Voya 2014 Annual Report Download - page 227

home prices continued to move higher year-over-year, the magnitude of year-over-year price changes moved
lower. In managing our risk exposure to subprime and Alt-A mortgages, we take into account collateral
performance and structural characteristics associated with our various positions.
We do not originate or purchase subprime or Alt-A whole-loan mortgages. Subprime lending is the
origination of loans to customers with weaker credit profiles. We define Alt-A mortgages to include the
following: residential mortgage loans to customers who have strong credit profiles but lack some element(s),
such as documentation to substantiate income; residential mortgage loans to borrowers that would otherwise be
classified as prime but whose loan structure provides repayment options to the borrower that increase the risk of
default; and any securities backed by residential mortgage collateral not clearly identifiable as prime or subprime.
We have exposure to RMBS, CMBS and ABS. Our exposure to subprime mortgage-backed securities is
primarily in the form of ABS structures collateralized by subprime residential mortgages, and the majority of
these holdings were included in Other ABS under “Fixed Maturities” above. As of December 31, 2014, the fair
value, amortized cost and gross unrealized losses related to our exposure to subprime mortgage-backed securities
totaled $549.1 million, $512.6 million and $16.2 million, respectively, representing 0.7% of total fixed
maturities, including securities pledged, based on fair value. As of December 31, 2013, the fair value, amortized
cost and gross unrealized losses related to our exposure to subprime mortgage-backed securities totaled $623.4
million, $614.7 million and $35.5 million, respectively, representing 0.9% of total fixed maturities, including
securities pledged, based on fair value.
The following table presents our exposure to subprime mortgage-backed securities by credit quality using
NAIC designations, ARO ratings and vintage year as of the dates indicated:
% of Total Subprime Mortgage-backed Securities
NAIC
Quality Designation ARO Quality Ratings Vintage
December 31, 2014
1 86.8% AAA 0.1% 2007 30.3%
2 8.6% AA 0.4% 2006 27.7%
3 0.6% A 4.5% 2005 and prior 42.0%
4 2.7% BBB 3.9% 100.0%
5 0.3% BB and below 91.1%
6 1.0% 100.0%
100.0%
December 31, 2013
1 76.2% AAA 0.3% 2007 29.2%
2 16.0% AA 1.2% 2006 24.0%
3 4.3% A 5.4% 2005 and prior 46.8%
4 2.4% BBB 7.2% 100.0%
5 0.8% BB and below 85.9%
6 0.3% 100.0%
100.0%
Our exposure to Alt-A mortgages is included in the “RMBS” line item in the “Fixed Maturities” table under
“Fixed Maturities” above. As of December 31, 2014, the fair value, amortized cost and gross unrealized losses
related to our exposure to Alt-A RMBS totaled $408.7 million, $351.7 million and $4.9 million, respectively,
representing 0.5% of total fixed maturities, including securities pledged, based on fair value. As of December 31,
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