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  4. 31358610 / FEDERAL NATIONAL MORTGAGE ASSN

31358610 / FEDERAL NATIONAL MORTGAGE ASSN

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 319.00 319.00 310.00 310.00 319.00 319.00 310.00 310.00
min 1.44 1.68 1.06 1.08 1.31 1.51 1.07 1.07
max 4.43 5.23 5.64 5.64 4.31 4.65 5.64 5.64
mean 2.04 2.37 2.16 2.17 1.92 2.12 2.15 2.16
st.dev. 0.48 0.57 0.79 0.80 0.48 0.50 0.78 0.79
Q5% 1.52 1.77 1.22 1.23 1.39 1.58 1.23 1.22
Q50% 1.88 2.21 1.99 2.00 1.77 1.97 1.96 1.98
Q95% 3.02 3.52 3.73 3.81 2.94 3.13 3.68 3.74

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 1.33 1.42 1.41 1.51 1.28 1.36 1.41 1.41
max 3.61 3.70 5.35 5.54 3.51 3.42 5.24 5.40
mean 1.84 1.91 2.27 2.36 1.85 1.81 2.26 2.28
st.dev. 0.53 0.52 0.77 0.82 0.51 0.48 0.76 0.78
Q5% 1.36 1.46 1.45 1.53 1.39 1.38 1.44 1.45
Q50% 1.62 1.73 2.12 2.13 1.63 1.63 2.10 2.12
Q95% 2.93 3.02 3.80 3.97 2.89 2.80 3.74 3.84

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 1.27 1.38 1.25 1.44 1.19 1.30 1.10 1.27
max 2.46 2.71 4.08 4.40 2.38 2.52 4.08 4.08
mean 1.51 1.69 2.11 2.39 1.42 1.55 1.96 2.14
st.dev. 0.25 0.27 0.68 0.82 0.25 0.26 0.62 0.70
Q5% 1.28 1.41 1.30 1.52 1.21 1.32 1.23 1.31
Q50% 1.39 1.60 1.88 2.10 1.29 1.44 1.77 1.94
Q95% 1.98 2.19 3.31 3.91 1.92 2.03 3.16 3.35

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 1.13 1.19 1.16 1.21 1.15 1.13 1.08 1.16
max 1.77 1.84 3.65 3.96 1.77 1.78 3.37 3.65
mean 1.37 1.42 2.06 2.13 1.40 1.38 1.95 2.06
st.dev. 0.18 0.19 0.55 0.60 0.17 0.18 0.49 0.55
Q5% 1.15 1.20 1.36 1.42 1.18 1.15 1.25 1.36
Q50% 1.34 1.37 1.95 1.98 1.38 1.34 1.86 1.93
Q95% 1.66 1.74 3.14 3.35 1.66 1.68 2.86 3.15

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 1.20 1.24 1.24 1.26 1.18 1.20 1.18 1.23
max 2.73 2.79 3.33 3.73 2.72 2.72 3.33 3.33
mean 1.59 1.63 1.76 1.77 1.58 1.59 1.74 1.76
st.dev. 0.36 0.36 0.43 0.45 0.36 0.35 0.44 0.44
Q5% 1.26 1.29 1.25 1.27 1.22 1.26 1.20 1.24
Q50% 1.47 1.51 1.69 1.69 1.47 1.47 1.69 1.69
Q95% 2.46 2.51 2.75 2.75 2.45 2.45 2.75 2.75

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 1.82 2.31 1.36 1.60 1.59 1.96 1.09 1.42
max 13.35 16.85 9.70 9.87 14.25 14.36 9.57 9.74
mean 3.99 5.03 3.47 3.75 3.74 4.28 3.42 3.53
st.dev. 2.30 2.92 1.69 1.63 2.31 2.48 1.68 1.67
Q5% 2.01 2.60 1.49 2.07 1.75 2.20 1.41 1.72
Q50% 3.15 3.97 3.14 3.31 2.98 3.37 3.11 3.21
Q95% 9.41 11.98 7.11 7.36 9.04 10.15 7.01 7.25

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 7292.00 7292.00 7283.00 7283.00 7292.00 7292.00 7283.00 7283.00
min 1.06 1.07 1.04 1.04 1.06 1.06 1.02 1.07
max 13.35 16.85 11.82 13.74 14.25 14.36 11.08 12.33
mean 1.77 2.04 2.17 2.33 1.68 1.83 2.07 2.19
st.dev. 0.93 1.26 0.97 1.11 0.87 1.02 0.92 1.00
Q5% 1.21 1.27 1.28 1.30 1.18 1.22 1.23 1.27
Q50% 1.53 1.71 1.94 2.06 1.45 1.57 1.87 1.96
Q95% 3.09 3.99 3.66 3.97 2.83 3.33 3.52 3.72