Company: KEY-PI
Filing Date: 2025-02-21
Form Type: 10-K
Source: 0000091576-25-000038
Chunk: 256

Company: KEYCORP /NEW/
Filing Date: 2025-02-21
Form: 10-K
Item: Item 7
Chunk 256
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 VaR for all covered positions was $5.2 million at December 31, 2024, and $4.0 million at December 31, 2023. Figure 24 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 December 31, 2024, and December 31, 2023. The increase in stressed VaR is due to a change in the size and composition of our fixed income inventory.

Figure 24. Stressed 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$5.2 $1.3 $3.3 $4.8 $4.7 $1.9 $3.1 $3.6 Derivatives:Interest rate$.4 $.2 $.3 $.3 $.4 $.2 $.3 $.3 

80

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 $24 million at December 31, 2024, 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 MTRM in accordance with the Market Risk Rule, and approved by the Chief Market Risk Officer.

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 rates and differences in the repricing