Company: BOKF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0000875357-25-000045
Chunk: 44

Company: BOK FINANCIAL CORP
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 44
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 used for the VaR-based measure. SVaR 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 trading portfolio's VaR and SVaR profiles are influenced by a variety of factors, including the size and composition of the portfolio, market volatility, and the correlation between different positions. A portfolio of trading positions is typically less risky than the sum of the risk from each of the individual sub-portfolios because, under normal market conditions, risk within each category partially offsets the exposure to other risk categories. Table 27 below summarizes certain VaR and SVaR based measures for the three months ended June 30, 2025, March 31, 2025, June 30, 2024, and March 31, 2024.

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Table 27 - VaR and SVaR Measures

(In thousands)

 ─────────────────────────────────────────────────────────────────────────────────────────────
  Average 1       1,897       7,046      3,370      13,231      3,711      6,232      5,053  
  Low             1,077       4,002      1,529       5,711      1,776      3,763      2,634  
  High            4,697      12,874      6,272      20,652      6,862      9,751      8,149  
  Period End      1,736       6,158      2,831      10,768      2,200      6,795      4,677  

1 Average represents the simple average of each daily value observed during the reporting period.

The Company monitors the accuracy of internal VaR models and modeling processes by back-testing model performance. The Company updates historical data used by the VaR model on a regular basis, and model validators independent of business lines perform regular validations to assess model input, processing and reporting components. These models are required to be independently validated and approved prior to implementation.

Limit Structure

Beyond VaR and SVaR described above, Management also performs a sensitivity analysis to measure market risk from changes in interest rates on its trading portfolio. Applicable interest rates are shocked up and down 50