Company: KEY-PI
Filing Date: 2025-08-05
Form Type: 10-Q
Source: 0000091576-25-000110
Chunk: 121

Company: KEYCORP /NEW/
Filing Date: 2025-08-05
Form: 10-Q
Item: Item 2
Chunk 121
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 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 June 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. June 30, 2025December 31, 2024Dollars in millionsNotionalAmountAverageTerm(Years)Payment /PerformanceRiskNotionalAmountAverageTerm(Years)Payment /PerformanceRiskOther$8 4.382.24 %$2 7.642.03 %Total credit derivatives sold$8 — — $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 instances, counterparties have the right to terminate their ISDA Master Agreements with us if our ratings fall below a certain level, usually investment-grade level (i.e., “Baa3” for Moody’s and “BBB-” for S&P). At June 30, 2025, KeyBank’s rating was “Baa1” with Moody’s and “BBB+” with S&P, and KeyCorp’s rating was “Baa2” with Moody’s and “BBB” with S&P. Refer to the table below for the aggregate fair value of all derivative contracts with credit risk contingent features held by KeyBank that were in a net liability position.Dollars in millionsJune 30, 2025December 31, 2024Net derivative liabilities with credit-risk contingent