Voya 2013 Annual Report Download - page 298

ING U.S., Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31,
2012:
Range(1)
Unobservable Input
GMWB /
GMWBL GMAB FIA Stabilizer / MCG
Long-term equity implied volatility .... 15%to25% 15%to25% — —
Interest rate implied volatility ......... 0.1% to 19% 0.1% to 19% — 0.1% to 7.6%
Correlations between:
Equity Funds .................. 50%to98% 50%to98% — —
Equity and Fixed Income Funds . . . -40% to 65% -40% to 65% — —
Interest Rates and Equity Funds . . . -25% to -16% -25% to -16% — —
Nonperformance risk ................ 0.1% to 1.3% 0.1% to 1.3% 0.1% to 1.3% 0.1% to 1.3%
Actuarial Assumptions:
Benefit Utilization .............. 85%to100%(2) ———
Partial Withdrawals ............. 0%to10% 0%to10% — —
Lapses ....................... 0.08% to 32%(3) 0.08% to 31%(3) 0% to 10%(3) 0% to 55%(4)
Policyholder Deposits(5) ......... — — — 0%to60%
(4)
Mortality ..................... — (6) —(6) ——
(1) Represents the range of reasonable assumptions that management has used in its fair value calculations.
(2) Those policyholders who have elected systematic withdrawals are assumed to continue taking withdrawals.
As a percent of account value, 26% are taking systematic withdrawals. Of those policyholders who are not
taking withdrawals, we assume that 85% will begin systematic withdrawals after a delay period. The
utilization function varies by policyholder age and policy duration. Interactions with lapse and mortality
also affect utilization. The utilization rate for GMWB and GMWBL tends to be lower for younger contract
owners and contracts that have not reached their maximum accumulated GMWB and GMWBL benefit
amount. There is also a lower utilization rate, though indirectly, for contracts that are less “in the money”
(i.e., where the notional benefit amount is in excess of the account value) due to higher lapses. Conversely,
the utilization rate tends to be higher for contract owners near or beyond retirement age and contracts that
have accumulated their maximum GMWB or GMWBL benefit amount. There is also a higher utilization
rate, though indirectly, for contracts which are highly “in the money”. The chart below provides the
GMWBL account value by current age group and average expected delay times from the associated attained
age group as of December 31, 2012 (account value amounts are in $ billions).
Account Values
Attained Age Group In the Money Out of the Money Total
Average
Expected Delay
(Years)
< 60 $ 3.5 $0.3 $ 3.8 5.5
60-69 7.0 0.4 7.4 1.9
70+ 4.3 0.1 4.4 0.2
$14.8 $0.8 $15.6 2.8
(3) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender
charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender
charge period. The Company makes dynamic adjustments to lower the lapse rates for contracts that are more
288