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Derivatives and Hedging Activities (Tables) | 3 Months Ended
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Mar. 31, 2021
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 March 31, 2021, and December 31, 2020. The derivative asset and liability balances are presented on a gross basis, prior to the application of bilateral collateral and master netting agreements, but after the variation margin payments with central clearing organizations have been applied as settlement, as applicable. 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. 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 follows:
| March 31, 2021 |  | December 31, 2020
|  | 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 | $ | 41,835 |  | $ | 44 |  | $ | 6 |  |  | $ | 36,135 |  | $ | 70 |  | $ | (3) |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
Interest rate | 76,937 |  | 971 |  | 312 |  |  | 78,424 |  | 1,514 |  | 291 |
Foreign exchange | 6,412 |  | 95 |  | 84 |  |  | 6,385 |  | 109 |  | 103 |
Commodity | 11,126 |  | 638 |  | 620 |  |  | 9,702 |  | 426 |  | 408 |
Credit | 392 |  | 1 |  | 8 |  |  | 423 |  | 1 |  | 11 |
Other (a) | 5,024 |  | 33 |  | 14 |  |  | 4,951 |  | 58 |  | 16 |
Total | 99,891 |  | 1,738 |  | 1,038 |  |  | 99,885 |  | 2,108 |  | 829 |
Netting adjustments (b) | — |  | (258) |  | (861) |  |  | — |  | (380) |  | (675) |
Net derivatives in the balance sheet | 141,726 |  | 1,524 |  | 183 |  |  | 136,020 |  | 1,798 |  | 151 |
Other collateral (c) | — |  | (1) |  | (6) |  |  | — |  | (2) |  | (11) |
Net derivative amounts | $ | 141,726 |  | $ | 1,523 |  | $ | 177 |  |  | $ | 136,020 |  | $ | 1,796 |  | $ | 140 |
(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, and other customized derivative contracts. (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 March 31, 2021, and December 31, 2020, related to cumulative basis adjustments for fair value hedges.
| March 31, 2021
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 | $ | 7,094 |  | $ | 211 |
Interest rate contracts | Securities Available for Sale(c) | 3,880 |  | 287 |
| December 31, 2020
| 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 | $ | 8,182 |  | $ | 416 |
Interest rate contracts | Securities Available for Sale(c) | 2,080 |  | 21 |
(a)The carrying amount represents the portion of the liability designated as the hedged item. (b)Basis adjustments related to de-designated hedged items that no longer qualify as fair value hedges reduced the hedge accounting basis adjustment by $8 million and $8 million at March 31, 2021, and December 31, 2020, respectively, (c)These amounts are designed as fair value hedges under the last-of-layer method. The carrying amount represents the amortized costs basis of the prepayable financial assets used to designate hedging relationships in which the hedged item is the las t layer expected to be remaining at the end of the relationship. At March 31, 2021, and December 31, 2020, the amortized costs of the closed portfolios in these hedging relationships was $5.0 billion and $2.5 billion, 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 three-month periods ended March 31, 2021, and March 31, 2020.
| Location and amount of net gains (losses) recognized in income on fair value and cash flow hedging relationships |
in millions | Interest expense – long-term debt | Interest income – loans |  | Interest Income - securities | Investment banking and debt placement fees | Interest expense - deposits | Other income |
Three months ended March 31, 2021 |  |  |  |  |  |  |  |
Total amounts presented in the consolidated statement of income | $ | 60 |  | $ | 889 |  |  | $ | 130 |  | $ | 162 |  | $ | 21 |  | $ | 51 |  |
Net gains (losses) on fair value hedging relationships |  |  |  |  |  |  |  |
Interest contracts |  |  |  |  |  |  |  |
Recognized on hedged items | 204 |  | — |  |  | (266) |  | — |  | — |  | — |  |
Recognized on derivatives designated as hedging instruments | (166) |  | — |  |  | 267 |  | — |  | — |  | — |  |
Net income (expense) recognized on fair value hedges | $ | 38 |  | — |  |  | $ | 1 |  | — |  | — |  | — |  |
Net gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |
Interest contracts |  |  |  |  |  |  |  |
Realized gains (losses) (pre-tax) reclassified from AOCI into net income | $ | (1) |  | $ | 89 |  |  | $ | — |  | $ | 1 |  | — |  | — |  |
Net income (expense) recognized on cash flow hedges | $ | (1) |  | $ | 89 |  |  | — |  | $ | 1 |  | — |  | — |  |
Three months ended March 31, 2020 |  |  |  |  |  |  |  |
Total amounts presented in the consolidated statement of income | $ | 90 |  | $ | 1,026 |  |  | $ | 129 |  | $ | 116 |  | $ | (169) |  | $ | (88) |  |
Net gains (losses) on fair value hedging relationships |  |  |  |  |  |  |  |
Interest contracts |  |  |  |  |  |  |  |
Recognized on hedged items | $ | (294) |  | — |  |  | — |  | — |  | — |  | — |  |
Recognized on derivatives designated as hedging instruments | 311 |  | — |  |  | — |  | — |  | — |  | — |  |
Net income (expense) recognized on fair value hedges | $ | 17 |  | — |  |  | $ | — |  | $ | — |  | $ | — |  | — |  |
Net gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |
Interest contracts |  |  |  |  |  |  |  |
Realized gains (losses) (pre-tax) reclassified from AOCI into net income | $ | (1) |  | $ | 34 |  |  | — |  | — |  | — |  | — |  |
Net income (expense) recognized on cash flow hedges | $ | (1) |  | $ | 34 |  |  | — |  | — |  | — |  | — |  |
Derivative Instrument Cash Flow Hedge Earning Recognized by Income Statement Location | The following tables summarize the pre-tax net gains (losses) on our cash flow hedges for the three-month periods ended March 31, 2021, and March 31, 2020, 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 OCI 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 |
Three months ended March 31, 2021 |  |  |  |
Cash Flow Hedges |  |  |  |
Interest rate | $ | (203) |  | Interest income — Loans | $ | 89 |  |
Interest rate | 3 |  | Interest expense — Long-term debt | (1) |  |
Interest rate | 10 |  | Investment banking and debt placement fees | 1 |  |
Total | $ | (190) |  |  | $ | 89 |  |
Three months ended March 31, 2020 |  |  |  |
Cash Flow Hedges |  |  |  |
Interest rate | $ | 562 |  | Interest income — Loans | $ | 34 |  |
Interest rate | (5) |  | Interest expense — Long-term debt | (1) |  |
Interest rate | (30) |  | Investment banking and debt placement fees | — |  |
Total | $ | 527 |  |  | $ | 33 |  |
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 three-month periods ended March 31, 2021, and March 31, 2020, and where they are recorded on the income statement.
| Three months ended March 31, 2021 |  | Three months ended March 31, 2020
in millions | Corporate services income | Consumer mortgage income | Other income | Total |  | Corporate services income | Consumer mortgage income | Other income | Total
NET GAINS (LOSSES) |  |  |  |  |  |  |  |  |
Interest rate | $ | 6 |  | — |  | — |  | $ | 6 |  |  | $ | 11 |  | — |  | $ | (9) |  | $ | 2 |
Foreign exchange | 11 |  | — |  | — |  | 11 |  |  | 12 |  | — |  | — |  | 12 |
Commodity | 4 |  | — |  | — |  | 4 |  |  | 2 |  | — |  | — |  | 2 |
Credit | 5 |  | — |  | $ | (9) |  | (4) |  |  | (16) |  | — |  | 1 |  | (15) |
Other | — |  | $ | 1 |  | (22) |  | (21) |  |  | — |  | $ | 4 |  | 9 |  | 13 |
Total net gains (losses) | $ | 26 |  | $ | 1 |  | $ | (31) |  | $ | (4) |  |  | $ | 9 |  | $ | 4 |  | $ | 1 |  | $ | 14 |
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.
in millions | March 31, 2021 | December 31, 2020
Interest rate | $ | 858 |  | $ | 1,448 |
Foreign exchange | 55 |  | 52 |
Commodity | 492 |  | 178 |
Credit | — |  | (1) |
Other | 33 |  | 58 |
Derivative assets before collateral | 1,438 |  | 1,735 |
Plus(Less): Related collateral | 86 |  | 63 |
Total derivative assets | $ | 1,524 |  | $ | 1,798 |
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 March 31, 2021, and December 31, 2020. 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.
| March 31, 2021 |  | December 31, 2020
dollars in millions | Notional Amount | Average Term (Years) | Payment / Performance Risk |  | Notional Amount | Average Term (Years) | Payment / Performance Risk
Other | $ | 104 |  | 10.08 | 15.11 | % |  | $ | 227 |  | 12.76 | 19.53 | %
Total credit derivatives sold | $ | 104 |  | — |  | — |  |  | $ | 227 |  | — |  | — |
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 March 31, 2021, and December 31, 2020. The additional collateral amounts were calculated based on scenarios under which KeyBank’s ratings are downgraded one, two, or three ratings as of March 31, 2021, and December 31, 2020, and take into account all collateral already posted. A similar calculation was performed for Ke yCorp, and no addition al collateral would have been required as of March 31, 2021, and December 31, 2020. For more information about the credit ratings for KeyBank and KeyCorp, see the discussion under the heading “Factors affecting liquidity” in the section entitled “Liquidity risk management” in Item 2 of this report.
| March 31, 2021 |  | December 31, 2020
in millions | 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 |  |  | $ | 1 |  | $ | 1 |
Two rating downgrades | 2 |  | 2 |  |  | 1 |  | 1 |
Three rating downgrades | 2 |  | 2 |  |  | 1 |  | 1 |

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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=121590274&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=121590274&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=121590274&loc=SL5708777-113959 + Details
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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579240-113959 + Details
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