Voya 2014 Annual Report Download - page 228

2013, the fair value, amortized cost and gross unrealized losses related to our exposure to Alt-A RMBS totaled
$353.5 million, $307.4 million and $10.4 million, respectively, representing 0.5% of total fixed maturities,
including securities pledged, based on fair value.
The following table presents our exposure to Alt-A RMBS by credit quality using NAIC designations, ARO
ratings and vintage year as of the dates indicated:
% of Total Alt-A Mortgage-backed Securities
NAIC
Quality Designation
ARO
Quality Ratings Vintage
December 31, 2014
1 87.6% AAA — % 2007 22.6%
2 3.8% AA — % 2006 33.9%
3 6.2% A 0.7% 2005 and prior 43.5%
4 1.4% BBB 3.1% 100.0%
5 —% BB and below 96.2%
6 1.0% 100.0%
100.0%
December 31, 2013
1 77.4% AAA 0.1% 2007 21.9%
2 10.8% AA — % 2006 26.5%
3 6.7% A 1.5% 2005 and prior 51.6%
4 4.3% BBB 3.9% 100.0%
5 — % BB and below 94.5%
6 0.8% 100.0%
100.0%
Commercial Mortgage-Backed and Other Asset-backed Securities
CMBS investments represent pools of commercial mortgages that are broadly diversified across property
types and geographical areas. Delinquency rates on commercial mortgages increased over the course of 2009
through mid-2012. Since then, the steep pace of increases observed in the early years following the credit crisis
has ceased, and the percentage of delinquent loans has declined through 2013 and the majority of 2014. Other
performance metrics like vacancies, property values and rent levels have also shown improvements, although
these metrics are not observed uniformly, differing by dimensions such as geographic location and property type.
These improvements have been buoyed by some of the same macro-economic tailwinds alluded to in regards to
our subprime and Alt-A mortgage exposure. In addition, a robust environment for property refinancing has
continued to be supportive of improving credit performance metrics throughout 2014. The new issue market for
CMBS has been a major contributor to the refinance environment. It has continued its recovery from the credit
crisis with meaningful new issuance in 2014, following five straight years of increasing new issuance volumes
since the credit crisis. The volume for the year ended December 31, 2014 remains robust, reflective of the active
and competitive refinancing market.
For consumer Other ABS, delinquency and loss rates have been maintained at levels considered low by
historical standards and indicative of high credit quality. Relative strength in various credit metrics across
multiple types of asset-backed loans have been observed on a sustained basis.
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