Company: USB-PA
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0000036104-25-000028
Chunk: 149

Company: US BANCORP \DE\
Filing Date: 2025-05-06
Form: 10-Q
Chunk 149
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   | 2 |      |
| Period-end                  |     |   | 3 |      |   | 3 |      |

The Company did not experience any actual losses for its combined Covered Positions that exceeded VaR during the three months ended March 31, 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:

| Three Months Ended March 31 
 (Dollars in Millions)       |     |   |    | 2025 |   |    | 2024 |
|:----------------------------|:----|:--|---:|:-----|:--|---:|:-----|
| Average                     |     | $ | 11 |      | $ |  9 |      |
| High                        |     |   | 15 |      |   | 12 |      |
| Low                         |     |   |  9 |      |   |  7 |      |
| Period-end                  |     |   | 12 |      |   | 10 |      |

Valuations of positions in client derivatives and foreign currency activities are based on discounted cash flow or other valuation techniques using market-based assumptions. These valuations are compared to third-party quotes or other market prices to determine if there are significant variances. Significant variances are approved by senior management in

the Company’s corporate functions. Valuation of positions in the corporate bond trading, loan trading, asset-backed securities and municipal securities businesses are based on trader marks. These trader marks are evaluated against third-party prices, with significant variances approved by senior management in the Company’s corporate functions. The Company also measures the market risk of its hedging activities related to residential MLHFS and MSRs using the Historical Simulation method. The VaRs are measured at the ninety-ninth percentile and employ factors pertinent to the market risks inherent in the valuation of the assets and