Company: BOKF
Filing Date: 2025-04-30
Form Type: 10-Q
Source: 0000875357-25-000027
Chunk: 45

Company: BOK FINANCIAL CORP
Filing Date: 2025-04-30
Form: 10-Q
Item: Part I, Item 2
Chunk 45
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 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 March 31, 2025, December 31, 2024, and March 31, 2024.

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Table 27 - VaR and SVaR Measures

(In thousands)

                  Three Months Ended                                                                      
                  Mar. 31, 2025                                                                           
                  10 day 99%                                                                              
                  VaR                                                                                     
 ──────────────────────────────────────────────────────────────────────────────────────────────────────────
  Average 1       $                       3,370      13,231      4,178       8,122      5,053      6,388  
  Low                                     1,529       5,711      1,284       4,017      2,634      4,190  
  High                                    6,272      20,652      7,005      11,200      8,149      8,268  
  Period End                              2,831      10,768      3,050       8,374      4,677      4,931  

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 basis points, calculating an estimated change in fair value, net of economic hedging activity that may result. The Board has approved an $11 million market risk limit for the trading portfolio, net of