Voya 2013 Annual Report Download - page 272

ING U.S., Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
Loan-to-Value Ratio
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2012
RMBS and Other ABS(1)
Non-agency RMBS > 100% .............. $ 562.3 $203.8 $39.5 $58.0
Non-agency RMBS 90% - 100% ........... 134.2 35.2 12.8 10.7
Non-agency RMBS 80% - 90% ............ 78.9 46.9 7.5 12.1
Non-agency RMBS < 80% ............... 288.9 17.5 14.0 5.5
Agency RMBS ......................... 398.0 8.1 11.0 3.8
Other ABS (Non-RMBS) ................. 83.4 2.3 1.2 0.6
Total RMBS and Other ABS .................. $1,545.7 $313.8 $86.0 $90.7
Credit Enhancement Percentage
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2012
RMBS and Other ABS(1) .................
Non-agency RMBS 10% + ............... $ 706.8 $187.1 $53.8 $51.2
Non-agency RMBS 5% - 10% ............. 187.6 2.2 6.8 0.7
Non-agency RMBS 0% - 5% .............. 89.4 12.3 7.6 4.2
Non-agency RMBS 0% .................. 80.5 101.8 5.6 30.2
Agency RMBS ......................... 398.0 8.1 11.0 3.8
Other ABS (Non-RMBS) ................. 83.4 2.3 1.2 0.6
Total RMBS and Other ABS .................. $1,545.7 $313.8 $86.0 $90.7
Fixed Rate/Floating Rate
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2012
Fixed Rate ................................ $ 669.4 $ 33.3 $14.2 $10.2
Floating Rate .............................. 876.3 280.5 71.8 80.5
Total ..................................... $1,545.7 $313.8 $86.0 $90.7
(1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories.
All investments with fair values less than amortized cost are included in the Company’s other-than-temporary
impairments analysis, and impairments were recognized as disclosed in the “Evaluating Securities for Other-
Than-Temporary Impairments” section below. The Company evaluates non-agency RMBS and ABS for “other-
than-temporary impairments” each quarter based on actual and projected cash flows after considering the quality
and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity,
the payment priority within the tranche structure of the security and amount of any credit enhancements. The
Company’s assessment of current levels of cash flows compared to estimated cash flows at the time the securities
were acquired indicates the amount and the pace of projected cash flows from the underlying collateral has
generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level,
the impairment review incorporates the security’s position within the trust structure as well as credit
enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and
slower cash flows will impact the trust, the effect on a particular security within the trust will be dependent upon
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