KeyBank 2015 Annual Report Download - page 175

Assets and Liabilities Measured at Fair Value on a Recurring Basis
Certain assets and liabilities are measured at fair value on a recurring basis in accordance with GAAP. The
following tables present these assets and liabilities at December 31, 2015, and December 31, 2014.
December 31, 2015
in millions Level 1 Level 2 Level 3 Total
ASSETS MEASURED ON A RECURRING BASIS
Trading account assets:
U.S. Treasury, agencies and corporations — $ 704 — $ 704
States and political subdivisions —25—25
Collateralized mortgage obligations — — — —
Other mortgage-backed securities —26—26
Other securities $ 3 24 — 27
Total trading account securities 3 779 — 782
Commercial loans —6—6
Total trading account assets 3 785 — 788
Securities available for sale:
States and political subdivisions —14—14
Collateralized mortgage obligations — 11,995 — 11,995
Other mortgage-backed securities — 2,189 — 2,189
Other securities 3—$17 20
Total securities available for sale 3 14,198 17 14,218
Other investments:
Principal investments:
Direct —195069
Indirect — — 235 235
Total principal investments — 19 285 304
Equity and mezzanine investments:
Direct ————
Indirect ——8 8
Total equity and mezzanine investments — — 8 8
Other ————
Total other investments — 19 293 312
Derivative assets:
Interest rate — 868 16 884
Foreign exchange 143 8 — 151
Commodity — 444 — 444
Credit —426
Derivative assets 143 1,324 18 1,485
Netting adjustments (a) — — — (866)
Total derivative assets 143 1,324 18 619
Accrued income and other assets —1—1
Total assets on a recurring basis at fair value $ 149 $ 16,327 $ 328 $ 15,938
LIABILITIES MEASURED ON A RECURRING BASIS
Bank notes and other short-term borrowings:
Short positions — $ 533 — $ 533
Derivative liabilities:
Interest rate — 563 — 563
Foreign exchange $ 116 8 — 124
Commodity — 433 — 433
Credit —5$16
Derivative liabilities 116 1,009 1 1,126
Netting adjustments (a) — — — (494)
Total derivative liabilities 116 1,009 1 632
Accrued expense and other liabilities — 1 — 1
Total liabilities on a recurring basis at fair value $ 116 $ 1,543 $ 1 $ 1,166
(a) Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in
accordance with applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and 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. Total derivative assets and liabilities include these netting adjustments.
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