawn Basis Contract is listed for 60 consecutive calendar months. 

22 As discussed above, the Commission possesses broad existing statutory and regulatory authority to 

protect against excessive speculation and manipulation involving the NYMEX NG Contract which, in turn, could 

result in the manipulation of physical prices at Henry Hub. Additionally, it possesses broad anti-manipulation 

authority to address jurisdictional activity that could result in the manipulation of physical pricing at Henry Hub. 

This authority complements PERC's jurisdiction under the NGA over wholesale, physical gas markets and 

PERC's broad anti-manipulation authority under NGA Section 4A. 

23 Because the NOI does not expressly address how the Alberta Basis Contract satisfies the guidance in 

Appendix A of the Commission's regulation for Material Liquidity (i.e., narrow bid/ask spread and trade 

frequency of multiple trades per minute), the Working Group respectfully requests that the Commission expressly 

identify the criteria supporting its view that the Alberta Basis Contract appears to meet the Material Liquidity 

factor. 

24 The transaction volume associated with the Alberta Basis Contract is de minimis compared to the 

transaction volumes of the NYMEX NG Contract or the Henry Financial LDI Fixed Price contract traded on ICE 

which was recently designated as an SPDC. The NOI states that the Alberta Basis Contract has a daily trading 

volume of approximately 6,000,000 mmBtu. Although this figure initially sounds significant, when quantified in 

the same terms as the NYMEX NG Contract (i.e., I 0,000 mmBtu/contract), the daily trading volume for the 

Alberta Basis Contract is only 600 contracts. Accordingly, the Alberta Basis Contract has a trading volume that, 

by comparison, is less than I percent of trading volume of the NYMEX NG Contract or the Henry Financial LDI 

Fixed Price contract traded on ICE. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 9 

The NOI states that the Union-Dawn Basis Contract appears to satisfy the Material 

Liquidity, Price Linkage, and Material Price Reference factors required for SPDC 

designation. 25 Because it is not clear that the Union-Dawn Basis Contract satisfies these 

factors, the Working Group respectfully submits that the Commission should refrain from 

designating the Union-Dawn Basis Contract as an SPDC. 

1. MATERIAL PRICE REFERENCE. 

The NOI states that the Union-Dawn Basis Contract may perform a significant price 

discovery function as it appears to satisfy the Material Price Reference factor. The UnionDawn Basis Contract does not meet either the direct or indirect standards. 

a. Direct Reference. 

The Material Price Reference for the Union-Dawn Basis Contract itself is derived 

from the settlement price for the NYMEX NG Contract and the price differential for physical 

gas between the Dawn Hub and Henry Hub. Neither the NYMEX NG Contract nor the price 

differential between Dawn Hub and Henry Hub are based on the Union-Dawn Basis Contract. 

Although the Union-Dawn Basis Contract is influenced by these direct references, the UnionDawn Basis Contract itself neither influences the settlement of the NYMEX NG Contract nor 

does it influence physical pricing at Henry Hub. 

b. Indirect Reference. 

As to the indirect reference regarding whether an industry publication quotes the ECM 

contract's price, the only publications to which the CFTC refers is the "OTC Gas End of 

Day," which is published by ICE. As noted Section II.A.l.b, above, the alliance between ICE 

and NGX in effect makes ICE an extension ofNGX and vice versa. Given this unique 

arrangement, it is only logical that ICE publishes transaction data regarding the NGX 

physical deals in its "OTC Gas End of Day" publication. The Working Group does not 

believe the fact that ICE publishes the settlement prices ofNGX physical transactions in 

"OTC Gas End of Day" constitutes sufficient evidence of a Material Price Reference 

necessary to satisfy the requirements of CEA Section 2(h)(7)(B)(iii). Moreover, there is no 

evidence whatsoever that a contract in any market is tied directly or indirectly to the 

settlement price of the Union-Dawn Basis Contract. 

2. PRICE LINKAGE. 

The Union-Dawn Basis Contract is technically linked to the NYMEX NG Contract. 

Notwithstanding this partial linkage, the Union-Dawn Basis Contract does not appear to 

25 NOI at p. 53,726. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 10 

perform a significant price discovery function. Publicly-available, empirical data shows that 

the Union-Dawn Basis Contract (a) is not substantially the same as the NYMEX NG Contract 

nor (b) does it move substantially in conjunction with NYMEX NG Contract. 

A head-to-head comparison of the Union-Dawn Basis Contract with the December 

NYMEX NG Contract settlement prices published during the 75-day period beginning July 21, 

2009 through November 2, 2009, clearly establishes that these contracts are not "substantially 

the same." As noted in Section II.A.2, above, the December NYMEX NG Contract price is 

approximately $5.30/mmbtu. The basis price of the Union-Dawn Basis Contract is 

approximately $0.33/mmbtu below the December NYMEX NG Contract. Price data published 

during this 75-day period also provides evidence that the Union-Dawn Basis Contract does not 

"move substantially in conjunction with" the December NYMEX NG Contract. Specifically, 

the correlation of the daily changes between the December NYMEX NG Contract and the 

Union-Dawn Basis Contract is negative 22 percent for this period. 

3. MATERIAL LIQUIDITY. 

As explained above, in order to meet the Material Liquidity test, a contract must have 

(a) a material effect on other contracts and (b) sufficient liquidity to perform a significant 

price discovery function. The Union Dawn Basis Contract lacks both (a) a material effect on 

other contracts and (b) sufficient liquidity to perform a significant price discovery function. 

a. No Material Effect on Other Contracts Listed for Trading. 

As noted above, there is no evidence of other related contracts traded in any market 

that settle to, or reference, the Union-Dawn Basis Contract. The NGX trading platform is 

unique as it offers both basis contracts, i.e., the Union-Dawn Basis Contract, and outright 

contracts. Because the pricing components of the basis and outright physical contracts traded 

on the NGX platform are interrelated, they help to create a market equilibrium within 

Canadian system. Consequently, although the Union-Dawn Basis Contract is influenced by 

the price differential of physical gas between the Dawn Hub and Henry Hub and the 

settlement of the NYMEX NG Contract, it has no functional effect on the NYMEX NG 

Contract itself, nor does it have any effect on actual physical prices at Henry Hub. 26 

b. Liquidity in the Union-Dawn Basis Contract Is Insufficient for 

Designation as an SPDC. 

As discussed in Section II.A.3.b, above, the CFTC has identified two factors that can 

show liquidity: (a) a narrow bid/ask spread, and (b) a trade frequency of multiple trades per 

26 See note 21, supra. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page II 

minute.27 The NOI does not address either of these factors. Rather, it states that the UnionDawn Basis Contract was transacted on an average daily basis of 8.3 times. Based on the 

average daily trade data set forth in the NOI, the trade frequency of the Union-Dawn Basis 

Contract in terms of multiple trades per minute is extremely low. 28 Because neither factor is 

presented by the Union-Dawn Basis Contract, trading in this contract fails to meet this 

standard. 

C. ALBERTA INDEX CONTRACT. 

The Working Group also submits that the Alberta Index Contract also lacks sufficient 

liquidity to perform a significant price discovery function. The NOI does not address either 

ofthe CFTC-identified liquidity factors: (a) the narrow bid/ask spread, or (b) the trade 

frequency ofmultipie trades per minute. Rather, the NOI states that the Alberta Index 

Contract was transacted on an average daily basis of I0.9 times. Based on the average daily 

trade data set forth in the NOI, the trade fre'\uency of the Alberta Index Contract in terms of 

multiple trades per minute is extremely low. 9 As a result, the Alberta Index Contract is 

unable to provide a significant price discovery function to the U.S. natural gas market. 

27 Because the NOI does not expressly address how the Union-Dawn Basis Contract satisfies the guidance 

in Appendix A of the Commission's regulation for Material Liquidity (i.e., narrow bid/ask spread and trade 

frequency of multiple trades per minute), the Working Group respectfully submits that the Commission expressly 

identify the criteria supporting its view that the Union-Dawn Basis Contract appears to meet the Material 

Liquidity factor. 

28 The NOI states that the Union-Dawn Basis Contract has a daily trading volume of approximately 

1,332,400 mmBtu. When quantified in the same terms as the NYMEX NG Contract (i.e., 10,000 

mmBtu/contract), the average daily trading volume for the Union-Dawn Basis Contract is approximately 132 

contracts per day. By comparison, this trading daily volume of the Union-Dawn Basis Contract is less than 1 

percent of trading volume of the NYMEX NG Contract or ICE's Henry Financial LDl Fixed Price contract. 

29 Similar to the Albert Basis Contract and the Union-Dawn Basis Contract, the transaction volume 

associated with the Alberta Index Contract is de minimis compared to the transaction volumes of the NYMEX NG 

Contract or the Henry Financial LDl Fixed Price contract traded on ICE. The NOI states that the Alberta Index 

Contract has a daily trading volume of approximately 2,438,627 mmBtu. When quantified in the same terms as 

the NYMEX NG Contract (i.e., 10,000 mmBtu/contract), the average daily volume for the Alberta Index Contract 

is approximately 244 contracts per day, which is less than I percent of trading volume of the NYMEX NG 

Contract or ICE's Henry Financial LDl Fixed Price contract. 
David A. Stawick, Secretary 

Commodity Futures Trading Commission 

November 4, 2009 

Page 12 

Ill. CONCLUSION. 

The Working Group appreciates this opportunity to comment, and requests that the 

Commission consider these comments as it develops a final rule in this proceeding. Given 

the limited time provided for public comment, the Working Group expressly reserves the 

right to supplement these comments as deemed necessary and appropriate. 

76142.000003 EMF_ US 2887!197v4 

Respectfully Submitted, 

Is/ Mark W Menezes 

Mark W. Menezes 

David T. Mcindoe 

R. Michael Sweeney, Jr. 

Counsel for the 

Working Group of Commercial Energy Firms 
Exhibit 1 

NGX Price Index Methodology Guide (Oct. 16, 2009 Version) 
TM NGX 

NGX Price Index Methodology Guide 

Oct 16, 2009 Version 

Natural Gas Exchange Inc. 

1 
NGX PRICE INDEX METHODOLOGY GUIDE 

Table of Contents 

1 Introduction ......................................................................................................................... 1 

2 Contracting Party's Agreement. .......................................................................................... 1 

3 Intellectual Property Rights ................................................................................................. 1 

4 Price Index Generation ....................................................................................................... 2 

4.1 Index Period ............................................................................................................ 2 

4.2 Source Data ............................................................................................................ 3 

4.3 Volume Weighted Average ..................................................................................... 3 

4.4 Exclusion of Bilateral Transactions in Natural Gas Indices ................................... 4 

4.5 Inclusion of Bilateral Transaction in Crude Oil Indices ........................................... 4 

4.6 Evaluation and Potential Exclusion of Irregular Market Data ................................. 4 

5 Changes to NGX Price Index Methodology Guide ............................................................. 4 

6 Publication ........................................................................................................................... 4 

6.1 Reporting and Analytics .......................................................................................... 4 

7 Price Indices and the CPA .................................................................................................. 5 

7.1 Exclusion of Trades In Error ................................................................................... 5 

7.2 Price Transparency ................................................................................................. 5 

7.3 Linked Deals, Time Trades, and Multiple Month Terms ........................................ 5 

7.4 NGX Trading System Availability ............................................................................ 5 

7.5 Real-Time Price Indices .......................................................................................... 6 

7.6 Not Fair Market Value .......................................... , .................................................. 6 

7.7 Trading Irregularities ............................................................................................... 6 

7.8 Limitation of Liability ................................................................................................ 6 

APPENDIX A: PRICE INDEX METHODOLOGY .... 8 

1 NGX AB-NIT Same Day Indices ......................................................................................... 8 

1.1 Index Diversity ........................................................................................................ 9 

1.2 Weekend# ............................................................................................................... 9 

1.3 Month ending on a weekend or Statutory and Other Holidays .............................. 9 

1.4 Methodologies ......................................................................................................... 9 

2 NGX AB-:NIT Month Ahead Indices .................................................................................. 11 

2.1 Index Data Source ................................................................................................ 11 

2.2 Methodologies ....................................................................................................... 11 

2.3 Statutory and Other Holidays ............................................................................... 12 

3 NGX Daily Spot Gas Price Indices ................................................................................... 12 

3.1 Index Data Source ................................................................................................ 12 

3.2 Index Diversity ...................................................................................................... 13 

3.3 WKD ................................................................................... · ................................... 14 

3.4 Methodologies ....................................................................................................... 14 

3.5 Statutory and Other Holidays ............................................................................... 14 

4 NGX AB-NIT Same Day and NGX AB-NIT Yesterday Indices ........................................ 14 

4.1 Index Diversity ...................................................................................................... 15 

4.2 Proxy ..................................................................................................................... 15 

4.3 Methodologies ........................................................................................................ 15 

4.4 Statutory and Other Holidays ............................................................................... 16 

5 NGX Crude Oil Indices ..................................................................................................... 16 

5.1 Index Data Source ................................................................................................ 16 

5.2 Statutory and Other Holidays ............................................................................... 17 

2 
5.3 Example ................................................................................................................ 17 

6 NGX Alberta Electricity RRO Indices ............................................................................... 17 

6.1 Combined Index Generation ................................................................................. 18 

6.2 Qualifying Spreads ................................................................................................ 18 

6.3 Qualifying Trades .................................................................................................. 19 

6.4 Calculating the Daily Post Price Using Spreads: ................................................. 19 

6.5 Calculating the Daily Traded Price Using Trades: ............................................... 21 

6.6 Calculating the Daily Combined Index Price Using Spreads and Trades: .......... 21 

6.7 Example of Calculating a Daily Combined Index Price: ....................................... 21 

6.8 Monthly Index ........................................................................................................ 21 

6.9 Monthly Index Interval ........................................................................................... 22 

6.10 Monthly index calculation ...................................................................................... 22 

6.11 Monthly Index Generation Days ........................................................................... 22 

6.12 DEFINITIONS ....................................................................................................... 22 

APPENDIX 8: PUBLISHED INDICES DEFINITIONS ................................................................. 23 

3 
1 

1 Introduction 

Natural Gas Exchange Inc. ("NGX") owns and operates an electronic exchange and clearing 

operation for natural gas, crude oil and electricity spot and forward Products. NGX provides 

market participants with a fair, transparent and efficient marketplace for trading and a clearing 

structure that ensures performance of the resulting Transactions. 

As a result, NGX has developed certain market price indices for selected Products and delivery 

locations that may be utilized by market participants. The purpose of this document is to lay out 

the methodology under which the generation and publication of the price indices are 

administered. 

2 Contracting Party's Agreement 

All of the Transactions that are included in the process to determine the price indices are 

governed by the rules and regulations laid out in a standard form agreement (the "CPA") 

between NGX and all market participants ("Contracting Parties"). The CPA lays out a standard 

set of rules that dictate the Transaction process with NGX, including how Contracting Parties 

become eligible to trade on the Exchange, how Transactions take place, and how performance 

of Transactions will be assured. Capitalized terms, other than those specifically defined herein, 

are defined in the CPA. 

3 Intellectual Property Rights 

NGX owns the right, title and interest in and to the following natural gas indices: 

• NGX AB-NIT Same Day Index (formerly NGX Alberta Same Day Price or NGX Alberta 

Daily Spot Price) 

• NGX AB-NIT Month Ahead Index (formerly NGX Alberta One-Month Spot Price) 

• NGX AB-NIT Bidweek Index (formerly NGX Alberta Bid-Week One-Month Spot Price) 

• NGX AB-NIT Yesterday Index (formerly NGX Alberta Yesterday Price) 

• NGX AB-NIT Day Ahead Index (formerly NGX Alberta Next Day Price) 

• NGX Spectra Station #2 Day Ahead Index (formerly NGX Station #2 Daily Spot Price) 

• NGX GTN Malin Day Ahead Index (formerly NGX Malin Daily Spot Gas Price) 

• NGX PG&E Citygate Day Ahead Index (formerly NGX PG&E Citygate Daily Spot Price) 

• NGX TCPL-Chippawa Day Ahead Index (formerly NGX Chippawa Daily Spot Price) 

• NGX Union-Dawn/TCPL-Chippawa Transport Day Ahead Index (formerly NGX 

Chippawa Transport Daily Spot Price) 

• NGX TCPL-Emerson Great Lakes Day Ahead Index (formerly NGX Emerson/Great 

Lakes Daily Spot Price) 

• NGX TCPL-Empress Day Ahead Index (formerly NGX Empress Daily Spot Price) 

• NGX AB-NIT/TCPL-Empress Transport Day Ahead Index (formerly NGX Empress 

Transport Daily Spot Price) 

• NGX TCPL-Iroquois Day Ahead Index (formerly NGX Iroquois Daily Spot Price) 

• NGX Union-Dawn/TCPL-Iroquois Transport Day Ahead Index (formerly NGX Iroquois 

Transport Daily Spot Price) 

• NGX TCPL-Niagara Day Ahead Index (formerly NGX Niagara Daily Spot Price) 

• NGX Union-Dawn/TCPL-Niagara Transport Day Ahead Index (formerly NGX Niagara 

Transport Daily Spot Price) · 
• NGX TCPL-St. Clair Day Ahead Index (formerly NGX St. Clair Dawn Daily Spot Price) 

• NGX TCPL-St. Clair/Union-Dawn Transport Day Ahead Index (formerly NGX St. Clair 

Dawn Transport Daily Spot Price) 

• NGX Union-Dawn Day Ahead Index (formerly NGX Union Dawn Daily Spot Price) 

• NGX Union-Parkway Day Ahead Index (formerly NGX Union Parkway Daily Spot Price) 

• NGX Union-Dawn/Parkway Transport Day Ahead Index (formerly NGX Parkway 

Transport Daily Spot Price) 

• NGX Alberta Flat Electricity RRO Index 

• NGX Alberta Extended Peak Electricity RRO Index 

• NGX Alberta Super Peak Electricity RRO Index 

NGX owns the right, title and interest in and to the following Crude Oil Indices that appear in 

reports accessible through the NGX Oil Trading Platform, formerly the NTP trading system, 

entitled "NTP Index Report: NTP Canadian Index (Full)" and "NTP Index Report: NTP Canadian 

Index (3 day)": 

• NGX C5 A3 (ShFB) formerly known as C5 - Post. 

• NGXC5WTI formerly known as C5 - WTI 

• NGX LSB A5 (IFPSuSh) formerly known as LSB- Post 

• NGX LSBWTI formerly known as LSB - WTI 

• NGX M A4 (EFShSu) formerly known as M - Post. 

• NGXMWTI formerly known as M - WTI 

• NGX SW A4 (IPSuSh) formerly known as SW- Post. 

• NGXSWWTI formerly known as SW- WTI 

• NGXSWWTI formerly known as SYN - WTI 

• NGX WCS A3 (BEF) formerly known as WCS - Post. 

• NGXWCSWTI formerly known as WCS - WTI 

The various price indices listed above (referred to as "Price Index" or collectively referred to as 

the "Price Indices") are the sole and exclusive property of NGX. The CPA allows the 

Contracting Parties to use the Price Indices that are made available to such Contracting Party 

for its business purposes but except to the extent such information was furnished by or relates 

solely to the Contracting Party and subject to certain other limited exceptions, the Contracting 

Party may not publish or otherwise disclose such information publicly. NGX may publish or 

otherwise disclose or cause to be disclosed such Price Indices. 

4 Price Index Generation 

4. 1 Index Period 

The Index Period is the period of time in which trading data is compiled for use in the generation 

of a particular Price Index. The Index Period may be a full calendar month, or a particular day 

or set of days, including Bid Week or the Pre-Nomination Crude Oil Trading Period. 

Bid Week is defined as the last five Canadian business days of the calendar month, or a 

suitable representation as published by NGX to account for certain holidays in Canada and in 

the United States. 

The Pre-Nomination Crude Oil Trading Period is defined as the Canadian business days from 

the first business day of the calendar month until the day before the initial deadline for Notice of 

2 
Shipment (the "Initial NOS Deadline") with the relevant pipeline, typically the 201

h calendar day 

of the month. 

4.2 Source Data 

To generate the Price Indices, NGX obtains source data files from the NGX Trading System, 

which includes the Oil Trading Platform. The source data files are extracted directly from the 

database that is populated by the NGX Trading System. Depending upon the Price Index that is 

to be generated, the source data file will be limited to only those Transactions within the relevant 

Products during the Index Period. 

The source data file contains the following fields: 

Product Name- The name of the Product from which the Price Indices will be derived. 

Buyer Company/Trader - The name of the Contracting Party and the specific trader that 

consummated the purchase Transaction that will be included in the generation of the Price 

Indices. 

Seller Company/Trader - The name of the Contracting Party and the specific trader that 

consummated the sale Transaction that will be included in the generation of the Price Indices. 

Date/Time - The date and time of the Transaction that will be included in the generation of the 

Price Indices. 

Price - The price of energy agreed to in the Transaction that will be included in the generation of 

the Price Indices. 

Daily Contract Quantity - The daily delivery quantity of energy agreed to in the Transaction that 

will be included in the generation of the Price Indices. 

The source data file contains one row for each Transaction that occurs on the NGX Trading 

System and therefore each trade is only counted once in the generation of the Price Indices. 

4.3 Volume Weighted Average 

All of the Price Indices utilize volume weighted averages either in the calculation of the Index or 

as a component of the calculation of the Index. Weighted averages are utilized in an effort to 

minimize any trading anomalies or distress trading activity that might otherwise distort the data 

sample. 

The weighted average price is calculated using the following methodology. 

Multiply the Transaction price by the Transaction quantity for each trade in the source data file. 

Sum the product(s) achieved in step (a). 

Sum the Transaction quantity for each trade in the source data file. 

Divide the sum from step (b) by the sum from step (c). 

Weighted Average Price = Sum (Price x Quantity) 

Sum (Quantity) 

3 
The weighted average prices are calculated first by automated electronic routines and 

subsequently cross-checked against a manual calculation for accuracy. Once verified, the 

weighted average prices are used in the generation of the Price Indices. 

4.4 Exclusion of Bilateral Transactions in Natural Gas Indices 

Bilateral Transactions are trades entered into directly between two Contracting Parties through 

the NGX Trading System, pursuant to section 3.1 (g) of the CPA, for the purchase or sale of any 

Bilateral Product, which trade is cleared and settled in accordance with the terms and conditions 

of the bilateral agreement between the two Contracting Parties and not cleared and settled 

through the NGX Clearing System. 

Bilateral Transactions that are entered into on the NGX Trading System in accordance with 

Section 3.1 (f) of the CPA are not included in the calculation of the Price Indices for the 

underlying Product. 

4.5 Inclusion of Bilateral Transaction in Crude Oil Indices 

Bilateral Transaction that are entered into on the Oil Trading Platform in accordance with article 

3.1 (g) of the CPA will be included in the calculation of the Price Indices for the underlying 

Product. 

4. 6 Evaluation and Potential Exclusion of Irregular Market Data 

NGX will have the right to exclude any market data from inclusion in the source data, which 

appears to be irregular to the then prevailing market prices, during the period of investigation of 

any such Transactions. All of such market data will be included in the source data on 

satisfactory resolution of such investigation, provided that NGX resolves such investigation prior 

to the opening of the NGX Trading System on the next trading day. 

5 Changes to NGX Price Index Methodology Guide 

NGX will be entitled from time to time to amend this NGX Price Index Methodology Guide in 

such manner and with such notice to any person, including any Contracting Party, as it may 

determine in its sole discretion. 

6 Publication 

NGX Price Indices are published by NGX and by selected third party publishers. All NGX 

Natural Gas Indices are published on the NGX website at http://www.ngx.com/. Select NGX 

Price Indices are also available through several publications of Canadian Enerdata Ltd. Crude 

Oil Indices are published on the Oil Trading Platform. 

6. 1 Reporting and Analytics 

NGX will publish reports from time-to-time to provide information regarding the NGX Price 

Indices. Such reports are designed to provide users of the Price Indices with the comfort of 

knowing that there is widespread participation in computing such Price Indices, while 

maintaining the anonymity of companies participating in the generation of the Price Indices. 

4 
7 Price Indices and the CPA 

NGX generates Price Indices derived from Transactions in Products offered via the NGX 

Trading System. 

7. 1 Exclusion of Trades In Error 

If NGX determines that a Trade in Error has occurred on the NGX Trading System under the 

definition outlined in the CPA, then NGX will exclude such trades in the calculation of the Price 

Indices. Article 3.7 of the CPA defines the method by which NGX determines if a Trade in Error 

has occurred in a Cleared Product and outlines the consequences and notification process for 

such an event. Article 3.1 (g) describes the method for excluding bilateral trades in error, which 

must be agreed to by the parties and communicated to NGX by the earlier of (i) 120 minutes 

following the entering of the Bilateral Transaction or (ii) 60 minutes following the close of trading 

on the NGX Trading System on the Trading Day on which the Bilateral Transaction was 

entered. 

7.2 Price Transparency 

Only those Transactions that are visible to market participants through the NGX Trading System 

are included in the calculation of the Price Indices, except as specifically stated below in the 

NGX Trading System Availability section of this document. 

For clarity, Off-Exchange Transactions are not included in the calculation of any NGX Index. 

7.3 Linked Deals, Time Trades, and Multiple Month Terms 

Transactions defined as Linked Deals, Time Trades, and/or Transactions with multiple month 

terms (i.e. strip transactions) are not included in the calculation of the Price Indices . 

. 7.4 NGX Trading System Availability 

Individual Users 

During the operation of the NGX Trading System, a system that connects several hundred 

remote users, it is possible that certain individual users may experience connectivity problems 

from time to time. A loss of accessibility to the NGX Trading System, however, will not prevent 

individuals from consummating trades for inclusion in the Price Indices. In the event that an 

individual user or an individual group of users cannot access the NGX Trading System to submit 

orders, NGX is prepared to accept orders via telephone instructions. These orders will be 

posted by order entry agents internally at NGX based on the instructions provided by the user. 

Any Transactions that occur which include these orders will also be included in the source data 

file used to generate the Price Indices as if the users entered the orders in the normal manner. 

Aggregate User Base 

The NGX Trading System may experience technological problems that require the temporary 

halting of trading capability or a temporary shut-down of the NGX Trading System. Both of 

these situations will make it impossible to continue to build the source data file for the indices in 

the usual manner as described in this document. While these periods of NGX Trading System 

downtime have traditionally been infrequent and traditionally quite brief, NGX has developed 

5 
procedures to ensure that the impact of system outages are not detrimental to the generation of 

the Price Indices. These procedures will allow NGX to provide order entry, trading and clearing 

services manually via telephone instructions and confirmations during any system outages. 

Trades consummated on the NGX Trading System or via telephone orders during these system 

outages will be included in the resulting source data file used to generate the Price Indices. The 

·Transactions will then be entered into the NGX Trading System once it is again available and all 

problems have been resolved. Any Transactions that were consummated manually during the 

outage, and therefore included in the source data file, will be published by NGX to ensure 

transparency. 

7.5 Real-Time Price Indices 

NGX provides running weighted averages of trading activity that will be considered for inclusion 

in the source data files for the Price Indices. These running weighted averages are provided as 

a source of information to assist market participants in making timely and informed decisions 

with respect to their indexed portfolios. The Real-time Price Indices should not be construed as 

the Price Indices themselves, but rather a representation of the trading activity that will comprise 

the verified and published Price Indices. 

7. 6 Not Fair Market Value 

NGX does not make any representation to any person that the Price Indices derived from 

market activity on the NGX Trading System represents fair market value or is indicative of fair 

market value. 

7. 7 Trading Irregularities 

Pursuant to the terms and conditions of the CPA, each Contracting Party has agreed not to 

engage in any trading irregularities, whether alone or in association with others, that may 

comprise manipulative activity or activity aimed at manipulation of natural gas prices. 

7. 8 Limitation of Liability 

Neither NGX nor its agents, directors, officers and employees shall be liable to the Contracting 

Party for any losses, costs or expenses arising from any matter relating to the calculation, 

methodology of calculation, compilation, or publication of any Price Indices which are calculated 

by NGX which are used for the settlement of any Transaction. NGX does not make any express 

or implied warranties in respect of the results which may be achieved through the use of any of 

such Price Indices or in respect of the value of any of such Price Indices at any given time, nor 

that any settlement prices established are at a fair, proper or correct amount. Neither NGX nor 

its agents, directors, officers and employees shall, under any circumstances, be liable for errors 

or deficiencies in the calculation, methodology of calculation or publication of any of such Price 

Indices nor shall NGX be obligated to provide notice of, or publish, errors in any of such Price 

Indices in any manner. 

Products, which are settled pursuant to the terms of the CPA on the basis of settlement prices 

reported by any entity other than NGX, are not issued, endorsed, sold or promoted by such 

entity, nor has such entity passed on their legality or suitability. Neither NGX, nor its respective 

agents, directors, officers and employees shall be liable to the Contracting Party for any losses, 

costs, expenses arising from any matter relating to the source or accuracy of the underlying 

data, calculation, methodology of calculation, compilation, or publication of any Price Indices 

which are used for the settlement of any Transaction and which are derived from any publication 

6 
or any other third party index. NGX does not make any express or implied warranties in respect 

to the results which may be achieved through the use of any of the Price Indices or in respect of 

the values of any of the indices at any given time, nor that any settlement prices so established 

are at a fair, proper or correct amount. Neither NGX, nor its respective agents, directors, 

officers and employees shall, under any circumstances, be liable for errors or deficiencies in the 

calculation, methodology of calculation, compilation or publication of any of the indices nor shall 

the NGX be obligated to provide notice of, or publish, errors in any of the indices in any manner. 

Neither NGX nor any of its agents, directors, officers and employees shall be liable to the 

Contracting Party for any losses, damages, costs or expenses arising from any failure of 

publisher of such Price Indices to establish settlement prices or report settlement prices for their 

contracts at a fair, proper or correct amount 

7 
APPENDIX A: PRICE INDEX METHODOLOGY 

1 NGX AB-NIT Same Day Indices 

NGX AECO C and NIT Daily Spot Gas Price 

Price ($CIGJ) 

Quantity Exchange Weighted 

Traded Number of Weighted Rate Average 

Calendar Date Ins!. Code (TJ/Day) Trades High Low Average $US/$CAD ($US/MM) 

1vveanesaay, ;:,ep emcer , «uuq ;:,u-;:,epm 1,quo.ru 10 5.43 o.l1 5.39~ U.1652 4.3oHo 

1nursaay, :sep emoen, :lUuq :su-;:,epu« ,qou.w wq :uo:> 4.w :>:nJ14 U./0":> 4.1417 

naay, :sep emner 3, lUU4 :su-:sep U3 3q:,, 4!> 4.!l4!> q,o, 4.14"1q U.IOO" ~.M04 

naay, :sep emner 3, lUU4 t-4-::>ep U3 ,UIU.fU 1!>£ 4.01 4.0. 4.14"9 U.lb09 ~.00~3 

naay, :sep emner3, 2UU4 :SA3·:Sep U4 Hl4.3 19 4.!!1 4.13 4.1!>33 U.I009 3.0!>0 

naay, :septemner 3, lUU4 :SAA-:Sep U4 ~~ 41 4.!!4!> 4. 4.1!>39 U.IO!l9 3.0!>0!> 

riday, September 3, 2004 Weekend# 1,070.70 152 4.81 4.o: 4.7_4!1!1_ U.16tl9 3.!!!>33 

l"a uraay, <>ep emcer q, LUU'+ <>u-<>ep uq 10'+.0 qu b.lb ~ 0.14~ U.l6tl9 ~11 

1 :sunaay, <>ep emcer :>, LUU4 <>u-<>ep uo Ll9.~ ~0 5.24 !> 5.16l2 U.16H9 4.1HII 

Monaay, :sep emcer o, 2UU4 :su-;:,ep uo L'+'+.O 4• q,9:> 4.85 4.91;1;1 0.7689 3.985 

uesaay, :sep emcer , 2uuq :su-:sep Ul ,qo9.1U "" !>.I£ q,9 !>.UIOO u. /00 q,IIUO 

vveanesaay, :;ep emner H, 2UU4 :su-:;ep uo ,212.1U 141 0.30 o. 0.£040 u. /01 q,~UOL 

ursaay, :;ep emner 9, 2UU4 :su-:sep U9 ,34, .1U IIU O.U4 4.90 O.UU"14 u. 101 4.U900 

naay, :;ep emner 1U, 2UU4 :;u-:;ep 1u 439.9 03 4.99 4. 4.!!401 U. loo 3.91£3 

rlday, :;ep emner 1U, 2004 t-3-:Sep 1U 9oo 142 4.96 4.12!> 4.<>!>33 u. roo 3.9100 

nday, :;eptemner 1U, 2U04 :SAl-:Sep 11 lUll 13 - 4.<>1 4.13 4.19~ u. roo 3.9219 

lfrlday, <>ep emoer ·1u, LUU4 ""~·<>ep 369.9 50 4.90 4.10 4.!19;$] u. 166 4.UU92 

naay, <>ep emoer 1u, :.uu4 vveeKena" 900 14£ 4.96 ~25 4.85~ u.r roo __:5:91oo 

a uraay, ;:,ep emoer , Luuq <>u-;:,ep Ll!>.~ 4£ 5.08 4.11 4.9121 U.7766 4.U253 

unaay, :sep emner 12, 2UU4 :su-:sep 12 13," .4 2!> 4.00 q, 4.1901 u. 100 ~-9~10 

Monaay, :septemoer 13, 2UU4 :su-:sep 13 ,10" .2U 10<0 !>.<:o O.U4 !>.100" U.I09"1 4,1,LO 

_1_uesaay, :;ep emner 14, 2UU4 :;u-:;ep 14 ,1o9.1U 1!>1 !>.14 !> !>.UI39 u. /42 4.1'+'+!> 

VVedne~ay._:;eptemner 1!>, lUU4 :;u-:;ep 1o ,3o!>.lU II!! o.uo 4.93 !>.UUU9 U.lo99 4.uoa 

lhursday, :september 16, 20U4 :;u.:;ep 16 1,2!>!>.!>U 1H3_ !> 4.1ti 4.tll90 u. (!)(j 3.993 

naay, <>ep emoer , LUU4 <>u-<>ep LV'+.O ~L !>.4tl _:>.01 !>.2tlll'l_ u.lo94 ~04 

naay, <>ep emoer , <:UU4 .,..<>ep 990. "100 5.48 4.9 5.1062 U.lo94 4.145 

naay, :sep emcer , 2UU4 ·+::>ep wu 1U 0.400 5.37 0.4LD:> U./094 4.405 

naay, ::>ep emner , 2UU4 ::>AL·::>ep 10 1U.!> 10 0.4 0 O.UODI U.I094 4.1~U~ 

naay, :;ep emner , 2UU4 :SA3-:;ep 1H 14U.4 2U !>.30 4.,0 !>.U3U U.lb94 4.U04>J 

riday, :;eptemoer 17, 2004_ weekend# 995. 1o8 !>,40 4.9 !>.1Ut><! U.lb>J4 4.14!> 

Saturday, :september 18, 20U4 su-sep 1H 294.!> 44 0.3 !>.0 __ !>.9l~ U.I094 4.<>112 

Sunday, <>ep emoer 1,, LUU'+ <>u-<>ep 19 1tl3.9 38 5.H5 !>.4 5.650, u.lo94 4.!>919 

MOnaay, <>ep emoer w, LUU4 <>u-;:,ep LU 1,272.70 169 5.65 !>.42 5.5511_ U.l 121 _'1.!>2!>!> 

uesaay, :sep emcer [ , 2UU4 <>u-::>ep[ .~oU.IU 101 0.900 0.0 0./L'IL U. IOL 4.6877 

vveanesaay, ::>ep emoer a, LUU4 ;:,u-::>epu .~uo.>Ju 113 0.9 0./0 O.OU>J U.IOUL ... 1010 

_1nursaay, :;ep emoer 23, 2UU4 ::>u-::>ep 23 ,12!l.>JU 14!> o. 0.0~ O.Ml U.I0£4 4.oqo~ 

n<1ay, :;ep emoer 24, 2UU4 :;u-:;ep 24 2!>9.4 43 !>.!>2 !>.3!> !>.4324 U.I03!l 4.4923 

nday, :;ep emoer 24, 2UU4 r:J..::;ep 24 9!l!l.3 1!>3 !>.40 !>.3 !>.31£" U.f!l30 4.442!> 

riday, :;eptemner 24, 2UU4 _ _:SAl-::;ep 2!> ~- 11 !>.31!> !>.3 !>.313<> U.l!l3tl 4.3943 

riday, 

riday, 

<>ep 

<>eptemoer 

emoer ""· 

:.<4, 

Lvv4 

:.uu4 WeeKena1f 

SA3-<>ep L:> 32!!.4 

988.3 153 

49 

5.46 

!>.4!> !>.29 

5.3 5.3721_ 

!>.31~ U.(tj;jtl 

U.1!!3tl ~ 

__'1_.44lo 

;:,a uraay, ;:,ep emcer LO, LUU4 ;:,u-;:,ep «o 0~ 14 5.55 !>.47 5.5126 U.7tl38 4.55tl7 

::>unaay. ;:,ep emcer Lo, 2UU4 <>u-;:,ep 20 1~£.0 LO 0.01 5.~:> 0.4000 U./0~0 4.5208 

Monaay, ::>ep emcer 2., 2UU4 ::>u-::>ep 21 ,lU· .LU 1!>4 0.£9 o. O.L~/L u.roo· 4.~~01 

uesaay, ::>ep emoer 2!!, 2UU4 ::>u-::>ep 20 ,31U.OU 10!> 0.00 0.~0 0.!>204 U.IM ... 01"12 

VVednesaay, :;ep emner 29, 2UU4 :;u-::;ep '" ,39, .!>U 1!lU o.o 0 0.103>! U.l!l!>9 0.121!> 

_111_ursaay, :;ep emoer 3U, 2UU4 :;u-:;ep 3U ,uo· .tu 131 0. 0.3!> !>. '1!>3 U.f912 4.021 

(1) Weighted I 1 ~,ll_o3.8o 1 3,974 6.5 I 4.o7 5.3013 I 4.34Z4 

:1 a) ArithmetiC I I I I I I 5.2711_ L 1 ~3149 

{:t) vve1gmea ~4,a~J.1U 3,3~9 b.~ 4.b~ ~.~41~ 4,0a14 

{Za 1 Ar1tnmet1c ~.3U40 4.34J 

{3)Wei!Jilted J 1 z: ,1a8.9o 1 3,66()_ o.5 4.1;( 5.JOZZ 4.3444 

(3a) Anthmetlc I I I J I _I 5.Z6~ _l_ ~9 

{4) vve1gntea 3L,LIU.3U 4,42. b.~ 4.67 ~.£400 I 1 4.2978 

{4a 1 Ant met1c ~.:t1ab 4,UJ' 

(5) Weighted 35,U3Z.OO 4,85~ 6.5 4.6( 5.23U2 4.l!lZ3 

(5a) Arithmetic I I I I I l 5.21~ _l_ __'1.2_671 

Table 1- Sample " Daily Spot Gas Pnce at AECO C & Nova Inventory Transfer " Table 

8 
NGX generates various Price Indices from the trading activity in the current intraday ("Same 

Day") and other short-term physical Products at NGX AB-NIT. Trading information from such 

Products is used to populate the "Daily Spot Gas Price at AECO C & Nova Inventory Transfer 

Table", which is published by NGX and in the monthly edition of the Canadian Gas Price 

Reporter "CGPR". 

1.1 Index Diversity 

The methodology by which the various Price Indices are established is contained in the 

summaries in section 1.4 below. The varied array of methodologies used in many of the Price 

Indices are the result of the varied and diverse set of market participants that utilize them and 

may also be a result of the gradual changes that the marketplace has made in the way that they 

enter into Transactions in the spot markets. 

1.2 Weekend# 

The methodologies in section 1.4 below utilize the concept of the "Weekend#", which refers to a 

row contained in the "Daily Spot Gas Price at AECO C & Nova Inventory Transfer Table". 

Weekend# is a value that is derived from trading on the Friday immediately preceding the 

weekend in the Product (the default Product is the "F3") that represents the daily gas delivery 

for the current Friday to the following Sunday (ie. A three-day Product that begins on the current 

Friday). 

1.3 Month ending on a weekend or Statutory and Other Holidays 

Various Products may be substituted as a suitable replacement for the default Product ("F3") for 

the Weekend# during certain holidays in Canada and in the United States or because the month 

begins or ends on a weekend. Prior to any change that may significantly impact trading in 

Canada, which would require a change to the default for the Weekend#, NGX will publish a 

revised methodology regarding how the holiday will be treated with respect to the generation of 

the Indices. 

1.4 Methodologies 

NGX AB-NIT Same Day Index 1 

The NGX AB-NIT Same Day Index 1 ("Index 1 ") is determined by calculating the volumeweighted average of all the rows contained in the "Daily Spot Gas Price at AECO C & 

Nova Inventory Transfer Table". This includes all rows representing Same Day Product 

Transactions and rows representing the Weekend#. 

NGX AB-NIT Same Day Index 1A 

The NGX AB-NIT Same Day Index 1A ("Index 1A") is determined by calculating the 

arithmetic average of the weighted average rows used in Index 1. 

NGX AB-NIT Same Day Index 2 

The NGX AB-NIT Same Day Index 2 ("Index 2") is determined by calculating the volumeweighted average of the rows representing Same Day Product Transactions contained in 

the "Daily Spot Gas Price at AECO C & Nova Inventory Transfer Table". This index 

excludes the Weekend# rows. 

9 
NGX AB-NIT Same Day Index 2A 

The NGX AB-NIT Same Day Index 2A ("Index 2A") is determined by calculating the 

arithmetic average of the weighted average rows used in Index 2. In the event that the 

CGPR does not report the required information to determine the NGX AB-NIT Same Day 

Index 2A hereunder, or the NGX AB-NIT Same Day Index 2A is otherwise not 

determinable, the price will be the price determined by Exchange based on the 

arithmetic average of the daily weighted average of all same day (IA-SD) Physical 

Transactions with reference to the most comparable trades executed through the NGX 

Trading System at NGX AB-NIT. 

NGX AB-NIT Same Day Index 3 

The NGX AB-NIT Same Day Index 3 ("Index 3") is determined by calculating the volume-

. weighted average of selected rows contained in the "Daily Spot Gas Price at AECO C & 

Nova Inventory Transfer Table". The selected rows are those that represent Same Day 

Product Transactions on business days, and the Weekend# row once for each weekend. 

NGX AB-NIT Same Day Index 3A 

The NGX AB-NIT Same Day Index 3A ("Index 3A") is determined by calculating the 

arithmetic average of the weighted average rows used in Index 3. 

NGX AB-NIT Same Day Index 4 

The NGX AB-NIT Same Day Index 4 ("Index 4") is determined by calculating the volumeweighted average of selected rows contained in the "Daily Spot Gas Price at AECO C & 

Nova Inventory Transfer Table". The selected rows are those that represent Same Day 

Product Transactions on business days, and the Weekend# row as a proxy for each day 

of the weekend. It is important to note that the Weekend# is typically counted twice in 

this calculation, once for Saturday and again for Sunday. 

NGX AB-NIT Same Day Index 4A 

The NGX AB-NIT Same Day Index 4A ("Index 4A") is determined by calculating the 

arithmetic average of the weighted average rows used in Index 4. In the event that 

CGPR or Exchange does not report the required information to determine the NGX ASNIT Same Day Index 4A hereunder, or the NGX AB-NIT Same Day Index 4A is 

otherwise not determinable, the price will be the price determined by Exchange based 

on the arithmetic average of: 

A. for each Gas Day (Monday to Friday, inclusive) the daily weighted 

average for all same day (IA-SD) Physical Transactions executed through 

the NGX Trading System at NGX AB-NIT; and 

B. the weighted average for weekend (IA-SA2) Physical Transactions 

executed through the NGX Trading System as a proxy for each Saturday 

and Sunday at NGX AB-NIT. 

10 
NGX AB-NIT Same Day Index 5 

The NGX AB-NIT Same Day Index 5 ("Index 5") is determined by calculating the volumeweighted average of selected rows contained in the "Daily Spot Gas Price at AECO C & 

Nova Inventory Transfer Table". The selected rows are those that represent Same Day 

Product Transactions Monday through Thursday, and the Weekend# row as a proxy for 

Friday and for each day of the weekend. It is important to note that the Weekend# is 

typically counted three times in this calculation, once for Friday, once for Saturday and 

again for Sunday. 

NGX AB-NIT Same Day Index 5A 

The NGX AB-NIT Same Day Index 5A ("Index 5A") is determined by calculating the 

arithmetic average of the weighted average rows used in Index 5. In the event that the 

CGPR or Exchange does not report the required information to determine the NGX ASNIT Same Day Index 5A hereunder, or the NGX AB-NIT Same Day Index 5A is 

otherwise not determinable, the price will be the price determined by Exchange based 

on the arithmetic average of: 

A. for each Gas Day (Monday to Thursday, inclusive) the daily weighted 

average for all same day (IA-SD) Physical Transactions executed 

through the NGX Trading System at NGX AB-NIT; and 

B. the weighted average for all weekend (IA-F3) Physical Transactions 

executed through the NGX Trading System as a proxy for Friday, 

Saturday or Sunday plus any Canadian statutory holidays that are 

included in the weekend Physical Transactions at NGX AB-NIT. 

NGX AB-NIT Same Day Index 5A US 

The NGX AB-NIT Same Day Index 5A US ("Index 5A US") is determined by converting 

the Index 5A to US Dollars/MMBtu using the Bank of Canada Noon Day Rate. 

2 NGX AB-NIT Month Ahead Indices 

NGX generates three Price Indices from the trading activity in the Product that represents daily 

gas delivery from the first day of the following month to the last day of the following month (i.e. 

"Near Month", "Prompt Month", or "One-Month Spot") at NGX AB-NIT. 

2. 1 Index Data Source 

All implied spread Transactions in the underlying Product will be included in the calculation of 

the Month Ahead Indices however all spread legs generated by the NGX Trading 

System as a result of time spread Transactions in the underlying Product will not be included in 

the calculation of the Month Ahead Indices. 

2.2 Methodologies 

NGX AB-NIT Month Ahead Index 

The NGX AB-NIT Month Ahead Index is determined by calculating the volume-weighted 

average of all the Transactions during a calendar month in the Product that represents 

gas delivery for the following calendar month. In the event that CGPR or Exchange does 

11 
not report the required information to determine the NGX AB-NIT Month Ahead Index 

hereunder, or the NGX AB-NIT Month Ahead Index is otherwise not determinable, the 

price will be the price determined by Exchange with reference to the most comparable 

reported prices in respect of Intra-Alberta gas bought and sold for the entire delivery 

Month on the TCPL Alberta System based on agreements made during the Month 

immediately prior to the delivery Month. 

NGX AB-NIT Month Ahead Index US 

The NGX AB-NIT Month Ahead Index US is determined by converting the NGX AB-NIT 

Month Ahead Index to US Dollars/MMBtu using the Bank of Canada Noon Day Rate as 

published on the first business day of the calendar month of the NGX AB-NIT Month 

Ahead Index US. 

NGX AB-NIT Bidweek Index 

The NGX AB-NIT Bidweek Index is determined by calculating the volume-weighted 

average of all the Transactions during the last five Canadian business days during a 

calendar month ("Bid Week") in the Product that represents gas delivery for the following 

calendar month. 

2.3 Statutory and Other Holidays 

Prior to any Canadian statutory holiday, or prior to any U.S. holiday that significantly impacts 

trading in Canada, NGX publishes a methodology regarding how the holiday will be treated with 

respect to the generation of the Indices. 

3 NGX Daily Spot Gas Price Indices 

NGX generates daily spot price indices from the on screen daily trading activity, in the next-day 

D1 ("Spot Day") Product on Monday to Thursday and the on screen daily trading activity, in the 

SA3 ("Weekend") Product traded on Friday. These Products are the index source Products. 

3. 1 Index Data Source 

For the following Price Indices all of the on screen transactional data that occurs in the index 

source Products, from market opening until the Product closes for the trading day, will qualify to 

be used in the calculation of the Index. 

• NGX Spectra Station #2 Day Ahead Index (formerly NGX Station #2 Daily Spot Price) 

• NGX GTN Malin Day Ahead Index (formerly NGX Malin Daily Spot Gas Price) 

• NGX PG&E Citygate Day Ahead Index (formerly NGX PG&E Citygate Daily Spot Price) 

• NGX TCPL-Chippawa Day Ahead Index (formerly NGX Chippawa Daily Spot Price) 

• NGX Union-Dawn/TCPL-Chippawa Transport Day Ahead Index (formerly NGX 

Chippawa Transport Daily Spot Price) 

• NGX TCPL-Emerson Great Lakes Day Ahead Index (formerly NGX Emerson/Great 

Lakes Daily Spot Price) 

• NGX TCPL-Empress Day Ahead Index (formerly NGX Empress Daily Spot Price) 

• NGX AB-NIT/TCPL-Empress Transport Day Ahead Index (formerly NGX Empress 

Transport Daily Spot Price) 

• NGX TCPL-Iroquois Day Ahead Index (formerly NGX Iroquois Daily Spot Price) 

12 
• NGX Union-DawnrrCPL-Iroquois Transport Day Ahead Index (formerly NGX Iroquois 

Transport Daily Spot Price) 

• NGX TCPL-Niagara Day Ahead Index (formerly NGX Niagara Daily Spot Price) 

• NGX Union-DawnrrCPL-Niagara Transport Day Ahead Index (formerly NGX Niagara 

Transport Daily Spot Price) 

• NGX TCPL-St. Clair Day Ahead Index (formerly NGX St. Clair Dawn Daily Spot Price) 

• NGX TCPL-St. Clair/Union-Dawn Transport Day Ahead Index (formerly NGX St. Clair 

Dawn Transport Daily Spot Price) 

• NGX Union-Dawn Day Ahead Index (formerly NGX Union Dawn Daily Spot Price) 

• NGX Union-Parkway Day Ahead Index (formerly NGX Union Parkway Daily Spot Price) 

• NGX Union-Dawn/Parkway Transport Day Ahead Index (formerly NGX Parkway 

Transport Daily Spot Price) 

For the NGX AB-NIT Day Ahead Index only the on screen transactional data that occurs in the 

index source Products, from Market opening until 10:30 am Mountain Time, Monday to Friday, 

will qualify to be used in the calculation of the Index. 

Location spread Transaction legs are only included in the calculation of Transport Day Ahead 

Indices, they are not included in the calculation of non-Transport Day Ahead Indices. 

3.2 Index Diversity 

These Price Indices follow the methodology as outlined below, using the NGX Union-Dawn Day 

Ahead Index Table below as an example. 

NGX Union Dawn Daily Spot Gas Price 

Price ($US/MMBtu) 

Total 

Quantity Number 

Trading Clearing Product Traded of Weighted 

Date Date Product ID Ranqe (BBtu) Trades Hiqh Low Average 

Friday, March 

31,2006 ~pr-1 - Apr-3 SA3-Apr 01 Saturday - Monday 704.8 91 6.97 6.875 6.9128 

Friday, 

March 31 

2006 WKD SA3-Apr 01 2,114.40 91 6.97 6.875 6.9128 

Monday, April 

3 2006 14-Aor D-Aor 04 TuesdaY 908.3 87 7.47 7 7.2942 

lfuesday, April 

14 2006 5-Apr D-Apr 05 Wednesday 919.5 85 7.295 7.08 7.241 

!Wednesday, 

!April 5 2006 6-Apr D-Apr 06 Thursday 836.5 75 7.15 6.99 7.0403 

lfhursday, 

IAoril 6 2006 7-Apr D-Apr 07 Friday 691.7 64 7.32 7.08 7.2392 

Friday, April IApr-8 - Apr7 2006 10 SA3-Apr 08 Saturday - Monday 718 78 6.995 6.9 6.961 

Friday, April 

7 2006 WKD SA3-Apr 08 2,154.00 78 6.995 6.9 6.961 

Monday, April 

10 2006 11-Apr D-Apr 11 Tuesday 1,037.60 106 6.87 6.74 6.8124 

rruesday, April 

11 2006 12-Aor D-Aor 12 WednesdaY 832.2 83 7.02 6.85 6.9727 

jwednesday, 

IAoril 12 2006 13-Apr D-Apr 13 Thursday 771.8 76 6.88 6.72 6.7875 

hursday, ~pr-14 - Apr-

~pril 13 2006 17 F4-Apr 14 Friday - Monday 754.5 79 7.01 6.54 6.6679 

!Thursday, 

jApril 13 

2006 WKD F4-Apr 14 3 018.00 79 7.01 6.54 6.6679 

13 
Monday, April 

17, 2006 18-Apr D-Apr 18 Tuesday 521.5 63 7.36 7.135 7.1805 

uesday, April 

18 2006 19-Apr D-Apr 19 Wednesday 562.8 65 7.73 7.52 7.6312 

)Nednesday, 

~pril 19 2006 20-Apr D-Apr 20 Thursday 530.6 64 8.12 7.78 7.9432 

11\pril 2006 

otals: 14,898.90 1 016 8.12 6.54 7.0218 

Table 2- Sample "NGX Union Dawn Daily Spot Gas Price" Table 

3.3 WKD 

The methodology in section 3.4 below utilizes the concept of the "WKD", which refers to a row 

contained in the respective"Daily Spot Gas Price Table". 

WKD Total Quantity Traded is a value that is derived from qualifying trading, on the day 

immediately preceding the weekend, in the index source Product (the default Product is the 

"SA3") multiplied by the number of days represented. This quantity represents the total 

qualifying quantity for the weekend (the default would be the qualifying quantity for Saturday, 

Sunday and Monday). 

3.4 Methodologies 

The daily spot gas price index tables such as the NGX Union-Dawn Day Ahead Index table 

illustrated above provides a summary of the index source Product qualifying Transactions that 

comprise the Price Index. A volume-weighted average is calculated for each row. 

The monthly total for the daily spot gas price indices are determined by calculating the 

arithmetic average of the daily Product, weighted average rows (typically traded on Monday to 

Thursday), plus the weighted average of the WKD row typically traded on Friday. 

For Clarification, the row-representing weekend trading activity that occurred on Friday is not 

counted in the calculation. But the WKD row (representing the daily volume traded on Friday 

times the number of proxy days) is used in the calculation. 

3.5 Statutory and Other Holidays 

Prior to any Canadian statutory holiday, or prior to any U.S. holiday that significantly impacts 

trading in Canada, NGX publishes a methodology regarding how the holiday will be treated with 

respect to the generation of the Indices. Typically this will entail a substitution of the index 

source Product that will represent the WKD in the table. Various Products may be substituted 

as a suitable replacement for the default Product ("SA3") for the WKD during certain holidays in 

Canada and in the United States or because the month begins or ends on a weekend. 

4 NGX AB-NIT Same Day and NGX AB-NIT Yesterday Indices 

NGX generates various Price Indices from the trading activity in the current intraday ("SD") and 

yesterday's intraday ("YD") Products. Trading information from such Products is used to 

populate the tables using the same methodology for the following Price Indices: 

• NGX AB-NIT Same Day Index 

• NGX AB-NIT Yesterday Index 

14 
4. 1 Index Diversity 

These Price Indices follow the methodology as outlined below, using the NGX Intra-Alberta "YD 

Price Index as an example I , Natural Gas Exchange 

I r--- AECO/NGX Intra-Alberta YO Index Values 

I Current Month Cumulative Data 

I Date !settlement I High I Low! 'w_e_i---,gh:-:t-e--:d-,A_v_e-ra_g_e !Volume Per Day 

~iT 6.29o 6.35o! 6.195 . 6.2247 1 146.7 I Apr-02l 6.535[ _______ 6_.5_3_5l 6.300 6.4243! 327.0 

I Apr-o3! 6.84o 1 7.ooo 6.39o 6.6197 i 263.3 

JAPr=041 6.650 6.no I 6.54o I 6.6432 i 196.5 

I Apr-o51 6.500 I 6.520 I 6.380 I 6.4334 i 184.9 

I Apr-061 6.370 I 6.580 I 6.350 I 6.5057J 278.0 

I Apr-o71 6.050 I 6.150 I 6.oool 6.09241 151.7 

I Apr-o81 5.900 I 6.030 I 5.880 I 5.9268J 86.5 

I Apr-09 I 5.880 I 6.1ool 5.850 I 5.9451 r-- 202.0 

I Apr-10[-- 5.930/ 6.060r---- 5.890 ---5.9s151··----234.] 

fAPr=lll._---s.9soi-· 6.llor-- 5.9oo 6.o19s 1 190.1 

I Apr-12!- 5.850/. 5.950 ~-·- 5.830 5.8714 r-- 160.3 

jApr-131 6.1ooj 6.100! 5.630\ 5.8331! 185.1 

I Apr-14f 6.500 6.5oo! 6.150 6.2786 t 182.1 

I Apr-15.1 6.33o I 6.4oof 6.23o I 6.32061 224.7 

I Apr-161 6.205.1 6.250 r-- 6.190 6.2111 I 195.8 

I Apr-171 6.330 I 6.400 6.170 I 6.2283[ 242.2 

I Apr-06 r ,-- 6.2611 N/AI .c__ __ .---------·----····-·· 

6.2451! 3,451.6 

Table 3- Sample "NGX Intra-Alberta YD Price" Table 

4.2 Proxy 

There is no proxy used in the calculation of these indices, as NGX Trading System is available 

for trading 365 days a year. 

4.3 Methodologies 

These Price Indices follow the methodology as outlined below, using the NGX AB-NIT 

Yesterday Index as an example 

The NGX AB-NIT Yesterday Index table illustrated above provides a summary of the 

Transactions that occurred for yesterday's gas day that comprise the NGX AB-NIT Yesterday 

Index. The table contains one row representing trades in the yesterday's day Product for each 

day from Monday to Sunday, a volume-weighted average is calculated for each row. 

The NGX AB-NIT Same Day and NGX AB-NIT Yesterday Indices are determined by calculating 

the arithmetic average of all of the weighted average rows in the applicable table for a specific 

period. 

15 
4.4 Statutory and Other Holidays 

Prior to any Canadian statutory holiday, or prior to any U.S. holiday that significantly impacts 

trading in Canada, NGX publishes a methodology regarding how the holiday will be treated with 

respect to the generation of the Indices. 

5 NGX Crude Oil Indices 

NGX generates Price Indices from the trading activity in certain NGX Product(s) in the month 

prior to the Delivery Period for those Products. These Indices are calculated over two Index 

Periods: 

A. Full Index Calculation Period - means the period commencing on the first Trading 

Day of the month immediately prior to the Delivery Period and ending on the Initial 

NOS Deadline for the relevant pipeline. 

B. Three Day Index Calculation Period - means the last three business days of the Full 

Index Calculation Period. 

5. 1 Index Data Source 

For the following Price Indices all of the onscreen transaction data (other than Trades in Error) 

in the index-generating Products during the relevant Index Period will qualify to be used in the 

calculation of the relevant Index. 

The index-generating Products are the grades referred to in the name of the relevant Index. 

• NGX C5 A3 (ShFB) 

o Includes differential to Posting at Federated, Fort Sask, Peace, Pembina, and 

Rimbey 

• NGXC5WTI 

o Includes differential to WTI at Federated, Fort Sask, Peace, Pembina, and Rimbey 

• NGX LSB A5 (IFPSuSh) 

o Includes differential to Posting at Enbridge and Westspur 

• NGX LSBWTI 

o Includes differential to WTI at Enbridge and Westspur 

• NGX M A4 (EFShSu) 

o Includes differential to Posting at Westspur 

• NGX MWTI 

o Includes differential to WTI at Westspur 

• NGX SW A4 (IPSuSh) 

o Includes differential to Posting at Bonnie Glen, Enbridge, Federated, Peace, 

Pembina and Rainbow 

• NGXSWWTI 

o Includes differential to WTI at Bonnie Glen, Enbridge, Federated, Peace, Pembina 

and Rainbow 

• NGXSYNWTI 

o Includes differential to WTI at Alberta Oilsands Pipe Line 

• NGX WCS A3 (BEF) 

o Includes differential to Posting at Husky 

16 
• NGXWCSWTI 

o Includes differential to WTI at Husky 

5.2 Statutory and Other Holidays 

Prior to any Canadian statutory holiday, or prior to any U.S. holiday that significantly 

impacts trading in Canada, NGX publishes a methodology regarding how the holiday will 

be treated with respect to the generation of the Indices. 

5.3 Example 

Here is an example of a report in which some of the Crude Oil Indices are published: 

5 N1P Index Report - Wmdows Internet Explorer 

}.] ~ ·y~'lM ; 1r~ I .B?D I T~- i L~eu-' B?D. i T~. ; ~r.w:. i a~o [ T~~ f ~ [ .B~ I T~ 1·1r~ [ aDo T1"t..i, ! I:~~ ·~ B?D ! T:G. L'~ 

;'~. 

:----;---+--'. 

NIP lndex and Dailv l\.'11' Settlem<nt Methodolgy 

Copyright 2009 NetT!nuPut Inc. 

For questions please email helpdesk@netthruput.com or caD the Help Desk@ (403) 538-3535 

Dane 

6 NGX Alberta Electricity RRO Indices 

The NGX Alberta Electricity RRO Index generates three near month indices from "On Screen" 

market activity that occurs during the NGX regular trading day. 

• NGX Alberta Flat Electricity RRO Index 

• NGX Alberta Extended Peak Electricity RRO Index 

• NGX Alberta Super Peak Electricity RRO Index 

The NGX Alberta Electricity RRO Index is unique in that it incorporates Transactional activity as 

well as bid/offer spreads to determine the index. It was created to ensure a fair representative 

index price is available, even on a market day when there are no Transactions. All implied 

17 
spread Transactions and implied spread bids or offers in the underlying Product will be included 

in the calculation of the NGX Alberta Electricity RRO Indices however all spread legs generated 

by the NGX Trading System as a result of time spread Transactions in the underlying Product 

will not be included in the calculation of the NGX Alberta Electricity RRO Indices. 

6. 1 Combined Index Generation 

The Daily Combined Index Price is made up of a time weighted average of qualifying spreads 

and a weighted average of on screen trades, which occur on a specific trading day. Each 

trading day, a daily post price and daily post volume are calculated to a time weighted average 

and then combined with the weighted average of NGX Transactions for that day. This result is a 

weighted average Daily Combined Index Price for that day. 

6.2 Qualifying Spreads 

Only spreads made up of the best bid and best offer and that meet the predetermined criteria 

will be included when calculating the daily post price and daily post volume. These qualifying 

spreads must meet the requirements set out in Table 1.0. 

18 
Qualifying Spread Requirements 

Spread Requirement Baseload (FLAT) Extended Peak Super Peak 

Minimum bid/offer 5MWh 5MWh 5MWh 

Volume 

Max Spread Post 25MWh 25MWh 25MWh 

Volume per Day 

Max Spread $2.00/MWh $5.00/MWh $10.00/MWh 

Min Minutes per Day 60 Minutes 60 Minutes 60 Minutes 

Weighted Average Fraction of hours Fraction of hours Fraction of hours 

Time 

Weighted Average Lesser of bid/offer Lesser of bid/offer Lesser of bid/offer 

Volume 

No Qualifying Use Volume of 0 Use Volume of 0 Use Volume of 0 

Spreads for the day for the day for the day 

To determine the daily post price, only bid/offer spreads with a minimum volume of 5 MWh will 

be used. The bid/offer spread must be equal to or less than $2.00/MWh, $5.00/MWh or 

$1 0.00/MWh in the Baseload, Extended Peak and Super Peak products respectively, for the 

spread to qualify. Finally, all the qualifying spreads in the day must have a total duration of 60 

minutes for the time weighted average post price to be eligible for inclusion into the index; 

otherwise a volume of 0 will be used. If there are qualifying spreads in the day in excess of 25 

MWh, a maximum of 25 MWh will be used when calculating the weighted average index price. 

6.3 Qualifying Trades 

All on screen trades that occur during a NGX regular trading day are used in the calculation of 

the Trade Data Weighted average 

TRADE REQUIREMENT 

Trade Requirement Baseload (FLAT) Extended Peak Super Peak 

Max Daily Trade 100 MWh 100 MWh 100 MWh 

Volume 

No Trades Use Volume of 0 Use Volume of 0 Use Volume of 0 

for the day for the day for the day 

When there are over 100 MWh of trades in the day, all of the trade volumes will be used to 

calculate the weighted trade price, but ~ maximum of 100 MWh will be used in the calculation of 

The Daily Combined Index Price. 

Note: This ensures that if there are greater than 25 MWh of spreads and trades on a given 

day, the trades are more heavily weighted when calculating the index. 

6.4 Calculating the Daily Post Price Using Spreads: 

The daily post price is calculated using a time weighted average as follows: 

a) Spread duration in Hours = End Time- Start Time (sec) 

19 
Date 

Day.1 

Day2 

Day2 

Day3 

Day3 

Day4 

Day4 

Day4 

Day4 

60 min/hr * 60 sec/min 

b) Post volume= Spread duration in Hours (see above)* Min (bid volume, offer volume) 

c) Post price = Midpoint of the bid/offer spread 

d) Time weighted average daily index= SUM (Post volume* Post price) 

SUM (Post Volume) 

Examples of Calculating a Spread Daily Post Price (Baseload power market): 

Month Start End Time Sprd Bid Offer Best Best Spread Post Post 

Time Our Vol Vol Bid Offer Vol Price 

Price Price 

June 06 8:45:00 10:50:00 .2.08 * 25 25 67.50 69.00 1.50 52.08 ** 68.25 *** 

June 06 10:44:0 11:44:00 1.00 5 10 67.00 68.50 1.50 ' 5.00* 67.75 

0 

June 06 14:50:0 16:00:00 1.17 5 5 65.50 67.50 2.00 5.83* 66.50 

0 

June 06 11:35:3 11:45:45 0.17 5* 15 66.00 67;00 1.00 0.85 66.50 

0 

June 06 11:45:4 12:56:45 1.18 10 * 15 66.00 67.00 1.00 11.80 66.50 

5 

June 06 9:06:30 9:10:30 0.067* 10 15 66.10 66.45 0.35 0.67 66.275 

June 06 10:15:4 10:37:00 0.35* 15 10 66.25 66.50 0.25 3.54 66.375 

5 

June 06 11:02:1 11:21:20 0.32* 15 5 66.35 66.65 0.30 1.60 66.50 

0 

June 06 11:34:1 11:56:40 0.38 5 10 65.00 67.15 2.15 •• 

0 

Day 1: 

Daily 

Index 

25 MWh 

@ $68 .. 25 

**** 

10.83 

MWh @ 

$67.08 *** 

12.65 

MWh @ 

$66.50 ** 

0 Volume 

used to 

calculate 

the daily 

index 

* Spread Duration = 2 hrs and 5 minutes duration = 125 minutes/60 minutes/hour= 2.08333 

** Post Volume= Min (bid volume, offer volume) *Spread Duration = 25 MW * 2.08333 = 52.08 

***Post Price= Midpoint (bid price, offer price)= $68.25 

**** The post volume for the day is 52.08, which is greater than the maximum allowed, 25 MWh. 

Therefore, use the maximum of 25 MWh for post volume. 

Day2: 

The Day 2 post price volume is the sum of the volumes of the qualifying spreads as follows: 

Spread Duration = 1.00 hr + 1.17 hr = 2.17 hr 

* Post Volume = 5.00 MWh + 5.83 MWh = 10.83 MWh 

** Daily Index post price is the weighted average of the Post Volume and Post Price 

= [(5.00 MWh * $67.75) + (5.83 MWh * $66.50)] I 10.83 MWh = $67.08 

***Since the post volume is less than 25 MWh, the index will use the actual value, 10.83 MWh. 

Day3: 

*The spread volume has changed, however the price has not changed. Each volume is counted 

as a separate spread. 

** Daily Index is the weighted average of the Post Volume and Post Price 

= [(0.85 MWh * $66.50) + (11.80 MWh * $66.50)] I (0.85 MWh + 11.80 MWh) = $66.50 

20 
*Spread Duration = 0.067 hr + 0.35 hr + 0.30 hr = 0.717 hr, which is less than the required 1 

hour, so the Daily post volume will be 0.00 MWh. 

**This spread is greater than $2.00 and thus does not qualify. Only spreads less than or equal 

to $2.00/MWh for Baseload, less than or equal to $5.00/MWh for Extended Peak and less than 

or equal to $10.00/MWh for Super Peak contracts will be included as a qualifying spread. 

6.5 Calculating the Daily Traded Price Using Trades: 

The daily traded price is a weighted average of trades, calculated as follows: 

Weighted average= SUM (Traded volume* Traded price) 

SUM (Traded Volume) 

If there are more than 1 00 MWh trades in the day, the weighted average is calculated using 

the total traded volume; however the maximum volume for the day is limited to 100 MWh. 

6.6 Calculating the Daily Combined Index Price Using Spreads and Trades: 

If both trades and qualifying spreads occur on a given day, the daily combined index price 

becomes a weighted average of the traded price weighted average and the spread time 

weighted average as follows: 

Daily Price = (Spread Post Price* Spread Post Volume) + (Traded Volume* Traded Price) 

Spread Post Volume + Trade Volume 

6. 7 Example of Calculating a Daily Combined Index Price: 

, Given the following spread and trade data, the daily index is calculated as a weighed 

average. 

Spread Post Price: $68.25 

Spread Post Volume: 13.83 MWh 

Trade Post Price: $67.75 

Trade Volume: 100 MWh 

Daily Price: ($68.25 * 13.83 MWh) + ($67.75 * 100 MWh) = $67.81 

100 MWh + 13.83 MWh 

Daily Volume: 100 MWh + 13.83 MWh = 113.83 MWh 

Note: Because the maximum traded volume in a day is 100 MWh and the maximum spread 

volume in a day is 25 MWh, the daily volume will not exceed 125 MWh for any given day. 

6. 8 Monthly Index 

A weighted average of all Daily Combined Index prices in the interval is then used to calculate 

the monthly index. Therefore the monthly index can be made up of a combination of qualifying 

bid/offer spreads and on screen trades. 

21 
6.9 Monthly Index Interval 

The monthly index will be established using market activity (trades and spreads) starting on the 

45th calendar day prior to each month, and ending on the 6th trading day prior to each month for 

which the index is being set. 

For example, the Aug 2006 monthly index will be set based on the weighed average of 

the posted spreads and traded prices starting on June 1th, 2006 and ending on July 

21 5

\ 2006, inclusively. 

6. 10 Monthly index calculation 

The monthly index is calculated using a weighted average as follows: 

Weighted average monthly index= SUM (Daily Index Volume* Daily Index Price) 

SUM (Daily Index Volume) 

6. 11 Monthly Index Generation Days 

The monthly index will not be generated on Saturday, Sunday, NERC Holidays or 

statutory holidays in the Province of Alberta. It will be generated every business day, 

Monday to Friday unless a NERC Holiday or statutory holiday in the Province of Alberta 

falls on an index generation day. 

6.12 DEFINITIONS 

"Alberta Flat" means the periods on each calendar day as follows: 

In the case of a Sunday on and from which time is to be one hour in advance of 

mountain standard time (first Sunday in March), the twenty-three (23) hour period 

starting at 0000 MPT and ending at 2400 MPT (HE01 00 to HE2300 inclusive); 

In the case of a Sunday on and from which time is no longer to be one hour in 

advance of mountain standard time (last Sunday in November), the twenty-five 

(25) hour period starting at 0000 MPT and ending at 2400 MPT (HE0100 to 

HE2500 inclusive); and 

For all other calendar days, the twenty-four (24) hour period starting at 0000 MPT and 

ending at 2400 MPT (HE0100 to HE2400 inclusive); 

"Alberta Extended Peak" means the sixteen (16) hour periods for each day starting at 

0700 MPT and ending at 2300 MPT (HE 0800 to HE 2300 inclusive); 

"Alberta Super Peak" means the six (6) hour periods for each day starting at 1700 MPT 

and ending at 2300 MPT (HE1700 to HE2200 inclusive); 

"Bank of Canada Noon Day Rate" means the currency exchange rate between Canadian 

and US currency as published by the Bank of Canada; 

"NERC Holidays" means additional Off-Peak Days (aka "Holidays") as determined by the 

North American Electric Reliability Council. 

22 
APPENDIX 8: PUBLISHED INDICES DEFINITIONS 

The following indices ("Published Indices") are not owned or generated by NGX. NGX has the 

right to use these Published Indices for the purpose of settlement of Products traded on the 

Exchange. 

a. Available U.S. posting options for individual company 40 degree reference price for WTI 

crude oil with a differential to $U.S. per barrel: 

"Argus Average" is the arithmetic average of the daily mid point quote by Argus 

for the prompt delivery month trading for that specific grade and location 

In the event the mid point of the daily quote is shown as $U.S.0.005 then the value will 

be rounded up to the nearest cent. 

The abbreviations for the posters as follows: 

ConPhil or CP - ConocoPhillips 

ARG Petroleum Argus Americas Crude Report 

b. Available U.S. WTIIndex options are: 

CMA settlement prices for the applicable delivery months in $U.S. per barrel, 

plus/minus a differential in $U.S. per barrel as specified when entering the 

Physical Oil Transaction; and 

DNS settlement price is the closing daily settlement price for the U.S. Provider as 

at the date of the Physical Oil Transaction, plus/minus a differential in $U.S. per 

barrel as specified when entering the Physical Oil Transaction provided that: (a) 

when Physical Oil Transactions are for the next most immediate delivery month, 

the DNS will be the closing daily settlement price for the U.S. Provider prompt 

contract as at the date of the Physical Oil Transaction; and (b) for Physical Oil 

Transactions entered into for delivery during any other future month excluding 

the next most immediate delivery month, the DNS will be the U.S. Provider 

settlement price for the U.S. Provider contract month that matches the applicable 

Delivery Period. 

Such WTI Index Options are indicated in Table I of the CPA by "CMA" or "DNS" 

in the "System Price Abbr." column of such table. 

All Physical Oil Tran~actions entered into on a DNS price basis during a Trading 

Day when the U.S. provider is closed (for any reason) will be settled using the 

corresponding U.S. Provider values on the most immediate prior trading day of 

the U.S. Provider. 

c. Available CAD posting options are customized for the applicable Crude Type and 

include both monthly averages of individual postings and averages of groups of postings 

in Canadian Dollars per cubic metre, plus/minus a differential in $U.S. per barrel. The 

abbreviations for the posters as follows: 

BP orB BP Canada Energy Trading Company Ltd. 

23 
Encana orE - Encana Crude Oil Marketing 

Flint or F Flint Hills Resources Limited 

Husky or H Husky Oil Limited 

IOL or I Imperial Oil Limited 

PCI or I Petro-Canada Products 

Shell or Sh Shell Canada Limited 

Sun or Su Suncor Inc. 

d. Available Canadian WTIIndex options refer to CMA settlement prices for the applicable 

delivery months in $U.S. per barrel, plus/minus a differential in $U.S. per barrel. Such 

WTI Index options are indicated in Table I in the CPA by "WTI" in the "Systems Price 

Abbr." column of such table. 

e. "Chicago Bid week Index Price" means for any Calculation Period: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in NGI in the table "(Applicable Month) Bid week" corresponding to "MidwestChicago Citygate - Bid Week Avg"; or 

ii. in the event that NGI does not report the required information to determine the 

Chicago Bid week Month Index Price, or such price is otherwise not available, 

the price will be determined by Exchange with reference to the most comparable 

reported prices in respect of gas bought and sold for the entire delivery Month at 

the Chicago Citygate; 

f. "Chicago Daily Index Price" means for any Calculation Period: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($/MMBtu)" 

corresponding to "Citygates - Chicago Citygates - Midpoint"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Henry Daily Index Price, or such price is otherwise not determinable, the 

price will be determined by Exchange with reference to the most comparable 

reported prices in respect of gas bought and sold at the Chicago Citygate Market 

Center; 

g. "CIG Rockies Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in U.S. dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($/MMBtu)" 

corresponding to "Rockies, CIG, Rocky Mountains- Mid-point"; or 

24 
ii. in the event that Gas Daily does not report the required information to determine 

the CIG Rockies Daily Index price, or if the CIG Rockies Daily Index Price is 

otherwise not determinable, the price will be determined by Exchange with 

reference to the most comparable reported price in respect of gas bought and 

sold at the CIG, Rocky Mountains market center; 

h. "CIG Rockies Spot Month Index Price" for any Calculation Period means: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in "Inside FERC's Gas Market Report" in the table "Prices of Spot Gas Delivered 

to Pipelines (per MMBtu)" corresponding to "Colorado Interstate Gas Co., Rocky 

Mountains - Index"; or 

ii. in the event that Inside FERC does not report the required information to 

determine CIG Rockies Spot Month Index Price hereunder, or the CIG Rockies 

Spot Month Index Price is otherwise not determinable, the price will be the price 

determined by Exchange with reference to the most comparable reported prices 

in respect of gas bought and sold at the CIG, Rocky Mountains market center; 

i. "EP Permian Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in U.S. dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($/MMBtu)" 

corresponding to "Permian Basin Area - El Paso, Permian Basin- Mid-point"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the EP Permian Daily Index price, of if the EP Perm Daily Index Price is 

otherwise not determinable, the price will be determined by Exchange with 

reference to the most comparable reported price in respect of gas bought and 

sold at the El Paso, Permian Basin market center; 

j. "EP Permian Spot Month Index Price" for any Calculation Period means: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in "Inside FERC's Gas Market Report" in the table "Prices of Spot Gas Delivered 

to Pipelines (per MMBtu)" corresponding to "EI Paso Natural Gas Co., Permian 

Basis - Index"; or 

ii. in the event that Inside FERC does not report the required information to 

determine the EP Permian Spot Month Index Price hereunder, or the EP Permian 

Spot Month Index Price is otherwise not determinable, the price will be the price 

determined by Exchange with reference to the most comparable reported prices 

in respect of gas bought and sold at the El Paso, Permian Basin market center; 

k. "EP SJ Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in U.S. dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($/MMBtu)" 

corresponding to "New Mexico- San Juan Basin, El Paso, San Juan Basin - Midpoint"; or 

25 
ii. in the event that Gas Daily does not report the required information to determine 

the EP SJ Daily Index price, of if the EP SJ Daily Index Price is otherwise not 

determinable, the price will be determined by Exchange with reference to the 

most comparable reported price in respect of gas bought and sold at the El Paso, 

San Juan Basin market center; 

I. "EP SJ Spot Month Index Price" for any Calculation Period means: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in "Inside FERC's Gas Market Report" in the table "Prices of Spot Gas Delivered 

to Pipelines (per MMBtu)" corresponding to "EI Paso Natural Gas Co., San Juan 

Basin - Index"; or 

ii. in the event that Inside FERC does not report the required information to 

determine the EP SJ Spot Month Index Price hereunder, or the EP SJ Spot 

Month Index Price is otherwise not determinable, the price will be the price 

determined by Exchange with reference to the most comparable reported prices 

in respect of gas bought and sold at the El Paso, San Juan Basin market center; 

i. "Henry Daily Index Price" means for any Calculation Period: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey" corresponding 

to "Louisiana Onshore South - Henry Hub: Midpoint"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Henry Daily Index Price, or such price is otherwise not determinable, the 

price will be determined by Exchange with reference to the most comparable 

reported prices in respect of gas bought and sold at the Henry Hub; 

j. "Henry Futures Settlement Price" means: 

i. the settlement price on the last trading day of a monthly Henry futures contract 

which corresponds to the applicable Month under a Swap Transaction or 

applicable delivery Month under a Physical Transaction expressed in US$ per 

MMBTU (to four decimal points) as reported in Gas Daily in the table entitled 

"Futures NYMEX at Henry Hub" under the column called "Settlement", or 

ii. in the event that Gas Daily does not report a Futures NYMEX at Henry Hub 

settlement price, Exchange will determine the Henry Futures Settlement Price 

based on the most comparable reported prices for the applicable Month under a 

Swap Transaction or applicable delivery Month under a Physical Transaction; 

k. "Houston Ship Channel Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in Gas Daily in the table "Daily Price Survey" corresponding to " 

East- Houston - Katy, Houston Ship Channel"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Houston Ship Channel Daily Index Price hereunder, or the Houston Ship 

Channel Daily Index Price is otherwise not determinable by Exchange with 

26 
reference to the most comparable reported prices in respect or gas bought and 

sold at the Houston Ship Channel Hub; 

I. "Houston Ship Channel Spot Month Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in INSIDE FERC Houston Ship Channel; or 

ii. in the event that INSIDE FERC Houston Ship Channel does not report the 

required information to determine the Houston Ship Channel Spot Month Index 

Price hereunder, or the Houston Ship Channel Spot Month Index Price is 

otherwise not determinable by Exchange with reference to the most comparable 

reported prices in respect or gas bought and sold at the Houston Ship Channel 

Hub; 

m. "Katy Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in Gas Daily in the table "Daily Price Survey" corresponding to " 

East- Houston - Katy, Katy"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Katy Daily Index Price hereunder, or the Katy Daily Index Price is otherwise 

not determinable by Exchange with reference to the most comparable reported 

prices in respect or gas bought and sold at the Katy Hub; 

n. "Katy Spot Month Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in INSIDE FERC Katy; or 

ii. in the event that INSIDE FERC Katy does not report the required information to 

determine the Katy Spot Month Index Price hereunder, or the Katy Spot Month 

Index Price is otherwise not determinable by Exchange with reference to the 

most comparable reported prices in respect or gas bought and sold at the Katy 

Hub; 

o. "Malin Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in Gas Daily in the table "Daily Price Survey" corresponding to 

"Others - PG&E, Malin - Midpoint"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Malin Daily Index Price hereunder, or the Malin Daily Index Price is otherwise 

not determinable by Exchange with reference to the most comparable reported 

prices in respect or gas bought and sold at the Malin Hub. 

p. "Malin Bid week Index Price" for any Calculation Period means: 

27 
i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in NGI in the table entitled "(Applicable Month) Bid week" corresponding to 

"California- Malin- avg."; or 

ii. in the event that NGI does not report the required information to determine the 

Malin Bid week Index Price hereunder, or the Malin Bid week Index Price is 

otherwise not determinable, the price will be the price determined by Exchange 

with reference to the most comparable reported prices in respect of gas bought 

and sold at the Malin, Oregon Market Center; 

q. "MichCon Daily Index Price" means for any Calculation Period: 

i. the arithmetic average price in US dollars per MMBTU for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($MMBtu)" 

corresponding to "Others - MichCon Citygate Midpoint"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the MichCon Daily Index Price, or such price is otherwise not determinable, the 

price will be determined by Exchange with reference to the most comparable 

reported prices in respect of gas bought and sold at the MichCon Citygate Market 

Center; 

r. "MichCon Spot Month Index Price" for any Calculation Period means: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in "Inside FERC's Gas Market Report" in the table "Market Center Spot-Gas 

Prices (per MMBtu)" corresponding to "Upper Midwest - Southern Michigan 

Citygate Index"; or 

ii. in the event that Inside FERC does not report the required information to 

determine the MichCon Spot Month Index Price hereunder, or the MichCon Spot 

Month Index P~ice is otherwise not determinable, the price will be the price 

determined by Exchange with reference to the most comparable reported prices 

in respect of gas bought and sold at the MichCon Market Center; 

s. "PG&E Citygate Bid week Index Price" means for any Calculation Period: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in NGI in the table "(Applicable Month) Bid week" corresponding to "California -

PG&E Citygate - Avg"; or 

ii. in the event that NGI does not report the required information to determine the 

PG&E Citygate Bid week Index Price, or such price is otherwise not available, 

the price will be determined by Exchange with reference to the most comparable 

reported prices in respect of gas bought and sold for the entire delivery Month at 

the PG&E Citygate Market Center; 

t. "PG&E Citygate Daily Index Price" means for any Calculation Period: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($MMBtu)" 

corresponding to " PG&E Citygate - PG&E Citygate Midpoint"; or 

28 
ii. in the event that Gas Daily does not report the required information to determine 

the Daily Index Price, or such price is otherwise not determinable, the price will 

be determined by Exchange with reference to the most comparable reported 

prices in respect of gas bought and sold at the PG&E Citygate Market Center; 

u. "Rocky Mountains Daily Index Price" for any calculation period means: 

i. the arithmetic average price in U.S. dollars per MMBtu for the applicable flow 

day(s) as published in Gas Daily in the table "Daily Price Survey ($/MMBtu)" 

corresponding to "Rockies- Kern River, Opal Plant- Mid-point"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Rockies Daily Index price, or if the Rockies Daily Index Price is otherwise not 

determinable, the price will be determined by Exchange with reference to the 

most comparable reported price in respect of gas bought and sold at the Rockies 

market center; 

v. "Rocky Mountains Spot Month Index Price" for any Calculation Period means: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in "Inside FERC's Gas Market Report" in the table "Prices of Spot Gas Delivered 

to Pipelines (per MMBtu)" corresponding to "Northwest Pipeline Corp., Rocky 

Mountains - Index"; or 

ii. in the event that Inside FERC does not report the required information to 

determine the Rockies Spot Month Index Price hereunder, or the Rockies Spot 

Month Index Price is otherwise not determinable, the price will be the price 

determined by Exchange with reference to the most comparable reported prices 

in respect of gas bought and sold at the Rockies market center; 

w. "Socal Bid week Index Price" for any Calculation Period means: 

i. index price in U.S. dollars per MMBtu for the applicable Month as published in 

NGI in the table "(applicable Month) Bid week" corresponding to "California -

Southern Border, Socal"; or 

ii. in the event that Inside FERC does not report the required information to 

determine the Socal Bid week Index Price, or the Socal Bid week Index Price is 

otherwise not determinable, the price will be the price determined by Exchange 

with reference to the most comparable reported prices in respect of gas bought 

and sold at the Socal Market Center; 

x. "Socal Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in U.S. dollars per MMBtu for the applicable flow day 

or flow days as published in Gas Daily in the table "Daily Price Survey 

($/MMBtu)" corresponding to "Others- Socal Gas Midpoint"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Socal Daily Index Price, or such price is otherwise not determinable, the price 

29 
will be determined by Exchange with reference to the most comparable reported 

prices in respect of gas bought and sold at the Socal Market Center; 

y. "Sumas Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in U.S. dollars per MMBtu for the applicable flow day 

or flow days as published in Gas Daily in the table "Daily Price Survey 

($/MMBtu)" corresponding to "Canadian Gas - Northwest Can. bdr (Sumas) 

Midpoint"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Sumas Daily Index Price, or such price is otherwise not determinable, the 

price will be determined by Exchange with reference to the most comparable 

reported prices in respect of gas bought and sold at the Sumas Market Center; 

z. "Sumas Spot Month Index Price" for any Calculation Period means: 

i. the index price in U.S. dollars per MMBtu for the applicable Month as published 

in "Inside FERC's Gas Market Report" in the table "Prices of Spot Gas Delivered 

to Pipelines (per MMBtu)" corresponding to "Northwest Pipeline Corp., Canadian 

Border"; or 

ii. in the event that Inside FERC does not report the required information to 

determine the Sumas Spot Month Index Price hereunder, or the Sumas Spot 

Month Index Price is otherwise not determinable, the price will be the price 

determined by Exchange with reference to the most comparable reported prices 

in respect of gas bought and sold at the Sumas market center; 

aa. "Waha Daily Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in Gas Daily in the table "Daily Price Survey" corresponding to 

Permian Basin Area, Waha"; or 

ii. in the event that Gas Daily does not report the required information to determine 

the Waha Daily Index Price hereunder, or the Waha Daily Index Price is 

otherwise not determinable by Exchange with reference to the most comparable 

reported prices in respect or gas bought and sold at the Waha Hub;· 

bb. "Waha Spot Month Index Price" for any Calculation Period means: 

i. the arithmetic average price in US dollars per MMBtu for the applicable flow days 

as published in INSIDE FERC Katy; or 

ii. in the event that INSIDE FERC Katy does not report the required information to 

determine the Waha Spot Month Index Price hereunder, or the Waha Spot Month 

Index Price is otherwise not determinable by Exchange with reference to the 

most comparable reported prices in respect or gas bought and sold at the Waha 

Hub; 

30