Company: TFC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0000092230-25-000020
Chunk: 172

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-02-25
Form: 10-K
Item: Item 2
Chunk 172
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 millions)10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding PeriodVaR-based Measures:Maximum$28 $12 $30 $14 Average21 7 17 7 Minimum12 4 10 4 Period-end16 6 23 11 VaR by Risk Class:Interest Rate Risk6 5 Credit Spread Risk6 2 Equity Price Risk6 5 Foreign Exchange Risk1 1 Portfolio Diversification(12)(2)Period-end6 11 

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 36: Stressed VaR-based Measures - 10 Day Holding PeriodYear Ended December 31,(Dollars in millions)20242023Maximum$234 $164 Average145 76 Minimum69 25 Period-end105 79 

Compared to the same period of the prior year, Stressed VaR measures were higher, primarily due to higher market making inventory.

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.

VaR Model Backtesting

In accordance with the Market Risk Rule, the Company evaluates the accuracy of its VaR model through daily backtesting by comparing aggregate daily trading gains and losses (excluding fees, commissions, reserves, net interest income, and intraday trading) from covered positions with the corresponding daily VaR-based measures generated by the model. As illustrated in the following graph, there were no Company-wide VaR backtesting exceptions during the twelve months ended December 31, 2024. The total number of Company-wide VaR backtesting exceptions over the preceding twelve months is used to determine the multiplication factor for