Company: KEY-PI
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0000091576-25-000058
Chunk: 40

Company: KEYCORP /NEW/
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 2
Chunk 40
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 all covered positions was $4.5 million at March 31, 2025, and $3.7 million at March 31, 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 March 31, 2025, and March 31, 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 March 31, Three months ended March 31, Dollars in millionsHighLowMeanMarch 31,HighLowMeanMarch 31,Trading account assets:Fixed income$5.2 $2.6 $3.9 $4.2 $4.1 $1.6 $2.6 $3.0 Derivatives:Interest rate$0.3 $0.1 $0.1 $0.1 $0.4 $0.2 $0.3 $0.4 

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 $28 million at March 31, 2025, all of which were mortgage-backed security positions. Specific risk is the price risk of individual financial instruments, which is not accounted for by changes in broad market risk factors and is measured through a standardized approach. Market risk weighted assets, including the specific risk calculations, are run quarterly by the MTRM in accordance with the Market Risk Rule, and approved by the Chief Market & Treasury Risk Officer.

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Nontrading market risk

Most of our nontrading market risk is derived from interest rate fluctuations and its impacts on our traditional loan and deposit products, as well as investments, hedging relationships, long-term debt, and certain short-term borrowings. Interest rate risk, which is inherent in the banking industry, is measured by the potential for fluctuations in net interest income and the EVE. Such fluctuations may result from changes in interest