Company: BBD
Filing Date: 2025-05-30
Form Type: 6-K
Source: 0001292814-25-002283
Chunk: 156

Company: BANK BRADESCO
Filing Date: 2025-05-30
Form: 6-K
Chunk 156
---
. For the calculation of VaR,
the Delta-Normal methodology is adopted, with a 99% confidence level, and the applied horizon takes into account the number of days taken
to undo any existing exposure. The methodology is applied to Trading and Regulatory Portfolios (Trading Portfolio positions plus exposure
in foreign currency and commodities of the Banking Portfolio). It is important to highlight that to measure all of the options portfolio’s
risk factors, the risk models of historical simulation and the Delta-Gamma-Vega are applied, whereby the most conservative of the two
prevails, which is the risk of options added to the VaR of the Portfolio. It is important to note that the value at risk is extrapolated
for the regulatory horizon (the highest between ten days and the horizon of the portfolio) based on the time root method.
The values of VaR and Stressed VaR demonstrated below are for the horizon of ten days and are net of tax effects.

(1)
In order to calculate the share of the Market Risk, the capital requirement will be the maximum between the internal model and 80% of
the standard model, according to Circulars No. 3,646/13 and No. 3,674/13 of the Central Bank of Brazil; and (2) The maximum between
the maintenance period (holding period) of the portfolio and 10 days, which is the regulatory minimum horizon required by the Central
Bank of Brazil, is adopted.

| 127 – Reference Form – 2024 |

| 4. Risk factors |

For
the purposes of the calculation of the regulatory capital requirement, in accordance with the internal model, one must take into consideration
the rules described in Circular Letters No. 3,646/13 and No. 3,674/13 of the Central Bank of Brazil (Bacen), such as the use of VaR and
Stressed VaR without tax purposes, of the average of the last 60 days and the multiplier.

Stress Analysis – Trading Portfolio

The
Organization evaluates, also daily, the possible impact on positions in stress scenarios to a horizon of 20 working days, with a limit
set in the governance process. Thus, considering the effect of diversification between the risk factors and the net amounts of tax effects,
the possibility of an estimated average loss in stress outcomes would be R$238 million in 2024 (2023 – R$191 million), where the
estimated maximum loss would be R$474 million (2023 –