Each investment asset or liability of the Portfolios is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the sub-advisers’ or Pricing Committee’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing each Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between levels of the Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when a Portfolio has a significant amount of Level 3 investments.
For the six months ended June 30, 2017, there have been no significant changes to the fair valuation methodologies.
Although the net assets and the market values are presented at the foreign exchange rates at Market Close, the Portfolios do not isolate the portion of their results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statement of Assets and Liabilities for the estimated tax withholding based on the securities’ current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on the Portfolios’ books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. The foregoing risks are even greater with respect to securities of issuers in emerging markets.
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
investment companies and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expired.
The Portfolios may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Risk Exposures and the Use of Derivative Instruments. The Portfolios’ investment strategies permit the Portfolios to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to risk factors. This may allow a Portfolio to pursue its objectives more quickly, and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market or credit factors.
In pursuit of its investment objectives, a Portfolio may seek to increase or decrease its exposure to the following market or credit risk factors:
Credit Risk. The price of a bond or other debt instrument is likely to fall if the issuer’s actual or perceived financial health deteriorates, whether because of broad economic or issuer-specific reasons. In certain cases, the issuer could be late in paying interest or principal, or could fail to pay its financial obligations altogether.
Equity Risk. Stock prices may be volatile or have reduced liquidity in response to real or perceived impacts of factors including, but not limited to, economic conditions, changes in market interest rates, and political events. Stock markets tend to be cyclical, with periods when stock prices generally rise and periods when stock prices generally decline. Any given stock market segment may remain out of favor with investors for a short or long period of time, and stocks as an asset class may underperform bonds or other asset classes during some periods. Additionally, legislative, regulatory or tax policies or developments in these areas may adversely impact the investment techniques available to a manager, add to costs and impair the ability of a Portfolio to achieve its investment objectives.
Foreign Exchange Rate Risk. To the extent that a Portfolio invests directly in foreign (non-U.S.) currencies or in securities denominated in, or that trade in, foreign (non-U.S.) currencies, it is subject to the risk that those foreign (non-U.S.) currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged by a Portfolio through foreign currency exchange transactions.
Currency rates may fluctuate significantly over short periods of time. Currency rates may be affected by changes in market interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, by the imposition of currency controls, or other political or economic developments in the United States or abroad.
Interest Rate Risk. With bonds and other fixed rate debt instruments, a rise in market interest rates generally causes values to fall; conversely, values generally rise as market interest rates fall. The higher the credit quality of the instrument, and the longer its maturity or duration, the more sensitive it is likely to be to interest rate risk. In the case of inverse securities, the interest rate paid by the securities is a floating rate, which generally will decrease when the market rate of interest to which the inverse security is indexed increases and will increase when the market rate of interest to which the inverse security is indexed decreases. As of the date of this report, market interest rates in the United States are at or near historic lows, which may increase a Portfolio’s exposure to risks associated with rising market interest rates. Rising market interest rates could have unpredictable effects on the markets and may expose fixed-income and related markets to heightened volatility. For a fund that invests in fixed-income securities, an increase in market interest rates may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain investments, adversely affect values, and increase costs. If dealer capacity in fixed-income markets is insufficient for market conditions, it may further inhibit liquidity and increase volatility in the fixed-income markets. Further, recent and
13
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
potential changes in government policy may affect interest rates.
Risks of Investing in Derivatives. A Portfolio’s use of derivatives can result in losses due to unanticipated changes in the market or credit risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market or credit risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Derivative instruments are subject to a number of risks, including the risk of changes in the market price of the underlying securities, credit risk with respect to the counterparty, risk of loss due to changes in market interest rates and liquidity and volatility risk. The amounts required to purchase certain derivatives may be small relative to the magnitude of exposure assumed by a Portfolio. Therefore, the purchase of certain derivatives may have an economic leveraging effect on a Portfolio and exaggerate any increase or decrease in the NAV. Derivatives may not perform as expected, so a Portfolio may not realize the intended benefits. When used for hedging purposes, the change in value of a derivative may not correlate as expected with the currency, security or other risk being hedged. When used as an alternative or substitute for direct cash investments, the return provided by the derivative may not provide the same return as direct cash investment. In addition, given their complexity, derivatives expose a Portfolio to the risk of improper valuation.
Generally, derivatives are sophisticated financial instruments whose performance is derived, at least in part, from the performance of an underlying asset or assets. Derivatives include, among other things, swap agreements, options, forwards and futures. Investments in derivatives are generally negotiated over-the-counter with a single counterparty and as a result are subject to credit risks related to the counterparty’s ability or willingness to perform its obligations; any deterioration in the counterparty’s creditworthiness could adversely affect the value of the derivative. In addition, derivatives and their underlying securities may experience periods of illiquidity which could cause a Portfolio to hold a security it might otherwise sell, or to sell a security it otherwise might hold at inopportune times or at an unanticipated price. A manager might imperfectly judge the direction of the market. For instance, if a derivative is used as a hedge to offset investment risk in another security, the hedge might not correlate to the market’s movements and may have unexpected or undesired results such as a loss or a reduction in gains.
The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union is (and other countries outside of the European Union are) implementing similar requirements, which will affect a Portfolio when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear. Central clearing is expected to reduce counterparty risk and increase liquidity, however, there is no assurance that it will achieve that result, and in the meantime, central clearing and related requirements expose a Portfolio to new kinds of costs and risks.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that it believes to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio’s International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”). These Master Agreements are with select counterparties and they govern transactions, including certain over-the-counter (“OTC”) derivative and forward foreign currency contracts, entered into by a Portfolio and the counterparty. The Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable Master Agreement.
A Portfolio may also enter into collateral agreements with certain counterparties to further mitigate counterparty credit risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from a Portfolio is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
At June 30, 2017, the maximum amount of loss that BlackRock Inflation Protected Bond and Goldman Sachs Bond would incur if the counterparties to their derivative
14
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
transactions failed to perform would be $4,618,507 and $1,379,768, respectively, which represents the gross payments to be received by the Portfolios on OTC purchased options, forward foreign currency contracts, and OTC inflation-linked swaps were they to be unwound as of June 30, 2017. At June 30, 2017, BlackRock Inflation Protected Bond had received $3,550,000 in cash collateral from certain counterparties. There was no cash collateral pledged to Goldman Sachs Bond by any counterparty at June 30, 2017.
Each Portfolio has credit related contingent features that if triggered would allow its derivative counterparties to close out and demand payment or additional collateral to cover their exposure from a Portfolio. Credit related contingent features are established between a Portfolio and its derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio’s net assets and or a percentage decrease in a Portfolio’s NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio’s Master Agreements.
At June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had a liability position of $1,415,700 and $1,252,137, respectively, on open OTC credit default and inflation-linked swaps, forward foreign currency contracts and OTC written options with credit related contingent features. If a contingent feature would have been triggered as of June 30, 2017, the Portfolios could have been required to pay this amount in cash to its counterparties. At June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond did not pledge any cash collateral for their open OTC derivative transactions.
H. Forward Foreign Currency Contracts. A Portfolio may enter into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated investment securities. When entering into a forward foreign currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and a Portfolio’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented following the Portfolio of Investments.
For the six months ended June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into forward foreign currency contracts with the obligation to buy and sell specified foreign currencies in the future at a currently negotiated forward rate in order to increase or decrease exposure to foreign exchange rate risk. The Portfolios use forward foreign currency contracts primarily to protect its non-U.S. dollar-denominated holdings from adverse currency movements and to gain exposure to currencies for the purposes of risk management or enhanced return.
During the six months ended June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had average contract amounts on forward foreign currency contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open forward foreign currency contracts at June 30, 2017.
| | | | Purchased
| | Sold
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 19,023,570 | | | $ | 33,021,472 | |
| Goldman Sachs Bond | | | | | 166,481,492 | | | | 84,558,138 | |
I. Futures Contracts. Each Portfolio may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. Each Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when a Portfolio’s assets are valued.
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Open futures contracts are reported on a table following the Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Portfolio of Investments. Cash collateral held by the broker to cover
15
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
initial margin requirements on open futures contracts are noted in the Statements of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statements of Operations. Realized gains (losses) are reported in the Statements of Operations at the closing or expiration of futures contracts.
At June 30, 2017, BlackRock Inflation Protected Bond has pledged U.S. Treasury Inflation Indexed Protected Securities with an original par value of $598,000 with the broker as collateral for open futures contracts. The security has been footnoted as pledged in the Portfolio of Investments.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where a Portfolio is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of a Portfolio’s securities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. During the six months ended June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had purchased and sold futures contracts on various bonds and notes as part of their duration strategy.
During the six months ended June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had average notional values on futures contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open futures contracts at June 30, 2017.
| | | | Purchased
| | Sold
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 220,371,460 | | | $ | 277,094,858 | |
| Goldman Sachs Bond | | | | | 100,442,213 | | | | 44,028,311 | |
J. Options Contracts. The Portfolios may purchase put and call options and may write (sell) put options and covered call options. The Portfolios may engage in option transactions as a hedge against adverse movements in the value of portfolio holdings or to increase market exposure. Option contracts are valued daily and unrealized gains or losses are recorded based upon the last sales price on the principal exchange on which the options are traded. An amount equal to the premium received by the Portfolios upon the writing of a put or call option is included in the Statements of Assets and Liabilities as a liability which is subsequently marked-to-market until it is exercised or closed, or it expires. The Portfolios will realize a gain or loss upon the expiration or closing of the option contract. When an option is exercised, the proceeds on sales of the underlying security for a written call option, the purchase cost of the security for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Realized and unrealized gains or losses on option contracts are reflected in the accompanying financial statements. The risk in writing a covered call option is that a Portfolio gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that a Portfolio may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that a Portfolio pays a premium whether or not the option is exercised. Risks may also arise from an illiquid secondary market or from the inability of counterparties to meet the terms of the contract.
During the six months ended June 30, 2017, BlackRock Inflation Protected Bond had purchased and written options on exchange-traded futures contracts to manage its duration strategy and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written exchange-traded futures contracts at June 30, 2017.
During the six months ended June 30, 2017, BlackRock Inflation Protected Bond had purchased and written options on foreign currencies to manage its foreign exchange exposure and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written foreign currency options at June 30, 2017.
During the six months ended June 30, 2017, BlackRock Inflation Protected Bond had purchased and written interest rate swap options (“swaptions”) to manage its duration strategy and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written interest rate swaptions at June 30, 2017.
During the six months ended June 30, 2017, BlackRock Inflation Protected Bond had written inflation rate caps to generate income. Please refer to the tables following the Portfolio of Investments for open written inflation rate caps at June 30, 2017.
Please refer to Note 9 for the volume of both purchased and written option activity for BlackRock Inflation Protected Bond during the six months ended June 30, 2017.
K. Swap Agreements. The Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency)
16
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
or non-asset reference (such as an interest rate or index). Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. Subsequent changes in market value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. The Portfolios may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported following the Portfolio of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on the Statements of Assets and Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statements of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statements of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statements of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statements of Operations.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and a Portfolio’s counterparty on the swap agreement becomes the CCP. A Portfolio is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are footnoted as pledged on the Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) on the Statements of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on the Statements of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer’s credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
A Portfolio may sell credit default swaps which expose these Portfolios to the risk of loss from credit risk related events specified in the contract. Although contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/ moratorium. If a Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a
17
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed following the Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of June 30, 2017, for which a Portfolio is seller of protection are disclosed following the Portfolio of Investments for Goldman Sachs Bond. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
For the six months ended June 30, 2017, Goldman Sachs Bond had bought and sold credit protection on credit default swap indices (“CDX”) and single name issuers (Corporate or Sovereign). A CDX is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. Goldman Sachs Bond used CDX swaps to gain additional exposure within various sectors and to hedge the credit risk associated with various sectors within the credit and commercial mortgage-backed securities market. In addition, Goldman Sachs Bond bought credit protection on single name issuers to reduce its risk exposure to defaults of corporate and/or sovereign issuers.
For the six months ended June 30, 2017, Goldman Sachs Bond had an average notional amount of $11,433,333 on credit default swaps to buy protection and an average notional amount of $2,247,500 on credit default swaps to sell protection. Please refer to the tables following the Portfolio of Investments for open credit default swaps to buy protection at June 30, 2017. There were no open credit default swaps to sell protection at June 30, 2017.
Interest Rate Swap Contracts. An interest rate swap involves the agreement between counterparties to exchange periodic payments based on interest rates. One payment will be based on a floating rate of a specified interest rate while the other will be a fixed rate. Risks involve the future fluctuations of interest rates in which a Portfolio may make payments that are greater than what a Portfolio received from the counterparty. Other risks include credit, liquidity and market risk.
For the six months ended June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into interest rate swaps in which they pay a floating interest rate and receive a fixed interest rate (“Long interest rate swap”) in order to increase exposure to interest rate risk. Average notional amounts on long interest rate swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $21,957,503 and $255,459,464, respectively.
For the six months ended June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into interest rate swaps in which they pay a fixed interest rate and receives a floating interest rate (“Short interest rate swap”) in order to decrease exposure to interest rate risk. Average notional amounts on short interest rate swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $74,968,174 and $107,527,551, respectively.
The Portfolios enter into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the tables following each respective Portfolio of Investments for open interest rate swaps at June 30, 2017.
18
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
At June 30, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had pledged $1,838,490 and $1,518,772, respectively, in cash collateral for open centrally cleared swaps.
Inflation-linked Swap Contracts. In an inflation-linked swap, one party pays a fixed interest rate on a notional amount while the other party pays a floating rate linked to an inflation index on that same notional amount. The party paying the floating rate pays the inflation adjusted rate multiplied by the notional amount.
For the six months ended June 30, 2017, BlackRock Inflation Protected Bond had entered into inflation-linked swaps in which they pay a floating rate linked to an inflation index and receive a fixed interest rate (“Long inflation-linked swap”). During the six months ended June 30, 2017, BlackRock Inflation Protected Bond had an average notional amount of $33,106,903 on long inflation-linked swaps.
For the six months ended June 30, 2017, BlackRock Inflation Protected Bond had entered into inflation-linked swaps in which they pay a fixed interest rate and receive a floating rate linked to an inflation index (“Short inflation-linked swap”). During the six months ended June 30, 2017, BlackRock Inflation Protected Bond had an average notional amount of $289,191,081 on short inflation-linked swaps.
BlackRock Inflation Protected Bond used inflation-linked swaps as part of its inflation strategy. Please refer to the tables following the Portfolio of Investments for open inflation-linked swaps at June 30, 2017.
L. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
M. Securities Lending. Each Portfolio may temporarily loan up to 33 1/3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender’s fee. Securities lending involves two primary risks: “investment risk” and “borrower default risk.” When lending securities, the Portfolios will receive cash or U.S. government securities as collateral. Investment risk is the risk that the Portfolios will lose money from the investment of the cash collateral received from the borrower. Borrower default risk is the risk that the Portfolios will lose money due to the failure of a borrower to return a borrowed security. Loans are subject to termination at the option of the borrower or the Portfolios. Securities lending may result in leverage. The use of leverage may exaggerate any increase or decrease in the NAV, causing the Portfolios to be more volatile. The use of leverage may increase expenses and increase the impact of the Portfolios’ other risks.
N. Sales Commitments. Sales commitments involve commitments to sell fixed income securities where the unit price and the estimated principal amount are established upon entering into the contract, with the actual principal amount being within a specified range of the estimate. A Portfolio will enter into sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of sale commitments are not received until the contractual settlement date. During the time a sale commitment is outstanding, except for delayed delivery transactions, the Portfolio will maintain, in a segregated account, cash or marketable securities in an amount sufficient to meet the purchase price. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition of an offsetting purchase commitment, the Portfolio realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the Portfolio delivers securities under the commitment, the Portfolio realizes a gain or loss from the sale of the securities, based upon the unit price established at the date the commitment was entered into. Please refer to the table following the Portfolio of Investments for open sales commitments held by Goldman Sachs Bond at June 30, 2017.
O. Structured Products. Goldman Sachs Bond invests in structured products which are specially-designed derivative investments whose principal payments or interest payments are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The terms and conditions of these products may be ‘structured’ by the purchaser (a Portfolio) and the
19
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
borrower issuing the note. The market value of these products will increase or decrease based on the performance of the underlying asset or reference. A Portfolio records the net change in the market value of the structured product on the accompanying Statements of Operations as a change in unrealized appreciation or depreciation on investments. A Portfolio records a realized gain or loss on the Statements of Operations upon the sale or maturity of the structured product. Please refer to the Portfolio of Investments for structured products held by Goldman Sachs Bond at June 30, 2017.
P. When-Issued and Delayed-Delivery Transactions. Goldman Sachs Bond may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The fair value of such is identified in the Portfolio of Investments. Losses may arise due to changes in the fair value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio is required to hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
To mitigate counterparty risk, a Portfolio may enter into Master Securities Forward Transaction Agreements (“MSFTA”) with their respective counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all the when-issued or delayed-delivery transactions with a particular counterparty. Cash collateral, if any, is presented on the Statement of Assets and Liabilities as an asset (Cash pledged as collateral for delayed-delivery or when-issued securities) and a liability (Cash received as collateral for delayed-delivery or when-issued securities). At June 30, 2017, there was no cash collateral pledged or received by the Portfolio for open when-issued or delayed-delivery transactions.
Q. Indemnifications. In the normal course of business, the Trusts may enter into contracts that provide certain indemnifications. The Trusts’ maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the six months ended June 30, 2017, the cost of purchases and the proceeds from the sales of securities, excluding U.S. government and short-term securities, were as follows:
| | | | Purchases
| | Sales
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 92,273,522 | | | $ | 112,472,482 | |
| Goldman Sachs Bond | | | | | 49,258,603 | | | | 35,329,049 | |
U.S. government securities not included above were as follows:
| | | | Purchases
| | Sales
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 213,760,408 | | | $ | 284,236,045 | |
| Goldman Sachs Bond | | | | | 384,602,328 | | | | 309,894,203 | |
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Portfolios have entered into investment management agreements (“Management Agreements”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolios. The Investment Adviser oversees all investment management and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. Each Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
Portfolio
| | Fee
|
|---|
BlackRock Inflation Protected Bond(1) | | 0.55% on the first $200 million; |
| | 0.50% on the next $800 million; and |
| | | 0.40% on the amount in excess of $1 billion |
| Goldman Sachs Bond | | 0.50% on the first $750 million; and |
| | | 0.48% on assets over $750 million |
(1) | | The Investment Adviser has contractually agreed to waive 0.04% of the management fee. Any fees waived or reimbursed are not eligible for recoupment. Termination or modification of this obligation requires approval by the Board. |
The Trusts and the Investment Adviser have entered into sub-advisory agreements with each sub-adviser. These sub-advisers provide investment advice for the Portfolios and are paid by the Investment Adviser based on the average daily net assets of each Portfolio. Subject to such policies as the Board or the Investment Adviser may determine, the sub-advisers manage each Portfolio’s
20
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 4 — INVESTMENT MANAGEMENT FEES (continued)
assets in accordance with that Portfolio’s investment objectives, policies, and limitations.
Portfolio
| | Sub-Adviser
|
| BlackRock Inflation Protected Bond | | BlackRock Financial Management, Inc. |
| Goldman Sachs Bond | | Goldman Sachs Asset Management, L.P. |
NOTE 5 — DISTRIBUTION AND SERVICE FEE
Voya Investors Trust has entered into a shareholder service plan (the “Plan”) for the Class S shares of BlackRock Inflation Protected Bond. The Plan compensates the Distributor for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S shares. Under the Plan, the Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S shares.
Class ADV shares of BlackRock Inflation Protected Bond have a shareholder service and distribution plan. The Portfolio pays the Distributor a shareholder service fee of 0.25% and a distribution fee of 0.35% of the Portfolio’s average daily net assets attributable to Class ADV shares.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At June 30, 2017, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. or affiliated investment companies owned more than 5% of the following Portfolios:
Subsidiary/Affiliated Investment Company
| | Portfolio
| | Percentage
|
| Voya Institutional Trust Company | | BlackRock Inflation Protected Bond | | | 12.19 | % |
| Voya Insurance and Annuity Company | | BlackRock Inflation Protected Bond | | | 37.54 | |
| Voya Retirement Conservative Portfolio | | BlackRock Inflation Protected Bond | | | 13.41 | |
| Voya Retirement Moderate Portfolio | | BlackRock Inflation Protected Bond | | | 15.90 | |
| Voya Solution 2025 Portfolio | | Goldman Sachs Bond | | | 25.44 | |
| Voya Solution Income Portfolio | | BlackRock Inflation Protected Bond | | | 6.85 | |
| | | Goldman Sachs Bond | | | 23.74 | |
Under the 1940 Act, the direct or indirect beneficial owner of more than 25% of the voting securities of a company (including a fund) is presumed to control such company. Companies under common control (e.g., companies with a common owner of greater than 25% of their respective voting securities) are affiliates under the 1940 Act.
The Portfolios have adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the trustee under the DC Plan, the amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). The Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statements of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of a Portfolio, and will not materially affect a Portfolio’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the DC Plan.
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has entered into written expense limitation agreements (“Expense Limitation Agreements”) with the below Portfolios, whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses, extraordinary expenses, and acquired fund fees and expenses to the levels listed below:
Portfolio
| | Maximum Operating Expense Limit (as a percentage of net assets)
|
| BlackRock Inflation Protected Bond | | Class ADV: 1.23% |
| | Class I: 0.63% |
| | | Class S: 0.88% |
| Goldman Sachs Bond | | 0.58% |
The Investment Adviser may, at a later date, recoup from a Portfolio for fees waived and/or other expenses assumed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
As of June 30, 2017, the amounts of waived and/or reimbursed fees that are subject to possible recoupment by the Investment Adviser, and the related expiration dates, are as follows:
| | | | June 30,
| | |
Portfolio
| | | | 2018
| | 2019
| | 2020
| | Total
|
| Goldman Sachs Bond | | | | $ | 15,449 | | | $ | 115,335 | | | $ | 149,846 | | | $ | 280,630 | |
21
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 7 — EXPENSE LIMITATION AGREEMENTS (continued)
The Expense Limitation Agreements are contractual through May 1, 2018 and shall renew automatically for one-year terms. Termination or modification of these obligations requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective May 19, 2017, the line of credit was renewed and each Portfolio, in addition to certain other funds managed by the Investment Adviser, has entered into an unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of the Portfolios or certain other funds managed by the Investment Adviser. The funds to which the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The Portfolios did not utilize the line of credit during the six months ended June 30, 2017.
NOTE 9 — PURCHASED AND WRITTEN OPTIONS
Transactions in purchased options on exchange-traded futures contracts for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | Number of
Contracts
| | Cost
|
| Balance at 12/31/2016 | | | | | 719 | | | $ | 423,745 | |
| Options Purchased | | | | | 6,406 | | | | 2,423,864 | |
| Options Terminated in Closing Sell Transactions | | | | | (4,403 | ) | | | (1,542,178 | ) |
| Options Expired | | | | | (1,954 | ) | | | (859,208 | ) |
| Balance at 06/30/2017 | | | | | 768 | | | $ | 446,223 | |
Transactions in purchased foreign currency options for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | CHF
Notional
| | EUR
Notional
| | GBP
Notional
| | USD
Notional
| | Cost
|
| Balance at 12/31/2016 | | | | | 11,260,000 | | | | 10,520,000 | | | | — | | | | — | | | $ | 355,050 | |
| Options Purchased | | | | | — | | | | 30,790,000 | | | | 78,950,000 | | | | 20,085,000 | | | | 861,557 | |
| Options Terminated in Closing Sell Transactions | | | | | — | | | | — | | | | (13,175,000 | ) | | | — | | | | (230,348 | ) |
| Options Expired | | | | | (11,260,000 | ) | | | (41,310,000 | ) | | | (50,045,000 | ) | | | — | | | | (769,578 | ) |
| Balance at 06/30/2017 | | | | | — | | | | — | | | | 15,730,000 | | | | 20,085,000 | | | $ | 216,681 | |
Transactions in purchased interest rate swaptions for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | USD
Notional
| | EUR
Notional
| | Cost
|
| Balance at 12/31/2016 | | | | | 11,800,000 | | | | 10,100,000 | | | $ | 2,369,669 | |
| Options Purchased | | | | | 20,810,000 | | | | — | | | | 541,388 | |
| Options Terminated in Closing Sell Transactions | | | | | (5,100,000 | ) | | | — | | | | (640,203 | ) |
| Options Expired | | | | | — | | | | — | | | | — | |
| Balance at 06/30/2017 | | | | | 27,510,000 | | | | 10,100,000 | | | $ | 2,270,854 | |
Transactions in written inflation rate caps for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | EUR
Notional
| | Premiums
Received
|
| Balance at 12/31/2016 | | | | | 3,140,000 | | | | $ | 217,411 | |
| Balance at 06/30/2017 | | | | | 3,140,000 | | | | $ | 217,411 | |
Transactions in written options on exchange-traded futures contracts for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | Number of
Contracts
| | Premiums
Received
|
| Balance at 12/31/2016 | | | | | 462 | | | | $ | 254,005 | |
| Options Written | | | | | 3,181 | | | | | 739,488 | |
| Options Terminated in Closing Purchase Transactions | | | | | (2,579 | ) | | | | (713,190 | ) |
| Options Expired | | | | | (296 | ) | | | | (115,276 | ) |
| Balance at 06/30/2017 | | | | | 768 | | | | $ | 165,027 | |
22
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 9 — PURCHASED AND WRITTEN OPTIONS (continued)
Transactions in written foreign currency options for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | CHF
Notional
| | EUR
Notional
| | GBP
Notional
| | USD
Notional
| | Premiums
Received
|
| Balance at 12/31/2016 | | | | | 5,630,000 | | | | 10,520,000 | | | | — | | | | — | | | $ | 97,588 | |
| Options Written | | | | | — | | | | 5,130,000 | | | | 57,875,000 | | | | 20,085,000 | | | | 546,501 | |
| Options Terminated in Closing Sell Transactions | | | | | — | | | | — | | | | (21,960,000 | ) | | | — | | | | (200,623 | ) |
| Options Expired | | | | | (5,630,000 | ) | | | (15,650,000 | ) | | | (28,050,000 | ) | | | — | | | | (338,269 | ) |
| Balance at 06/30/2017 | | | | | — | | | | — | | | | 7,865,000 | | | | 20,085,000 | | | $ | 105,197 | |
Transactions in written interest rate swaptions for BlackRock Inflation Protected Bond during the period ended June 30, 2017 were as follows:
| | | | EUR
Notional
| | GBP
Notional
| | USD
Notional
| | Premiums
Received
|
| Balance at 12/31/2016 | | | | | 10,100,000 | | | | — | | | | 83,600,000 | | | $ | 860,147 | |
| Options Written | | | | | — | | | | 11,030,000 | | | | 44,000,000 | | | | 247,258 | |
| Options Terminated in Closing Purchase Transactions | | | | | — | | | | — | | | | (127,600,000 | ) | | | (575,988 | ) |
| Options Expired | | | | | — | | | | — | | | | — | | | | — | |
| Balance at 06/30/2017 | | | | | 10,100,000 | | | | 11,030,000 | | | | — | | | $ | 531,417 | |
NOTE 10 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
| | Shares
sold
| | Shares
issued in
merger
| | Reinvestment
of
distributions
| | Shares
redeemed
| | Net increase
(decrease)
in shares
outstanding
| | Shares
sold
| | Proceeds
from shares
issued in
merger
| | Reinvestment
of
distributions
| | Shares
redeemed
| | Net increase
(decrease)
|
Year or period ended
| | #
| | #
| | #
| | #
| | #
| | ($)
| | ($)
| | ($)
| | ($)
| | ($)
|
BlackRock Inflation Protected Bond |
Class ADV |
| 6/30/2017 | | | 228,421 | | | | — | | | | 41,329 | | | | (363,083 | ) | | | (93,333 | ) | | | 2,101,992 | | | | — | | | | 381,219 | | | | (3,345,035 | ) | | | (861,824 | ) |
| 12/31/2016 | | | 417,580 | | | | — | | | | — | | | | (898,707 | ) | | | (481,127 | ) | | | 3,855,526 | | | | — | | | | — | | | | (8,253,074 | ) | | | (4,397,548 | ) |
Class I |
| 6/30/2017 | | | 2,341,057 | | | | — | | | | 460,710 | | | | (11,219,421 | ) | | | (8,417,654 | ) | | | 22,462,652 | | | | — | | | | 4,397,495 | | | | (107,500,534 | ) | | | (80,640,387 | ) |
| 12/31/2016 | | | 6,878,057 | | | | — | | | | — | | | | (8,047,014 | ) | | | (1,168,957 | ) | | | 65,259,597 | | | | — | | | | — | | | | (76,426,152 | ) | | | (11,166,555 | ) |
Class S |
| 6/30/2017 | | | 615,466 | | | | — | | | | 229,768 | | | | (2,070,800 | ) | | | (1,225,566 | ) | | | 5,822,717 | | | | — | | | | 2,176,392 | | | | (19,631,052 | ) | | | (11,631,943 | ) |
| 12/31/2016 | | | 2,528,388 | | | | — | | | | — | | | | (4,566,921 | ) | | | (2,038,533 | ) | | | 24,042,312 | | | | — | | | | — | | | | (43,081,206 | ) | | | (19,038,894 | ) |
Goldman Sachs Bond |
| 6/30/2017 | | | 3,431,993 | | | | — | | | | — | | | | (5,424,179 | ) | | | (1,992,186 | ) | | | 34,972,807 | | | | — | | | | — | | | | (55,267,824 | ) | | | (20,295,017 | ) |
| 12/31/2016 | | | 9,917,063 | | | | — | | | | 441,054 | | | | (6,536,981 | ) | | | 3,821,136 | | | | 100,578,739 | | | | — | | | | 4,529,620 | | | | (66,578,679 | ) | | | 38,529,680 | |
NOTE 11 — SECURITIES LENDING
Under an agreement with BNY, the Portfolios can lend its securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash and U.S. government securities. The collateral must be equal to at least 105% of the market value of non-U.S. securities loaned and 102% of the market value of U.S. securities loaned. The market value of the loaned securities is determined at Market Close of a Portfolio at their last sale price or official closing price on the principal exchange or system on which they are traded and any additional collateral is delivered to a Portfolio on the next business day. The cash collateral received is invested in approved investments as defined in the Securities Lending Agreement with BNY (the “Agreement”). The Portfolios bear the risk of loss with respect to the investment of collateral with the following exception: BNY provides the Portfolios indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements
The cash collateral is invested in overnight repurchase agreements that are collateralized at 102% with securities issued or fully guaranteed by the U.S. Treasury; U.S. government or any agency, instrumentality or authority of the U.S. government. The securities purchased with cash collateral received are reflected in the Portfolio of Investments under Securities Lending Collateral.
23
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 11 — SECURITIES LENDING (continued)
Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. The Agreement contains certain guarantees by BNY in the event of counterparty default and/or a borrower’s failure to return a loaned security; however, there would be a potential loss to a Portfolio in the event a Portfolio is delayed or prevented from exercising its right to dispose of thecollateral. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a Portfolio.
The following is a summary of Goldman Sachs Bond’s securities lending agreements by counterparty which are subject to offset under the Agreement as of June 30, 2017:
Goldman Sachs Bond
Counterparty
| | | | Securities
Loaned at
Value
| | Cash
Collateral
Received(1)
| | Net
Amount
|
| Citigroup Global Markets Inc. | | | | $ | 201,469 | | | $ | (201,469 | ) | | $ | — | |
| Deutsche Bank Securities Inc. | | | | | 50,036 | | | | (50,036 | ) | | | — | |
| J.P. Morgan Securities LLC | | | | | 141,307 | | | | (141,307 | ) | | | — | |
| SG Americas Securities, LLC | | | | | 89,461 | | | | (89,461 | ) | | | — | |
| Total | | | | $ | 482,273 | | | $ | (482,273 | ) | | $ | — | |
(1) | | Collateral with a fair value of $495,661 has been received in connection with the above securities lending transactions. Excess collateral received from the individual counterparty is not shown for financial reporting purposes. |
NOTE 12 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
The tax composition of dividends and distributions to shareholders was as follows:
| | | | Six Months Ended June 30, 2017
| | Year Ended December 31, 2016
|
| | | | Ordinary
Income
| | Ordinary
Income
|
| BlackRock Inflation Protected Bond | | | | $ | 6,955,106 | | | $ | — | |
| Goldman Sachs Bond | | | | | — | | | | 4,529,620 | |
The tax-basis components of distributable earnings as of December 31, 2016 were:
| | | | | | | | Capital Loss Carryforwards
|
|---|
| | | | Undistributed
Ordinary
Income
| | Unrealized
Appreciation/
(Depreciation)
| | Amount
| | Character
| | Expiration
|
|---|
| BlackRock Inflation Protected Bond | | | | | $3,104,390 | | | | $(617,017 | ) | | $ | (13,615,366 | ) | | | Short-term | | | | None | |
| | | | | | | | | | | | | | (63,774,435 | ) | | | Long-term | | | | None | |
| | | | | | | | | | | | | $ | (77,389,801 | ) | | | | | | | | |
| Goldman Sachs Bond | | | | | 4,790,274 | | | | (1,398,766 | ) | | $ | (1,507,263 | ) | | | Short-term | | | | None | |
| | | | | | | | | | | | | | (940,030 | ) | | | Long-term | | | | None | |
| | | | | | | | | | | | | $ | (2,447,293 | ) | | | | | | | | |
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state (BlackRock Inflation Protected Bond).
As of June 30, 2017, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. The earliest tax year that remains subject to examination by these jurisdictions is 2012.
24
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2017 (UNAUDITED) (CONTINUED)
NOTE 13 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2017, the following Portfolio declared net investment income dividends of:
| | | | | Per Share
Amount
| | | Payable
Date
| | Record
Date
|
|---|
Goldman Sachs Bond | | | | | $0.2340 | | | July 17, 2017 | | July 13, 2017 |
The Portfolios have evaluated events occurring after the Statements of Assets and Liabilities date (“subsequent events”) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than the above, no such subsequent events were identified.
25
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) |
Investment Type Allocation
as of June 30, 2017
(as a percentage of net assets)
| U.S. Treasury Obligations | | | | | 53.4 | % |
| Corporate Bonds/Notes | | | | | 23.9 | % |
| U.S. Government Agency Obligations | | | | | 14.3 | % |
| Foreign Government Bonds | | | | | 5.0 | % |
| Purchased Options | | | | | 0.3 | % |
| Assets in Excess of Other Liabilities* | | | | | 3.1 | % |
| Net Assets | | | | | 100.0 | % |
| | | | | | | |
| * Includes short-term investments. |
Portfolio holdings are subject to change daily.
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: 23.9% |
| | |
| 845,000 | | | | | | American Honda Finance Corp., 2.000%, 02/14/20 | | $ | 847,115 | | | | 0.2 | |
| 370,000 | | | | # | | BMW US Capital LLC, 1.500%, 04/11/19 | | | 368,649 | | | | 0.1 | |
| 795,000 | | | | # | | BMW US Capital LLC, 2.150%, 04/06/20 | | | 799,236 | | | | 0.1 | |
| 530,000 | | | | # | | Nissan Motor Acceptance Corp., 1.550%, 09/13/19 | | | 524,227 | | | | 0.1 | |
| 960,000 | | | | # | | Nissan Motor Acceptance Corp., 2.000%, 03/08/19 | | | 961,003 | | | | 0.2 | |
| 755,000 | | | | # | | Nissan Motor Acceptance Corp., 2.250%, 01/13/20 | | | 757,077 | | | | 0.2 | |
| 885,000 | | | | | | PACCAR Financial Corp., 1.300%, 05/10/19 | | | 878,232 | | | | 0.2 | |
| | | | | | | | | | 5,135,539 | | | | 1.1 | |
| |
| | Consumer, Non-cyclical: 1.7% |
| 2,200,000 | | | | | | Gilead Sciences, Inc., 1.850%, 09/04/18 | | | 2,205,617 | | | | 0.5 | |
| 3,000,000 | | | | | | Gilead Sciences, Inc., 2.350%, 02/01/20 | | | 3,029,562 | | | | 0.6 | |
| 2,545,000 | | | | | | Medtronic Global Holdings SCA, 1.700%, 03/28/19 | | | 2,547,351 | | | | 0.6 | |
| | | | | | | | | | 7,782,530 | | | | 1.7 | |
| |
| | |
| 615,000 | | | | | | Shell International Finance BV, 1.375%, 09/12/19 | | | 610,739 | | | | 0.1 | |
| |
| | |
| 595,000 | | | | # | | AIG Global Funding, 2.150%, 07/02/20 | | | 594,786 | | | | 0.1 | |
| 1,385,000 | | | | | | American Express Credit Corp., 2.200%, 03/03/20 | | | 1,392,016 | | | | 0.3 | |
| 3,000,000 | | | | | | Australia & New Zealand Banking Group Ltd./New York NY, 2.050%, 09/23/19 | | | 3,002,439 | | | | 0.7 | |
| 4,250,000 | | | | | | Bank of America NA, 2.050%, 12/07/18 | | | 4,270,715 | | | | 0.9 | |
| |
CORPORATE BONDS/NOTES: (continued) |
| | |
| 1,500,000 | | | | | | Bank of New York Mellon Corp./The, 2.150%, 02/24/20 | | $ | 1,509,108 | | | | 0.3 | |
| 2,850,000 | | | | | | Bank of Nova Scotia/The, 2.050%, 06/05/19 | | | 2,858,111 | | | | 0.6 | |
| 2,000,000 | | | | | | BNP Paribas SA, 2.400%, 12/12/18 | | | 2,017,424 | | | | 0.5 | |
| 5,000,000 | | | | | | Branch Banking & Trust Co., 1.450%, 05/10/19 | | | 4,962,695 | | | | 1.1 | |
| 3,700,000 | | | | | | Branch Banking & Trust Co., 2.300%, 10/15/18 | | | 3,724,294 | | | | 0.8 | |
| 2,330,000 | | | | | | Citibank NA, 1.728%–2.000%, 03/20/19–06/12/20 | | | 2,339,079 | | | | 0.5 | |
| 1,860,000 | | | | # | | Commonwealth Bank of Australia, 2.250%, 03/10/20 | | | 1,864,600 | | | | 0.4 | |
| 4,000,000 | | | | | | Credit Suisse AG/New York NY, 2.300%, 05/28/19 | | | 4,027,588 | | | | 0.9 | |
| 2,000,000 | | | | # | | Danske Bank A/S, 1.650%, 09/06/19 | | | 1,982,086 | | | | 0.4 | |
| 1,110,000 | | | | | | Fifth Third Bank/Cincinnati OH, 1.625%, 09/27/19 | | | 1,099,578 | | | | 0.2 | |
| 3,000,000 | | | | | | Fifth Third Bank/Cincinnati OH, 2.375%, 04/25/19 | | | 3,020,847 | | | | 0.7 | |
| 8,050,000 | | | | | | JPMorgan Chase & Co., 2.350%, 01/28/19 | | | 8,113,418 | | | | 1.8 | |
| 2,000,000 | | | | # | | National Australia Bank Ltd., 2.250%, 07/01/19 | | | 2,012,976 | | | | 0.4 | |
| 700,000 | | | | | | National Australia Bank Ltd./New York, 2.125%, 05/22/20 | | | 700,478 | | | | 0.2 | |
| 2,540,000 | | | | # | | New York Life Global Funding, 2.000%, 04/09/20 | | | 2,540,498 | | | | 0.6 | |
| 1,970,000 | | | | # | | Pricoa Global Funding I, 1.450%, 09/13/19 | | | 1,944,770 | | | | 0.4 | |
| 630,000 | | | | # | | Principal Life Global Funding II, 1.500%, 04/18/19 | | | 624,375 | | | | 0.1 | |
| 3,000,000 | | | | | | Royal Bank of Canada, 1.500%, 07/29/19 | | | 2,977,983 | | | | 0.7 | |
| 2,000,000 | | | | | | Skandinaviska Enskilda Banken AB, 1.500%, 09/13/19 | | | 1,978,118 | | | | 0.4 | |
| 2,250,000 | | | | | | Sumitomo Mitsui Banking Corp., 1.762%–2.450%, 10/19/18–01/16/20 | | | 2,262,681 | | | | 0.5 | |
| 1,510,000 | | | | # | | Sumitomo Mitsui Trust Bank Ltd, 2.050%, 03/06/19 | | | 1,510,409 | | | | 0.3 | |
| 2,000,000 | | | | | | Svenska Handelsbanken AB, 2.250%, 06/17/19 | | | 2,012,136 | | | | 0.4 | |
| 2,500,000 | | | | | | Toronto-Dominion Bank, 1.950%, 01/22/19 | | | 2,511,238 | | | | 0.6 | |
| 295,000 | | | | # | | UBS AG/London, 2.200%, 06/08/20 | | | 295,424 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
26
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: (continued) |
| | |
| 3,200,000 | | | | | | UBS AG/Stamford CT, 2.350%, 03/26/20 | | $ | 3,220,032 | | | | 0.7 | |
| 4,700,000 | | | | | | US Bank NA/Cincinnati OH, 2.000%, 01/24/20 | | | 4,721,634 | | | | 1.0 | |
| 700,000 | | | | | | Wells Fargo & Co., 2.150%, 01/15/19 | | | 703,685 | | | | 0.1 | |
| 2,215,000 | | | | | | Wells Fargo Bank NA, 1.750%, 05/24/19 | | | 2,211,400 | | | | 0.5 | |
| 3,500,000 | | | | | | Wells Fargo Bank NA, 2.150%, 12/06/19 | | | 3,517,612 | | | | 0.8 | |
| 1,255,000 | | | | | | Westpac Banking Corp., 1.600%, 08/19/19 | | | 1,245,693 | | | | 0.3 | |
| 325,000 | | | | | | Other Securities | | | 322,707 | | | | 0.1 | |
| | | | | | | | | | 84,092,633 | | | | 18.4 | |
| |
| | |
| 635,000 | | | | | | John Deere Capital Corp., 1.950%, 06/22/20 | | | 636,940 | | | | 0.1 | |
| 795,000 | | | | # | | Siemens Financieringsmaatschappij NV, 2.200%, 03/16/20 | | | 800,980 | | | | 0.2 | |
| | | | | | | | | | 1,437,920 | | | | 0.3 | |
| |
| | |
| 2,000,000 | | | | | | Oracle Corp., 2.250%, 10/08/19 | | | 2,025,398 | | | | 0.4 | |
| 4,355,000 | | | | | | Qualcomm, Inc., 1.850%, 05/20/19 | | | 4,366,306 | | | | 1.0 | |
| | | | | | | | | | 6,391,704 | | | | 1.4 | |
| |
| | |
| 3,700,000 | | | | | | Duke Energy Carolinas LLC, 7.000%, 11/15/18 | | | 3,963,566 | | | | 0.9 | |
| |
| | | | | | | Total Corporate Bonds/Notes
(Cost $109,376,210) | | | 109,414,631 | | | | 23.9 | |
| |
FOREIGN GOVERNMENT BONDS: 5.0% | | |
| EUR 835,000 | | | | # | | French Republic Government Bond OAT, 2.000%, 05/25/48 | | | 986,920 | | | | 0.2 | |
| 2,120,000 | | | | | | Israel Government AID Bond, 5.500%, 12/04/23 | | | 2,522,293 | | | | 0.5 | |
| 2,500,000 | | | | | | Israel Government AID Bond, 5.500%, 04/26/24 | | | 2,986,323 | | | | 0.7 | |
| EUR 1,886,392 | | | | | | Italy Buoni Poliennali Del Tesoro, 1.250%, 10/27/20 | | | 2,262,791 | | | | 0.5 | |
| EUR 6,073,777 | | | | | | Italy Buoni Poliennali Del Tesoro, 1.650%, 04/23/20 | | | 7,274,324 | | | | 1.6 | |
| EUR 1,195,000 | | | | # | | Italy Buoni Poliennali Del Tesoro, 2.700%, 03/01/47 | | | 1,219,171 | | | | 0.3 | |
| NZD 4,959,000 | | | | | | New Zealand Government Bond, 2.500%–3.000%, 09/20/30–09/20/35 | | | 4,118,407 | | | | 0.9 | |
| EUR 607,000 | | | | # | | Spain Government Bond, 5.150%, 10/31/44 | | | 1,008,843 | | | | 0.2 | |
| 808,511 | | | | | | Other Securities | | | 585,798 | | | | 0.1 | |
| |
| | | | | | | Total Foreign Government Bonds
(Cost $22,187,323) | | | 22,964,870 | | | | 5.0 | |
| |
U.S. TREASURY OBLIGATIONS: 53.4% |
| | Treasury Inflation Indexed Protected Securities: 53.4% |
| 21,265,479 | | | | | | 0.125%, due 04/15/22 | | $ | 21,170,316 | | | | 4.6 | |
| 8,130,350 | | | | | | 0.125%, due 07/15/24 | | | 7,989,028 | | | | 1.8 | |
| 13,307,465 | | | | | | 0.125%, due 07/15/26 | | | 12,841,465 | | | | 2.8 | |
| 17,906,631 | | | | | | 0.250%, due 01/15/25 | | | 17,594,626 | | | | 3.8 | |
| 12,022,859 | | | | | | 0.375%, due 07/15/25 | | | 11,937,016 | | | | 2.6 | |
| 6,868,252 | | | | | | 0.375%, due 01/15/27 | | | 6,748,387 | | | | 1.5 | |
| 16,103,200 | | | | | | 0.625%, due 01/15/26 | | | 16,212,316 | | | | 3.5 | |
| 2,564,350 | | | | | | 0.625%, due 02/15/43 | | | 2,363,394 | | | | 0.5 | |
| 12,428,168 | | | | | | 0.750%, due 02/15/42 | | | 11,845,598 | | | | 2.6 | |
| 7,642,624 | | | | | | 0.750%, due 02/15/45 | | | 7,180,872 | | | | 1.6 | |
| 6,174,052 | | | | | | 0.875%, due 02/15/47 | | | 5,997,968 | | | | 1.3 | |
| 7,889,564 | | | | | | 1.000%, due 02/15/46 | | | 7,891,489 | | | | 1.7 | |
| 10,240,094 | | | | | | 1.375%, due 02/15/44 | | | 11,154,883 | | | | 2.4 | |
| 12,972,261 | | | | S | | 1.750%, due 01/15/28 | | | 14,468,935 | | | | 3.2 | |
| 6,474,160 | | | | | | 2.000%, due 01/15/26 | | | 7,258,582 | | | | 1.6 | |
| 8,791,827 | | | | | | 2.125%, due 02/15/40 | | | 10,948,946 | | | | 2.4 | |
| 8,224,467 | | | | | | 2.125%, due 02/15/41 | | | 10,289,474 | | | | 2.3 | |
| 7,668,575 | | | | | | 2.375%, due 01/15/25 | | | 8,739,054 | | | | 1.9 | |
| 8,247,629 | | | | | | 2.375%, due 01/15/27 | | | 9,616,109 | | | | 2.1 | |
| 8,359,599 | | | | | | 2.500%, due 01/15/29 | | | 10,059,541 | | | | 2.2 | |
| 3,967,488 | | | | | | 3.375%, due 04/15/32 | | | 5,456,403 | | | | 1.2 | |
| 10,174,616 | | | | | | 3.625%, due 04/15/28 | | | 13,301,886 | | | | 2.9 | |
| 9,873,560 | | | | | | 3.875%, due 04/15/29 | | | 13,416,559 | | | | 2.9 | |
| |
| | | | | | | Total U.S. Treasury Obligations
(Cost $245,852,730) | | | 244,482,847 | | | | 53.4 | |
| |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 14.3% |
| | Federal Home Loan Bank: 4.0% |
| 12,810,000 | | | | | | 1.375%, due 02/18/21 | | | 12,677,544 | | | | 2.8 | |
| 5,255,000 | | | | | | 2.875%, due 09/13/24 | | | 5,453,240 | | | | 1.2 | |
| | | | | | | | | | 18,130,784 | | | | 4.0 | |
| |
| | Federal Home Loan Mortgage Corporation: 2.5%## |
| 1,515,000 | | | | | | 1.375%, due 05/01/20 | | | 1,505,254 | | | | 0.3 | |
| 9,970,000 | | | | | | 2.375%, due 01/13/22 | | | 10,185,073 | | | | 2.2 | |
| | | | | | | | | | 11,690,327 | | | | 2.5 | |
| |
| | Federal National Mortgage Association: 5.7%## |
| 8,350,000 | | | | | | 1.375%, due 02/26/21 | | | 8,251,103 | | | | 1.8 | |
| 10,140,000 | | | | | | 1.875%, due 12/28/20 | | | 10,201,915 | | | | 2.2 | |
| 4,830,000 | | | | | | 1.875%, due 09/24/26 | | | 4,586,177 | | | | 1.0 | |
| 3,120,000 | | | | | | 2.625%, due 09/06/24 | | | 3,204,430 | | | | 0.7 | |
| | | | | | | | | | 26,243,625 | | | | 5.7 | |
| |
| | Other U.S. Agency Obligations: 2.1% |
| 9,730,000 | | | | | | 1.300%, due 12/14/18 | | | 9,722,936 | | | | 2.1 | |
| |
| | | | | | | Total U.S. Government Agency Obligations
(Cost $65,401,512) | | | 65,787,672 | | | | 14.3 | |
See Accompanying Notes to Financial Statements
27
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
# of
Contracts
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
PURCHASED OPTIONS: 0.3% |
| | Exchange-Traded Options: 0.0% |
| 456 | | | | @ | | Call on U.S. Treasury 10-Year Note, Strike @ 127.000, Exp. 07/21/17 | | $ | 35,627 | | | | 0.0 | |
| 312 | | | | @ | | Call on U.S. Treasury 10-Year Note, Strike @ 126.500, Exp. 07/21/17 | | | 48,750 | | | | 0.0 | |
| | | | | | | | | | 84,377 | | | | 0.0 | |
| |
| | Options on Currencies: 0.0% |
| 7,865,000 | | | | @ | | Call GBP vs. Put USD, Strike @ 1.340, Exp. 08/01/17 Counterparty: Deutsche Bank AG | | | 15,178 | | | | 0.0 | |
| 10,960,000 | | | | @ | | Call USD vs. Put JPY, Strike @ 115.000, Exp. 07/07/17 Counterparty: Deutsche Bank AG | | | 1,127 | | | | 0.0 | |
| 9,125,000 | | | | @ | | Call USD vs. Put MXN, Strike @ 19.000, Exp. 09/21/17 Counterparty: Deutsche Bank AG | | | 102,724 | | | | 0.0 | |
| 7,865,000 | | | | @ | | Put GBP vs. Call USD, Strike @ 1.248, Exp. 08/01/17 Counterparty: Goldman Sachs International | | | 5,125 | | | | 0.0 | |
| | | | | | | | | | 124,154 | | | | 0.0 | |
| |
| | OTC Interest Rate Swaptions: 0.3% |
| 10,100,000 | | | | @ | | Put on 20-year Interest Rate Swap, Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 2.500%, Exp. 06/08/22 Counterparty: Deutsche Bank AG | | | 592,350 | | | | 0.1 | |
| 1,700,000 | | | | @ | | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 2.680%, Exp. 01/12/21 Counterparty: Deutsche Bank AG | | | 172,091 | | | | 0.1 | |
| 3,015,000 | | | | @ | | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 3.040%, Exp. 06/17/19 Counterparty: Deutsche Bank AG | | | 134,363 | | | | 0.0 | |
| 2,995,000 | | | | @ | | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 3.540%, Exp. 06/17/19 Counterparty: Deutsche Bank AG | | | 64,678 | | | | 0.0 | |
| |
PURCHASED OPTIONS: (continued) |
| | OTC Interest Rate Swaptions: (continued) |
| 5,000,000 | | | | @ | | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 4.000%, Exp. 11/21/17 Counterparty: Barclays Bank PLC | | $ | 461 | | | | 0.0 | |
| 14,800,000 | | | | @ | | Put on 5-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 3.25%, Exp. 01/05/22 Counterparty: Deutsche Bank AG | | | 265,083 | | | | 0.1 | |
| | | | | | | | | | 1,229,026 | | | | 0.3 | |
| |
| | | | | | | Total Purchased Options
(Cost $2,933,758) | | | 1,437,557 | | | | 0.3 | |
| |
| | | | | | | Total Long-Term Investments
(Cost $445,751,533) | | | 444,087,577 | | | | 96.9 | |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
SHORT-TERM INVESTMENTS: 2.8% |
| Corporate Bonds/Notes: 0.2% |
| 1,000,000 | | | | # | | Metropolitan Life Global Funding I, 1.500%, 01/10/18
(Cost $999,060) | | | 999,825 | | | | 0.2 | |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
| 11,810,638 | | | | | | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.860%††
(Cost $11,810,638) | | | 11,810,638 | | | | 2.6 | |
| |
| | | | | | | Total Short-Term Investments
(Cost $12,809,698) | | | 12,810,463 | | | | 2.8 | |
| |
| | | | | | | Total Investments in Securities
(Cost $458,561,231) | | $ | 456,898,040 | | | | 99.7 | |
| | | | | | | Assets in Excess of Other Liabilities | | | 1,249,520 | | | | 0.3 | |
| | | | | | | Net Assets | | $ | 458,147,560 | | | | 100.0 | |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
| † | | Unless otherwise indicated, principal amount is shown in USD. |
| †† | | Rate shown is the 7-day yield as of June 30, 2017. |
See Accompanying Notes to Financial Statements
28
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
| # | | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
| ## | | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
| @ | | Non-income producing security. |
| S | | All or a portion of this security has been pledged as collateral in connection with open futures contracts. Please refer to Note 2 for additional details. |
| EUR | | EU Euro |
| GBP | | British Pound |
| NZD | | New Zealand Dollar |
| | Cost for federal income tax purposes is $459,013,978. |
| Net unrealized depreciation consists of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 2,478,187 | |
| Gross Unrealized Depreciation | | | | | (4,594,125 | ) |
| Net Unrealized Depreciation | | | | $ | (2,115,938 | ) |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
June 30, 2017
|
Asset Table | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | | | |
| Purchased Options | | | | $ | 84,377 | | | $ | 1,353,180 | | | $ | — | | | $ | 1,437,557 | |
| Corporate Bonds/Notes | | | | | — | | | | 109,414,631 | | | | — | | | | 109,414,631 | |
| Short-Term Investments | | | | | 11,810,638 | | | | 999,825 | | | | — | | | | 12,810,463 | |
| U.S. Government Agency Obligations | | | | | — | | | | 65,787,672 | | | | — | | | | 65,787,672 | |
| U.S. Treasury Obligations | | | | | — | | | | 244,482,847 | | | | — | | | | 244,482,847 | |
| Foreign Government Bonds | | | | | — | | | | 22,964,870 | | | | — | | | | 22,964,870 | |
| Total Investments, at fair value | | | | $ | 11,895,015 | | | $ | 445,003,025 | | | $ | — | | | $ | 456,898,040 | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | | — | | | | 709,004 | | | | — | | | | 709,004 | |
| Forward Foreign Currency Contracts | | | | | — | | | | 58,101 | | | | — | | | | 58,101 | |
| Futures | | | | | 374,712 | | | | — | | | | — | | | | 374,712 | |
| OTC Swaps | | | | | — | | | | 3,207,226 | | | | — | | | | 3,207,226 | |
| Total Assets | | | | $ | 12,269,727 | | | $ | 448,977,356 | | | $ | — | | | $ | 461,247,083 | |
Liabilities Table | | | | | | | | | | | | | | | | | | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | $ | — | | | $ | (301,696 | ) | | $ | — | | | $ | (301,696 | ) |
| Forward Foreign Currency Contracts | | | | | — | | | | (383,709 | ) | | | — | | | | (383,709 | ) |
| Futures | | | | | (820,518 | ) | | | — | | | | — | | | | (820,518 | ) |
| OTC Swaps | | | | | — | | | | (866,672 | ) | | | — | | | | (866,672 | ) |
| Written Options | | | | | (28,877 | ) | | | (165,319 | ) | | | — | | | | (194,196 | ) |
| Total Liabilities | | | | $ | (849,395 | ) | | $ | (1,717,396 | ) | | $ | — | | | $ | (2,566,791 | ) |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
| | | |
| + | | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
At June 30, 2017, the following forward foreign currency contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement
Date
| | | Unrealized
Appreciation
(Depreciation)
| |
|---|
| USD 103,076 | | | | GBP 81,000 | | ANZ Bank | | | 07/06/17 | | | $ | (2,430 | ) |
| USD 2,276,292 | | | | EUR 2,017,000 | | Barclays Bank PLC | | | 07/06/17 | | | | (27,689 | ) |
| NZD 5,741,000 | | | | USD 4,211,709 | | Citibank N.A. | | | 07/06/17 | | | | (4,708 | ) |
| USD 4,209,607 | | | | NZD 5,741,000 | | Citibank N.A. | | | 08/03/17 | | | | 5,009 | |
| USD 284,305 | | | | NZD 402,986 | | Credit Suisse International | | | 07/06/17 | | | | (10,992 | ) |
| EUR 11,650,000 | | | | USD 13,298,475 | | Deutsche Bank AG | | | 07/06/17 | | | | 7,599 | |
| EUR 50,000 | | | | USD 55,991 | | Deutsche Bank AG | | | 07/06/17 | | | | 1,123 | |
| GBP 150,000 | | | | USD 191,814 | | Deutsche Bank AG | | | 07/06/17 | | | | 3,568 | |
| USD 9,335,452 | | | | EUR 8,297,000 | | Deutsche Bank AG | | | 07/06/17 | | | | (142,055 | ) |
See Accompanying Notes to Financial Statements
29
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement
Date
| | | Unrealized
Appreciation
(Depreciation)
| |
|---|
| USD 1,529,387 | | | | GBP 1,189,000 | | Deutsche Bank AG | | | 07/06/17 | | | | (19,341 | ) |
| USD 13,317,488 | | | | EUR 11,650,000 | | Deutsche Bank AG | | | 08/03/17 | | | | (11,117 | ) |
| USD 349,625 | | | | EUR 312,000 | | Goldman Sachs International | | | 07/06/17 | | | $ | (6,767 | ) |
| USD 667,309 | | | | EUR 598,000 | | Goldman Sachs International | | | 07/06/17 | | | | (15,775 | ) |
| USD 11,177 | | | | EUR 10,000 | | Goldman Sachs International | | | 07/06/17 | | | | (246 | ) |
| USD 857,818 | | | | GBP 665,864 | | Goldman Sachs International | | | 07/06/17 | | | | (9,501 | ) |
| GBP 963,000 | | | | USD 1,231,321 | | HSBC Bank PLC | | | 07/06/17 | | | | 23,032 | |
| USD 3,817,131 | | | | NZD 5,374,000 | | JPMorgan Chase Bank N.A. | | | 07/06/17 | | | | (120,783 | ) |
| GBP 433,000 | | | | USD 552,516 | | State Street Bank and Trust Co. | | | 07/06/17 | | | | 11,487 | |
| GBP 100,000 | | | | USD 129,509 | | State Street Bank and Trust Co. | | | 07/06/17 | | | | 745 | |
| GBP 220,000 | | | | USD 281,023 | | State Street Bank and Trust Co. | | | 07/06/17 | | | | 5,538 | |
| USD 916,592 | | | | GBP 705,000 | | State Street Bank and Trust Co. | | | 08/03/17 | | | | (2,597 | ) |
| USD 583,779 | | | | EUR 519,563 | | The Northern Trust Company | | | 07/06/17 | | | | (9,708 | ) |
| | | | | | | | | | | | | $ | (325,608 | ) |
At June 30, 2017, the following futures contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Contract Description
| | | | Number
of Contracts
| | Expiration
Date
| | Notional
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
Long Contracts
| | | | | | | | | | | | | | | | | | |
| Euro-Buxl® 30-year German Government Bond | | | | | 20 | | | | 09/07/17 | | | $ | 3,735,295 | | | $ | (25,291 | ) |
| Euro-Schatz | | | | | 93 | | | | 09/07/17 | | | | 11,880,725 | | | | (13,210 | ) |
| U.S. Treasury 10-Year Note | | | | | 410 | | | | 09/20/17 | | | | 51,467,812 | | | | (242,181 | ) |
| U.S. Treasury 5-Year Note | | | | | 612 | | | | 09/29/17 | | | | 72,115,595 | | | | (182,135 | ) |
| | | | | | | | | | | | | $ | 139,199,427 | | | $ | (462,817 | ) |
Short Contracts | | | | | | | | | | | | | | | | | | |
| 90-Day Eurodollar | | | | | (485 | ) | | | 03/18/19 | | | $ | (119,000,813 | ) | | $ | (143,977 | ) |
| Australia 10-Year Bond | | | | | (10 | ) | | | 09/15/17 | | | | (993,488 | ) | | | 14,466 | |
| Euro-Bund | | | | | (59 | ) | | | 09/07/17 | | | | (10,907,931 | ) | | | 84,729 | |
| Euro-OAT | | | | | (17 | ) | | | 09/07/17 | | | | (2,882,975 | ) | | | 49,378 | |
| Long Gilt | | | | | (38 | ) | | | 09/27/17 | | | | (6,214,879 | ) | | | 121,883 | |
| Long-Term Euro-BTP | | | | | (11 | ) | | | 09/07/17 | | | | (1,697,855 | ) | | | 30,102 | |
| Short-Term Euro-BTP | | | | | (91 | ) | | | 09/07/17 | | | | (11,711,492 | ) | | | (27,175 | ) |
| U.S. Treasury 2-Year Note | | | | | (562 | ) | | | 09/29/17 | | | | (121,453,472 | ) | | | 74,154 | |
| U.S. Treasury Long Bond | | | | | (40 | ) | | | 09/20/17 | | | | (6,147,500 | ) | | | (59,665 | ) |
| U.S. Treasury Ultra 10-Year Note | | | | | (8 | ) | | | 09/20/17 | | | | (1,078,500 | ) | | | (1,608 | ) |
| U.S. Treasury Ultra Long Bond | | | | | (103 | ) | | | 09/20/17 | | | | (17,085,125 | ) | | | (125,276 | ) |
| | | | | | | | | | | | | $ | (299,174,030 | ) | | $ | 17,011 | |
At June 30, 2017, the following centrally cleared interest rate swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive
Floating Rate
| | | | Floating Rate Index
| | Fixed Rate
| | Maturity
Date
| | Notional Amount
| | Fair
Value
| | | Unrealized
Appreciation/
(Depreciation)
| |
|---|
| Pay | | | | 3-month CAD-CDOR | | 1.414% | | 06/30/2019 | | CAD 23,835,000 | | $ | (8,900 | ) | | $ | (9,201 | ) |
| Pay | | | | 6-month GBP-LIBOR | | 1.405 | | 05/26/2047 | | GBP 2,395,000 | | | (147,826 | ) | | | (147,736 | ) |
| Pay | | | | 3-month USD-LIBOR | | 1.814 | | 11/30/2021 | | USD 5,800,000 | | | (28,533 | ) | | | (28,635 | ) |
| Pay | | | | 3-month USD-LIBOR | | 2.680 | | 01/07/2027 | | USD 5,160,000 | | | 11,363 | | | | 11,274 | |
| Receive | | | | 3-month CAD-CDOR | | 1.392 | | 06/29/2019 | | CAD 21,429,000 | | | (14,342 | ) | | | (14,613 | ) |
| Receive | | | | 3-month CAD-CDOR | | 1.392 | | 06/29/2019 | | CAD 26,191,000 | | | (17,529 | ) | | | (17,861 | ) |
| Receive | | | | 6-month GBP-LIBOR | | 0.740 | | 06/15/2022 | | GBP 4,085,000 | | | 61,757 | | | | 60,976 | |
| Receive | | | | 6-month GBP-LIBOR | | 1.608 | | 02/15/2047 | | GBP 8,430,000 | | | (21,841 | ) | | | 7,037 | |
| Receive | | | | 3-month USD-LIBOR | | 1.862 | | 01/09/2020 | | USD 1,850,000 | | | (3,316 | ) | | | (3,346 | ) |
| Receive | | | | 1-day Overnight Fed Funds | | 1.560 | | 11/30/2021 | | USD 6,550,000 | | | 35,737 | | | | 35,622 | |
| Receive | | | | 3-month USD-LIBOR | | 1.800 | | 11/30/2021 | | USD 22,300,000 | | | 122,360 | | | | 121,969 | |
| Receive | | | | 3-month USD-LIBOR | | 2.190 | | 02/15/2027 | | USD 3,310,000 | | | 32,135 | | | | 32,071 | |
| Receive | | | | 3-month USD-LIBOR | | 1.729 | | 08/31/2046 | | USD 630,000 | | | (112,690 | ) | | | (1,502 | ) |
| | | | | | | | | | | | | $ | (91,625 | ) | | $ | 46,055 | |
See Accompanying Notes to Financial Statements
30
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
At June 30, 2017, the following centrally cleared inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive
Floating Rate
| | | | Floating Rate Index
| | Fixed Rate
| | Maturity
Date
| | Notional Amount
| | | Fair Value
| | | | Unrealized
Appreciation/
(Depreciation)
| |
|---|
Pay | | | | Eurostat Eurozone HICP ex
Tobacco NSA (CPTFEMU) | | 1.832% | | 05/15/2047 | | EUR 1,380,000 | | $ | 1,218 | | | $ | 454 | |
Pay | | | | Eurostat Eurozone HICP ex
Tobacco NSA (CPTFEMU) | | 1.750 | | 06/15/2047 | | EUR 1,230,000 | | | (40,460 | ) | | | (40,223 | ) |
| Pay | | | | U.K. RPI All Items Monthly | | 3.370 | | 06/15/2022 | | GBP 6,310,000 | | | (38,475 | ) | | | (38,391 | ) |
| Pay | | | | U.K. RPI All Items Monthly | | 3.523 | | 02/15/2027 | | GBP 5,030,000 | | | 81,220 | | | | 80,178 | |
| Pay | | | | U.K. RPI All Items Monthly | | 3.624 | | 02/15/2047 | | GBP 3,660,000 | | | 369,463 | | | | 356,713 | |
| Pay | | | | U.S. CPI Urban Consumers
NSA (CPURNSA) | | 2.240 | | 07/01/2017 | | USD 11,500,000 | | | — | | | | (188 | ) |
| Receive | | | | U.S. CPI Urban Consumers
NSA (CPURNSA) | | 1.890 | | 06/29/2022 | | USD 6,700,000 | | | 2,952 | | | | 2,710 | |
| | | | | | | | | | | | | $ | 375,918 | | | $ | 361,253 | |
At June 30, 2017, the following over-the-counter inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Counterparty
| | | | Pay/Receive
Floating Rate
| | Floating Rate Index
| | Fixed Rate
| | Maturity
Date
| | Notional Amount
| | | | Fair
Value
| | | Upfront
Payments
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
|---|
| Barclays Bank PLC | | | | Pay | | U.K. RPI All Items Monthly | | 3.430% | | 07/15/2017 | | GBP | 7,725,000 | | | $ | (21,496 | ) | | $ | — | | | $ | (21,496 | ) |
| Barclays Bank PLC | | | | Pay | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.630 | | 09/13/2017 | | USD | 11,210,000 | | | | (21,224 | ) | | | — | | | | (21,224 | ) |
| Barclays Bank PLC | | | | Receive | | Eurostat Eurozone HICP ex Tobacco NSA
(CPTFEMU) | | 1.745 | | 07/15/2017 | | EUR | 2,990,000 | | | | 3,186 | | | | — | | | | 3,186 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 2.066 | | 03/10/2018 | | USD | 20,575,000 | | | | (652,684 | ) | | | — | | | | (652,684 | ) |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.585 | | 09/13/2018 | | USD | 11,210,000 | | | | 43,528 | | | | — | | | | 43,528 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.518 | | 12/11/2019 | | USD | 15,000,000 | | | | 153,453 | | | | — | | | | 153,453 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.375 | | 01/15/2020 | | USD | 16,000,000 | | | | 266,512 | | | | — | | | | 266,512 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 2.174 | | 02/16/2020 | | USD | 10,000,000 | | | | (110,820 | ) | | | — | | | | (110,820 | ) |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.437 | | 01/15/2021 | | USD | 22,000,000 | | | | 423,963 | | | | — | | | | 423,963 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.649 | | 12/11/2021 | | USD | 6,500,000 | | | | 72,424 | | | | — | | | | 72,424 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.515 | | 01/15/2022 | | USD | 34,000,000 | | | | 677,030 | | | | — | | | | 677,030 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.560 | | 01/15/2023 | | USD | 37,000,000 | | | | 818,099 | | | | — | | | | 818,099 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.660 | | 09/22/2023 | | USD | 5,500,000 | | | | 109,185 | | | | — | | | | 109,185 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban Consumers NSA
(CPURNSA) | | 1.689 | | 09/22/2024 | | USD | 26,000,000 | | | | 579,408 | | | | — | | | | 579,408 | |
| Deutsche Bank AG | | | | Pay | | Eurostat Eurozone HICP ex Tobacco NSA
(CPTFEMU) | | 1.970 | | 03/15/2047 | | EUR | 1,110,000 | | | | 59,978 | | | | — | | | | 59,978 | |
| Deutsche Bank AG | | | | Receive | | Eurostat Eurozone HICP ex Tobacco NSA
(CPTFEMU) | | 1.470 | | 03/15/2027 | | EUR | 1,110,000 | | | | (15,928 | ) | | | — | | | | (15,928 | ) |
| Deutsche Bank AG | | | | Receive | | U.K. RPI All Items Monthly | | 3.568 | | 03/15/2047 | | GBP | 805,000 | | | | (44,520 | ) | | | — | | | | (44,520 | ) |
| Deutsche Bank AG | | | | Receive | | U.K. RPI All Items Monthly | | 3.485 | | 03/23/2047 | | GBP | 395,000 | | | | 460 | | | | — | | | | 460 | |
| | | | | | | | | | | | | | | | | $ | 2,340,554 | | | $ | — | | | $ | 2,340,554 | |
At June 30, 2017, the following over-the-counter written inflation rate caps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Reference Entity
| | | | Counterparty
| | Exercise
Inflation Rate
| | Description
| | Termination
Date
| | | Notional
Amount
| | | | Premiums
Received
| | | | Fair Value
| |
|---|
| Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index (HICPx) | | | | Deutsche Bank AG | | 2.500% | | Maximum of HICPx for January 2022
divided by HICPx for January 2012
minus 2.500% or $0. Portfolio receives
premium and payment at expiration. | | 04/26/2022 | | | EUR 3,140,000 | | | $ | 217,411 | | | $ | (539 | ) |
| | | | | | | | | | | | | | | | | $ | 217,411 | | | $ | (539 | ) |
See Accompanying Notes to Financial Statements
31
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
At June 30, 2017, the following exchange-traded written options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
| | | | Exercise
Price
| | Expiration
Date
| | # of Contracts
| | Premiums
Received
| | Fair Value
|
|---|
| Call on U.S. Treasury 10-Year Note | | | | 127.50 | | 07/21/2017 | | | 312 | | | | $ 87,304 | | | | $(14,627 | ) |
| Call on U.S. Treasury 10-Year Note | | | | 128.00 | | 07/21/2017 | | | 456 | | | | 77,723 | | | | (14,250 | ) |
| | | | | | | | | | | | | | $165,027 | | | | $(28,877 | ) |
At June 30, 2017, the following over-the-counter written options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
| | | | Counterparty
| | Description
| | | Exercise
Price
| | | Expiration
Date
| | | Premiums
Received
| | Fair Value
|
|---|
| Options on Currencies | | | | | | | | | | | | | | | | | | | | | | | |
|---|
| 7,865,000 | | | Goldman Sachs International | | Call GBP vs Put USD | | | 1.340 | GBP | | | 08/01/2017 | | | | $ | 37,690 | | | | $ | (15,178 | ) |
| 10,960,000 | | | Morgan Stanley & Co. International PLC | | Call USD vs Put JPY | | | 117.000 | USD | | | 07/07/2017 | | | | | 25,076 | | | | | (51 | ) |
| 9,125,000 | | | Deutsche Bank AG | | Call USD vs Put MXN | | | 20.000 | USD | | | 09/21/2017 | | | | | 42,431 | | | | | (35,402 | ) |
| | | | | | Total Written OTC Options | | | | $ | 105,197 | | | | $ | (50,631 | ) |
At June 30, 2017, the following over-the-counter written interest rate swaptions were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
| | | Counterparty
| | Exercise
Rate
| | | Pay/
Receive
Exercise
Rate
| | Floating Rate
Index
| | | Expiration
Date
| | Notional
Amount
| | Premiums
Received
| | | Fair Value
| |
|---|
| Put on 10-Year Interest Rate Swap | | | Barclays Bank PLC | |
1.400% | | | Receive | | 6-month GBP-LIBOR | | | 07/10/2017 | | GBP 11,030,000 | | $ | 55,857 | | | $ | (31,282 | ) |
| Put on 20-Year Interest Rate Swap | | | Deutsche Bank AG | |
4.500% | | | Receive | | 6-month EUR-EURIBOR | | | 06/08/2022 | | EUR 10,100,000 | | | 475,560 | | | | (82,867 | ) |
| | | | | | | | | | | Total Written Swaptions | | | | $ | 531,417 | | | $ | (114,149 | ) |
Currency Abbreviations
CAD — Canadian Dollar
EUR — EU Euro
GBP — British Pound
JPY — Japanese Yen
MXN — Mexican Peso
NZD — New Zealand Dollar
USD — United States Dollar
See Accompanying Notes to Financial Statements
32
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2017 was as follows:
Derivatives not accounted for as
hedging instruments
| | | | Location on Statement
of Assets and Liabilities
| | Fair Value
| |
|---|
Asset Derivatives | | | | | | | | |
| Foreign exchange contracts | | | | Investments in securities at value* | | $ | 124,154 | |
| Interest rate contracts | | | | Investments in securities at value* | | | 1,313,403 | |
| Foreign exchange contracts | | | | Unrealized appreciation on forward foreign currency contracts | | | 58,101 | |
| Interest rate contracts | | | | Net Assets- Unrealized appreciation** | | | 374,712 | |
| Interest rate contracts | | | | Net Assets- Unrealized appreciation*** | | | 709,004 | |
| Interest rate contracts | | | | Unrealized appreciation on OTC swap agreements | | | 3,207,226 | |
Total Asset Derivatives | | | | | | $ | 5,786,600 | |
Liability Derivatives | | | | | | | | |
| Foreign exchange contracts | | | | Unrealized depreciation on forward foreign currency contracts | | $ | 383,709 | |
| Interest rate contracts | | | | Net Assets- Unrealized depreciation** | | | 820,518 | |
| Interest rate contracts | | | | Net Assets- Unrealized depreciation*** | | | 301,696 | |
| Interest rate contracts | | | | Unrealized depreciation on OTC swap agreements | | | 866,672 | |
| Foreign exchange contracts | | | | Written options, at fair value | | | 50,631 | |
| Interest rate contracts | | | | Written options, at fair value | | | 143,565 | |
Total Liability Derivatives | | | | | | $ | 2,566,791 | |
| * | Includes purchased options. |
| ** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
| *** | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for
as hedging instruments
| | | | Investments*
| | Foreign currency
related transactions**
| | | Futures
| | | Swaps
| | | Written
options
| | | Total
| |
|---|
| Foreign exchange contracts | | | | $ | (693,383 | ) | | $ | (677,656 | ) | | $ | — | | | $ | — | | | $ | 297,122 | | | $ | (1,073,917 | ) |
| Interest rate contracts | | | | | (1,075,946 | ) | | | — | | | | 507,837 | | | | 1,830,466 | | | | 751,454 | | | | 2,013,811 | |
Total | | | | $ | (1,769,329 | ) | | $ | (677,656 | ) | | $ | 507,837 | | | $ | 1,830,466 | | | $ | 1,048,576 | | | $ | 939,894 | |
| | | | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for
as hedging instruments
| | | | Investments*
| | Foreign currency
related transactions**
| | | Futures
| | | Swaps
| | | Written options
| | | Total
| |
|---|
| Foreign exchange contracts | | | | $ | 57,120 | | | $ | (557,018 | ) | | $ | — | | | $ | — | | | $ | 156,425 | | | $ | (343,473 | ) |
| Interest rate contracts | | | | | (275,647 | ) | | | — | | | | 696,695 | | | | (4,734,379 | ) | | | (31,102 | ) | | | (4,344,433 | ) |
Total | | | | $ | (218,527 | ) | | $ | (557,018 | ) | | $ | 696,695 | | | $ | (4,734,379 | ) | | $ | 125,323 | | | $ | (4,687,906 | ) |
| * | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
| ** | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
See Accompanying Notes to Financial Statements
33
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2017:
| | ANZ
Bank
| | | Barclays
Bank
PLC
| | | Citibank N.A.
| | | Credit
Suisse
International
| | | Deutsche
Bank AG
| | | Goldman
Sachs
International
| | | HSBC
Bank
PLC
| | | JPMorgan
Chase
Bank N.A.
| | | Morgan
Stanley & Co.
International
PLC
| | | State
Street
Bank and
Trust Co.
| | | The
Northern
Trust
Company
| | | Totals
| |
|---|
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Purchased options | | $ | — | | | $ | 461 | | | $ | — | | | $ | — | | | $ | 1,347,594 | | | $ | 5,125 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,353,180 | |
| Forward foreign currency contracts | | | — | | | | — | | | | 5,009 | | | | — | | | | 12,290 | | | | — | | | | 23,032 | | | | — | | | | — | | | | 17,770 | | | | — | | | | 58,101 | |
| OTC Inflation-linked swaps | | | — | | | | 890,642 | | | | 2,256,146 | | | | — | | | | 60,438 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,207,226 | |
Total Assets | | $ | — | | | $ | 891,103 | | | $ | 2,261,155 | | | $ | — | | | $ | 1,420,322 | | | $ | 5,125 | | | $ | 23,032 | | | $ | — | | | $ | — | | | $ | 17,770 | | | $ | — | | | $ | 4,618,507 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency contracts | | $ | 2,430 | | | $ | 27,689 | | | $ | 4,708 | | | $ | 10,992 | | | $ | 172,513 | | | $ | 32,289 | | | $ | — | | | $ | 120,783 | | | $ | — | | | $ | 2,597 | | | $ | 9,708 | | | $ | 383,709 | |
| OTC Inflation-linked swaps | | | — | | | | 806,224 | | | | — | | | | — | | | | 60,448 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 866,672 | |
| Written options | | | — | | | | 31,282 | | | | — | | | | — | | | | 118,808 | | | | 15,178 | | | | — | | | | — | | | | 51 | | | | — | | | | — | | | | 165,319 | |
Total Liabilities | | $ | 2,430 | | | $ | 865,195 | | | $ | 4,708 | | | $ | 10,992 | | | $ | 351,769 | | | $ | 47,467 | | | $ | — | | | $ | 120,783 | | | $ | 51 | | | $ | 2,597 | | | $ | 9,708 | | | $ | 1,415,700 | |
Net OTC derivative instruments by counterparty, at fair value | | $ | (2,430 | ) | | $ | 25,908 | | | $ | 2,256,447 | | | $ | (10,992 | ) | | $ | 1,068,553 | | | $ | (42,342 | ) | | $ | 23,032 | | | $ | (120,783 | ) | | $ | (51 | ) | | $ | 15,173 | | | $ | (9,708 | ) | | $ | 3,202,807 | |
Total collateral pledged by the Portfolio/(Received from counterparty) | | $ | — | | | $ | — | | | $ | (2,256,447 | ) | | $ | — | | | $ | (1,068,553 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (3,325,000 | ) |
Net Exposure (1) (2) | | $ | (2,430 | ) | | $ | 25,908 | | | $ | — | | | $ | (10,992 | ) | | $ | — | | | $ | (42,342 | ) | | $ | 23,032 | | | $ | (120,783 | ) | | $ | (51 | ) | | $ | 15,173 | | | $ | (9,708 | ) | | $ | (122,193 | ) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
(2) | At June 30, 2017, the Portfolio had received $2,340,000 and $1,210,000 in cash collateral from Citibank N.A. and Deutsche Bank AG, respectively. Excess cash collateral is not shown for financial reporting purposes. |
See Accompanying Notes to Financial Statements
34
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) |
Investment Type Allocation
as of June 30, 2017
(as a percentage of net assets)
| U.S. Government Agency Obligations | | | | | 32.8 | % |
| Corporate Bonds/Notes | | | | | 27.5 | % |
| Asset-Backed Securities | | | | | 17.9 | % |
| U.S. Treasury Obligations | | | | | 13.3 | % |
| Collateralized Mortgage Obligations | | | | | 3.6 | % |
| Foreign Government Bonds | | | | | 3.3 | % |
| Municipal Bonds | | | | | 1.0 | % |
| Structured Products | | | | | 0.8 | % |
| Preferred Stock | | | | | 0.1 | % |
| Liabilities in Excess of Other Assets* | | | | | (0.3 | )% |
| Net Assets | | | | | 100.0 | % |
| | | | | | | |
| * Includes short-term investments. |
Portfolio holdings are subject to change daily.
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: 27.5% |
| |
| 175,000 | | | | # | | Glencore Finance Canada Ltd., 4.950%, 11/15/21 | | $ | 187,346 | | | | 0.1 | |
| 425,000 | | | | # | | Glencore Funding LLC, 4.125%, 05/30/23 | | | 436,657 | | | | 0.2 | |
| 224,000 | | | | # | | Glencore Funding LLC, 4.625%, 04/29/24 | | | 234,494 | | | | 0.1 | |
| 825,000 | | | | | | Sherwin-Williams Co/The, 2.250%–3.450%, 05/15/20–06/01/27 | | | 830,122 | | | | 0.4 | |
| 375,000 | | | | # | | WR Grace & Co-Conn, 5.125%, 10/01/21 | | | 403,125 | | | | 0.2 | |
| 225,000 | | | | | | Other Securities | | | 235,318 | | | | 0.1 | |
| | | | | | | | | | 2,327,062 | | | | 1.1 | |
| |
| |
| 775,000 | | | | | | Amazon.com, Inc., 3.300%, 12/05/21 | | | 807,268 | | | | 0.4 | |
| 2,291,000 | | | | | | AT&T, Inc., 2.800%–3.800%, 02/17/21–05/15/25 | | | 2,308,167 | | | | 1.1 | |
| 350,000 | | | | # | | Symantec Corp., 5.000%, 04/15/25 | | | 367,171 | | | | 0.2 | |
| 1,025,000 | | | | | | Verizon Communications, Inc., 5.150%, 09/15/23 | | | 1,139,926 | | | | 0.5 | |
| 818,000 | | | | # | | Verizon Communications, Inc., 2.946%, 03/15/22 | | | 824,491 | | | | 0.4 | |
| 650,000 | | | | | | Verizon Communications, Inc., 2.450%–4.125%, 11/01/22–03/16/27 | | | 640,530 | | | | 0.3 | |
| 3,508,000 | | | | | | Other Securities(a) | | | 3,742,696 | | | | 1.7 | |
| | | | | | | | | | 9,830,249 | | | | 4.6 | |
| |
CORPORATE BONDS/NOTES: (continued) |
| |
| 950,000 | | | | | | CVS Health Corp., 3.375%, 08/12/24 | | $ | 967,250 | | | | 0.5 | |
| 275,000 | | | | | | CVS Health Corp., 3.500%, 07/20/22 | | | 285,479 | | | | 0.1 | |
| 775,000 | | | | | | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | | | 864,939 | | | | 0.4 | |
| 1,775,000 | | | | | | Other Securities | | | 1,864,745 | | | | 0.9 | |
| | | | | | | | | | 3,982,413 | | | | 1.9 | |
| |
| Consumer, Non-cyclical: 3.8% |
| 1,125,000 | | | | | | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | | | 1,140,935 | | | | 0.5 | |
| 600,000 | | | | | | Anheuser-Busch InBev Finance, Inc., 3.650%–4.900%, 02/01/26–02/01/46 | | | 629,582 | | | | 0.3 | |
| 475,000 | | | | # | | Bayer US Finance LLC, 3.000%, 10/08/21 | | | 484,828 | | | | 0.2 | |
| 1,275,000 | | | | | | Becton Dickinson and Co., 2.894%–4.685%, 06/06/22–12/15/44 | | | 1,285,980 | | | | 0.6 | |
| 700,000 | | | | # | | EMD Finance LLC, 2.950%, 03/19/22 | | | 713,105 | | | | 0.4 | |
| 50,000 | | | | # | | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | | | 52,000 | | | | 0.0 | |
| 775,000 | | | | | | Reynolds American, Inc., 4.450%, 06/12/25 | | | 833,346 | | | | 0.4 | |
| 200,000 | | | | # | | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24 | | | 210,750 | | | | 0.1 | |
| 2,750,000 | | | | | | Other Securities | | | 2,810,232 | | | | 1.3 | |
| | | | | | | | | | 8,160,758 | | | | 3.8 | |
| |
| |
| 100,000 | | | | #,L | | Cenovus Energy, Inc., 4.250%, 04/15/27 | | | 95,460 | | | | 0.1 | |
| 525,000 | | | | | | Kinder Morgan, Inc./DE, 3.050%, 12/01/19 | | | 534,445 | | | | 0.2 | |
| 375,000 | | | | | | Kinder Morgan Energy Partners L.P., 3.500%–4.250%, 09/01/23–09/01/24 | | | 381,460 | | | | 0.2 | |
| 780,000 | | | | | | Williams Partners L.P., 3.600%–3.900%,03/15/22–01/15/25 | | | 795,647 | | | | 0.4 | |
| 7,631,000 | | | | | | Other Securities(a) | | | 6,578,448 | | | | 3.1 | |
| | | | | | | | | | 8,385,460 | | | | 4.0 | |
| |
| |
| 1,450,000 | | | | | | Bank of America Corp., 3.248%–6.500%, 04/01/24–10/29/49 | | | 1,502,338 | | | | 0.7 | |
| 200,000 | | | | # | | BNP Paribas SA, 4.375%, 05/12/26 | | | 207,634 | | | | 0.1 | |
| 100,000 | | | | # | | Brighthouse Financial, Inc., 3.700%, 06/22/27 | | | 98,669 | | | | 0.1 | |
| 250,000 | | | | # | | Credit Agricole SA/London, 4.125%, 01/10/27 | | | 261,802 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
35
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: (continued) |
| |
| 200,000 | | | | # | | Credit Suisse AG, 6.500%, 08/08/23 | | $ | 225,380 | | | | 0.1 | |
| 250,000 | | | | # | | Credit Suisse Group AG, 4.282%, 01/09/28 | | | 258,749 | | | | 0.1 | |
| 900,000 | | | | | | JPMorgan Chase & Co., 2.950%–2.972%, 01/15/23–10/01/26 | | | 887,037 | | | | 0.4 | |
| 1,700,000 | | | | | | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/18 | | | 1,694,735 | | | | 0.8 | |
| 50,000 | | | | # | | Macquarie Bank Ltd., 6.625%, 04/07/21 | | | 56,389 | | | | 0.0 | |
| 1,000,000 | | | | | | Morgan Stanley, 2.553%, 10/24/23 | | | 1,018,117 | | | | 0.5 | |
| 825,000 | | | | | | Morgan Stanley, 3.700%–4.000%, 10/23/24–07/23/25 | | | 847,984 | | | | 0.4 | |
| 450,000 | | | | # | | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | | | 478,377 | | | | 0.2 | |
| 100,000 | | | | # | | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | | | 112,347 | | | | 0.1 | |
| 225,000 | | | | # | | UBS Group Funding Switzerland AG, 3.000%, 04/15/21 | | | 228,634 | | | | 0.1 | |
| 800,000 | | | | # | | UniCredit SpA, 3.750%, 04/12/22 | | | 820,115 | | | | 0.4 | |
| 250,000 | | | | # | | UniCredit SpA, 4.625%, 04/12/27 | | | 264,248 | | | | 0.1 | |
| 350,000 | | | | # | | UniCredit SpA, 5.861%, 06/19/32 | | | 360,171 | | | | 0.2 | |
| 275,000 | | | | | | Westpac Banking Corp., 4.322%, 11/23/31 | | | 282,426 | | | | 0.1 | |
| 8,756,000 | | | | | | Other Securities | | | 8,957,438 | | | | 4.3 | |
| | | | | | | | | | 18,562,590 | | | | 8.8 | |
| |
| |
| 150,000 | | | | # | | Park Aerospace Holdings Ltd., 5.250%, 08/15/22 | | | 157,360 | | | | 0.1 | |
| 100,000 | | | | # | | Park Aerospace Holdings Ltd., 5.500%, 02/15/24 | | | 104,700 | | | | 0.0 | |
| 300,000 | | | | # | | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | | | 307,597 | | | | 0.2 | |
| 200,000 | | | | # | | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/23 | | | 208,000 | | | | 0.1 | |
| 375,000 | | | | # | | Sealed Air Corp., 5.250%, 04/01/23 | | | 404,063 | | | | 0.2 | |
| 250,000 | | | | | | Other Securities | | | 256,055 | | | | 0.1 | |
| | | | | | | | | | 1,437,775 | | | | 0.7 | |
| |
CORPORATE BONDS/NOTES: (continued) |
| |
| 475,000 | | | | # | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.000%, 01/15/22 | | $ | 479,691 | | | | 0.2 | |
| 575,000 | | | | # | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.625%, 01/15/24 | | | 588,913 | | | | 0.3 | |
| 225,000 | | | | # | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 01/15/27 | | | 231,526 | | | | 0.1 | |
| 700,000 | | | | # | | NXP BV / NXP Funding LLC, 4.625%, 06/01/23 | | | 756,875 | | | | 0.4 | |
| 2,325,000 | | | | | | Other Securities | | | 2,370,823 | | | | 1.1 | |
| | | | | | | | | | 4,427,828 | | | | 2.1 | |
| |
| |
| 525,000 | | | | # | | Enel Finance International NV, 2.875%, 05/25/22 | | | 526,264 | | | | 0.2 | |
| 650,000 | | | | | | Other Securities | | | 638,048 | | | | 0.3 | |
| | | | | | | | | | 1,164,312 | | | | 0.5 | |
| | | | | | | Total Corporate Bonds/Notes | | | | | | | | |
| | | | | | | (Cost $57,334,904) | | | 58,278,447 | | | | 27.5 | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.6% |
| EUR 398,709 | | | | # | | Credit Suisse European Mortgage Capital Ltd. 2015-1HWA A, 2.750%, 04/20/20 | | | 447,417 | | | | 0.2 | |
| 682,390 | | | | ˆ | | Fannie Mae 2013-130 SN, 5.434%, 10/25/42 | | | 130,939 | | | | 0.1 | |
| 393,260 | | | | ˆ | | Fannie Mae REMIC Trust 2011-124 SC, 5.334%, 12/25/41 | | | 71,866 | | | | 0.0 | |
| 357,399 | | | | ˆ | | Fannie Mae REMIC Trust 2013-131 SA, 4.884%, 12/25/43 | | | 56,627 | | | | 0.0 | |
| 289,302 | | | | ˆ | | Fannie Mae REMIC Trust 2013-96 SW, 4.884%, 09/25/43 | | | 46,587 | | | | 0.0 | |
| 667,319 | | | | ˆ | | Fannie Mae REMIC Trust 2013-96 SY, 4.934%, 07/25/42 | | | 110,253 | | | | 0.1 | |
| 430,147 | | | | ˆ | | Fannie Mae REMIC Trust 2014-87 MS, 5.034%, 01/25/45 | | | 69,370 | | | | 0.0 | |
| 614,167 | | | | ˆ | | Fannie Mae REMIC Trust 2015-79 SA, 5.034%, 11/25/45 | | | 102,071 | | | | 0.1 | |
| 1,322,361 | | | | ˆ | | Fannie Mae REMIC Trust 2015-81 SA, 4.484%, 11/25/45 | | | 186,992 | | | | 0.1 | |
| 329,072 | | | | ˆ | | Fannie Mae REMIC Trust 2015-82 MS, 4.484%, 11/25/45 | | | 48,148 | | | | 0.0 | |
| 805,091 | | | | ˆ | | Fannie Mae Series 2016-3 IP, 4.000%, 02/25/46 | | | 165,179 | | | | 0.1 | |
| 1,013,056 | | | | ˆ | | Freddie Mac 4583 ST, 4.841%, 05/15/46 | | | 197,701 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
36
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) |
| 2,441,263 | | | | ˆ | | Freddie Mac 4596 CS, 4.941%, 06/15/46 | | $ | 394,802 | | | | 0.2 | |
| 203,199 | | | | ˆ | | Freddie Mac REMIC Trust 4320 SD, 4.941%, 07/15/39 | | | 32,290 | | | | 0.0 | |
| 467,422 | | | | ˆ | | Freddie Mac REMIC Trust 4326 GS, 4.891%, 04/15/44 | | | 82,027 | | | | 0.0 | |
| 350,000 | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 5.866%, 10/25/28 | | | 395,405 | | | | 0.2 | |
| 839,539 | | | | ˆ | | Ginnie Mae 2014-20 SA, 4.888%, 02/20/44 | | | 139,288 | | | | 0.1 | |
| 747,436 | | | | ˆ | | Ginnie Mae 2015-111 IM, 4.000%, 08/20/45 | | | 122,732 | | | | 0.1 | |
| 634,972 | | | | ˆ | | Ginnie Mae 2015-119 SN, 5.038%, 08/20/45 | | | 108,952 | | | | 0.1 | |
| 578,313 | | | | ˆ | | Ginnie Mae 2016-138 GI, 4.000%, 10/20/46 | | | 104,223 | | | | 0.0 | |
| 433,397 | | | | ˆ | | Ginnie Mae Series 2010-20 SE, 5.038%, 02/20/40 | | | 73,172 | | | | 0.0 | |
| 258,909 | | | | ˆ | | Ginnie Mae Series 2010-31 SA, 4.538%, 03/20/40 | | | 38,881 | | | | 0.0 | |
| 170,705 | | | | ˆ | | Ginnie Mae Series 2012-149 MS, 5.038%, 12/20/42 | | | 28,753 | | | | 0.0 | |
| 95,573 | | | | ˆ | | Ginnie Mae Series 2013-134 DS, 4.888%, 09/20/43 | | | 15,655 | | | | 0.0 | |
| 280,761 | | | | ˆ | | Ginnie Mae Series 2013-152 SG, 4.938%, 06/20/43 | | | 46,611 | | | | 0.0 | |
| 628,863 | | | | ˆ | | Ginnie Mae Series 2013-181 SA, 4.888%, 11/20/43 | | | 106,022 | | | | 0.1 | |
| 945,217 | | | | ˆ | | Ginnie Mae Series 2014-132 SL, 4.888%, 10/20/43 | | | 136,721 | | | | 0.1 | |
| 459,682 | | | | ˆ | | Ginnie Mae Series 2014-133 BS, 4.388%, 09/20/44 | | | 65,627 | | | | 0.0 | |
| 107,614 | | | | ˆ | | Ginnie Mae Series 2014-41 SA, 4.888%, 03/20/44 | | | 18,072 | | | | 0.0 | |
| 999,676 | | | | ˆ | | Ginnie Mae Series 2015-110 MS, 4.498%, 08/20/45 | | | 151,988 | | | | 0.1 | |
| 292,791 | | | | ˆ | | Ginnie Mae Series 2015-126 HS, 4.988%, 09/20/45 | | | 48,926 | | | | 0.0 | |
| 299,464 | | | | ˆ | | Ginnie Mae Series 2015-159 HS, 4.988%, 11/20/45 | | | 50,211 | | | | 0.0 | |
| 677,346 | | | | ˆ | | Ginnie Mae Series 2016-4 SM, 4.438%, 01/20/46 | | | 96,529 | | | | 0.0 | |
| 1,000,000 | | | | # | | Mortgage Repurchase Agreement Financing Trust Series 2016-1 A2, 2.174%, 04/10/19 | | | 1,000,284 | | | | 0.5 | |
| 250,000 | | | | # | | Mortgage Repurchase Agreement Financing Trust Series 2017-1 A1, 2.074%, 07/10/19 | | | 250,117 | | | | 0.1 | |
| 600,000 | | | | # | | Mortgage Repurchase Agreement Financing Trust, Series 2016-1, 2.124%, 04/10/19 | | | 600,098 | | | | 0.3 | |
| 950,000 | | | | # | | Mortgage Repurchase Agreement Financing Trust, Series 2016-2, 2.524%, 03/10/19 | | | 950,189 | | | | 0.4 | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) |
| 1,054,699 | | | | | | Other Securities | | $ | 958,885 | | | | 0.5 | |
| |
| | | | | | | Total Collateralized Mortgage Obligations | | | | | | | | |
| | | | | | | (Cost $7,463,548) | | | 7,649,610 | | | | 3.6 | |
| |
MUNICIPAL BONDS: 1.0% |
| |
| 750,000 | | | | | | Other Securities | | | 1,062,000 | | | | 0.5 | |
| |
| |
| 250,000 | | | | | | Other Securities | | | 246,897 | | | | 0.1 | |
| |
| |
| 2,355,000 | | | | | | Other Securities(b) | | | 783,865 | | | | 0.4 | |
| |
| | | | | | | Total Municipal Bonds | | | | | | | | |
| | | | | | | (Cost $2,554,448) | | | 2,092,762 | | | | 1.0 | |
| |
STRUCTURED PRODUCTS: 0.8% | | |
EGP 5,080,000
| | | | #,Z | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 18.540%, 08/10/17 | | | 276,138 | | | | 0.1 | |
EGP 5,000,000
| | | | #,Z | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 11/02/17 | | | 257,936 | | | | 0.1 | |
EGP 12,550,000
| | | | #,Z | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 05/03/18 | | | 593,999 | | | | 0.3 | |
EGP 10,000,000
| | | | | | Other Securities | | | 492,988 | | | | 0.3 | |
| | | | | | | Total Structured Products
(Cost $1,644,184) | | | 1,621,061 | | | | 0.8 | |
| |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 32.8% |
| Federal Home Loan Bank: 1.1% |
| 900,000 | | | | | | 2.625%, due 09/12/25 | | | 905,180 | | | | 0.4 | |
| 1,300,000 | | | | | | 2.875%, due 06/13/25 | | | 1,337,727 | | | | 0.7 | |
| | | | | | | | | | 2,242,907 | | | | 1.1 | |
| |
| Federal Home Loan Mortgage Corporation: 8.6%## |
| 15,000,000 | | | | W | | 4.000%, due 07/01/45 | | | 15,769,336 | | | | 7.4 | |
| 1,438,329 | | | | | | 3.500%, due 04/01/43 | | | 1,484,529 | | | | 0.7 | |
| 1,040,964 | | | | | | 3.500%–4.000%, due 02/01/41–03/01/46 | | | 1,079,743 | | | | 0.5 | |
| | | | | | | | | | 18,333,608 | | | | 8.6 | |
| |
| Federal National Mortgage Association: 10.9%## |
| 1,400,000 | | | | | | 1.875%, due 09/24/26 | | | 1,329,326 | | | | 0.6 | |
| 927,650 | | | | | | 3.500%, due 06/01/46 | | | 962,821 | | | | 0.4 | |
| 9,000,000 | | | | W | | 3.500%, due 07/01/47 | | | 9,244,336 | | | | 4.4 | |
| 8,000,000 | | | | W | | 4.000%, due 08/01/45 | | | 8,396,406 | | | | 4.0 | |
| 2,884,279 | | | | | | 3.500%–6.000%, due 09/01/35–05/01/46 | | | 3,085,094 | | | | 1.5 | |
| | | | | | | | | | 23,017,983 | | | | 10.9 | |
See Accompanying Notes to Financial Statements
37
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) |
| Government National Mortgage Association: 12.2% |
| 3,239,121 | | | | | | 4.000%, due 10/20/43 | | $ | 3,426,879 | | | | 1.6 | |
| 1,513,882 | | | | | | 4.000%, due 07/20/45 | | | 1,595,011 | | | | 0.7 | |
| 1,542,863 | | | | | | 4.000%, due 09/20/45 | | | 1,625,545 | | | | 0.8 | |
| 2,524,431 | | | | | | 4.000%, due 10/20/45 | | | 2,659,716 | | | | 1.3 | |
| 923,588 | | | | | | 4.000%, due 11/20/45 | | | 973,083 | | | | 0.5 | |
| 1,097,532 | | | | | | 4.000%, due 02/20/46 | | | 1,156,349 | | | | 0.5 | |
| 4,759,851 | | | | | | 4.000%, due 03/20/46 | | | 5,014,933 | | | | 2.4 | |
| 6,635,788 | | | | | | 4.000%, due 04/20/46 | | | 6,991,402 | | | | 3.3 | |
| 997,991 | | | | | | 4.000%, due 05/20/47 | | | 1,053,752 | | | | 0.5 | |
| 1,257,182 | | | | | | 4.000%, due 08/20/45–05/20/46 | | | 1,324,661 | | | | 0.6 | |
| | | | | | | | | | 25,821,331 | | | | 12.2 | |
| |
| | | | | | | Total U.S. Government Agency Obligations
(Cost $69,772,899) | | | 69,415,829 | | | | 32.8 | |
| |
U.S. TREASURY OBLIGATIONS: 13.3% |
| Treasury Inflation Indexed Protected Securities: 1.1% |
| 2,324,945 | | | | | | 0.125%–2.500%, due 01/15/23–02/15/47 | | | 2,380,910 | | | | 1.1 | |
| |
| U.S. Treasury Bonds: 5.4% |
| 5,900,000 | | | | | | 2.250%, due 11/15/25 | | | 5,901,729 | | | | 2.8 | |
| 2,760,000 | | | | | | 2.875%, due 11/15/46 | | | 2,780,537 | | | | 1.3 | |
| 2,160,000 | | | | | | 3.000%, due 11/15/45 | | | 2,228,934 | | | | 1.0 | |
| 590,000 | | | | | | 3.000%, due 05/15/47 | | | 610,062 | | | | 0.3 | |
| | | | | | | | | | 11,521,262 | | | | 5.4 | |
| |
| U.S. Treasury Notes: 5.8% |
| 3,180,000 | | | | | | 2.125%, due 03/31/24 | | | 3,181,924 | | | | 1.5 | |
| 5,270,000 | | | | | | 2.000%, due 04/30/24 | | | 5,229,753 | | | | 2.5 | |
| 2,130,000 | | | | | | 2.000%, due 05/31/24 | | | 2,112,568 | | | | 1.0 | |
| 1,800,000 | | | | | | 2.250%, due 01/31/24 | | | 1,816,699 | | | | 0.8 | |
| | | | | | | | | | 12,340,944 | | | | 5.8 | |
| |
| U.S. Treasury STRIP: 1.0% |
| 1,930,000 | | | | ˆ | | 2.696%, due 02/15/36 | | | 1,162,738 | | | | 0.6 | |
| 1,500,000 | | | | ˆ,(c) | | 2.718%, due 08/15/36 | | | 885,020 | | | | 0.4 | |
| | | | | | | | | | 2,047,758 | | | | 1.0 | |
| | | | | | | Total U.S. Treasury Obligations
(Cost $28,287,783) | | | 28,290,874 | | | | 13.3 | |
| |
ASSET-BACKED SECURITIES: 17.9% |
| Other Asset-Backed Securities: 9.3% |
| 250,000 | | | | # | | B&M CLO 2014-1A A2, 3.108%, 04/16/26 | | | 249,998 | | | | 0.1 | |
| 1,050,000 | | | | # | | BlueMountain CLO 2014-2A AR, 2.369%, 07/20/26 | | | 1,050,000 | | | | 0.5 | |
| 1,323,300 | | | | # | | Crown Point CLO III Ltd. 2015-3A A1A, 2.568%, 12/31/27 | | | 1,324,622 | | | | 0.6 | |
| 1,050,000 | | | | # | | Cutwater 2014-1A A1AR Ltd., 2.469%, 07/15/26 | | | 1,049,998 | | | | 0.5 | |
| 650,000 | | | | # | | Greywolf CLO V Ltd. 2015-1A A1, 2.756%, 04/25/27 | | | 650,167 | | | | 0.3 | |
| 800,000 | | | | # | | Halcyon Loan Advisors Funding 2015-1A A, 2.606%, 04/20/27 | | | 801,001 | | | | 0.4 | |
| |
ASSET-BACKED SECURITIES: (continued) |
| Other Asset-Backed Securities: (continued) |
| 1,050,000 | | | | # | | Halcyon Loan Advisors Funding 2015-2A A, 2.546%, 07/25/27 | | $ | 1,048,566 | | | | 0.5 | |
| 1,583,955 | | | | # | | ICG US CLO 2014-1A A1, 2.306%, 04/20/26 | | | 1,579,485 | | | | 0.7 | |
| 1,050,000 | | | | # | | Neuberger Berman CLO XIX Ltd. 2015-19A A1R, 2.354%, 07/15/27 | | | 1,050,000 | | | | 0.5 | |
| 983,746 | | | | # | | OFSI Fund VI Ltd. 2014-6A A1, 2.188%, 03/20/25 | | | 975,919 | | | | 0.5 | |
| 2,044,795 | | | | # | | OFSI Fund VII Ltd. 2014-7A A, 2.498%, 10/18/26 | | | 2,045,895 | | | | 1.0 | |
| 505,205 | | | | # | | OFSI Fund VII Ltd. 2014-7A B, 3.288%, 10/18/26 | | | 505,223 | | | | 0.2 | |
| 1,650,000 | | | | # | | Sound Point CLO VIII Ltd. 2015-1A A, 2.688%, 04/15/27 | | | 1,651,020 | | | | 0.8 | |
| 1,000,000 | | | | | | Soundview Home Loan Trust 2005-2 M6, 2.296%, 07/25/35 | | | 990,899 | | | | 0.5 | |
| 800,000 | | | | # | | Trinitas CLO II Ltd. 2014-2A A1R, 2.339%, 07/15/26 | | | 799,981 | | | | 0.4 | |
| 1,000,000 | | | | # | | Trinitas CLO Ltd. 2015-3A A2, 2.668%, 07/15/27 | | | 1,002,377 | | | | 0.5 | |
| 1,500,000 | | | | # | | York CLO 1 Ltd. 2014-1A AR, 2.303%, 01/22/27 | | | 1,499,991 | | | | 0.7 | |
| 916,981 | | | | # | | Z Capital Credit Partners CLO Ltd. 2015-1A A1, 2.488%, 07/16/27 | | | 914,170 | | | | 0.4 | |
| 480,395 | | | | | | Other Securities | | | 457,314 | | | | 0.2 | |
| | | | | | | | | | 19,646,626 | | | | 9.3 | |
| |
| Student Loan Asset-Backed Securities: 8.6% |
| 1,150,000 | | | | # | | Academic Loan Funding Trust 2012-1A A2, 2.316%, 12/27/44 | | | 1,148,482 | | | | 0.5 | |
| 235,801 | | | | # | | Bank of America Student Loan Trust 2010-1A A, 1.956%, 02/25/43 | | | 237,142 | | | | 0.1 | |
| 911,429 | | | | # | | ECMC Group Student Loan Trust 2016-1, 2.566%, 07/26/66 | | | 913,793 | | | | 0.4 | |
| 611,995 | | | | # | | Edsouth Indenture No 9 LLC 2015-1 A, 2.016%, 10/25/56 | | | 608,410 | | | | 0.3 | |
| 1,100,000 | | | | # | | EFS Volunteer No 2 LLC 2012-1 A2, 2.566%, 03/25/36 | | | 1,119,381 | | | | 0.5 | |
| 650,000 | | | | # | | EFS Volunteer No 3 LLC 2012-1 A3, 2.216%, 04/25/33 | | | 654,546 | | | | 0.3 | |
| 1,829,961 | | | | # | | Navient Student Loan Trust 2016-5A A, 2.466%, 06/25/65 | | | 1,861,448 | | | | 0.9 | |
| 887,594 | | | | # | | Navient Student Loan Trust 2016-7 A, 2.366%, 03/25/66 | | | 898,100 | | | | 0.4 | |
See Accompanying Notes to Financial Statements
38
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
ASSET-BACKED SECURITIES: (continued) |
| Student Loan Asset-Backed Securities: (continued) |
| 1,050,000 | | | | # | | Nelnet Student Loan Trust 2006-1 A6, 1.636%, 08/23/36 | | $ | 1,011,065 | | | | 0.5 | |
| 937,280 | | | | # | | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 2.366%, 09/25/65 | | | 947,631 | | | | 0.5 | |
| 309,108 | | | | # | | Scholar Funding Trust 2010-A A, 1.922%, 10/28/41 | | | 304,959 | | | | 0.1 | |
| 649,611 | | | | # | | SLM Student Loan Trust 2003-1 A5A, 1.356%, 12/15/32 | | | 620,901 | | | | 0.3 | |
| 859,929 | | | | # | | SLM Student Loan Trust 2003-7A A5A, 2.446%, 12/15/33 | | | 869,856 | | | | 0.4 | |
| 800,000 | | | | # | | SLM Student Loan Trust 2004-8A A6, 1.786%, 01/25/40 | | | 791,141 | | | | 0.4 | |
| 703,497 | | | | | | SLM Student Loan Trust 2005-4 A3, 1.276%, 01/25/27 | | | 700,038 | | | | 0.3 | |
| 250,000 | | | | | | SLM Student Loan Trust 2005-5 A5, 1.906%, 10/25/40 | | | 244,989 | | | | 0.1 | |
| 405,119 | | | | | | SLM Student Loan Trust 2007-1 A5, 1.246%, 01/26/26 | | | 403,807 | | | | 0.2 | |
| 750,000 | | | | | | SLM Student Loan Trust 2007-2 A4, 1.216%, 07/25/22 | | | 726,794 | | | | 0.4 | |
| 468,297 | | | | | | SLM Student Loan Trust 2007-7 A4, 1.486%, 01/25/22 | | | 461,457 | | | | 0.2 | |
| 168,996 | | | | | | SLM Student Loan Trust 2008-2 A3, 1.906%, 04/25/23 | | | 168,352 | | | | 0.1 | |
| 474,051 | | | | | | SLM Student Loan Trust 2008-4 A4, 2.806%, 07/25/22 | | | 486,132 | | | | 0.2 | |
| 1,275,793 | | | | | | SLM Student Loan Trust 2008-5 A4, 2.856%, 07/25/23 | | | 1,311,639 | | | | 0.6 | |
| 600,000 | | | | | | SLM Student Loan Trust 2008-6 A4, 2.256%, 07/25/23 | | | 604,255 | | | | 0.3 | |
| 350,000 | | | | | | SLM Student Loan Trust 2008-8 A4, 2.656%, 04/25/23 | | | 358,574 | | | | 0.2 | |
| 778,242 | | | | | | Other Securities | | | 769,249 | | | | 0.4 | |
| | | | | | | | | | 18,222,141 | | | | 8.6 | |
| |
| | | | | | | Total Asset-Backed Securities | | | | | | | | |
| | | | | | | (Cost $37,448,521) | | | 37,868,767 | | | | 17.9 | |
| |
FOREIGN GOVERNMENT BONDS: 3.3% | | |
| 460,000 | | | | # | | Argentine Republic Government International Bond, 7.125%, 06/28/17 | | | 418,140 | | | | 0.2 | |
| |
FOREIGN GOVERNMENT BONDS: (continued) |
| 340,000 | | | | # | | Dominican Republic International Bond, 5.500%, 01/27/25 | | $ | 352,750 | | | | 0.2 | |
| 450,000 | | | | | | Dominican Republic International Bond, 5.500%–6.850%, 01/27/25–01/27/45 | | | 476,300 | | | | 0.2 | |
| 200,000 | | | | # | | Indonesia Government International Bond, 3.700%, 01/08/22 | | | 206,039 | | | | 0.1 | |
| 260,000 | | | | # | | Indonesia Government International Bond, 4.350%, 01/08/27 | | | 271,458 | | | | 0.1 | |
| 600,000 | | | | | | Indonesia Government International Bond, 4.125%–5.375%, 10/17/23–01/15/25 | | | 651,922 | | | | 0.3 | |
| 1,375,000 | | | | | | Israel Government AID Bond, 5.500%, 09/18/23 | | | 1,637,958 | | | | 0.7 | |
| 1,039,000 | | | | | | Israel Government AID Bond, 5.500%, 12/04/23 | | | 1,236,161 | | | | 0.6 | |
| 2,986,800 | | | | | | Other Securities | | | 1,855,745 | | | | 0.9 | |
| | | | | | | Total Foreign Government Bonds
(Cost $7,006,164) | | | 7,106,473 | | | | 3.3 | |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
PREFERRED STOCK: 0.1% |
| |
| 9,690 | | | | | | Other Securities | | | 208,941 | | | | 0.1 | |
| |
| | | | | | | Total Preferred Stock
(Cost $215,552) | | | 208,941 | | | | 0.1 | |
| |
| | | | | | | Total Long-Term Investments
(Cost $211,728,003) | | | 212,532,764 | | | | 100.3 | |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
SHORT-TERM INVESTMENTS: 14.3% |
| Corporate Bonds/Notes: 0.7% |
| 975,000 | | | | | | Allergan Funding SCS, 2.350%, 03/12/18 | | | 979,250 | | | | 0.4 | |
| 575,000 | | | | | | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | | | 580,400 | | | | 0.3 | |
| | | | | | | | | | 1,559,650 | | | | 0.7 | |
See Accompanying Notes to Financial Statements
39
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
SHORT-TERM INVESTMENTS: (continued) |
| Securities Lending Collateralcc: 0.2% |
| 457,808 | | | | | | BNP Paribas S.A., Repurchase Agreement dated 06/30/17, 1.10%, due 07/03/17 (Repurchase Amount $457,849, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–9.000%, Market Value plus accrued interest $466,964, due 07/20/17–09/09/49) | | $ | 457,808 | | | | 0.2 | |
| 25,385 | | | | | | HSBC Securities USA, Repurchase Agreement dated 06/30/17, 1.06%, due 07/03/17 (Repurchase Amount $25,387, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–7.250%, Market Value plus accrued interest $25,893, due 07/15/17–01/15/37) | | | 25,385 | | | | 0.0 | |
| 12,468 | | | | | | Jefferies LLC, Repurchase Agreement dated 06/30/17, 1.24%, due 07/03/17 (Repurchase Amount $12,469, collateralized by various U.S. Government Agency Obligations, 0.000%–7.125%, Market Value plus accrued interest $12,717, due 07/07/17–01/15/30) | | | 12,468 | | | | 0.0 | |
| | | | | | | | | | 495,661 | | | | 0.2 | |
| |
| Collateralized Mortgage Obligations: 0.2% |
| 500,000 | | | | # | | Station Place Securitization Trust 2015-2, 2.189%, 05/15/18
(Cost $500,000) | | | 500,000 | | | | 0.2 | |
| |
| U.S. Treasury Obligations: 2.6% |
| 5,394,831 | | | | | | United States Treasury Inflation Indexed Bonds, 0.125%, 04/15/18
(Cost $5,411,816) | | | 5,377,341 | | | | 2.6 | |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
SHORT-TERM INVESTMENTS: (continued) |
| |
| 22,400,354 | | | | | | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.860%††
(Cost $22,400,354) | | $ | 22,400,354 | | | | 10.6 | |
| | | | | | | Total Short-Term Investments
(Cost $30,363,089) | | | 30,333,006 | | | | 14.3 | |
| |
| | | | | | | Total Investments in Securities
(Cost $242,091,092) | | $ | 242,865,770 | | | | 114.6 | |
| |
| | | | | | | Liabilities in Excess of Other Assets | | | (30,951,593 | ) | | | (14.6 | ) |
| | | | | | | Net Assets | | $ | 211,914,177 | | | | 100.0 | |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
| † | Unless otherwise indicated, principal amount is shown in USD. |
| †† | Rate shown is the 7-day yield as of June 30, 2017. |
| # | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
| ## | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
| cc | Represents securities purchased with cash collateral received for securities on loan. |
| W | Settlement is on a when-issued or delayed-delivery basis. |
| L | Loaned security, a portion or all of the security is on loan at June 30, 2017. |
| ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
| Z | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2017. |
| (a) | This grouping contains securities on loan. |
| (b) | The grouping contains securities in default. |
| (c) | Separate Trading of Registered Interest and Principal of Securities |
| BRL | Brazilian Real |
| EGP | Egyptian Pound |
| EUR | EU Euro |
| MXN | Mexican Peso |
| Cost for federal income tax purposes is $242,206,696. |
| Net unrealized appreciation consists of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 2,354,665 | |
| Gross Unrealized Depreciation | | | | | (1,695,591 | ) |
| Net Unrealized Appreciation | | | | $ | 659,074 | |
See Accompanying Notes to Financial Statements
40
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
June 30, 2017
|
Asset Table | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | | | |
| Preferred Stock | | | | $ | — | | | $ | 208,941 | | | $ | — | | | $ | 208,941 | |
| Corporate Bonds/Notes | | | | | — | | | | 58,278,447 | | | | — | | | | 58,278,447 | |
| Collateralized Mortgage Obligations | | | | | — | | | | 7,202,193 | | | | 447,417 | | | | 7,649,610 | |
| Municipal Bonds | | | | | — | | | | 2,092,762 | | | | — | | | | 2,092,762 | |
| Structured Products | | | | | — | | | | 1,621,061 | | | | — | | | | 1,621,061 | |
| Short-Term Investments | | | | | 22,400,354 | | | | 7,432,652 | | | | 500,000 | | | | 30,333,006 | |
| U.S. Treasury Obligations | | | | | — | | | | 28,290,874 | | | | — | | | | 28,290,874 | |
| Asset-Backed Securities | | | | | — | | | | 37,868,767 | | | | — | | | | 37,868,767 | |
| U.S. Government Agency Obligations | | | | | — | | | | 69,415,829 | | | | — | | | | 69,415,829 | |
| Foreign Government Bonds | | | | | — | | | | 7,106,473 | | | | — | | | | 7,106,473 | |
| Total Investments, at fair value | | | | $ | 22,400,354 | | | $ | 219,517,999 | | | $ | 947,417 | | | $ | 242,865,770 | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | | — | | | | 763,247 | | | | — | | | | 763,247 | |
| Forward Foreign Currency Contracts | | | | | — | | | | 1,379,768 | | | | — | | | | 1,379,768 | |
| Futures | | | | | 297,386 | | | | — | | | | — | | | | 297,386 | |
| Total Assets | | | | $ | 22,697,740 | | | $ | 221,661,014 | | | $ | 947,417 | | | $ | 245,306,171 | |
Liabilities Table | | | | | | | | | | | | | | | | | | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | $ | — | | | $ | (1,100,639 | ) | | $ | — | | | $ | (1,100,639 | ) |
| Forward Foreign Currency Contracts | | | | | — | | | | (1,118,340 | ) | | | — | | | | (1,118,340 | ) |
| Futures | | | | | (237,269 | ) | | | — | | | | — | | | | (237,269 | ) |
| OTC Swaps | | | | | — | | | | (133,797 | ) | | | — | | | | (133,797 | ) |
| Sales Commitments | | | | | — | | | | (4,156,665 | ) | | | — | | | | (4,156,665 | ) |
| Total Liabilities | | | | $ | (237,269 | ) | | $ | (6,509,441 | ) | | $ | — | | | $ | (6,746,710 | ) |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
| + | | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
At June 30, 2017, the following forward foreign currency contracts were outstanding for VY® Goldman Sachs Bond Portfolio:
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| CZK 10,076,161 | | | | EUR 376,000 | | Bank of America N.A. | | | 07/03/17 | | | $ | 11,151 | |
| EUR 549,307 | | | | CZK 14,441,278 | | Bank of America N.A. | | | 07/03/17 | | | | (4,082 | ) |
| USD 563,716 | | | | GBP 433,000 | | Bank of America N.A. | | | 09/20/17 | | | | (1,627 | ) |
| EUR 165,000 | | | | USD 188,849 | | Bank of America N.A. | | | 09/20/17 | | | | 396 | |
| CZK 14,441,278 | | | | EUR 549,631 | | Bank of America N.A. | | | 09/20/17 | | | | 4,360 | |
| MXN 3,429,757 | | | | USD 188,000 | | Bank of America N.A. | | | 09/20/17 | | | | (1,370 | ) |
| PLN 1,440,715 | | | | EUR 338,000 | | Bank of America N.A. | | | 09/20/17 | | | | 986 | |
| USD 188,000 | | | | CAD 248,922 | | Bank of America N.A. | | | 09/20/17 | | | | (4,193 | ) |
| USD 452,000 | | | | CAD 597,361 | | Bank of America N.A. | | | 09/20/17 | | | | (9,221 | ) |
| USD 376,000 | | | | JPY 41,689,000 | | Bank of America N.A. | | | 09/20/17 | | | | 4,060 | |
| HUF 52,232,830 | | | | EUR 169,000 | | Bank of America N.A. | | | 09/20/17 | | | | (26 | ) |
| USD 170,028 | | | | SGD 235,499 | | Bank of America N.A. | | | 09/20/17 | | | | (1,239 | ) |
| JPY 42,069,888 | | | | USD 376,000 | | Bank of America N.A. | | | 09/20/17 | | | | (662 | ) |
| EUR 155,000 | | | | PLN 657,047 | | Bank of America N.A. | | | 09/20/17 | | | | 529 | |
| PLN 460,737 | | | | EUR 108,625 | | Bank of America N.A. | | | 09/20/17 | | | | (297 | ) |
| AUD 490,394 | | | | USD 372,993 | | Bank of America N.A. | | | 09/20/17 | | | | 3,548 | |
| EUR 180,666 | | | | PLN 764,964 | | Bank of America N.A. | | | 09/20/17 | | | | 853 | |
| USD 172,509 | | | | MXN 3,168,593 | | Bank of America N.A. | | | 09/20/17 | | | | 90 | |
See Accompanying Notes to Financial Statements
41
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| MXN 32,035,198 | | | | USD 1,736,513 | | Bank of America N.A. | | | 09/20/17 | | | $ | 6,676 | |
| USD 374,447 | | | | NZD 520,000 | | Bank of America N.A. | | | 09/20/17 | | | | (6,057 | ) |
| USD 3,447,518 | | | | GBP 2,701,181 | | Bank of America N.A. | | | 09/20/17 | | | | (79,262 | ) |
| AUD 249,000 | | | | USD 187,724 | | Bank of America N.A. | | | 09/20/17 | | | | 3,466 | |
| CZK 5,004,936 | | | | EUR 188,000 | | Bank of America N.A. | | | 09/20/17 | | | | 4,363 | |
| CZK 5,060,584 | | | | EUR 188,000 | | Bank of America N.A. | | | 10/03/17 | | | | 6,855 | |
| BRL 625,109 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/05/17 | | | | 646 | |
| BRL 623,995 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/05/17 | | | | 310 | |
| BRL 247,357 | | | | USD 75,000 | | Barclays Bank PLC | | | 07/05/17 | | | | (352 | ) |
| BRL 628,437 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/05/17 | | | | 1,650 | |
| BRL 623,280 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/05/17 | | | | 94 | |
| BRL 625,534 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/05/17 | | | | 774 | |
| BRL 497,745 | | | | USD 150,000 | | Barclays Bank PLC | | | 07/05/17 | | | | 210 | |
| TWD 2,682,016 | | | | USD 86,966 | | Barclays Bank PLC | | | 07/11/17 | | | | 1,214 | |
| KRW 463,623,466 | | | | USD 409,623 | | Barclays Bank PLC | | | 07/12/17 | | | | (4,463 | ) |
| KRW 81,413,057 | | | | USD 72,502 | | Barclays Bank PLC | | | 07/12/17 | | | | (1,356 | ) |
| KRW 240,150,516 | | | | USD 212,828 | | Barclays Bank PLC | | | 07/13/17 | | | | (2,964 | ) |
| USD 1,413,820 | | | | KRW 1,585,768,865 | | Barclays Bank PLC | | | 07/13/17 | | | | 28,040 | |
| USD 488,529 | | | | KRW 557,249,867 | | Barclays Bank PLC | | | 07/13/17 | | | | 1,556 | |
| KRW 377,344,724 | | | | USD 326,268 | | Barclays Bank PLC | | | 07/13/17 | | | | 3,488 | |
| KRW 920,260,696 | | | | USD 826,384 | | Barclays Bank PLC | | | 07/13/17 | | | | (22,182 | ) |
| USD 150,000 | | | | ARS 2,431,500 | | Barclays Bank PLC | | | 07/13/17 | | | | 4,445 | |
| USD 417,458 | | | | INR 27,322,640 | | Barclays Bank PLC | | | 07/14/17 | | | | (4,775 | ) |
| INR 12,126,940 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/14/17 | | | | (595 | ) |
| INR 23,740,853 | | | | USD 365,948 | | Barclays Bank PLC | | | 07/14/17 | | | | 934 | |
| INR 31,755,877 | | | | USD 486,300 | | Barclays Bank PLC | | | 07/14/17 | | | | 4,443 | |
| INR 12,130,625 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/14/17 | | | | (538 | ) |
| USD 188,000 | | | | KRW 212,300,316 | | Barclays Bank PLC | | | 07/19/17 | | | | 2,492 | |
| USD 188,000 | | | | RUB 10,885,877 | | Barclays Bank PLC | | | 07/20/17 | | | | 4,053 | |
| RUB 10,788,192 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/20/17 | | | | (5,703 | ) |
| TWD 5,709,748 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/20/17 | | | | (240 | ) |
| RUB 10,770,689 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/20/17 | | | | (5,999 | ) |
| KRW 85,674,807 | | | | USD 75,255 | | Barclays Bank PLC | | | 07/20/17 | | | | (393 | ) |
| TWD 5,719,900 | | | | USD 188,000 | | Barclays Bank PLC | | | 07/20/17 | | | | 94 | |
| KRW 214,515,000 | | | | USD 189,000 | | Barclays Bank PLC | | | 07/26/17 | | | | (1,578 | ) |
| USD 75,000 | | | | KRW 84,975,000 | | Barclays Bank PLC | | | 07/26/17 | | | | 757 | |
| KRW 427,294,296 | | | | USD 376,000 | | Barclays Bank PLC | | | 07/26/17 | | | | (2,672 | ) |
| TWD 390,821 | | | | USD 12,818 | | Barclays Bank PLC | | | 07/31/17 | | | | 37 | |
| PHP 19,012,500 | | | | USD 375,000 | | Barclays Bank PLC | | | 07/31/17 | | | | 712 | |
| KRW 129,040,350 | | | | USD 113,000 | | Barclays Bank PLC | | | 07/31/17 | | | | (266 | ) |
| BRL 249,479 | | | | USD 75,000 | | Barclays Bank PLC | | | 08/02/17 | | | | (195 | ) |
| COP 241,785,000 | | | | USD 83,073 | | Barclays Bank PLC | | | 08/11/17 | | | | (4,184 | ) |
| CLP 75,387,200 | | | | USD 112,267 | | Barclays Bank PLC | | | 08/30/17 | | | | 1,116 | |
| USD 1,683,999 | | | | TWD 50,531,752 | | Barclays Bank PLC | | | 09/11/17 | | | | 21,661 | |
| EUR 164,000 | | | | SEK 1,585,921 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,000 | ) |
| EUR 361,000 | | | | SEK 3,489,980 | | Barclays Bank PLC | | | 09/20/17 | | | | (2,084 | ) |
| EUR 165,000 | | | | SEK 1,592,102 | | Barclays Bank PLC | | | 09/20/17 | | | | (590 | ) |
| USD 269,838 | | | | JPY 30,057,524 | | Barclays Bank PLC | | | 09/20/17 | | | | 1,672 | |
| NOK 1,573,419 | | | | EUR 164,000 | | Barclays Bank PLC | | | 09/20/17 | | | | 657 | |
| JPY 42,017,812 | | | | USD 375,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (127 | ) |
| TRY 673,220 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (932 | ) |
| EUR 164,000 | | | | SEK 1,582,597 | | Barclays Bank PLC | | | 09/20/17 | | | | (603 | ) |
| EUR 197,000 | | | | SEK 1,901,682 | | Barclays Bank PLC | | | 09/20/17 | | | | (801 | ) |
| EUR 164,000 | | | | SEK 1,583,881 | | Barclays Bank PLC | | | 09/20/17 | | | | (757 | ) |
| EUR 205,774 | | | | PLN 874,332 | | Barclays Bank PLC | | | 09/20/17 | | | | 147 | |
| TRY 673,731 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (790 | ) |
| USD 188,000 | | | | CNH 1,289,058 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,008 | ) |
| EUR 431,188 | | | | SEK 4,184,733 | | Barclays Bank PLC | | | 09/20/17 | | | | (4,422 | ) |
| USD 189,228 | | | | EUR 167,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (2,311 | ) |
| USD 75,842 | | | | SEK 649,645 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,619 | ) |
| EUR 79,000 | | | | SEK 767,230 | | Barclays Bank PLC | | | 09/20/17 | | | | (873 | ) |
| ZAR 978,724 | | | | USD 75,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,181 | ) |
| TRY 672,155 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,228 | ) |
See Accompanying Notes to Financial Statements
42
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| TRY 672,690 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | $ | (1,079 | ) |
| USD 113,000 | | | | TRY 408,235 | | Barclays Bank PLC | | | 09/20/17 | | | | (437 | ) |
| GBP 149,000 | | | | USD 188,562 | | Barclays Bank PLC | | | 09/20/17 | | | | 5,978 | |
| USD 151,430 | | | | EUR 135,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (3,407 | ) |
| USD 75,000 | | | | ZAR 993,727 | | Barclays Bank PLC | | | 09/20/17 | | | | 50 | |
| ZAR 977,742 | | | | USD 75,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,255 | ) |
| ZAR 989,970 | | | | USD 75,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (333 | ) |
| USD 179,784 | | | | TRY 644,204 | | Barclays Bank PLC | | | 09/20/17 | | | | 779 | |
| USD 1,120,742 | | | | EUR 996,826 | | Barclays Bank PLC | | | 09/20/17 | | | | (22,561 | ) |
| TRY 675,774 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (222 | ) |
| JPY 20,729,914 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (3,053 | ) |
| ZAR 924,086 | | | | USD 72,165 | | Barclays Bank PLC | | | 09/20/17 | | | | (2,467 | ) |
| USD 83,310 | | | | NZD 114,251 | | Barclays Bank PLC | | | 09/20/17 | | | | (292 | ) |
| USD 188,299 | | | | GBP 145,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,019 | ) |
| USD 188,283 | | | | GBP 147,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (3,647 | ) |
| USD 1,457,898 | | | | GBP 1,145,228 | | Barclays Bank PLC | | | 09/20/17 | | | | (37,361 | ) |
| JPY 20,607,526 | | | | USD 188,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (4,144 | ) |
| USD 75,456 | | | | GBP 59,000 | | Barclays Bank PLC | | | 09/20/17 | | | | (1,577 | ) |
| HKD 2,308,976 | | | | USD 296,824 | | Barclays Bank PLC | | | 10/03/17 | | | | (340 | ) |
| CZK 4,365,117 | | | | EUR 165,533 | | BNP Paribas | | | 07/03/17 | | | | 1,809 | |
| CNH 1,291,654 | | | | USD 188,000 | | BNP Paribas | | | 09/20/17 | | | | 1,388 | |
| CNH 1,291,334 | | | | USD 188,000 | | BNP Paribas | | | 09/20/17 | | | | 1,341 | |
| JPY 10,141,814 | | | | USD 90,830 | | BNP Paribas | | | 09/20/17 | | | | (348 | ) |
| CZK 3,362,414 | | | | EUR 128,102 | | BNP Paribas | | | 09/20/17 | | | | 866 | |
| CZK 4,432,042 | | | | EUR 169,000 | | BNP Paribas | | | 09/20/17 | | | | 974 | |
| EUR 125,198 | | | | HUF 38,726,122 | | BNP Paribas | | | 09/20/17 | | | | (97 | ) |
| AUD 100,000 | | | | USD 75,492 | | BNP Paribas | | | 09/20/17 | | | | 1,291 | |
| CZK 4,439,698 | | | | EUR 169,000 | | BNP Paribas | | | 09/20/17 | | | | 1,310 | |
| TRY 272,415 | | | | USD 75,000 | | BNP Paribas | | | 09/20/17 | | | | 696 | |
| TRY 409,342 | | | | USD 113,000 | | BNP Paribas | | | 09/20/17 | | | | 744 | |
| USD 187,980 | | | | NZD 260,000 | | BNP Paribas | | | 09/20/17 | | | | (2,272 | ) |
| USD 1,056,202 | | | | EUR 942,708 | | BNP Paribas | | | 09/20/17 | | | | (25,030 | ) |
| USD 179,718 | | | | PLN 678,757 | | BNP Paribas | | | 09/20/17 | | | | (3,387 | ) |
| PLN 10,634,331 | | | | EUR 2,523,512 | | BNP Paribas | | | 09/20/17 | | | | (25,563 | ) |
| BRL 1,652,000 | | | | USD 502,510 | | Citibank N.A. | | | 07/05/17 | | | | (3,967 | ) |
| CZK 4,971,135 | | | | EUR 185,000 | | Citibank N.A. | | | 07/10/17 | | | | 6,094 | |
| USD 91,577 | | | | TWD 2,771,758 | | Citibank N.A. | | | 07/11/17 | | | | 447 | |
| SEK 649,661 | | | | USD 74,284 | | Citibank N.A. | | | 07/12/17 | | | | 2,868 | |
| ARS 3,129,525 | | | | USD 193,300 | | Citibank N.A. | | | 07/13/17 | | | | (5,960 | ) |
| USD 583,107 | | | | KRW 661,768,202 | | Citibank N.A. | | | 07/13/17 | | | | 4,798 | |
| USD 719,859 | | | | KRW 824,742,753 | | Citibank N.A. | | | 07/13/17 | | | | (871 | ) |
| RUB 56,807,703 | | | | USD 963,970 | | Citibank N.A. | | | 07/20/17 | | | | (4,044 | ) |
| KRW 212,966,400 | | | | USD 188,000 | | Citibank N.A. | | | 07/20/17 | | | | (1,913 | ) |
| RUB 8,965,200 | | | | USD 150,000 | | Citibank N.A. | | | 07/20/17 | | | | 1,492 | |
| RUB 22,813,331 | | | | USD 398,225 | | Citibank N.A. | | | 07/20/17 | | | | (12,730 | ) |
| AUD 719,822 | | | | USD 538,461 | | Citibank N.A. | | | 07/27/17 | | | | 14,611 | |
| AUD 115,525 | | | | USD 87,657 | | Citibank N.A. | | | 07/27/17 | | | | 1,106 | |
| MYR 350,091 | | | | USD 80,843 | | Citibank N.A. | | | 07/27/17 | | | | 476 | |
| USD 661,274 | | | | AUD 884,000 | | Citibank N.A. | | | 07/27/17 | | | | (17,943 | ) |
| USD 196,208 | | | | IDR 2,617,960,100 | | Citibank N.A. | | | 07/31/17 | | | | 403 | |
| GBP 897,195 | | | | USD 1,144,727 | | Citibank N.A. | | | 08/10/17 | | | | 25,274 | |
| USD 1,402,294 | | | | GBP 1,099,067 | | Citibank N.A. | | | 08/10/17 | | | | (30,961 | ) |
| TWD 6,198,337 | | | | USD 204,971 | | Citibank N.A. | | | 08/17/17 | | | | (1,086 | ) |
| USD 83,477 | | | | MYR 361,665 | | Citibank N.A. | | | 08/17/17 | | | | (405 | ) |
| PEN 658,601 | | | | USD 198,883 | | Citibank N.A. | | | 08/29/17 | | | | 2,822 | |
| CLP 253,889,370 | | | | USD 382,340 | | Citibank N.A. | | | 08/30/17 | | | | (489 | ) |
| NOK 766,347 | | | | EUR 79,999 | | Citibank N.A. | | | 09/20/17 | | | | 181 | |
| USD 563,000 | | | | JPY 62,951,845 | | Citibank N.A. | | | 09/20/17 | | | | 1,358 | |
| USD 375,000 | | | | JPY 41,885,812 | | Citibank N.A. | | | 09/20/17 | | | | 1,304 | |
| NOK 4,742,438 | | | | EUR 493,000 | | Citibank N.A. | | | 09/20/17 | | | | 3,485 | |
| EUR 164,000 | | | | USD 188,123 | | Citibank N.A. | | | 09/20/17 | | | | (24 | ) |
| JPY 20,340,164 | | | | USD 181,532 | | Citibank N.A. | | | 09/20/17 | | | | (62 | ) |
| NOK 3,785,473 | | | | EUR 394,000 | | Citibank N.A. | | | 09/20/17 | | | | 2,230 | |
See Accompanying Notes to Financial Statements
43
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| USD 67,252 | | | | MXN 1,229,376 | | Citibank N.A. | | | 09/20/17 | | | $ | 356 | |
| USD 188,000 | | | | MXN 3,405,263 | | Citibank N.A. | | | 09/20/17 | | | | 2,703 | |
| ZAR 984,307 | | | | USD 75,000 | | Citibank N.A. | | | 09/20/17 | | | | (760 | ) |
| NZD 114,423 | | | | USD 83,043 | | Citibank N.A. | | | 09/20/17 | | | | 685 | |
| USD 566,005 | | | | EUR 496,000 | | Citibank N.A. | | | 09/20/17 | | | | (2,878 | ) |
| USD 752,000 | | | | CHF 718,310 | | Citibank N.A. | | | 09/20/17 | | | | (923 | ) |
| USD 188,000 | | | | MXN 3,417,520 | | Citibank N.A. | | | 09/20/17 | | | | 2,036 | |
| AUD 247,000 | | | | USD 188,189 | | Citibank N.A. | | | 09/20/17 | | | | 1,466 | |
| SEK 712,297 | | | | EUR 73,000 | | Citibank N.A. | | | 09/20/17 | | | | 1,204 | |
| SEK 917,739 | | | | EUR 94,064 | | Citibank N.A. | | | 09/20/17 | | | | 1,541 | |
| USD 188,934 | | | | GBP 148,000 | | Citibank N.A. | | | 09/20/17 | | | | (4,301 | ) |
| SEK 728,410 | | | | USD 83,698 | | Citibank N.A. | | | 09/20/17 | | | | 3,155 | |
| USD 75,000 | | | | MXN 1,372,012 | | Citibank N.A. | | | 09/20/17 | | | | 342 | |
| USD 38,000 | | | | MXN 697,832 | | Citibank N.A. | | | 09/20/17 | | | | 28 | |
| EUR 67,555 | | | | AUD 100,312 | | Citibank N.A. | | | 09/20/17 | | | | 459 | |
| AUD 420,991 | | | | USD 319,435 | | Citibank N.A. | | | 09/20/17 | | | | 3,815 | |
| SEK 1,651,688 | | | | EUR 169,000 | | Citibank N.A. | | | 09/20/17 | | | | 3,107 | |
| USD 189,258 | | | | EUR 169,000 | | Citibank N.A. | | | 09/20/17 | | | | (4,575 | ) |
| JPY 10,110,675 | | | | USD 90,963 | | Citibank N.A. | | | 09/20/17 | | | | (758 | ) |
| NOK 22,649,949 | | | | EUR 2,384,067 | | Citibank N.A. | | | 09/20/17 | | | | (17,180 | ) |
| JPY 20,739,408 | | | | USD 188,000 | | Citibank N.A. | | | 09/20/17 | | | | (2,968 | ) |
| USD 188,252 | | | | GBP 148,000 | | Citibank N.A. | | | 09/20/17 | | | | (4,984 | ) |
| USD 188,410 | | | | GBP 147,000 | | Citibank N.A. | | | 09/20/17 | | | | (3,520 | ) |
| USD 187,346 | | | | NZD 260,000 | | Citibank N.A. | | | 09/20/17 | | | | (2,906 | ) |
| USD 376,000 | | | | CAD 496,339 | | Citibank N.A. | | | 09/20/17 | | | | (7,222 | ) |
| SEK 1,638,258 | | | | EUR 168,000 | | Citibank N.A. | | | 09/20/17 | | | | 2,652 | |
| SEK 11,138,578 | | | | EUR 1,139,233 | | Citibank N.A. | | | 09/20/17 | | | | 21,481 | |
| NZD 2,335,241 | | | | USD 1,678,501 | | Citibank N.A. | | | 09/20/17 | | | | 30,285 | |
| USD 75,000 | | | | CAD 99,427 | | Citibank N.A. | | | 09/20/17 | | | | (1,768 | ) |
| USD 913,905 | | | | HKD 7,080,569 | | Citibank N.A. | | | 10/03/17 | | | | 4,725 | |
| USD 493,547 | | | | BRL 1,652,000 | | Citibank N.A. | | | 10/03/17 | | | | 4,020 | |
| USD 728,000 | | | | HKD 5,639,889 | | Citibank N.A. | | | 10/10/17 | | | | 3,721 | |
| TWD 1,131,046 | | | | USD 37,384 | | Citibank N.A. | | | 10/20/17 | | | | (152 | ) |
| CZK 10,698,913 | | | | EUR 399,929 | | Citibank N.A. | | | 11/21/17 | | | | 12,361 | |
| USD 735,163 | | | | HKD 5,685,787 | | Citibank N.A. | | | 03/27/18 | | | | 3,295 | |
| USD 605,000 | | | | HKD 4,679,675 | | Citibank N.A. | | | 03/27/18 | | | | 2,638 | |
| USD 700,246 | | | | RUB 39,970,061 | | Credit Suisse International | | | 07/20/17 | | | | 24,840 | |
| CLP 100,143,750 | | | | USD 150,685 | | Credit Suisse International | | | 08/30/17 | | | | (68 | ) |
| COP 770,069,749 | | | | USD 261,196 | | Credit Suisse International | | | 09/14/17 | | | | (10,948 | ) |
| JPY 10,102,069 | | | | USD 90,580 | | Credit Suisse International | | | 09/20/17 | | | | (452 | ) |
| USD 97,982 | | | | GBP 75,415 | | Credit Suisse International | | | 09/20/17 | | | | (484 | ) |
| EUR 330,000 | | | | CHF 360,743 | | Credit Suisse International | | | 09/20/17 | | | | 365 | |
| USD 97,982 | | | | EUR 85,500 | | Credit Suisse International | | | 09/20/17 | | | | (81 | ) |
| CAD 245,921 | | | | USD 188,000 | | Credit Suisse International | | | 09/20/17 | | | | 1,875 | |
| EUR 166,000 | | | | USD 189,070 | | Credit Suisse International | | | 09/20/17 | | | | 1,323 | |
| JPY 63,064,224 | | | | USD 564,000 | | Credit Suisse International | | | 09/20/17 | | | | (1,356 | ) |
| JPY 20,959,180 | | | | USD 188,000 | | Credit Suisse International | | | 09/20/17 | | | | (1,007 | ) |
| USD 98,299 | | | | CAD 129,056 | | Credit Suisse International | | | 09/20/17 | | | | (1,345 | ) |
| USD 377,236 | | | | EUR 330,000 | | Credit Suisse International | | | 09/20/17 | | | | (1,255 | ) |
| JPY 20,936,650 | | | | USD 187,000 | | Credit Suisse International | | | 09/20/17 | | | | (208 | ) |
| USD 188,603 | | | | EUR 165,000 | | Credit Suisse International | | | 09/20/17 | | | | (642 | ) |
| AUD 249,000 | | | | USD 188,346 | | Credit Suisse International | | | 09/20/17 | | | | 2,844 | |
| AUD 496,000 | | | | USD 376,328 | | Credit Suisse International | | | 09/20/17 | | | | 4,517 | |
| USD 188,000 | | | | CAD 248,205 | | Credit Suisse International | | | 09/20/17 | | | | (3,639 | ) |
| GBP 60,000 | | | | USD 75,806 | | Credit Suisse International | | | 09/20/17 | | | | 2,532 | |
| EUR 100,824 | | | | USD 113,279 | | Credit Suisse International | | | 09/20/17 | | | | 2,361 | |
| JPY 20,851,080 | | | | USD 188,000 | | Credit Suisse International | | | 09/20/17 | | | | (1,972 | ) |
| USD 187,832 | | | | NZD 260,000 | | Credit Suisse International | | | 09/20/17 | | | | (2,420 | ) |
| GBP 59,380 | | | | USD 75,612 | | Credit Suisse International | | | 09/20/17 | | | | 1,918 | |
| JPY 15,132,929 | | | | USD 136,551 | | Credit Suisse International | | | 09/20/17 | | | | (1,539 | ) |
| SEK 25,706,020 | | | | EUR 2,639,303 | | Credit Suisse International | | | 09/20/17 | | | | 37,946 | |
| GBP 118,664 | | | | CAD 200,052 | | Credit Suisse International | | | 09/20/17 | | | | 473 | |
| USD 75,000 | | | | CLP 49,629,000 | | Deutsche Bank AG | | | 07/03/17 | | | | 238 | |
See Accompanying Notes to Financial Statements
44
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| USD 76,000 | | | | KRW 85,203,600 | | Deutsche Bank AG | | | 07/03/17 | | | $ | 1,531 | |
| USD 1,909,776 | | | | BRL 6,286,983 | | Deutsche Bank AG | | | 07/05/17 | | | | 12,483 | |
| USD 189,000 | | | | BRL 618,691 | | Deutsche Bank AG | | | 07/05/17 | | | | 2,291 | |
| USD 189,000 | | | | BRL 617,325 | | Deutsche Bank AG | | | 07/05/17 | | | | 2,703 | |
| TWD 5,685,457 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/11/17 | | | | (1,074 | ) |
| USD 443,954 | | | | KRW 501,201,600 | | Deutsche Bank AG | | | 07/12/17 | | | | 5,954 | |
| KRW 869,561,693 | | | | USD 761,838 | | Deutsche Bank AG | | | 07/13/17 | | | | (1,941 | ) |
| KRW 981,740,884 | | | | USD 863,297 | | Deutsche Bank AG | | | 07/13/17 | | | | (5,368 | ) |
| KRW 534,186,742 | | | | USD 478,092 | | Deutsche Bank AG | | | 07/13/17 | | | | (11,274 | ) |
| USD 80,182 | | | | KRW 90,878,680 | | Deutsche Bank AG | | | 07/13/17 | | | | 765 | |
| INR 26,130,990 | | | | USD 400,567 | | Deutsche Bank AG | | | 07/14/17 | | | | 3,251 | |
| INR 8,133,336 | | | | USD 120,333 | | Deutsche Bank AG | | | 07/14/17 | | | | 5,356 | |
| INR 26,417,350 | | | | USD 400,020 | | Deutsche Bank AG | | | 07/14/17 | | | | 8,223 | |
| INR 12,145,740 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/14/17 | | | | (305 | ) |
| INR 12,144,800 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/14/17 | | | | (319 | ) |
| USD 209,186 | | | | INR 13,725,979 | | Deutsche Bank AG | | | 07/14/17 | | | | (2,930 | ) |
| USD 701,455 | | | | INR 45,243,858 | | Deutsche Bank AG | | | 07/14/17 | | | | 2,275 | |
| INR 12,084,200 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/14/17 | | | | (1,256 | ) |
| INR 6,317,080 | | | | USD 98,000 | | Deutsche Bank AG | | | 07/14/17 | | | | (378 | ) |
| CLP 49,494,000 | | | | USD 75,000 | | Deutsche Bank AG | | | 07/17/17 | | | | (469 | ) |
| USD 150,000 | | | | CLP 99,772,200 | | Deutsche Bank AG | | | 07/17/17 | | | | (242 | ) |
| TWD 11,311,960 | | | | USD 376,000 | | Deutsche Bank AG | | | 07/17/17 | | | | (4,040 | ) |
| USD 188,000 | | | | TWD 5,705,800 | | Deutsche Bank AG | | | 07/19/17 | | | | 374 | |
| INR 4,859,407 | | | | USD 75,000 | | Deutsche Bank AG | | | 07/20/17 | | | | 45 | |
| KRW 213,004,000 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/20/17 | | | | (1,880 | ) |
| KRW 429,880,800 | | | | USD 376,000 | | Deutsche Bank AG | | | 07/20/17 | | | | (376 | ) |
| USD 188,000 | | | | KRW 213,756,000 | | Deutsche Bank AG | | | 07/20/17 | | | | 1,223 | |
| USD 75,000 | | | | INR 4,845,375 | | Deutsche Bank AG | | | 07/20/17 | | | | 172 | |
| TWD 2,184,562 | | | | USD 71,625 | | Deutsche Bank AG | | | 07/20/17 | | | | 212 | |
| KRW 214,517,400 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/20/17 | | | | (557 | ) |
| TWD 5,697,340 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/20/17 | | | | (648 | ) |
| TWD 5,729,394 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/20/17 | | | | 406 | |
| INR 12,144,800 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/24/17 | | | | (529 | ) |
| USD 73,830 | | | | CLP 49,023,120 | | Deutsche Bank AG | | | 07/24/17 | | | | 24 | |
| INR 45,279,806 | | | | USD 698,385 | | Deutsche Bank AG | | | 07/24/17 | | | | 568 | |
| USD 187,323 | | | | INR 12,140,417 | | Deutsche Bank AG | | | 07/24/17 | | | | (80 | ) |
| KRW 214,132,000 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/26/17 | | | | (912 | ) |
| INR 24,312,160 | | | | USD 376,000 | | Deutsche Bank AG | | | 07/31/17 | | | | (1,004 | ) |
| USD 188,000 | | | | TWD 5,727,420 | | Deutsche Bank AG | | | 07/31/17 | | | | (384 | ) |
| INR 12,180,520 | | | | USD 188,000 | | Deutsche Bank AG | | | 07/31/17 | | | | (125 | ) |
| USD 263,000 | | | | TWD 8,010,980 | | Deutsche Bank AG | | | 07/31/17 | | | | (494 | ) |
| USD 177,754 | | | | KRW 203,617,207 | | Deutsche Bank AG | | | 07/31/17 | | | | (133 | ) |
| USD 75,000 | | | | TWD 2,280,375 | | Deutsche Bank AG | | | 07/31/17 | | | | (5 | ) |
| BRL 6,286,983 | | | | USD 1,897,986 | | Deutsche Bank AG | | | 08/02/17 | | | | (12,879 | ) |
| COP 234,923,976 | | | | USD 80,083 | | Deutsche Bank AG | | | 08/11/17 | | | | (3,432 | ) |
| USD 177,581 | | | | COP 518,449,099 | | Deutsche Bank AG | | | 08/11/17 | | | | 8,421 | |
| USD 1,401,696 | | | | KRW 1,576,207,202 | | Deutsche Bank AG | | | 08/24/17 | | | | 24,315 | |
| USD 184,580 | | | | IDR 2,472,723,440 | | Deutsche Bank AG | | | 08/25/17 | | | | 157 | |
| IDR 10,443,216,527 | | | | USD 781,122 | | Deutsche Bank AG | | | 08/25/17 | | | | (2,236 | ) |
| USD 75,000 | | | | CLP 49,841,250 | | Deutsche Bank AG | | | 08/30/17 | | | | 38 | |
| USD 75,000 | | | | CLP 49,702,500 | | Deutsche Bank AG | | | 08/30/17 | | | | 247 | |
| PHP 18,704,062 | | | | USD 375,508 | | Deutsche Bank AG | | | 09/14/17 | | | | (7,230 | ) |
| USD 73,628 | | | | COP 218,418,750 | | Deutsche Bank AG | | | 09/14/17 | | | | 2,649 | |
| USD 187,614 | | | | NZD 259,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,906 | ) |
| USD 188,000 | | | | CNH 1,292,483 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,510 | ) |
| SGD 521,813 | | | | USD 376,000 | | Deutsche Bank AG | | | 09/20/17 | | | | 3,488 | |
| MXN 7,558,263 | | | | USD 413,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,718 | ) |
| MXN 1,996,699 | | | | USD 109,013 | | Deutsche Bank AG | | | 09/20/17 | | | | (362 | ) |
| USD 187,758 | | | | NZD 259,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,762 | ) |
| USD 187,218 | | | | AUD 244,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (134 | ) |
| USD 170,911 | | | | CNH 1,169,320 | | Deutsche Bank AG | | | 09/20/17 | | | | (540 | ) |
| GBP 208,000 | | | | USD 263,510 | | Deutsche Bank AG | | | 09/20/17 | | | | 8,064 | |
| USD 188,000 | | | | CAD 248,395 | | Deutsche Bank AG | | | 09/20/17 | | | | (3,785 | ) |
See Accompanying Notes to Financial Statements
45
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| USD 563,454 | | | | NZD 782,000 | | Deutsche Bank AG | | | 09/20/17 | | | $ | (8,765 | ) |
| USD 375,208 | | | | NZD 518,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (3,833 | ) |
| USD 187,718 | | | | NZD 259,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,802 | ) |
| USD 187,361 | | | | AUD 247,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (2,294 | ) |
| USD 188,000 | | | | CNH 1,284,999 | | Deutsche Bank AG | | | 09/20/17 | | | | (412 | ) |
| USD 68,040 | | | | CNH 463,012 | | Deutsche Bank AG | | | 09/20/17 | | | | 151 | |
| USD 194,919 | | | | EUR 169,888 | | Deutsche Bank AG | | | 09/20/17 | | | | 68 | |
| USD 375,000 | | | | CNH 2,557,125 | | Deutsche Bank AG | | | 09/20/17 | | | | 63 | |
| USD 188,299 | | | | GBP 147,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (3,631 | ) |
| PLN 230,498 | | | | EUR 54,076 | | Deutsche Bank AG | | | 09/20/17 | | | | 158 | |
| EUR 67,000 | | | | USD 75,548 | | Deutsche Bank AG | | | 09/20/17 | | | | 1,297 | |
| PLN 10,580,626 | | | | EUR 2,510,857 | | Deutsche Bank AG | | | 09/20/17 | | | | (25,536 | ) |
| PLN 1,698,395 | | | | EUR 403,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (4,052 | ) |
| CNH 1,291,729 | | | | USD 188,000 | | Deutsche Bank AG | | | 09/20/17 | | | | 1,399 | |
| MXN 3,426,206 | | | | USD 188,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,564 | ) |
| USD 188,000 | | | | MXN 3,425,945 | | Deutsche Bank AG | | | 09/20/17 | | | | 1,578 | |
| USD 105,727 | | | | NZD 146,306 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,330 | ) |
| JPY 20,798,571 | | | | USD 188,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (2,440 | ) |
| CNH 1,284,717 | | | | USD 188,000 | | Deutsche Bank AG | | | 09/20/17 | | | | 371 | |
| USD 188,000 | | | | CNH 1,290,394 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,203 | ) |
| USD 376,000 | | | | SGD 520,271 | | Deutsche Bank AG | | | 09/20/17 | | | | (2,367 | ) |
| USD 151,000 | | | | MXN 2,757,222 | | Deutsche Bank AG | | | 09/20/17 | | | | 966 | |
| USD 189,000 | | | | CNH 1,297,069 | | Deutsche Bank AG | | | 09/20/17 | | | | (1,182 | ) |
| USD 75,000 | | | | MXN 1,366,163 | | Deutsche Bank AG | | | 09/20/17 | | | | 660 | |
| USD 75,000 | | | | MXN 1,364,677 | | Deutsche Bank AG | | | 09/20/17 | | | | 741 | |
| EUR 504,000 | | | | USD 567,121 | | Deutsche Bank AG | | | 09/20/17 | | | | 10,938 | |
| TRY 268,830 | | | | USD 75,000 | | Deutsche Bank AG | | | 09/20/17 | | | | (300 | ) |
| USD 380,796 | | | | EUR 337,311 | | Deutsche Bank AG | | | 09/20/17 | | | | (6,081 | ) |
| EUR 67,000 | | | | PLN 284,301 | | Deutsche Bank AG | | | 09/20/17 | | | | 151 | |
| USD 75,000 | | | | MXN 1,369,892 | | Deutsche Bank AG | | | 09/20/17 | | | | 458 | |
| AUD 249,000 | | | | USD 188,504 | | Deutsche Bank AG | | | 09/20/17 | | | | 2,686 | |
| AUD 249,000 | | | | USD 188,537 | | Deutsche Bank AG | | | 09/20/17 | | | | 2,653 | |
| USD 189,855 | | | | EUR 167,500 | | Deutsche Bank AG | | | 09/20/17 | | | | (2,258 | ) |
| KRW 945,584,878 | | | | USD 833,702 | | Deutsche Bank AG | | | 09/27/17 | | | | (6,986 | ) |
| USD 517,844 | | | | TWD 15,616,622 | | Deutsche Bank AG | | | 09/29/17 | | | | 4,004 | |
| USD 269,280 | | | | HKD 2,083,042 | | Deutsche Bank AG | | | 03/27/18 | | | | 1,153 | |
| USD 402,000 | | | | HKD 3,112,686 | | Deutsche Bank AG | | | 03/27/18 | | | | 1,339 | |
| USD 517,657 | | | | BRL 1,652,000 | | JPMorgan Chase Bank N.A. | | | 07/05/17 | | | | 19,115 | |
| ARS 2,582,288 | | | | USD 160,216 | | JPMorgan Chase Bank N.A. | | | 07/06/17 | | | | (5,034 | ) |
| USD 468,626 | | | | TWD 14,111,269 | | JPMorgan Chase Bank N.A. | | | 07/11/17 | | | | 4,677 | |
| USD 187,500 | | | | KRW 210,024,375 | | JPMorgan Chase Bank N.A. | | | 07/17/17 | | | | 3,975 | |
| USD 74,519 | | | | RUB 4,277,400 | | JPMorgan Chase Bank N.A. | | | 07/20/17 | | | | 2,240 | |
| KRW 85,818,750 | | | | USD 75,000 | | JPMorgan Chase Bank N.A. | | | 07/20/17 | | | | (13 | ) |
| USD 188,000 | | | | IDR 2,506,040,000 | | JPMorgan Chase Bank N.A. | | | 07/21/17 | | | | 343 | |
| USD 134,390 | | | | NZD 186,920 | | JPMorgan Chase Bank N.A. | | | 07/28/17 | | | | (2,522 | ) |
| IDR 5,037,813,900 | | | | USD 377,082 | | JPMorgan Chase Bank N.A. | | | 08/25/17 | | | | (1,347 | ) |
| CLP 124,402,080 | | | | USD 187,152 | | JPMorgan Chase Bank N.A. | | | 08/30/17 | | | | (51 | ) |
| USD 565,912 | | | | TWD 17,025,458 | | JPMorgan Chase Bank N.A. | | | 08/30/17 | | | | 5,882 | |
| COP 217,275,000 | | | | USD 70,521 | | JPMorgan Chase Bank N.A. | | | 09/14/17 | | | | 86 | |
| EUR 208,649 | | | | CZK 5,447,372 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (126 | ) |
| EUR 60,205 | | | | USD 68,898 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 154 | |
| EUR 80,272 | | | | USD 91,803 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 264 | |
| GBP 145,000 | | | | USD 188,631 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 688 | |
| NZD 134,318 | | | | USD 97,982 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 303 | |
| USD 69,064 | | | | EUR 60,205 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 12 | |
| USD 91,987 | | | | EUR 80,272 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (80 | ) |
| EUR 498,000 | | | | USD 565,515 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 5,662 | |
| EUR 166,000 | | | | USD 188,871 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 1,522 | |
| JPY 21,043,780 | | | | USD 188,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (252 | ) |
| USD 113,073 | | | | GBP 88,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (1,823 | ) |
| USD 188,306 | | | | EUR 165,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (939 | ) |
| CNH 1,281,905 | | | | USD 186,872 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 1,087 | |
| NOK 3,149,459 | | | | CHF 359,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 1,527 | |
See Accompanying Notes to Financial Statements
46
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| USD 186,872 | | | | CNH 1,281,138 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | $ | (974 | ) |
| USD 188,000 | | | | CNH 1,288,364 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (906 | ) |
| MXN 3,411,346 | | | | USD 188,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (2,372 | ) |
| MXN 1,386,507 | | | | USD 75,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 447 | |
| USD 101,091 | | | | NZD 138,986 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (611 | ) |
| SEK 1,651,093 | | | | EUR 169,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 3,036 | |
| EUR 624,014 | | | | CZK 16,318,280 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (1,549 | ) |
| CAD 350,905 | | | | USD 264,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 6,933 | |
| MXN 1,383,471 | | | | USD 75,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 281 | |
| USD 75,000 | | | | MXN 1,367,750 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 574 | |
| NOK 1,589,934 | | | | USD 188,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 2,737 | |
| SEK 1,652,347 | | | | EUR 169,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 3,185 | |
| CZK 4,436,951 | | | | EUR 169,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 1,190 | |
| USD 188,000 | | | | MXN 3,430,193 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 1,347 | |
| EUR 81,000 | | | | CZK 2,121,609 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (351 | ) |
| USD 179,540 | | | | CAD 236,860 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (3,339 | ) |
| SEK 25,679,577 | | | | EUR 2,639,482 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 34,587 | |
| JPY 20,628,262 | | | | USD 188,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (3,959 | ) |
| EUR 85,310 | | | | CZK 2,232,317 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (274 | ) |
| NOK 22,731,654 | | | | EUR 2,397,437 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | (22,712 | ) |
| USD 188,000 | | | | MXN 3,445,049 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 538 | |
| CZK 4,301,622 | | | | EUR 164,000 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 976 | |
| NZD 102,952 | | | | USD 74,880 | | JPMorgan Chase Bank N.A. | | | 09/20/17 | | | | 454 | |
| CZK 6,264,762 | | | | EUR 234,328 | | JPMorgan Chase Bank N.A. | | | 09/21/17 | | | | 6,606 | |
| CZK 9,211,707 | | | | EUR 345,000 | | JPMorgan Chase Bank N.A. | | | 11/09/17 | | | | 9,733 | |
| CZK 5,149,240 | | | | EUR 193,000 | | JPMorgan Chase Bank N.A. | | | 01/03/18 | | | | 5,626 | |
| CZK 5,004,184 | | | | EUR 188,000 | | JPMorgan Chase Bank N.A. | | | 01/03/18 | | | | 4,963 | |
| CZK 5,283,374 | | | | EUR 197,990 | | JPMorgan Chase Bank N.A. | | | 01/03/18 | | | | 5,815 | |
| CZK 13,455,540 | | | | EUR 504,000 | | JPMorgan Chase Bank N.A. | | | 01/03/18 | | | | 15,083 | |
| KRW 85,203,600 | | | | USD 74,964 | | Morgan Stanley & Co. International PLC | | | 07/03/17 | | | | (495 | ) |
| CLP 49,629,000 | | | | USD 75,161 | | Morgan Stanley & Co. International PLC | | | 07/03/17 | | | | (399 | ) |
| BRL 1,251,678 | | | | USD 377,000 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 733 | |
| USD 263,000 | | | | BRL 868,899 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 783 | |
| USD 188,000 | | | | BRL 622,487 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 145 | |
| MYR 573,456 | | | | USD 133,523 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 50 | |
| BRL 250,487 | | | | USD 75,000 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 592 | |
| BRL 1,255,884 | | | | USD 380,061 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | (1,059 | ) |
| BRL 247,132 | | | | USD 75,000 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | (420 | ) |
| BRL 247,272 | | | | USD 75,000 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | (378 | ) |
| BRL 1,760,743 | | | | USD 533,979 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | (2,620 | ) |
| USD 75,000 | | | | BRL 246,514 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 607 | |
| USD 263,000 | | | | BRL 863,008 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | 2,560 | |
| BRL 1,239,334 | | | | USD 376,000 | | Morgan Stanley & Co. International PLC | | | 07/05/17 | | | | (1,993 | ) |
| USD 156,502 | | | | ARS 2,582,288 | | Morgan Stanley & Co. International PLC | | | 07/06/17 | | | | 1,320 | |
| USD 181,934 | | | | TWD 5,543,543 | | Morgan Stanley & Co. International PLC | | | 07/11/17 | | | | (326 | ) |
| USD 116,084 | | | | SEK 1,028,000 | | Morgan Stanley & Co. International PLC | | | 07/12/17 | | | | (5,997 | ) |
| USD 265,996 | | | | KRW 297,114,908 | | Morgan Stanley & Co. International PLC | | | 07/13/17 | | | | 6,352 | |
| KRW 230,580,217 | | | | USD 202,219 | | Morgan Stanley & Co. International PLC | | | 07/13/17 | | | | (718 | ) |
| ARS 2,582,288 | | | | USD 155,935 | | Morgan Stanley & Co. International PLC | | | 07/13/17 | | | | (1,354 | ) |
| USD 569,353 | | | | KRW 640,613,033 | | Morgan Stanley & Co. International PLC | | | 07/13/17 | | | | 9,531 | |
| USD 113,000 | | | | CLP 75,060,250 | | Morgan Stanley & Co. International PLC | | | 07/17/17 | | | | (30 | ) |
| USD 104,978 | | | | KRW 119,203,051 | | Morgan Stanley & Co. International PLC | | | 07/19/17 | | | | 819 | |
| RUB 4,138,062 | | | | USD 68,558 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 1,367 | |
| RUB 6,567,923 | | | | USD 114,526 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | (3,542 | ) |
| USD 75,000 | | | | RUB 4,350,038 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 1,494 | |
| RUB 9,044,505 | | | | USD 150,000 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 2,832 | |
| RUB 4,194,046 | | | | USD 70,160 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 710 | |
| RUB 6,704,008 | | | | USD 113,000 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 283 | |
| USD 187,039 | | | | RUB 10,682,461 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 6,529 | |
| USD 113,000 | | | | RUB 6,717,850 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | (517 | ) |
| USD 188,000 | | | | RUB 10,880,444 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 4,144 | |
| USD 75,000 | | | | RUB 4,437,000 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 24 | |
| RUB 9,003,810 | | | | USD 150,000 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 2,145 | |
See Accompanying Notes to Financial Statements
47
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| USD 378,000 | | | | RUB 21,672,479 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | $ | 11,783 | |
| RUB 8,599,800 | | | | USD 150,000 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | (4,682 | ) |
| USD 188,000 | | | | TWD 5,716,140 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 30 | |
| USD 150,000 | | | | RUB 8,825,460 | | Morgan Stanley & Co. International PLC | | | 07/20/17 | | | | 869 | |
| INR 12,232,401 | | | | USD 189,101 | | Morgan Stanley & Co. International PLC | | | 07/24/17 | | | | (278 | ) |
| USD 75,000 | | | | CLP 49,582,500 | | Morgan Stanley & Co. International PLC | | | 07/24/17 | | | | 351 | |
| MYR 573,456 | | | | USD 133,083 | | Morgan Stanley & Co. International PLC | | | 07/27/17 | | | | 118 | |
| USD 75,000 | | | | KRW 85,725,000 | | Morgan Stanley & Co. International PLC | | | 07/31/17 | | | | 108 | |
| COP 349,971,749 | | | | USD 119,261 | | Morgan Stanley & Co. International PLC | | | 08/11/17 | | | | (5,072 | ) |
| USD 75,000 | | | | CLP 49,732,500 | | Morgan Stanley & Co. International PLC | | | 08/30/17 | | | | 202 | |
| USD 75,019 | | | | CLP 49,629,000 | | Morgan Stanley & Co. International PLC | | | 08/30/17 | | | | 377 | |
| USD 308,016 | | | | BRL 1,030,883 | | Morgan Stanley & Co. International PLC | | | 09/05/17 | | | | 984 | |
| EUR 245,533 | | | | SEK 2,366,253 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (530 | ) |
| EUR 329,000 | | | | SEK 3,170,441 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (686 | ) |
| USD 376,967 | | | | GBP 296,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (9,503 | ) |
| JPY 21,111,272 | | | | USD 188,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 350 | |
| USD 188,000 | | | | JPY 20,920,452 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 1,353 | |
| USD 187,770 | | | | AUD 245,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (348 | ) |
| JPY 21,074,800 | | | | USD 188,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 24 | |
| USD 187,631 | | | | NZD 258,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (1,158 | ) |
| AUD 498,000 | | | | USD 376,762 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 5,619 | |
| CAD 249,421 | | | | USD 188,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 4,578 | |
| USD 75,312 | | | | GBP 59,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (1,721 | ) |
| CAD 249,628 | | | | USD 188,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 4,737 | |
| GBP 121,202 | | | | EUR 136,546 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 1,637 | |
| USD 75,000 | | | | ZAR 990,608 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 285 | |
| AUD 249,000 | | | | USD 188,076 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 3,114 | |
| USD 189,261 | | | | GBP 149,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (5,280 | ) |
| USD 187,816 | | | | AUD 249,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (3,375 | ) |
| GBP 149,000 | | | | USD 188,827 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 5,714 | |
| GBP 149,000 | | | | USD 188,433 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 6,108 | |
| GBP 149,000 | | | | USD 188,567 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 5,974 | |
| USD 188,901 | | | | EUR 168,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (3,786 | ) |
| USD 90,610 | | | | NZD 125,053 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (896 | ) |
| EUR 7,690 | | | | CZK 202,288 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (71 | ) |
| EUR 234,000 | | | | USD 265,134 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 3,251 | |
| USD 188,849 | | | | GBP 148,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (4,386 | ) |
| NZD 260,000 | | | | CAD 248,084 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (1,293 | ) |
| JPY 20,728,128 | | | | USD 188,000 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (3,068 | ) |
| USD 376,000 | | | | CAD 498,057 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (8,549 | ) |
| HUF 153,647,209 | | | | USD 563,543 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 6,557 | |
| AUD 490,000 | | | | NZD 513,914 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 187 | |
| TRY 2,369,694 | | | | USD 654,974 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 3,496 | |
| EUR 134,000 | | | | USD 150,960 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 2,731 | |
| ZAR 2,400,223 | | | | USD 184,537 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (3,505 | ) |
| CAD 6,496,204 | | | | USD 4,844,345 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | 171,363 | |
| USD 1,358,560 | | | | CAD 1,799,155 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (30,564 | ) |
| USD 154,950 | | | | CAD 205,750 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (3,909 | ) |
| NZD 260,000 | | | | CAD 248,286 | | Morgan Stanley & Co. International PLC | | | 09/20/17 | | | | (1,449 | ) |
| CZK 3,823,636 | | | | EUR 143,060 | | Morgan Stanley & Co. International PLC | | | 09/21/17 | | | | 3,986 | |
| USD 75,062 | | | | KRW 85,203,600 | | Morgan Stanley & Co. International PLC | | | 09/27/17 | | | | 569 | |
| CNY 1,391,916 | | | | USD 202,049 | | Morgan Stanley & Co. International PLC | | | 09/28/17 | | | | 2,065 | |
| USD 188,044 | | | | TWD 5,669,140 | | Morgan Stanley & Co. International PLC | | | 09/29/17 | | | | 1,510 | |
| CZK 4,353,582 | | | | EUR 162,763 | | Morgan Stanley & Co. International PLC | | | 11/21/17 | | | | 5,002 | |
| CZK 4,362,034 | | | | EUR 162,975 | | Morgan Stanley & Co. International PLC | | | 11/22/17 | | | | 5,137 | |
| USD 225,712 | | | | CAD 307,259 | | RBC Europe Limited | | | 07/14/17 | | | | (11,273 | ) |
| EUR 531,958 | | | | USD 608,526 | | RBC Europe Limited | | | 08/24/17 | | | | 714 | |
| USD 90,384 | | | | CAD 117,217 | | RBC Europe Limited | | | 09/20/17 | | | | (119 | ) |
| USD 83,283 | | | | SEK 705,446 | | RBC Europe Limited | | | 09/20/17 | | | | (831 | ) |
| JPY 65,781,237 | | | | EUR 526,343 | | RBC Europe Limited | | | 09/20/17 | | | | (16,800 | ) |
| USD 356,110 | | | | CAD 471,464 | | RBC Europe Limited | | | 09/20/17 | | | | (7,907 | ) |
| USD 188,000 | | | | CAD 248,339 | | RBC Europe Limited | | | 09/20/17 | | | | (3,742 | ) |
| SEK 1,054,938 | | | | USD 121,633 | | RBC Europe Limited | | | 09/20/17 | | | | 4,154 | |
See Accompanying Notes to Financial Statements
48
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| USD 75,665 | | | | CAD 100,059 | | RBC Europe Limited | | | 09/20/17 | | | $ | (1,591 | ) |
| NZD 260,000 | | | | USD 187,641 | | RBC Europe Limited | | | 09/20/17 | | | | 2,611 | |
| USD 188,000 | | | | CAD 249,166 | | RBC Europe Limited | | | 09/20/17 | | | | (4,380 | ) |
| USD 376,000 | | | | CAD 496,878 | | RBC Europe Limited | | | 09/20/17 | | | | (7,639 | ) |
| USD 113,000 | | | | JPY 12,676,181 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | (94 | ) |
| SEK 1,639,467 | | | | EUR 168,000 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 2,797 | |
| EUR 169,000 | | | | NOK 1,615,703 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 5 | |
| MXN 1,430,224 | | | | USD 77,700 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 125 | |
| USD 75,000 | | | | MXN 1,381,676 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | (184 | ) |
| USD 188,000 | | | | MXN 3,448,719 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 339 | |
| USD 187,453 | | | | AUD 247,000 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | (2,201 | ) |
| EUR 168,000 | | | | GBP 147,296 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 371 | |
| USD 187,522 | | | | AUD 247,000 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | (2,132 | ) |
| MXN 1,376,625 | | | | USD 75,000 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | (91 | ) |
| NZD 261,000 | | | | USD 187,741 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 3,243 | |
| SEK 652,533 | | | | EUR 67,000 | | Royal Bank of Scotland PLC | | | 09/20/17 | | | | 960 | |
| USD 171,698 | | | | INR 11,678,903 | | Standard Chartered Bank | | | 07/14/17 | | | | (8,783 | ) |
| USD 1,735,955 | | | | TWD 52,963,982 | | Standard Chartered Bank | | | 08/17/17 | | | | (6,224 | ) |
| USD 75,000 | | | | TRY 270,840 | | Standard Chartered Bank | | | 09/20/17 | | | | (259 | ) |
| USD 75,000 | | | | TRY 270,713 | | Standard Chartered Bank | | | 09/20/17 | | | | (223 | ) |
| USD 301,000 | | | | ZAR 3,927,099 | | Standard Chartered Bank | | | 09/20/17 | | | | 4,805 | |
| USD 70,808 | | | | ZAR 923,854 | | Standard Chartered Bank | | | 09/20/17 | | | | 1,127 | |
| CNH 1,291,673 | | | | USD 188,000 | | Standard Chartered Bank | | | 09/20/17 | | | | 1,391 | |
| USD 188,000 | | | | CAD 249,423 | | Standard Chartered Bank | | | 09/20/17 | | | | (4,579 | ) |
| TRY 270,833 | | | | USD 75,000 | | Standard Chartered Bank | | | 09/20/17 | | | | 256 | |
| AUD 252,350 | | | | USD 193,111 | | Standard Chartered Bank | | | 09/20/17 | | | | 652 | |
| USD 430,265 | | | | HKD 3,327,439 | | Standard Chartered Bank | | | 03/27/18 | | | | 1,961 | |
| USD 750,000 | | | | HKD 5,809,624 | | Standard Chartered Bank | | | 05/11/18 | | | | 1,850 | |
| USD 449,000 | | | | GBP 344,873 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (1,281 | ) |
| CAD 244,466 | | | | USD 188,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 752 | |
| JPY 36,890,802 | | | | USD 327,825 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 1,306 | |
| CAD 195,620 | | | | USD 150,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 1,037 | |
| JPY 42,087,184 | | | | USD 376,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (508 | ) |
| NOK 2,591,376 | | | | CAD 401,770 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 669 | |
| JPY 21,100,867 | | | | EUR 167,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (3,282 | ) |
| SEK 1,632,993 | | | | EUR 167,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 3,172 | |
| AUD 497,000 | | | | USD 376,594 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 5,018 | |
| JPY 41,881,307 | | | | USD 377,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (3,345 | ) |
| NZD 258,000 | | | | USD 188,214 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 575 | |
| JPY 8,418,233 | | | | USD 75,941 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (836 | ) |
| NOK 6,002,124 | | | | CAD 936,981 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (3,395 | ) |
| CAD 349,498 | | | | USD 263,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 6,847 | |
| JPY 20,881,630 | | | | USD 188,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (1,699 | ) |
| USD 188,000 | | | | CAD 248,701 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (4,021 | ) |
| NOK 1,586,532 | | | | USD 188,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 2,329 | |
| USD 376,000 | | | | CAD 496,967 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (7,707 | ) |
| USD 75,000 | | | | ZAR 988,403 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 451 | |
| USD 75,658 | | | | NOK 640,245 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (1,150 | ) |
| JPY 20,517,568 | | | | USD 188,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (4,947 | ) |
| JPY 20,661,200 | | | | USD 188,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (3,666 | ) |
| JPY 8,660,581 | | | | USD 79,260 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (1,992 | ) |
| USD 75,612 | | | | AUD 99,583 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (851 | ) |
| USD 188,000 | | | | CAD 249,036 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (4,280 | ) |
| EUR 168,000 | | | | CHF 182,318 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 1,583 | |
| EUR 80,585 | | | | CAD 119,750 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (32 | ) |
| JPY 20,634,880 | | | | USD 188,000 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (3,900 | ) |
| USD 2,191,521 | | | | AUD 2,910,232 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | (43,049 | ) |
| USD 7,139,886 | | | | JPY 782,792,076 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 155,996 | |
| CZK 11,290,908 | | | | EUR 422,423 | | State Street Bank and Trust Co. | | | 09/20/17 | | | | 11,788 | |
| USD 202,725 | | | | TWD 6,201,360 | | UBS AG | | | 07/11/17 | | | | (1,163 | ) |
| COP 575,161,200 | | | | USD 193,934 | | UBS AG | | | 08/11/17 | | | | (6,270 | ) |
| USD 188,000 | | | | JPY 21,026,709 | | UBS AG | | | 09/20/17 | | | | 405 | |
| JPY 20,992,042 | | | | USD 188,000 | | UBS AG | | | 09/20/17 | | | | (714 | ) |
See Accompanying Notes to Financial Statements
49
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
| EUR 330,000 | | | | CHF 360,551 | | UBS AG | | | 09/20/17 | | | $ | 567 | |
| JPY 21,022,536 | | | | USD 188,000 | | UBS AG | | | 09/20/17 | | | | (442 | ) |
| USD 188,000 | | | | JPY 20,996,122 | | UBS AG | | | 09/20/17 | | | | 677 | |
| USD 75,000 | | | | ZAR 995,288 | | UBS AG | | | 09/20/17 | | | | (68 | ) |
| PLN 1,417,385 | | | | EUR 335,000 | | UBS AG | | | 09/20/17 | | | | (1,866 | ) |
| EUR 68,715 | | | | PLN 291,682 | | UBS AG | | | 09/20/17 | | | | 127 | |
| PLN 49,431 | | | | EUR 11,660 | | UBS AG | | | 09/20/17 | | | | (39 | ) |
| ZAR 986,423 | | | | USD 75,000 | | UBS AG | | | 09/20/17 | | | | (601 | ) |
| USD 143,727 | | | | NZD 197,714 | | UBS AG | | | 09/20/17 | | | | (948 | ) |
| JPY 21,047,446 | | | | USD 188,000 | | UBS AG | | | 09/20/17 | | | | (220 | ) |
| CAD 301,012 | | | | USD 226,000 | | UBS AG | | | 09/20/17 | | | | 6,411 | |
| USD 75,304 | | | | EUR 67,000 | | UBS AG | | | 09/20/17 | | | | (1,541 | ) |
| JPY 9,302,002 | | | | USD 83,570 | | UBS AG | | | 09/20/17 | | | | (580 | ) |
| EUR 101,000 | | | | NOK 962,429 | | UBS AG | | | 09/20/17 | | | | 383 | |
| JPY 20,857,133 | | | | USD 188,000 | | UBS AG | | | 09/20/17 | | | | (1,918 | ) |
| USD 187,977 | | | | AUD 248,000 | | UBS AG | | | 09/20/17 | | | | (2,446 | ) |
| HUF 24,058,499 | | | | EUR 78,036 | | UBS AG | | | 09/20/17 | | | | (235 | ) |
| USD 113,279 | | | | AUD 149,085 | | UBS AG | | | 09/20/17 | | | | (1,193 | ) |
| EUR 68,039 | | | | USD 76,348 | | UBS AG | | | 09/20/17 | | | | 1,689 | |
| USD 183,513 | | | | EUR 163,296 | | UBS AG | | | 09/20/17 | | | | (3,778 | ) |
| USD 369,646 | | | | CAD 487,389 | | UBS AG | | | 09/20/17 | | | | (6,666 | ) |
| USD 188,000 | | | | JPY 20,470,079 | | UBS AG | | | 09/20/17 | | | | 5,371 | |
| EUR 169,000 | | | | PLN 717,244 | | UBS AG | | | 09/20/17 | | | | 347 | |
| USD 188,000 | | | | CAD 247,957 | | UBS AG | | | 09/20/17 | | | | (3,447 | ) |
| SEK 2,192,058 | | | | NOK 2,130,953 | | UBS AG | | | 09/20/17 | | | | 5,731 | |
| CHF 1,775,791 | | | | EUR 1,637,307 | | UBS AG | | | 09/20/17 | | | | (16,538 | ) |
| USD 361,836 | | | | HKD 2,801,845 | | UBS AG | | | 09/29/17 | | | | 2,100 | |
| USD 366,510 | | | | JPY 40,625,798 | | Westpac Banking Corp. | | | 07/20/17 | | | | 5,046 | |
| JPY 62,549,999 | | | | USD 564,301 | | Westpac Banking Corp. | | | 07/20/17 | | | | (7,769 | ) |
| GBP 118,000 | | | | USD 149,682 | | Westpac Banking Corp. | | | 08/10/17 | | | | 4,198 | |
| EUR 3,654,106 | | | | USD 4,134,127 | | Westpac Banking Corp. | | | 08/24/17 | | | | 50,844 | |
| USD 5,001,765 | | | | EUR 4,421,000 | | Westpac Banking Corp. | | | 08/24/17 | | | | (61,514 | ) |
| JPY 21,366,287 | | | | EUR 170,825 | | Westpac Banking Corp. | | | 09/20/17 | | | | (5,301 | ) |
| AUD 100,000 | | | | USD 75,314 | | Westpac Banking Corp. | | | 09/20/17 | | | | 1,469 | |
| NZD 103,000 | | | | USD 75,042 | | Westpac Banking Corp. | | | 09/20/17 | | | | 327 | |
| GBP 159,138 | | | | USD 201,136 | | Westpac Banking Corp. | | | 09/20/17 | | | | 6,641 | |
| USD 187,912 | | | | NZD 260,000 | | Westpac Banking Corp. | | | 09/20/17 | | | | (2,340 | ) |
| USD 75,122 | | | | NZD 104,000 | | Westpac Banking Corp. | | | 09/20/17 | | | | (979 | ) |
| AUD 247,000 | | | | USD 187,841 | | Westpac Banking Corp. | | | 09/20/17 | | | | 1,813 | |
| USD 188,016 | | | | NZD 260,000 | | Westpac Banking Corp. | | | 09/20/17 | | | | (2,236 | ) |
| EUR 669,779 | | | | USD 751,445 | | Westpac Banking Corp. | | | 09/20/17 | | | | 16,753 | |
| AUD 247,000 | | | | USD 187,573 | | Westpac Banking Corp. | | | 09/20/17 | | | | 2,082 | |
| AUD 249,000 | | | | USD 187,370 | | Westpac Banking Corp. | | | 09/20/17 | | | | 3,820 | |
| CNH 1,520,841 | | | | USD 222,079 | | Westpac Banking Corp. | | | 09/20/17 | | | | 914 | |
| EUR 1,326,561 | | | | JPY 163,783,979 | | Westpac Banking Corp. | | | 09/20/17 | | | | 60,246 | |
| USD 777,486 | | | | AUD 1,031,970 | | Westpac Banking Corp. | | | 09/20/17 | | | | (14,894 | ) |
| USD 123,992 | | | | SGD 171,489 | | Westpac Banking Corp. | | | 09/20/17 | | | | (723 | ) |
| | | | | | | | | | | | | $ | 261,428 | |
At June 30, 2017, the following futures contracts were outstanding for VY® Goldman Sachs Bond Portfolio:
Contract Description
| | | Number
of Contracts
| | Expiration
Date
| | Notional
Value
| | Unrealized
Appreciation/
(Depreciation)
|
Long Contracts
| | | | | | | | | | | | | | | | | | | |
| 90-Day Sterling | | | | 154 | | | | 03/21/18 | | | | $ | 24,926,867 | | | | $ | (241 | ) |
| Australia 3-Year Bond | | | | 119 | | | | 09/15/17 | | | | | 10,212,130 | | | | | (62,525 | ) |
| U.S. Treasury 10-Year Note | | | | 125 | | | | 09/20/17 | | | | | 15,691,406 | | | | | (127,255 | ) |
| U.S. Treasury 2-Year Note | | | | 106 | | | | 09/29/17 | | | | | 22,907,594 | | | | | (27,106 | ) |
| U.S. Treasury Ultra Long Bond | | | | 66 | | | | 09/20/17 | | | | | 10,947,750 | | | | | 178,058 | |
| | | | | | | | | | | | | $ | 84,685,747 | | | | $ | (39,069 | ) |
See Accompanying Notes to Financial Statements
50
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
Contract Description
| | | Number
of Contracts
| | Expiration
Date
| | Notional
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
Short Contracts | | | | | | | | | | | | | | | | | | | |
| 90-Day Eurodollar | | | | (80 | ) | | | 12/17/18 | | | | $ | (19,640,000 | ) | | | $ | (20,142 | ) |
| U.S. Treasury 5-Year Note | | | | (263 | ) | | | 09/29/17 | | | | | (30,990,852 | ) | | | | 104,686 | |
| U.S. Treasury Long Bond | | | | (8 | ) | | | 09/20/17 | | | | | (1,229,500 | ) | | | | 14,197 | |
| U.S. Treasury Ultra 10-Year Note | | | | (2 | ) | | | 09/20/17 | | | | | (269,625 | ) | | | | 445 | |
| | | | | | | | | | | | | $ | (52,129,977 | ) | | | $ | 99,186 | |
At June 30, 2017, the following centrally cleared credit default swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)
Reference
Entity/Obligation
| | | | Buy/Sell
Protection
| | (Pay)/ Receive
Fixed Rate (%)
| | | Termination
Date
| | | Notional
Amount(2)
| | | Fair
Value(3)
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
| CDX North American Emerging Markets Index, Series 27, Version 1 | | | | Buy | | (1.000) | | | 06/20/22 | | | USD 6,410,000 | | | $ | 294,258 | | | $ | (17,100) | |
| | | | | | | | | | | | | | | | $ | 294,258 | | | $ | (17,100) | |
At June 30, 2017, the following over-the-counter credit default swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection(1)
Counterparty
| | Reference
Entity/Obligation
| | Buy/Sell
Protection
| | (Pay)/
Receive
Fixed
Rate (%)
| | Termination
Date
| | Notional
Amount(2)
| | | Fair
Value(3)
| | | Upfront
Payments
Paid/
(Received)
| | | Unrealized
Appreciation/
(Depreciation)
| |
|---|
| Barclays Bank PLC | | People’s Republic of
China 7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 90,000 | | | $ | (1,429 | ) | | $ | (301 | ) | | $ | (1,128 | ) |
| Barclays Bank PLC | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 360,000 | | | | (5,717 | ) | | | (1,279 | ) | | | (4,438 | ) |
| Barclays Bank PLC | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 50,000 | | | | (880 | ) | | | 206 | | | | (1,086 | ) |
| Barclays Bank PLC | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 2,830,000 | | | | (49,815 | ) | | | 20,688 | | | | (70,503 | ) |
| Barclays Bank PLC | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 40,000 | | | | (704 | ) | | | 53 | | | | (757 | ) |
| Barclays Bank PLC | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 100,000 | | | | (1,588 | ) | | | (63 | ) | | | (1,525 | ) |
| Citibank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 250,000 | | | | (4,401 | ) | | | 446 | | | | (4,847 | ) |
| Citibank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 1,680,000 | | | | (29,573 | ) | | | 7,623 | | | | (37,196 | ) |
| Citibank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 310,000 | | | | (5,457 | ) | | | 1,277 | | | | (6,734 | ) |
| Deutsche Bank AG | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 1,080,000 | | | | (19,011 | ) | | | 8,897 | | | | (27,908 | ) |
| Deutsche Bank AG | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 80,000 | | | | (1,408 | ) | | | 241 | | | | (1,649 | ) |
| Deutsche Bank AG | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 10,000 | | | | (176 | ) | | | (2 | ) | | | (174 | ) |
| Deutsche Bank AG | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 160,000 | | | | (2,817 | ) | | | 300 | | | | (3,117 | ) |
| Deutsche Bank AG | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 360,000 | | | | (5,717 | ) | | | 1,197 | | | | (6,914 | ) |
| JPMorgan Chase Bank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 110,000 | | | | (1,936 | ) | | | 453 | | | | (2,389 | ) |
| JPMorgan Chase Bank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 50,000 | | | | (880 | ) | | | 89 | | | | (969 | ) |
| JPMorgan Chase Bank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 20,000 | | | | (352 | ) | | | 68 | | | | (420 | ) |
| JPMorgan Chase Bank N.A. | | People’s Republic of China
7.500%, due 10/28/2027 | | Buy | | (1.000) | | 06/20/21 | | USD | 110,000 | | | | (1,936 | ) | | | 321 | | | | (2,257 | ) |
| | | | | | | | | | | | | | | $ | (133,797 | ) | | $ | 40,214 | | | $ | (174,011 | ) |
(1) | | If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable |
See Accompanying Notes to Financial Statements
51
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
| | obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
At June 30, 2017, the following centrally cleared interest rate swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Pay/Receive
Floating Rate
| | Floating Rate Index
| | Fixed Rate
| | Maturity
Date
| | Notional
Amount
| | Fair
Value
| | Unrealized
Appreciation/
(Depreciation)
|
| Pay | | 3-month CAD-CDOR | | 1.250% | | 09/20/2019 | | CAD 87,430,000 | | $ | (308,565 | ) | | $ | (213,211 | ) |
| Pay | | 3-month CAD-CDOR | | 1.500 | | 09/20/2022 | | CAD 4,660,000 | | | (50,113 | ) | | | (34,742 | ) |
| Pay | | 6-month CHF-LIBOR | | (0.554) | | 03/29/2019 | | CHF 19,980,000 | | | (8,985 | ) | | | (10,053 | ) |
| Pay | | 6-month EUR-EURIBOR | | 0.010 | | 03/14/2019 | | EUR 18,540,000 | | | 23,206 | | | | 21,509 | |
| Pay | | 6-month EUR-EURIBOR | | 0.250 | | 02/11/2021 | | EUR 21,590,000 | | | (18,916 | ) | | | (23,407 | ) |
| Pay | | 6-month EUR-EURIBOR | | 0.250 | | 09/20/2022 | | EUR 16,920,000 | | | (76,853 | ) | | | (146,451 | ) |
| Pay | | 6-month EUR-EURIBOR | | 1.330 | | 01/12/2027 | | EUR 8,360,000 | | | (56,657 | ) | | | 8,056 | |
| Pay | | 6-month EUR-EURIBOR | | 1.750 | | 06/15/2027 | | EUR 6,640,000 | | | 74,842 | | | | (26,805 | ) |
| Pay | | 6-month EUR-EURIBOR | | 1.000 | | 09/20/2027 | | EUR 10,430,000 | | | 58,069 | | | | (187,347 | ) |
| Pay | | 6-month EUR-EURIBOR | | 2.000 | | 06/16/2037 | | EUR 680,000 | | | (6,355 | ) | | | (6,125 | ) |
| Pay | | 6-month EUR-EURIBOR | | 1.750 | | 06/17/2047 | | EUR 460,000 | | | (642 | ) | | | (2,383 | ) |
| Pay | | 6-month GBP-LIBOR | | 3.230 | | 09/15/1931 | | GBP 510,000 | | | (33,200 | ) | | | 9,425 | |
| Pay | | 6-month GBP-LIBOR | | 1.600 | | 03/16/2027 | | GBP 8,250,000 | | | (38,957 | ) | | | (70,552 | ) |
| Pay | | 6-month GBP-LIBOR | | 3.364 | | 06/15/2027 | | GBP 440,000 | | | (4,528 | ) | | | (4,510 | ) |
| Pay | | 3-month SEK-STIBOR | | 0.050 | | 06/15/2018 | | SEK 62,530,000 | | | 36,616 | | | | (21,691 | ) |
| Pay | | 3-month SEK-STIBOR | | (0.330) | | 09/15/2018 | | SEK 61,360,000 | | | 4,658 | | | | 3,554 | |
| Pay | | 3-month SEK-STIBOR | | (0.100) | | 06/29/2019 | | SEK 23,930,000 | | | (1,567 | ) | | | (1,563 | ) |
| Pay | | 3-month SEK-STIBOR | | 0.250 | | 09/20/2022 | | SEK 89,240,000 | | | (141,052 | ) | | | (118,484 | ) |
| Pay | | 3-month USD-LIBOR | | 2.250 | | 12/20/2019 | | USD 30,700,000 | | | 103,551 | | | | 34,659 | |
| Pay | | 3-month USD-LIBOR | | 2.500 | | 09/20/2027 | | USD 2,560,000 | | | 44,911 | | | | (37,203 | ) |
| Receive | | 3-month AUD-BBSW | | 1.800 | | 09/20/2019 | | AUD 14,410,000 | | | 40,628 | | | | 28,096 | |
| Receive | | 6-month AUD-BBSW | | 2.250 | | 09/20/2022 | | AUD 170,000 | | | 1,698 | | | | 1,431 | |
| Receive | | 6-month AUD-BBSW | | 3.500 | | 12/21/2027 | | AUD 4,000,000 | | | (14,982 | ) | | | 20,346 | |
| Receive | | 6-month GBP-LIBOR | | 1.500 | | 12/21/1931 | | GBP 270,000 | | | 1,188 | | | | 16,949 | |
| Receive | | 6-month GBP-LIBOR | | 1.940 | | 01/11/1932 | | GBP 6,490,000 | | | 19,551 | | | | (37,518 | ) |
| Receive | | 6-month GBP-LIBOR | | 1.750 | | 03/17/1937 | | GBP 5,680,000 | | | 113,027 | | | | 106,099 | |
| Receive | | 6-month GBP-LIBOR | | 1.000 | | 03/11/2021 | | GBP 4,240,000 | | | 4,558 | | | | 6,974 | |
| Receive | | 6-month GBP-LIBOR | | 1.500 | | 09/20/2027 | | GBP 7,200,000 | | | (116,252 | ) | | | 204,434 | |
| Receive | | 6-month GBP-LIBOR | | 1.500 | | 09/20/2032 | | GBP 1,720,000 | | | 19,602 | | | | 58,412 | |
| Receive | | 6-month GBP-LIBOR | | 1.500 | | 09/20/2047 | | GBP 390,000 | | | 13,249 | | | | 24,722 | |
| Receive | | 6-month JPY-LIBOR | | 0.750 | | 06/16/2037 | | JPY 29,250,000 | | | 7,935 | | | | 848 | |
| Receive | | 6-month JPY-LIBOR | | 0.750 | | 09/20/2037 | | JPY 81,110,000 | | | (10,776 | ) | | | 4,850 | |
| Receive | | 3-month USD-LIBOR | | 1.826 | | 05/11/2019 | | USD 13,920,000 | | | (11,878 | ) | | | (10,327 | ) |
| Receive | | 3-month USD-LIBOR | | 1.750 | | 09/20/2019 | | USD 11,240,000 | | | (15,045 | ) | | | 15,032 | |
| Receive | | 3-month USD-LIBOR | | 2.250 | | 02/11/2021 | | USD 15,130,000 | | | (64,144 | ) | | | (91,384 | ) |
| Receive | | 3-month USD-LIBOR | | 2.000 | | 09/20/2022 | | USD 29,280,000 | | | (339 | ) | | | 154,767 | |
| Receive | | 3-month USD-LIBOR | | 2.143 | | 07/03/2023 | | USD 1,000,000 | | | 497 | | | | 497 | |
| Receive | | 3-month USD-LIBOR | | 2.750 | | 12/21/2027 | | USD 4,310,000 | | | (15,530 | ) | | | 11,559 | |
| Receive | | 3-month USD-LIBOR | | 2.378 | | 07/03/2028 | | USD 2,690,000 | | | (8,444 | ) | | | (8,444 | ) |
| Receive | | 3-month USD-LIBOR | | 2.790 | | 12/20/2028 | | USD 4,380,000 | | | (125,576 | ) | | | (31,339 | ) |
| Receive | | 3-month USD-LIBOR | | 2.750 | | 06/16/2037 | | USD 890,000 | | | 2,474 | | | | 753 | |
| Receive | | 3-month USD-LIBOR | | 2.500 | | 06/17/2047 | | USD 1,070,000 | | | 8,133 | | | | 6,084 | |
| Receive | | 3-month USD-LIBOR | | 2.500 | | 09/20/2047 | | USD 600,000 | | | 6,169 | | | | 18,100 | |
| Receive | | 3-month USD-LIBOR | | 2.560 | | 07/03/2048 | | USD 1,140,000 | | | 6,091 | | | | 6,091 | |
| | | | | | | | | | | $ | (538,703 | ) | | $ | (320,292 | ) |
See Accompanying Notes to Financial Statements
52
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
The following sales commitments were held by the VY® Goldman Sachs Bond Portfolio at June 30, 2017:
Principal Amount
|
|
|
| Description
|
|
| Contractual Settlement Date
|
|
|
| Fair Value
|
|
| $(2,000,000) | | | | Freddie Mac, 3.500%, due 07/1/45 | | | 07/13/17 | | | $ | (2,054,790 | ) |
| (2,000,000) | | | | Ginnie Mae, 4.000%, due 08/1/44
| | | 08/21/17 | | | | (2,101,875 | ) |
| | | | | Total Sales Commitments Proceeds receivable $(4,168,984)
| | | | | | $ | (4,156,665 | ) |
Currency Abbreviations
ARS — Argentine Peso
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
CLP — Chilean Peso
CNH — Chinese Offshore Yuan
COP — Colombian Peso
CNY — Chinese Yuan
CZK — Czech Koruna
EUR — EU Euro
GBP — British Pound
HKD — Hong Kong Sar Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
JPY — Japanese Yen
KRW — South Korean Won
MXN — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Krone
NZD — New Zealand Dollar
PEN — Peruvian Nuevo Sol
PHP — Philippine Peso
PLN — Polish Zloty
RUB — Russian Ruble
SEK — Swedish Krona
SGD — Singapore Dollar
TRY — Turkish Lira
TWD — Taiwan New Dollar
USD — United States Dollar
ZAR — South African Rand
See Accompanying Notes to Financial Statements
53
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2017 was as follows:
Derivatives not accounted for as
hedging instruments
| | | | Location on Statement
of Assets and Liabilities
| | Fair Value
| |
Asset Derivatives | | | | | | | | |
| Foreign exchange contracts | | | | Unrealized appreciation on forward foreign currency contracts | | $ | 1,379,768 | |
| Interest rate contracts | | | | Net Assets - Unrealized appreciation* | | | 297,386 | |
| Interest rate contracts | | | | Net Assets - Unrealized appreciation** | | | 763,247 | |
| Credit contracts | | | | Upfront payments paid on swap agreements | | | 41,859 | |
Total Asset Derivatives | | | | | | $ | 2,482,260 | |
Liability Derivatives | | | | | | | | |
| Foreign exchange contracts | | | | Unrealized depreciation on forward foreign currency contracts | | $ | 1,118,340 | |
| Interest rate contracts | | | | Net Assets - Unrealized depreciation* | | | 237,269 | |
| Credit contracts | | | | Net Assets - Unrealized depreciation** | | | 17,100 | |
| Interest rate contracts | | | | Net Assets - Unrealized depreciation** | | | 1,083,539 | |
| Credit contracts | | | | Upfront payments received on OTC swap agreements | | | 1,645 | |
| Credit contracts | | | | Unrealized depreciation on OTC swap agreements | | | 174,011 | |
Total Liability Derivatives | | | | | | $ | 2,631,904 | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
| ** | | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2017 was as follows:
| | | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
|---|
Derivatives not accounted for
as hedging instruments | | | Foreign currency
related transactions*
| | Futures
| | Swaps
| | Total
| |
|---|
| Credit contracts | | | | $ | — | | | | $ | — | | | | $ | (125,887 | ) | | | $ | (125,887 | ) | |
| Foreign exchange contracts | | | | | (536,063 | ) | | | — | | | | — | | | | (536,063 | ) | |
| Interest rate contracts | | | | | — | | | | 1,486,453 | | | | 280,223 | | | | 1,766,676 | | |
Total | | | | $ | (536,063 | ) | | $ | 1,486,453 | | | $ | 154,336 | | | $ | 1,104,726 | | |
| | | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
|---|
Derivatives not accounted for
as hedging instruments | | | Foreign currency
related transactions*
| | Futures
| | Swaps
| | Total
| |
|---|
| Credit contracts | | | | $ | — | | | | $ | — | | | | $ | (157,150 | ) | | | $ | (157,150 | ) | |
| Foreign exchange contracts | | | | | (632,423 | ) | | | — | | | | — | | | | (632,423 | ) | |
| Interest rate contracts | | | | | — | | | | (573,700 | ) | | | 106,824 | | | | (466,876 | ) | |
Total | | | | $ | (632,423 | ) | | $ | (573,700 | ) | | $ | (50,326 | ) | | $ | (1,256,449 | ) | |
| * | | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
See Accompanying Notes to Financial Statements
54
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
as of June 30, 2017 (Unaudited) (CONTINUED) |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2017:
| | | | Bank of
America
N.A.
| | Barclays
Bank
PLC
| | BNP
Paribas
| | Citibank
N.A.
| | Credit
Suisse
International
| | Deutsche
Bank AG
| | JPMorgan
Chase
Bank N.A.
| | Morgan
Stanley &
Co.
International
PLC
| | RBC
Europe
Limited
| | Royal
Bank of
Scotland
PLC
| | Standard
Chartered
Bank
| | State
Street
Bank and
Trust Co.
| | UBS AG
| | Westpac
Banking
Corp.
| | Totals
|
|---|
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency contracts | | | | $ | 47,333 | | | $ | 88,009 | | | $ | 10,419 | | | $ | 175,024 | | | $ | 80,994 | | | $ | 126,307 | | | $ | 151,648 | | | $ | 303,189 | | | $ | 7,479 | | | $ | 7,840 | | | $ | 12,042 | | | $ | 191,523 | | | $ | 23,808 | | | $ | 154,153 | | | $ | 1,379,768 | |
Total Assets | | | | $ | 47,333 | | | $ | 88,009 | | | $ | 10,419 | | | $ | 175,024 | | | $ | 80,994 | | | $ | 126,307 | | | $ | 151,648 | | | $ | 303,189 | | | $ | 7,479 | | | $ | 7,840 | | | $ | 12,042 | | | $ | 191,523 | | | $ | 23,808 | | | $ | 154,153 | | | $ | 1,379,768 | |
| |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency contracts | | | | $ | 108,036 | | | $ | 161,975 | | | $ | 56,697 | | | $ | 135,350 | | | $ | 27,416 | | | $ | 150,253 | | | $ | 49,234 | | | $ | 113,957 | | | $ | 54,282 | | | $ | 4,702 | | | $ | 20,068 | | | $ | 89,941 | | | $ | 50,673 | | | $ | 95,756 | | | $ | 1,118,340 | |
| OTC credit default swaps | | | | | — | | | | 60,133 | | | | — | | | | 39,431 | | | | — | | | | 29,129 | | | | 5,104 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 133,797 | |
Total Liabilities | | | | $ | 108,036 | | | $ | 222,108 | | | $ | 56,697 | | | $ | 174,781 | | | $ | 27,416 | | | $ | 179,382 | | | $ | 54,338 | | | $ | 113,957 | | | $ | 54,282 | | | $ | 4,702 | | | $ | 20,068 | | | $ | 89,941 | | | $ | 50,673 | | | $ | 95,756 | | | $ | 1,252,137 | |
| |
Net OTC derivative instruments by counterparty, at fair value | | | | $ | (60,703 | ) | | $ | (134,099 | ) | | $ | (46,278 | ) | | $ | 243 | | | $ | 53,578 | | | $ | (53,075 | ) | | $ | 97,310 | | | $ | 189,232 | | | $ | (46,803 | ) | | $ | 3,138 | | | $ | (8,026 | ) | | $ | 101,582 | | | $ | (26,865 | ) | | $ | 58,397 | | | $ | 127,631 | |
| |
Total collateral pledged by the Portfolio/(Received from counterparty) | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | �� | $ | — | | | $ | — | | | $ | — | |
Net Exposure(1) | | | | $ | (60,703 | ) | | $ | (134,099 | ) | | $ | (46,278 | ) | | $ | 243 | | | $ | 53,578 | | | $ | (53,075 | ) | | $ | 97,310 | | | $ | 189,232 | | | $ | (46,803 | ) | | $ | 3,138 | | | $ | (8,026 | ) | | $ | 101,582 | | | $ | (26,865 | ) | | $ | 58,397 | | | $ | 127,631 | |
(1) | | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
See Accompanying Notes to Financial Statements
55
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATION AND APPROVAL OF NEW INVESTMENT MANAGEMENT AND SUB-ADVISORY CONTRACTS
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), provides that when VY® BlackRock Inflation Protected Bond Portfolio (the “Portfolio”), a series of Voya Investors Trust (“VIT”), enters into new investment management and sub-advisory agreements, the Board of Trustees of VIT (the “Board”), including a majority of Board members who have no direct or indirect interest in the investment management and sub-advisory agreements, and who are not “interested persons” of the Portfolio, must determine whether to approve the new arrangements. Thus, at its meeting held on January 12, 2017, the Board considered the approval of the investment management contract (the “Management Contract”) with Voya Investments, LLC (“VIL”) and the sub-advisory contract (the “Sub-Advisory Contract”) between VIL and BlackRock Financial Management, Inc., the sub-adviser (the “Sub-Adviser”) for the Portfolio in connection with the transfer of advisory services (the “Transfer”) from the existing investment adviser, Directed Services LLC (“DSL”), to VIL, which are both indirect, wholly-owned subsidiaries of Voya Financial, Inc.
In determining whether to approve the Management and Sub-Advisory Contracts for the Portfolio with VIL, the Board received and evaluated such information as it deemed necessary for an informed determination of whether the Management and Sub-Advisory Contracts should be approved for the Portfolio.
The materials provided to the Board to inform its consideration of whether to approve the Portfolio’s Management Contract and the Portfolio’s Sub-Advisory Contract included the following: (1) memoranda and related materials provided to the Board in advance of its January 12, 2017 meeting discussing Management’s rationale for requesting the Transfer; (2) VIL’s responses to inquiries from K&L Gates LLP, counsel to the Independent Trustees; (3) supporting documentation, including copies of the forms of Management and Sub-Advisory Contracts for the Portfolio; and (4) other information relevant to the Board’s evaluation. In addition, the Board considered the information provided periodically throughout the year in presentations to the Board by VIL in the context of VIL’s oversight and management of the other funds in the Voya funds complex. In this regard, the Board placed particular emphasis on the information provided by VIL, DSL and the Sub-Adviser in connection with the Board’s consideration of whether to renew the existing Management and Sub-Advisory Contracts in November 2016 and information provided by VIL and DSL regarding the expected impact of the Transfer.
The Board’s consideration of whether to approve the Management and Sub-Advisory Contracts on behalf of the Portfolio took into account several factors, including, but not limited to, the following: (1) that the management of DSL and VIL is substantially similar; (2) the operations of DSL and VIL are very similar in nature; (3) there are no material changes between the new Management Contract and the existing Management Contract, except with respect to the legal entity that is a party to the Management Contract; (4) no changes were expected in the nature, extent or quality of services provided to the Portfolio, the personnel managing the Portfolio or the manner in which they are managed as a result of the Transfer.
In connection with its review, the Board determined that it did not need to consider certain factors it typically considers during its review of the Management and Sub-Advisory Contracts because it had reviewed them recently in connection with its November 2016 meetings. Among other factors considered at the November 2016 meetings, the Board considered: (1) the nature, extent and quality of services provided under the existing Management and Sub-Advisory Contracts; (2) the extent to which economics of scale are reflected in the fee rate schedules under the existing Management and Sub-Advisory Contracts; (3) the existence of any “fall-out” benefits to DSL, VIL, the Sub-Adviser and their affiliates; (4) a comparison of the Portfolio’s fee rates, expense ratio and investment performance to those of selected similar funds; and (5) the costs incurred and profits realized by DSL and its affiliates with respect to their services to the Portfolio. A further description of the process followed by the Board in approving the existing Management and Sub-Advisory Contracts at the November 2016 meetings, including the information reviewed, certain material factors considered and certain related conclusions reached, is set forth in the Portfolio’s annual report to Shareholders for the period ended December 31, 2016.
The Board also considered that: (1) the Portfolio’s management fee rate will not change as a result of the Transfer and is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s expense ratio will not change as a result of the Transfer and is reasonable in the context of all factors considered by the Board; and (3) the Portfolio’s sub-advisory fee rate payable by VIL to the Sub-Adviser will not change as a result of the Transfer and is reasonable in the context of all factors considered by the Board.
Based on, among other matters, the considerations set forth above and other factors, the Board voted to approve the Management and Sub-Advisory Contracts for the Portfolio. During the Board’s deliberations, different Board members may have given different weight to different individual factors and related considerations.
56
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
BOARD CONSIDERATION AND APPROVAL OF NEW SUB-SUB-ADVISORY CONTRACT
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), provides that an investment company such as Voya Investors Trust (“VIT”), on behalf of VY® BlackRock Inflation Protected Bond Portfolio (the “Portfolio”), a series of VIT, can enter into a new sub-sub-advisory agreement, only if the Board of Trustees of VIT (the “Board”), including a majority of Board members who have no direct or indirect interest in the sub-sub-advisory agreement, and who are not “interested persons” of the Portfolio (“Independent Trustees”), approve the new arrangement. Thus, at a meeting on March 9, 2017, the Board considered a proposal by management that the Board approve a sub-sub-advisory agreement between BlackRock Financial Management, Inc. (“BFM”) and BlackRock International Limited (“BIL”) (the “New Sub-Sub-Advisory Agreement”) under which BIL would serve as the sub-sub-adviser to the Portfolio. The Portfolio has been sub-advised by BFM since April 30, 2007.
In determining whether to approve the New Sub-Sub-Advisory Agreement, the Board received and evaluated such information as it deemed necessary for an informed determination of whether the New Sub-Sub-Advisory Agreement should be approved for the Portfolio.
The materials provided to the Board to inform its consideration of whether to approve the New Sub-Sub-Advisory Agreement included the following: (1) memoranda and related materials provided to the Board in advance of its March 9, 2017 meeting discussing: (a) BFM’s rationale for requesting that BIL be added as a sub-sub-adviser to the Portfolio, including a discussion of the services BIL would provide under the New Sub-Sub-Advisory Agreement; and (b) BIL’s investment philosophy and how it will support BFM’s overall investment process; (2) BFM’s responses to inquiries from K&L Gates LLP, counsel to the Independent Trustees; (3) supporting documentation, including a copy of the proposed New Sub-Sub-Advisory Agreement; and (4) other information relevant to the Board’s evaluation.
In reviewing the proposed New Sub-Sub-Advisory Agreement, the Board considered a number of factors, including, but not limited to, the following: (1) the view of Voya Investments, LLC, the investment adviser to the Portfolio, regarding the reputation of BFM and BIL and their current and proposed services, respectively; (2) the nature, extent and quality of the services to be provided by BIL under the New Sub-Sub-Advisory Agreement; (3) the personnel, operations, financial condition, and investment management capabilities, methodologies and resources of BIL and its fit as a sub-sub-adviser to the Portfolio; (4) the sub-sub-advisory fee rates payable by BFM to BIL under the New Sub-Sub-Advisory Agreement; and (5) the potential fall-out benefits to BIL and its affiliates from their relationship with the Portfolio.
The Board did not consider the profitability of BIL under the respective New Sub-Sub-Advisory Agreement because it did not view this data as essential to its deliberations, given the arm’s-length nature of the relationship between the Adviser and BFM and BIL, neither of which is affiliated with the Adviser, with respect to the negotiation of sub-advisory fee rates and that BFM, and not the Portfolio, will pay BIL’s compensation under the New Sub-Sub-Advisory Agreement. The Board also considered that the expected “fall-out” benefits that would accrue to BIL and its affiliates from BIL’s relationship with the Portfolio were similar in nature to the benefits BFM and its affiliates already may enjoy with respect to BFM’s relationship with the Fund, which the Board concluded were reasonable in connection with its renewal of the sub-advisory agreement with BFM in November 2016. The Board placed limited emphasis on whether economies of scale will be realized by BIL as the Fund (or BIL’s allocation of the Fund) grows larger, because any such economics of scale would inure to the benefit of BFM because BFM pays such fees and BFM’s fee rate schedule for the Portfolio includes breakpoints at higher levels of assets. With respect to performance, the Board considered BFM’s representations regarding the potential benefits to the Portfolio of adding BIL as a sub-sub-adviser.
After its deliberation, the Board reached the following conclusions: (1) BIL should be appointed to serve as a sub-sub-adviser to the Portfolio under the New Sub-Sub-Advisory Agreement; (2) the nature, extent and quality of the services to be provided by BIL under the New Sub-Sub-Advisory Agreement was reasonable; and (3) the sub-sub-advisory fee rate schedule payable by BFM to BIL is reasonable. Based on these conclusions and other factors, the Board voted to approve the New Sub-Sub-Advisory Agreement for the Portfolio. During their deliberations, different Board members may have given different weight to different individual factors and related conclusions.
57
(THIS PAGE INTENTIONALLY LEFT BLANK)
(THIS PAGE INTENTIONALLY LEFT BLANK)
Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
voyainvestments.com
| 
VPSAR-VIT3AIS (0617-082417) |
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not required for semi-annual filing.
Item 6. Schedule of Investments.
Complete schedule of investments filed herein.
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| CORPORATE BONDS/NOTES: 27.5% | | | | |
| | | | | | | Basic Materials: 1.1% | | | | | | | | |
| | 175,000 | | | # | | Glencore Finance Canada Ltd., 4.950%, 11/15/21 | | | 187,346 | | | | 0.1 | |
| | 425,000 | | | # | | Glencore Funding LLC, 4.125%, 05/30/23 | | | 436,657 | | | | 0.2 | |
| | 224,000 | | | # | | Glencore Funding LLC, 4.625%, 04/29/24 | | | 234,495 | | | | 0.1 | |
| | 225,000 | | | | | LyondellBasell Industries NV, 5.000%, 04/15/19 | | | 235,318 | | | | 0.1 | |
| | 250,000 | | | | | Sherwin-Williams Co/The, 2.250%, 05/15/20 | | | 250,713 | | | | 0.1 | |
| | 75,000 | | | | | Sherwin-Williams Co/The, 2.750%, 06/01/22 | | | 75,032 | | | | 0.0 | |
| | 75,000 | | | | | Sherwin-Williams Co/The, 3.125%, 06/01/24 | | | 75,474 | | | | 0.1 | |
| | 425,000 | | | | | Sherwin-Williams Co/The, 3.450%, 06/01/27 | | | 428,902 | | | | 0.2 | |
| | 375,000 | | | # | | WR Grace & Co-Conn, 5.125%, 10/01/21 | | | 403,125 | | | | 0.2 | |
| | | | | | | | | | 2,327,062 | | | | 1.1 | |
| | | | | | | | | | | | | | | |
| | | | | | | Communications: 4.6% | | | | | | | | |
| | 550,000 | | | | | 21st Century Fox America, Inc., 4.000%, 10/01/23 | | | 581,600 | | | | 0.3 | |
| | 775,000 | | | | | Amazon.com, Inc., 3.300%, 12/05/21 | | | 807,268 | | | | 0.4 | |
| | 75,000 | | | | | AT&T, Inc., 2.800%, 02/17/21 | | | 75,853 | | | | 0.0 | |
| | 425,000 | | | | | AT&T, Inc., 3.200%, 03/01/22 | | | 430,594 | | | | 0.2 | |
| | 700,000 | | | | | AT&T, Inc., 3.400%, 05/15/25 | | | 689,402 | | | | 0.3 | |
| | 425,000 | | | | | AT&T, Inc., 3.000%, 06/30/22 | | | 426,221 | | | | 0.2 | |
| | 341,000 | | | | | AT&T, Inc., 3.600%, 02/17/23 | | | 349,386 | | | | 0.2 | |
| | 325,000 | | | | | AT&T, Inc., 3.800%, 03/15/22 | | | 336,710 | | | | 0.2 | |
| | 100,000 | | | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/22 | | | 106,652 | | | | 0.1 | |
| | 625,000 | | | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/25 | | | 676,357 | | | | 0.3 | |
| | 275,000 | | | | | Cisco Systems, Inc., 2.200%, 02/28/21 | | | 276,607 | | | | 0.1 | |
| | 293,000 | | | | | NBCUniversal Media, LLC, 4.450%, 01/15/43 | | | 312,219 | | | | 0.1 | |
| | 230,000 | | | | | Nokia OYJ, 4.375%, 06/12/27 | | | 234,745 | | | | 0.1 | |
| | 175,000 | | | | | Sprint Corp., 7.875%, 09/15/23 | | | 201,688 | | | | 0.1 | |
| | 350,000 | | | # | | Symantec Corp., 5.000%, 04/15/25 | | | 367,171 | | | | 0.2 | |
| | 350,000 | | | | | Telefonica Emisiones SAU, 5.134%, 04/27/20 | | | 377,696 | | | | 0.2 | |
| | 350,000 | | | | | Telefonica Emisiones SAU, 5.462%, 02/16/21 | | | 385,023 | | | | 0.2 | |
| | 275,000 | | | | | Time Warner Cable LLC, 4.125%, 02/15/21 | | | 287,771 | | | | 0.1 | |
| | 50,000 | | | | | Time Warner Cable LLC, 5.000%, 02/01/20 | | | 53,369 | | | | 0.0 | |
| | 50,000 | | | | | Time Warner Cable LLC, 5.875%, 11/15/40 | | | 55,978 | | | | 0.0 | |
| | 185,000 | | | L | | T-Mobile USA, Inc., 4.000%, 04/15/22 | | | 192,992 | | | | 0.1 | |
| | 600,000 | | | | | Verizon Communications, Inc., 2.450%, 11/01/22 | | | 588,782 | | | | 0.3 | |
| | 818,000 | | | # | | Verizon Communications, Inc., 2.946%, 03/15/22 | | | 824,492 | | | | 0.4 | |
| | 50,000 | | | | | Verizon Communications, Inc., 4.125%, 03/16/27 | | | 51,747 | | | | 0.0 | |
| | 1,025,000 | | | | | Verizon Communications, Inc., 5.150%, 09/15/23 | | | 1,139,926 | | | | 0.5 | |
| | | | | | | | | | 9,830,249 | | | | 4.6 | |
| | | | | | | | | | | | | | | |
| | | | | | | Consumer, Cyclical: 1.9% | | | | | | | | |
| | 950,000 | | | | | CVS Health Corp., 3.375%, 08/12/24 | | | 967,250 | | | | 0.5 | |
| | 275,000 | | | | | CVS Health Corp., 3.500%, 07/20/22 | | | 285,479 | | | | 0.1 | |
| | 375,000 | | | | | Dollar Tree, Inc., 5.750%, 03/01/23 | | | 397,031 | | | | 0.2 | |
| | 775,000 | | | | | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | | | 864,939 | | | | 0.4 | |
| | 575,000 | | | | | General Motors Financial Co., Inc., 3.500%, 07/10/19 | | | 588,674 | | | | 0.3 | |
| | 375,000 | | | | | MGM Resorts International, 6.625%, 12/15/21 | | | 421,875 | | | | 0.2 | |
| | 250,000 | | | | | Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25 | | | 257,187 | | | | 0.1 | |
| | 200,000 | | | | | Walgreens Boots Alliance, Inc., 3.450%, 06/01/26 | | | 199,978 | | | | 0.1 | |
| | | | | | | | | | 3,982,413 | | | | 1.9 | |
| | | | | | | | | | | | | | | |
| | | | | | | Consumer, Non-cyclical: 3.8% | | | | | | | | |
| | 200,000 | | | | | AbbVie, Inc., 2.500%, 05/14/20 | | | 202,439 | | | | 0.1 | |
| | 100,000 | | | | | Allergan Funding SCS, 4.850%, 06/15/44 | | | 108,707 | | | | 0.1 | |
| | 150,000 | | | | | Aetna, Inc., 2.800%, 06/15/23 | | | 149,923 | | | | 0.1 | |
| | 1,125,000 | | | | | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | | | 1,140,934 | | | | 0.5 | |
| | 500,000 | | | | | Anheuser-Busch InBev Finance, Inc., 3.650%, 02/01/26 | | | 516,107 | | | | 0.2 | |
| | 100,000 | | | | | Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46 | | | 113,476 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | | | | | Consumer, Non-cyclical: (continued) | | | | | | | | |
| | 475,000 | | | # | | Bayer US Finance LLC, 3.000%, 10/08/21 | | | 484,828 | | | | 0.2 | |
| | 525,000 | | | | | Becton Dickinson and Co., 2.894%, 06/06/22 | | | 526,243 | | | | 0.3 | |
| | 525,000 | | | | | Becton Dickinson and Co., 3.363%, 06/06/24 | | | 526,806 | | | | 0.3 | |
| | 225,000 | | | | | Becton Dickinson and Co., 4.685%, 12/15/44 | | | 232,931 | | | | 0.1 | |
| | 700,000 | | | # | | EMD Finance LLC, 2.950%, 03/19/22 | | | 713,105 | | | | 0.3 | |
| | 225,000 | | | | | Kraft Heinz Foods Co., 2.800%, 07/02/20 | | | 228,507 | | | | 0.1 | |
| | 275,000 | | | | | Kraft Heinz Foods Co., 4.375%, 06/01/46 | | | 269,096 | | | | 0.1 | |
| | 375,000 | | | | | Medtronic, Inc., 3.150%, 03/15/22 | | | 388,275 | | | | 0.2 | |
| | 100,000 | | | | | Molson Coors Brewing Co., 2.100%, 07/15/21 | | | 98,422 | | | | 0.0 | |
| | 650,000 | | | | | Mylan NV, 3.950%, 06/15/26 | | | 659,875 | | | | 0.3 | |
| | 50,000 | | | # | | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | | | 52,000 | | | | 0.0 | |
| | 775,000 | | | | | Reynolds American, Inc., 4.450%, 06/12/25 | | | 833,346 | | | | 0.4 | |
| | 150,000 | | | | | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/26 | | | 142,748 | | | | 0.1 | |
| | 300,000 | | | | | Thermo Fisher Scientific, Inc., 3.000%, 04/15/23 | | | 302,785 | | | | 0.1 | |
| | 225,000 | | | | | UnitedHealth Group, Inc., 4.750%, 07/15/45 | | | 259,455 | | | | 0.1 | |
| | 200,000 | | | # | | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24 | | | 210,750 | | | | 0.1 | |
| | | | | | | | | | 8,160,758 | | | | 3.8 | |
| | | | | | | | | | | | | | | |
| | | | | | | Energy: 4.0% | | | | | | | | |
| | 550,000 | | | | | Anadarko Petroleum Corp., 3.450%, 07/15/24 | | | 538,128 | | | | 0.3 | |
| | 125,000 | | | L | | Anadarko Petroleum Corp., 5.550%, 03/15/26 | | | 139,939 | | | | 0.1 | |
| | 400,000 | | | | | Antero Resources Corp., 5.625%, 06/01/23 | | | 407,000 | | | | 0.2 | |
| | 420,000 | | | | | Apache Corp., 4.250%, 01/15/44 | | | 395,461 | | | | 0.2 | |
| | 349,000 | | | | | Buckeye Partners L.P., 4.875%, 02/01/21 | | | 369,768 | | | | 0.2 | |
| | 100,000 | | | #,L | | Cenovus Energy, Inc., 4.250%, 04/15/27 | | | 95,460 | | | | 0.0 | |
| | 75,000 | | | | | ConocoPhillips Co., 3.350%, 11/15/24 | | | 76,508 | | | | 0.0 | |
| | 280,000 | | | | | Devon Energy Corp., 4.750%, 05/15/42 | | | 272,788 | | | | 0.1 | |
| | 82,000 | | | | | Devon Energy Corp., 5.600%, 07/15/41 | | | 85,545 | | | | 0.0 | |
| | 125,000 | | | | | Energy Transfer L.P., 4.650%, 06/01/21 | | | 131,965 | | | | 0.1 | |
| | 75,000 | | | | | Energy Transfer L.P., 4.750%, 01/15/26 | | | 78,164 | | | | 0.0 | |
| | 475,000 | | | | | Enterprise Products Operating L.P., 4.877%, 08/01/66 | | | 477,375 | | | | 0.2 | |
| | 150,000 | | | | | Halliburton Co., 3.800%, 11/15/25 | | | 154,005 | | | | 0.1 | |
| | 275,000 | | | | | Kinder Morgan Energy Partners L.P., 3.500%, 09/01/23 | | | 277,974 | | | | 0.1 | |
| | 100,000 | | | | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/24 | | | 103,486 | | | | 0.1 | |
| | 525,000 | | | | | Kinder Morgan, Inc./DE, 3.050%, 12/01/19 | | | 534,445 | | | | 0.3 | |
| | 50,000 | | | L | | Laredo Petroleum, Inc., 6.250%, 03/15/23 | | | 49,875 | | | | 0.0 | |
| | 110,000 | | | | | Petrobras Global Finance BV, 6.850%, 06/05/15 | | | 97,625 | | | | 0.0 | |
| | 90,000 | | | | | Petrobras Global Finance BV, 8.375%, 05/23/21 | | | 100,969 | | | | 0.0 | |
| | 340,000 | | | | | Petrobras Global Finance BV, 7.375%, 01/17/27 | | | 360,570 | | | | 0.2 | |
| | 1,840,000 | | | | | Petroleos De Venezuela SA, 6.000%, 10/28/22 | | | 611,785 | | | | 0.3 | |
| EUR | 220,000 | | | | | Petroleos Mexicanos, 5.125%, 03/15/23 | | | 283,128 | | | | 0.1 | |
| | 250,000 | | | | | Pioneer Natural Resources Co., 3.450%, 01/15/21 | | | 257,040 | | | | 0.1 | |
| | 100,000 | | | | | Pioneer Natural Resources Co., 3.950%, 07/15/22 | | | 104,889 | | | | 0.1 | |
| | 200,000 | | | | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.650%, 06/01/22 | | | 204,227 | | | | 0.1 | |
| | 425,000 | | | | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/26 | | | 430,670 | | | | 0.2 | |
| | 375,000 | | | | | Sabine Pass Liquefaction LLC, 5.625%, 03/01/25 | | | 414,704 | | | | 0.2 | |
| | 100,000 | | | | | Sabine Pass Liquefaction LLC, 6.250%, 03/15/22 | | | 113,337 | | | | 0.1 | |
| | 425,000 | | | | | Western Gas Partners L.P., 3.950%, 06/01/25 | | | 422,983 | | | | 0.2 | |
| | 580,000 | | | | | Williams Partners L.P., 3.600%, 03/15/22 | | | 593,115 | | | | 0.3 | |
| | 200,000 | | | | | Williams Partners L.P., 3.900%, 01/15/25 | | | 202,532 | | | | 0.1 | |
| | | | | | | | | | 8,385,460 | | | | 4.0 | |
| | | | | | | | | | | | | | | |
| | | | | | | Financial: 8.8% | | | | | | | | |
| | 450,000 | | | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.625%, 07/01/22 | | | 482,762 | | | | 0.2 | |
| | 200,000 | | | | | American International Group, Inc., 3.750%, 07/10/25 | | | 204,076 | | | | 0.1 | |
| | 200,000 | | | | | American International Group, Inc., 4.800%, 07/10/45 | | | 214,585 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | | | | | Financial: (continued) | | | | | | | | |
| | 375,000 | | | | | American Campus Communities Operating Partnership L.P., 3.750%, 04/15/23 | | | 386,248 | | | | 0.2 | |
| | 125,000 | | | | | American Tower Corp., 3.300%, 02/15/21 | | | 128,361 | | | | 0.1 | |
| | 200,000 | | | | | American Tower Corp., 3.400%, 02/15/19 | | | 204,265 | | | | 0.1 | |
| | 675,000 | | | | | Bank of America Corp., 3.248%, 10/21/27 | | | 653,761 | | | | 0.3 | |
| | 400,000 | | | | | Bank of America Corp., 4.000%, 04/01/24 | | | 419,551 | | | | 0.2 | |
| | 100,000 | | | | | Bank of America Corp., 6.110%, 01/29/37 | | | 122,902 | | | | 0.1 | |
| | 275,000 | | | | | Bank of America Corp., 6.500%, 10/29/49 | | | 306,124 | | | | 0.1 | |
| | 200,000 | | | # | | BNP Paribas SA, 4.375%, 05/12/26 | | | 207,634 | | | | 0.1 | |
| | 100,000 | | | # | | Brighthouse Financial, Inc., 3.700%, 06/22/27 | | | 98,669 | | | | 0.1 | |
| | 250,000 | | | | | Chubb Corp./The, 3.408%, 04/15/37 | | | 248,750 | | | | 0.1 | |
| | 250,000 | | | | | Citigroup, Inc., 4.125%, 07/25/28 | | | 254,372 | | | | 0.1 | |
| | 225,000 | | | | | Citigroup, Inc., 4.600%, 03/09/26 | | | 236,547 | | | | 0.1 | |
| | 250,000 | | | # | | Credit Agricole SA/London, 4.125%, 01/10/27 | | | 261,801 | | | | 0.1 | |
| | 200,000 | | | # | | Credit Suisse AG, 6.500%, 08/08/23 | | | 225,380 | | | | 0.1 | |
| | 250,000 | | | # | | Credit Suisse Group AG, 4.282%, 01/09/28 | | | 258,749 | | | | 0.1 | |
| | 100,000 | | | | | Crown Castle International Corp., 2.250%, 09/01/21 | | | 98,498 | | | | 0.1 | |
| | 375,000 | | | | | Crown Castle International Corp., 5.250%, 01/15/23 | | | 417,018 | | | | 0.2 | |
| | 100,000 | | | | | Deutsche Bank AG/London, 2.500%, 02/13/19 | | | 100,415 | | | | 0.1 | |
| | 350,000 | | | | | Education Realty Operating Partnership L.P., 4.600%, 12/01/24 | | | 356,378 | | | | 0.2 | |
| | 306,000 | | | | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/35 | | | 334,039 | | | | 0.2 | |
| | 50,000 | | | | | Hartford Financial Services Group, Inc./The, 5.125%, 04/15/22 | | | 55,556 | | | | 0.0 | |
| | 450,000 | | | | | HSBC Holdings PLC, 3.262%, 03/13/23 | | | 458,775 | | | | 0.2 | |
| | 500,000 | | | | | ING Bank NV, 4.125%, 11/21/23 | | | 511,961 | | | | 0.2 | |
| | 525,000 | | | | | JPMorgan Chase & Co., 2.950%, 10/01/26 | | | 507,340 | | | | 0.2 | |
| | 375,000 | | | | | JPMorgan Chase & Co., 2.972%, 01/15/23 | | | 379,698 | | | | 0.2 | |
| | 1,700,000 | | | | | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/18 | | | 1,694,735 | | | | 0.8 | |
| | 50,000 | | | # | | Macquarie Bank Ltd., 6.625%, 04/07/21 | | | 56,389 | | | | 0.0 | |
| | 50,000 | | | | | MetLife, Inc., 4.050%, 03/01/45 | | | 50,623 | | | | 0.0 | |
| | 350,000 | | | | | Mitsubishi UFJ Financial Group, Inc., 2.950%, 03/01/21 | | | 355,830 | | | | 0.2 | |
| | 1,000,000 | | | | | Morgan Stanley, 2.553%, 10/24/23 | | | 1,018,117 | | | | 0.5 | |
| | 800,000 | | | | | Morgan Stanley, 3.700%, 10/23/24 | | | 821,861 | | | | 0.4 | |
| | 25,000 | | | | | Morgan Stanley, 4.000%, 07/23/25 | | | 26,123 | | | | 0.0 | |
| | 200,000 | | | | | National Retail Properties, Inc., 3.600%, 12/15/26 | | | 198,786 | | | | 0.1 | |
| | 225,000 | | | | | Principal Financial Group, Inc., 3.100%, 11/15/26 | | | 222,174 | | | | 0.1 | |
| | 300,000 | | | | | Realty Income Corp., 3.000%, 01/15/27 | | | 284,743 | | | | 0.1 | |
| | 450,000 | | | | | Santander Holdings USA, Inc., 2.650%, 04/17/20 | | | 449,117 | | | | 0.2 | |
| | 450,000 | | | # | | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | | | 478,377 | | | | 0.2 | |
| | 775,000 | | | | | Synchrony Financial, 3.000%, 08/15/19 | | | 786,343 | | | | 0.4 | |
| | 425,000 | | | | | TD Ameritrade Holding Corp., 2.950%, 04/01/22 | | | 435,132 | | | | 0.2 | |
| | 100,000 | | | # | | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | | | 112,347 | | | | 0.1 | |
| | 225,000 | | | # | | UBS Group Funding Switzerland AG, 3.000%, 04/15/21 | | | 228,634 | | | | 0.1 | |
| | 800,000 | | | # | | UniCredit SpA, 3.750%, 04/12/22 | | | 820,115 | | | | 0.4 | |
| | 250,000 | | | # | | UniCredit SpA, 4.625%, 04/12/27 | | | 264,248 | | | | 0.1 | |
| | 350,000 | | | # | | UniCredit SpA, 5.861%, 06/19/32 | | | 360,171 | | | | 0.2 | |
| | 300,000 | | | | | Vereit Operating Partnership L.P., 3.000%, 02/06/19 | | | 303,132 | | | | 0.1 | |
| | 250,000 | | | | | VEREIT Operating Partnership L.P., 4.125%, 06/01/21 | | | 262,015 | | | | 0.1 | |
| | 175,000 | | | | | VEREIT Operating Partnership L.P., 4.875%, 06/01/26 | | | 185,661 | | | | 0.1 | |
| | 750,000 | | | | | Wells Fargo & Co., 3.000%, 10/23/26 | | | 731,276 | | | | 0.4 | |
| | 275,000 | | | | | Westpac Banking Corp., 4.322%, 11/23/31 | | | 282,426 | | | | 0.1 | |
| | | | | | | | | | 18,562,590 | | | | 8.8 | |
| | | | | | | | | | | | | | | |
| | | | | | | Industrial: 0.7% | | | | | | | | |
| | 150,000 | | | # | | Park Aerospace Holdings Ltd., 5.250%, 08/15/22 | | | 157,360 | | | | 0.1 | |
| | 100,000 | | | # | | Park Aerospace Holdings Ltd., 5.500%, 02/15/24 | | | 104,700 | | | | 0.1 | |
| | 300,000 | | | # | | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | | | 307,597 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | | | | | Industrial: (continued) | | | | | | | | |
| | 200,000 | | | # | | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/23 | | | 208,000 | | | | 0.1 | |
| | 250,000 | | | | | Roper Technologies, Inc., 3.000%, 12/15/20 | | | 256,055 | | | | 0.1 | |
| | 375,000 | | | # | | Sealed Air Corp., 5.250%, 04/01/23 | | | 404,063 | | | | 0.2 | |
| | | | | | | | | | 1,437,775 | | | | 0.7 | |
| | | | | | | | | | | | | | | |
| | | | | | | Technology: 2.1% | | | | | | | | |
| | 475,000 | | | # | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.000%, 01/15/22 | | | 479,691 | | | | 0.2 | |
| | 575,000 | | | # | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.625%, 01/15/24 | | | 588,913 | | | | 0.3 | |
| | 225,000 | | | # | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 01/15/27 | | | 231,525 | | | | 0.1 | |
| | 425,000 | | | | | Fidelity National Information Services, Inc., 3.625%, 10/15/20 | | | 445,505 | | | | 0.2 | |
| | 300,000 | | | | | Fiserv, Inc., 2.700%, 06/01/20 | | | 303,800 | | | | 0.2 | |
| | 200,000 | | | | | Hewlett Packard Enterprise Co., 4.900%, 10/15/25 | | | 210,046 | | | | 0.1 | |
| | 400,000 | | | | | Microsoft Corp., 3.125%, 11/03/25 | | | 408,609 | | | | 0.2 | |
| | 700,000 | | | # | | NXP BV / NXP Funding LLC, 4.625%, 06/01/23 | | | 756,875 | | | | 0.4 | |
| | 400,000 | | | | | Oracle Corp., 2.500%, 05/15/22 | | | 404,018 | | | | 0.2 | |
| | 300,000 | | | | | Qualcomm, Inc., 2.600%, 01/30/23 | | | 299,260 | | | | 0.1 | |
| | 300,000 | | | | | Qualcomm, Inc., 2.900%, 05/20/24 | | | 299,586 | | | | 0.1 | |
| | | | | | | | | | 4,427,828 | | | | 2.1 | |
| | | | | | | | | | | | | | | |
| | | | | | | Utilities: 0.5% | | | | | | | | |
| | 525,000 | | | # | | Enel Finance International NV, 2.875%, 05/25/22 | | | 526,264 | | | | 0.2 | |
| | 250,000 | | | | | Puget Sound Energy, Inc., 6.974%, 06/01/67 | | | 240,625 | | | | 0.1 | |
| | 400,000 | | | | | Southern Co/The, 2.350%, 07/01/21 | | | 397,423 | | | | 0.2 | |
| | | | | | | | | | 1,164,312 | | | | 0.5 | |
| | | | | | | | | | | | | | | |
| | | | | Total Corporate Bonds/Notes | | | | | | | | |
| | | | | (Cost $57,334,904) | | | 58,278,447 | | | | 27.5 | |
| | | | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS: 3.6% | | | | | | | | |
| | 300,548 | | | | | CHL Mortgage Pass-Through Trust 2005-25 A12, 5.500%, 11/25/35 | | | 270,001 | | | | 0.1 | |
| EUR | 398,709 | | | # | | Credit Suisse European Mortgage Capital Ltd. 2015-1HWA A, 2.750%, 04/20/20 | | | 447,417 | | | | 0.2 | |
| | 682,390 | | | ^ | | Fannie Mae 2013-130 SN, 5.434%, 10/25/42 | | | 130,939 | | | | 0.1 | |
| | 393,260 | | | ^ | | Fannie Mae REMIC Trust 2011-124 SC, 5.334%, 12/25/41 | | | 71,866 | | | | 0.0 | |
| | 357,399 | | | ^ | | Fannie Mae REMIC Trust 2013-131 SA, 4.884%, 12/25/43 | | | 56,627 | | | | 0.0 | |
| | 289,302 | | | ^ | | Fannie Mae REMIC Trust 2013-96 SW, 4.884%, 09/25/43 | | | 46,587 | | | | 0.0 | |
| | 667,319 | | | ^ | | Fannie Mae REMIC Trust 2013-96 SY, 4.934%, 07/25/42 | | | 110,253 | | | | 0.1 | |
| | 430,147 | | | ^ | | Fannie Mae REMIC Trust 2014-87 MS, 5.034%, 01/25/45 | | | 69,370 | | | | 0.0 | |
| | 614,167 | | | ^ | | Fannie Mae REMIC Trust 2015-79 SA, 5.034%, 11/25/45 | | | 102,071 | | | | 0.0 | |
| | 1,322,361 | | | ^ | | Fannie Mae REMIC Trust 2015-81 SA, 4.484%, 11/25/45 | | | 186,992 | | | | 0.1 | |
| | 329,072 | | | ^ | | Fannie Mae REMIC Trust 2015-82 MS, 4.484%, 11/25/45 | | | 48,148 | | | | 0.0 | |
| | 805,091 | | | ^ | | Fannie Mae Series 2016-3 IP, 4.000%, 02/25/46 | | | 165,179 | | | | 0.1 | |
| | 1,013,056 | | | ^ | | Freddie Mac 4583 ST, 4.841%, 05/15/46 | | | 197,700 | | | | 0.1 | |
| | 2,441,263 | | | ^ | | Freddie Mac 4596 CS, 4.941%, 06/15/46 | | | 394,802 | | | | 0.2 | |
| | 203,199 | | | ^ | | Freddie Mac REMIC Trust 4320 SD, 4.941%, 07/15/39 | | | 32,290 | | | | 0.0 | |
| | 467,422 | | | ^ | | Freddie Mac REMIC Trust 4326 GS, 4.891%, 04/15/44 | | | 82,027 | | | | 0.0 | |
| | 350,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 5.866%, 10/25/28 | | | 395,405 | | | | 0.2 | |
| | 839,539 | | | ^ | | Ginnie Mae 2014-20 SA, 4.888%, 02/20/44 | | | 139,288 | | | | 0.1 | |
| | 747,436 | | | ^ | | Ginnie Mae 2015-111 IM, 4.000%, 08/20/45 | | | 122,732 | | | | 0.1 | |
| | 634,972 | | | ^ | | Ginnie Mae 2015-119 SN, 5.038%, 08/20/45 | | | 108,952 | | | | 0.1 | |
| | 578,313 | | | ^ | | Ginnie Mae 2016-138 GI, 4.000%, 10/20/46 | | | 104,223 | | | | 0.1 | |
| | 433,397 | | | ^ | | Ginnie Mae Series 2010-20 SE, 5.038%, 02/20/40 | | | 73,172 | | | | 0.0 | |
| | 258,909 | | | ^ | | Ginnie Mae Series 2010-31 SA, 4.538%, 03/20/40 | | | 38,881 | | | | 0.0 | |
| | 170,705 | | | ^ | | Ginnie Mae Series 2012-149 MS, 5.038%, 12/20/42 | | | 28,753 | | | | 0.0 | |
| | 95,573 | | | ^ | | Ginnie Mae Series 2013-134 DS, 4.888%, 09/20/43 | | | 15,655 | | | | 0.0 | |
| | 280,761 | | | ^ | | Ginnie Mae Series 2013-152 SG, 4.938%, 06/20/43 | | | 46,611 | | | | 0.0 | |
| | 628,863 | | | ^ | | Ginnie Mae Series 2013-181 SA, 4.888%, 11/20/43 | | | 106,022 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
| | 945,217 | | | ^ | | Ginnie Mae Series 2014-132 SL, 4.888%, 10/20/43 | | | 136,721 | | | | 0.1 | |
| | 459,682 | | | ^ | | Ginnie Mae Series 2014-133 BS, 4.388%, 09/20/44 | | | 65,627 | | | | 0.0 | |
| | 107,614 | | | ^ | | Ginnie Mae Series 2014-41 SA, 4.888%, 03/20/44 | | | 18,072 | | | | 0.0 | |
| | 999,676 | | | ^ | | Ginnie Mae Series 2015-110 MS, 4.498%, 08/20/45 | | | 151,988 | | | | 0.1 | |
| | 292,791 | | | ^ | | Ginnie Mae Series 2015-126 HS, 4.988%, 09/20/45 | | | 48,926 | | | | 0.0 | |
| | 299,464 | | | ^ | | Ginnie Mae Series 2015-159 HS, 4.988%, 11/20/45 | | | 50,211 | | | | 0.0 | |
| | 677,346 | | | ^ | | Ginnie Mae Series 2016-4 SM, 4.438%, 01/20/46 | | | 96,529 | | | | 0.0 | |
| | 1,000,000 | | | # | | Mortgage Repurchase Agreement Financing Trust Series 2016-1 A2, 2.174%, 04/10/19 | | | 1,000,284 | | | | 0.5 | |
| | 250,000 | | | # | | Mortgage Repurchase Agreement Financing Trust Series 2017-1 A1, 2.074%, 07/10/19 | | | 250,118 | | | | 0.1 | |
| | 600,000 | | | # | | Mortgage Repurchase Agreement Financing Trust, Series 2016-1, 2.124%, 04/10/19 | | | 600,098 | | | | 0.3 | |
| | 950,000 | | | # | | Mortgage Repurchase Agreement Financing Trust, Series 2016-2, 2.524%, 03/10/19 | | | 950,189 | | | | 0.5 | |
| | 754,151 | | | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 1A, 1.732%, 08/25/46 | | | 688,884 | | | | 0.3 | |
| | | | | | | | | | | | | | | |
| | | | | Total Collateralized Mortgage Obligations | | | | | | | | |
| | | | | (Cost $7,463,548) | | | 7,649,610 | | | | 3.6 | |
| | | | | | | | | | | | | | | |
| MUNICIPAL BONDS: 1.0% | | | | | | | | |
| | | | | | | California: 0.5% | | | | | | | | |
| | 400,000 | | | | | East Bay Municipal Utility District Water System Revenue, 5.874%, 06/01/40 | | | 526,448 | | | | 0.2 | |
| | 350,000 | | | | | Bay Area Toll Authority, 7.043%, 04/01/50 | | | 535,552 | | | | 0.3 | |
| | | | | | | | | | 1,062,000 | | | | 0.5 | |
| | | | | | | | | | | | | | | |
| | | | | | | Minnesota: 0.1% | | | | | | | | |
| | 250,000 | | | | | Northstar Education Finance, Inc., 1.272%, 04/28/30 | | | 246,897 | | | | 0.1 | |
| | | | | | | | | | | | | | | |
| | | | | | | Puerto Rico: 0.4% | | | | | | | | |
| | 100,000 | | | ± | | Commonwealth of Puerto Rico, 6.000%, 07/01/39 | | | 59,750 | | | | 0.1 | |
| | 275,000 | | | ± | | Commonwealth of Puerto Rico, 8.000%, 07/01/35 | | | 166,719 | | | | 0.1 | |
| | 85,000 | | | | | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.250%, 07/01/42 | | | 66,189 | | | | 0.1 | |
| | 210,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.250%, 08/01/41 | | | 54,338 | | | | 0.0 | |
| | 70,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.250%, 08/01/43 | | | 18,113 | | | | 0.0 | |
| | 25,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.375%, 08/01/38 | | | 6,469 | | | | 0.0 | |
| | 1,000,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.500%, 08/01/37 | | | 258,750 | | | | 0.1 | |
| | 110,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.750%, 08/01/37 | | | 28,462 | | | | 0.0 | |
| | 220,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.000%, 08/01/43 | | | 56,925 | | | | 0.0 | |
| | 45,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.750%, 08/01/32 | | | 11,981 | | | | 0.0 | |
| | 150,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/39 | | | 39,188 | | | | 0.0 | |
| | 65,000 | | | ± | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/42 | | | 16,981 | | | | 0.0 | |
| | | | | | | | | | 783,865 | | | | 0.4 | |
| | | | | | | | | | | | | | | |
| | | | | Total Municipal Bonds | | | | | | | | |
| | | | | (Cost $2,554,448) | | | 2,092,762 | | | | 1.0 | |
| | | | | | | | | | | | | | | |
| STRUCTURED PRODUCTS: 0.8% | | | | | | | | |
| EGP | 5,000,000 | | | Z | | Citibank N.A. - Fully-Funded Total Return Swap, Receive the total return of the Arab Republic of Egypt Treasury Bill, 19.390%, 02/08/18 | | | 247,215 | | | | 0.1 | |
| EGP | 5,080,000 | | | #,Z | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 18.540%, 08/10/17 | | | 276,139 | | | | 0.2 | |
| EGP | 5,000,000 | | | #,Z | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 11/02/17 | | | 257,936 | | | | 0.1 | |
| EGP | 12,550,000 | | | #,Z | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 05/03/18 | | | 593,999 | | | | 0.3 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| STRUCTURED PRODUCTS: (continued) | | | | | | | | |
| EGP | 5,000,000 | | | Z | | JPMorgan Chase Bank N.A. - Fully-Funded Total Return Swap, Receive the total return of the Arab Republic of Egypt Treasury Bill, 18.100%, 02/15/18 | | | 245,772 | | | | 0.1 | |
| | | | | | | | | | | | | | | |
| | | | | Total Structured Products | | | | | | | | |
| | | | | (Cost $1,644,184) | | | 1,621,061 | | | | 0.8 | |
| | | | | | | | | | | | | | | |
| U.S. GOVERNMENT AGENCY OBLIGATIONS: 32.8% | | | | | | | | |
| | | | | | | Federal Home Loan Bank: 1.1% | | | | | | | | |
| | 900,000 | | | | | 2.625%, due 09/12/25 | | | 905,180 | | | | 0.4 | |
| | 1,300,000 | | | | | 2.875%, due 06/13/25 | | | 1,337,727 | | | | 0.7 | |
| | | | | | | | | | 2,242,907 | | | | 1.1 | |
| | | | | | | | | | | | | | | |
| | | | | | | Federal Home Loan Mortgage Corporation: 8.6%## | | | | | | | | |
| | 15,000,000 | | | W | | 4.000%, due 07/01/45 | | | 15,769,336 | | | | 7.4 | |
| | 1,438,329 | | | | | 3.500%, due 04/01/43 | | | 1,484,529 | | | | 0.7 | |
| | 889,714 | | | | | 3.500%, due 03/01/46 | | | 920,001 | | | | 0.4 | |
| | 95,315 | | | | | 4.000%, due 02/01/41 | | | 100,674 | | | | 0.1 | |
| | 55,935 | | | | | 4.000%, due 02/01/41 | | | 59,068 | | | | 0.0 | |
| | | | | | | | | | 18,333,608 | | | | 8.6 | |
| | | | | | | | | | | | | | | |
| | | | | | | Federal National Mortgage Association: 10.9%## | | | | | | | | |
| | 1,400,000 | | | | | 1.875%, due 09/24/26 | | | 1,329,327 | | | | 0.6 | |
| | 825,493 | | | | | 3.500%, due 10/01/42 | | | 851,414 | | | | 0.4 | |
| | 649,145 | | | | | 3.500%, due 05/01/46 | | | 670,143 | | | | 0.3 | |
| | 927,650 | | | | | 3.500%, due 06/01/46 | | | 962,821 | | | | 0.5 | |
| | 9,000,000 | | | W | | 3.500%, due 07/01/47 | | | 9,244,336 | | | | 4.4 | |
| | 8,000,000 | | | W | | 4.000%, due 08/01/45 | | | 8,396,406 | | | | 4.0 | |
| | 800,826 | | | | | 4.500%, due 04/01/45 | | | 877,080 | | | | 0.4 | |
| | 94,634 | | | | | 4.500%, due 05/01/45 | | | 103,500 | | | | 0.0 | |
| | 141,943 | | | | | 6.000%, due 09/01/35 | | | 161,218 | | | | 0.1 | |
| | 53,796 | | | | | 6.000%, due 09/01/36 | | | 61,189 | | | | 0.0 | |
| | 55,299 | | | | | 6.000%, due 12/01/36 | | | 62,227 | | | | 0.0 | |
| | 117,198 | | | | | 6.000%, due 07/01/37 | | | 133,132 | | | | 0.1 | |
| | 145,944 | | | | | 6.000%, due 08/01/38 | | | 165,190 | | | | 0.1 | |
| | | | | | | | �� | | 23,017,983 | | | | 10.9 | |
| | | | | | | | | | | | | | | |
| | | | | | | Government National Mortgage Association: 12.2% | | | | | | | | |
| | 3,239,121 | | | | | 4.000%, due 10/20/43 | | | 3,426,879 | | | | 1.6 | |
| | 1,513,882 | | | | | 4.000%, due 07/20/45 | | | 1,595,011 | | | | 0.7 | |
| | 387,647 | | | | | 4.000%, due 08/20/45 | | | 408,527 | | | | 0.2 | |
| | 1,542,863 | | | | | 4.000%, due 09/20/45 | | | 1,625,545 | | | | 0.8 | |
| | 2,524,431 | | | | | 4.000%, due 10/20/45 | | | 2,659,716 | | | | 1.3 | |
| | 923,588 | | | | | 4.000%, due 11/20/45 | | | 973,083 | | | | 0.5 | |
| | 1,097,532 | | | | | 4.000%, due 02/20/46 | | | 1,156,349 | | | | 0.5 | |
| | 4,759,851 | | | | | 4.000%, due 03/20/46 | | | 5,014,933 | | | | 2.4 | |
| | 6,635,788 | | | | | 4.000%, due 04/20/46 | | | 6,991,402 | | | | 3.3 | |
| | 869,535 | | | | | 4.000%, due 05/20/46 | | | 916,134 | | | | 0.4 | |
| | 997,991 | | | | | 4.000%, due 05/20/47 | | | 1,053,752 | | | | 0.5 | |
| | | | | | | | | | 25,821,331 | | | | 12.2 | |
| | | | | | | | | | | | | | | |
| | | | | Total U.S. Government Agency Obligations | | | | | | | | |
| | | | | (Cost $69,772,899) | | | 69,415,829 | | | | 32.8 | |
| | | | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS: 13.3% | | | | | | | | |
| | | | | | | Treasury Inflation Indexed Protected Securities: 1.1% | | | | | | | | |
| | 264,840 | | | | | 0.125%, due 01/15/23 | | | 262,521 | | | | 0.1 | |
| | 309,714 | | | | | 0.250%, due 01/15/25 | | | 304,318 | | | | 0.1 | |
| | 429,668 | | | | | 0.625%, due 01/15/24 | | | 435,937 | | | | 0.2 | |
| | 823,272 | | | | | 0.625%, due 01/15/26 | | | 828,850 | | | | 0.4 | |
| | 212,724 | | | | | 0.875%, due 02/15/47 | | | 206,657 | | | | 0.1 | |
| | 284,728 | | | | | 2.500%, due 01/15/29 | | | 342,627 | | | | 0.2 | |
| | | | | | | | | | 2,380,910 | | | | 1.1 | |
| | | | | | | | | | | | | | | |
| | | | | | | U.S. Treasury Bonds: 5.4% | | | | | | | | |
| | 5,900,000 | | | | | 2.250%, due 11/15/25 | | | 5,901,729 | | | | 2.8 | |
| | 2,760,000 | | | | | 2.875%, due 11/15/46 | | | 2,780,537 | | | | 1.3 | |
| | 2,160,000 | | | | | 3.000%, due 11/15/45 | | | 2,228,934 | | | | 1.0 | |
| | 590,000 | | | | | 3.000%, due 05/15/47 | | | 610,062 | | | | 0.3 | |
| | | | | | | | | | 11,521,262 | | | | 5.4 | |
| | | | | | | | | | | | | | | |
| | | | | | | U.S. Treasury Notes: 5.8% | | | | | | | | |
| | 3,180,000 | | | | | 2.125%, due 03/31/24 | | | 3,181,924 | | | | 1.5 | |
| | 5,270,000 | | | | | 2.000%, due 04/30/24 | | | 5,229,753 | | | | 2.5 | |
| | 2,130,000 | | | | | 2.000%, due 05/31/24 | | | 2,112,568 | | | | 1.0 | |
| | 1,800,000 | | | | | 2.250%, due 01/31/24 | | | 1,816,699 | | | | 0.8 | |
| | | | | | | | | | 12,340,944 | | | | 5.8 | |
| | | | | | | | | | | | | | | |
| | | | | | | U.S. Treasury STRIP: 1.0% | | | | | | | | |
| | 1,930,000 | | | ^ | | 2.696%, due 02/15/36 | | | 1,162,738 | | | | 0.6 | |
| | 1,500,000 | | | ^,(a) | | 2.718%, due 08/15/36 | | | 885,020 | | | | 0.4 | |
| | | | | | | | | | 2,047,758 | | | | 1.0 | |
| | | | | | | | | | | | | | | |
| | | | | Total U.S. Treasury Obligations | | | | | | | | |
| | | | | (Cost $28,287,783) | | | 28,290,874 | | | | 13.3 | |
| | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES: 17.9% | | | | | | | | |
| | | | | | | Other Asset-Backed Securities: 9.3% | | | | | | | | |
| | 250,000 | | | # | | B&M CLO 2014-1A A2, 3.108%, 04/16/26 | | | 249,998 | | | | 0.1 | |
| | 1,050,000 | | | # | | BlueMountain CLO 2014-2A AR, 2.369%, 07/20/26 | | | 1,050,000 | | | | 0.5 | |
| | 1,323,300 | | | # | | Crown Point CLO III Ltd. 2015-3A A1A, 2.568%, 12/31/27 | | | 1,324,622 | | | | 0.6 | |
| | 1,050,000 | | | # | | Cutwater 2014-1A A1AR Ltd., 2.469%, 07/15/26 | | | 1,049,998 | | | | 0.5 | |
| | 650,000 | | | # | | Greywolf CLO V Ltd. 2015-1A A1, 2.756%, 04/25/27 | | | 650,167 | | | | 0.3 | |
| | 800,000 | | | # | | Halcyon Loan Advisors Funding 2015-1A A, 2.606%, 04/20/27 | | | 801,002 | | | | 0.4 | |
| | 1,050,000 | | | # | | Halcyon Loan Advisors Funding 2015-2A A, 2.546%, 07/25/27 | | | 1,048,566 | | | | 0.5 | |
| | 1,583,955 | | | # | | ICG US CLO 2014-1A A1, 2.306%, 04/20/26 | | | 1,579,485 | | | | 0.7 | |
| | 1,050,000 | | | # | | Neuberger Berman CLO XIX Ltd. 2015-19A A1R, 2.354%, 07/15/27 | | | 1,050,000 | | | | 0.5 | |
| | 983,746 | | | # | | OFSI Fund VI Ltd. 2014-6A A1, 2.188%, 03/20/25 | | | 975,919 | | | | 0.5 | |
| | 2,044,795 | | | # | | OFSI Fund VII Ltd. 2014-7A A, 2.498%, 10/18/26 | | | 2,045,895 | | | | 1.0 | |
| | 505,205 | | | # | | OFSI Fund VII Ltd. 2014-7A B, 3.288%, 10/18/26 | | | 505,223 | | | | 0.2 | |
| | 1,650,000 | | | # | | Sound Point CLO VIII Ltd. 2015-1A A, 2.688%, 04/15/27 | | | 1,651,020 | | | | 0.8 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| ASSET-BACKED SECURITIES: (continued) | | | | | | | | |
| | | | | | | Other Asset-Backed Securities: (continued) | | | | | | | | |
| | 1,000,000 | | | | | Soundview Home Loan Trust 2005-2 M6, 2.296%, 07/25/35 | | | 990,899 | | | | 0.5 | |
| | 800,000 | | | # | | Trinitas CLO II Ltd. 2014-2A A1R, 2.339%, 07/15/26 | | | 799,981 | | | | 0.4 | |
| | 1,000,000 | | | # | | Trinitas CLO Ltd. 2015-3A A2, 2.668%, 07/15/27 | | | 1,002,377 | | | | 0.5 | |
| | 480,395 | | | | | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust A3, 1.446%, 04/25/37 | | | 457,314 | | | | 0.2 | |
| | 1,500,000 | | | # | | York CLO 1 Ltd. 2014-1A AR, 2.303%, 01/22/27 | | | 1,499,991 | | | | 0.7 | |
| | 916,981 | | | # | | Z Capital Credit Partners CLO Ltd. 2015-1A A1, 2.488%, 07/16/27 | | | 914,169 | | | | 0.4 | |
| | | | | | | | | | 19,646,626 | | | | 9.3 | |
| | | | | | | | | | | | | | | |
| | | | | | | Student Loan Asset-Backed Securities: 8.6% | | | | | | | | |
| | 1,150,000 | | | # | | Academic Loan Funding Trust 2012-1A A2, 2.316%, 12/27/44 | | | 1,148,482 | | | | 0.5 | |
| | 235,801 | | | # | | Bank of America Student Loan Trust 2010-1A A, 1.956%, 02/25/43 | | | 237,142 | | | | 0.1 | |
| | 178,242 | | | | | Brazos Higher Education Authority, Inc. 2005-2 A11, 1.293%, 09/27/21 | | | 178,184 | | | | 0.1 | |
| | 911,429 | | | # | | ECMC Group Student Loan Trust 2016-1, 2.566%, 07/26/66 | | | 913,793 | | | | 0.4 | |
| | 611,995 | | | # | | Edsouth Indenture No 9 LLC 2015-1 A, 2.016%, 10/25/56 | | | 608,410 | | | | 0.3 | |
| | 1,100,000 | | | # | | EFS Volunteer No 2 LLC 2012-1 A2, 2.566%, 03/25/36 | | | 1,119,381 | | | | 0.5 | |
| | 650,000 | | | # | | EFS Volunteer No 3 LLC 2012-1 A3, 2.216%, 04/25/33 | | | 654,546 | | | | 0.3 | |
| | 600,000 | | | | | Montana Higher Education Student Assistance Corp. 2012-1 A3, 2.262%, 07/20/43 | | | 591,065 | | | | 0.3 | |
| | 1,829,961 | | | # | | Navient Student Loan Trust 2016-5A A, 2.466%, 06/25/65 | | | 1,861,448 | | | | 0.9 | |
| | 887,594 | | | # | | Navient Student Loan Trust 2016-7 A, 2.366%, 03/25/66 | | | 898,100 | | | | 0.4 | |
| | 1,050,000 | | | # | | Nelnet Student Loan Trust 2006-1 A6, 1.636%, 08/23/36 | | | 1,011,065 | | | | 0.5 | |
| | 937,280 | | | # | | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 2.366%, 09/25/65 | | | 947,631 | | | | 0.5 | |
| | 309,108 | | | # | | Scholar Funding Trust 2010-A A, 1.922%, 10/28/41 | | | 304,959 | | | | 0.2 | |
| | 649,611 | | | # | | SLM Student Loan Trust 2003-1 A5A, 1.356%, 12/15/32 | | | 620,901 | | | | 0.3 | |
| | 859,929 | | | # | | SLM Student Loan Trust 2003-7A A5A, 2.446%, 12/15/33 | | | 869,856 | | | | 0.4 | |
| | 800,000 | | | # | | SLM Student Loan Trust 2004-8A A6, 1.786%, 01/25/40 | | | 791,141 | | | | 0.4 | |
| | 703,497 | | | | | SLM Student Loan Trust 2005-4 A3, 1.276%, 01/25/27 | | | 700,038 | | | | 0.3 | |
| | 250,000 | | | | | SLM Student Loan Trust 2005-5 A5, 1.906%, 10/25/40 | | | 244,989 | | | | 0.1 | |
| | 405,119 | | | | | SLM Student Loan Trust 2007-1 A5, 1.246%, 01/26/26 | | | 403,807 | | | | 0.2 | |
| | 750,000 | | | | | SLM Student Loan Trust 2007-2 A4, 1.216%, 07/25/22 | | | 726,794 | | | | 0.3 | |
| | 468,297 | | | | | SLM Student Loan Trust 2007-7 A4, 1.486%, 01/25/22 | | | 461,457 | | | | 0.2 | |
| | 168,996 | | | | | SLM Student Loan Trust 2008-2 A3, 1.906%, 04/25/23 | | | 168,352 | | | | 0.1 | |
| | 474,051 | | | | | SLM Student Loan Trust 2008-4 A4, 2.806%, 07/25/22 | | | 486,132 | | | | 0.2 | |
| | 1,275,793 | | | | | SLM Student Loan Trust 2008-5 A4, 2.856%, 07/25/23 | | | 1,311,639 | | | | 0.6 | |
| | 600,000 | | | | | SLM Student Loan Trust 2008-6 A4, 2.256%, 07/25/23 | | | 604,255 | | | | 0.3 | |
| | 350,000 | | | | | SLM Student Loan Trust 2008-8 A4, 2.656%, 04/25/23 | | | 358,574 | | | | 0.2 | |
| | | | | | | | | | 18,222,141 | | | | 8.6 | |
| | | | | | | | | | | | | | | |
| | | | | Total Asset-Backed Securities | | | | | | | | |
| | | | | (Cost $37,448,521) | | | 37,868,767 | | | | 17.9 | |
| | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS: 3.3% | | | | | | | | |
| | 460,000 | | | # | | Argentine Republic Government International Bond, 7.125%, 06/28/17 | | | 418,140 | | | | 0.2 | |
| BRL | 439,000 | | | | | Brazil Notas do Tesouro Nacional Series B, 6.000%, 08/15/50 | | | 426,894 | | | | 0.2 | |
| | 520,000 | | | | | Colombia Government International Bond, 4.000%, 02/26/24 | | | 541,060 | | | | 0.2 | |
| | 160,000 | | | | | Dominican Republic International Bond, 5.500%, 01/27/25 | | | 166,000 | | | | 0.1 | |
| | 340,000 | | | # | | Dominican Republic International Bond, 5.500%, 01/27/25 | | | 352,750 | | | | 0.2 | |
| | 290,000 | | | | | Dominican Republic International Bond, 6.850%, 01/27/45 | | | 310,300 | | | | 0.1 | |
| | 200,000 | | | | | Ecuador Government International Bond, 9.650%, 12/13/26 | | | 200,740 | | | | 0.1 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| FOREIGN GOVERNMENT BONDS: (continued) | | | | | | | | |
| | 200,000 | | | # | | Indonesia Government International Bond, 3.700%, 01/08/22 | | | 206,039 | | | | 0.1 | |
| | 200,000 | | | | | Indonesia Government International Bond, 4.125%, 01/15/25 | | | 206,716 | | | | 0.1 | |
| | 260,000 | | | # | | Indonesia Government International Bond, 4.350%, 01/08/27 | | | 271,458 | | | | 0.1 | |
| | 400,000 | | | | | Indonesia Government International Bond, 5.375%, 10/17/23 | | | 445,206 | | | | 0.2 | |
| | 1,039,000 | | | | | Israel Government AID Bond, 5.500%, 12/04/23 | | | 1,236,162 | | | | 0.6 | |
| | 1,375,000 | | | | | Israel Government AID Bond, 5.500%, 09/18/23 | | | 1,637,958 | | | | 0.8 | |
| MXN | 434,700 | | | | | Mexican Bonos, 7.750%, 11/23/34 | | | 25,748 | | | | 0.0 | |
| MXN | 19,100 | | | | | Mexican Bonos, 8.000%, 11/07/47 | | | 1,148 | | | | 0.0 | |
| | 240,000 | | | | | Mexico Government International Bond, 4.600%, 01/23/46 | | | 235,272 | | | | 0.1 | |
| | 130,000 | | | | | Mexico Government International Bond, 4.750%, 03/08/44 | | | 130,455 | | | | 0.1 | |
| BRL | 1,004,000 | | | | | Nota Do Tesouro Nacional, 01/01/27 | | | 294,427 | | | | 0.1 | |
| | | | | | | | | | | | | | | |
| | | | | Total Foreign Government Bonds | | | | | | | | |
| | | | | (Cost $7,006,164) | | | 7,106,473 | | | | 3.3 | |
| Shares | | | | | | | Value | | | Percentage
of Net
Assets | |
| PREFERRED STOCK: 0.1% | | | | | | | | |
| | | | | | | Financials: 0.1% | | | | | | | | |
| | 9,690 | | | @,P | | Delphi Financial Group, Inc. | | | 208,941 | | | | 0.1 | |
| | | | | | | | | | | | | | | |
| | | | | Total Preferred Stock | | | | | | | | |
| | | | | (Cost $215,552) | | | 208,941 | | | | 0.1 | |
| | | | | | | | | | | | | | | |
| | | | | Total Long-Term Investments | | | | | | | | |
| | | | | (Cost $211,728,003) | | | 212,532,764 | | | | 100.3 | |
Principal
Amount† | | | | | | | Value | | | Percentage
of Net
Assets | |
| SHORT-TERM INVESTMENTS: 14.3% | | | | | | | | |
| | | | | | | Corporate Bonds/Notes: 0.7% | | | | | | | | |
| | 975,000 | | | | | Allergan Funding SCS, 2.350%, 03/12/18 | | | 979,250 | | | | 0.4 | |
| | 575,000 | | | | | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | | | 580,400 | | | | 0.3 | |
| | | | | | | | | | 1,559,650 | | | | 0.7 | |
| | | | | | | | | | | | | | | |
| | | | | | | Securities Lending Collateralcc: 0.2% | | | | | | | | |
| | 457,808 | | | | | BNP Paribas S.A., Repurchase Agreement dated 06/30/17, 1.10%, due 07/03/17 (Repurchase Amount $457,849, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $466,964, due 07/20/17-09/09/49) | | | 457,808 | | | | 0.2 | |
| | 25,385 | | | | | HSBC Securities USA, Repurchase Agreement dated 06/30/17, 1.06%, due 07/03/17 (Repurchase Amount $25,387, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.250%, Market Value plus accrued interest $25,893, due 07/15/17-01/15/37) | | | 25,385 | | | | 0.0 | |
| | 12,468 | | | | | Jefferies LLC, Repurchase Agreement dated 06/30/17, 1.24%, due 07/03/17 (Repurchase Amount $12,469, collateralized by various U.S. Government Agency Obligations, 0.000%-7.125%, Market Value plus accrued interest $12,717, due 07/07/17-01/15/30) | | | 12,468 | | | | 0.0 | |
| | | | | | | | | | 495,661 | | | | 0.2 | |
| | | | | | | | | | | | | | | |
| | | | | | | Collateralized Mortgage Obligations: 0.2% | | | | | | | | |
| | 500,000 | | | # | | Station Place Securitization Trust 2015-2, 2.189%, 05/15/18 | | | | | | | | |
| | | | | | | (Cost $500,000) | | | 500,000 | | | | 0.2 | |
| | | | | | | | | | | | | | | |
| | | | | | | U.S. Treasury Obligations: 2.6% | | | | | | | | |
| | 5,394,831 | | | | | United States Treasury Inflation Indexed Bonds, 0.125%, 04/15/18 | | | | | | | | |
| | | | | | | (Cost $5,411,816) | | | 5,377,341 | | | | 2.6 | |
See Accompanying Notes to Financial Statements
| VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
| Shares | | | | | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | Mutual Funds: 10.6% | | | | | | | | |
| | 22,400,354 | | | | | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.860%†† | | | | | | | | |
| | | | | | | (Cost $22,400,354) | | | 22,400,354 | | | | 10.6 | |
| | | | | | | | | | | | | | | |
| | | | | Total Short-Term Investments | | | | | | | | |
| | | | | (Cost $30,363,089) | | | 30,333,006 | | | | 14.3 | |
| | | | | | | | | | | | | | | |
| | | | | Total Investments in Securities
(Cost $242,091,092) | | $ | 242,865,770 | | | | 114.6 | |
| | | | | Liabilities in Excess of Other Assets | | | (30,951,593 | ) | | | (14.6 | ) |
| | | | | Net Assets | | $ | 211,914,177 | | | | 100.0 | |
| † | Unless otherwise indicated, principal amount is shown in USD. |
| †† | Rate shown is the 7-day yield as of June 30, 2017. |
| # | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
| ## | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
| @ | Non-income producing security. |
| P | Preferred Stock may be called prior to convertible date. |
| cc | Represents securities purchased with cash collateral received for securities on loan. |
| W | Settlement is on a when-issued or delayed-delivery basis. |
| L | Loaned security, a portion or all of the security is on loan at June 30, 2017. |
| ± | Defaulted security |
| ^ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
| Z | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2017. |
| (a) | Separate Trading of Registered Interest and Principal of Securities |
| BRL | Brazilian Real |
| EGP | Egyptian Pound |
| EUR | EU Euro |
| MXN | Mexican Peso |
Cost for federal income tax purposes is $242,206,696.
Net unrealized appreciation consists of:
| Gross Unrealized Appreciation | | $ | 2,354,665 | |
| Gross Unrealized Depreciation | | | (1,695,591 | ) |
| | | | | |
| Net Unrealized Appreciation | | $ | 659,074 | |
See Accompanying Notes to Financial Statements
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
| (b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | The Code of Ethics is not required for the semi-annual filing. |
| (a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant is required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
| (a)(3) | Not required for semi-annual filing. |
| (b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust
| By | /s/ Shaun P. Mathews | |
| | Shaun P. Mathews | |
| | President and Chief Executive Officer | |
Date: September 6, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By | /s/ Shaun P. Mathews | |
| | Shaun P. Mathews | |
| | President and Chief Executive Officer | |
Date: September 6, 2017
| By | /s/ Todd Modic | |
| | Todd Modic | |
| | Senior Vice President and Chief Financial Officer | |
Date: September 6, 2017
Guiding through the Headlines