Company: USB-PA
Filing Date: 2025-08-07
Form Type: 10-Q
Source: 0000036104-25-000055
Chunk: 171

Company: US BANCORP \DE\
Filing Date: 2025-08-07
Form: 10-Q
Chunk 171
---
 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:

| Six Months Ended June 30 
 (Dollars in Millions)    |     |   |   | 2025 |   |   | 2024 |
|:-------------------------|:----|:--|--:|:-----|:--|--:|:-----|
| Average                  |     | $ | 3 |      | $ | 3 |      |
| High                     |     |   | 4 |      |   | 4 |      |
| Low                      |     |   | 2 |      |   | 2 |      |
| Period-end               |     |   | 4 |      |   | 2 |      |

The Company did not experience any actual losses for its combined Covered Positions that exceeded VaR during the six months ended June 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:

| Six Months Ended June 30 
 (Dollars in Millions)    |     |   |    | 2025 |   |    | 2024 |
|:-------------------------|:----|:--|---:|:-----|:--|---:|:-----|
| Average                  |     | $ | 12 |      | $ |  9