Company: KEY-PI
Filing Date: 2025-08-05
Form Type: 10-Q
Source: 0000091576-25-000110
Chunk: 45

Company: KEYCORP /NEW/
Filing Date: 2025-08-05
Form: 10-Q
Item: Item 2
Chunk 45
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 The multiplier increases from a minimum of 3.0 to a maximum of 4.0, depending on the number of backtesting exceptions. All KeyCorp backtesting exceptions are thoroughly reviewed in the context of VaR model use and performance. The backtesting multiplier for KeyCorp increased from 3.0 for March 31, 2025 to 3.4 for June 30, 2025. We do not engage in correlation trading or utilize the internal model approach for measuring default 

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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 $2.4 million at June 30, 2025, and $2.6 million at June 30, 2024. Figure 20 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 June 30, 2025, and June 30, 2024.

Figure 20. VaR for Significant Portfolios of Covered Positions 

 20252024 Three months ended June 30, Three months ended June 30, Dollars in millionsHighLowMeanJune 30,HighLowMeanJune 30,Trading account assets:Fixed income$2.3 $1.2 $1.7 $2.1 $1.3 $0.7 $0.9 $0.9 Derivatives:Interest rate$0.2 $0.1 $0.1 $0.2 $0.3 $0.1 $0.2 $0.2 

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 $4.4 million at June 30, 2025, and $10.8 million at June 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 June 30, 2025,