Company: BBD
Filing Date: 2025-03-31
Form Type: 20-F
Source: 0001292814-25-001244
Chunk: 414

Company: BANK BRADESCO
Filing Date: 2025-03-31
Form: 20-F
Item: Item 19
Chunk 414
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 model based in Regulatory Portfolio, composed by Trading Portfolio and the Foreign Exchange Exposures and the Commodities Exposure
of the Banking Portfolio. In addition, the historical simulation and the Delta - Gamma - Vega models of risk are applied to measure
all risk factors to an options portfolio, whichever is the most conservative, whereby this risk of options is added to the VaR of the
portfolio. In this model, risk value is extrapolated to the regulatory horizon3(the highest between 10 days and the horizon of the portfolio) by the ‘square root of time’ method. VaR and Stressed VaR shown
below refer to a ten-day horizon and are net of tax
effects.

3The maximum amount between the book’s holding period and ten days, which is the minimum regulatory horizon required by Central Bank
of Brazil, is adopted.

  Schedule of VaR internal model based on regulatory portfolio                                                                                   
  Risk factors                                                              R$ thousands                                                         
                                                                    On December 31, 2024                     On December 31, 2023                
                                                                                     VaR       Stressed                       VaR      Stressed  
  Interest rate                                                                   20,444         23,846                    22,441        79,660  
  Exchange rate                                                                   24,497         21,405                    12,780         7,654  
  Commodity price (Commodities)                                                      995          2,247                     1,188         1,385  
  Equities                                                                        23,212         30,064                     6,334         4,904  
  Correlation/diversification effect                                           ( 19,896)      ( 28,643)                    12,569      ( 8,333)  
  VaR at the end of the year                                                      49,252         48,919                    55,312        85,270  
  Average VaR in the year                                                         67,082         98,963                    66,143       121,567  
  Minimum VaR in the year                                                         32,264         33,126                    26,739        54,047  
  Maximum VaR in the year                                                        124,674        272,495                   156,329       287,868  

Note: Ten-day horizon VaR net of tax effects.

To calculate regulatory capital requirement
according to the internal model, it is necessary to take into consideration the rules described by Central Bank Circular