Company: BOKF
Filing Date: 2025-10-29
Form Type: 10-Q
Source: 0000875357-25-000057
Chunk: 45

Company: BOK FINANCIAL CORP
Filing Date: 2025-10-29
Form: 10-Q
Item: Part I, Item 2
Chunk 45
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 its covered trading positions. For Market Risk Rule purposes, the Company calculates VaR using a historical simulation approach and measures the potential trading losses using a 10-day holding period and a 99% confidence level.

Due to inherent limitations of the VaR methodology, including its reliance on past market behavior, which might not be indicative of future market performance, VaR is only one of several tools used to measure and manage market risk. Other tools used to actively manage market risk include stress testing (SVaR) and sensitivity analysis.

SVaR is calculated using the same internal models as used for the VaR-based measure. SVaR 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 trading portfolio's VaR and SVaR profiles are 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. Table 27 below summarizes certain VaR and SVaR based measures for the three months ended September 30, 2025, June 30, 2025, September 30, 2024, and June 30, 2024.

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Table 27 - VaR and SVaR Measures

(In thousands)

 ──────────────────────────────────────────────────────────────────────────────────────────────
  Average 1       2,720       6,720      1,897       7,046      4,858       8,504      3,711  
  Low             1,140       3,595      1,077       4,002      2,443       4,887      1,776  
  High            4,815      10,003      4,697      12,874      9,645      13,914      6,862  
  Period End      2,758       5,571      1,736       6,158      2,735       6,173      2,200  

1 Average represents the simple average of each daily value observed