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Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 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:
 June 30, 2021December 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$34,017 $49 $17 $36,135 $70 $(3)
Derivatives not designated as hedging instruments:
Interest rate74,012 1,056 272 78,424 1,514 291 
Foreign exchange6,142 87 83 6,385 109 103 
Commodity12,928 1,198 1,205 9,702 426 408 
Credit366 1 8 423 1 11 
Other (a)
4,022 20 12 4,951 58 16 
Total97,470 2,362 1,580 99,885 2,108 829 
Netting adjustments (b)
— (251)(1,428)— (380)(675)
Net derivatives in the balance sheet131,487 2,160 169 136,020 1,798 151 
Other collateral (c)
— (1)(38)— (2)(11)
Net derivative amounts$131,487 $2,159 $131 $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 June 30, 2021, and December 31, 2020, related to cumulative basis adjustments for fair value hedges.
June 30, 2021
in millionsBalance sheet line item in which the hedge item is included
Carrying amount of hedged item (a)
Hedge accounting basis adjustment (b)
Interest rate contractsLong-term debt$8,112 $242 
Interest rate contracts
Securities Available for Sale(c)
3,880 129 
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 contractsLong-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 June 30, 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 last layer expected to be remaining at the end of the relationship. At June 30, 2021, and December 31, 2020, the amortized costs of the closed portfolios in these hedging relationships was $5.0 billion and $2.5 billion, respectively.
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location
The following tables summarize the effect of fair value and cash flow hedge accounting on the income statement for the three- and six-month periods ended June 30, 2021, and June 30, 2020.
Location and amount of net gains (losses) recognized in income on fair value and cash flow hedging relationships
in millionsInterest expense – long-term debtInterest income – loansInterest Income - securitiesInvestment banking and debt placement feesInterest expense - depositsOther income
Three months ended June 30, 2021
Total amounts presented in the consolidated statement of income$(54)$888 $133 $217 $(16)$13 
Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items(31)— 158 — — — 
Recognized on derivatives designated as hedging instruments62 — (159)— — — 
Net income (expense) recognized on fair value hedges$31 — $(1)— — — 
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income$(1)$85 $— $(1)— — 
Net income (expense) recognized on cash flow hedges$(1)$85 — $(1)— — 
Three months ended June 30, 2020
Total amounts presented in the consolidated statement of income$(71)$980 $121 $156 $(96)$33 
Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items$(5)— — — — — 
Recognized on derivatives designated as hedging instruments39 — — — — — 
Net income (expense) recognized on fair value hedges$34 — — — — — 
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income$(1)$90 — — — — 
Net income (expense) recognized on cash flow hedges$(1)$90 — — — — 
Location and amount of net gains (losses) recognized in income on fair value and cash flow hedging relationships
in millionsInterest expense – long-term debtInterest income – loansInterest Income - SecuritiesInvestment banking and debt placement feesInterest expense - depositsOther income
Six months ended June 30, 2021
Total amounts presented in the consolidated statement of income$(114)$1,777 $263 $379 $(37)$64 
Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items173 — (107)— — — 
Recognized on derivatives designated as hedging instruments(104)— 108 — — — 
Net income (expense) recognized on fair value hedges$69 — 1 — — — 
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income$(2)$173 — 1 — — 
Net income (expense) recognized on cash flow hedges$(2)$173 — $1 — — 
Six months ended June 30, 2020
Total amounts presented in the consolidated statement of income$(161)$2,006 $250 $272 $(265)$(55)
Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items$(299)— — — $— — 
Recognized on derivatives designated as hedging instruments350 — — — — — 
Net income (expense) recognized on fair value hedges$51 — — — $— — 
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income$(2)$124 — — — — 
Net income (expense) recognized on cash flow hedges$(2)$124 — — — — 
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- and six-month periods ended June 30, 2021, and June 30, 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 millionsNet Gains (Losses) Recognized in OCIIncome Statement Location of Net Gains (Losses) Reclassified From OCI Into IncomeNet Gains (Losses) Reclassified From OCI Into Income
Three months ended June 30, 2021
Cash Flow Hedges
Interest rate$61 Interest income — Loans$85 
Interest rate(2)Interest expense — Long-term debt(1)
Interest rate(4)Investment banking and debt placement fees(1)
Total$55 $83 
Three months ended June 30, 2020
Cash Flow Hedges
Interest rate$62 Interest income — Loans$90 
Interest rate(1)Interest expense — Long-term debt(1)
Interest rate10 Investment banking and debt placement fees— 
Total$71 $(89)
in millions
Net Gains (Losses)
Recognized in OCI
Income Statement Location of Net Gains (Losses)
Reclassified From OCI Into Income
Net Gains
(Losses) Reclassified
From OCI Into Income(a)
Six months ended June 30, 2021
Cash Flow Hedges
Interest rate$(142)Interest income — Loans$173 
Interest rate2 Interest expense — Long-term debt(2)
Interest rate5 Investment banking and debt placement fees1 
Net Investment Hedges
Foreign exchange contracts— Other Income— 
Total$(135)$172 
Six months ended June 30, 2020
Cash Flow Hedges
Interest rate$624 Interest income — Loans$124 
Interest rate(6)Interest expense — Long-term debt(2)
Interest rate(20)Investment banking and debt placement fees— 
Net Investment Hedges
Foreign exchange contracts— Other Income— 
Total$598 $122 
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- and six-month periods ended June 30, 2021, and June 30, 2020, and where they are recorded on the income statement.
 Three months ended June 30, 2021Three months ended June 30, 2020
in millions
Corporate
services
income
Consumer mortgage incomeOther incomeTotalCorporate services incomeConsumer mortgage incomeOther incomeTotal
NET GAINS (LOSSES)
Interest rate$5 — — $5 $7 — — $7 
Foreign exchange11 — — 11 8 — — 8 
Commodity4 — — 4 6 — — 6 
Credit(1)— $(9)(10)6 — $(13)(7)
Other— $12 — 12 — $4 16 20 
Total net gains (losses)$19 $12 $(9)$22 $27 $4 $3 $34 


 Six months ended June 30, 2021Six months ended June 30, 2020
in millions
Corporate
services
income
Consumer mortgage incomeOther incomeTotalCorporate services incomeConsumer mortgage incomeOther incomeTotal
NET GAINS (LOSSES)
Interest rate$11 — — $11 $18 $— $(9)$9 
Foreign exchange23 — — 23 20 — — 20 
Commodity8 — — 8 8 — — 8 
Credit4 — $(18)(14)(10)— (12)(22)
Other— $13 (22)(9)— 8 25 33 
Total net gains (losses)$46 $13 $(40)$19 $36 $8 $4 $48 
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 millionsJune 30, 2021December 31, 2020
Interest rate$985 $1,448 
Foreign exchange46 52 
Commodity1,046 178 
Credit— (1)
Other20 58 
Derivative assets before collateral2,097 1,735 
Plus(Less): Related collateral63 63 
Total derivative assets$2,160 $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 June 30, 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.
 June 30, 2021December 31, 2020
dollars in millions
Notional
Amount
Average
Term
(Years)
Payment /
Performance
Risk
Notional
Amount
Average
Term
(Years)
Payment /
Performance
Risk
Other$160 12.7418.14 %$227 12.7619.53 %
Total credit derivatives sold$160 — — $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 June 30, 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 June 30, 2021, and December 31, 2020, and take into account all collateral already posted. A similar calculation was performed for KeyCorp, and no additional collateral would have been required as of June 30, 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.
 June 30, 2021December 31, 2020
in millionsMoody’sS&PMoody’sS&P
KeyBank’s long-term senior unsecured credit ratingsA3A-A3A-
One rating downgrade$1 $1 $1 $1 
Two rating downgrades2 2 1 1 
Three rating downgrades2 2 1 1