Voya 2013 Annual Report Download - page 268

ING U.S., Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
Fixed Maturities and Equity Securities
The Company’s fixed maturities and equity securities are currently designated as available-for-sale, except those
accounted for using the fair value option (“FVO”). Available-for-sale securities are reported at fair value and
unrealized capital gains (losses) on these securities are recorded directly in Accumulated other comprehensive
income (loss) (“AOCI”), and presented net of related changes in DAC, VOBA, and deferred income taxes. In
addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the
Consolidated Balance Sheets.
The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets
and liabilities in the Consolidated Statements of Operations. Certain collateralized mortgage obligations
(“CMOs”), primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued
at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the
Consolidated Statements of Operations.
The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are
subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in
holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates
resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally
anticipated. As of December 31, 2013 and 2012, approximately 38.3% and 33.1%, respectively, of the
Company’s CMO holdings, such as interest-only or principal-only strips were invested in those types of CMOs
that are subject to more prepayment and extension risk than traditional CMOs.
Repurchase Agreements
As of December 31, 2013 and 2012, the Company did not have any securities pledged in dollar rolls, repurchase
agreement transactions or reverse repurchase agreements.
Securities Lending
As of December 31, 2013 and 2012, the fair value of loaned securities was $435.4 and $601.8, respectively, and
is included in Securities pledged on the Consolidated Balance Sheets. As of December 31, 2013 and 2012,
collateral retained by the lending agent and invested in liquid assets on the Company’s behalf was $451.0 and
$619.5, respectively, and recorded in Short-term investments under securities loan agreement, including
collateral delivered on the Consolidated Balance Sheets. As of December 31, 2013 and 2012, liabilities to return
collateral of $451.0 and $619.5, respectively, were included in Payables under securities loan agreement,
including collateral held on the Consolidated Balance Sheets.
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