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  4. 20051910 / COMMERCE BANCORP INC NJ

20051910 / COMMERCE BANCORP INC NJ

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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.40 1.58 1.28 1.25 1.30 1.44 1.28 1.26
max 2.72 3.12 3.35 3.41 2.49 2.83 3.29 3.33
mean 1.69 1.90 2.10 2.12 1.58 1.74 2.09 2.09
st.dev. 0.34 0.40 0.57 0.58 0.30 0.36 0.56 0.57
Q5% 1.42 1.59 1.43 1.43 1.30 1.47 1.42 1.42
Q50% 1.54 1.66 2.07 2.05 1.48 1.55 2.08 2.05
Q95% 2.46 2.82 3.20 3.21 2.24 2.56 3.20 3.20

2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.26 1.40 1.10 1.08 1.18 1.30 1.13 1.10
max 2.05 2.28 3.69 4.27 1.93 2.11 3.33 3.86
mean 1.59 1.71 1.96 2.00 1.54 1.62 1.95 1.96
st.dev. 0.18 0.20 0.47 0.53 0.18 0.19 0.44 0.48
Q5% 1.32 1.44 1.30 1.30 1.25 1.35 1.30 1.30
Q50% 1.58 1.68 1.86 1.89 1.55 1.61 1.84 1.87
Q95% 1.89 2.07 2.68 2.73 1.85 1.93 2.66 2.68

2007-12-14 to 2009-06-14
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 71.00 71.00 71.00 71.00 71.00 71.00 71.00 71.00
min 1.57 1.91 1.14 1.17 1.41 1.67 1.14 1.15
max 2.13 2.64 9.57 15.12 1.94 2.28 7.36 11.39
mean 1.77 2.19 2.93 3.67 1.64 1.88 2.65 3.17
st.dev. 0.10 0.13 1.85 3.29 0.12 0.11 1.30 2.32
Q5% 1.61 2.01 1.30 1.34 1.49 1.71 1.30 1.31
Q50% 1.77 2.19 2.33 2.40 1.58 1.88 2.33 2.35
Q95% 1.96 2.39 6.80 10.87 1.87 2.08 5.21 8.14

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 3987.00 3987.00 3978.00 3978.00 3987.00 3987.00 3978.00 3978.00
min 1.16 1.20 1.05 1.05 1.12 1.16 1.03 1.05
max 4.23 4.88 9.57 15.12 3.84 4.40 7.36 11.39
mean 1.69 1.89 1.99 2.03 1.60 1.74 1.95 1.99
st.dev. 0.32 0.43 0.60 0.80 0.30 0.35 0.54 0.65
Q5% 1.32 1.42 1.27 1.27 1.26 1.35 1.26 1.27
Q50% 1.62 1.81 1.91 1.93 1.54 1.67 1.89 1.91
Q95% 2.29 2.69 2.91 2.98 2.19 2.39 2.83 2.89