```
NATURAL GAS ICE HENRY HUB - ICE OTC                                                                     Code-023391
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  : 5,046,920:   540,877    379,141  1,661,578  2,828,098  2,988,428  5,030,553  5,029,147:    16,367     17,773
Old  : 5,046,920:   540,877    379,141  1,661,578  2,828,098  2,988,428  5,030,553  5,029,147:    16,367     17,773
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :   -49,709:    67,075    -12,978      1,815   -110,040    -24,202    -41,150    -35,365:    -8,559    -14,344
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      10.7        7.5       32.9       56.0       59.2       99.7       99.6:       0.3        0.4
Old  :     100.0:      10.7        7.5       32.9       56.0       59.2       99.7       99.6:       0.3        0.4
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :       224:        28         38         54        145        138        202        202:
Old  :       224:        28         38         54        145        138        202        202:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 24.2       21.4       40.2       35.9       16.8       14.3       21.9       21.0
Old  :                 24.2       21.4       40.2       35.9       16.8       14.3       21.9       21.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
SOCAL BORDER FIN BASIS - ICE OTC                                                                        Code-023393
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   386,325:     7,636     52,210     14,546    347,951    312,619    370,133    379,375:    16,192      6,950
Old  :   386,325:     7,636     52,210     14,546    347,951    312,619    370,133    379,375:    16,192      6,950
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :    20,049:     2,844     -3,969        583     16,620     20,724     20,047     17,338:         2      2,711
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.0       13.5        3.8       90.1       80.9       95.8       98.2:       4.2        1.8
Old  :     100.0:       2.0       13.5        3.8       90.1       80.9       95.8       98.2:       4.2        1.8
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        54:         5          4          8         41         35         49         44:
Old  :        54:         5          4          8         41         35         49         44:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 34.1       45.2       54.4       70.7       24.9       39.5       41.9       55.5
Old  :                 34.1       45.2       54.4       70.7       24.9       39.5       41.9       55.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PG&E CITYGATE FIN BASIS - ICE OTC                                                                       Code-023394
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   169,427:     2,019          0      5,646    156,472    160,109    164,137    165,755:     5,290      3,672
Old  :   169,427:     2,019          0      5,646    156,472    160,109    164,137    165,755:     5,290      3,672
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :     7,221:     1,694       -317        264      5,884      7,064      7,842      7,011:      -621        210
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.2        0.0        3.3       92.4       94.5       96.9       97.8:       3.1        2.2
Old  :     100.0:       1.2        0.0        3.3       92.4       94.5       96.9       97.8:       3.1        2.2
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        43:         3          0          3         35         36         38         39:
Old  :        43:         3          0          3         35         36         38         39:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 56.7       43.1       70.0       60.5       53.3       39.3       59.9       51.7
Old  :                 56.7       43.1       70.0       60.5       53.3       39.3       59.9       51.7
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
NWP ROCKIES FIN BASIS - ICE OTC                                                                         Code-023395
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   319,934:     6,910     19,717      3,930    303,814    287,060    314,654    310,707:     5,280      9,227
Old  :   319,934:     6,910     19,717      3,930    303,814    287,060    314,654    310,707:     5,280      9,227
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :     3,502:       281      2,888       -159      4,775       -669      4,897      2,060:    -1,395      1,442
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.2        6.2        1.2       95.0       89.7       98.3       97.1:       1.7        2.9
Old  :     100.0:       2.2        6.2        1.2       95.0       89.7       98.3       97.1:       1.7        2.9
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        47:         2          2          4         37         37         41         41:
Old  :        47:         2          2          4         37         37         41         41:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 52.2       44.6       74.5       68.1       51.7       41.4       73.5       62.9
Old  :                 52.2       44.6       74.5       68.1       51.7       41.4       73.5       62.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
AECO FIN BASIS - ICE OTC                                                                                Code-023396
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   781,979:       533     36,347     15,267    763,364    726,844    779,164    778,458:     2,815      3,521
Old  :   781,979:       533     36,347     15,267    763,364    726,844    779,164    778,458:     2,815      3,521
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :     3,685:      -150      1,717     -4,880      8,439      5,996      3,409      2,833:       276        852
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       0.1        4.6        2.0       97.6       92.9       99.6       99.5:       0.4        0.5
Old  :     100.0:       0.1        4.6        2.0       97.6       92.9       99.6       99.5:       0.4        0.5
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        70:         1          6          6         59         47         65         54:
Old  :        70:         1          6          6         59         47         65         54:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 39.8       37.5       57.4       56.8       33.1       30.4       46.5       42.5
Old  :                 39.8       37.5       57.4       56.8       33.1       30.4       46.5       42.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
CHICAGO FIN BASIS - ICE OTC                                                                             Code-023397
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   242,022:    12,418     18,835      3,190    221,905    217,288    237,513    239,313:     4,509      2,709
Old  :   242,022:    12,418     18,835      3,190    221,905    217,288    237,513    239,313:     4,509      2,709
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :    11,725:     1,642      4,751       -229      9,512      6,611     10,925     11,133:       800        592
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.1        7.8        1.3       91.7       89.8       98.1       98.9:       1.9        1.1
Old  :     100.0:       5.1        7.8        1.3       91.7       89.8       98.1       98.9:       1.9        1.1
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        51:         2          2          2         41         37         43         41:
Old  :        51:         2          2          2         41         37         43         41:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 43.7       58.7       65.0       73.1       38.5       58.5       56.4       71.2
Old  :                 43.7       58.7       65.0       73.1       38.5       58.5       56.4       71.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
HSC FIN BASIS - ICE OTC                                                                                 Code-023398
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   398,256:     7,827      5,393     21,558    358,380    363,429    387,765    390,380:    10,491      7,876
Old  :   398,256:     7,827      5,393     21,558    358,380    363,429    387,765    390,380:    10,491      7,876
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :    32,982:       197       -908      2,907     26,763     31,197     29,867     33,196:     3,115       -214
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.0        1.4        5.4       90.0       91.3       97.4       98.0:       2.6        2.0
Old  :     100.0:       2.0        1.4        5.4       90.0       91.3       97.4       98.0:       2.6        2.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        55:         3          3          5         41         40         47         45:
Old  :        55:         3          3          5         41         40         47         45:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 35.5       61.4       51.8       72.7       33.4       59.4       48.0       67.3
Old  :                 35.5       61.4       51.8       72.7       33.4       59.4       48.0       67.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
WAHA FIN BASIS - ICE OTC                                                                                Code-023399
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 2,500  MMBTU'S)                                              :
     :          :                                                                            :
All  :   240,427:     5,086     25,254      9,447    221,236    198,666    235,769    233,367:     4,658      7,060
Old  :   240,427:     5,086     25,254      9,447    221,236    198,666    235,769    233,367:     4,658      7,060
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :    12,693:    -1,026     10,341      1,365     11,502       -355     11,841     11,351:       852      1,342
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.1       10.5        3.9       92.0       82.6       98.1       97.1:       1.9        2.9
Old  :     100.0:       2.1       10.5        3.9       92.0       82.6       98.1       97.1:       1.9        2.9
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        44:         3          3          4         29         32         33         38:
Old  :        44:         3          3          4         29         32         33         38:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 72.2       42.8       82.1       58.9       67.8       39.8       71.7       53.8
Old  :                 72.2       42.8       82.1       58.9       67.8       39.8       71.7       53.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WH REAL TIME PEAK OTC - ICE OTC                                                                     Code-064363
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 800 MWh)                                                     :
     :          :                                                                            :
All  :   189,574:    50,060      1,504     20,117    117,888    167,019    188,065    188,640:     1,509        934
Old  :   189,574:    50,060      1,504     20,117    117,888    167,019    188,065    188,640:     1,509        934
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :     1,625:       472       -258        805      1,609      1,907      2,886      2,454:    -1,261       -829
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      26.4        0.8       10.6       62.2       88.1       99.2       99.5:       0.8        0.5
Old  :     100.0:      26.4        0.8       10.6       62.2       88.1       99.2       99.5:       0.8        0.5
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        78:        15          3         14         53         52         71         66:
Old  :        78:        15          3         14         53         52         71         66:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 35.7       43.9       53.7       63.3       26.7       40.5       39.6       50.9
Old  :                 35.7       43.9       53.7       63.3       26.7       40.5       39.6       50.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
MID-C FINANCIAL PEAK OTC - ICE OTC                                                                      Code-064391
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 400 MWh)                                                     :
     :          :                                                                            :
All  :    76,962:       265        606      1,187     75,485     75,169     76,937     76,962:        25          0
Old  :    76,962:       265        606      1,187     75,485     75,169     76,937     76,962:        25          0
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :     1,962:        46        -79        -79      2,071      2,221      2,038      2,063:       -76       -101
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       0.3        0.8        1.5       98.1       97.7      100.0      100.0:       0.0        0.0
Old  :     100.0:       0.3        0.8        1.5       98.1       97.7      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        44:         4          3          4         33         28         39         33:
Old  :        44:         4          3          4         33         28         39         33:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 51.1       52.9       78.7       74.0       41.8       39.1       52.0       50.3
Old  :                 51.1       52.9       78.7       74.0       41.8       39.1       52.0       50.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
MID-C FINANCIAL OFF-PEAK OTC - ICE OTC                                                                  Code-064392
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 25 MWh)                                                      :
     :          :                                                                            :
All  :   726,248:     9,170        296      4,284    712,794    721,668    726,248    726,248:         0          0
Old  :   726,248:     9,170        296      4,284    712,794    721,668    726,248    726,248:         0          0
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :     9,421:      -325          0     -1,470     15,367     15,042     13,572     13,572:    -4,151     -4,151
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.3        0.0        0.6       98.1       99.4      100.0      100.0:       0.0        0.0
Old  :     100.0:       1.3        0.0        0.6       98.1       99.4      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        39:         5          1          3         30         30         35         34:
Old  :        39:         5          1          3         30         30         35         34:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 48.6       57.6       71.4       78.4       33.9       40.9       42.0       46.4
Old  :                 48.6       57.6       71.4       78.4       33.9       40.9       42.0       46.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
PJM WH OFF PEAK REAL TIME OTC - ICE OTC                                                                 Code-064394
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 50 Megawatt Hours)                                           :
     :          :                                                                            :
All  : 1,667,536:   122,069     22,955    111,821  1,432,902  1,532,040  1,666,792  1,666,816:       744        720
Old  : 1,667,536:   122,069     22,955    111,821  1,432,902  1,532,040  1,666,792  1,666,816:       744        720
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :    20,775:     3,698     -6,680        736     15,981     26,359     20,415     20,415:       360        360
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.3        1.4        6.7       85.9       91.9      100.0      100.0:       0.0        0.0
Old  :     100.0:       7.3        1.4        6.7       85.9       91.9      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        61:         9          4          7         42         38         53         47:
Old  :        61:         9          4          7         42         38         53         47:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 36.2       48.0       55.9       68.7       22.9       43.3       38.1       50.8
Old  :                 36.2       48.0       55.9       68.7       22.9       43.3       38.1       50.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
SP15 FIN DAYAHEAD LPM PEAK OTC - ICE OTC                                                                Code-064395
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 400 Megawatt Hours)                                          :
     :          :                                                                            :
All  :   117,277:     1,530        894      1,545    114,176    114,812    117,251    117,251:        26         26
Old  :   117,277:     1,530        894      1,545    114,176    114,812    117,251    117,251:        26         26
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :       399:        42       -134         -6        385        561        421        421:       -22        -22
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.3        0.8        1.3       97.4       97.9      100.0      100.0:       0.0        0.0
Old  :     100.0:       1.3        0.8        1.3       97.4       97.9      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        49:         4          4          4         34         34         39         41:
Old  :        49:         4          4          4         34         34         39         41:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 51.3       42.4       69.3       66.4       38.6       30.3       44.7       39.6
Old  :                 51.3       42.4       69.3       66.4       38.6       30.3       44.7       39.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
SP15 FIN DA LPM OFF PEAK OTC - ICE OTC                                                                  Code-064396
Commitments of Traders - Futures Only, January 31, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (Contracts of 25 Megawatt Hours)                                           :
     :          :                                                                            :
All  :   688,856:       623        414     17,625    670,608    670,817    688,856    688,856:         0          0
Old  :   688,856:       623        414     17,625    670,608    670,817    688,856    688,856:         0          0
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 24, 2012                     :
     :       281:       296         64        -24          9        241        281        281:         0          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       0.1        0.1        2.6       97.4       97.4      100.0      100.0:       0.0        0.0
Old  :     100.0:       0.1        0.1        2.6       97.4       97.4      100.0      100.0:       0.0        0.0
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        37:         2          2          3         22         26         26         30:
Old  :        37:         2          2          3         22         26         26         30:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 57.7       59.2       83.7       78.8       42.3       40.8       54.1       51.8
Old  :                 57.7       59.2       83.7       78.8       42.3       40.8       54.1       51.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
```

----

Updated February 3, 2012