We are a party to various derivative instruments, mainly through our subsidiary, KeyBank. The primary derivatives that we use are interest rate swaps, caps, floors, forwards, and futures; foreign exchange contracts; commodity derivatives; and credit derivatives. Generally, these instruments help us manage exposure to interest rate risk, mitigate the credit risk inherent in our loan portfolio, hedge against changes in foreign currency exchange rates, and facilitate client financing and hedging needs.

At June 30, 2024, after taking into account the effects of bilateral collateral and master netting agreements, we had $5 million of derivative assets and $5 million of derivative liabilities that relate to contracts designated as hedging instruments. As a result of bilateral collateral and master netting agreements, which are applied at the counterparty level, we could have derivative contracts with negative fair values included in derivative assets and contracts with positive fair values included in derivative liabilities related to counterparties with which we have both hedging and trading derivatives. As of the same date, after taking into account the effects of bilateral collateral and master netting agreements and a reserve for potential future losses, we had derivative assets of $225 million and derivative liabilities of $1.2 billion that were not designated as hedging instruments. These positions are primarily comprised of derivative contracts entered into for client accommodation purposes.

Additional information regarding our accounting policies for derivatives is provided in Note 1 (“Summary of Significant Accounting Policies”) under the heading “Derivatives and Hedging” beginning on page 112 of our 2023 Form 10-K. Our derivative strategies and related risk management objectives are described in Note 8 (“Derivatives and Hedging Activities”) beginning on page 142 of our 2023 Form 10-K.

The following table summarizes the fair values of our derivative instruments on a gross and net basis as of June 30, 2024, and December 31, 2023. 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 Consolidated Balance Sheets, as follows:


	June 30, 2024						December 31, 2023
			Fair Value(a)						Fair Value(a)
Dollars in millions	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate	$	53,125	$	4	$	9	$	44,621	$	39	$	12


Derivatives not designated as hedging instruments:
Interest rate	72,120		128		1,077		78,051		134		973
Foreign exchange	6,577		94		74		6,034		89		73
Commodity	10,255		531		510		11,611		721		698
Credit	81		—		1		121		—		1
Other (b)	2,546		5		5		2,683		16		20
Total derivatives not designated as hedging instruments:	91,579		758		1,667		98,500		960		1,765
Netting adjustments (c)	—		(532)		(466)		—		(818)		(473)
Net derivatives in the balance sheet	144,704		230		1,210		143,121		181		1,304
Other collateral (d)	—		(7)		—		—		(1)		(18)
Net derivative amounts	$	144,704	$	223	$	1,210	$	143,121	$	180	$	1,286

(a)We take into account bilateral collateral and master netting agreements that allow us to settle all derivative contracts held with a single counterparty on a net basis, and to offset the net derivative position with the related cash collateral when recognizing derivative assets and liabilities. As a result, we could have derivative contracts with negative fair values included in derivative assets and contracts with positive fair values included in derivative liabilities.

(b)Other derivatives include interest rate lock commitments related to our residential and commercial banking activities, 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.

(c)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. As of June 30, 2024, excess collateral that has not been offset against net derivative instrument positions totaled $176 million of cash collateral and $296 million of securities collateral posted as well as $9 million of cash collateral and $63 million of securities collateral held. As of December 31, 2023, excess collateral that has not been offset against net derivative instrument positions totaled $161 million of cash collateral and $269 million of securities collateral posted as well as $16 million of cash collateral and $212 million of securities collateral held.

(d)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.


	June 30, 2024
Dollars in millions	Balance sheet line item in which the hedge item is included	Carrying amount of hedged item (a)		Hedge accounting basis adjustment (b)
Interest rate contracts	Long-term debt	$	10,165	$	(572)
Interest rate contracts	Securities Available for Sale(c)	10,654		29



	December 31, 2023
	Balance sheet line item in which the hedge item is included	Carrying amount of hedged item (a)		Hedge accounting basis adjustment (b)
Interest rate contracts	Long-term debt	$	9,919	$	(437)
Interest rate contracts	Securities Available for Sale(c)	8,655		(152)

(c)Certain amounts are designed as fair value hedges under the portfolio 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, 2024, and December 31, 2023, the amortized costs of the closed portfolios in these hedging relationships was $12.5 billion and $12.8 billion, respectively, of which $7.2 billion were designated in a portfolio layer hedging relationship for both period ends. At June 30, 2024, and December 31, 2023, the cumulative basis adjustments associated with these amounts totaled $19 million and $(147) million, respectively.

Considering the interest rates, yield curves, and notional amounts as of June 30, 2024, we expect to reclassify an estimated $429 million of after-tax net losses on derivative instruments designated as cash flow hedges from AOCI to income during the next 12 months. In addition, we expect to reclassify approximately $62 million of net losses related to terminated cash flow hedges from AOCI to income during the next 12 months. These reclassified amounts could differ from actual amounts recognized due to changes in interest rates, hedge de-designations and the addition of other hedges subsequent to June 30, 2024. As of June 30, 2024, the maximum length of time over which we hedge forecasted transactions is 3.86 years.


	Location and amount of net gains (losses) recognized in income on fair value and cash flow hedging relationships
Dollars in millions	Interest expense – long-term debt		Interest income – loans		Interest Income - securities		Investment banking and debt placement fees
Three months ended June 30, 2024
Total amounts presented in the consolidated statement of income	$	(332)	$	1,524	$	259	$	126

Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items	$	7	$	—	$	(22)	$	—
Recognized on derivatives designated as hedging instruments	(80)		—		56		—
Net income (expense) recognized on fair value hedges	$	(73)	$	—	$	34	$	—
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income	$	(1)	$	(199)	$	—	$	—
Net income (expense) recognized on cash flow hedges	$	(1)	$	(199)	$	—	$	—

Three months ended June 30, 2023
Total amounts presented in the consolidated statement of income	$	(349)	$	1,576	$	194	$	120

Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items	$	377	$	—	$	(24)	$	—
Recognized on derivatives designated as hedging instruments	(427)		—		32		—
Net income (expense) recognized on fair value hedges	$	(50)	$	—	$	8	$	—
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income	$	(1)	$	(245)	$	—	$	—

Net income (expense) recognized on cash flow hedges	$	(1)	$	(215)	$	—	$	—


	Location and amount of net gains (losses) recognized in income on fair value and cash flow hedging relationships
Dollars in millions	Interest expense – long-term debt		Interest income – loans		Interest Income - Securities		Investment banking and debt placement fees
Six months ended June 30, 2024
Total amounts presented in the consolidated statement of income	$	(660)	$	3,062	$	491	$	296

Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items	$	135	$	—	$	(173)	$	—
Recognized on derivatives designated as hedging instruments	(280)		—		238		—
Net income (expense) recognized on fair value hedges	$	(145)	$	—	$	65	$	—
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income	$	(1)	$	(415)	$	—	$	1
Net income (expense) recognized on cash flow hedges	$	(1)	$	(415)	$	—	$	1

Six months ended June 30, 2023
Total amounts presented in the consolidated statement of income	$	(624)	$	3,052	$	388	$	265

Net gains (losses) on fair value hedging relationships
Interest contracts
Recognized on hedged items	$	223	$	—	$	(18)	$	—
Recognized on derivatives designated as hedging instruments	(320)		—		30		—
Net income (expense) recognized on fair value hedges	$	(97)	$	—	$	12	$	—
Net gain (loss) on cash flow hedging relationships
Interest contracts
Realized gains (losses) (pre-tax) reclassified from AOCI into net income	$	(1)	$	(460)	$	—	$	—

Net income (expense) recognized on cash flow hedges	$	(1)	$	(460)	$	—	$	—

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, 2024, and June 30, 2023, 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.


Dollars 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
Three months ended June 30, 2024
Cash Flow Hedges
Interest rate	$	(78)	Interest income — Loans	$	(199)
Interest rate	—		Interest expense — Long-term debt	(1)
Interest rate	—		Investment banking and debt placement fees	—


Total	$	(78)		$	(200)
Three months ended June 30, 2023
Cash Flow Hedges
Interest rate	$	(465)	Interest income — Loans	$	(245)
Interest rate	(4)		Interest expense — Long-term debt	(1)
Interest rate	2		Investment banking and debt placement fees	—


Total	$	(467)		$	(246)


Dollars 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, 2024
Cash Flow Hedges
Interest rate	$	(361)	Interest income — Loans	$	(415)
Interest rate	1		Interest expense — Long-term debt	(1)
Interest rate	1		Investment banking and debt placement fees	1


Total	$	(359)		$	(415)
Six months ended June 30, 2023
Cash Flow Hedges
Interest rate	$	(356)	Interest income — Loans	$	(460)
Interest rate	(5)		Interest expense — Long-term debt	(1)
Interest rate	1		Investment banking and debt placement fees	—


Total	$	(360)		$	(461)


	Three months ended June 30, 2024								Three months ended June 30, 2023
Dollars in millions	Corporate services income		Consumer mortgage income		Other income		Total			Corporate services income		Consumer mortgage income		Other income		Total
NET GAINS (LOSSES)
Interest rate	$	9	$	—	$	1	$	10		$	13	$	—	$	1	$	14
Foreign exchange	14		—		—		14			13		—		—		13
Commodity	2		—		—		2			7		—		—		7
Credit	1		—		(3)		(2)			2		—		(17)		(15)
Other	—		(2)		3		1			—		2		(3)		(1)
Total net gains (losses)	$	26	$	(2)	$	1	$	25		$	35	$	2	$	(19)	$	18


	Six months ended June 30, 2024								Six months ended June 30, 2023
Dollars in millions	Corporate services income		Consumer mortgage income		Other income		Total			Corporate services income		Consumer mortgage income		Other income		Total
NET GAINS (LOSSES)
Interest rate	$	19	$	—	$	1	$	20		$	25	$	—	$	(1)	$	24
Foreign exchange	26		—		—		26			26		—		—		26
Commodity	5		—		—		5			14		—		—		14
Credit	1		—		(14)		(13)			2		—		(31)		(29)
Other	—		1		6		7			—		3		(5)		(2)
Total net gains (losses)	$	51	$	1	$	(7)	$	45		$	67	$	3	$	(37)	$	33

balance sheet at June 30, 2024, compared to $408 million of cash collateral netted against derivative assets at December 31, 2023. The cash collateral netted against derivative liabilities totaled $158 million at June 30, 2024, and $64 million at December 31, 2023. Our means of mitigating and managing exposure to credit risk on derivative contracts is described in Note 8 (“Derivatives and Hedging Activities”) beginning on page 142 of our 2023 Form 10-K under the heading “Counterparty Credit Risk.”

counterparty credit risk. At June 30, 2024, we had gross exposure of $366 million to broker-dealers and banks. We had net exposure of $35 million after the application of master netting agreements and cash collateral, where such qualifying agreements exist. We had net exposure of $28 million after considering $7 million of additional collateral held in the form of securities.

most cases, we mitigate our credit exposure by cross-collateralizing these transactions to the underlying loan collateral. For transactions that are not clearable, we mitigate our market risk by buying and selling U.S. Treasuries and Eurodollar futures or entering into offsetting positions. Due to the cross-collateralization to the underlying loan, we typically do not exchange cash or marketable securities collateral in connection with these transactions. To address the risk of default associated with these contracts, we have established a CVA reserve (included in

potential future exposures, expected recovery rates, and market-implied probabilities of default. At June 30, 2024, we had gross exposure of $222 million to client counterparties and other entities that are not broker-dealers or banks for derivatives that have associated master netting agreements. We had net exposure of $189 million on our derivatives with these counterparties after the application of master netting agreements, collateral, and the related reserve.

We 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 net liability position of $1 million as of June 30, 2024, and $1 million as of December 31, 2023. 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 142 of our 2023 Form 10-K under the heading “Credit Derivatives.”

We 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, 2024, 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.