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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Natural Gas(NYM) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   19 19 19 19 19 19 19 19 20 20 20
Closed Higher   11 7 5 7 10 13 14 11 10 8 8
Exceeded High   7 4 4 6 10 12 14 10 6 6 8
Scenario Percentage   64% 57% 80% 86% 100% 92% 100% 91% 60% 75% 100%
Avg Max Increase   6.72% 6.92% 10.79% 17.87% 15.37% 17.54% 16.38% 16.83% 13.92% 16.32% 14.70%
Max Increase   14.51% 12.72% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 20.70% 44.05% 28.45%
Avg Days To Max Increase   16 10 14 20 23 16 18 15 20 16 15
Avg Max Decline   -4.55% -1.09% -1.73% -0.49% -2.81% -2.42% -3.61% -3.57% -5.42% -7.69% -5.16%
Max Decline   -12.68% -3.00% -2.90% -3.47% -4.55% -6.78% -7.19% -9.20% -11.97% -18.51% -11.41%
Avg Days to Max Decline   9 2 5 8 12 7 8 7 13 10 4
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   Yes     Yes       Yes Not Yet    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   19 19 19 19 19 19 19 19 20 20 20
Closed Lower   8 12 14 12 8 6 5 8 10 12 12
Penetrated Low   5 9 12 11 5 4 5 6 9 10 9
Scenario Percentage   63% 75% 86% 92% 63% 67% 100% 75% 90% 83% 75%
Avg Max Decline   7.82% 10.06% 10.51% 9.07% 11.45% 7.73% 12.16% 17.35% 17.97% 15.70% 14.04%
Max Decline   17.97% 20.90% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 31.54% 25.38%
Avg Days To Max Decline   24 18 14 18 25 20 24 24 23 17 20
Avg Max Increase   -2.99% -1.62% -2.00% -2.03% -5.15% -7.68% -3.41% -4.33% -8.15% -4.52% -6.35%
Max Increase   -4.08% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   15 7 7 6 13 19 9 10 14 20 5
2010 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes Yes   Yes Yes Yes        
High 6.324 6.274 6.458 5.784 6.145 6.160 5.883 5.167 4.680 4.702 4.550  
Low 5.677 5.275 5.745 5.175 4.970 5.390 5.076 4.145 4.170 4.140 4.352  
Close/Last 5.680 6.239 5.825 5.417 5.795 5.425 5.145 4.213 4.215 4.464 4.371  

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