Company: KEY-PI
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0000091576-25-000058
Chunk: 39

Company: KEYCORP /NEW/
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 2
Chunk 39
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 held profit and loss excludes fees, commissions, reserves, net interest income, and intraday trading). Backtesting exceptions occur when daily held profit and loss exceed VaR. There were four backtesting exceptions for KeyCorp during the past 250 trading days ended March 31, 2025, generally caused by large moves in rates. The total number of VaR backtesting breaches for KeyCorp over the preceding 250 trading days is used to determine the multiplier for the VaR based capital requirement under the Market Risk Rule. The multiplier increases from a minimum of three to a maximum of four, depending on the number of backtesting exceptions. All KeyCorp backtesting exceptions are thoroughly reviewed in the context of VaR model use and performance. There was no change in the multiplier over the preceding twelve months. 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 $1.5 million at March 31, 2025, and $1.3 million at March 31, 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 March 31, 2025, and March 31, 2024.

Figure 20. 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$1.6 $0.5 $1.2 $1.3 $1.1 $0.4 $0.8 $0.9 Derivatives:Interest rate$0.5 $0.1 $0.2 $0.1 $0.4 $0.2 $0.3 $0.3 

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