Company: KEY-PI
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0000091576-25-000058
Chunk: 239

Company: KEYCORP /NEW/
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 8
Chunk 239
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 are summarized as follows: Three months ended March 31,Dollars in millions20252024Balance at beginning of period$609 $638 Servicing retained from loan sales15 18 Purchases4 6 Amortization(31)(31)Balance at end of period$597 $631 Fair value at end of period$805 $846 The fair value of commercial mortgage servicing assets is determined by calculating the present value of future cash flows associated with servicing the loans. This calculation uses a number of assumptions that are based on current market conditions. The range and weighted average of the significant unobservable inputs used to determine the fair value of our commercial mortgage servicing assets at March 31, 2025, and March 31, 2024, along with the valuation techniques, are shown in the following table: March 31, 2025March 31, 2024Valuation TechniqueSignificantUnobservable InputRangeWeighted AverageRangeWeighted AverageDiscounted cash flowExpected defaults1.00 %2.00 %1.01 %1.00 %2.00 %1.01 %Residual cash flows discount rate6.97 %10.65 %10.35 %7.41 %10.65 %10.28 %Escrow earn rate4.60 %4.75 %4.74 %5.00 %5.09 %5.00 %Loan assumption rate— %2.53 %2.00 %— %2.16 %1.97 %If these economic assumptions change or prove incorrect, the fair value of commercial mortgage servicing assets may also change. Expected credit losses, escrow earn rates, and discount rates are critical to the valuation of commercial mortgage servicing assets. Estimates of these assumptions are based on how a market participant would view the respective rates and reflect historical data associated with the commercial mortgage loans, industry trends, and other considerations. Actual rates may differ from those estimated due to changes in a variety of economic factors. A decrease in the value assigned to the escrow earn rates would cause a decrease in the fair value of our commercial mortgage servicing assets. An increase in the assumed default rates of commercial mortgage loans or an increase in the assigned discount rates would cause a decrease in the fair value of our commercial mortgage servicing assets. Prepayment activity on commercial serviced loans does not significantly 

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impact the valuation