```
PJM WH REAL TIME PEAK OTC - ICE OTC                                                                                                              Code-064363
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 800 MWh)                                                                                                  :
     :          :    Positions                                                                                                           :
All  :   158,316:    84,206     99,478      5,595     29,619     12,768     25,593          0     14,241     12,318         63      1,663:    1,932       484
Old  :   158,316:    84,206     99,478      5,595     29,619     12,768     25,593          0     14,241     12,318         63      1,663:    1,932       484
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :    -2,161:      -519      1,315        686     -1,463     -2,048     -1,633          0        120      1,381        -21       -127:      -21        63
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      53.2       62.8        3.5       18.7        8.1       16.2        0.0        9.0        7.8        0.0        1.1:      1.2       0.3
Old  :     100.0:      53.2       62.8        3.5       18.7        8.1       16.2        0.0        9.0        7.8        0.0        1.1:      1.2       0.3
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        82:        45         40          7          8         10          9          0          6          9          .          6:
Old  :        82:        45         40          7          8         10          9          0          6          9          .          6:
Other:         0:         0          0          0          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  :                 26.9       38.5       46.0       61.0       21.7       35.8       33.5       51.0
Old  :                 26.9       38.5       46.0       61.0       21.7       35.8       33.5       51.0
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
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 400 MWh)                                                                                                  :
     :          :    Positions                                                                                                           :
All  :    60,624:    47,744     37,938      4,802     15,626      5,621      1,276        517        179        513        254        489:        0         0
Old  :    60,624:    47,744     37,938      4,802     15,626      5,621      1,276        517        179        513        254        489:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :       494:      -390       -272         52        540        152        156         24        102        370       -104         52:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      78.8       62.6        7.9       25.8        9.3        2.1        0.9        0.3        0.8        0.4        0.8:      0.0       0.0
Old  :     100.0:      78.8       62.6        7.9       25.8        9.3        2.1        0.9        0.3        0.8        0.4        0.8:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        40:        24         19          .          5          6          .          .          .          .          .          4:
Old  :        40:        24         19          .          5          6          .          .          .          .          .          4:
Other:         0:         0          0          0          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  :                 46.0       57.0       70.8       74.9       39.0       44.9       49.8       52.2
Old  :                 46.0       57.0       70.8       74.9       39.0       44.9       49.8       52.2
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
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 25 MWh)                                                                                                   :
     :          :    Positions                                                                                                           :
All  :   533,548:   476,990    282,262      9,246    201,723     30,920      3,776      1,368      3,280      2,200      5,547      7,136:        0     1,312
Old  :   533,548:   476,990    282,262      9,246    201,723     30,920      3,776      1,368      3,280      2,200      5,547      7,136:        0     1,312
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     7,957:     6,677        750          0        649        656       -672        374        984     -3,248       -328      3,560:        0     1,312
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      89.4       52.9        1.7       37.8        5.8        0.7        0.3        0.6        0.4        1.0        1.3:      0.0       0.2
Old  :     100.0:      89.4       52.9        1.7       37.8        5.8        0.7        0.3        0.6        0.4        1.0        1.3:      0.0       0.2
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        39:        21         21          .          4          4          .          .          .          .          .          .:
Old  :        39:        21         21          .          4          4          .          .          .          .          .          .:
Other:         0:         0          0          0          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  :                 64.9       61.9       81.2       78.2       55.9       52.0       63.6       60.1
Old  :                 64.9       61.9       81.2       78.2       55.9       52.0       63.6       60.1
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
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 50 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  : 1,618,591:   991,633  1,171,487    231,970     85,696    190,897     75,036          0    110,312      3,930     44,594     14,404:      409     1,201
Old  : 1,618,591:   991,633  1,171,487    231,970     85,696    190,897     75,036          0    110,312      3,930     44,594     14,404:      409     1,201
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     3,779:    12,599      2,181       -320      8,528     -9,250     -7,359     -5,894      9,333       -408       -711     -1,201:      385       793
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      61.3       72.4       14.3        5.3       11.8        4.6        0.0        6.8        0.2        2.8        0.9:      0.0       0.1
Old  :     100.0:      61.3       72.4       14.3        5.3       11.8        4.6        0.0        6.8        0.2        2.8        0.9:      0.0       0.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        61:        31         30          4          4          8          7          0          5          .          .          .:
Old  :        61:        31         30          4          4          8          7          0          5          .          .          .:
Other:         0:         0          0          0          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  :                 41.8       47.3       62.1       68.1       30.2       43.2       45.7       53.5
Old  :                 41.8       47.3       62.1       68.1       30.2       43.2       45.7       53.5
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
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 400 Megawatt Hours)                                                                                       :
     :          :    Positions                                                                                                           :
All  :   124,763:    79,632     87,108     14,997      4,286     27,108      1,278      4,041        815        208        829        564:      161        12
Old  :   124,763:    79,632     87,108     14,997      4,286     27,108      1,278      4,041        815        208        829        564:      161        12
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     3,703:     3,773      4,223        307       -432       -351       -153         26         50         26        162         25:       26         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      63.8       69.8       12.0        3.4       21.7        1.0        3.2        0.7        0.2        0.7        0.5:      0.1       0.0
Old  :     100.0:      63.8       69.8       12.0        3.4       21.7        1.0        3.2        0.7        0.2        0.7        0.5:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        50:        27         29          4          4          7          .          .          4          .          .          .:
Old  :        50:        27         29          4          4          7          .          .          4          .          .          .:
Other:         0:         0          0          0          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  :                 47.4       39.2       65.2       62.5       24.9       27.8       33.4       34.0
Old  :                 47.4       39.2       65.2       62.5       24.9       27.8       33.4       34.0
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
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 25 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :   472,369:   344,191    275,088     92,038    132,603     31,964      1,920     25,008          0      1,600      7,050        328:      328       328
Old  :   472,369:   344,191    275,088     92,038    132,603     31,964      1,920     25,008          0      1,600      7,050        328:      328       328
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     5,176:     3,536     12,223        656     -8,352        984          0       -656          0          0        977       -328:      328       328
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      72.9       58.2       19.5       28.1        6.8        0.4        5.3        0.0        0.3        1.5        0.1:      0.1       0.1
Old  :     100.0:      72.9       58.2       19.5       28.1        6.8        0.4        5.3        0.0        0.3        1.5        0.1:      0.1       0.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        36:        21         18          .          4          4          .          .          0          .          .          .:
Old  :        36:        21         18          .          4          4          .          .          0          .          .          .:
Other:         0:         0          0          0          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  :                 62.8       58.7       82.7       79.9       40.4       46.8       52.7       54.4
Old  :                 62.8       58.7       82.7       79.9       40.4       46.8       52.7       54.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM ELECTRICITY MONTHLY - NEW YORK MERCANTILE EXCHANGE                                                                                           Code-064657
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(40 MEGAWATT HOURS PER PEAK DAY)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    55,528:    24,487     22,419      1,256     24,824      5,125     20,432        380      1,896        384         18        296:    1,652       570
Old  :    55,528:    24,487     22,419      1,256     24,824      5,125     20,432        380      1,896        384         18        296:    1,652       570
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :        78:      -476        858        528       -998        -10       -240          0        240         24        -24         12:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      44.1       40.4        2.3       44.7        9.2       36.8        0.7        3.4        0.7        0.0        0.5:      3.0       1.0
Old  :     100.0:      44.1       40.4        2.3       44.7        9.2       36.8        0.7        3.4        0.7        0.0        0.5:      3.0       1.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        39:        22         18          .          6          9          .          .          .          .          .          .:
Old  :        39:        22         18          .          6          9          .          .          .          .          .          .:
Other:         0:         0          0          0          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  :                 50.5       67.7       66.0       81.8       46.6       59.4       55.9       68.0
Old  :                 50.5       67.7       66.0       81.8       46.6       59.4       55.9       68.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
ISO NEW ENGLAND LMP SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                          Code-06465H
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(40 MEGAWATT HOURS PER PEAK DAY)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    15,428:     9,946     10,846      2,258        592      1,142          0        520        400          0        884          0:    1,682     1,044
Old  :    15,428:     9,946     10,846      2,258        592      1,142          0        520        400          0        884          0:    1,682     1,044
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :        30:        38         26        -48          0          0          0          0          0          0          0          0:       40         4
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      64.5       70.3       14.6        3.8        7.4        0.0        3.4        2.6        0.0        5.7        0.0:     10.9       6.8
Old  :     100.0:      64.5       70.3       14.6        3.8        7.4        0.0        3.4        2.6        0.0        5.7        0.0:     10.9       6.8
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        29:        16         16          5          .          4          0          .          .          0          .          0:
Old  :        29:        16         16          5          .          4          0          .          .          0          .          0:
Other:         0:         0          0          0          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  :                 51.3       47.3       70.1       65.3       49.8       39.2       61.0       54.1
Old  :                 51.3       47.3       70.1       65.3       49.8       39.2       61.0       54.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
NORTH ILL CAL MONTH LMP SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                      Code-06465I
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(40 MEGAWATT HOURS PER PEAK DAY)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    10,250:     6,677      5,766        218      1,996        520        120        720        150        557        128         44:    1,964       926
Old  :    10,250:     6,677      5,766        218      1,996        520        120        720        150        557        128         44:    1,964       926
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :        60:       120        -28          0        168        -80          0          0          0         20          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      65.1       56.3        2.1       19.5        5.1        1.2        7.0        1.5        5.4        1.2        0.4:     19.2       9.0
Old  :     100.0:      65.1       56.3        2.1       19.5        5.1        1.2        7.0        1.5        5.4        1.2        0.4:     19.2       9.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        23:        14         10          .          4          .          .          .          .          .          .          .:
Old  :        23:        14         10          .          4          .          .          .          .          .          .          .:
Other:         0:         0          0          0          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  :                 31.8       58.4       51.8       76.7       27.0       47.9       42.6       59.7
Old  :                 31.8       58.4       51.8       76.7       27.0       47.9       42.6       59.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM CAL MONTH OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                     Code-06465M
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(2.5 MEGAWATTS PER OFF PEAK HRS)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    26,486:    17,288     10,220      1,870      8,248      3,208          0      2,810          0      1,142          0        392:    2,586     1,608
Old  :    26,486:    17,288     10,220      1,870      8,248      3,208          0      2,810          0      1,142          0        392:    2,586     1,608
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :      -456:       410        -10          0       -192          0       -960       -240          0        190          0          6:     -102       -20
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      65.3       38.6        7.1       31.1       12.1        0.0       10.6        0.0        4.3        0.0        1.5:      9.8       6.1
Old  :     100.0:      65.3       38.6        7.1       31.1       12.1        0.0       10.6        0.0        4.3        0.0        1.5:      9.8       6.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        25:        16         14          .          .          6          0          .          0          .          0          .:
Old  :        25:        16         14          .          .          6          0          .          0          .          0          .:
Other:         0:         0          0          0          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  :                 41.5       56.2       60.8       77.9       21.0       49.9       34.9       53.9
Old  :                 41.5       56.2       60.8       77.9       21.0       49.9       34.9       53.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
AEP DAYTON OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                        Code-06465O
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(2.5 MEGAWATTS PER OFF PEAK HRS)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    11,546:     8,176      5,666        692      3,144      1,260          0          0          0        382          0         48:      988     1,428
Old  :    11,546:     8,176      5,666        692      3,144      1,260          0          0          0        382          0         48:      988     1,428
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :       -26:       -50        -30          0          0          0          0          0          0         20          0          0:        4         4
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      70.8       49.1        6.0       27.2       10.9        0.0        0.0        0.0        3.3        0.0        0.4:      8.6      12.4
Old  :     100.0:      70.8       49.1        6.0       27.2       10.9        0.0        0.0        0.0        3.3        0.0        0.4:      8.6      12.4
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        20:        10         11          .          .          4          0          0          0          .          0          .:
Old  :        20:        10         11          .          .          4          0          0          0          .          0          .:
Other:         0:         0          0          0          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  :                 52.0       65.1       74.8       81.4       41.4       43.3       53.0       52.5
Old  :                 52.0       65.1       74.8       81.4       41.4       43.3       53.0       52.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
ISO NEW ENG OFF PK LMP SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                       Code-06465S
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(2.5 MEGAWATTS PER OFF PEAK HRS)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    11,210:     8,258      6,990        928      1,270        752          0        502        330          0        302          0:      942     1,064
Old  :    11,210:     8,258      6,990        928      1,270        752          0        502        330          0        302          0:      942     1,064
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :        20:       296         20          0          0          0          0          0          0          0          0          0:     -276         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      73.7       62.4        8.3       11.3        6.7        0.0        4.5        2.9        0.0        2.7        0.0:      8.4       9.5
Old  :     100.0:      73.7       62.4        8.3       11.3        6.7        0.0        4.5        2.9        0.0        2.7        0.0:      8.4       9.5
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        24:        17         12          .          .          4          0          .          .          0          .          0:
Old  :        24:        17         12          .          .          4          0          .          .          0          .          0:
Other:         0:         0          0          0          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  :                 46.1       45.8       67.1       70.6       44.5       38.2       63.2       59.0
Old  :                 46.1       45.8       67.1       70.6       44.5       38.2       63.2       59.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM N ILL PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                          Code-064A34
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    53,644:    46,402     40,280      1,953     10,352      2,655          0          0          0      2,193          0        357:       84         0
Old  :    53,644:    46,402     40,280      1,953     10,352      2,655          0          0          0      2,193          0        357:       84         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :       127:       127         43          0          0          0          0          0          0        -84          0         84:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      86.5       75.1        3.6       19.3        4.9        0.0        0.0        0.0        4.1        0.0        0.7:      0.2       0.0
Old  :     100.0:      86.5       75.1        3.6       19.3        4.9        0.0        0.0        0.0        4.1        0.0        0.7:      0.2       0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        27:        14         11          .          .          .          0          0          0          .          0          .:
Old  :        27:        14         11          .          .          .          0          0          0          .          0          .:
Other:         0:         0          0          0          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  :                 69.1       82.4       86.0       96.0       69.1       77.7       82.9       89.4
Old  :                 69.1       82.4       86.0       96.0       69.1       77.7       82.9       89.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM N ILL OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                      Code-064A35
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  :   789,359:   666,607    552,757     37,187    183,187     52,647          0          0          0     32,150          0        768:        0         0
Old  :   789,359:   666,607    552,757     37,187    183,187     52,647          0          0          0     32,150          0        768:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     4,371:       768          0       -768      6,005        768          0          0          0      6,005          0     -2,402:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      84.4       70.0        4.7       23.2        6.7        0.0        0.0        0.0        4.1        0.0        0.1:      0.0       0.0
Old  :     100.0:      84.4       70.0        4.7       23.2        6.7        0.0        0.0        0.0        4.1        0.0        0.1:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        26:        12          9          .          .          .          0          0          0          .          0          .:
Old  :        26:        12          9          .          .          .          0          0          0          .          0          .:
Other:         0:         0          0          0          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  :                 73.4       76.9       90.4       95.2       72.1       67.0       84.4       85.3
Old  :                 73.4       76.9       90.4       95.2       72.1       67.0       84.4       85.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM PPL OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                        Code-064A53
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  :   332,964:   294,134    267,450      3,170     56,106          0          0          0          0     26,252          0      9,408:        0         0
Old  :   332,964:   294,134    267,450      3,170     56,106          0          0          0          0     26,252          0      9,408:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      88.3       80.3        1.0       16.9        0.0        0.0        0.0        0.0        7.9        0.0        2.8:      0.0       0.0
Old  :     100.0:      88.3       80.3        1.0       16.9        0.0        0.0        0.0        0.0        7.9        0.0        2.8:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        22:         8          9          .          .          0          0          0          0          .          0          .:
Old  :        22:         8          9          .          .          0          0          0          0          .          0          .:
Other:         0:         0          0          0          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  :                 76.5       73.2       97.5       95.4       60.9       68.5       80.6       81.1
Old  :                 76.5       73.2       97.5       95.4       60.9       68.5       80.6       81.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM PSEG PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                           Code-064A54
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    43,175:    24,837     29,471     15,798     11,164      2,540          0          0          0          0          0          0:        0         0
Old  :    43,175:    24,837     29,471     15,798     11,164      2,540          0          0          0          0          0          0:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      57.5       68.3       36.6       25.9        5.9        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
Old  :     100.0:      57.5       68.3       36.6       25.9        5.9        0.0        0.0        0.0        0.0        0.0        0.0:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        23:        10         10          4          .          .          0          0          0          0          0          0:
Old  :        23:        10         10          4          .          .          0          0          0          0          0          0:
Other:         0:         0          0          0          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  :                 62.9       81.5       87.1       95.9       62.9       81.5       81.5       88.2
Old  :                 62.9       81.5       87.1       95.9       62.9       81.5       81.5       88.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM PSEG OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                       Code-064A55
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  :   797,410:   470,167    548,770    282,368    203,765     44,875          0          0          0          0          0          0:        0         0
Old  :   797,410:   470,167    548,770    282,368    203,765     44,875          0          0          0          0          0          0:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      59.0       68.8       35.4       25.6        5.6        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
Old  :     100.0:      59.0       68.8       35.4       25.6        5.6        0.0        0.0        0.0        0.0        0.0        0.0:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        22:        11          9          .          .          .          0          0          0          0          0          0:
Old  :        22:        11          9          .          .          .          0          0          0          0          0          0:
Other:         0:         0          0          0          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  :                 61.8       80.7       87.4       97.6       61.8       79.2       81.6       86.7
Old  :                 61.8       80.7       87.4       97.6       61.8       79.2       81.6       86.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WESTERN PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                        Code-064A56
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :   138,705:    76,481    112,988     57,184     22,768      2,025          0          0          0      1,900          0        924:      191         0
Old  :   138,705:    76,481    112,988     57,184     22,768      2,025          0          0          0      1,900          0        924:      191         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :         0:         0          0          0          0          0          0          0          0        315          0          0:     -315         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      55.1       81.5       41.2       16.4        1.5        0.0        0.0        0.0        1.4        0.0        0.7:      0.1       0.0
Old  :     100.0:      55.1       81.5       41.2       16.4        1.5        0.0        0.0        0.0        1.4        0.0        0.7:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        37:        15         19          .          4          .          0          0          0          .          0          .:
Old  :        37:        15         19          .          4          .          0          0          0          .          0          .:
Other:         0:         0          0          0          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  :                 66.6       50.0       89.6       71.3       66.6       50.0       85.8       71.2
Old  :                 66.6       50.0       89.6       71.3       66.6       50.0       85.8       71.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WESTERN OFF PEAK DAY AHEAD - NEW YORK MERCANTILE EXCHANGE                                                                                    Code-064A57
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 50 MEGAWATT HOURS)                                                                                        :
     :          :    Positions                                                                                                           :
All  : 2,405,754: 1,309,681  1,947,158  1,047,696    389,672     26,454          0          0          0      3,965     24,512     17,958:        0         0
Old  : 2,405,754: 1,309,681  1,947,158  1,047,696    389,672     26,454          0          0          0      3,965     24,512     17,958:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     1,925:     3,965     -7,930     -2,040          0          0          0          0          0          0      9,855          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      54.4       80.9       43.5       16.2        1.1        0.0        0.0        0.0        0.2        1.0        0.7:      0.0       0.0
Old  :     100.0:      54.4       80.9       43.5       16.2        1.1        0.0        0.0        0.0        0.2        1.0        0.7:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        41:        14         22          .          5          .          0          0          0          .          .          .:
Old  :        41:        14         22          .          5          .          0          0          0          .          .          .:
Other:         0:         0          0          0          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  :                 69.4       52.4       92.1       75.0       68.4       52.4       89.7       75.0
Old  :                 69.4       52.4       92.1       75.0       68.4       52.4       89.7       75.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WESTERN PEAK REAL TIME - NEW YORK MERCANTILE EXCHANGE                                                                                        Code-064A58
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    43,696:    28,895     36,134      7,867      2,133      2,352        645        820        630      2,587        907        720:        0         0
Old  :    43,696:    28,895     36,134      7,867      2,133      2,352        645        820        630      2,587        907        720:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :       510:         0        510        510          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      66.1       82.7       18.0        4.9        5.4        1.5        1.9        1.4        5.9        2.1        1.6:      0.0       0.0
Old  :     100.0:      66.1       82.7       18.0        4.9        5.4        1.5        1.9        1.4        5.9        2.1        1.6:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        37:        20         16          5          .          .          .          .          .          .          .          .:
Old  :        37:        20         16          5          .          .          .          .          .          .          .          .:
Other:         0:         0          0          0          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  :                 46.8       60.1       68.1       77.1       44.5       59.2       59.3       70.2
Old  :                 46.8       60.1       68.1       77.1       44.5       59.2       59.3       70.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WESTERN OFF PEAK REAL TIME - NEW YORK MERCANTILE EXCHANGE                                                                                    Code-064A59
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  : 1,137,199:   923,396    651,401     53,472    338,272    100,161     23,520     23,520          0     23,400     10,595     13,250:        0         0
Old  : 1,137,199:   923,396    651,401     53,472    338,272    100,161     23,520     23,520          0     23,400     10,595     13,250:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     4,872:    -2,448      9,360      9,360     -2,040          0          0          0          0       -210       -618     -1,830:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      81.2       57.3        4.7       29.7        8.8        2.1        2.1        0.0        2.1        0.9        1.2:      0.0       0.0
Old  :     100.0:      81.2       57.3        4.7       29.7        8.8        2.1        2.1        0.0        2.1        0.9        1.2:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        36:        19         12          .          4          5          .          .          0          .          .          .:
Old  :        36:        19         12          .          4          5          .          .          0          .          .          .:
Other:         0:         0          0          0          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  :                 42.0       60.1       63.8       80.9       41.2       56.9       62.0       76.3
Old  :                 42.0       60.1       63.8       80.9       41.2       56.9       62.0       76.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
ISO NEW ENG INT HUB PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                     Code-064A60
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    50,081:    44,940     34,181      2,205     11,602      2,663          0          0          0          0      1,191        189:       84       255
Old  :    50,081:    44,940     34,181      2,205     11,602      2,663          0          0          0          0      1,191        189:       84       255
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :      -210:      -210       -210          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      89.7       68.3        4.4       23.2        5.3        0.0        0.0        0.0        0.0        2.4        0.4:      0.2       0.5
Old  :     100.0:      89.7       68.3        4.4       23.2        5.3        0.0        0.0        0.0        0.0        2.4        0.4:      0.2       0.5
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        28:        16         14          .          4          .          0          0          0          0          .          .:
Old  :        28:        16         14          .          4          .          0          0          0          0          .          .:
Other:         0:         0          0          0          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  :                 57.9       54.8       77.3       78.8       50.5       45.4       65.8       66.8
Old  :                 57.9       54.8       77.3       78.8       50.5       45.4       65.8       66.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
MW IND TR REAL TIME PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                     Code-064A61
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    19,480:    13,549     11,877      4,539      1,530        126          0      5,226          0        650        105        616:        0         0
Old  :    19,480:    13,549     11,877      4,539      1,530        126          0      5,226          0        650        105        616:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     3,951:     3,951          0          0          0          0          0      3,951          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      69.6       61.0       23.3        7.9        0.6        0.0       26.8        0.0        3.3        0.5        3.2:      0.0       0.0
Old  :     100.0:      69.6       61.0       23.3        7.9        0.6        0.0       26.8        0.0        3.3        0.5        3.2:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        21:         9          6          .          .          .          0          .          0          .          .          .:
Old  :        21:         9          6          .          .          .          0          .          0          .          .          .:
Other:         0:         0          0          0          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  :                 69.1       78.7       90.4       97.1       68.5       76.1       86.5       93.0
Old  :                 69.1       78.7       90.4       97.1       68.5       76.1       86.5       93.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM N ILL HUB 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                      Code-064A63
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    39,582:    21,021     31,512     17,259      2,550        336          0        645        630          0      3,657        168:      168        84
Old  :    39,582:    21,021     31,512     17,259      2,550        336          0        645        630          0      3,657        168:      168        84
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :        84:         0         84          0          0          0          0          0          0          0        -84         84:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      53.1       79.6       43.6        6.4        0.8        0.0        1.6        1.6        0.0        9.2        0.4:      0.4       0.2
Old  :     100.0:      53.1       79.6       43.6        6.4        0.8        0.0        1.6        1.6        0.0        9.2        0.4:      0.4       0.2
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        24:        12         10          .          .          .          0          .          .          0          .          .:
Old  :        24:        12         10          .          .          .          0          .          .          0          .          .:
Other:         0:         0          0          0          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  :                 75.9       65.9       91.4       88.4       66.1       49.0       74.0       70.2
Old  :                 75.9       65.9       91.4       88.4       66.1       49.0       74.0       70.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
NYISO ZONE G 5 MW PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                       Code-064A68
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 80 Megawatt Hours)                                                                                        :
     :          :    Positions                                                                                                           :
All  :    20,645:    13,530     10,437      4,631      8,657      1,530        189          0          0        510          0          0:      255        21
Old  :    20,645:    13,530     10,437      4,631      8,657      1,530        189          0          0        510          0          0:      255        21
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      65.5       50.6       22.4       41.9        7.4        0.9        0.0        0.0        2.5        0.0        0.0:      1.2       0.1
Old  :     100.0:      65.5       50.6       22.4       41.9        7.4        0.9        0.0        0.0        2.5        0.0        0.0:      1.2       0.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        22:        11         10          .          .          .          .          0          0          .          0          0:
Old  :        22:        11         10          .          .          .          .          0          0          .          0          0:
Other:         0:         0          0          0          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  :                 54.9       64.1       80.8       86.3       42.0       58.9       62.3       73.2
Old  :                 54.9       64.1       80.8       86.3       42.0       58.9       62.3       73.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
ISO NEW ENG HUB OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                     Code-064A78
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  :   946,259:   843,350    572,560          0    257,444     73,220     23,400      7,925          0      1,536     30,357      4,753:        0         0
Old  :   946,259:   843,350    572,560          0    257,444     73,220     23,400      7,925          0      1,536     30,357      4,753:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     7,750:     7,750          0          0          0          0          0          0          0          0      7,750          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      89.1       60.5        0.0       27.2        7.7        2.5        0.8        0.0        0.2        3.2        0.5:      0.0       0.0
Old  :     100.0:      89.1       60.5        0.0       27.2        7.7        2.5        0.8        0.0        0.2        3.2        0.5:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        32:        18         15          0          5          .          .          .          0          .          .          .:
Old  :        32:        18         15          0          5          .          .          .          0          .          .          .:
Other:         0:         0          0          0          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  :                 55.8       60.7       78.1       81.3       37.9       38.5       52.7       53.7
Old  :                 55.8       60.7       78.1       81.3       37.9       38.5       52.7       53.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM N ILL HUB 5 OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                     Code-064A79
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  :   880,466:   353,534    747,242    353,580     70,092     47,952     47,040          0          0     63,180          0     15,180:        0         0
Old  :   880,466:   353,534    747,242    353,580     70,092     47,952     47,040          0          0     63,180          0     15,180:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :     6,005:         0          0      6,005          0          0          0          0          0     -6,005          0      6,005:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      40.2       84.9       40.2        8.0        5.4        5.3        0.0        0.0        7.2        0.0        1.7:      0.0       0.0
Old  :     100.0:      40.2       84.9       40.2        8.0        5.4        5.3        0.0        0.0        7.2        0.0        1.7:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        24:        13          7          .          .          .          .          0          0          .          0          .:
Old  :        24:        13          7          .          .          .          .          0          0          .          0          .:
Other:         0:         0          0          0          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  :                 72.1       85.2       90.0       96.5       58.2       67.3       68.4       72.6
Old  :                 72.1       85.2       90.0       96.5       58.2       67.3       68.4       72.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
NYISO ZONE A 5MW OFF PEAK SWAP - NEW YORK MERCANTILE EXCHANGE                                                                                    Code-064A82
Disaggregated Commitments of Traders - Futures Only, September 27, 2011              
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :                                              Reportable Positions                                                      :   Nonreportable
     :          :  Producer/Merchant/ :                                :                                :                                :     Positions
     :   Open   :   Processor/User    :          Swap Dealers          :         Managed Money          :       Other Reportables        :
     : Interest :   Long   :  Short   :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long   :  Short   :Spreading :   Long  :  Short
-------------------------------------------------------------------------------------------------------------------------------------------------------------
     :          :(Contracts of 5 Megawatt Hours)                                                                                         :
     :          :    Positions                                                                                                           :
All  :   140,556:   135,768     74,662      3,170     58,271      1,618          0          0          0          0      6,005          0:        0         0
Old  :   140,556:   135,768     74,662      3,170     58,271      1,618          0          0          0          0      6,005          0:        0         0
Other:         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Changes in Commitments from:       September 20, 2011                                                               :
     :         0:         0          0          0          0          0          0          0          0          0          0          0:        0         0
     :          :                                                                                                                        :
     :          :    Percent of Open Interest Represented by Each Category of Trader                                                     :
All  :     100.0:      96.6       53.1        2.3       41.5        1.2        0.0        0.0        0.0        0.0        4.3        0.0:      0.0       0.0
Old  :     100.0:      96.6       53.1        2.3       41.5        1.2        0.0        0.0        0.0        0.0        4.3        0.0:      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        0.0        0.0:      0.0       0.0
     :          :                                                                                                                        :
     :          :    Number of Traders in Each Category                                                                                  :
All  :        20:         9          8          .          .          .          0          0          0          0          .          0:
Old  :        20:         9          8          .          .          .          0          0          0          0          .          0:
Other:         0:         0          0          0          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  :                 74.4       73.3       94.3       94.0       74.4       67.8       90.9       88.6
Old  :                 74.4       73.3       94.3       94.0       74.4       67.8       90.9       88.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
```

----

Updated September 30, 2011