Company: BOKF
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0000875357-25-000013
Chunk: 5

Company: BOK FINANCIAL CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 7A
Chunk 5
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, under normal market conditions, risk within each category partially offsets the exposure to other risk categories. Table 36 below summarizes certain VaR- and SVaR-based measures for the three months ended December 31, 2024, September 30, 2024, December 31, 2023, and September 30, 2023.

Table 36 - VaR and SVaR Measures 

(In thousands)

Three Months EndedThree Months Ended Dec. 31, 2024Sep. 30, 2024Dec. 31, 2023Sep. 30, 202310 day 99% VaR10 day 99% SVaR10 day 99% VaR10 day 99% SVaR10 day 99% VaR10 day 99% SVaR10 day 99% VaR10 day 99% SVaRAverage1$4,178 $8,122 $4,858 $8,504 $4,757 $8,154 $5,954 $6,118 Low1,284 4,017 2,443 4,887 2,338 4,067 3,893 4,027 High7,005 11,200 9,645 13,914 7,776 13,045 9,312 9,312 Period End3,050 8,374 2,735 6,173 2,977 4,925 6,455 6,455 

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 modeled validations to access 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 interest rate risk limit for the trading portfolio, net of economic hedges. 

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Table 37 - Trading