Data of Unknown Source, Presumed logs of Currency Prices 62 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1987-8-5 to 1988-1-31 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.03 1.00 cur2 0.02 0.55 1.00 cur3 0.01 0.62 0.85 1.00 cur4 0.11 0.61 0.82 0.93 1.00 cur5 0.04 0.56 0.63 0.83 0.89 1.00 cur6 -0.04 0.01 0.15 0.24 0.24 0.24 1.00 cur7 cur8 cur9 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 Data of Unknown Source, Presumed logs of Currency Prices 63 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1987-8-5 to 1988-1-31 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 cur11 0.10 0.00 0.10 0.07 0.05 0.04 -0.26 cur12 cur13 cur14 cur15 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 Data of Unknown Source, Presumed logs of Currency Prices 64 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1988-1-31 to 1988-7-28 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.08 1.00 cur2 -0.19 -0.01 1.00 cur3 -0.10 0.10 0.76 1.00 cur4 0.05 0.07 0.77 0.85 1.00 cur5 0.03 0.15 0.73 0.84 0.92 1.00 cur6 0.47 0.18 0.24 0.32 0.44 0.45 1.00 cur7 cur8 cur9 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 Data of Unknown Source, Presumed logs of Currency Prices 65 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1988-1-31 to 1988-7-28 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 cur11 0.33 -0.08 -0.20 -0.00 0.04 0.01 0.22 cur12 cur13 cur14 cur15 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 Data of Unknown Source, Presumed logs of Currency Prices 66 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1988-7-28 to 1989-1-23 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.16 1.00 cur2 0.08 0.04 1.00 cur3 -0.04 0.15 0.76 1.00 cur4 0.02 0.13 0.79 0.91 1.00 cur5 -0.07 0.09 0.78 0.82 0.88 1.00 cur6 -0.30 0.47 -0.02 0.06 -0.00 -0.06 1.00 cur7 0.19 -0.05 -0.12 -0.32 -0.40 -0.32 0.32 1.00 cur8 0.16 0.22 -0.04 -0.02 -0.18 -0.25 0.67 0.66 cur9 0.30 0.08 0.03 -0.00 -0.14 -0.13 0.11 0.57 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.39 1.00 Data of Unknown Source, Presumed logs of Currency Prices 67 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1988-7-28 to 1989-1-23 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.46 -0.08 -0.23 -0.32 -0.37 -0.37 0.05 0.57 cur11 -0.32 0.42 0.02 -0.11 -0.04 -0.04 0.37 0.08 cur12 0.20 0.42 0.58 0.57 0.51 0.46 0.47 0.14 cur13 -0.07 0.21 0.26 0.53 0.45 0.36 0.25 -0.11 cur14 0.13 0.24 0.26 0.38 0.26 0.30 0.44 0.27 cur15 -0.14 -0.20 -0.12 0.11 0.12 0.02 -0.14 -0.29 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.38 0.79 1.00 0.24 0.18 0.14 1.00 0.37 0.19 0.01 0.35 1.00 0.05 0.01 -0.19 0.13 0.57 1.00 0.26 0.30 0.07 0.01 0.67 0.60 1.00 -0.24 0.06 0.10 0.18 0.15 0.45 0.11 1.00 Data of Unknown Source, Presumed logs of Currency Prices 68 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1989-1-23 to 1989-7-21 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.08 1.00 cur2 0.19 -0.14 1.00 cur3 0.25 -0.04 0.90 1.00 cur4 0.25 0.15 0.79 0.88 1.00 cur5 0.20 0.24 0.72 0.78 0.89 1.00 cur6 0.29 0.13 0.14 0.16 0.22 0.29 1.00 cur7 0.12 0.01 0.17 0.20 0.18 0.21 0.42 1.00 cur8 0.37 0.05 0.26 0.25 0.24 0.32 0.48 0.80 cur9 0.35 0.05 0.25 0.31 0.29 0.36 0.17 0.65 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.72 1.00 Data of Unknown Source, Presumed logs of Currency Prices 69 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1989-1-23 to 1989-7-21 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.41 0.24 0.14 0.08 0.21 0.25 0.23 0.43 cur11 -0.24 0.21 -0.12 -0.12 -0.09 0.18 0.28 0.20 cur12 0.01 0.34 -0.03 0.05 0.05 0.12 0.35 0.23 cur13 0.12 0.23 0.00 0.03 0.01 0.07 0.37 0.18 cur14 0.01 0.14 -0.07 -0.01 -0.07 -0.04 0.24 0.08 cur15 0.20 -0.02 -0.05 0.05 0.14 0.15 0.42 0.25 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.61 0.59 1.00 0.16 0.04 -0.16 1.00 0.07 -0.04 -0.09 0.42 1.00 0.11 -0.07 -0.09 0.32 0.90 1.00 -0.04 -0.14 -0.17 0.22 0.79 0.85 1.00 0.29 0.08 0.18 0.28 0.33 0.30 0.33 1.00 Data of Unknown Source, Presumed logs of Currency Prices 70 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1989-7-21 to 1990-1-16 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.17 1.00 cur2 -0.38 0.61 1.00 cur3 -0.47 0.55 0.75 1.00 cur4 -0.55 0.44 0.67 0.81 1.00 cur5 -0.57 0.52 0.76 0.78 0.93 1.00 cur6 -0.10 0.21 0.42 0.31 0.12 0.20 1.00 cur7 -0.13 0.40 0.53 0.38 0.21 0.31 0.74 1.00 cur8 -0.01 0.22 0.36 0.16 0.01 0.09 0.75 0.82 cur9 0.07 0.39 0.45 0.26 0.03 0.13 0.77 0.86 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.90 1.00 Data of Unknown Source, Presumed logs of Currency Prices 71 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1989-7-21 to 1990-1-16 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.12 0.37 0.21 0.07 -0.09 -0.04 0.50 0.49 cur11 0.05 -0.10 0.08 0.00 -0.07 -0.04 0.64 0.38 cur12 -0.10 0.27 0.43 0.32 0.31 0.34 0.42 0.47 cur13 0.16 0.35 0.33 0.16 0.14 0.17 0.30 0.31 cur14 0.17 0.26 0.31 0.15 0.13 0.16 0.38 0.39 cur15 0.16 0.36 0.33 0.22 0.19 0.20 0.18 0.11 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.61 0.71 1.00 0.63 0.47 0.29 1.00 0.29 0.34 0.09 0.18 1.00 0.14 0.26 0.11 0.12 0.74 1.00 0.29 0.34 0.16 0.27 0.80 0.89 1.00 0.07 0.15 0.16 0.08 0.58 0.83 0.75 1.00 Data of Unknown Source, Presumed logs of Currency Prices 72 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1990-1-16 to 1990-7-14 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.01 1.00 cur2 -0.27 0.50 1.00 cur3 -0.22 0.53 0.89 1.00 cur4 -0.39 0.44 0.81 0.76 1.00 cur5 -0.42 0.39 0.86 0.83 0.91 1.00 cur6 -0.10 0.01 0.08 0.13 -0.00 0.04 1.00 cur7 -0.05 0.01 0.09 0.14 0.03 0.06 0.58 1.00 cur8 -0.08 -0.01 0.11 0.15 0.04 0.11 0.60 0.89 cur9 -0.05 -0.11 0.15 0.15 0.06 0.12 0.60 0.88 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.91 1.00 Data of Unknown Source, Presumed logs of Currency Prices 73 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1990-1-16 to 1990-7-14 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 -0.19 0.00 0.31 0.27 0.23 0.27 0.54 0.73 cur11 0.34 -0.09 -0.17 -0.14 -0.04 -0.05 -0.18 -0.01 cur12 -0.23 0.37 0.26 0.36 0.40 0.34 -0.10 -0.00 cur13 -0.22 0.35 0.22 0.28 0.42 0.27 -0.06 0.02 cur14 -0.14 0.37 0.26 0.33 0.44 0.34 -0.10 0.03 cur15 -0.32 0.11 0.05 0.11 0.27 0.19 -0.04 0.02 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.75 0.84 1.00 0.05 0.04 -0.06 1.00 0.03 -0.03 0.04 0.08 1.00 0.05 -0.05 0.01 0.11 0.91 1.00 0.10 -0.01 0.06 0.11 0.90 0.91 1.00 0.09 -0.01 -0.02 0.18 0.76 0.77 0.77 1.00 Data of Unknown Source, Presumed logs of Currency Prices 74 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1990-7-14 to 1991-1-9 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.35 1.00 cur2 -0.09 0.38 1.00 cur3 -0.40 0.03 0.54 1.00 cur4 -0.10 0.09 0.56 0.68 1.00 cur5 -0.13 -0.01 0.59 0.66 0.89 1.00 cur6 0.26 -0.12 -0.21 -0.24 -0.22 -0.14 1.00 cur7 -0.03 -0.12 -0.11 -0.08 -0.08 0.00 0.87 1.00 cur8 -0.09 -0.13 -0.04 -0.07 -0.05 0.06 0.83 0.96 cur9 -0.08 -0.04 0.05 -0.01 -0.02 0.09 0.73 0.90 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.94 1.00 Data of Unknown Source, Presumed logs of Currency Prices 75 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1990-7-14 to 1991-1-9 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.00 -0.06 0.04 -0.07 -0.12 0.02 0.76 0.84 cur11 0.42 0.54 0.25 -0.05 0.17 0.11 -0.06 -0.12 cur12 -0.07 0.22 0.38 0.34 0.35 0.42 -0.12 0.10 cur13 -0.24 0.12 0.32 0.39 0.34 0.45 -0.13 0.15 cur14 -0.34 0.06 0.38 0.44 0.45 0.52 -0.22 0.06 cur15 -0.30 0.04 0.36 0.47 0.38 0.49 -0.27 -0.02 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.89 0.91 1.00 -0.09 0.01 -0.06 1.00 0.10 0.18 0.09 0.45 1.00 0.14 0.22 0.09 0.28 0.88 1.00 0.06 0.15 -0.05 0.17 0.72 0.89 1.00 -0.01 0.10 -0.04 0.22 0.78 0.89 0.90 1.00 Data of Unknown Source, Presumed logs of Currency Prices 76 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1991-1-9 to 1991-7-7 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.65 1.00 cur2 -0.00 0.41 1.00 cur3 -0.30 0.43 0.44 1.00 cur4 -0.50 0.64 0.32 0.66 1.00 cur5 -0.36 0.46 0.19 0.58 0.83 1.00 cur6 -0.09 -0.03 -0.30 -0.19 -0.11 -0.14 1.00 cur7 -0.36 -0.02 -0.18 -0.16 -0.01 0.07 0.19 1.00 cur8 -0.42 0.19 0.03 0.14 0.26 0.31 0.09 0.76 cur9 -0.52 0.30 -0.09 0.04 0.33 0.47 -0.01 0.65 cur10 -0.48 0.42 0.07 0.22 0.57 0.63 -0.25 0.37 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.72 1.00 0.51 0.72 1.00 Data of Unknown Source, Presumed logs of Currency Prices 77 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1991-1-9 to 1991-7-7 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur11 -0.46 0.38 0.21 0.12 0.30 0.14 0.11 0.27 cur12 -0.62 0.43 0.31 0.30 0.24 0.10 0.04 0.29 cur13 -0.57 0.40 0.18 0.24 0.28 0.21 0.04 0.34 cur14 -0.65 0.19 -0.04 -0.02 0.06 0.02 0.19 0.47 cur15 -0.79 0.49 0.12 0.32 0.36 0.29 0.07 0.24 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.21 0.32 0.28 1.00 0.32 0.32 0.25 0.53 1.00 0.34 0.44 0.37 0.50 0.82 1.00 0.41 0.47 0.25 0.43 0.74 0.75 1.00 0.31 0.36 0.35 0.46 0.81 0.75 0.79 1.00 Data of Unknown Source, Presumed logs of Currency Prices 78 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1991-7-7 to 1992-1-2 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.19 1.00 cur2 0.20 0.10 1.00 cur3 0.19 0.11 0.79 1.00 cur4 0.34 -0.06 0.59 0.65 1.00 cur5 0.29 0.28 0.28 0.58 0.67 1.00 cur6 0.28 -0.01 -0.07 -0.17 -0.00 -0.06 1.00 cur7 0.66 -0.14 0.04 -0.05 0.13 -0.01 0.41 1.00 cur8 0.56 -0.24 0.06 -0.01 0.13 -0.02 0.48 0.82 cur9 0.35 -0.01 -0.15 -0.23 -0.14 -0.22 0.40 0.57 cur10 0.42 0.11 -0.11 -0.09 -0.13 -0.08 0.44 0.43 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.64 1.00 0.55 0.74 1.00 Data of Unknown Source, Presumed logs of Currency Prices 79 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1991-7-7 to 1992-1-2 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur11 -0.27 -0.03 0.37 0.21 0.02 -0.16 -0.31 -0.27 cur12 -0.16 -0.03 0.06 -0.01 -0.10 -0.20 -0.14 -0.08 cur13 -0.15 -0.03 -0.12 -0.13 -0.13 -0.22 -0.12 -0.09 cur14 -0.01 -0.15 -0.03 -0.14 -0.00 -0.19 -0.07 0.19 cur15 -0.17 -0.00 0.08 0.03 0.01 -0.12 -0.09 -0.13 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 -0.22 -0.26 -0.34 1.00 0.06 0.17 0.12 0.29 1.00 0.07 0.24 0.15 0.19 0.92 1.00 0.28 0.37 0.14 0.23 0.69 0.76 1.00 -0.02 0.06 -0.07 0.43 0.68 0.74 0.60 1.00 Data of Unknown Source, Presumed logs of Currency Prices 80 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1992-1-2 to 1992-6-29 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.04 1.00 cur2 0.13 0.46 1.00 cur3 -0.07 0.48 0.78 1.00 cur4 0.10 0.52 0.74 0.81 1.00 cur5 -0.07 0.29 0.39 0.54 0.71 1.00 cur6 0.34 0.42 0.53 0.44 0.47 0.30 1.00 cur7 0.05 0.18 0.31 0.16 0.12 -0.03 0.42 1.00 cur8 0.07 0.24 0.36 0.21 0.15 -0.01 0.45 0.97 cur9 0.06 0.26 0.35 0.24 0.20 0.06 0.48 0.92 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.96 1.00 Data of Unknown Source, Presumed logs of Currency Prices 81 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1992-1-2 to 1992-6-29 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.01 0.20 0.20 0.11 0.11 0.04 0.40 0.79 cur11 -0.44 0.03 -0.16 -0.01 -0.00 0.13 0.00 -0.00 cur12 -0.09 0.11 0.08 0.17 0.05 0.23 0.37 0.17 cur13 -0.12 0.19 0.08 0.21 0.05 0.20 0.27 0.16 cur14 -0.13 0.16 0.14 0.19 0.08 0.22 0.17 0.05 cur15 -0.07 0.31 0.29 0.32 0.27 0.42 0.38 0.26 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.85 0.90 1.00 0.06 0.16 0.30 1.00 0.18 0.20 0.14 0.37 1.00 0.17 0.20 0.11 0.35 0.88 1.00 0.06 0.08 0.01 0.35 0.85 0.90 1.00 0.30 0.34 0.28 0.41 0.76 0.77 0.75 1.00 Data of Unknown Source, Presumed logs of Currency Prices 82 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1992-6-29 to 1992-12-25 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.35 1.00 cur2 0.08 0.27 1.00 cur3 0.07 0.35 0.80 1.00 cur4 -0.06 0.32 0.77 0.82 1.00 cur5 -0.03 0.30 0.59 0.70 0.84 1.00 cur6 0.08 0.25 0.16 0.05 -0.01 -0.03 1.00 cur7 0.13 0.32 0.18 0.11 0.07 0.06 0.92 1.00 cur8 0.11 0.34 0.21 0.14 0.10 0.08 0.89 0.99 cur9 0.12 0.34 0.22 0.17 0.10 0.07 0.89 0.98 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.99 1.00 Data of Unknown Source, Presumed logs of Currency Prices 83 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1992-6-29 to 1992-12-25 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.14 0.50 0.24 0.25 0.30 0.27 0.51 0.72 cur11 0.25 0.35 0.14 0.04 0.05 0.10 0.64 0.65 cur12 0.23 0.17 0.04 -0.06 -0.12 -0.04 0.82 0.81 cur13 0.21 0.24 0.11 -0.00 -0.08 -0.01 0.87 0.84 cur14 0.15 0.21 0.13 0.01 -0.08 0.00 0.88 0.84 cur15 0.14 0.26 0.17 0.05 0.02 0.17 0.69 0.69 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.76 0.77 1.00 0.64 0.65 0.56 1.00 0.79 0.80 0.51 0.75 1.00 0.82 0.83 0.53 0.78 0.98 1.00 0.83 0.84 0.48 0.74 0.95 0.97 1.00 0.68 0.69 0.45 0.72 0.87 0.87 0.90 1.00 Data of Unknown Source, Presumed logs of Currency Prices 84 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1992-12-25 to 1993-6-22 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 0.20 1.00 cur2 0.02 0.07 1.00 cur3 0.14 0.09 0.80 1.00 cur4 0.05 -0.03 0.82 0.80 1.00 cur5 0.11 -0.10 0.66 0.66 0.75 1.00 cur6 -0.34 0.19 0.00 -0.11 -0.04 0.02 1.00 cur7 -0.29 0.02 -0.10 -0.30 -0.16 -0.27 0.69 1.00 cur8 -0.27 0.07 -0.19 -0.38 -0.25 -0.33 0.71 0.97 cur9 -0.17 0.14 -0.11 -0.27 -0.13 -0.23 0.68 0.85 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.90 1.00 Data of Unknown Source, Presumed logs of Currency Prices 85 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1992-12-25 to 1993-6-22 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 -0.23 0.17 -0.08 -0.23 -0.05 -0.16 0.59 0.68 cur11 0.16 0.02 -0.07 -0.06 -0.10 -0.23 -0.12 0.16 cur12 0.09 -0.11 -0.07 -0.18 -0.13 0.08 -0.05 -0.09 cur13 0.21 -0.02 -0.12 -0.16 -0.19 0.05 -0.07 -0.21 cur14 0.21 -0.17 -0.11 -0.09 -0.09 0.17 -0.14 -0.24 cur15 0.35 -0.15 -0.16 -0.16 -0.17 0.09 -0.16 -0.18 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.70 0.83 1.00 0.14 0.03 -0.07 1.00 -0.12 -0.09 0.01 0.13 1.00 -0.20 -0.15 -0.11 0.04 0.90 1.00 -0.23 -0.18 -0.14 -0.02 0.83 0.88 1.00 -0.19 -0.16 -0.10 0.00 0.81 0.85 0.91 1.00 Data of Unknown Source, Presumed logs of Currency Prices 86 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1993-6-22 to 1993-12-18 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.14 1.00 cur2 0.14 -0.15 1.00 cur3 0.12 -0.13 0.65 1.00 cur4 0.24 -0.32 0.77 0.72 1.00 cur5 0.31 -0.30 0.65 0.72 0.82 1.00 cur6 0.16 -0.12 -0.20 -0.19 -0.03 -0.09 1.00 cur7 0.01 -0.10 0.12 0.07 -0.04 -0.02 -0.05 1.00 cur8 0.12 -0.15 0.15 0.06 0.05 0.02 0.04 0.91 cur9 0.03 -0.16 0.21 0.02 0.03 0.08 -0.05 0.83 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.76 1.00 Data of Unknown Source, Presumed logs of Currency Prices 87 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1993-6-22 to 1993-12-18 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 -0.04 -0.13 0.11 0.16 0.10 0.17 -0.07 0.47 cur11 0.19 0.28 0.17 0.29 0.13 0.05 0.05 -0.02 cur12 0.01 -0.06 0.08 -0.27 -0.09 -0.10 0.06 0.31 cur13 -0.14 -0.06 0.04 -0.34 -0.11 -0.20 0.08 0.28 cur14 0.16 -0.32 0.04 -0.26 0.16 0.09 0.06 -0.03 cur15 0.32 -0.22 0.12 -0.11 0.32 0.18 0.02 -0.12 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.47 0.57 1.00 0.06 -0.16 -0.20 1.00 0.31 0.36 0.07 0.02 1.00 0.31 0.31 0.09 0.01 0.90 1.00 0.08 0.17 0.12 -0.18 0.52 0.60 1.00 0.02 -0.02 -0.05 0.03 0.37 0.43 0.72 1.00 Data of Unknown Source, Presumed logs of Currency Prices 88 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1993-12-18 to 1994-6-15 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.01 1.00 cur2 0.04 -0.41 1.00 cur3 -0.03 -0.41 0.75 1.00 cur4 0.05 -0.34 0.79 0.90 1.00 cur5 -0.02 -0.30 0.80 0.85 0.88 1.00 cur6 0.36 0.17 -0.06 -0.02 -0.07 -0.03 1.00 cur7 0.18 0.20 -0.08 0.04 -0.04 0.02 0.28 1.00 cur8 0.25 0.26 -0.12 -0.06 -0.09 -0.07 0.23 0.91 cur9 0.29 0.26 -0.11 -0.07 -0.08 -0.06 0.16 0.87 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.95 1.00 Data of Unknown Source, Presumed logs of Currency Prices 89 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1993-12-18 to 1994-6-15 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 0.38 0.22 -0.21 -0.26 -0.19 -0.20 0.04 0.53 cur11 0.00 0.02 -0.08 -0.09 -0.05 -0.03 -0.06 0.24 cur12 0.42 0.02 0.03 0.05 0.05 -0.01 0.47 0.29 cur13 0.26 -0.01 0.11 0.11 0.15 0.08 0.38 0.33 cur14 0.26 0.09 0.03 0.00 0.06 -0.04 0.24 0.47 cur15 0.42 0.11 0.02 0.01 0.10 -0.01 0.26 0.43 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.72 0.82 1.00 0.22 0.31 0.28 1.00 0.41 0.37 0.29 0.26 1.00 0.44 0.41 0.27 0.28 0.92 1.00 0.55 0.57 0.43 0.44 0.75 0.86 1.00 0.50 0.54 0.45 0.44 0.72 0.79 0.92 1.00 Data of Unknown Source, Presumed logs of Currency Prices 90 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1994-6-15 to 1994-12-11 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 Sd 1.00 cur1 -0.31 1.00 cur2 -0.52 0.24 1.00 cur3 -0.48 0.37 0.70 1.00 cur4 -0.50 0.34 0.82 0.82 1.00 cur5 -0.46 0.16 0.74 0.76 0.88 1.00 cur6 -0.24 0.03 0.37 0.37 0.35 0.25 1.00 cur7 -0.35 0.11 0.22 0.32 0.20 0.28 0.48 1.00 cur8 -0.44 0.16 0.26 0.39 0.24 0.38 0.34 0.94 cur9 -0.60 0.16 0.30 0.44 0.34 0.42 0.30 0.81 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 1.00 0.87 1.00 Data of Unknown Source, Presumed logs of Currency Prices 91 Trading Calendar. Annualized 5-day volatilities. DPY assumption:250 Correlation triangle for time window 1994-6-15 to 1994-12-11 20:33 Monday, August 6, 2007 _ N A c c c c c c c M u u u u u u u E S r r r r r r r _ d 1 2 3 4 5 6 7 cur10 -0.55 0.14 0.19 0.32 0.29 0.38 0.25 0.72 cur11 0.09 -0.06 -0.06 -0.13 -0.08 -0.06 0.06 0.30 cur12 -0.24 -0.03 0.27 0.27 0.35 0.26 0.23 0.05 cur13 -0.65 0.03 0.36 0.35 0.32 0.32 0.21 0.28 cur14 -0.52 -0.22 0.27 0.29 0.23 0.38 0.17 0.44 cur15 -0.49 -0.22 0.16 0.22 0.19 0.27 0.24 0.35 c c c c c c c c u u u u u u u u r r r r r r r r 1 1 1 1 1 1 8 9 0 1 2 3 4 5 0.74 0.92 1.00 0.24 0.22 0.25 1.00 0.06 0.18 0.14 0.09 1.00 0.36 0.49 0.46 0.12 0.65 1.00 0.54 0.67 0.65 0.17 0.47 0.84 1.00 0.43 0.57 0.57 0.13 0.54 0.82 0.90 1.00