Company: KEY-PI
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0001628280-25-048757
Chunk: 43

Company: KEYCORP /NEW/
Filing Date: 2025-11-04
Form: 10-Q
Item: Item 2
Chunk 43
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 millionsHighLowMeanSeptember 30,HighLowMeanSeptember 30,Trading account assets:Fixed income$2.2 $0.3 $1.2 $1.1 $1.3 $0.7 $0.9 $0.8 Derivatives:Interest rate$0.2 $0.1 $0.1 $0.1 $0.5 $0.3 $0.4 $0.4 

Stressed VaR is calculated by running the portfolios through a predetermined stress period which is approved by the Market Risk Committee and is calculated at the 99% confidence level using the same model and assumptions used for general VaR. The aggregate stressed VaR for all covered positions was $1.7 million at September 30, 2025, and $2.9 million at September 30, 2024. Figure 21 summarizes our stressed VaR at the 99% confidence level with a one day holding period for significant portfolios of covered positions for the three months ended September 30, 2025, and September 30, 2024. Changes in VaR are dependent on portfolio composition, inventory levels, and other market factors.

Figure 21. Stressed VaR for Significant Portfolios of Covered Positions

 20252024 Three months ended September 30, Three months ended September 30, Dollars in millionsHighLowMeanSeptember 30,HighLowMeanSeptember 30,Trading account assets:Fixed income$4.4 $1.2 $2.1 $1.3 $4.4 $2.6 $3.4 $2.6 Derivatives:Interest rate$0.3 $0.1 $0.2 $0.2 $0.4 $0.2 $0.3 $0.3 

Market risk is a component of our internal capital adequacy assessment. Our risk-weighted assets include a market risk-equivalent asset amount, which consists of a VaR component, stressed VaR component, a de minimis exposure amount, and a specific risk add-on including the securitization positions. The aggregate market value of the securitization positions as defined by the Market Risk Rule was $12 million at September 30, 2025, all of which were mortgage-backed security positions.