Company: KEY-PI
Filing Date: 2025-02-21
Form Type: 10-K
Source: 0000091576-25-000038
Chunk: 255

Company: KEYCORP /NEW/
Filing Date: 2025-02-21
Form: 10-K
Item: Item 7
Chunk 255
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 portfolios could have a significant impact on the accuracy of the VaR model. We regularly review and enhance the modeling techniques, inputs, and assumptions used. Our market risk policy includes the independent validation of our VaR model by Key’s internal model validation group on an annual basis. The Model Risk Committee oversees the Model Validation Program, and results of validations are discussed with the ERM Committee.

Actual losses for the total covered positions did not exceed aggregate daily VaR for any day during the quarters ended December 31, 2024, and December 31, 2023. MTRM backtests our VaR model on a daily basis to evaluate its predictive power. The test compares VaR model results at the 99% confidence level to daily held profit and loss. Results of back testing are provided to the Market Risk Committee. Backtesting exceptions occur when daily held profit and loss exceed VaR. We do not engage in correlation trading or utilize the internal model approach for measuring default and credit migration risk. Our net VaR approach incorporates diversification, but our VaR calculation does not include the impact of counterparty risk and our own credit spreads on derivatives.

The aggregate VaR at the 99% confidence level with a one day holding period for all covered positions was $1.4 million at December 31, 2024, and $1.6 million at December 31, 2023. Figure 23 summarizes our VaR at the 99% confidence level with a one day holding period for significant portfolios of covered positions for the three months ended December 31, 2024, and December 31, 2023. 

Figure 23. VaR for Significant Portfolios of Covered Positions

 20242023 Three months ended December 31, Three months ended December 31, Dollars in millionsHighLowMeanDecember 31,HighLowMeanDecember 31,  Trading account assets:Fixed income$1.3 $.4 $.9 $.8 $1.3 $.7 $1.1 $1.1 Derivatives:Interest rate$.6 $.4 $.5 $.5 $.5 $.3 $.4 $.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