Company: TFC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0000092230-25-000020
Chunk: 326

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-02-25
Form: 10-K
Item: Item 7A
Chunk 326
---
 market behavior is indicative of future market performance, VaR is only one of several tools used to measure and manage market risk. Other tools used to manage market risk include stress testing, scenario analysis, and stop loss limits.

The trading portfolio’s VaR profile is 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. The following table summarizes certain VaR-based measures for the year ended December 31, 2024 and 2023.

Truist Financial Corporation   75

Table 35: VaR-based MeasuresYear Ended December 31,20242023(Dollars in 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