Company: CMA
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000028412-25-000108
Chunk: 111

Company: COMERICA INC
Filing Date: 2025-02-24
Form: 10-K
Item: Item 1
Chunk 111
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 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 loans that were subject to an average interest rate floor of 52 basis points at December 31, 2024. This base-case net interest income is then compared against interest rate scenarios in which short-term rates rise or decline 100 or 200 basis points (with a floor of zero percent) in a linear, non-parallel fashion from the base case over 12 months, resulting in an average change of 50 or 100 basis points over the period.

The table below, as of December 31, 2024 and 2023, displays the estimated impact on net interest income during the next 12 months by relating the base case scenario results to those from the rising and declining interest rate scenarios described above. 

Estimated Annual Change(dollar