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## NOTES TO CONSOLIDATED FINANCIAL STATEMENTS KEYCORP AND SUBSIDIARIES 

Primary economic assumptions used to measure the fair value of Key’s retained interests and the sensitivity of the current fair value of residual cash flows to immediate adverse changes in those assumptions are as follows: 

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These sensitivities are hypothetical and should be relied upon with caution. Sensitivity analysis for each asset type is based on the nature of the asset, the seasoning (i.e., age and payment history) of the portfolio and the results experienced. Changes in fair value based on a 1% variation in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of the retained interest is calculated without changing any other assumption; in reality, changes in one factor may cause changes in another. For example, increases in market interest rates may result in lower prepayments and increased credit losses, which might magnify or counteract the sensitivities. 

a Forward London Interbank Offered Rate (known as GLYPH<210>LIBORGLYPH<211>) plus contractual spread over LIBOR ranging from .06% to .75%, or Treasury plus contractual spread over Treasury ranging from .65% to 1.00%, or GLYPH<222>xed rate yield. 

b Forward LIBOR plus contractual spread over LIBOR ranging from .23% to .40%, or GLYPH<222>xed rate yield. 

CPR = Constant Prepayment Rate 

N/A = Not Applicable 

The table below summarizes Key’s managed loans for those loan portfolios used by Key in consumer loan securitizations. Managed loans are defined as those held in portfolio and those that have been securitized 

and sold and are thus off-balance sheet, but still serviced by Key. Related delinquencies and net credit losses are also presented. 

## December 31, 

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## VARIABLE INTEREST ENTITIES 

A VIE is a partnership, limited liability company, trust or other legal entity that cannot finance its activities without additional subordinated financial support from other parties, or whose investors lack one of the following three characteristics associated with owning a controlling financial interest: (i) the direct or indirect ability to make decisions about an entity’s activities through voting rights or similar rights; (ii) the obligation 

to absorb the expected losses of an entity if they occur; and (iii) the right to receive the expected residual returns of the entity, if they occur. 

Interpretation No. 46, “Consolidation of Variable Interest Entities,” addresses the consolidation of VIEs. This interpretation is summarized in Note 1 under the heading “Accounting Pronouncements Adopted in 2003” on page 55. In accordance with Interpretation No. 46, VIEs are 

