Company: KEY-PI
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0001628280-25-048757
Chunk: 48

Company: KEYCORP /NEW/
Filing Date: 2025-11-04
Form: 10-Q
Item: Item 2
Chunk 48
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The results of the various interest rate risk analyses are used to formulate A/LM strategies to achieve the desired risk profile while managing to objectives for capital adequacy and liquidity risk exposures. Specifically, risk positions are managed by purchasing or selling securities, issuing term debt with floating or fixed interest rates, and using derivatives. Interest rate swaps and options are predominantly used, which modify the interest rate characteristics of certain assets and liabilities. 

Figure 23 shows all swap positions held for A/LM purposes. These positions are used to convert the contractual interest rate index of agreed-upon amounts of assets and liabilities (i.e., notional amounts) to another interest rate index. For example, fixed-rate debt is converted to a floating rate through a “receive fixed/pay variable” interest rate swap. The volume, maturity, and mix of portfolio swaps change frequently to reflect broader A/LM objectives and the balance sheet positions to be hedged. For more information about how interest rate swaps are used to manage the risk profile, see Note 7 (“Derivatives and Hedging Activities”). 

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Figure 23. Portfolio Swaps by Interest Rate Risk Management Strategy

September 30, 2025Weighted-AverageDecember 31, 2024Dollars in millionsNotionalAmountFairValueMaturity(Years)ReceiveRatePayRateNotionalAmountFairValueReceive fixed/pay variable — conventional loans$28,900 $(63)1.73.1 %4.2 %$18,750 $(442)Receive fixed/pay variable — conventional debt9,659 (199)4.02.8 4.2 9,818 (470)Receive fixed/pay variable — forward loans8,700 119 2.73.9 4.2 19,200 (114)Receive fixed/pay variable — forward debt— — —— — 950 (22)Pay fixed/receive variable — conventional debt50 — 2.84.4 3.6 50 1 Pay fixed/receive variable — securities9,722 (113)2.34.2 4.1 9,405 5 Total portfolio swaps$57,031 $(256)(a)2.33.3 %4.2 %$58,173 $(1,042)(a)Floors — forward purchased $3,250 $— 0.4— %— %$3,250 $2