Voya 2014 Annual Report Download - page 230

The following table presents our exposure to Other ABS holdings, excluding subprime exposure, by credit
quality using NAIC designations, ARO ratings and vintage year as of the dates indicated:
% of Total Other ABS
NAIC
Quality Designation
ARO
Quality Ratings Vintage
December 31, 2014
1 97.9% AAA 87.6% 2014 19.1%
2 2.1% AA 3.2% 2013 10.7%
3 — % A 7.1% 2012 12.3%
4 — % BBB 2.1% 2011 3.1%
5 — % BB and below — % 2010 1.9%
6 — % 100.0% 2009 1.0%
100.0% 2008 and prior 51.9%
100.0%
December 31, 2013
1 98.9% AAA 93.8% 2013 13.8%
2 0.9% AA 1.7% 2012 17.7%
3 — % A 3.4% 2011 8.9%
4 — % BBB 0.9% 2010 3.9%
5 — % BB and below 0.2% 2009 2.3%
6 0.2% 100.0% 2008 6.4%
100.0% 2007 and prior 47.0%
100.0%
Troubled Debt Restructuring
Although our portfolio of commercial loans and private placements is high quality, a small number of these
contracts have been granted modifications, certain of which are considered to be troubled debt restructurings. See
the Investments (excluding Consolidated Investment Entities) Note in our Consolidated Financial Statements in
Part II, Item 8. of this Annual Report on Form 10-K for further information on troubled debt restructuring.
Mortgage Loans on Real Estate
We rate all commercial mortgages to quantify the level of risk. We place those loans with higher risk on a
watch list and closely monitor these loans for collateral deficiency or other credit events that may lead to a
potential loss of principal and/or interest. If we determine the value of any mortgage loan to be OTTI (i.e., when
it is probable that we will be unable to collect on amounts due according to the contractual terms of the loan
agreement), the carrying value of the mortgage loan is reduced to either the present value of expected cash flows
from the loan, discounted at the loan’s effective interest rate, or fair value of the collateral. For those mortgages
that are determined to require foreclosure, the carrying value is reduced to the fair value of the underlying
collateral, net of estimated costs to obtain and sell at the point of foreclosure. The carrying value of the impaired
loans is reduced by establishing an other-than-temporary write-down recorded in Net realized capital gains
(losses) in the Consolidated Statements of Operations.
Loan-to-value (“LTV”) and debt service coverage (“DSC”) ratios are measures commonly used to assess the
risk and quality of commercial mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a
percentage of the amount of the loan relative to the value of the underlying property. An LTV ratio in excess of
100% indicates the unpaid loan amount exceeds the value of the underlying collateral. The DSC ratio, based
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