Company: CMA
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000028412-25-000108
Chunk: 114

Company: COMERICA INC
Filing Date: 2025-02-24
Form: 10-K
Item: Item 1
Chunk 114
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099 

F-30

Risk Management Derivative Instruments

The Corporation uses investment securities and derivative instruments as asset and liability management tools with the overall objective of managing the volatility of net interest income from changes in interest rates. These tools assist management in achieving the desired interest rate risk management objectives. Activity related to derivative instruments currently involves interest rate swaps effectively converting variable rate loans to a fixed rate and fixed-rate medium- and long-term debt to a floating rate. Notional activity for 2023 included the impact of LIBOR transition for centrally-cleared swaps, where LIBOR-based swaps were replaced with short-dated LIBOR bridge swaps that matured in 2023 and surviving forward-starting Secured Overnight Financing Rate (SOFR) swaps. In a similar manner, notional activity for 2024 included the impact of BSBY cessation, where existing BSBY-based swaps were replaced with short-dated BSBY swaps that matured in 2024 and surviving forward-starting SOFR swaps.

(in millions)Risk Management Notional ActivityInterestRateContractsForeignExchangeContractsTotalsBalance at January 1, 2023$29,750 $392 $30,142 Additions17,100 9,534 26,634 Maturities/amortizations(9,150)(9,366)(18,516)Terminations(6,550)— (6,550)Balance at December 31, 2023$31,150 $560 $31,710 Additions 12,200 9,305 21,505 Maturities/amortizations(7,600)(9,412)(17,012)Terminations(5,600)— (5,600)Balance at December 31, 2024$30,150 $453 $30,603 

The notional amount of risk management interest rate swaps totaled $30.2 billion at December 31, 2024, which included cash flow swaps that convert $23.4 billion of variable-rate loans to a fixed rate as well as fair value swaps that convert $6.8 billion of fixed-rate medium- and long-term debt to a floating rate. Risk management interest rate swaps generated $765 million and $715 million of net interest expense for the years ended December 31, 2024 and December 31, 2023, respectively.

In addition to interest rate swaps, the Corporation employs various other types of derivative instruments as offsetting