Voya 2013 Annual Report Download - page 283

ING U.S., Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
The notional amounts and fair values of derivatives were as follows as of the dates indicated:
December 31, 2013 December 31, 2012
Notional
Amount
Asset
Fair
Value
Liability
Fair
Value
Notional
Amount
Asset
Fair
Value
Liability
Fair
Value
Derivatives: Qualifying for hedge
accounting(1)
Cash flow hedges:
Interest rate contracts $ 786.0 $ 81.0 $ 0.5 $ 1,000.0 $ 215.4 $ —
Foreign exchange contracts 174.7 6.3 1.6———
Fair value hedges:
Interest rate contracts 873.5 4.8 64.7 291.1 — 16.4
Derivatives: Non-qualifying for hedge
accounting(1)
Interest rate contracts(2) 63,122.0 826.2 1,174.3 69,719.2 1,981.1 1,545.0
Foreign exchange contracts 1,281.7 17.8 43.3 1,985.8 11.3 95.0
Equity contracts 11,725.9 172.7 52.9 14,890.4 103.4 235.1
Credit contracts 3,221.0 40.5 14.5 3,106.0 63.3 52.7
Managed custody guarantees N/A — — N/A — —
Embedded derivatives:
Within fixed maturity investments N/A 126.5 — N/A 227.4 —
Within annuity products N/A — 2,645.6 N/A — 3,571.7
Within reinsurance agreements N/A — 79.0 N/A — 169.5
Total $1,275.8 $4,076.4 $2,601.9 $5,685.4
(1) Open derivative contracts are reported as Derivatives assets or liabilities on the Consolidated Balance Sheets
at fair value.
(2) As of December 31, 2013, includes a notional amount, asset fair value and liability fair value for interest
rate caps of $11.8 billion, $162.5 and $29.7, respectively. As of December 31, 2012, includes a notional
amount, asset fair value and liability fair value for interest rate caps of $4.5 billion, $17.7 and $0.6,
respectively.
N/A—Not Applicable
Based on the notional amounts, a substantial portion of the Company’s derivative positions was not designated or
did not qualify for hedge accounting as part of a hedging relationship as of December 31, 2013 and 2012. The
Company utilizes derivative contracts mainly to hedge exposure to variability in cash flows, interest rate risk,
credit risk, foreign exchange risk and equity market risk. The majority of derivatives used by the Company are
designated as product hedges, which hedge the exposure arising from insurance liabilities or guarantees
embedded in the contracts the Company offers through various product lines. These derivatives do not qualify for
hedge accounting as they do not meet the criteria of being “highly effective” as outlined in ASC Topic 815, but
do provide an economic hedge, which is in line with the Company’s risk management objectives. The Company
also uses derivatives contracts to hedge its exposure to various risks associated with the investment portfolio. The
Company does not seek hedge accounting treatment for certain of these derivatives as they generally do not
qualify for hedge accounting due to the criteria required under the portfolio hedging rules outlined in ASC Topic
815. The Company also uses credit default swaps coupled with other investments in order to produce the
investment characteristics of otherwise permissible investments which do not qualify as effective accounting
hedges under ASC Topic 815.
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