KEYCORP NEW
For the period ended Jun 30, 2024. Filed Jul 26, 2024.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2024 · Filed Jul 26, 2024
Contents
Securities
Our securities portfolio is constructed to help manage overall interest rate risk and provide a source of liquidity, including holding securities used to accommodate pledging requirements. Our securities portfolio totaled $45.4 billion at June 30, 2024, compared to $45.8 billion at December 31, 2023. Available-for-sale securities were $37.5 billion at June 30, 2024, compared to $37.2 billion at December 31, 2023. Held-to-maturity securities were $8.0 billion at June 30, 2024, and $8.6 billion at December 31, 2023.
As shown in Figure 13, all of our mortgage-backed securities, which include both securities available-for-sale and held-to-maturity securities, are issued by government-sponsored enterprises or GNMA, and are traded in liquid secondary markets. These securities are recorded on the balance sheet at fair value for the available-for-sale portfolio and at amortized cost for the held-to-maturity portfolio. For more information about these securities, refer to our 2023 Form 10-K within Note 1 (“Summary of Significant Accounting Policies”) under the heading “Securities” and Note 6 (“Fair Value Measurements”) under the heading “Qualitative Disclosures of Valuation Techniques.” Additionally refer to Note 6 (“Securities”) within this report.
Figure 13. Mortgage-Backed Securities by Issuer
| Dollars in millions | June 30, 2024 | December 31, 2023 |
|---|---|---|
| FHLMC & FNMA | $23,283 | $24,302 |
| GNMA | 12,631 | 11,665 |
| Total (a) | $35,914 | $35,967 |
(a) Includes securities in the available-for-sale portfolio recorded at fair value and securities in the held-to-maturity portfolio recorded at amortized cost.
Securities available for sale
The majority of our securities available-for-sale portfolio consists of Federal Agency CMOs and mortgage-backed securities. CMOs are debt securities secured by a pool of mortgages or mortgage-backed securities. Figure 14 shows the composition, yields, and remaining maturities of our securities available for sale. For more information about these securities, including gross unrealized gains and losses by type of security and securities pledged, see Note 6 (“Securities”).
Figure 14. Securities Available for Sale
| Dollars in millions · U.S. Treasury, Agencies, and Corporations · Agency Residential Collateralized Mortgage Obligations (a) · Agency Residential Mortgage-backed Securities (a) · Agency Commercial Mortgage-backed Securities (a) · Total · Weighted-Average Yield (b) | ||||||||
|---|---|---|---|---|---|---|---|---|
| Remaining maturity: | ||||||||
| One year or less | $6,003 | $23 | $2 | $219 | $6,247 | .59% | ||
| After one through five years | 2,886 | 2,012 | 2,384 | 2,770 | 10,052 | 3.12 | ||
| After five through ten years | 39 | 9,081 | 913 | 5,267 | 15,300 | 2.17 | ||
| After ten years | 67 | 4,160 | 944 | 690 | 5,861 | 1.88 | ||
| Fair value | $8,995 | $15,276 | $4,243 | $8,946 | $37,460 | |||
| Amortized cost | $9,128 | $18,826 | $4,878 | $10,257 | $43,089 | 2.13% | ||
| Weighted-average yield (b) | 1.74% | 1.94% | 2.36% | 2.71% | 2.13% | |||
| Weighted-average maturity | 1.2 years | 8.5 years | 7.1 years | 6.4 years | 6.3 years | |||
| Fair value | $9,026 | $15,478 | $3,589 | $9,092 | $37,185 | |||
| Amortized cost | 9,300 | 18,911 | 4,189 | 10,295 | 42,695 | 1.79% | ||
(a)Maturity is based upon expected average lives rather than contractual terms.
(b)Weighted-average yields are calculated based on amortized cost. Such yields have been adjusted to a TE basis using the statutory federal income tax rate of 21%.
Held-to-maturity securities
The majority of our held-to-maturity portfolio consists of Federal agency CMOs and mortgage-backed securities. This portfolio is also comprised of asset-backed securities and foreign bonds. Figure 15 shows the composition, yields, and remaining maturities of these securities.
Figure 15. Held-to-Maturity Securities
| Dollars in millions · Agency Residential Collateralized Mortgage Obligations (a) · Agency Residential Mortgage-backed Securities (a) · Agency Commercial Mortgage-backed Securities (a) · Asset-backed securities · OtherSecurities · Total · Weighted-Average Yield (b) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Remaining maturity: | ||||||||||
| One year or less | $18 | $— | $3 | $489 | $2 | $512 | 2.09% | |||
| After one through five years | 1,203 | 106 | 2,093 | 1 | 24 | 3,427 | 3.27 | |||
| After five through ten years | 2,516 | 7 | 280 | 3 | — | 2,806 | 3.81 | |||
| After ten years | 1,142 | 44 | 37 | — | — | 1,223 | 4.26 | |||
| Amortized cost | $4,879 | $157 | $2,413 | $493 | $26 | $7,968 | 3.54% | |||
| Fair value | $4,524 | $140 | $2,188 | $481 | $25 | $7,358 | ||||
| Weighted-average yield (b) | 3.85% | 2.81% | 3.24% | 2.09% | 4.17% | 3.54% | ||||
| Weighted-average maturity | 7.5 years | 7.2 years | 3.7 years | 0.1 years | 2.4 years | 5.9 years | ||||
| Amortized cost | $5,170 | $165 | $2,473 | $738 | $29 | $8,575 | 3.49% | |||
| Fair value | 4,896 | 152 | 2,270 | 709 | 29 | 8,056 | ||||
(a)Maturity is based upon expected average lives rather than contractual terms.
(b)Weighted-average yields are calculated based on amortized cost. Such yields have been adjusted to a TE basis using the statutory federal income tax rate of 21%.
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