KeyBank 2014 Annual Report Download - page 196

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The following table shows the significant unobservable inputs used to measure the fair value of the education
loan securitization trust loans and securities and the portfolio loans accounted for at fair value as of
December 31, 2014, and December 31, 2013:
December 31, 2014
dollars in millions
Fair Value of Level 3
Assets and Liabilities
Valuation
Technique
Significant
Unobservable Input
Range
(Weighted-Average)
Portfolio loans $ 191 Discounted cash flow Prepayment speed 5.40 – 5.60%(5.50%)
accounted for at fair Loss severity 2.00 – 77.00%(25.66%)
value Discount rate 3.90 – 4.00%(3.92%)
Default rate .86 – 1.70%(1.12%)
December 31, 2013
dollars in millions
Fair Value of Level 3
Assets and Liabilities
Valuation
Technique
Significant
Unobservable Input
Range
(Weighted-Average)
Trust loans and $ 2,107 Discounted cash flow Prepayment speed 4.00 – 13.50%(6.47%)
portfolio loans Loss severity 2.00 – 79.50%(54.21%)
accounted for at fair Discount rate 2.40 – 10.50%(3.50%)
value Default rate 8.01 – 23.71%(18.43%)
Trust securities 1,834 Discounted cash flow Discount rate 1.60 – 3.50%(2.55%)
The following table shows the principal and fair value amounts for our trust loans at fair value, portfolio loans at
fair value, and portfolio loans at carrying value at December 31, 2014, and December 31, 2013. Our policies for
determining past due loans, placing loans on nonaccrual, applying payments on nonaccrual loans, and resuming
accrual of interest are disclosed in Note 1 (“Summary of Significant Accounting Policies”) under the heading
“Nonperforming Loans.”
in millions
December 31, 2014 December 31, 2013
Principal Fair Value Principal Fair Value
Trust loans at fair value
Accruing loans past due 90 days or more ——$25$25
Loans placed on nonaccrual status —— 12 12
Portfolio loans at fair value
Accruing loans past due 90 days or more $5$5$8$8
Loans placed on nonaccrual status —— ——
Portfolio loans at carrying value
Accruing loans past due 90 days or more $ 29 N/A $ 35 N/A
Loans placed on nonaccrual status 11 N/A 10 N/A
The following table shows the consolidated trusts’ assets and liabilities at fair value and the portfolio loans at fair
value and their related contractual values as of December 31, 2014, and December 31, 2013.
in millionıs
December 31, 2014 December 31, 2013
Contractual
Amount Fair Value
Contractual
Amount Fair Value
ASSETS
Portfolio loans $ 192 $ 191 $ 140 $ 147
Trust loans ——1,964 1,960
Trust other assets —— 20 20
LIABILITIES
Trust securities ——$ 1,958 $ 1,834
Trust other liabilities —— 20 20
183