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  4. 78442P10 / S L M CORP

78442P10 / S L M CORP

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 1.40 1.61 1.29 1.39 1.28 1.46 1.28 1.28
max 3.06 3.56 5.27 5.27 2.76 3.20 5.27 5.27
mean 1.85 2.14 2.59 2.72 1.70 1.93 2.63 2.62
st.dev. 0.55 0.65 0.92 0.95 0.49 0.58 0.97 0.93
Q5% 1.43 1.64 1.45 1.47 1.30 1.49 1.50 1.45
Q50% 1.58 1.82 2.39 2.51 1.47 1.64 2.38 2.39
Q95% 3.00 3.50 4.53 4.58 2.70 3.13 4.69 4.54

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 1.32 1.73 1.56 1.69 1.23 1.41 1.26 1.60
max 4.54 5.11 5.67 6.72 4.38 4.69 5.27 5.96
mean 2.10 2.43 2.85 3.08 2.00 2.18 2.79 2.90
st.dev. 0.65 0.66 0.99 1.10 0.64 0.65 0.96 1.02
Q5% 1.38 1.77 1.76 1.93 1.26 1.49 1.66 1.80
Q50% 1.93 2.22 2.51 2.80 1.86 2.02 2.48 2.54
Q95% 3.13 3.50 4.71 5.13 3.03 3.22 4.72 4.77

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 1.53 1.84 1.47 1.45 1.37 1.61 1.41 1.44
max 6.02 7.93 5.24 5.24 5.07 6.59 5.24 5.24
mean 2.77 3.27 2.90 2.80 2.51 2.91 2.96 2.86
st.dev. 0.89 1.15 0.89 0.91 0.75 0.96 0.90 0.90
Q5% 1.66 1.99 1.73 1.70 1.58 1.75 1.77 1.70
Q50% 2.59 3.04 2.83 2.70 2.37 2.69 2.91 2.76
Q95% 4.20 5.05 4.72 4.72 3.70 4.44 4.72 4.72

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 1.28 1.40 1.32 1.32 1.21 1.29 1.32 1.32
max 2.37 2.64 2.71 2.71 2.09 2.33 2.71 2.71
mean 1.75 1.95 2.14 2.14 1.57 1.74 2.14 2.14
st.dev. 0.29 0.32 0.33 0.33 0.23 0.28 0.33 0.33
Q5% 1.37 1.50 1.65 1.65 1.28 1.38 1.65 1.65
Q50% 1.68 1.86 2.17 2.17 1.50 1.65 2.17 2.17
Q95% 2.23 2.48 2.62 2.62 1.97 2.20 2.62 2.62

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 2.15 2.70 1.54 1.78 1.95 2.24 1.36 1.62
max 13.73 19.03 12.52 20.13 11.25 15.36 11.52 15.04
mean 4.73 6.44 3.43 4.02 4.00 5.25 3.31 3.53
st.dev. 2.15 2.99 1.75 2.16 1.78 2.41 1.72 1.81
Q5% 2.56 3.44 1.78 2.06 2.22 2.80 1.68 1.87
Q50% 4.16 5.65 2.93 3.36 3.53 4.62 2.84 2.98
Q95% 9.39 12.88 7.27 8.00 7.81 10.45 6.95 7.39

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 6381.00 6381.00 6372.00 6372.00 6381.00 6381.00 6372.00 6372.00
min 1.12 1.25 1.09 1.09 1.07 1.15 1.04 1.07
max 13.73 20.18 27.98 41.81 11.25 15.36 22.10 32.40
mean 2.23 2.74 2.89 3.52 1.99 2.35 2.56 3.00
st.dev. 1.25 1.77 1.43 2.26 0.98 1.38 1.13 1.57
Q5% 1.32 1.47 1.42 1.43 1.25 1.36 1.34 1.42
Q50% 1.75 2.08 2.50 2.81 1.63 1.84 2.31 2.55
Q95% 4.86 6.31 5.68 7.28 4.01 5.15 4.57 5.89