Company: TFC
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0000092230-25-000157
Chunk: 4

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 3
Chunk 4
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70   Truist Financial Corporation

Table 19: VaR-based MeasuresThree Months Ended September 30,Nine Months Ended September 30,2025202420252024(Dollars in millions)10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding Period10-Day Holding Period1-Day Holding PeriodVaR-based Measures:Maximum$35 $12 $28 $10 $63 $15 $28 $12 Average22 8 21 6 23 9 21 7 Minimum14 6 12 4 9 4 12 4 Period-end28 8 22 6 28 8 22 6 VaR by Risk Class:Interest Rate Risk5 7 5 7 Credit Spread Risk5 9 5 9 Equity Price Risk7 4 7 4 Foreign Exchange Risk1 1 1 1 Portfolio Diversification(11)(15)(11)(15)Period-end8 6 8 6 

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 20: Stressed VaR-based Measures - 10 Day Holding PeriodThree Months Ended September 30,Nine Months Ended September 30,(Dollars in millions)2025202420252024Maximum$147 $198 $287 $209 Average94 151 133 137 Minimum56 114 56 69 Period-end127 173 127 173 

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