Voya 2013 Annual Report Download - page 223

result in larger differences between the change in fair value of the equity-based derivatives and the related living
benefit features, in comparison to the hypothetical test scenarios.
As of December 31, 2013
Hypothetical Change in
Fair Value(1)
($ in millions) Notional
Fair
Value
+10%
Equity Shock
-10%
Equity Shock
Financial assets with equity market risk:
Equity securities, available for sale ...... $ — $ 314.4 $ 22.9 $ (22.9)
Limited liability
partnerships/corporations ............ — 236.4 14.2 (14.2)
Derivatives:
Equity futures and total return
swaps(2) ...................... 8,262.9 (44.4) (711.8) 711.8
Equity options ................... 3,463.0 164.2 73.4 (98.6)
Financial liabilities with equity market risk:
Guaranteed benefit derivatives:
FIA ........................... — 1,736.7 96.6 (175.2)
GMAB / GMWB/ GMWBL ........ — 908.9 (171.6) 250.0
(1) (Decreases) in assets or (decreases) in liabilities are presented in parentheses. Increases in assets or increases
in liabilities are presented without parentheses.
(2) Primarily related to CBVA hedging programs.
As of December 31, 2012
Hypothetical Change in
Fair Value(1)
($ in millions) Notional
Fair
Value
+10%
Equity Shock
-10%
Equity Shock
Financial assets with equity market risk:
Equity securities, available for sale ..... $ — $ 340.1 $ 33.0 $ (33.0)
Limited liability partnerships/
corporations ..................... — 465.1 27.9 (27.9)
Derivatives:
Equity futures and total return
swaps(2) ..................... 11,766.6 (200.0) (1,176.7) 1,176.7
Equity options .................. 3,123.8 68.3 40.2 (19.7)
Financial liabilities with equity market risk:
Guaranteed benefit derivatives:
FIA .......................... — 1,434.3 108.0 (158.0)
GMAB / GMWB/ GMWBL ....... — 2,035.4 (296.0) 373.0
(1) (Decreases) in assets or (decreases) in liabilities are presented in parentheses. Increases in assets or increases
in liabilities are presented without parentheses.
(2) Primarily related to CBVA hedging programs.
Market Risk Related to Closed Block Variable Annuity
NAR
The NAR for GMDB, GMAB and GMWB is equal to the guaranteed value of these benefits in excess of the
account values in each case as of the date indicated. The NAR assumes utilization of benefits by all customers as
of the date indicated.
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