Voya 2013 Annual Report Download - page 271

ING U.S., Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
The following tables summarize loan-to-value, credit enhancement and fixed floating rate details for RMBS and
Other ABS in a gross unrealized loss position as of the dates indicated:
Loan-to-Value Ratio
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2013
RMBS and Other ABS(1)
Non-agency RMBS > 100% ....................... $ 75.7 $36.4 $ 2.9 $ 8.3
Non-agency RMBS 90% - 100% ................ 156.8 24.1 8.6 5.7
Non-agency RMBS 80% - 90% ................. 151.3 5.9 8.4 1.7
Non-agency RMBS < 80% .................... 284.7 8.0 15.5 2.2
Agency RMBS .............................. 2,008.9 11.3 57.9 4.2
Other ABS (Non-RMBS) ...................... 225.2 2.1 2.5 0.5
Total RMBS and Other ABS ....................... $2,902.6 $87.8 $95.8 $22.6
Credit Enhancement Percentage
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2013
RMBS and Other ABS(1)
Non-agency RMBS 10% + ................... $ 407.1 $47.7 $27.6 $11.1
Non-agency RMBS 5% - 10% ................ 43.9 0.8 1.2 0.2
Non-agency RMBS 0% - 5% ................. 90.4 3.9 1.9 0.8
Non-agency RMBS 0% ..................... 127.1 22.0 4.7 5.8
Agency RMBS ............................ 2,008.9 11.3 57.9 4.2
Other ABS (Non-RMBS) .................... 225.2 2.1 2.5 0.5
Total RMBS and Other ABS ..................... $2,902.6 $87.8 $95.8 $22.6
Fixed Rate/Floating Rate
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2013
Fixed Rate .................................... $1,723.7 $ 4.4 $50.5 $ 1.6
Floating Rate .................................. 1,178.9 83.4 45.3 21.0
Total ........................................ $2,902.6 $87.8 $95.8 $22.6
(1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories.
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