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  4. 92990310 / WACHOVIA CORP 2ND NEW

92990310 / WACHOVIA CORP 2ND NEW

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 1.67 2.11 1.36 1.52 1.53 1.81 1.36 1.36
max 12.50 16.31 18.25 29.29 11.54 13.62 14.49 21.90
mean 3.28 4.10 3.26 3.93 3.16 3.52 3.10 3.46
st.dev. 2.14 2.84 2.91 4.78 1.95 2.34 2.30 3.52
Q5% 1.82 2.30 1.52 1.55 1.59 1.95 1.57 1.52
Q50% 2.57 3.18 2.29 2.32 2.51 2.76 2.36 2.29
Q95% 8.07 10.38 7.48 11.72 7.52 8.67 6.20 8.83

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 1.48 1.18 1.25 1.21 1.27 1.20 1.21
max 4.15 5.01 6.27 6.27 3.72 4.39 6.27 6.27
mean 1.96 2.32 2.57 2.63 1.81 2.05 2.55 2.58
st.dev. 0.55 0.67 1.03 1.04 0.49 0.59 1.03 1.03
Q5% 1.37 1.63 1.30 1.32 1.32 1.42 1.30 1.30
Q50% 1.79 2.12 2.31 2.43 1.64 1.88 2.29 2.35
Q95% 3.05 3.60 4.77 4.73 2.82 3.20 4.81 4.75

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 1.67 1.80 1.70 1.66 1.60 1.70 1.62 1.66
max 3.18 3.47 6.28 6.04 2.99 3.25 6.78 5.99
mean 2.46 2.68 2.90 2.83 2.31 2.51 2.97 2.84
st.dev. 0.35 0.38 0.95 0.90 0.32 0.35 1.07 0.91
Q5% 1.97 2.13 1.90 1.86 1.85 2.01 1.82 1.86
Q50% 2.47 2.67 2.74 2.68 2.33 2.52 2.79 2.69
Q95% 3.03 3.31 4.78 4.56 2.85 3.10 5.18 4.57

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 1.22 1.33 1.17 1.20 1.15 1.25 1.14 1.16
max 2.90 3.27 3.82 4.09 2.64 2.96 3.47 3.78
mean 1.81 2.01 2.42 2.57 1.67 1.84 2.24 2.40
st.dev. 0.40 0.47 0.62 0.68 0.35 0.41 0.56 0.62
Q5% 1.29 1.41 1.30 1.30 1.20 1.31 1.30 1.30
Q50% 1.74 1.94 2.38 2.51 1.63 1.77 2.21 2.37
Q95% 2.65 2.99 3.33 3.57 2.41 2.70 3.09 3.31

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 264.00 264.00 264.00 264.00 264.00 264.00 264.00 264.00
min 1.55 1.82 1.76 1.74 1.56 1.57 1.84 1.74
max 15.88 15.51 12.84 12.85 21.27 14.15 13.76 12.84
mean 4.06 4.33 3.49 3.49 4.37 3.99 3.54 3.48
st.dev. 2.39 2.38 1.50 1.50 3.21 2.17 1.58 1.50
Q5% 1.90 2.14 2.12 2.09 1.94 1.94 2.14 2.09
Q50% 3.27 3.51 3.05 3.05 3.37 3.25 3.08 3.05
Q95% 9.45 9.52 5.87 5.87 10.46 8.78 5.94 5.87

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 6167.00 6167.00 6158.00 6158.00 6167.00 6167.00 6158.00 6158.00
min 1.18 1.29 1.05 1.07 1.11 1.20 1.06 1.05
max 15.88 16.31 18.25 29.29 21.27 14.15 14.49 21.90
mean 2.06 2.48 2.34 2.53 1.90 2.17 2.23 2.36
st.dev. 0.96 1.29 0.95 1.20 1.02 1.02 0.87 1.01
Q5% 1.33 1.46 1.28 1.34 1.24 1.35 1.26 1.28
Q50% 1.80 2.09 2.18 2.31 1.65 1.87 2.09 2.18
Q95% 3.68 5.10 3.84 4.30 3.19 4.11 3.58 3.85