```
 
 
NATURAL GAS ICE HENRY HUB - ICE OTC                                  Code-023391
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:    5,361,287
COMMITMENTS
 663,563  502,369  1597690  3088511  3244647  5349764  5344706   11,523   16,581

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:    -30,496)
  91,890   44,289 -140,241   24,459   70,864  -23,892  -25,088   -6,604   -5,408

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
    12.4      9.4     29.8     57.6     60.5     99.8     99.7      0.2      0.3

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:      226)
      34       35       60      147      138      214      203
 
 
SOCAL BORDER FIN BASIS - ICE OTC                                     Code-023393
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      367,700
COMMITMENTS
   7,501   30,964   11,159  332,256  319,750  350,916  361,873   16,784    5,827

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:      3,355)
    -705   -4,481     -733    5,236    9,459    3,798    4,245     -443     -890

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     2.0      8.4      3.0     90.4     87.0     95.4     98.4      4.6      1.6

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       55)
       4        7        8       40       36       49       46
 
 
PG&E CITYGATE FIN BASIS - ICE OTC                                    Code-023394
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      167,837
COMMITMENTS
   1,830        0    5,616  157,355  160,308  164,801  165,924    3,036    1,913

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:      2,684)
     953        0     -267    3,062    3,012    3,748    2,745   -1,064      -61

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     1.1      0.0      3.3     93.8     95.5     98.2     98.9      1.8      1.1

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       42)
       2        0        2       36       37       38       39
 
 
NWP ROCKIES FIN BASIS - ICE OTC                                      Code-023395
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      330,603
COMMITMENTS
  14,887   14,442    4,561  308,647  300,919  328,095  319,922    2,508   10,681

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:     12,811)
     642   -1,378      450   12,261   12,418   13,353   11,490     -542    1,321

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     4.5      4.4      1.4     93.4     91.0     99.2     96.8      0.8      3.2

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       49)
       3        3        6       33       36       39       42
 
 
AECO FIN BASIS - ICE OTC                                             Code-023396
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      742,130
COMMITMENTS
     727   35,496   14,837  724,718  688,153  740,282  738,486    1,848    3,644

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:     19,570)
     727    1,656   -3,288   22,130   20,101   19,569   18,469        1    1,101

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     0.1      4.8      2.0     97.7     92.7     99.8     99.5      0.2      0.5

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       73)
       2        8        8       59       49       67       59
 
 
CHICAGO FIN BASIS - ICE OTC                                          Code-023397
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      236,639
COMMITMENTS
   8,294   17,601    1,815  221,806  214,622  231,915  234,038    4,724    2,601

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:      3,021)
    -230      110     -393    3,493    3,392    2,870    3,109      151      -88

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     3.5      7.4      0.8     93.7     90.7     98.0     98.9      2.0      1.1

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       50)
       1        3        2       36       36       38       40
 
 
HSC FIN BASIS - ICE OTC                                              Code-023398
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      408,317
COMMITMENTS
   9,791   12,274   28,414  361,351  361,919  399,556  402,607    8,761    5,710

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:     12,077)
     787   -1,092    4,622    8,007    9,132   13,416   12,662   -1,339     -585

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     2.4      3.0      7.0     88.5     88.6     97.9     98.6      2.1      1.4

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       60)
       3        4        5       43       42       49       48
 
 
WAHA FIN BASIS - ICE OTC                                             Code-023399
OPTION AND FUTURES COMBINED POSITIONS AS OF 02/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(Contracts of 2,500  MMBTU'S)                        OPEN INTEREST:      264,358
COMMITMENTS
     421   27,925    9,792  251,550  219,391  261,763  257,108    2,595    7,250

CHANGES FROM 02/14/12 (CHANGE IN OPEN INTEREST:     15,576)
  -5,279      716    3,823   19,384   11,496   17,928   16,035   -2,352     -459

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     0.2     10.6      3.7     95.2     83.0     99.0     97.3      1.0      2.7

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       44)
       1        5        4       27       33       31       39
```

----

Updated February 24, 2012