Voya 2014 Annual Report Download - page 304

Voya Financial, Inc.
Notes to the Consolidated Financial Statements
(Dollar amounts in millions, unless otherwise stated)
(1) Open derivative contracts are reported as Derivatives assets or liabilities on the Consolidated Balance Sheets
at fair value.
The maximum length of time over which the Company is hedging its exposure to the variability in future cash
flows for forecasted transactions is through the fourth quarter of 2016.
Based on the notional amounts, a substantial portion of the Company’s derivative positions was not designated or
did not qualify for hedge accounting as part of a hedging relationship as of December 31, 2014 and 2013. The
Company utilizes derivative contracts mainly to hedge exposure to variability in cash flows, interest rate risk, credit
risk, foreign exchange risk and equity market risk. The majority of derivatives used by the Company are designated
as product hedges, which hedge the exposure arising from insurance liabilities or guarantees embedded in the
contracts the Company offers through various product lines. These derivatives do not qualify for hedge accounting
as they do not meet the criteria of being “highly effective” as outlined in ASC Topic 815, but do provide an
economic hedge, which is in line with the Company’s risk management objectives. The Company also uses
derivatives contracts to hedge its exposure to various risks associated with the investment portfolio. The Company
does not seek hedge accounting treatment for certain of these derivatives as they generally do not qualify for hedge
accounting due to the criteria required under the portfolio hedging rules outlined in ASC Topic 815. The Company
also uses credit default swaps coupled with other investments in order to produce the investment characteristics of
otherwise permissible investments that do not qualify as effective accounting hedges under ASC Topic 815.
Although the Company has not elected to net its derivative exposures, the notional amounts and fair values of
Over-The-Counter (“OTC”) and cleared derivatives excluding exchange traded contracts and forward contracts
(To Be Announced mortgage-backed securities) are presented in the tables below as of the dates indicated:
December 31, 2014
Notional Amount Asset Fair Value Liability Fair Value
Credit contracts ................................... $ 4,221.0 $ 40.9 $ 36.0
Equity contracts ................................... 13,576.1 378.4 201.7
Foreign exchange contracts .......................... 1,547.8 70.6 26.8
Interest rate contracts ............................... 67,776.4 1,225.0 576.6
$1,714.9 $ 841.1
Counterparty netting(1) .............................. (721.3) (721.3)
Cash collateral netting(1) ............................ (661.1) (35.9)
Securities collateral netting(1) ........................ (158.9) (46.9)
Net receivables/payables ............................ $ 173.6 $ 37.0
(1) Represents the netting of receivable balances with payable balances, net of collateral, for the same
counterparty under eligible netting agreements.
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