Voya 2014 Annual Report Download - page 288

Voya Financial, Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
Fixed Maturities and Equity Securities
The Company’s fixed maturities and equity securities are currently designated as available-for-sale, except those
accounted for using the FVO. Available-for-sale securities are reported at fair value and unrealized capital gains
(losses) on these securities are recorded directly in AOCI and presented net of related changes in DAC, VOBA
and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported
with the host contract on the Consolidated Balance Sheets.
The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets
and liabilities in the Consolidated Statements of Operations. Certain CMOs, primarily interest-only and
principal-only strips, are accounted for as hybrid instruments and valued at fair value with changes in the fair
value recorded in Other net realized capital gains (losses) in the Consolidated Statements of Operations.
The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are
subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in
holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates
resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally
anticipated. As of December 31, 2014 and 2013, approximately 44.4% and 38.3%, respectively, of the
Company’s CMO holdings, such as interest-only or principal-only strips, were invested in those types of CMOs
that are subject to more prepayment and extension risk than traditional CMOs.
Repurchase Agreements
As of December 31, 2014 and 2013, the Company did not have any securities pledged in dollar rolls, repurchase
agreement transactions or reverse repurchase agreements.
Securities Lending
As of December 31, 2014 and 2013, the fair value of loaned securities was $545.9 and $435.4, respectively, and
is included in Securities pledged on the Consolidated Balance Sheets. As of December 31, 2014 and 2013,
collateral retained by the lending agent and invested in liquid assets on the Company’s behalf was $563.9 and
$451.0, respectively, and recorded in Short-term investments under securities loan agreements, including
collateral delivered on the Consolidated Balance Sheets. As of December 31, 2014 and 2013, liabilities to return
collateral of $563.9 and $451.0, respectively, were included in Payables under securities loan agreements,
including collateral held on the Consolidated Balance Sheets.
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