Company: KEY-PI
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0001628280-25-048757
Chunk: 268

Company: KEYCORP /NEW/
Filing Date: 2025-11-04
Form: 10-Q
Item: Item 8
Chunk 268
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 had gross exposure of $239 million to client counterparties and other entities that are not broker-dealers or banks for derivatives that have associated master netting agreements and had net exposure of $207 million on our derivatives with these counterparties after the application of master netting agreements, collateral, and the related reserve. Credit DerivativesWe are a buyer and, under limited circumstances, may be a seller of credit protection through the credit derivative market. We purchase credit derivatives to manage the credit risk associated with specific commercial lending and swap obligations as well as exposures to debt securities. Our credit derivative portfolio was in a nominal net liability position as of September 30, 2025 and December 31, 2024. Our credit derivative portfolio consists of traded credit default swap indices and risk participation agreements. Additional descriptions of our credit derivatives are provided in Note 8 (“Derivatives and Hedging Activities”) beginning on page 144 of our 2024 Form 10-K under the heading “Credit Derivatives.”The following table provides information on the types of credit derivatives sold by us and held on the balance sheet at September 30, 2025, and December 31, 2024. The notional amount represents the amount that the seller couldbe required to pay. The payment/performance risk shown in the table represents a weighted average of the defaultprobabilities for all reference entities in the respective portfolios. These default probabilities are implied fromobserved credit indices in the credit default swap market, which are mapped to reference entities based on Key’sinternal risk rating. September 30, 2025December 31, 2024Dollars in millionsNotionalAmountAverageTerm(Years)Payment /PerformanceRiskNotionalAmountAverageTerm(Years)Payment /PerformanceRiskOther$10 4.091.74 %$2 7.642.03 %Total credit derivatives sold$10 — — $2 — —   Credit Risk Contingent FeaturesWe have entered into certain derivative contracts that require us to post collateral to the counterparties when these contracts are in a net liability position. The amount of collateral to be posted is based on the amount of the net liability and thresholds generally related to our long-term senior unsecured credit ratings with Moody’s and S&P. Collateral requirements also are based on minimum transfer amounts, which are specific to each Credit Support Annex (a component of the ISDA Master Agreement) that we have signed with the counterparties. In a limited number of