Company: BBD
Filing Date: 2025-10-30
Form Type: 6-K
Source: 0001292814-25-003700
Chunk: 120

Company: BANK BRADESCO
Filing Date: 2025-10-30
Form: 6-K
Chunk 120
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7,155 Correlation/diversification effect (11,840) (9,480) VaR at the end of the period 27,616 16,175 Average
VaR in the period 22,403 14,916 Minimum VaR in the period 9,836 4,982 Maximum VaR in the period 47,490 45,150 BRADESCO | Consolidated
Financial Statements in IFRS 85 Consolidated Financial Statements in IFRS | Notes to the Consolidated Financial Statements VaR Internal
Model – Regulatory Portfolio The capital is calculated by the normal delta VaR model based in Regulatory Portfolio, composed by
Trading Portfolio and the Foreign Exchange Exposures and the Commodities Exposure of the Banking Portfolio. In addition, the historical
simulation and the Delta–Gamma–Vega models of risk are applied to measure all risk factors to an options portfolio, whichever
is the most conservative, whereby this risk of options is added to the VaR of the portfolio. In this model, risk value is extrapolated
to the regulatory horizon1 (the highest between 10 days and the horizon of the portfolio) by the ‘square root of time’ method.
VaR and Stressed VaR shown below refer to a tenday horizon and are net of tax effects. Risk factors R$ thousands On September 30, 2025
On December 31, 2024 VaR Stressed VaR Stressed Interest rate 53,867 115,728 20,444 23,846 Exchange rate 35,202 57,309 24,497 21,405 Commodity
price (Commodities) 1,328 1,847 995 2,247 Equities 24,322 52,050 23,212 30,064 Correlation/diversification effect (34,319) (108,226) (19,896)
(28,643) VaR at the end of the period 80,400 118,708 49,252 48,919 Average VaR in the period 67,237 78,793 67,082 98,963 Minimum VaR in
the period 33,671 26,010 32,264 33,126 Maximum VaR in the period 141,291 185,645 124,674 272,495 Note: Ten-day horizon VaR net of tax
effects. To calculate regulatory capital requirement according to