Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Values, Volume of Activity and Gain (Loss) Information Related to Derivative Instruments

Our derivative instruments are included in “derivative assets” or “derivative liabilities” on the balance sheet, as indicated in the following table:


	September 30, 2015								December 31, 2014								September 30, 2014
			Fair Value								Fair Value								Fair Value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative			Notional		Derivative			Derivative
in millions	Amount		Assets			Liabilities			Amount		Assets			Liabilities			Amount		Assets			Liabilities
Derivatives designated as hedging instruments:
Interest rate	$	17,910	$	394		$	12		$	15,095	$	272		$	26		$	13,946	$	237		$	44
Foreign exchange		319		11			—			371		8			—			413		13			—

Total		18,229		405			12			15,466		280			26			14,359		250			44
Derivatives not designated as hedging instruments:
Interest rate		57,006		725			644			43,771		665			618			42,088		608			572
Foreign exchange		6,161		119			112			4,024		85			81			4,433		69			64
Commodity		1,394		482			469			1,544		608			594			1,780		95			90
Credit		580		7			5			512		5			7			618		4			7

Total		65,141		1,333			1,230			49,851		1,363			1,300			48,919		776			733
Netting adjustments ^(a)		—		(945	)		(566	)		—		(1,034	)		(542	)		—		(613	)		(393	)

Net derivatives in the balance sheet		83,370		793			676			65,317		609			784			63,278		413			384
Other collateral ^(b)		—		(113	)		(232	)		—		(155	)		(241	)		—		(71	)		(268	)

Net derivative amounts	$	83,370	$	680		$	444		$	65,317	$	454		$	543		$	63,278	$	342		$	116

(a)	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.

(b)

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 table summarizes the pre-tax net gains (losses) on our fair value hedges for the nine-month periods ended September 30, 2015, and September 30, 2014, and where they are recorded on the income statement.

Nine months ended September 30, 2015

Net Gains

Income Statement Location of

(Losses) on

Income Statement Location of

(Losses) on

in millions

Net Gains (Losses) on Derivative

Derivative

Hedged Item

Net Gains (Losses) on Hedged Item

Hedged Item

Interest rate

Other income

Long-term debt

Other income

(66

)^(a)

Interest rate

Interest expense – Long-term debt

Total

157

(66

)

Nine months ended September 30, 2014

Net Gains

Income Statement Location of

(Losses) on

Income Statement Location of

(Losses) on

in millions

Net Gains (Losses) on Derivative

Derivative

Hedged Item

Net Gains (Losses) on Hedged Item

Hedged Item

Interest rate

Other income

(21

)

Long-term debt

Other income

^(a)

Interest rate

Interest expense – Long-term debt

Total

(a)	Net gains (losses) on hedged items represent the change in fair value caused by fluctuations in interest rates.

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 nine-month periods ended September 30, 2015, and September 30, 2014, and where they are recorded on the income statement. The table includes the effective portion of net gains (losses) recognized in OCI during the period, the effective portion of net gains (losses) reclassified from OCI into income during the current period, and the portion of net gains (losses) recognized directly in income, representing the amount of hedge ineffectiveness.


	Nine months ended September 30, 2015
in millions	Net Gains (Losses) Recognized in OCI (Effective Portion)			Income Statement Location of Net Gains (Losses) Reclassified From OCI Into Income (Effective Portion)	Net Gains (Losses) Reclassified From OCI Into Income (Effective Portion)			Income Statement Location of Net Gains (Losses) Recognized in Income (Ineffective Portion)	Net Gains (Losses) Recognized in Income (Ineffective Portion)
Cash Flow Hedges
Interest rate	$	147		Interest income – Loans	$	73		Other income		—
Interest rate		(3	)	Interest expense – Long-term debt		(3	)	Other income		—
Interest rate		(3	)	Investment banking and debt placement fees		—		Other income		—

Net Investment Hedges
Foreign exchange contracts		29		Other Income		—		Other income		—

Total	$	170			$	70				—


	Nine months ended September 30, 2014
in millions	Net Gains (Losses) Recognized in OCI (Effective Portion)			Income Statement Location of Net Gains (Losses) Reclassified From OCI Into Income (Effective Portion)	Net Gains (Losses) Reclassified From OCI Into Income (Effective Portion)			Income Statement Location of Net Gains (Losses) Recognized in Income (Ineffective Portion)	Net Gains (Losses) Recognized in Income (Ineffective Portion)
Cash Flow Hedges
Interest rate	$	27		Interest income – Loans	$	49		Other income		—
Interest rate		(5	)	Interest expense – Long-term debt		(3	)	Other income		—
Interest rate		(1	)	Investment banking and debt placement fees		—		Other income		—

Net Investment Hedges
Foreign exchange contracts		17		Other Income		—		Other income		—

Total	$	38			$	46				—

After-Tax Change in AOCI Resulting from Cash Flow Hedges

The after-tax change in AOCI resulting from cash flow and net investment hedges is as follows:


in millions	December 31, 2014			2015 Hedging Activity		Reclassification of Gains to Net Income			September 30, 2015
AOCI resulting from cash flow and net investment hedges	$	(8	)	$	107	$	(44	)	$	55

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 nine-month periods ended September 30, 2015, and September 30, 2014, and where they are recorded on the income statement.


	Nine months ended September 30, 2015								Nine months ended September 30, 2014
	Corporate								Corporate
	Services		Other						Services		Other
in millions	Income		Income			Total			Income		Income			Total
NET GAINS (LOSSES)
Interest rate	$	18		—		$	18		$	11		—		$	11
Foreign exchange		27		—			27			25		—			25
Commodity		5		—			5			3		—			3
Credit		—	$	(10	)		(10	)		—	$	(16	)		(16	)

Total net gains (losses)	$	50	$	(10	)	$	40		$	39	$	(16	)	$	23

Largest Exposure to Individual Counterparty

The following table summarizes our largest exposure to an individual counterparty at the dates indicated.


in millions	September 30, 2015		December 31, 2014		September 30, 2014
Largest gross exposure (derivative asset) to an individual counterparty	$	137	$	133	$	106
Collateral posted by this counterparty		55		100		44
Derivative liability with this counterparty		78		31		103
Collateral pledged to this counterparty		—		—		47
Net exposure after netting adjustments and collateral		4		2		6

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	September 30, 2015		December 31, 2014		September 30, 2014
Interest rate	$	807	$	607	$	556
Foreign exchange		48		41		39
Commodity		328		478		47
Credit		4		1		1

Derivative assets before collateral		1,187		1,127		643
Less: Related collateral		394		518		230

Total derivative assets	$	793	$	609	$	413

Fair Value of Credit Derivatives Purchased and Sold

The following table summarizes the fair value of our credit derivatives purchased and sold by type as of September 30, 2015, December 31, 2014, and September 30, 2014. The fair value of credit derivatives presented below does not take into account the effects of bilateral collateral or master netting agreements.


	September 30, 2015								December 31, 2014								September 30, 2014
in millions	Purchased			Sold		Net			Purchased			Sold		Net			Purchased			Sold		Net
Single-name credit default swaps	$	(2	)		—	$	(2	)	$	(3	)		—	$	(3	)	$	(1	)		—	$	(1	)
Traded credit default swap indices		4			—		4			1			—		1			(2	)		—		(2	)
Other ^(a)		—			—		—			—			—		—			—			—		—

Total credit derivatives	$	2			—	$	2		$	(2	)		—	$	(2	)	$	(3	)		—	$	(3	)

(a)	As of September 30, 2015, December 31, 2014, and September 30, 2014, the fair value of other credit derivatives sold totaled less than $1 million.

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 September 30, 2015, December 31, 2014, and September 30, 2014. The notional amount represents the maximum amount that the seller could be required to pay. The payment/performance risk assessment is based on the default probabilities for the underlying reference entities’ debt obligations using a Moody’s credit ratings matrix known as Moody’s “Idealized” Cumulative Default Rates. 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 directly correlated to the probability that we will have to make a payment under the credit derivative contracts.


	September 30, 2015							December 31, 2014							September 30, 2014
			Average		Payment /					Average		Payment /					Average		Payment /
	Notional		Term		Performance			Notional		Term		Performance			Notional		Term		Performance
dollars in millions	Amount		(Years)		Risk			Amount		(Years)		Risk			Amount		(Years)		Risk
Single-name credit default swaps		—		—		—		$	5		.72		.87	%	$	5		.97		.87	%
Other	$	9		2.95		7.45	%		6		2.89		9.58			6		2.92		5.59

Total credit derivatives sold	$	9		—		—		$	11		—		—		$	11		—		—

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 September 30, 2015, December 31, 2014, and September 30, 2014. The additional collateral amounts were calculated based on scenarios under which KeyBank’s ratings are downgraded one, two, or three ratings as of September 30, 2015, December 31, 2014, and September 30, 2014, 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 September 30, 2015, while additional collateral of less than $1 million as of December 31, 2014, and $3 million as of September 30, 2014, would have been required. 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.


	September 30, 2015				December 31, 2014				September 30, 2014
in millions	Moody’s		S&P		Moody’s		S&P		Moody’s		S&P
KeyBank’s long-term senior unsecured credit ratings		A3		A-		A3		A-		A3		A-
One rating downgrade	$	4	$	4	$	1	$	1	$	1	$	1
Two rating downgrades		5		5		1		1		4		4
Three rating downgrades		6		6		3		3		6		6