Use the discounts provided to answer the following.

Part A

Given the futures prices and discounts given calculate the swap price for a natural gas swap with a 2-year tenor.

Part B

You are a swap buyer on a natural gas swap with a notional of 2,000,000 MMBtu at a price of $2.45 per MMBtu with 24 monthly payments left to go.

Given your answer to Part A, what is your mark-to-market profit or loss?

Part A Part B Delivery Futures Discount 11/1/2019 2.32 0.9985 12/1/2019 2.517 0.9970 1/1/2020 2.635 0.9955 2/1/2020 2.603 0.9940 3/1/2020 2.499 0.9925 4/1/2020 2.274 0.9909 5/1/2020 2.26 0.9894 6/1/2020 2.302 0.9879 7/1/2020 2.35 0.9864 8/1/2020 2.36 0.9848 9/1/2020 2.344 0.9833 10/1/2020 2.372 0.9818 11/1/2020 2.442 0.9802 12/1/2020 2.612 0.9787 1/1/2021 2.735 0.9771 2/1/2021 2.694 0.9756 3/1/2021 2.572 0.9741 4/1/2021 2.288 0.9725 5/1/2021 2.262 0.9710 6/1/2021 2.297 0.9694 7/1/2021 2.335 0.9678 8/1/2021 2.34 0.9663 9/1/2021 2.328 0.9647 10/1/2021 2.354 0.9632 Part A Part B Delivery Futures Discount 11/1/2019 2.32 0.9985 12/1/2019 2.517 0.9970 1/1/2020 2.635 0.9955 2/1/2020 2.603 0.9940 3/1/2020 2.499 0.9925 4/1/2020 2.274 0.9909 5/1/2020 2.26 0.9894 6/1/2020 2.302 0.9879 7/1/2020 2.35 0.9864 8/1/2020 2.36 0.9848 9/1/2020 2.344 0.9833 10/1/2020 2.372 0.9818 11/1/2020 2.442 0.9802 12/1/2020 2.612 0.9787 1/1/2021 2.735 0.9771 2/1/2021 2.694 0.9756 3/1/2021 2.572 0.9741 4/1/2021 2.288 0.9725 5/1/2021 2.262 0.9710 6/1/2021 2.297 0.9694 7/1/2021 2.335 0.9678 8/1/2021 2.34 0.9663 9/1/2021 2.328 0.9647 10/1/2021 2.354 0.9632