Company: USB-PA
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0000036104-25-000064
Chunk: 34

Company: US BANCORP \DE\
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 7
Chunk 34
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 uses the Historical Simulation method to calculate VaR for its Covered Positions measured at the ninety-ninth percentile using a one-year look-back period for distributions derived from past market data. The market factors used in the calculations include those pertinent to market risks inherent in the underlying trading portfolios, principally those that affect the Company’s corporate bond trading business, foreign currency transaction business, client derivatives business, loan trading business and municipal securities business, as well as those inherent in the Company’s foreign denominated balances and the derivatives used to mitigate the related measurement volatility. On average, the Company expects the one-day VaR to be exceeded by actual losses two to three times per year related to these positions. The Company monitors the accuracy of internal VaR models and modeling processes by back-testing model performance, regularly updating the historical data used by the VaR models and regular model validations to assess the accuracy of the models’ input, processing, and reporting components. All models are required to be independently reviewed and approved prior to being placed in use. If the Company were to experience market losses in excess of the estimated VaR more often than expected, the VaR models and associated assumptions would be analyzed and adjusted. The average, high, low and period-end one-day VaR amounts for the Company’s Covered Positions were as follows: Nine Months Ended September 30(Dollars in Millions)20252024Average$3 $3 High5 4 Low2 2 Period-end4 3 The Company did not experience any actual losses for its combined Covered Positions that exceeded VaR during the nine months ended September 30, 2025 and 2024. The Company stress tests its market risk measurements to provide management with perspectives on market events that may not be captured by its VaR models, including worst case historical market movement combinations that have not necessarily occurred on the same date. The Company calculates Stressed VaR using the same underlying methodology and model as VaR, except that a historical continuous one-year look-back period is utilized that reflects a period of significant financial stress appropriate to the Company’s Covered Positions. The period selected by the Company includes the significant market volatility of the last four months of 2008. The average, high, low and period-end one-day Stressed VaR amounts for the Company’s Covered Positions were as follows: Nine Months Ended September 30(Dollars in Millions)20252024Average$12 $10 High16 16 Low9 7 Period-end15 11 Valuations of positions in