Voya 2014 Annual Report Download - page 239

change in fair value from hypothetical 100 basis point upward and downward shifts in interest rates as of
December 31, 2014 and 2013. While the test scenarios are for illustrative purposes only and do not reflect our
expectations regarding future interest rates or the performance of fixed-income markets, they are a near-term,
reasonably possible hypothetical change that illustrates the potential impact of such events. These tests do not
measure the change in value that could result from non-parallel shifts in the yield curve. As a result, the actual
change in fair value from a 100 basis point change in interest rates could be different from that indicated by these
calculations.
As of December 31, 2014
Hypothetical Change in
Fair Value(2)
($ in millions) Notional Fair Value(1)
+ 100 Basis
Points Yield
Curve Shift
- 100 Basis
Points Yield
Curve Shift
Financial assets with interest rate risk:
Fixed maturity securities, including
securities pledged ................. $ — $74,659.4 $(5,254.0) $5,737.5
Commercial mortgage and other loans . . . — 10,286.6 (529.0) 562.7
Derivatives: —
Interest rate swaps, caps,
forwards .................... 67,776.4 648.4 (580.1) 830.1
Financial liabilities with interest rate risk:
Investment contracts:
Funding agreements without fixed
maturities and deferred
annuities(3) ................... — 55,171.4 (3,285.7) 4,785.0
Funding agreements with fixed
maturities and GICs ........... — 1,564.8 (56.9) 59.3
Supplementary contracts and
immediate annuities ........... — 2,706.2 (135.0) 166.4
Long-term debt ..................... — 3,875.4 (255.3) 287.8
Embedded derivatives on reinsurance . . . — 139.6 (141.6) 163.2
Guaranteed benefit derivatives(3):
FIA .......................... — 1,970.0 (102.9) 106.0
GMAB / GMWB / GMWBL ...... — 1,586.7 (736.6) 968.1
Stabilizer and MCGs ............. — 102.9 (75.3) 129.9
(1) Separate account assets and liabilities which are interest sensitive are not included herein as any interest rate
risk is borne by the holder of separate account.
(2) (Decreases) in assets or (decreases) in liabilities are presented in parentheses. Increases in assets or increases
in liabilities are presented without parentheses.
(3) Certain amounts included in Funding agreements without fixed maturities and deferred annuities section are
also reflected within the Guaranteed benefit derivatives section of the tables above.
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