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  4. 55262C10 / M B I A INC

55262C10 / M B I A INC

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 1.62 1.64 1.97 1.94 1.57 1.64 2.37 1.94
max 5.38 6.15 5.71 6.32 5.19 5.58 6.29 5.71
mean 2.69 3.06 3.25 3.28 2.57 2.79 3.41 3.25
st.dev. 0.80 0.93 0.85 0.93 0.77 0.84 0.90 0.88
Q5% 1.71 1.93 2.40 2.30 1.66 1.76 2.49 2.30
Q50% 2.51 2.83 2.89 2.91 2.42 2.59 3.11 2.89
Q95% 4.18 4.79 5.04 5.04 4.04 4.34 5.08 5.04

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 1.32 1.47 1.20 1.28 1.20 1.33 1.20 1.20
max 4.03 4.57 4.60 4.60 3.69 4.17 4.60 4.60
mean 2.08 2.29 2.59 2.71 1.79 2.04 2.29 2.50
st.dev. 0.60 0.65 0.74 0.77 0.48 0.58 0.69 0.72
Q5% 1.35 1.51 1.56 1.59 1.23 1.36 1.42 1.55
Q50% 1.88 2.08 2.68 2.73 1.71 1.90 2.30 2.58
Q95% 3.14 3.46 3.68 3.87 2.61 3.05 3.46 3.56

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 1.70 2.12 1.24 1.31 1.47 1.82 1.25 1.27
max 12.89 15.96 8.03 16.60 12.72 13.77 7.87 8.18
mean 4.14 5.29 3.00 3.17 3.67 4.47 2.96 3.04
st.dev. 1.65 2.06 1.23 1.48 1.57 1.77 1.20 1.27
Q5% 2.08 2.67 1.64 1.66 1.81 2.26 1.63 1.65
Q50% 3.84 4.95 2.69 2.79 3.44 4.15 2.64 2.74
Q95% 6.67 8.43 5.44 5.61 6.01 7.20 5.35 5.49

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 5429.00 5429.00 5420.00 5420.00 5429.00 5429.00 5420.00 5420.00
min 1.27 1.41 1.08 1.08 1.18 1.30 1.04 1.07
max 12.89 15.96 25.06 77.33 12.72 13.77 31.24 37.07
mean 2.20 2.67 2.62 3.13 1.96 2.31 2.37 2.72
st.dev. 0.90 1.18 1.15 2.67 0.81 0.98 1.02 1.52
Q5% 1.39 1.59 1.34 1.39 1.29 1.44 1.30 1.34
Q50% 2.00 2.39 2.37 2.55 1.76 2.08 2.21 2.40
Q95% 3.77 4.82 4.93 6.84 3.38 4.03 3.80 5.24