Company: CMA
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000028412-25-000108
Chunk: 497

Company: COMERICA INC
Filing Date: 2025-02-24
Form: 10-K
Item: Item 16
Chunk 497
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's principal risk management technique. Management models a base-case net interest income under an unchanged interest rate environment using a static balance sheet and generates sensitivity scenarios by changing certain model assumptions. Each scenario includes assumptions such as loan growth, investment security prepayment levels, depositor behavior and overall balance sheet mix and growth which are in line with historical patterns. Additionally, the analysis assumes that all loan hedges qualify for hedge accounting. Changes in actual economic activity may result in a materially different interest rate environment as well as a balance sheet structure that is different from the changes management included in its simulation analysis. Model assumptions in the sensitivity scenarios at December 31, 2024 included, for the rising interest rate scenarios, a modest increase in loan balances and a moderate decrease in deposit balances, and for the declining interest rate scenarios, a modest decrease in loan balances and a moderate increase in deposit balances. In addition, both scenarios assumed loan spreads held at current levels, an incremental interest-bearing deposit beta of approximately 47%, deposit mix shifts based on historical observations, partial reinvestment of securities portfolio cash flows and no additions to interest rate swaps. 

The average balance of the securities portfolio included in the analysis was $15.8 billion for the year ended December 31, 2024 with an average yield of 2.16% and an effective duration of 5.8 years. During the year ended December 31, 2024, the Corporation repositioned a portion of its securities portfolio by selling $827 million of Treasury securities, resulting in a $19 million loss, and replacing them with higher-yielding Treasury securities with a duration of 1.9 years. 

The table below details components of the variable-rate loan swap portfolio at December 31, 2024.

Variable-Rate Loan Swaps(dollar amounts in millions)Notional AmountWeighted Average YieldYears to Maturity (b)Swaps under contract at December 31, 2024 (a)$23,350 2.55 %3.1 Weighted average notional active per period:Full year 202423,5752.50 2.4Full year 202522,9732.57 3.1

(a)Years to maturity calculated from a starting date of December 31, 2024.

The analysis also includes interest rate swaps that convert $6.8 billion of fixed-rate medium- and long-term debt to variable rates through fair value hedges. Additionally, included in this analysis are $15.1 billion of