KeyBank 2008 Annual Report Download - page 48

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46
MANAGEMENT’S DISCUSSION & ANALYSIS OF FINANCIAL CONDITION & RESULTS OF OPERATIONS KEYCORP AND SUBSIDIARIES
FIGURE 23. MORTGAGE-BACKED
SECURITIES BY ISSUER
December 31,
in millions 2008 2007 2006
Federal Home Loan
Mortgage Corporation $4,719 $4,566 $4,938
Federal National
Mortgage Association 3,002 2,748 1,979
Government National
Mortgage Association 369 256 418
Total $8,090 $7,570 $7,335
Other
U.S. Treasury, States and Collateralized Mortgage- Retained Weighted
Agencies and Political Mortgage Backed Interests in Other Average
dollars in millions Corporations Subdivisions Obligations
(a)
Securities
(a)
Securitizations
(a)
Securities
(b)
Total Yield
(c)
DECEMBER 31, 2008
Remaining maturity:
One year or less $ 3 $ 1 $ 747 $ 2 $ 3 $ 8 $ 764 4.71%
After one through five years 4 6 5,761 1,445 70 45 7,331 5.05
After five through ten years 3 61 15 80 118 1 278 9.12
After ten years — 23 — 40 — 1 64 5.52
Fair value $10 $91 $6,523 $1,567 $191 $55 $8,437 —
Amortized cost 9 90 6,380 1,505 162 71 8,217 5.15%
Weighted-average yield
(c)
3.78% 5.83% 4.88% 5.04% 16.55% 5.70%
(d)
5.15%
(d)
—
Weighted-average maturity 3.6 years 8.2 years 1.9 years 4.6 years 4.9 years 3.7 years 2.5 years —
DECEMBER 31, 2007
Fair value $19 $10 $6,167 $1,403 $185 $76 $7,860 —
Amortized cost 19 10 6,167 1,393 149 72 7,810 5.22%
DECEMBER 31, 2006
Fair value $94 $15 $7,001 $334 $208 $175 $7,827 —
Amortized cost 94 14 7,098 336 151 165 7,858 4.78%
(a)
Maturity is based upon expected average lives rather than contractual terms.
(b)
Includes primarily marketable equity securities.
(c)
Weighted-average yields are calculated based on amortized cost. Such yields have been adjusted to a taxable-equivalent basis using the statutory federal income tax rate of 35%.
(d)
Excludes $51 million of securities at December 31, 2008, that have no stated yield.
FIGURE 24. SECURITIES AVAILABLE FOR SALE
During 2008, net gains from Key’s mortgage-backed securities totaled
$199 million. These net gains include net unrealized gains of $195
million, caused by the decline in benchmark Treasury yields, offset in
part by the widening of interest rate spreads on these securities. The
net unrealized gains were recorded in the “accumulated other
comprehensive income” component of shareholders’ equity, while the
net realized gains were recorded in “net securities (losses) gains” on the
income statement.
Figure 24 shows the composition, yields and remaining maturities
of Key’s securities available for sale. For more information about
securities, including gross unrealized gains and losses by type of
security and securities pledged, see Note 6 (“Securities”), which begins
on page 91.
Management reviews valuations derived from the models to ensure they
are consistent with the values placed on similar securities traded in the
secondary markets.