Company: TFC
Filing Date: 2025-07-31
Form Type: 10-Q
Source: 0000092230-25-000123
Chunk: 4

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-07-31
Form: 10-Q
Item: Item 3
Chunk 4
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 market volatility in April.

Truist Financial Corporation   69

Table 19: VaR-based MeasuresThree Months Ended June 30,Six Months Ended June 30,2025202420252024(Dollars in millions)10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding PeriodVaR-based Measures:Maximum$63 $13 $25 $7 $63 $15 $27 $12 Average28 10 20 6 24 9 21 8 Minimum16 5 14 5 9 4 14 5 Period-end23 11 23 7 23 11 23 7 VaR by Risk Class:Interest Rate Risk6 7 6 7 Credit Spread Risk6 10 6 10 Equity Price Risk7 3 7 3 Foreign Exchange Risk1 — 1 — Portfolio Diversification(8)(13)(8)(13)Period-end11 7 11 7 

Stressed VaR-based measures

Stressed VaR, another component of market risk capital, is calculated using the same internal models as used for the VaR-based measure. Stressed VaR is calculated over a ten-day holding period at a one-tail, 99% confidence level and employs a historical simulation approach based on a continuous twelve-month historical window selected to reflect a period of significant financial stress for the Company’s trading portfolio. The following table summarizes Stressed VaR-based measures:

Table 20: Stressed VaR-based Measures - 10 Day Holding PeriodThree Months Ended June 30,Six Months Ended June 30,(Dollars in millions)2025202420252024Maximum$248 $209 $287 $209 Average125 148 153 131 Minimum70 82 70 69 Period-end96 154 96 154 

Specific Risk Measures

Specific risk is a measure of idiosyncratic risk that could result from risk factors other than broad market movements (e.g., default or event risks). The Market Risk Rule provides fixed risk weights under a standardized measurement method while also allowing a model-based approach, subject to regulatory approval. Truist utilizes the standardized measurement method to calculate the specific risk component of market risk regulatory capital. As such, incremental risk capital requirements do not apply