NATURAL GAS ICE HENRY HUB - ICE OTC                                                                     Code-023391
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  : 4,767,926:   472,248    410,631  1,443,256  2,765,766  2,824,034  4,681,270  4,677,921:    86,656     90,005
Old  : 4,767,926:   472,248    410,631  1,443,256  2,765,766  2,824,034  4,681,270  4,677,921:    86,656     90,005
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :    -8,252:    25,612      8,374     -9,353     -8,597      5,975      7,662      4,996:   -15,914    -13,248
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       9.9        8.6       30.3       58.0       59.2       98.2       98.1:       1.8        1.9
Old  :     100.0:       9.9        8.6       30.3       58.0       59.2       98.2       98.1:       1.8        1.9
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :       221:        35         31         62        140        132        205        198:
Old  :       221:        35         31         62        140        132        205        198:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 22.1       20.6       37.4       35.0       16.8       15.8       22.9       24.7
Old  :                 22.1       20.6       37.4       35.0       16.8       15.8       22.9       24.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
SOCAL BORDER FIN BASIS - ICE OTC                                                                        Code-023393
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   324,208:    12,228     23,924      9,889    289,249    283,299    311,366    317,112:    12,842      7,096
Old  :   324,208:    12,228     23,924      9,889    289,249    283,299    311,366    317,112:    12,842      7,096
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :       178:      -650       -146      2,036     -1,571     -2,552       -185       -662:       363        840
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.8        7.4        3.1       89.2       87.4       96.0       97.8:       4.0        2.2
Old  :     100.0:       3.8        7.4        3.1       89.2       87.4       96.0       97.8:       4.0        2.2
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        51:         7          1          6         38         37         46         43:
Old  :        51:         7          1          6         38         37         46         43:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 35.5       48.8       55.5       73.8       28.3       46.7       44.8       59.2
Old  :                 35.5       48.8       55.5       73.8       28.3       46.7       44.8       59.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PG&E CITYGATE FIN BASIS - ICE OTC                                                                       Code-023394
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   168,180:     2,096          0      6,029    153,754    160,359    161,879    166,388:     6,301      1,792
Old  :   168,180:     2,096          0      6,029    153,754    160,359    161,879    166,388:     6,301      1,792
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     3,570:     1,745          0        549        954      2,730      3,248      3,279:       322        291
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.2        0.0        3.6       91.4       95.3       96.3       98.9:       3.7        1.1
Old  :     100.0:       1.2        0.0        3.6       91.4       95.3       96.3       98.9:       3.7        1.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        45:         2          0          2         35         41         37         43:
Old  :        45:         2          0          2         35         41         37         43:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 55.4       42.5       71.6       59.8       48.0       40.3       57.9       53.0
Old  :                 55.4       42.5       71.6       59.8       48.0       40.3       57.9       53.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
NWP ROCKIES FIN BASIS - ICE OTC                                                                         Code-023395
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   321,844:     5,764     27,973      2,276    307,974    283,324    316,014    313,573:     5,830      8,271
Old  :   321,844:     5,764     27,973      2,276    307,974    283,324    316,014    313,573:     5,830      8,271
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     2,245:       428       -704        155      1,090       -280      1,673       -829:       572      3,074
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.8        8.7        0.7       95.7       88.0       98.2       97.4:       1.8        2.6
Old  :     100.0:       1.8        8.7        0.7       95.7       88.0       98.2       97.4:       1.8        2.6
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        45:         1          4          5         35         33         40         38:
Old  :        45:         1          4          5         35         33         40         38:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 55.7       42.2       75.4       67.2       55.3       40.0       73.5       62.1
Old  :                 55.7       42.2       75.4       67.2       55.3       40.0       73.5       62.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
AECO FIN BASIS - ICE OTC                                                                                Code-023396
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   806,089:       651     35,276     20,632    782,189    747,590    803,472    803,498:     2,617      2,591
Old  :   806,089:       651     35,276     20,632    782,189    747,590    803,472    803,498:     2,617      2,591
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     9,792:         0      8,492     -1,546     11,249      3,214      9,703     10,160:        89       -368
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       0.1        4.4        2.6       97.0       92.7       99.7       99.7:       0.3        0.3
Old  :     100.0:       0.1        4.4        2.6       97.0       92.7       99.7       99.7:       0.3        0.3
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        67:         1          5          5         55         47         61         52:
Old  :        67:         1          5          5         55         47         61         52:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 37.8       41.9       57.4       58.2       26.7       26.9       39.8       37.0
Old  :                 37.8       41.9       57.4       58.2       26.7       26.9       39.8       37.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
CHICAGO FIN BASIS - ICE OTC                                                                             Code-023397
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   236,141:     8,590     18,319      5,120    215,946    206,468    229,656    229,907:     6,485      6,234
Old  :   236,141:     8,590     18,319      5,120    215,946    206,468    229,656    229,907:     6,485      6,234
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     4,316:      -868     -1,364        443      7,665      4,381      7,240      3,460:    -2,924        856
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.6        7.8        2.2       91.4       87.4       97.3       97.4:       2.7        2.6
Old  :     100.0:       3.6        7.8        2.2       91.4       87.4       97.3       97.4:       2.7        2.6
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        49:         2          1          2         40         36         42         39:
Old  :        49:         2          1          2         40         36         42         39:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 41.2       57.3       59.7       73.9       36.0       57.1       51.1       70.0
Old  :                 41.2       57.3       59.7       73.9       36.0       57.1       51.1       70.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
HSC FIN BASIS - ICE OTC                                                                                 Code-023398
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   390,244:     9,027         91     17,726    356,327    365,614    383,080    383,431:     7,164      6,813
Old  :   390,244:     9,027         91     17,726    356,327    365,614    383,080    383,431:     7,164      6,813
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :    -6,277:      -871         70       -557     -1,804     -6,100     -3,232     -6,587:    -3,045        310
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.3        0.0        4.5       91.3       93.7       98.2       98.3:       1.8        1.7
Old  :     100.0:       2.3        0.0        4.5       91.3       93.7       98.2       98.3:       1.8        1.7
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        59:         6          1          6         43         41         50         47:
Old  :        59:         6          1          6         43         41         50         47:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 31.9       61.7       49.5       72.6       29.6       60.4       45.9       68.1
Old  :                 31.9       61.7       49.5       72.6       29.6       60.4       45.9       68.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
WAHA FIN BASIS - ICE OTC                                                                                Code-023399
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   173,366:     5,365      8,246      8,758    156,455    147,221    170,578    164,225:     2,788      9,141
Old  :   173,366:     5,365      8,246      8,758    156,455    147,221    170,578    164,225:     2,788      9,141
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     3,092:    -1,191        242        675      3,676      2,268      3,160      3,185:       -68        -93
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.1        4.8        5.1       90.2       84.9       98.4       94.7:       1.6        5.3
Old  :     100.0:       3.1        4.8        5.1       90.2       84.9       98.4       94.7:       1.6        5.3
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        39:         3          2          3         26         29         29         34:
Old  :        39:         3          2          3         26         29         29         34:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 48.6       39.2       66.3       56.0       39.6       35.9       52.5       49.9
Old  :                 48.6       39.2       66.3       56.0       39.6       35.9       52.5       49.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WH REAL TIME PEAK OTC - ICE OTC                                                                     Code-064363
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 800 MWh)                                                     :
     :          :                                                                            :
All  :   160,965:    28,173      1,345     20,112    111,696    139,276    159,981    160,733:       984        232
Old  :   160,965:    28,173      1,345     20,112    111,696    139,276    159,981    160,733:       984        232
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     2,740:     1,242        585       -275      1,606      2,515      2,573      2,825:       167        -85
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      17.5        0.8       12.5       69.4       86.5       99.4       99.9:       0.6        0.1
Old  :     100.0:      17.5        0.8       12.5       69.4       86.5       99.4       99.9:       0.6        0.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        78:        13          4         12         52         53         67         67:
Old  :        78:        13          4         12         52         53         67         67:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 29.1       43.2       47.8       63.7       23.0       41.1       34.9       51.1
Old  :                 29.1       43.2       47.8       63.7       23.0       41.1       34.9       51.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
MID-C FINANCIAL PEAK OTC - ICE OTC                                                                      Code-064391
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 400 MWh)                                                     :
     :          :                                                                            :
All  :    68,851:       789      1,106      1,822     66,132     65,820     68,743     68,748:       108        103
Old  :    68,851:       789      1,106      1,822     66,132     65,820     68,743     68,748:       108        103
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :       596:       258        204       -257        595        649        596        596:         0          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.1        1.6        2.6       96.1       95.6       99.8       99.9:       0.2        0.1
Old  :     100.0:       1.1        1.6        2.6       96.1       95.6       99.8       99.9:       0.2        0.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        42:         4          2          5         29         32         35         37:
Old  :        42:         4          2          5         29         32         35         37:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 49.5       54.7       74.4       73.8       42.3       38.3       54.9       51.6
Old  :                 49.5       54.7       74.4       73.8       42.3       38.3       54.9       51.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
MID-C FINANCIAL OFF-PEAK OTC - ICE OTC                                                                  Code-064392
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 25 MWh)                                                      :
     :          :                                                                            :
All  :   609,893:    10,625      3,557      1,919    597,349    604,417    609,893    609,893:         0          0
Old  :   609,893:    10,625      3,557      1,919    597,349    604,417    609,893    609,893:         0          0
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :     6,166:       976     -3,240        328      4,862      9,078      6,166      6,166:         0          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.7        0.6        0.3       97.9       99.1      100.0      100.0:       0.0        0.0
Old  :     100.0:       1.7        0.6        0.3       97.9       99.1      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        40:         3          4          4         29         28         35         33:
Old  :        40:         3          4          4         29         28         35         33:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 53.7       54.5       77.3       79.3       45.2       42.4       55.7       56.5
Old  :                 53.7       54.5       77.3       79.3       45.2       42.4       55.7       56.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WH OFF PEAK REAL TIME OTC - ICE OTC                                                                 Code-064394
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 50 Megawatt Hours)                                           :
     :          :                                                                            :
All  : 1,606,939:   102,551     21,066     93,848  1,409,360  1,491,997  1,605,759  1,606,911:     1,180         28
Old  : 1,606,939:   102,551     21,066     93,848  1,409,360  1,491,997  1,605,759  1,606,911:     1,180         28
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :    -1,625:     2,802      5,112        665     -5,432     -6,614     -1,965       -837:       340       -788
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.4        1.3        5.8       87.7       92.8       99.9      100.0:       0.1        0.0
Old  :     100.0:       6.4        1.3        5.8       87.7       92.8       99.9      100.0:       0.1        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        61:         8          4          8         43         39         52         50:
Old  :        61:         8          4          8         43         39         52         50:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 39.2       49.7       58.7       70.8       23.7       43.7       39.8       54.6
Old  :                 39.2       49.7       58.7       70.8       23.7       43.7       39.8       54.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
SP15 FIN DAYAHEAD LPM PEAK OTC - ICE OTC                                                                Code-064395
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 400 Megawatt Hours)                                          :
     :          :                                                                            :
All  :   120,470:     1,385        279      3,282    115,552    116,080    120,219    119,641:       251        829
Old  :   120,470:     1,385        279      3,282    115,552    116,080    120,219    119,641:       251        829
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :       244:        13        279         33        -29       -895         17       -583:       227        827
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.1        0.2        2.7       95.9       96.4       99.8       99.3:       0.2        0.7
Old  :     100.0:       1.1        0.2        2.7       95.9       96.4       99.8       99.3:       0.2        0.7
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        45:         4          1          5         34         35         39         40:
Old  :        45:         4          1          5         34         35         39         40:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 50.9       39.5       68.0       64.7       36.3       27.6       43.4       39.7
Old  :                 50.9       39.5       68.0       64.7       36.3       27.6       43.4       39.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
SP15 FIN DA LPM OFF PEAK OTC - ICE OTC                                                                  Code-064396
Commitments of Traders - Futures Only, December 27, 2011               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 25 Megawatt Hours)                                           :
     :          :                                                                            :
All  :   574,684:         0      6,542        968    573,716    567,174    574,684    574,684:         0          0
Old  :   574,684:         0      6,542        968    573,716    567,174    574,684    574,684:         0          0
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 20, 2011                    :
     :    10,013:         0       -928        320      9,693     10,621     10,013     10,013:         0          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       0.0        1.1        0.2       99.8       98.7      100.0      100.0:       0.0        0.0
Old  :     100.0:       0.0        1.1        0.2       99.8       98.7      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        32:         0          3          1         24         23         25         26:
Old  :        32:         0          3          1         24         23         25         26:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 63.9       55.5       87.5       78.5       43.3       41.6       59.4       53.2
Old  :                 63.9       55.5       87.5       78.5       43.3       41.6       59.4       53.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
 

Updated December 30, 2011