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  4. 31340030 / FEDERAL HOME LOAN MORTGAGE CORP

31340030 / FEDERAL HOME LOAN MORTGAGE CORP

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 1.18 1.23 1.44 1.45 1.10 1.17 1.48 1.43
max 2.30 2.37 4.17 4.11 2.16 2.28 4.28 4.15
mean 1.77 1.83 2.23 2.21 1.69 1.76 2.29 2.22
st.dev. 0.31 0.30 0.56 0.57 0.29 0.30 0.57 0.56
Q5% 1.20 1.28 1.53 1.54 1.14 1.21 1.55 1.52
Q50% 1.89 1.93 2.05 2.04 1.79 1.86 2.13 2.04
Q95% 2.20 2.27 3.27 3.26 2.08 2.19 3.37 3.25

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 1.33 1.16 1.15 1.21 1.28 1.16 1.15
max 2.94 2.94 3.85 3.85 2.94 2.94 3.85 3.85
mean 1.70 1.74 1.83 1.83 1.68 1.71 1.83 1.83
st.dev. 0.41 0.38 0.56 0.55 0.42 0.40 0.56 0.56
Q5% 1.34 1.42 1.25 1.25 1.29 1.36 1.25 1.25
Q50% 1.54 1.60 1.69 1.69 1.53 1.54 1.69 1.69
Q95% 2.67 2.67 3.07 3.07 2.67 2.67 3.07 3.07

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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.39 1.75 1.32 1.97 1.34 1.45 1.08 1.49
max 10.32 11.85 11.03 14.86 14.68 10.73 11.29 11.24
mean 3.35 3.86 3.64 4.21 3.61 3.48 3.56 3.78
st.dev. 1.80 2.02 1.91 2.06 2.25 1.86 1.95 1.94
Q5% 1.51 1.89 1.62 2.23 1.48 1.60 1.39 1.77
Q50% 2.82 3.25 3.15 3.65 3.08 2.92 3.07 3.25
Q95% 7.13 8.26 8.20 8.99 8.00 7.44 8.08 8.23

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 4269.00 4269.00 4260.00 4260.00 4269.00 4269.00 4260.00 4260.00
min 1.06 1.09 1.03 1.03 1.06 1.08 1.04 1.03
max 17.37 24.41 14.87 21.63 14.68 19.55 15.64 16.34
mean 1.84 2.10 2.46 2.83 1.79 1.91 2.33 2.54
st.dev. 1.01 1.28 1.52 2.26 1.13 1.08 1.38 1.72
Q5% 1.18 1.24 1.24 1.24 1.15 1.19 1.23 1.23
Q50% 1.57 1.72 2.01 2.08 1.50 1.60 1.95 2.01
Q95% 3.41 4.25 5.62 7.44 3.51 3.60 4.99 6.15