Voya 2014 Annual Report Download - page 292

Voya Financial, Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
Credit Enhancement Percentage
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2014
RMBS and Other ABS(1)
Non-agency RMBS 10% + ................... $ 325.7 $ 4.5 $17.9 $ 0.9
Non-agency RMBS > 5% - 10% .............. 18.4 — 0.8 —
Non-agency RMBS > 0% - 5% ............... 51.1 — 0.9 —
Non-agency RMBS 0% ..................... 46.0 0.4 3.4 0.2
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
Fixed Rate/Floating Rate
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2014
Fixed Rate .................................... $ 817.2 $ 2.3 $12.3 $ 0.7
Floating Rate .................................. 601.4 8.1 23.1 2.8
Total ........................................ $1,418.6 $10.4 $35.4 $ 3.5
(1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories.
Loan-to-Value Ratio
Amortized Cost Unrealized Capital Losses
< 20% > 20% < 20% > 20%
December 31, 2013
RMBS and Other ABS(1)
Non-agency RMBS > 100% ............... $ 75.7 $36.4 $ 2.9 $ 8.3
Non-agency RMBS > 90% - 100% .......... 156.8 24.1 8.6 5.7
Non-agency RMBS 80% - 90% ............. 151.3 5.9 8.4 1.7
Non-agency RMBS < 80% ................ 284.7 8.0 15.5 2.2
Agency RMBS .......................... 2,008.9 11.3 57.9 4.2
Other ABS (Non-RMBS) .................. 225.2 2.1 2.5 0.5
Total RMBS and Other ABS ................... $2,902.6 $87.8 $95.8 $22.6
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