Company: USB-PA
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0000036104-25-000028
Chunk: 148

Company: US BANCORP \DE\
Filing Date: 2025-05-06
Form: 10-Q
Chunk 148
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easurement volatility of foreign currency denominated balances included on its Consolidated Balance Sheet (collectively, “Covered Positions”), employing methodologies consistent with the requirements of regulatory rules for market risk. The Company’s Market Risk Committee (“MRC”), within the framework of the ALCO, oversees market risk management. The MRC monitors and reviews the Company’s Covered Positions and establishes policies for market risk management, including exposure limits for each portfolio. The Company uses a VaR approach to measure general market risk. Theoretically, VaR represents the statistical risk of loss the Company has to adverse market movements over a one-day time horizon. The Company uses the Historical Simulation method to calculate VaR for its Covered Positions measured at the ninety-ninth percentile using a one-year look-back period for distributions derived

| 20 |     | U.S. Bancorp |

from past market data. The market factors used in the calculations include those pertinent to market risks inherent in the underlying trading portfolios, principally those that affect the Company’s corporate bond trading business, foreign currency transaction business, client derivatives business, loan trading business and municipal securities business, as well as those inherent in the Company’s foreign denominated balances and the derivatives used to mitigate the related measurement volatility. On average, the Company expects the one-day VaR to be exceeded by actual losses two to three times per year related to these positions. The Company 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:

| Three Months Ended March 31 
 (Dollars in Millions)       |     |   |   | 2025 |   |   | 2024 |
|:----------------------------|:----|:--|--:|:-----|:--|--:|:-----|
| Average                     |     | $ | 2 |      | $ | 3 |      |
| High                        |     |   | 3 |      |   | 4 |      |
| Low                         |     |   | 2 |      |