Company: TFC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0000092230-25-000020
Chunk: 324

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-02-25
Form: 10-K
Item: Item 7A
Chunk 324
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 of dynamic deposit balances and dynamic rate paid resulted in adding NII in up rate scenarios and reducing NII in down rate scenarios.

Table 34: Interest Sensitivity Simulation AnalysisDec 31, 2024Dec 31, 2023Up 200bps gradual change in interest rates1.1 %(1.5)%Up 50bps instantaneous change in interest rates0.6 (0.4)Down 50bps instantaneous change in interest rates(0.8)(0.1)Down 200bps gradual change in interest rates(2.1)(0.3)

Truist performs and monitors sensitivity tests of key assumptions used in NII risk including:

•Asset prepayment speeds

•New loan volume pricing spreads

•Interest-bearing deposit betas

•Non-interest-bearing demand deposit balance runoff, replaced by market funding

EVE measures changes in the economic value of Truist’s current balance sheet and off-balance sheet hedges under alternate rate scenarios relative to starting economic value. Truist uses EVE as a longer-term measure of interest rate risk. Truist performs and monitors sensitivity tests of key assumptions used in EVE including:

•Asset prepayment speeds

•Mortgage spreads (mortgage loan and security valuations)

•Interest-bearing deposit beta

•Deposit runoff / decay

Key assumption tests are generally performed by increasing and decreasing the assumption, whether static or dynamically modeled, relative to their respective starting values and then measuring the resulting impact to NII and EVE under baseline and alternate rate scenarios.

The identification and testing of key assumptions are influenced by market conditions and management views of key risks. The results of key assumption sensitivity tests are reported to ALCO and BRC at least quarterly. Key assumptions and their associated sensitivity tests are reviewed with ALCO and BRC at least annually.

74   Truist Financial Corporation

Market Risk from Trading Activities

As a financial intermediary, Truist provides its clients access to derivatives, foreign exchange, and securities markets, which generate market risks. Trading market risk is managed using a multi-faceted risk management approach, which includes measuring risk using VaR, stress testing, and sensitivity analysis. Risk metrics are monitored against a suite of limits on a daily basis at both the trading desk level and at the aggregate portfolio level.

Truist is also subject to risk-based capital guidelines for market risk under the Market Risk Rule.

Covered Trading Positions

Covered positions subject to the Market Risk Rule include trading assets and liabilities, specifically those held for the purpose