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06605010 / BANKAMERICA CORP

1980-01-14 to 1980-07-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 22.00 22.00 13.00 13.00 22.00 22.00 13.00 13.00
min 1.39 1.57 1.33 1.44 1.27 1.43 1.26 1.34
max 1.50 1.69 2.75 2.97 1.38 1.55 2.61 2.76
mean 1.44 1.63 2.01 2.18 1.32 1.49 1.91 2.03
st.dev. 0.03 0.04 0.45 0.49 0.03 0.03 0.43 0.45
Q5% 1.39 1.58 1.43 1.54 1.28 1.44 1.34 1.44
Q50% 1.45 1.64 1.96 2.12 1.33 1.50 1.86 1.97
Q95% 1.49 1.67 2.64 2.85 1.37 1.53 2.51 2.66

1981-07-14 to 1982-11-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.35 1.51 1.03 1.03 1.25 1.39 1.04 1.03
max 2.48 2.77 5.09 5.08 2.30 2.55 5.10 5.09
mean 1.62 1.84 1.91 1.92 1.49 1.68 1.92 1.91
st.dev. 0.23 0.26 0.64 0.66 0.21 0.24 0.63 0.64
Q5% 1.41 1.60 1.14 1.14 1.29 1.46 1.15 1.14
Q50% 1.53 1.74 1.79 1.79 1.41 1.59 1.81 1.79
Q95% 2.09 2.37 2.97 2.98 1.92 2.15 2.96 2.97

1987-10-19 to 1988-01-19
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 1.68 1.96 1.06 1.20 1.50 1.77 1.08 1.09
max 9.27 11.48 4.53 4.45 8.68 9.88 4.51 4.41
mean 2.89 3.36 2.16 2.20 2.80 3.02 2.16 2.16
st.dev. 1.63 2.05 0.82 0.81 1.53 1.74 0.81 0.81
Q5% 1.73 2.09 1.30 1.40 1.58 1.81 1.30 1.34
Q50% 2.36 2.73 1.93 1.98 2.31 2.44 1.96 1.93
Q95% 6.84 8.38 3.88 3.88 6.45 7.20 3.88 3.88

1990-07-14 to 1991-03-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.45 1.69 1.06 1.16 1.33 1.52 1.08 1.08
max 3.95 5.65 8.57 10.36 3.18 4.48 7.50 8.92
mean 1.87 2.24 2.12 2.14 1.81 1.97 2.11 2.09
st.dev. 0.39 0.51 0.96 1.10 0.41 0.42 0.89 0.98
Q5% 1.49 1.75 1.20 1.22 1.36 1.56 1.19 1.20
Q50% 1.73 2.10 1.88 1.87 1.67 1.83 1.87 1.83
Q95% 2.57 3.06 3.72 3.75 2.59 2.69 3.58 3.71

1998-08-14 to 1998-11-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 33.00 33.00 33.00 33.00 33.00 33.00 33.00 33.00
min 1.43 1.44 1.76 1.82 1.44 1.40 1.68 1.75
max 2.92 3.02 5.79 5.78 2.90 2.94 5.80 5.79
mean 2.06 2.12 3.22 3.18 2.07 2.06 3.25 3.15
st.dev. 0.52 0.56 1.15 1.07 0.52 0.54 1.22 1.09
Q5% 1.45 1.46 1.80 1.84 1.46 1.42 1.73 1.80
Q50% 1.95 2.03 3.06 3.04 1.98 1.97 3.12 3.04
Q95% 2.82 2.93 5.29 5.05 2.81 2.85 5.47 5.02

1974-01-01 to 2012-12-31
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 4627.00 4627.00 4618.00 4618.00 4627.00 4627.00 4618.00 4618.00
min 1.09 1.12 1.03 1.03 1.09 1.09 1.04 1.02
max 9.27 11.48 12.21 19.15 8.68 9.88 9.45 14.40
mean 1.72 1.97 2.06 2.14 1.61 1.78 2.04 2.07
st.dev. 0.46 0.63 0.71 0.90 0.42 0.51 0.65 0.76
Q5% 1.25 1.33 1.25 1.25 1.22 1.27 1.25 1.24
Q50% 1.60 1.81 1.96 2.01 1.51 1.65 1.95 1.96
Q95% 2.57 3.15 3.11 3.24 2.34 2.73 3.05 3.12