Company: TFC
Filing Date: 2025-04-30
Form Type: 10-Q
Source: 0000092230-25-000050
Chunk: 4

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-04-30
Form: 10-Q
Item: Item 3
Chunk 4
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VaR-based Measures:Maximum$40 $15 $27 $12 Average20 8 22 10 Minimum9 4 15 8 Period-end26 9 21 9 VaR by Risk Class:Interest Rate Risk6 4 Credit Spread Risk7 3 Equity Price Risk7 5 Foreign Exchange Risk1 1 Portfolio Diversification(13)(4)Period-end9 9 

Truist Financial Corporation   65

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 March 31,(Dollars in millions)20252024Maximum$287 $171 Average181 113 Minimum71 69 Period-end229 107 

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 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

In accordance with the Market Risk Rule, the Company evaluates the accuracy of its VaR model through daily backtesting by comparing aggregate daily trading gains and losses (excluding fees, commissions, reserves, net interest income, and intraday trading) from covered positions with the corresponding daily VaR-based measures generated by the model. As illustrated in the following graph, there were no Company-wide VaR backtesting exceptions during the twelve months ended March 31, 2025. The total number of Company-wide VaR backtesting exceptions over the preceding twelve months is used to determine the multiplication factor for the VaR-based capital requirement under the