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Derivatives and Hedging Activities (Tables) | 12 Months Ended
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Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Fair Values, Volume of Activity and Gain (Loss) Information Related to Derivative Instruments | The following table summarizes the fair values of our derivative instruments on a gross and net basis as of December 31, 2019, and December 31, 2018. The change in the notional amounts of these derivatives by type from December 31, 2018, to December 31, 2019, indicates the volume of our derivative transaction activity during 2019. The notional amounts are not affected by bilateral collateral and master netting agreements. The derivative asset and liability balances are presented on a gross basis, prior to the application of bilateral collateral and master netting agreements. Total derivative assets and liabilities are adjusted to take into account the impact of legally enforceable master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related cash collateral. Where master netting agreements are not in effect or are not enforceable under bankruptcy laws, we do not adjust those derivative assets and liabilities with counterparties. Securities collateral related to legally enforceable master netting agreements is not offset on the balance sheet. Our derivative instruments are included in “accrued income and other assets” or “accrued expenses and other liabilities” on the balance sheet, as indicated in the following table:
| December 31, 2019 |  | December 31, 2018
|  | Fair Value |  |  | Fair Value
in millions | Notional Amount | Derivative Assets | Derivative Liabilities |  | Notional Amount | Derivative Assets | Derivative Liabilities
Derivatives designated as hedging instruments: |  |  |  |  |  |  |
Interest rate | $ | 39,208 |  | $ | 191 |  | $ | 20 |  |  | $ | 28,546 |  | $ | 50 |  | $ | (10 | )
Foreign exchange | — |  | — |  | — |  |  | 122 |  | 2 |  | — |
Total | 39,208 |  | 191 |  | 20 |  |  | 28,668 |  | 52 |  | (10 | )
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
Interest rate | 71,209 |  | 772 |  | 233 |  |  | 63,454 |  | 365 |  | 307 |
Foreign exchange | 6,572 |  | 67 |  | 60 |  |  | 6,829 |  | 104 |  | 95 |
Commodity | 5,324 |  | 208 |  | 200 |  |  | 2,002 |  | 333 |  | 323 |
Credit | 427 |  | 1 |  | 10 |  |  | 226 |  | 1 |  | 1 |
Other (a) | 3,337 |  | 14 |  | 10 |  |  | 1,466 |  | 9 |  | 7 |
Total | 86,869 |  | 1,062 |  | 513 |  |  | 73,977 |  | 812 |  | 733 |
Netting adjustments (b) | — |  | (473 | ) | (335 | ) |  | — |  | (333 | ) | (337 | )
Net derivatives in the balance sheet | 126,077 |  | 780 |  | 198 |  |  | 102,645 |  | 531 |  | 386 |
Other collateral (c) | — |  | (2 | ) | (42 | ) |  | — |  | (2 | ) | (33 | )
Net derivative amounts | $ | 126,077 |  | $ | 778 |  | $ | 156 |  |  | $ | 102,645 |  | $ | 529 |  | $ | 353 |
(a) | Other derivatives include interest rate lock commitments and forward sale commitments related to our residential mortgage banking activities, forward purchase and sales contracts consisting of contractual commitments associated with “to be announced” securities and when issued securities.
(b) | Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with the applicable accounting guidance.
(c) Other collateral represents the amount that cannot be used to offset our derivative assets and liabilities from a gross basis to a net basis in accordance with the applicable accounting guidance. The other collateral consists of securities and is exchanged under bilateral collateral and master netting agreements that allow us to offset the net derivative position with the related collateral. The application of the other collateral cannot reduce the net derivative position below zero. Therefore, excess other collateral, if any, is not reflected above.
Pre-Tax Net Gains (Losses) on Fair Value Hedges | The following tables summarize the amounts that were recorded on the balance sheet as of December 31, 2019 and December 31, 2018, related to cumulative basis adjustments for fair value hedges.
| December 31, 2019
in millions | Balance sheet line item in which the hedge item is included | Carrying amount of hedged item (a) | Hedge accounting basis adjustment (b)
Interest rate contracts | Long-term debt | $ | 8,408 |  | $ | 240 |
Interest rate contracts | Certificate of deposit ($100,000 or more) | — |  | — |
Interest rate contracts | Other time deposits | — |  | — |
| December 31, 2018
in millions | Balance sheet line item in which the hedge item is included | Carrying amount of hedged item (a) | Hedge accounting basis adjustment (b)
Interest rate contracts | Long-term debt | $ | 9,363 |  | $ | (6 | )
Interest rate contracts | Certificate of deposit ($100,000 or more) | 343 |  | (1 | )
Interest rate contracts | Other time deposits | 178 |  | — |
(a) | The carrying amount represents the portion of the liability designated as the hedged item.
(b) Basis adjustments related to de-designated hedges that no longer qualify as fair value hedges reduced the hedge accounting basis adjustment by $9 million and $10 million at December 31, 2019 and December 31, 2018, respectively.
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location | The following tables summarize the effect of fair value and cash flow hedge accounting on the income statement for the years ended December 31, 2019, December 31, 2018, and December 31, 2017.
| Location and amount of net gains (losses) recognized in income on fair value and cash flow hedging relationships (a)
in millions | Interest expense – long-term debt | Interest income – loans | Investment banking and debt placement fees | Interest expense – deposits | Other income
Twelve months ended December 31, 2019 |  |  |  |  |
Total amounts presented in the consolidated statement of income | $ | (454 | ) | $ | 4,267 |  | $ | 630 |  | $ | (853 | ) | $ | 68 |
Net gains (losses) on fair value hedging relationships |  |  |  |  |
Interest contracts |  |  |  |  |
Recognized on hedged items | (247 | ) | — |  | — |  | (1 | ) | — |
Recognized on derivatives designated as hedging instruments | 231 |  | — |  | — |  | — |  | — |
Net income (expense) recognized on fair value hedges | (16 | ) | — |  | — |  | (1 | ) | — |
Net gain (loss) on cash flow hedging relationships |  |  |  |  |
Realized gains (losses) (pre-tax) reclassified from AOCI into net income |  |  |  |  |
Interest contracts | (1 | ) | 15 |  | — |  | — |  | — |
Foreign exchange contracts | — |  | — |  | — |  | — |  | 32 |
Net income (expense) recognized on cash flow hedges | $ | (1 | ) | $ | 15 |  | $ | — |  | — |  | 32 |
Twelve months ended December 31, 2018 |  |  |  |  |
Total amounts presented in the consolidated statement of income | $ | (420 | ) | $ | 4,023 |  | $ | 650 |  | $ | (517 | ) | $ | 176 |
Net gains (losses) on fair value hedging relationships |  |  |  |  |
Interest contracts |  |  |  |  |
Recognized on hedged items | (5 | ) | — |  | — |  | 1 |  | — |
Recognized on derivatives designated as hedging instruments | (12 | ) | — |  | — |  | — |  | — |
Net income (expense) recognized on fair value hedges | (17 | ) | — |  | — |  | $ | 1 |  | $ | — |
Net gain (loss) on cash flow hedging relationships |  |  |  |  |
Realized gains (losses) (pre-tax) reclassified from AOCI into net income |  |  |  |  |
Interest contracts | (2 | ) | (68 | ) | 2 |  | — |  | 31 |
Net income (expense) recognized on cash flow hedges | $ | (2 | ) | $ | (68 | ) | $ | 2 |  | — |  | $ | 31 |
Twelve months ended December 31, 2017 |  |  |  |  |
Total amounts presented in the consolidated statement of income | $ | (319 | ) | $ | 3,677 |  | $ | 603 |  | $ | (278 | ) | $ | 153 |
Net gains (losses) on fair value hedging relationships |  |  |  |  |
Interest contracts |  |  |  |  |
Recognized on hedged items | — |  | — |  | — |  | — |  | 107 |
Recognized on derivatives designated as hedging instruments | 49 |  | — |  | — |  | — |  | (103 | )
Net income (expense) recognized on fair value hedges | 49 |  | — |  | — |  | — |  | $ | 4 |
Net gain (loss) on cash flow hedging relationships |  |  |  |  |
Realized gains (losses) (pre-tax) reclassified from AOCI into net income |  |  |  |  |
Interest contracts | (4 | ) | 19 |  | — |  | — |  | — |
Gains (losses) (before tax) recognized in income for hedge ineffectiveness | — |  | — |  | — |  | — |  | — |
Net income (expense) recognized on cash flow hedges | $ | (4 | ) | $ | 19 |  | $ | — |  | — |  | — |
(a) Prior period gain or loss amounts were not restated to conform to the new hedge accounting guidance adopted in 2018.
Derivative Instrument Cash Flow Hedge Earning Recognized by Income Statement Location | The following table summarizes the pre-tax net gains (losses) on our cash flow and net investment hedges for the years ended December 31, 2019, December 31, 2018, and December 31, 2017, and where they are recorded on the income statement. The table includes net gains (losses) recognized in OCI during the period and net gains (losses) reclassified from AOCI into income during the current period.
in millions | Net Gains (Losses) Recognized in OCI | Income Statement Location of Net Gains (Losses) Reclassified From OCI Into Income | Net Gains (Losses) Reclassified From OCI Into Income(a) | Net Gains (Losses) Recognized in Other Income(a)
Twelve months ended December 31, 2019 |  |  |  |
Cash Flow Hedges |  |  |  |
Interest rate | $ | 442 |  | Interest income — Loans | $ | 15 |  | $ | — |
Interest rate | (1 | ) | Interest expense — Long-term debt | (1 | ) | — |
Interest rate | 3 |  | Investment banking and debt placement fees | — |  | — |
Net Investment Hedges |  |  |  |
Foreign exchange contracts | (4 | ) | Other Income | 32 |  | — |
Total | $ | 440 |  |  | $ | 46 |  | $ | — |
Twelve months ended December 31, 2018 |  |  |  |
Cash Flow Hedges |  |  |  |
Interest rate | $ | (13 | ) | Interest income — Loans | $ | (68 | ) | $ | — |
Interest rate | 2 |  | Interest expense — Long-term debt | (2 | ) | — |
Interest rate | 1 |  | Investment banking and debt placement fees | 2 |  | — |
Net Investment Hedges |  |  |  |
Foreign exchange contracts | 19 |  | Other Income | 31 |  | — |
Total | $ | 9 |  |  | $ | (37 | ) | $ | — |
Twelve months ended December 31, 2017 |  |  |  |
Cash Flow Hedges |  |  |  |
Interest rate | $ | (59 | ) | Interest income — Loans | $ | 19 |  | $ | — |
Interest rate | — |  | Interest expense — Long-term debt | (4 | ) | — |
Interest rate | (1 | ) | Investment banking and debt placement fees | — |  | — |
Net Investment Hedges |  |  |  |
Foreign exchange contracts | (17 | ) | Other Income | — |  | — |
Total | $ | (77 | ) |  | $ | 15 |  | $ | — |
(a) Prior period gain or loss amounts were not restated to conform to the new hedge accounting guidance adopted in 2018
Pre-Tax Net Gains (Losses) on Derivatives Not Designated as Hedging Instruments | The following table summarizes the pre-tax net gains (losses) on our derivatives that are not designated as hedging instruments for the years ended December 31, 2019, December 31, 2018, and December 31, 2017, and where they are recorded on the income statement.
| 2019 |  | 2018 |  | 2017
Year ended December 31, in millions | Corporate Services Income | Consumer Mortgage Income | Other Income | Total |  | Corporate Services Income | Consumer Mortgage Income | Other Income | Total |  | Corporate Services Income | Consumer Mortgage Income | Other Income | Total
NET GAINS (LOSSES) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate | $ | 46 |  | — |  | $ | (2 | ) | $ | 44 |  |  | $ | 38 |  | — |  | $ | (1 | ) | $ | 37 |  |  | $ | 29 |  | — |  | $ | (1 | ) | $ | 28 |
Foreign exchange | 45 |  | — |  | — |  | 45 |  |  | 42 |  | — |  | — |  | 42 |  |  | 41 |  | — |  | — |  | 41 |
Commodity | 6 |  | — |  | — |  | 6 |  |  | 8 |  | — |  | — |  | 8 |  |  | 6 |  | — |  | — |  | 6 |
Credit | (6 | ) | — |  | (36 | ) | (42 | ) |  | 2 |  | — |  | (30 | ) | (28 | ) |  | 2 |  | — |  | (21 | ) | (19 | )
Other | — |  | $ | 2 |  | — |  | 2 |  |  | — |  | $ | (1 | ) | 12 |  | 11 |  |  | — |  | $ | (1 | ) | (6 | ) | (7 | )
Total net gains (losses) | $ | 91 |  | $ | 2 |  | $ | (38 | ) | $ | 55 |  |  | $ | 90 |  | $ | (1 | ) | $ | (19 | ) | $ | 70 |  |  | $ | 78 |  | $ | (1 | ) | $ | (28 | ) | $ | 49 |
Fair Value of Derivative Assets by Type | The following table summarizes the fair value of our derivative assets by type at the dates indicated. These assets represent our gross exposure to potential loss after taking into account the effects of bilateral collateral and master netting agreements and other means used to mitigate risk.
December 31, in millions | 2019 | 2018
Interest rate | $ | 848 |  | $ | 308 |
Foreign exchange | 30 |  | 60 |
Commodity | 95 |  | 187 |
Credit | — |  | — |
Other | 14 |  | 9 |
Derivative assets before collateral | 987 |  | 564 |
Less: Related collateral | 207 |  | 33 |
Total derivative assets | $ | 780 |  | $ | 531 |
Credit Derivatives Sold and Held | The following table provides information on the types of credit derivatives sold by us and held on the balance sheet at December 31, 2019, and December 31, 2018. The notional amount represents the amount that the seller could be required to pay. The payment/performance risk shown in the table represents a weighted average of the default probabilities for all reference entities in the respective portfolios. These default probabilities are implied from observed credit indices in the credit default swap market, which are mapped to reference entities based on Key’s internal risk rating.
Credit Risk Contingent Feature | The following table summarizes the additional cash and securities collateral that KeyBank would have been required to deliver under the ISDA Master Agreements had the credit risk contingent features been triggered for the derivative contracts in a net liability position as of December 31, 2019, and December 31, 2018. The additional collateral amounts were calculated based on scenarios under which KeyBank’s ratings are downgraded one, two, or three ratings as of December 31, 2019, and December 31, 2018, and take into account all collateral already posted. A similar calculation was performed for KeyCorp, and no additional collateral would have been required at December 31, 2019, or December 31, 2018.
December 31, in millions | 2019 |  | 2018
Moody’s | S&P |  | Moody’s | S&P
KeyBank’s long-term senior unsecured credit ratings | A3 |  | A- |  |  | A3 |  | A- |
One rating downgrade | $ | 1 |  | $ | 1 |  |  | $ | 2 |  | $ | 2 |
Two rating downgrades | 1 |  | 1 |  |  | 2 |  | 2 |
Three rating downgrades | 1 |  | 1 |  |  | 2 |  | 2 |

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708777-113959 + Details
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