Implied Volatilties for FX Majors - 2 July 2009, 2235h

Sequence from left to right = 1 wk, 1 mth, 2 mths, 3 mths, 6 mths, 1 yr

EUR/USD = 11.40, 12.10, 12.90, 13.15, 13.30, 13.55

USD/JPY = 12.00, 12.60, 13.10, 13.20, 13.20, 13.55

GBP/USD = 13.00, 13.20, 13.40, 13.50, 13.70, 13.70

USD/CHF = 12.20, 12.15, 12.70, 12.80, 13.00, 13.00

AUD/USD = 16.25, 17.00, 17.60, 17.70, 17.85, 18.00

USD/CAD = 13.25, 13.90, 14.25, 14.70, 14.95, 15.20