Voya 2014 Annual Report Download - page 291

Voya Financial, Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by
market sector for instances in which fair value declined below amortized cost by greater than or less than 20%
were as follows as of the dates indicated:
Amortized Cost Unrealized Capital Losses Number of Securities
< 20% > 20% < 20% > 20% < 20% > 20%
December 31, 2014
U.S. Treasuries ...................... $ 124.1 $ — $ 0.9 $ — 8 —
U.S. Government agencies and
authorities ........................ 6.4 — — * — 1 —
U.S. corporate, state and municipalities . . . 5,416.8 54.8 151.5 12.9 423 5
Foreign ............................. 2,636.5 57.2 105.7 12.3 239 6
Residential mortgage-backed ........... 1,042.8 4.0 19.5 2.1 321 8
Commercial mortgage-backed .......... 121.2 4.0 0.5 0.9 17 1
Other asset-backed .................... 375.8 6.4 15.9 1.4 89 4
Total ............................... $ 9,723.6 $126.4 $ 294.0 $29.6 1,098 24
December 31, 2013
U.S. Treasuries ...................... $ 2,750.5 $ 25.3 $ 81.4 $ 5.4 32 1
U.S. Government agencies and
authorities ........................ 66.8 — 1.4 — 3 —
U.S. corporate, state and municipalities . . . 11,892.6 55.8 694.2 13.5 744 5
Foreign ............................. 3,944.2 35.0 211.0 7.7 300 6
Residential mortgage-backed ........... 2,361.4 35.6 70.2 10.2 471 25
Commercial mortgage-backed .......... 245.5 — 3.5 — 16 —
Other asset-backed .................... 541.2 52.2 25.6 12.4 104 13
Total ............................... $21,802.2 $203.9 $1,087.3 $49.2 1,670 50
* Less than $0.1.
The following tables summarize loan-to-value, credit enhancement and fixed floating rate details for RMBS and
Other ABS in a gross unrealized loss position as of the dates indicated:
Loan-to-Value Ratio
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2014
RMBS and Other ABS(1)
Non-agency RMBS > 100% .................. $ 5.0 $— $ 0.3 $—
Non-agency RMBS > 90% - 100% ............ 35.7 — 1.7 —
Non-agency RMBS 80% - 90% ............... 109.0 0.3 5.2 0.1
Non-agency RMBS < 80% ................... 291.5 4.6 15.8 1.0
Agency RMBS ............................ 835.9 3.6 11.1 1.9
Other ABS (Non-RMBS) .................... 141.5 1.9 1.3 0.5
Total RMBS and Other ABS ..................... $1,418.6 $10.4 $35.4 $ 3.5
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