UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ | 85258 |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: | December 31 |
Date of reporting period: | December 31, 2015 |
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
Classes ADV, I and S
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the fund’s investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT | |
voyainvestments.com |
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Portfolio Managers’ Reports | 4 | |||||
Shareholder Expense Examples | 8 | |||||
Report of Independent Registered Public Accounting Firm | 9 | |||||
Statements of Assets and Liabilities | 10 | |||||
Statements of Operations | 12 | |||||
Statements of Changes in Net Assets | 13 | |||||
Financial Highlights | 14 | |||||
Notes to Financial Statements | 15 | |||||
Summary Portfolios of Investments | 31 | |||||
Tax Information | 56 | |||||
Trustee and Officer Information | 57 |
President and Chief Executive Officer
January 12, 2016
Index | Description | |||||
---|---|---|---|---|---|---|
Barclays Global Inflation Linked U.S. TIPS Index | The index measures the performance of the US Treasury Inflation Protected Securities (TIPS) market. | |||||
Barclays High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||||
Barclays U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | |||||
Barclays U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclays U.S. Treasury Bond Index | A market capitalization-weighted index that measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of one year or more. | |||||
Barclays U.S. Treasury Inflation Protected Securities Index | An unmanaged market index comprised of all U.S. Treasury Inflation Linked Securities. | |||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||||
Russell 2000® Index | An unmanaged index that measures the performance of securities of small U.S. companies. | |||||
Russell Midcap® Index | An unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000® Index, which represents approximately 26% of the total market capitalization of the Russell 1000® Index. | |||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||||
Shanghai Stock Exchange Composite Index | A capitalization-weighted index. The index tracks the daily price performance of all A-shares and B-shares listed on the Shanghai Stock Exchange. The index was developed on December 19, 1990 with a base value of 100. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of December 31, 2015 (as a percentage of net assets) |
Portfolio holdings are subject to change daily.
Top Ten Holdings as of December 31, 2015 (as a percentage of net assets) | ||||||||
United States Treasury Inflation Indexed Bonds, 2.375%, 01/15/25 | 5.6 | % | ||||||
United States Treasury Inflation Indexed Bonds, 3.875%, 04/15/29 | 5.3 | % | ||||||
United States Treasury Inflation Indexed Bonds, 1.750%, 01/15/28 | 4.9 | % | ||||||
United States Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 | 4.3 | % | ||||||
Fannie Mae, 1.750%, 09/12/19 | 4.0 | % | ||||||
United States Treasury Inflation Indexed Bonds, 0.375%, 07/15/25 | 4.0 | % | ||||||
United States Treasury Inflation Indexed Bonds, 2.375%, 01/15/27 | 3.7 | % | ||||||
United States Treasury Inflation Indexed Bonds, 2.000%, 01/15/26 | 3.7 | % | ||||||
United States Treasury Inflation Indexed Bonds, 0.625%, 01/15/24 | 3.6 | % | ||||||
United States Treasury Inflation Indexed Bonds, 0.750%, 02/15/42 | 3.2 | % | ||||||
Portfolio holdings are subject to change daily. |
PORTFOLIO MANAGERS’ REPORT | VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2015 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | Since Inception of Classes ADV, I and S April 30, 2007 | ||||||||||||||
Class ADV | –2.89 | % | 1.30 | % | 2.86 | % | ||||||||||
Class I | –2.35 | % | 1.89 | % | 3.51 | % | ||||||||||
Class S | –2.61 | % | 1.65 | % | 3.22 | % | ||||||||||
TIPS Index | –1.44 | % | 2.55 | % | 4.12 | % |
VY® GOLDMAN SACHS BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of December 31, 2015 (as a percentage of net assets) | ||||||||
Corporate Bonds/Notes | 32.6 | % | ||||||
U.S. Government Agency Obligations | 30.9 | % | ||||||
Asset-Backed Securities | 12.6 | % | ||||||
U.S. Treasury Obligations | 12.5 | % | ||||||
Foreign Government Bonds | 5.9 | % | ||||||
Collateralized Mortgage Obligations | 4.8 | % | ||||||
Municipal Bonds | 1.1 | % | ||||||
Liabilities in Excess of Other Assets* | (0.4 | )% | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2015* (as a percentage of net assets) | ||||||||
Ginnie Mae, 4.000%, 09/20/40 | 11.3 | % | ||||||
United States Treasury Bond, 3.625%, 02/15/44 | 4.7 | % | ||||||
Fannie Mae, 3.500%, 06/25/42 | 2.8 | % | ||||||
Ginnie Mae, 4.000%, 08/20/45 | 2.4 | % | ||||||
Fannie Mae, 4.000%, 08/25/40 | 2.3 | % | ||||||
United States Treasury Inflation Indexed Bonds, 0.375%, 07/15/23 | 2.2 | % | ||||||
Fannie Mae, 3.500%, 10/01/45 | 2.2 | % | ||||||
United States Treasury Bond, 3.000%, 11/15/44 | 2.1 | % | ||||||
Fannie Mae, 3.500%, 09/01/45 | 1.6 | % | ||||||
Freddie Mac Series K043 A2, 3.062%, 12/25/24 | 1.6 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
PORTFOLIO MANAGERS’ REPORT | VY® GOLDMAN SACHS BOND PORTFOLIO |
Cumulative Total Returns for the Period Ended December 31, 2015 | ||||||||
---|---|---|---|---|---|---|---|---|
Since Inception February 20, 2015 | ||||||||
VY® Goldman Sachs Bond Portfolio | 0.20 | % | ||||||
Barclays U.S. Aggregate Bond Index | 0.07 | % |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value July 1, 2015 | Ending Account Value December 31, 2015 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2015* | Beginning Account Value July 1, 2015 | Ending Account Value December 31, 2015 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2015* | ||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 972.70 | 1.11 | % | $ | 5.52 | $ | 1,000.00 | $ | 1,019.61 | 1.11 | % | $ | 5.65 | |||||||||||||||||||
Class I | 1,000.00 | 975.00 | 0.51 | 2.54 | 1,000.00 | 1,022.63 | 0.51 | 2.60 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 974.00 | 0.76 | 3.78 | 1,000.00 | 1,021.37 | 0.76 | 3.87 | |||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | |||||||||||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,009.10 | 0.58 | % | $ | 2.94 | $ | 1,000.00 | $ | 1,022.28 | 0.58 | % | $ | 2.96 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Voya Investors Trust and Voya Variable Insurance Trust
February 25, 2016
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||
Investments in securities at fair value+* | $ | 552,889,474 | $ | 188,493,559 | ||||||
Short-term investments at fair value** | 8,495,696 | 31,289,527 | ||||||||
Total investments at fair value | $ | 561,385,170 | $ | 219,783,086 | ||||||
Cash | 6,422,696 | 141,129 | ||||||||
Cash collateral for futures | 93,972 | 1,130,606 | ||||||||
Cash pledged for centrally cleared swaps (Note 2) | 417,490 | — | ||||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 1,030,000 | — | ||||||||
Foreign currencies at value*** | 5,560,099 | 58,850 | ||||||||
Foreign cash collateral for futures**** | — | 280,132 | ||||||||
Receivables: | ||||||||||
Investment securities sold | 692,096 | 441,936 | ||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 2,014,844 | ||||||||
Fund shares sold | 8,902,702 | 22,352,586 | ||||||||
Dividends | 2,775 | 4,829 | ||||||||
Interest | 2,833,719 | 1,299,417 | ||||||||
Unrealized appreciation on forward foreign currency contracts | 617,382 | 503,414 | ||||||||
Unrealized appreciation on OTC swap agreements | 829,589 | 6,342 | ||||||||
Variation margin receivable on centrally cleared swaps | 4,203 | — | ||||||||
Prepaid expenses | 1,293 | — | ||||||||
Prepaid offering expense | — | 5,705 | ||||||||
Reimbursement due from manager | — | 7,939 | ||||||||
Other assets | 12,495 | 820 | ||||||||
Total assets | 588,805,681 | 248,031,635 | ||||||||
LIABILITIES: | ||||||||||
Payable for investment securities purchased | 6,572,031 | 153,619 | ||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 33,617,891 | ||||||||
Payable for fund shares redeemed | 9,528,902 | 24,921,109 | ||||||||
Payable for foreign cash collateral for futures***** | 3,552 | — | ||||||||
Payable upon receipt of securities loaned | — | 604,694 | ||||||||
Unrealized depreciation on forward foreign currency contracts | 1,544,946 | 607,329 | ||||||||
Upfront payments received on OTC swap agreements | — | 168,066 | ||||||||
Unrealized depreciation on OTC swap agreements | 793,484 | 6,281 | ||||||||
Variation margin payable on centrally cleared swaps | — | 53,611 | ||||||||
Payable for investment management fees | 232,387 | 81,568 | ||||||||
Payable for distribution and shareholder service fees | 71,324 | — | ||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 12,495 | 820 | ||||||||
Payable for trustee fees | 3,458 | 974 | ||||||||
Other accrued expenses and liabilities | 91,936 | 48,323 | ||||||||
Written options, at fair valueˆ | 1,817,513 | — | ||||||||
Total liabilities | 20,672,028 | 60,264,285 | ||||||||
NET ASSETS | $ | 568,133,653 | $ | 187,767,350 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||
Paid-in capital | $ | 663,787,755 | $ | 187,373,514 | ||||||
Undistributed net investment income | 933,920 | 4,673,721 | ||||||||
Accumulated net realized loss | (75,607,891 | ) | (765,770 | ) | ||||||
Net unrealized depreciation | (20,980,131 | ) | (3,514,115 | ) | ||||||
NET ASSETS | $ | 568,133,653 | $ | 187,767,350 | ||||||
________________ | ||||||||||
+ Including securities loaned at value | $ | — | $ | 586,819 | ||||||
* Cost of investments in securities | $ | 572,971,371 | $ | 192,037,637 | ||||||
** Cost of short-term investments | $ | 8,495,696 | $ | 31,289,632 | ||||||
*** Cost of foreign currencies | $ | 5,523,066 | $ | 58,453 | ||||||
**** Cost of foreign cash collateral for futures | $ | — | $ | 280,132 | ||||||
***** Cost of payable for foreign cash collateral for futures | $ | 3,552 | $ | — | ||||||
ˆ Premiums received on written options | $ | 3,559,429 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | |||||||||||
Net assets | $ | 54,749,891 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 6,163,382 | n/a | |||||||||
Net asset value and redemption price per share | $ | 8.88 | n/a | ||||||||
Class I | |||||||||||
Net assets | $ | 311,109,613 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 33,839,507 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.19 | n/a | ||||||||
Class S | |||||||||||
Net assets | $ | 202,274,149 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 22,171,239 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.12 | n/a | ||||||||
Portfolio(1) | |||||||||||
Net assets | n/a | $ | 187,767,350 | ||||||||
Shares authorized | n/a | unlimited | |||||||||
Par value | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | 18,737,079 | |||||||||
Net asset value and redemption price per share | n/a | $ | 10.02 | ||||||||
________________ | |||||||||||
(1) Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
February 20, 2015(1) to December 31, 2015 | |||||||||||
INVESTMENT INCOME: | |||||||||||
Dividends | $ | 44,374 | $ | 24,738 | |||||||
Interest, net of foreign taxes withheld* | 4,329,163 | (2) | 3,922,313 | ||||||||
Securities lending income, net | — | 1,178 | |||||||||
Total investment income | 4,373,537 | 3,948,229 | |||||||||
EXPENSES: | |||||||||||
Investment management fees(3) | 3,311,067 | 804,787 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class ADV | 445,545 | — | |||||||||
Class S | 559,560 | — | |||||||||
Transfer agent fees | 1,209 | 940 | |||||||||
Administrative service fees(3) | 246,628 | 35,888 | |||||||||
Shareholder reporting expense | 32,050 | 11,223 | |||||||||
Professional fees | 60,300 | 46,080 | |||||||||
Custody and accounting expense | 117,875 | 81,080 | |||||||||
Trustee fees | 20,746 | 5,845 | |||||||||
Offering expense | — | 27,295 | |||||||||
Miscellaneous expense | 31,449 | 11,003 | |||||||||
Interest expense | 36 | — | |||||||||
Total expenses | 4,826,465 | 1,024,141 | |||||||||
Net waived and reimbursed fees | (365,728 | ) | (46,923 | ) | |||||||
Net expenses | 4,460,737 | 977,218 | |||||||||
Net investment income (loss) | (87,200 | ) | 2,971,011 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | (36,400,931 | ) | (1,225,058 | ) | |||||||
Foreign currency related transactions | 15,489,694 | 669,750 | |||||||||
Futures | (2,215,947 | ) | 691,157 | ||||||||
Swaps | 6,691,614 | 801,091 | |||||||||
Written options | 7,336,417 | — | |||||||||
Net realized gain (loss) | (9,099,153 | ) | 936,940 | ||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | (4,453,834 | ) | (3,544,183 | ) | |||||||
Foreign currency related transactions | (4,064,197 | ) | (104,109 | ) | |||||||
Futures | 2,238,611 | 1,605 | |||||||||
Swaps | (977,458 | ) | 132,572 | ||||||||
Written options | 1,483,869 | — | |||||||||
Net change in unrealized appreciation (depreciation) | (5,773,009 | ) | (3,514,115 | ) | |||||||
Net realized and unrealized loss | (14,872,162 | ) | (2,577,175 | ) | |||||||
Increase (decrease) in net assets resulting from operations | $ | (14,959,362 | ) | $ | 393,836 | ||||||
________________ | |||||||||||
* Foreign taxes withheld | $ | — | $ | 55 | |||||||
________________ | |||||||||||
(1) Commencement of operations. | |||||||||||
(2) Includes amortization of bond premiums and deflationary adjustments for U.S. Treasury and Foreign Government Inflation Bonds. Please refer to Note 2 for additional details regarding inflationary and deflationary adjustments to interest income for VY® BlackRock Inflation Protected Bond Portfolio. | |||||||||||
(3) Effective May 1, 2015, the investment management fee and administration fee were combined under a single amended and restated investment management agreement. Please see Note 4 for further information. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2015 | Year Ended December 31, 2014 | February 20, 2015(1) to December 31, 2015 | |||||||||||||
FROM OPERATIONS: | |||||||||||||||
Net investment income (loss) | $ | (87,200 | ) | $ | 8,411,545 | $ | 2,971,011 | ||||||||
Net realized gain (loss) | (9,099,153 | ) | (6,036,953 | ) | 936,940 | ||||||||||
Net change in unrealized appreciation (depreciation) | (5,773,009 | ) | 20,455,555 | (3,514,115 | ) | ||||||||||
Increase (decrease) in net assets resulting from operations | (14,959,362 | ) | 22,830,147 | 393,836 | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||
Net investment income: | |||||||||||||||
Class ADV | (642,459 | ) | (782,440 | ) | — | ||||||||||
Class I | (3,883,410 | ) | (7,135,022 | ) | — | ||||||||||
Class S | (2,222,511 | ) | (3,644,355 | ) | — | ||||||||||
Return of capital: | |||||||||||||||
Class ADV | (20,331 | ) | — | — | |||||||||||
Class I | (1,607,540 | ) | — | — | |||||||||||
Class S | (642,177 | ) | — | — | |||||||||||
Total distributions | (9,018,428 | ) | (11,561,817 | ) | — | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||
Net proceeds from sale of shares | 69,871,100 | 80,576,920 | 259,113,887 | ||||||||||||
Reinvestment of distributions | 9,018,428 | 11,561,817 | — | ||||||||||||
78,889,528 | 92,138,737 | 259,113,887 | |||||||||||||
Cost of shares redeemed | (244,456,802 | ) | (198,275,634 | ) | (71,740,373 | ) | |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (165,567,274 | ) | (106,136,897 | ) | 187,373,514 | ||||||||||
Net increase (decrease) in net assets | (189,545,064 | ) | (94,868,567 | ) | 187,767,350 | ||||||||||
NET ASSETS: | |||||||||||||||
Beginning of year or period | 757,678,717 | 852,547,284 | — | ||||||||||||
End of year or period | $ | 568,133,653 | $ | 757,678,717 | $ | 187,767,350 | |||||||||
Undistributed net investment income at end of year or period | $ | 933,920 | $ | 3,595,156 | $ | 4,673,721 | |||||||||
________________ | |||||||||||||||
(1) Commencement of operations. |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3)(4) | | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | | Expense net of all reductions/ additions(2)(3)(4) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.24 | (0.05 | ) | (0.22 | ) | (0.27 | ) | 0.09 | — | 0.00 | * | 0.09 | — | 8.88 | (2.89 | ) | 1.30 | 1.11 | 1.11 | (0.52 | ) | 54,750 | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.15 | 0.05 | 0.15 | 0.20 | 0.11 | — | — | 0.11 | — | 9.24 | 2.14 | 1.30 | 1.11 | 1.11 | 0.57 | 63,936 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.74 | (0.07 | )• | (0.88 | ) | (0.95 | ) | — | 0.64 | — | 0.64 | — | 9.15 | (8.98 | ) | 1.29 | 1.14 | 1.14 | (0.66 | ) | 74,204 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.73 | 0.02 | 0.61 | 0.63 | 0.04 | 0.58 | — | 0.62 | — | 10.74 | 5.95 | 1.28 | 1.13 | 1.13 | 0.19 | 102,747 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.26 | 0.14 | • | 1.01 | 1.15 | 0.23 | 0.45 | — | 0.68 | — | 10.73 | 11.50 | 1.29 | 1.13 | 1.13 | 1.36 | 63,860 | 465 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.54 | 0.01 | • | (0.23 | ) | (0.22 | ) | 0.08 | — | 0.05 | 0.13 | — | 9.19 | (2.35 | ) | 0.55 | 0.51 | 0.51 | 0.16 | 311,110 | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.42 | 0.11 | 0.16 | 0.27 | 0.15 | — | — | 0.15 | — | 9.54 | 2.81 | 0.55 | 0.51 | 0.51 | 1.18 | 450,442 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.97 | (0.00 | )* | (0.91 | ) | (0.91 | ) | — | 0.64 | — | 0.64 | — | 9.42 | (8.41 | ) | 0.54 | 0.54 | 0.54 | (0.05 | ) | 476,969 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.91 | 0.09 | 0.61 | 0.70 | 0.06 | 0.58 | — | 0.64 | — | 10.97 | 6.56 | 0.53 | 0.53 | 0.53 | 0.83 | 508,369 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.41 | 0.26 | 0.97 | 1.23 | 0.28 | 0.45 | — | 0.73 | — | 10.91 | 12.10 | 0.54 | 0.53 | 0.53 | 2.45 | 423,197 | 465 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.48 | (0.02 | ) | (0.22 | ) | (0.24 | ) | 0.09 | — | 0.03 | 0.12 | — | 9.12 | (2.61 | ) | 0.80 | 0.76 | 0.76 | (0.19 | ) | 202,274 | 470 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.37 | 0.09 | 0.15 | 0.24 | 0.13 | — | — | 0.13 | — | 9.48 | 2.54 | 0.80 | 0.76 | 0.76 | 0.90 | 243,300 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.94 | (0.04 | )• | (0.89 | ) | (0.93 | ) | — | 0.64 | — | 0.64 | — | 9.37 | (8.62 | ) | 0.79 | 0.79 | 0.79 | (0.40 | ) | 301,374 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.90 | 0.06 | 0.61 | 0.67 | 0.05 | 0.58 | — | 0.63 | — | 10.94 | 6.26 | 0.78 | 0.78 | 0.78 | 0.50 | 587,903 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.40 | 0.20 | • | 1.01 | 1.21 | 0.26 | 0.45 | — | 0.71 | — | 10.90 | 11.91 | 0.79 | 0.78 | 0.78 | 1.86 | 522,743 | 465 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
02-20-15(5)–12-31-15 | 10.00 | 0.15 | • | (0.13 | ) | 0.02 | — | — | — | — | — | 10.02 | 0.20 | 0.61 | 0.58 | 0.58 | 1.77 | 187,767 | 507 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(4) | Ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(5) | Commencement of operations. |
• | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
service by brokers. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Investments in open-end registered investment companies that do not trade on an exchange are valued at the end of day NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
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 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 Portfolios of Investments.
1. | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at Market Close. |
2. | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
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.
derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Buy | Sell | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 85,075,477 | $ | 163,769,766 | ||||||
Goldman Sachs Bond | 51,727,373 | 34,804,514 |
security has been footnoted as pledged in the Portfolios of Investments.
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 127,149,289 | $ | 373,169,870 | ||||||
Goldman Sachs Bond | 48,128,752 | 13,564,170 |
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.
a basket of securities) or non-asset (such as an index) reference. The periodic payments or cash flows, are usually based on the non-asset reference versus the total return or the asset-based reference. The asset-based reference generally includes unrealized appreciation or depreciation and to the extent that the total return falls short of or exceeds the non-asset reference, a Portfolio will make or receive a payment to the counterparty. Risks of total return swaps include credit, liquidity and market risks.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 1,308,631,572 | $ | 822,392,823 | ||||||
Goldman Sachs Bond | 137,733,449 | 23,786,310 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 2,188,572,669 | $ | 2,305,419,816 | ||||||
Goldman Sachs Bond | 1,000,074,746 | 919,092,195 |
Portfolio | Fee | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond(1) | 0.45% on the first $200 million; 0.40% on the next $800 million; and 0.30% on the amount in excess of $1 billion | |||||
Goldman Sachs Bond | 0.40% on the first $750 million; and 0.38% on assets over $750 million |
(1) | DSL had contractually agreed to waive 0.04% of the management fee. Any fees waived or reimbursed were not eligible for recoupment. |
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) | Effective May 1, 2015, DSL 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. |
Portfolio | Sub-Adviser | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | BlackRock Financial Management, Inc. | |||||
Goldman Sachs Bond | Goldman Sachs Asset Management, L.P. |
Subsidiary/Affiliated Investment Company | Portfolio | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 10.21 | % | |||||||
Voya Insurance and Annuity Company | BlackRock Inflation Protected Bond | 34.46 | ||||||||
Voya Retirement Conservative Portfolio | BlackRock Inflation Protected Bond | 15.37 | ||||||||
Voya Retirement Moderate Portfolio | BlackRock Inflation Protected Bond | 19.88 | ||||||||
Voya Solution 2025 Portfolio | Goldman Sachs Bond | 16.12 | ||||||||
Voya Solution Income Portfolio | BlackRock Inflation Protected Bond | 9.30 | ||||||||
Goldman Sachs Bond | 24.86 |
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% |
December 31, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 2016 | 2017 | 2018 | Total | |||||||||||||||
Goldman Sachs Bond | $ | — | $ | — | $ | 46,923 | $ | 46,923 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | 2 | $ | 574,000 | 1.13 | % |
AUD Notional | CAD Notional | CHF Notional | EUR Notional | GBP Notional | NZD Notional | USD Notional | Cost | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 53,880,000 | — | — | 12,265,000 | — | — | 15,225,000 | $ | 579,636 | |||||||||||||||||||||||||
Options Purchased | 244,285,000 | 186,220,000 | 28,120,000 | 962,110,000 | 97,565,000 | 46,855,000 | 562,210,000 | 11,449,736 | ||||||||||||||||||||||||||
Options Terminated in Closing Sell Transactions | (37,700,000 | ) | (95,720,000 | ) | — | (103,865,000 | ) | (30,895,000 | ) | — | (45,665,000 | ) | (3,196,205 | ) | ||||||||||||||||||||
Options Expired | (260,465,000 | ) | (44,150,000 | ) | (7,180,000 | ) | (848,030,000 | ) | (55,245,000 | ) | (38,280,000 | ) | (393,050,000 | ) | (7,310,411 | ) | ||||||||||||||||||
Balance at 12/31/2015 | — | 46,350,000 | 20,940,000 | 22,480,000 | 11,425,000 | 8,575,000 | 138,720,000 | $ | 1,522,756 |
USD Notional | EUR Notional | Cost | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 8,600,000 | 10,100,000 | $ | 1,754,726 | ||||||||||
Options Purchased | 212,927,500 | — | 2,607,517 | |||||||||||
Options Terminated in Closing Sell Transactions | (92,000,000 | ) | — | (1,789,142 | ) | |||||||||
Options Expired | (57,675,000 | ) | — | (445,606 | ) | |||||||||
Balance at 12/31/2015 | 71,852,500 | 10,100,000 | $ | 2,127,495 |
USD Notional | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 8,810,000 | $ | 17,828 | |||||||
Options Expired | (8,810,000 | ) | (17,828 | ) | ||||||
Balance at 12/31/2015 | — | $ | — |
USD Notional | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | — | $ | — | |||||||
Options Purchased | 25,320,000 | 24,236 | ||||||||
Balance at 12/31/2015 | 25,320,000 | $ | 24,236 |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 505 | $ | 403,132 | |||||||
Options Purchased | 9,477 | $ | 3,517,014 | |||||||
Options Terminated in Closing Sell Transactions | (1,233 | ) | (847,695 | ) | ||||||
Options Expired | (8,749 | ) | (3,072,451 | ) | ||||||
Balance at 12/31/2015 | — | $ | — |
AUD Notional | CAD Notional | CHF Notional | EUR Notional | GBP Notional | NZD Notional | USD Notional | Premiums Received | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 72,145,000 | — | — | — | — | — | 15,225,000 | $ | 558,081 | |||||||||||||||||||||||||
Options Written | 139,830,000 | 61,800,000 | 15,125,625 | 141,230,000 | 24,755,000 | 38,280,000 | 197,050,000 | 5,764,554 | ||||||||||||||||||||||||||
Options Terminated in Closing Sell Transactions | (19,280,000 | ) | (15,450,000 | ) | — | (85,200,000 | ) | (3,800,000 | ) | — | (22,420,000 | ) | (904,696 | ) | ||||||||||||||||||||
Options Expired | (192,695,000 | ) | — | (7,815,625 | ) | (44,020,000 | ) | (17,155,000 | ) | (29,705,000 | ) | (123,815,000 | ) | (4,469,202 | ) | |||||||||||||||||||
Balance at 12/31/2015 | — | 46,350,000 | 7,310,000 | 12,010,000 | 3,800,000 | 8,575,000 | 66,040,000 | $ | 948,737 |
EUR Notional | USD Notional | Premiums Received | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 10,100,000 | 77,300,000 | $ | 1,565,560 | ||||||||||
Options Written | 6,840,000 | 151,260,000 | 3,328,188 | |||||||||||
Options Terminated in Closing Purchase Transactions | — | (68,340,000 | ) | (1,385,213 | ) | |||||||||
Options Expired | (6,840,000 | ) | (53,600,000 | ) | (1,115,254 | ) | ||||||||
Balance at 12/31/2015 | 10,100,000 | 106,620,000 | $ | 2,393,281 |
EUR Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 3,140,000 | $ | 217,411 | |||||||
Balance at 12/31/2015 | 3,140,000 | $ | 217,411 |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 377 | $ | 307,597 | |||||||
Options Written | 2,783 | 818,214 | ||||||||
Options Terminated in Closing Purchase Transactions | (1,393 | ) | (580,288 | ) | ||||||
Options Expired | (1,767 | ) | (545,523 | ) | ||||||
Balance at 12/31/2015 | — | $ | — |
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 | |||||||||||||||||||||||||||||||||||||||||||
12/31/2015 | 362,010 | — | 70,953 | (1,185,810 | ) | (752,847 | ) | 3,305,470 | — | 662,790 | (10,859,486 | ) | (6,891,226 | ) | |||||||||||||||||||||||||||||
12/31/2014 | 192,234 | — | 82,393 | (1,468,409 | ) | (1,193,782 | ) | 1,792,055 | — | 782,440 | (13,751,308 | ) | (11,176,813 | ) | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/2015 | 5,658,110 | — | 575,124 | (19,604,285 | ) | (13,371,051 | ) | 53,298,007 | — | 5,490,950 | (184,626,794 | ) | (125,837,837 | ) | |||||||||||||||||||||||||||||
12/31/2014 | 4,923,977 | — | 729,393 | (9,069,881 | ) | (3,416,511 | ) | 47,538,861 | — | 7,135,022 | (87,633,164 | ) | (32,959,281 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/2015 | 1,412,122 | — | 301,235 | (5,210,546 | ) | (3,497,189 | ) | 13,267,623 | — | 2,864,688 | (48,970,522 | ) | (32,838,211 | ) | |||||||||||||||||||||||||||||
12/31/2014 | 3,218,636 | — | 374,784 | (10,096,768 | ) | (6,503,348 | ) | 31,246,004 | — | 3,644,355 | (96,891,162 | ) | (62,000,803 | ) | |||||||||||||||||||||||||||||
Goldman Sachs Bond | |||||||||||||||||||||||||||||||||||||||||||
2/20/2015(1)–12/31/2015 | 25,889,066 | — | — | (7,151,987 | ) | 18,737,079 | 259,113,887 | — | — | (71,740,373 | ) | 187,373,514 |
(1) | Commencement of operations. |
Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JP Morgan Clearing Corp | $ | 586,819 | $ | (586,819 | ) | $ | — | |||||||
Total | $ | 586,819 | $ | (586,819 | ) | $ | — |
(1) | Collateral with a fair value of $604,694 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. |
Paid-in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gains/(Losses) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | (895,033 | ) | $ | 4,174,344 | $ | (3,279,311 | ) | ||||||
Goldman Sachs Bond | — | 1,702,710 | (1,702,710 | ) |
Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Return of Capital | Ordinary Income | ||||||||||||||||
BlackRock Inflation Protected Bond | $ | 6,748,380 | $ | 2,270,048 | $ | 11,561,817 |
Capital Loss Carryforwards | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | Amount | Character | Expiration | ||||||||||||||||||||||
BlackRock Inflation Protected Bond | $ | — | $ | (21,121,016 | ) | $ | (14,925,453 | ) | Short-term | None | ||||||||||||||||
(59,596,106 | ) | Long-term | None | |||||||||||||||||||||||
$ | (74,521,559 | ) | ||||||||||||||||||||||||
Goldman Sachs Bond | 4,527,875 | (3,348,622 | ) | (784,736 | ) | Short-term | None |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 23.3% | |||||||||||||||||||
Communications: 0.5% | |||||||||||||||||||
2,900,000 | # | NBCUniversal Enterprise, Inc., 1.662%, 04/15/18 | $ | 2,901,665 | 0.5 | ||||||||||||||
Consumer, Cyclical: 0.5% | |||||||||||||||||||
2,900,000 | Toyota Motor Credit Corp., 1.550%, 07/13/18 | 2,894,455 | 0.5 | ||||||||||||||||
Consumer, Non-cyclical: 4.1% | |||||||||||||||||||
2,900,000 | Coca-Cola Co, 1.650%, 11/01/18 | 2,925,984 | 0.5 | ||||||||||||||||
5,700,000 | Gilead Sciences, Inc., 1.850%, 09/04/18 | 5,728,124 | 1.0 | ||||||||||||||||
2,900,000 | Merck & Co., Inc., 1.100%, 01/31/18 | 2,885,048 | 0.5 | ||||||||||||||||
5,800,000 | Philip Morris International, Inc., 1.250%, 11/09/17 | 5,794,334 | 1.0 | ||||||||||||||||
2,900,000 | Procter & Gamble Co, 1.600%, 11/15/18 | 2,921,773 | 0.5 | ||||||||||||||||
1,400,000 | # | Roche Holdings, Inc., 1.350%, 09/29/17 | 1,401,225 | 0.3 | |||||||||||||||
1,400,000 | Sanofi, 1.250%, 04/10/18 | 1,394,884 | 0.3 | ||||||||||||||||
23,051,372 | 4.1 | ||||||||||||||||||
Energy: 0.5% | |||||||||||||||||||
2,880,000 | # | Schlumberger Holdings Corp., 1.900%, 12/21/17 | 2,870,588 | 0.5 | |||||||||||||||
Financial: 17.2% | |||||||||||||||||||
2,900,000 | Abbey National Treasury Services PLC/United Kingdom, 2.000%, 08/24/18 | 2,897,581 | 0.5 | ||||||||||||||||
5,700,000 | # | AIG Global Funding, 1.650%, 12/15/17 | 5,672,822 | 1.0 | |||||||||||||||
5,700,000 | Bank of America NA, 2.050%, 12/07/18 | 5,686,742 | 1.0 | ||||||||||||||||
4,300,000 | Bank of Montreal, 1.400%, 04/10/18 | 4,263,145 | 0.8 | ||||||||||||||||
5,800,000 | Bank of New York Mellon Corp., 1.350%, 03/06/18 | 5,782,264 | 1.0 | ||||||||||||||||
5,700,000 | Branch Banking & Trust Co., 2.300%, 10/15/18 | 5,759,890 | 1.0 | ||||||||||||||||
4,300,000 | Credit Suisse/New York NY, 1.700%, 04/27/18 | 4,270,842 | 0.8 | ||||||||||||||||
4,300,000 | Fifth Third Bank/Cincinnati OH, 2.150%, 08/20/18 | 4,314,332 | 0.8 | ||||||||||||||||
2,900,000 | HSBC USA, Inc., 1.625%, 01/16/18 | 2,886,761 | 0.5 | ||||||||||||||||
2,900,000 | # | ING Bank NV, 2.000%, 11/26/18 | 2,890,473 | 0.5 | |||||||||||||||
5,700,000 | JPMorgan Chase & Co., 2.350%, 01/28/19 | 5,726,807 | 1.0 | ||||||||||||||||
2,900,000 | KeyBank NA/Cleveland OH, 1.700%, 06/01/18 | 2,880,622 | 0.5 | ||||||||||||||||
5,700,000 | # | Metropolitan Life Global Funding I, 1.500%, 01/10/18 | 5,672,270 | 1.0 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
2,900,000 | National Bank Of Canada, 2.100%, 12/14/18 | $ | 2,898,547 | 0.5 | |||||||||||||||
4,300,000 | Royal Bank of Canada, 2.000%, 12/10/18 | 4,298,237 | 0.8 | ||||||||||||||||
4,400,000 | State Street Corp., 1.350%, 05/15/18 | 4,367,559 | 0.8 | ||||||||||||||||
1,400,000 | # | Swedbank AB, 1.750%, 03/12/18 | 1,394,485 | 0.2 | |||||||||||||||
2,900,000 | Toronto-Dominion Bank, 1.750%, 07/23/18 | 2,898,051 | 0.5 | ||||||||||||||||
5,800,000 | UBS AG/Stamford CT, 1.800%, 03/26/18 | 5,792,530 | 1.0 | ||||||||||||||||
5,700,000 | US Bancorp, 1.950%, 11/15/18 | 5,740,316 | 1.0 | ||||||||||||||||
5,765,000 | Visa, Inc., 1.200%, 12/14/17 | 5,760,728 | 1.0 | ||||||||||||||||
5,700,000 | Wells Fargo & Co., 2.150%, 01/15/19 | 5,735,819 | 1.0 | ||||||||||||||||
97,590,823 | 17.2 | ||||||||||||||||||
Utilities: 0.5% | |||||||||||||||||||
2,600,000 | Virginia Electric & Power Co., 5.950%, 09/15/17 | 2,795,374 | 0.5 | ||||||||||||||||
Total Corporate Bonds/Notes (Cost $132,468,449) | 132,104,277 | 23.3 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 54.3% | |||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 54.3% | |||||||||||||||||||
6,738,639 | 0.125%, due 04/15/20 | 6,652,842 | 1.2 | ||||||||||||||||
5,974,842 | 0.125%, due 07/15/24 | 5,671,954 | 1.0 | ||||||||||||||||
7,556,229 | 0.250%, due 01/15/25 | 7,207,222 | 1.3 | ||||||||||||||||
16,556,400 | 0.375%, due 07/15/23 | 16,168,980 | 2.8 | ||||||||||||||||
23,654,104 | 0.375%, due 07/15/25 | 22,880,000 | 4.0 | ||||||||||||||||
20,829,804 | 0.625%, due 01/15/24 | 20,585,825 | 3.6 | ||||||||||||||||
20,971,942 | 0.750%, due 02/15/42 | 18,399,461 | 3.2 | ||||||||||||||||
8,075,030 | 0.750%, due 02/15/45 | 7,028,966 | 1.2 | ||||||||||||||||
25,400,755 | S | 1.750%, due 01/15/28 | 27,736,329 | 4.9 | |||||||||||||||
18,693,636 | 2.000%, due 01/15/26 | 20,757,413 | 3.7 | ||||||||||||||||
11,340,949 | 2.125%, due 02/15/40 | 13,336,231 | 2.4 | ||||||||||||||||
14,809,188 | 2.125%, due 02/15/41 | 17,511,199 | 3.1 | ||||||||||||||||
27,735,377 | 2.375%, due 01/15/25 | 31,514,073 | 5.6 | ||||||||||||||||
18,341,562 | 2.375%, due 01/15/27 | 21,191,437 | 3.7 | ||||||||||||||||
7,322,360 | 2.500%, due 01/15/29 | 8,670,465 | 1.5 | ||||||||||||||||
3,021,542 | 3.375%, due 04/15/32 | 4,085,466 | 0.7 | ||||||||||||||||
18,829,753 | 3.625%, due 04/15/28 | 24,604,141 | 4.3 | ||||||||||||||||
22,089,132 | 3.875%, due 04/15/29 | 29,995,627 | 5.3 | ||||||||||||||||
5,025,100 | 0.625%–1.375%, due 02/15/43–02/15/44 | 4,678,747 | 0.8 | ||||||||||||||||
Total U.S. Treasury Obligations (Cost $324,054,730) | 308,676,378 | 54.3 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 5.8% | |||||||||||||||||||
EUR 2,968,923 | Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond, 0.750%, 04/15/18 | 3,309,153 | 0.6 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||
EUR 6,982,646 | Deutsche Bundesrepublik Inflation Linked Bond, 0.100%, 04/15/23 | $ | 7,955,779 | 1.4 | |||||||||||||||
EUR 11,637 | Deutsche Bundesrepublik Inflation Linked Bond, 1.500%, 04/15/16 | 12,526 | 0.0 | ||||||||||||||||
EUR 605,900 | Hellenic Republic Government Bond, 23.230%, 10/15/42 | 2,607 | 0.0 | ||||||||||||||||
EUR 3,526,649 | Italy Buoni Poliennali Del Tesoro, 2.600%, 09/15/23 | 4,509,459 | 0.8 | ||||||||||||||||
EUR 2,521,504 | # | Italy Buoni Poliennali Del Tesoro, 1.250%, 09/15/32 | 2,841,238 | 0.5 | |||||||||||||||
EUR 2,671,594 | # | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/24 | 3,354,196 | 0.6 | |||||||||||||||
EUR 994,939 | Italy Buoni Poliennali Del Tesoro, 2.100%–2.550%, 09/15/16–09/15/41 | 1,354,032 | 0.2 | ||||||||||||||||
NZD 7,848,000 | New Zealand Government Bond, 3.000%, 09/20/30 | 5,893,338 | 1.0 | ||||||||||||||||
EUR 3,564,207 | # | Spain Government Inflation Linked Bond, 0.550%, 11/30/19 | 3,975,271 | 0.7 | |||||||||||||||
Total Foreign Government Bonds (Cost $35,904,519) | 33,207,599 | 5.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 13.5% | |||||||||||||||||||
Federal Home Loan Bank: 1.7% | |||||||||||||||||||
2,395,000 | 2.125%, due 03/10/23 | 2,370,193 | 0.4 | ||||||||||||||||
6,955,000 | 2.875%, due 09/13/24 | 7,116,314 | 1.3 | ||||||||||||||||
9,486,507 | 1.7 | ||||||||||||||||||
Federal Home Loan Mortgage Corporation: 4.0%## | |||||||||||||||||||
8,270,000 | 1.250%, due 10/02/19 | 8,163,532 | 1.4 | ||||||||||||||||
1,515,000 | 1.375%, due 05/01/20 | 1,493,143 | 0.3 | ||||||||||||||||
12,960,000 | 2.375%, due 01/13/22 | 13,151,121 | 2.3 | ||||||||||||||||
22,807,796 | 4.0 | ||||||||||||||||||
Federal National Mortgage Association: 5.8%## | |||||||||||||||||||
22,885,000 | 1.750%, due 09/12/19 | 23,021,669 | 4.0 | ||||||||||||||||
10,140,000 | 1.875%, due 12/28/20 | 10,146,601 | 1.8 | ||||||||||||||||
33,168,270 | 5.8 | ||||||||||||||||||
Other U.S. Agency Obligations: 2.0% | |||||||||||||||||||
11,230,000 | 1.300%, due 12/14/18 | 11,196,445 | 2.0 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $76,869,186) | 76,659,018 | 13.5 |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: 0.4% | |||||||||||||||||||
Options on Currencies: 0.2% | |||||||||||||||||||
5,235,000 | @ | Call EUR vs. Put GBP, Strike @ 0.740, Exp. 02/16/16 Counterparty: Barclays Bank PLC | $ | 64,302 | 0.0 | ||||||||||||||
6,005,000 | @ | Call EUR vs. Put GBP, Strike @ 0.768, Exp. 01/14/16 Counterparty: Barclays Bank PLC | 683 | 0.0 | |||||||||||||||
8,575,000 | @ | Call NZD vs. Put USD, Strike @ 0.695, Exp. 01/27/16 Counterparty: HSBC Bank PLC | 37,531 | 0.0 | |||||||||||||||
15,595,000 | @ | Call USD vs. Put CAD, Strike @ 1.390, Exp. 01/08/16 Counterparty: HSBC Bank PLC | 48,537 | 0.0 | |||||||||||||||
31,190,000 | @ | Call USD vs. Put CAD, Strike @ 1.415, Exp. 01/08/16 Counterparty: Barclays Bank PLC | 7,850 | 0.0 | |||||||||||||||
15,595,000 | @ | Call USD vs. Put CAD, Strike @ 1.375, Exp. 01/08/16 Counterparty: BNP Paribas Bank | 138,241 | 0.0 | |||||||||||||||
14,520,000 | @ | Call USD vs. Put JPY, Strike @ 127.000, Exp. 01/15/16 Counterparty: BNP Paribas Bank | 142 | 0.0 | |||||||||||||||
5,690,000 | @ | Call USD vs. Put JPY, Strike @ 121.750, Exp. 03/17/16 Counterparty: BNP Paribas Bank | 45,425 | 0.0 | |||||||||||||||
15,450,000 | @ | Put CAD vs. Call JPY, Strike @ 88.000, Exp. 01/15/16 Counterparty: Barclays Bank PLC | 181,976 | 0.1 | |||||||||||||||
15,450,000 | @ | Put CAD vs. Call JPY, Strike @ 85.500, Exp. 01/15/16 Counterparty: Barclays Bank PLC | 34,292 | 0.0 | |||||||||||||||
15,450,000 | @ | Put CAD vs. Call JPY, Strike @ 86.000, Exp. 01/15/16 Counterparty: Barclays Bank PLC | 49,637 | 0.0 | |||||||||||||||
13,630,000 | @ | Put CHF vs. Call NOK, Strike @ 7.720, Exp. 08/02/16 Counterparty: Deutsche Bank AG | 32,432 | 0.0 | |||||||||||||||
7,310,000 | @ | Put CHF vs. Call SEK, Strike @ 8.260, Exp. 03/18/16 Counterparty: JPMorgan Chase & Co. | 54,345 | 0.0 | |||||||||||||||
6,005,000 | @ | Put EUR vs. Call GBP, Strike @ 0.715, Exp. 01/14/16 Counterparty: HSBC Bank PLC | 1,435 | 0.0 | |||||||||||||||
5,235,000 | @ | Put EUR vs. Call GBP, Strike @ 0.718, Exp. 02/16/16 Counterparty: Barclays Bank PLC | 19,001 | 0.0 | |||||||||||||||
3,800,000 | @ | Put GBP vs. Call JPY, Strike @ 175.000, Exp. 05/12/16 Counterparty: Deutsche Bank AG | 102,124 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
Options on Currencies: (continued) | |||||||||||||||||||
7,625,000 | @ | Put GBP vs. Call USD, Strike @ 1.480, Exp. 02/05/16 Counterparty: HSBC Bank PLC | $ | 135,018 | 0.0 | ||||||||||||||
15,595,000 | @ | Put USD vs. Call CAD, Strike @ 1.345, Exp. 01/08/16 Counterparty: BNP Paribas Bank | 1,082 | 0.0 | |||||||||||||||
5,690,000 | @ | Put USD vs. Call JPY, Strike @ 119.250, Exp. 03/17/16 Counterparty: BNP Paribas Bank | 66,047 | 0.0 | |||||||||||||||
29,035,000 | @ | Put USD vs. Call JPY, Strike @ 120.500, Exp. 01/15/16 Counterparty: Deutsche Bank AG | 205,161 | 0.1 | |||||||||||||||
5,810,000 | @ | Put USD vs. Call MXN, Strike @ 16.150, Exp. 02/26/16 Counterparty: Morgan Stanley | 4,797 | 0.0 | |||||||||||||||
1,230,058 | 0.2 | ||||||||||||||||||
Options on Inflation Rate Caps: 0.0% | |||||||||||||||||||
7,240,000 | @ | Inflation Rate Cap on US CPI Urban Consumers NSA (CPURNSA), Portfolio receives maximum of CPURNSA minus 2.000% or $0, Exp. 11/10/16 Counterparty: Deutsche Bank AG | 4,629 | 0.0 | |||||||||||||||
18,080,000 | @ | Inflation Rate Cap on US CPI Urban Consumers NSA (CPURNSA), Portfolio receives maximum of CPURNSA minus 2.000% or $0, Exp. 11/06/16 Counterparty: Deutsche Bank AG | 10,609 | 0.0 | |||||||||||||||
15,238 | 0.0 | ||||||||||||||||||
OTC Interest Rate Swaptions: 0.2% | |||||||||||||||||||
17,500,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.750%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | 6 | 0.0 | |||||||||||||||
3,432,500 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.950%, Exp. 06/02/16 Counterparty: Deutsche Bank AG | 55,408 | 0.0 | |||||||||||||||
11,820,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.250%, Exp. 03/16/16 Counterparty: Deutsche Bank AG | 12,152 | 0.0 | |||||||||||||||
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
OTC Interest Rate Swaptions: (continued) | |||||||||||||||||||
12,400,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.350%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | $ | — | — | ||||||||||||||
21,700,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.750%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | — | — | |||||||||||||||
5,000,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.000%, Exp. 11/21/17 Counterparty: Barclays Bank PLC | 61,998 | 0.0 | |||||||||||||||
10,100,000 | @ | 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 | 867,342 | 0.2 | |||||||||||||||
996,906 | 0.2 | ||||||||||||||||||
Total Purchased Options (Cost $3,674,487) | 2,242,202 | 0.4 | |||||||||||||||||
Total Long-Term Investments (Cost $572,971,371) | 552,889,474 | 97.3 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 1.5% | |||||||||||||||||||
Mutual Funds: 1.5% | |||||||||||||||||||
8,495,696 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.270%†† (Cost $8,495,696) | 8,495,696 | 1.5 | ||||||||||||||||
Total Short-Term Investments (Cost $8,495,696) | 8,495,696 | 1.5 | |||||||||||||||||
Total Investments in Securities (Cost $581,467,067) | $ | 561,385,170 | 98.8 | ||||||||||||||||
Assets in Excess of Other Liabilities | 6,748,483 | 1.2 | |||||||||||||||||
Net Assets | $ | 568,133,653 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of December 31, 2015. |
# | 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. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
## | 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 identified by the Portfolio to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities. |
EUR | EU Euro |
NZD | New Zealand Dollar |
Cost for federal income tax purposes is $582,807,680. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 316,295 | ||||
Gross Unrealized Depreciation | (21,738,805 | ) | ||||
Net Unrealized Depreciation | $ | (21,422,510 | ) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2015 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Purchased Options | $ | — | $ | 2,242,202 | $ | — | $ | 2,242,202 | ||||||||||
Corporate Bonds/Notes | — | 132,104,277 | — | 132,104,277 | ||||||||||||||
Foreign Government Bonds | — | 33,207,599 | — | 33,207,599 | ||||||||||||||
U.S. Government Agency Obligations | — | 76,659,018 | — | 76,659,018 | ||||||||||||||
Short-Term Investments | 8,495,696 | — | — | 8,495,696 | ||||||||||||||
U.S. Treasury Obligations | — | 308,676,378 | — | 308,676,378 | ||||||||||||||
Total Investments, at fair value | $ | 8,495,696 | $ | 552,889,474 | $ | — | $ | 561,385,170 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | — | 94,569 | — | 94,569 | ||||||||||||||
Forward Foreign Currency Contracts | — | 617,382 | — | 617,382 | ||||||||||||||
Futures | 591,423 | — | — | 591,423 | ||||||||||||||
OTC Swaps | — | 829,589 | — | 829,589 | ||||||||||||||
Total Assets | $ | 9,087,119 | $ | 554,431,014 | $ | — | $ | 563,518,133 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,482,074 | ) | $ | — | $ | (1,482,074 | ) | ||||||||
Forward Foreign Currency Contracts | — | (1,544,946 | ) | — | (1,544,946 | ) | ||||||||||||
Futures | (970,734 | ) | — | — | (970,734 | ) | ||||||||||||
OTC Swaps | — | (793,484 | ) | — | (793,484 | ) | ||||||||||||
Written Options | — | (1,817,513 | ) | — | (1,817,513 | ) | ||||||||||||
Total Liabilities | $ | (970,734 | ) | $ | (5,638,017 | ) | $ | — | $ | (6,608,751 | ) |
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. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The Bank of New York | EU Euro | 300,000 | Buy | 01/06/16 | $ | 326,945 | $ | 326,043 | $ | (902 | ) | |||||||||||||||||||
Barclays Bank PLC | Japanese Yen | 112,354,560 | Buy | 01/19/16 | 1,280,000 | 1,289,985 | 9,985 | |||||||||||||||||||||||
Barclays Bank PLC | Japanese Yen | 278,495,786 | Buy | 01/19/16 | 3,120,000 | 3,182,884 | 62,884 | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 913,774 | Buy | 02/16/16 | 1,233,779 | 1,238,713 | 4,934 | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 949,149 | Buy | 01/19/16 | 1,315,000 | 1,284,677 | (30,323 | ) | ||||||||||||||||||||||
BNP Paribas Bank | New Zealand Dollar | 2,200,000 | Buy | 01/29/16 | 1,439,630 | 1,502,067 | 62,437 | |||||||||||||||||||||||
CIBC World Markets | Canadian Dollar | 10,766,379 | Buy | 01/11/16 | 7,740,000 | 7,780,980 | 40,980 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Swiss Franc | 5,114,017 | Buy | 03/22/16 | 43,695,695 | 43,630,659 | (65,036 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 2,605,000 | Buy | 02/16/16 | 1,906,670 | 1,929,677 | 23,007 | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 931,459 | Buy | 01/19/16 | 1,280,000 | 1,261,648 | (18,352 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | Japanese Yen | 641,306,700 | Buy | 01/19/16 | 5,319,435 | 5,337,275 | 17,840 | |||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 156,166,018 | Buy | 01/19/16 | 1,780,000 | 1,793,244 | 13,244 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 963,489 | Buy | 02/16/16 | 1,302,500 | 1,305,968 | 3,468 | |||||||||||||||||||||||
Deutsche Bank AG | Swedish Krona | 43,691,604 | Buy | 03/22/16 | 5,114,017 | 5,178,567 | 64,550 | |||||||||||||||||||||||
Goldman Sachs & Co. | Canadian Dollar | 2,631,377 | Buy | 01/11/16 | 1,892,641 | 1,901,725 | 9,084 | |||||||||||||||||||||||
Goldman Sachs & Co. | EU Euro | 2,607,000 | Buy | 01/06/16 | 2,829,121 | 2,833,316 | 4,195 | |||||||||||||||||||||||
Goldman Sachs & Co. | Japanese Yen | 1,478,882,144 | Buy | 01/15/16 | 12,145,180 | 12,306,936 | 161,756 | |||||||||||||||||||||||
Goldman Sachs & Co. | Canadian Dollar | 6,245,000 | Buy | 01/19/16 | 561,909,561 | 562,072,645 | (163,084 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | British Pound | 955,000 | Buy | 05/16/16 | 172,139,227 | 172,109,802 | (29,425 | ) | ||||||||||||||||||||||
HSBC Bank PLC | Japanese Yen | 260,324,070 | Buy | 01/15/16 | 2,139,820 | 2,166,361 | 26,541 | |||||||||||||||||||||||
HSBC Bank PLC | British Pound | 980,000 | Buy | 02/09/16 | 1,452,418 | 1,444,857 | (7,561 | ) | ||||||||||||||||||||||
HSBC Bank PLC | EU Euro | 1,280,000 | Buy | 01/19/16 | 938,474 | 946,483 | 8,009 | |||||||||||||||||||||||
HSBC Bank PLC | EU Euro | 1,285,000 | Buy | 01/19/16 | 945,664 | 948,509 | 2,845 | |||||||||||||||||||||||
Morgan Stanley | Canadian Dollar | 976,216 | Buy | 01/11/16 | 702,359 | 705,522 | 3,163 | |||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 123,252,000 | Buy | 01/07/16 | 1,001,879 | 1,025,499 | 23,620 | |||||||||||||||||||||||
Morgan Stanley | British Pound | 910,000 | Buy | 02/09/16 | 1,348,854 | 1,341,653 | (7,201 | ) | ||||||||||||||||||||||
Morgan Stanley | British Pound | 962,053 | Buy | 02/16/16 | 1,302,500 | 1,303,849 | 1,349 | |||||||||||||||||||||||
Morgan Stanley | British Pound | 1,015,430 | Buy | 02/16/16 | 1,371,221 | 1,376,503 | 5,282 | |||||||||||||||||||||||
Societe Generale | Mexican Peso | 47,741,000 | Buy | 01/06/16 | 2,873,911 | 2,769,671 | (104,240 | ) | ||||||||||||||||||||||
UBS AG | Japanese Yen | 242,446,000 | Buy | 01/19/16 | 2,000,000 | 2,017,757 | 17,757 | |||||||||||||||||||||||
$ | 140,806 | |||||||||||||||||||||||||||||
The Bank of New York | EU Euro | 60,000 | Sell | 01/06/16 | $ | 65,577 | $ | 65,209 | $ | 368 | ||||||||||||||||||||
The Bank of New York | EU Euro | 38,000 | Sell | 01/06/16 | 41,440 | 41,299 | 141 | |||||||||||||||||||||||
The Bank of New York | EU Euro | 200,000 | Sell | 01/06/16 | 217,837 | 217,362 | 475 | |||||||||||||||||||||||
The Bank of New York | Canadian Dollar | 65,000 | Sell | 01/06/16 | 48,726 | 46,976 | 1,750 | |||||||||||||||||||||||
The Bank of New York | EU Euro | 4,856,000 | Sell | 01/06/16 | 5,176,229 | 5,277,554 | (101,325 | ) | ||||||||||||||||||||||
The Bank of New York | British Pound | 192,000 | Sell | 01/06/16 | 287,365 | 283,050 | 4,315 | |||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 3,591,428 | Sell | 01/11/16 | 2,600,000 | 2,595,564 | 4,436 | |||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 863,956,246 | Sell | 01/19/16 | 7,137,500 | 7,190,276 | (52,776 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 641,624,361 | Sell | 01/19/16 | 5,290,000 | 5,339,919 | (49,919 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 415,000 | Sell | 01/19/16 | 640,918 | 611,823 | 29,095 | |||||||||||||||||||||||
Goldman Sachs & Co. | New Zealand Dollar | 2,170,000 | Sell | 01/06/16 | 1,492,121 | 1,483,960 | 8,161 | |||||||||||||||||||||||
Goldman Sachs & Co. | Japanese Yen | 10,000,000 | Sell | 01/07/16 | 82,936 | 83,203 | (267 | ) | ||||||||||||||||||||||
HSBC Bank PLC | Japanese Yen | 551,381,287 | Sell | 01/19/16 | 4,575,000 | 4,588,871 | (13,871 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 500,000 | Sell | 01/06/16 | 543,539 | 543,405 | 134 | |||||||||||||||||||||||
Morgan Stanley | EU Euro | 57,000 | Sell | 01/06/16 | 62,254 | 61,948 | 306 | |||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 219,338,008 | Sell | 01/19/16 | 1,825,000 | 1,825,440 | (440 | ) | ||||||||||||||||||||||
Morgan Stanley | Canadian Dollar | 3,949,369 | Sell | 01/11/16 | 2,845,000 | 2,854,252 | (9,252 | ) | ||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 10,000,000 | Sell | 01/07/16 | 81,426 | 83,204 | (1,778 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | EU Euro | 50,000 | Sell | 01/06/16 | 54,595 | 54,341 | 254 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | EU Euro | 1,343,000 | Sell | 01/06/16 | 1,460,604 | 1,459,587 | 1,017 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Japanese Yen | 129,777,000 | Sell | 01/07/16 | 1,052,843 | 1,079,790 | (26,947 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Japanese Yen | 550,662,150 | Sell | 01/19/16 | 4,570,000 | 4,582,886 | (12,886 | ) | ||||||||||||||||||||||
Standard Chartered PLC | New Zealand Dollar | 8,397,000 | Sell | 01/06/16 | 5,494,233 | 5,742,310 | (248,077 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 21,189,000 | Sell | 01/06/16 | 22,443,537 | 23,028,435 | (584,898 | ) | ||||||||||||||||||||||
UBS AG | Japanese Yen | 647,808,437 | Sell | 01/19/16 | 5,375,000 | 5,391,386 | (16,386 | ) | ||||||||||||||||||||||
$ | (1,068,370 | ) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
90-Day Eurodollar | 471 | 03/14/16 | $ | 116,884,538 | $ | (225,663 | ) | |||||||||||
U.S. Treasury 10-Year Note | 487 | 03/21/16 | 61,316,344 | (147,986 | ) | |||||||||||||
U.S. Treasury 5-Year Note | 502 | 03/31/16 | 59,396,796 | (191,606 | ) | |||||||||||||
Long Contracts (continued) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Long Bond | 68 | 03/21/16 | $ | 10,455,000 | $ | (60,930 | ) | |||||||||||
$ | 248,052,678 | $ | (626,185 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
90-Day Eurodollar | (238 | ) | 12/19/16 | (58,768,150 | ) | 136,526 | ||||||||||||
90-Day Eurodollar | (471 | ) | 03/13/17 | (116,125,050 | ) | 301,852 | ||||||||||||
90-Day Eurodollar | (61 | ) | 12/18/17 | (14,979,313 | ) | (19,146 | ) | |||||||||||
Euro-Bobl 5-Year | (15 | ) | 03/08/16 | (2,130,096 | ) | 2,866 | ||||||||||||
Euro-Bund | (36 | ) | 03/08/16 | (6,178,337 | ) | 16,242 | ||||||||||||
Japan 10-Year Bond (TSE) | (31 | ) | 03/14/16 | (38,439,536 | ) | (89,515 | ) | |||||||||||
Long Gilt | (2 | ) | 03/29/16 | (344,287 | ) | 1,756 | ||||||||||||
Long-Term Euro-BTP | (111 | ) | 03/08/16 | (16,637,274 | ) | (31,804 | ) | |||||||||||
U.S. Treasury 2-Year Note | (472 | ) | 03/31/16 | (102,534,627 | ) | 132,181 | ||||||||||||
U.S. Treasury Ultra Long Bond | (115 | ) | 03/21/16 | (18,249,063 | ) | (204,084 | ) | |||||||||||
$ | (374,385,733 | ) | $ | 246,874 |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.700% | Chicago Mercantile Exchange | 12/24/45 | EUR 3,420,000 | $ | (82,006 | ) | $ | (82,764 | ) | |||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.800% | Chicago Mercantile Exchange | 02/25/25 | USD 22,800,000 | (1,246,611 | ) | (1,247,083 | ) | |||||||||||||||
Receive a fixed rate equal to 2.160% and pay a floating rate based on the 3-month USD-LIBOR-BBA | Chicago Mercantile Exchange | 09/25/25 | USD 25,300,000 | (90,224 | ) | (90,739 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.560% | Chicago Mercantile Exchange | 05/15/41 | USD 3,220,000 | 59,419 | 59,338 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.598% | Chicago Mercantile Exchange | 05/15/41 | USD 3,174,000 | 35,310 | 35,231 | |||||||||||||||||
Receive a fixed rate equal to 2.656% and pay a floating rate based on the 3-month USD-LIBOR-BBA | Chicago Mercantile Exchange | 05/15/41 | USD 1,540,000 | (27 | ) | (65 | ) | |||||||||||||||
Receive a fixed rate equal to 2.550% and pay a floating rate based on the 3-month USD-LIBOR-BBA | Chicago Mercantile Exchange | 12/04/45 | USD 2,520,000 | (61,355 | ) | (61,423 | ) | |||||||||||||||
$ | (1,385,494 | ) | $ | (1,387,505 | ) |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 1.852% and pay a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) Counterparty: Barclays Bank PLC | 03/10/16 | USD 20,575,000 | $ | 441,250 | $ | — | $ | 441,250 | ||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.005% Counterparty: Barclays Bank PLC | 12/10/16 | USD 40,000,000 | 53,390 | — | 53,390 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.305% Counterparty: Barclays Bank PLC | 12/10/17 | USD 53,000,000 | $ | 80,570 | $ | — | $ | 80,570 | ||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 2.066% Counterparty: Barclays Bank PLC | 03/10/18 | USD 20,575,000 | (793,484) | — | (793,484 | ) | ||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.518% Counterparty: Barclays Bank PLC | 12/11/19 | USD 38,000,000 | 60,981 | — | 60,981 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.586% Counterparty: Barclays Bank PLC | 12/11/20 | USD 28,000,000 | 46,402 | — | 46,402 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.433% Counterparty: Citigroup, Inc. | 12/10/18 | USD 8,500,000 | 13,380 | — | 13,380 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.649% Counterparty: Citigroup, Inc. | 12/11/21 | USD 47,000,000 | 67,643 | — | 67,643 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.710% Counterparty: Citigroup, Inc. | 12/11/22 | USD 37,000,000 | 65,973 | — | 65,973 | |||||||||||||||||
$ | 36,105 | $ | — | $ | 36,105 |
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. | 04/26/22 | EUR 3,140,000 | $ | 217,411 | $ | (3,654 | ) | ||||||||||||||||||||
$ | 217,411 | $ | (3,654 | ) |
Notional Amount | Counterparty | Description | Exercise Price | Expiration Date | Premiums Received | Fair Value | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options on Currencies | |||||||||||||||||||||||||||
15,450,000 | Barclays Bank PLC | Put CAD vs. Call JPY | 84.500 | CAD | 01/15/16 | $ | 23,812 | $ | (16,205 | ) | |||||||||||||||||
15,450,000 | Barclays Bank PLC | Put CAD vs. Call JPY | 85.500 | CAD | 01/15/16 | 23,123 | (34,292 | ) | |||||||||||||||||||
15,450,000 | Barclays Bank PLC | Put CAD vs. Call JPY | 88.000 | CAD | 01/15/16 | 136,115 | (181,976 | ) | |||||||||||||||||||
7,310,000 | JPMorgan Chase & Co. | Call CHF vs. Put SEK | 9.100 | CHF | 03/18/16 | 76,830 | (10,711 | ) | |||||||||||||||||||
6,005,000 | HSBC Bank PLC | Call EUR vs. Put GBP | 0.768 | EUR | 01/14/16 | 51,942 | (684 | ) | |||||||||||||||||||
6,005,000 | Barclays Bank PLC | Put EUR vs. Call GBP | 0.715 | EUR | 01/14/16 | 89,782 | (1,435 | ) | |||||||||||||||||||
3,800,000 | Deutsche Bank AG | Call GBP vs. Put JPY | 188.500 | GBP | 05/12/16 | 27,450 | (27,450 | ) | |||||||||||||||||||
8,575,000 | Citigroup, Inc. | Call NZD vs. Put USD | 0.695 | NZD | 01/27/16 | 55,694 | (37,531 | ) | |||||||||||||||||||
15,595,000 | Barclays Bank PLC | Call USD vs. Put CAD | 1.390 | USD | 01/08/16 | 123,569 | (48,537 | ) | |||||||||||||||||||
15,595,000 | HSBC Bank PLC | Call USD vs. Put CAD | 1.375 | USD | 01/08/16 | 149,322 | (138,241 | ) | |||||||||||||||||||
14,520,000 | Deutsche Bank AG | Call USD vs. Put JPY | 127.000 | USD | 01/15/16 | 63,307 | (142 | ) | |||||||||||||||||||
5,810,000 | Morgan Stanley | Call USD vs. Put MXN | 18.000 | USD | 02/26/16 | 43,575 | (33,640 | ) | |||||||||||||||||||
14,520,000 | Deutsche Bank AG | Put USD vs. Call JPY | 120.500 | USD | 01/15/16 | 84,216 | (102,598 | ) | |||||||||||||||||||
Total Written OTC Options | $ | 948,737 | $ | (633,442 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Description | Counterparty | Floating Rate Index/Underlying Reference Entity | Pay/ Receive Floating | Exercise Rate | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put OTC Swaption | Deutsche Bank AG | 6-month EUR-EURIBOR-Reuters | Pay | 4.500% | 06/08/22 | EUR 10,100,000 | $ | 475,559 | $ | (160,505 | ) | |||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 2.900% | 02/13/17 | USD 15,300,000 | 436,914 | (197,599 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 3.100% | 03/06/17 | USD 9,400,000 | 257,372 | (90,358 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 3.100% | 03/06/17 | USD 4,690,000 | 137,814 | (45,083 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 3.100% | 03/16/17 | USD 4,700,000 | 118,787 | (47,007 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Barclays Bank PLC | 3-month USD-LIBOR-BBA | Receive | 2.100% | 01/19/16 | USD 12,585,000 | 75,510 | (26,921 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Barclays Bank PLC | 3-month USD-LIBOR-BBA | Receive | 2.150% | 01/19/16 | USD 12,585,000 | 86,837 | (45,065 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 1.900% | 02/13/17 | USD 15,300,000 | 303,162 | (189,516 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.100% | 01/19/16 | USD 6,635,000 | 39,478 | (14,193 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.100% | 03/06/17 | USD 9,400,000 | 212,876 | (169,853 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.100% | 03/06/17 | USD 4,690,000 | 89,471 | (84,746 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.100% | 03/16/17 | USD 4,700,000 | 114,051 | (85,812 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.150% | 01/19/16 | USD 6,635,000 | 45,450 | (23,759 | ) | |||||||||||||||||||||||||
Total Written Swaptions | $ | 2,393,281 | $ | (1,180,417 | ) |
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* | $ | 1,230,058 | |||||||
Interest rate contracts | Investments in securities at value* | 1,012,144 | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 617,382 | ||||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 591,423 | ||||||||
Interest rate contracts | Net Assets — Unrealized appreciation*** | 94,569 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 829,589 | ||||||||
Total Asset Derivatives | $ | 4,375,165 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,544,946 | |||||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 970,734 | ||||||||
Interest rate contracts | Net Assets — Unrealized depreciation*** | 1,482,074 | ||||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 793,484 | ||||||||
Interest rate contracts | Written options, at fair value | 1,184,071 | ||||||||
Foreign exchange contracts | Written options, at fair value | 633,442 | ||||||||
Total Liability Derivatives | $ | 6,608,751 |
* | 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. |
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 | $ | (5,481,219 | ) | $ | 13,114,531 | $ | — | $ | — | $ | 4,846,078 | $ | 12,479,390 | ||||||||||||||
Interest rate contracts | (3,362,195 | ) | — | (2,215,947 | ) | 6,691,614 | 2,490,339 | 3,603,811 | |||||||||||||||||||
Total | $ | (8,843,414 | ) | $ | 13,114,531 | $ | (2,215,947 | ) | $ | 6,691,614 | $ | 7,336,417 | $ | 16,083,201 | |||||||||||||
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 | $ | (735,843 | ) | $ | (4,071,604 | ) | $ | — | $ | — | $ | 555,029 | $ | (4,252,418 | ) | ||||||||||||
Interest rate contracts | (519,372 | ) | — | 2,238,611 | (977,458 | ) | 928,840 | 1,670,621 | |||||||||||||||||||
Total | $ | (1,255,215 | ) | $ | (4,071,604 | ) | $ | 2,238,611 | $ | (977,458 | ) | $ | 1,483,869 | $ | (2,581,797 | ) |
* | Amounts recognized for purchased options are included in net realized gain (loss) 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. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Barclays Bank PLC | BNP Paribas Bank | CIBC World Markets | Citigroup, Inc. | Deutsche Bank AG | Goldman Sachs & Co. | HSBC Bank PLC | JPMorgan Chase & Co. | Morgan Stanley | Societe Generale | Standard Chartered PLC | The Bank of New York | The Royal Bank of Scotland Group PLC | UBS AG | Totals | |||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | 419,739 | $ | 250,937 | $ | — | $ | — | $ | 1,289,863 | $ | — | $ | 222,521 | $ | 54,345 | $ | 4,797 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,242,202 | |||||||||||||||||||||||||||||||||
Forward foreign currency contracts | 77,803 | 62,437 | 40,980 | 27,443 | 128,197 | 183,196 | 37,395 | 134 | 33,720 | — | — | 7,049 | 1,271 | 17,757 | 617,382 | ||||||||||||||||||||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | 682,593 | — | — | 146,996 | — | — | — | — | — | — | — | — | — | — | 829,589 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 1,180,135 | $ | 313,374 | $ | 40,980 | $ | 174,439 | $ | 1,418,060 | $ | 183,196 | $ | 259,916 | $ | 54,479 | $ | 38,517 | $ | — | $ | — | $ | 7,049 | $ | 1,271 | $ | 17,757 | $ | 3,689,173 | |||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 30,323 | $ | — | $ | — | $ | 18,352 | $ | 102,695 | $ | 192,776 | $ | 21,432 | $ | 65,036 | $ | 18,671 | $ | 104,240 | $ | 248,077 | $ | 102,227 | $ | 39,833 | $ | 601,284 | 1,544,946 | ||||||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | 793,484 | — | — | — | — | — | — | — | — | — | — | — | — | — | 793,484 | ||||||||||||||||||||||||||||||||||||||||||||||||
Written options | 354,431 | — | — | 37,531 | 1,242,275 | — | 138,925 | 10,711 | 33,640 | — | — | — | — | — | 1,817,513 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 1,178,238 | $ | — | $ | — | $ | 55,883 | $ | 1,344,970 | $ | 192,776 | $ | 160,357 | $ | 75,747 | $ | 52,311 | $ | 104,240 | $ | 248,077 | $ | 102,227 | $ | 39,833 | $ | 601,284 | $ | 4,155,943 | |||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | 1,897 | $ | 313,374 | $ | 40,980 | $ | 118,556 | $ | 73,090 | $ | (9,580 | ) | $ | 99,559 | $ | (21,268 | ) | $ | (13,794 | ) | $ | (104,240 | ) | $ | (248,077 | ) | $ | (95,178 | ) | $ | (38,562 | ) | $ | (583,527 | ) | (466,770 | ) | |||||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | 670,000 | $ | — | $ | — | $ | — | $ | 360,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,030,000 | |||||||||||||||||||||||||||||||||
Net Exposure(1) | $ | 671,897 | $ | 313,374 | $ | 40,980 | $ | 118,556 | $ | 433,090 | $ | (9,580 | ) | $ | 99,559 | $ | (21,268 | ) | $ | (13,794 | ) | $ | (104,240 | ) | $ | (248,077 | ) | $ | (95,178 | ) | $ | (38,562 | ) | $ | (583,527 | ) | $ | 563,230 |
(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. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 32.6% | |||||||||||||||||||
Basic Materials: 0.9% | |||||||||||||||||||
325,000 | # | Glencore Funding LLC, 2.500%, 01/15/19 | $ | 271,565 | 0.1 | ||||||||||||||
300,000 | # | Solvay Finance America LLC, 3.400%, 12/03/20 | 297,966 | 0.2 | |||||||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 379,687 | 0.2 | |||||||||||||||
750,000 | Other Securities | 651,155 | 0.4 | ||||||||||||||||
1,600,373 | 0.9 | ||||||||||||||||||
Communications: 4.9% | |||||||||||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 798,929 | 0.4 | ||||||||||||||||
25,000 | # | CCO Safari II LLC, 3.579%, 07/23/20 | 24,878 | 0.0 | |||||||||||||||
325,000 | # | CCO Safari II LLC, 4.908%, 07/23/25 | 325,171 | 0.2 | |||||||||||||||
675,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%–3.950%, 03/15/22–01/15/25 | 673,657 | 0.4 | ||||||||||||||||
100,000 | # | Frontier Communications Corp., 8.875%, 09/15/20 | 101,500 | 0.0 | |||||||||||||||
775,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 760,548 | 0.4 | ||||||||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 49,562 | 0.0 | |||||||||||||||
350,000 | Telefonica Emisiones SAU, 5.134%, 04/27/20 | 382,657 | 0.2 | ||||||||||||||||
950,000 | Telefonica Emisiones SAU, 5.462%, 02/16/21 | 1,063,045 | 0.6 | ||||||||||||||||
1,450,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,596,744 | 0.9 | ||||||||||||||||
1,525,000 | Verizon Communications, Inc., 2.625%–4.150%, 02/21/20–03/15/24 | 1,550,492 | 0.8 | ||||||||||||||||
1,975,000 | Other Securities | 1,882,730 | 1.0 | ||||||||||||||||
9,209,913 | 4.9 | ||||||||||||||||||
Consumer, Cyclical: 2.4% | |||||||||||||||||||
950,000 | CVS Caremark Corp., 3.375%, 08/12/24 | 942,377 | 0.5 | ||||||||||||||||
375,000 | # | Family Tree Escrow LLC, 5.750%, 03/01/23 | 392,812 | 0.2 | |||||||||||||||
1,175,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,311,905 | 0.7 | ||||||||||||||||
1,925,000 | Other Securities | 1,928,243 | 1.0 | ||||||||||||||||
4,575,337 | 2.4 | ||||||||||||||||||
Consumer, Non-cyclical: 5.9% | |||||||||||||||||||
775,000 | AbbVie, Inc., 2.500%–3.200%, 05/14/20–11/06/22 | 767,026 | 0.4 | ||||||||||||||||
975,000 | Actavis Funding SCS, 2.350%, 03/12/18 | 976,686 | 0.5 | ||||||||||||||||
885,000 | Actavis Funding SCS, 3.450%–4.850%, 03/15/22–06/15/44 | 882,783 | 0.5 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer, Non-cyclical: (continued) | |||||||||||||||||||
800,000 | # | BAT International Finance PLC, 3.950%, 06/15/25 | $ | 825,148 | 0.4 | ||||||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 479,661 | 0.3 | |||||||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 676,777 | 0.4 | |||||||||||||||
225,000 | # | HJ Heinz Co., 2.800%, 07/02/20 | 224,708 | 0.1 | |||||||||||||||
325,000 | # | Kraft Heinz Foods Co., 3.950%, 07/15/25 | 328,780 | 0.2 | |||||||||||||||
250,000 | # | Pernod Ricard SA, 4.450%, 01/15/22 | 259,614 | 0.1 | |||||||||||||||
1,675,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 1,756,053 | 0.9 | ||||||||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 774,734 | 0.4 | ||||||||||||||||
625,000 | UnitedHealth Group, Inc., 4.625%–4.750%, 07/15/35–07/15/45 | 656,313 | 0.4 | ||||||||||||||||
200,000 | # | Whole Foods Market, Inc., 5.200%, 12/03/25 | 200,201 | 0.1 | |||||||||||||||
2,150,000 | Other Securities | 2,216,966 | 1.2 | ||||||||||||||||
11,025,450 | 5.9 | ||||||||||||||||||
Energy: 2.7% | |||||||||||||||||||
400,000 | # | Antero Resources Corp., 5.625%, 06/01/23 | 314,000 | 0.2 | |||||||||||||||
383,000 | # | Chesapeake Energy Corp., 8.000%, 12/15/22 | 189,585 | 0.1 | |||||||||||||||
650,000 | # | MEG Energy Corp., 6.375%, 01/30/23 | 448,500 | 0.2 | |||||||||||||||
4,835,000 | Other Securities(a) | 4,194,649 | 2.2 | ||||||||||||||||
5,146,734 | 2.7 | ||||||||||||||||||
Financial: 13.9% | |||||||||||||||||||
325,000 | # | AIA Group Ltd., 3.200%, 03/11/25 | 314,559 | 0.2 | |||||||||||||||
1,025,000 | Bank of America Corp., 4.000%–6.500%, 04/01/24–10/29/49 | 1,058,901 | 0.6 | ||||||||||||||||
1,000,000 | Barclays Bank PLC, 2.500%, 02/20/19 | 1,002,731 | 0.5 | ||||||||||||||||
400,000 | # | BNP Paribas SA, 4.375%, 09/28/25 | 392,560 | 0.2 | |||||||||||||||
600,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 647,880 | 0.3 | |||||||||||||||
300,000 | # | Credit Suisse Group AG, 6.250%, 12/29/49 | 300,711 | 0.2 | |||||||||||||||
250,000 | # | Credit Suisse Group Funding Guernsey Ltd., 3.750%, 03/26/25 | 241,989 | 0.1 | |||||||||||||||
306,000 | # | GE Capital International Funding Co., 4.418%, 11/15/35 | 312,998 | 0.2 | |||||||||||||||
875,000 | ING Bank NV, 4.125%, 11/21/23 | 893,953 | 0.5 | ||||||||||||||||
350,000 | ING Groep NV, 6.000%, 12/31/49 | 351,750 | 0.2 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
600,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | $ | 617,250 | 0.3 | ||||||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 589,937 | 0.3 | ||||||||||||||||
975,000 | # | Intesa Sanpaolo SpA, 5.017%, 06/26/24 | 961,375 | 0.5 | |||||||||||||||
1,700,000 | KFW, 1.125%, 08/06/18 | 1,687,493 | 0.9 | ||||||||||||||||
275,000 | # | LBG Capital No.1 PLC, 8.000%, 12/29/49 | 288,956 | 0.2 | |||||||||||||||
775,000 | Lloyds Bank PLC, 2.350%, 09/05/19 | 775,862 | 0.4 | ||||||||||||||||
425,000 | # | Macquarie, 6.625%, 04/07/21 | 476,902 | 0.3 | |||||||||||||||
250,000 | # | Meiji Yasuda Life Insurance Co., 5.200%, 10/20/45 | 257,858 | 0.1 | |||||||||||||||
575,000 | # | Mitsubishi UFJ Trust & Banking Corp., 2.650%, 10/19/20 | 575,025 | 0.3 | |||||||||||||||
1,050,000 | Morgan Stanley, 3.700%, 10/23/24 | 1,057,114 | 0.6 | ||||||||||||||||
450,000 | Morgan Stanley, 4.000%–5.550%, 07/23/25–12/29/49 | 453,705 | 0.2 | ||||||||||||||||
375,000 | # | Nationwide Building Society, 3.900%, 07/21/25 | 387,445 | 0.2 | |||||||||||||||
300,000 | Royal Bank of Scotland Group PLC, 8.000%, 12/29/49 | 318,000 | 0.2 | ||||||||||||||||
500,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 542,404 | 0.3 | ||||||||||||||||
200,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 216,962 | 0.1 | ||||||||||||||||
625,000 | # | Santander UK Group Holdings PLC, 4.750%, 09/15/25 | 619,774 | 0.3 | |||||||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 463,343 | 0.3 | |||||||||||||||
400,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 404,956 | 0.2 | |||||||||||||||
275,000 | # | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | 273,992 | 0.1 | |||||||||||||||
9,594,000 | Other Securities | 9,597,300 | 5.1 | ||||||||||||||||
26,083,685 | 13.9 | ||||||||||||||||||
Industrial: 0.7% | |||||||||||||||||||
600,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 583,421 | 0.3 | |||||||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 384,375 | 0.2 | |||||||||||||||
250,000 | Other Securities | 249,264 | 0.2 | ||||||||||||||||
1,217,060 | 0.7 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Technology: 1.2% | |||||||||||||||||||
375,000 | # | HP Enterprise Co., 4.900%, 10/15/25 | $ | 368,987 | 0.2 | ||||||||||||||
1,900,000 | Other Securities | 1,920,714 | 1.0 | ||||||||||||||||
2,289,701 | 1.2 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $63,112,659) | 61,148,253 | 32.6 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 4.8% | |||||||||||||||||||
3,955,912 | Fannie Mae, 3.500%, 10/01/45 | 4,085,657 | 2.2 | ||||||||||||||||
800,000 | Fannie Mae, 3.500%, 12/01/45 | 826,247 | 0.5 | ||||||||||||||||
800,000 | Fannie Mae, 3.500%, 12/01/45 | 826,247 | 0.4 | ||||||||||||||||
400,000 | Fannie Mae, 3.500%, 12/01/45 | 413,124 | 0.2 | ||||||||||||||||
650,000 | # | FREMF Mortgage Trust, 3.685%, 01/25/48 | 583,574 | 0.3 | |||||||||||||||
1,337,735 | GS Mortgage Securities Trust 2007-GG10, 5.795%, 08/10/45 | 1,392,318 | 0.7 | ||||||||||||||||
EUR 947,037 | Other Securities | 952,546 | 0.5 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $9,245,413) | 9,079,713 | 4.8 | |||||||||||||||||
MUNICIPAL BONDS: 1.1% | |||||||||||||||||||
California: 0.5% | |||||||||||||||||||
750,000 | Other Securities | 981,367 | 0.5 | ||||||||||||||||
Puerto Rico: 0.6% | |||||||||||||||||||
2,215,000 | Other Securities | 1,153,578 | 0.6 | ||||||||||||||||
Total Municipal Bonds (Cost $2,367,020) | 2,134,945 | 1.1 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 30.9% | |||||||||||||||||||
Federal Home Loan Bank: 1.2% | |||||||||||||||||||
900,000 | 2.625%, due 09/12/25 | 891,916 | 0.5 | ||||||||||||||||
1,300,000 | 2.875%, due 06/13/25 | 1,316,926 | 0.7 | ||||||||||||||||
2,208,842 | 1.2 | ||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.1%## | |||||||||||||||||||
3,000,000 | 3.062%, due 12/25/24 | 3,026,770 | 1.6 | ||||||||||||||||
1,865,012 | 3.500%, due 04/01/43 | 1,924,021 | 1.0 | ||||||||||||||||
304,705 | ˆ | 5.770%, due 07/15/39 | 49,381 | 0.1 | |||||||||||||||
800,000 | 2.811%, due 01/25/25 | 790,417 | 0.4 | ||||||||||||||||
5,790,589 | 3.1 | ||||||||||||||||||
Federal National Mortgage Association: 9.7%## | |||||||||||||||||||
2,100,000 | 0.750%, due 03/14/17 | 2,095,168 | 1.1 | ||||||||||||||||
1,000,000 | W | 2.500%, due 01/15/28 | 1,007,983 | 0.5 | |||||||||||||||
5,000,000 | W | 3.500%, due 06/25/42 | 5,159,007 | 2.8 | |||||||||||||||
2,957,729 | 3.500%, due 09/01/45 | 3,054,735 | 1.6 | ||||||||||||||||
4,000,000 | W | 4.000%, due 08/25/40 | 4,233,000 | 2.3 | |||||||||||||||
2,068,450 | ˆ | 5.278%, due 11/25/45 | 289,901 | 0.2 | |||||||||||||||
480,498 | ˆ | 5.278%, due 11/25/45 | 73,154 | 0.0 | |||||||||||||||
446,636 | ˆ | 5.678%, due 09/25/43 | 72,135 | 0.0 | |||||||||||||||
530,321 | ˆ | 5.678%, due 12/25/43 | 87,424 | 0.0 | |||||||||||||||
630,957 | ˆ | 5.828%, due 01/25/45 | 107,537 | 0.1 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||||||
Federal National Mortgage Association: (continued) | |||||||||||||||||||||||
952,789 | ˆ | 5.828%, due 11/25/45 | $ | 147,852 | 0.1 | ||||||||||||||||||
1,723,105 | 3.000%–6.000%, due 08/01/27–09/01/45 | 1,921,837 | 1.0 | ||||||||||||||||||||
18,249,733 | 9.7 | ||||||||||||||||||||||
Government National Mortgage Association: 16.9% | |||||||||||||||||||||||
20,000,000 | W | 4.000%, due 09/20/40 | 21,240,622 | 11.3 | |||||||||||||||||||
1,959,215 | 4.000%, due 10/20/43 | 2,090,975 | 1.1 | ||||||||||||||||||||
4,288,097 | 4.000%, due 08/20/45 | 4,558,440 | 2.4 | ||||||||||||||||||||
1,268,844 | 4.000%, due 09/20/45 | 1,349,971 | 0.7 | ||||||||||||||||||||
1,358,532 | 4.000%, due 10/20/45 | 1,445,449 | 0.8 | ||||||||||||||||||||
709,113 | ˆ | 5.198%, due 09/20/44 | 102,288 | 0.1 | |||||||||||||||||||
677,284 | ˆ | 5.308%, due 08/20/45 | 108,987 | 0.1 | |||||||||||||||||||
398,530 | ˆ | 5.348%, due 03/20/40 | 61,053 | 0.0 | |||||||||||||||||||
144,742 | ˆ | 5.698%, due 09/20/43 | 23,525 | 0.0 | |||||||||||||||||||
957,933 | ˆ | 5.698%, due 11/20/43 | 152,958 | 0.1 | |||||||||||||||||||
158,205 | ˆ | 5.698%, due 03/20/44 | 26,824 | 0.0 | |||||||||||||||||||
439,432 | ˆ | 5.748%, due 06/20/43 | 72,260 | 0.0 | |||||||||||||||||||
483,800 | ˆ | 5.798%, due 09/20/45 | 88,804 | 0.1 | |||||||||||||||||||
494,827 | ˆ | 5.798%, due 11/20/45 | 85,541 | 0.1 | |||||||||||||||||||
122,772 | ˆ | 5.848%, due 02/20/40 | 20,978 | 0.0 | |||||||||||||||||||
261,336 | ˆ | 5.848%, due 12/20/42 | 44,267 | 0.0 | |||||||||||||||||||
195,025 | 4.000%, due 09/20/44 | 207,410 | 0.1 | ||||||||||||||||||||
31,680,352 | 16.9 | ||||||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $57,946,036) | 57,929,516 | 30.9 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 5.9% | |||||||||||||||||||||||
EUR 1,285,709 | Buoni Poliennali, 2.350%, 09/15/19 | 1,531,244 | 0.8 | ||||||||||||||||||||
200,000 | # | Costa Rica Government International Bond, 7.158%, 03/12/45 | 168,250 | 0.1 | |||||||||||||||||||
620,000 | Croatia Government International Bond, 5.500%, 04/04/23 | 630,850 | 0.3 | ||||||||||||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | 328,950 | 0.2 | |||||||||||||||||||
1,039,000 | Israel Aid Bond, 5.500%, 12/04/23 | 1,251,601 | 0.7 | ||||||||||||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,650,480 | 0.9 | ||||||||||||||||||||
EUR 590,000 | Italy Buoni Poliennali Del Tesoro, 3.750%, 05/01/21 | 743,011 | 0.4 | ||||||||||||||||||||
800,000 | Mexico Government International Bond, 4.600%–4.750%, 03/08/44–01/23/46 | 714,960 | 0.4 | ||||||||||||||||||||
EUR 1,000,000 | # | Spain Government Bond, 5.500%, 04/30/21 | 1,351,897 | 0.7 | |||||||||||||||||||
EUR 80,207 | # | Spain Government Inflation Linked Bond, 0.550%, 11/30/19 | 89,458 | 0.0 | |||||||||||||||||||
7,398,400 | Other Securities | 2,607,089 | 1.4 | ||||||||||||||||||||
Total Foreign Government Bonds (Cost $11,550,531) | 11,067,790 | 5.9 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 12.5% | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 4.1% | |||||||||||||||||||||||
1,989,566 | 0.125%, due 04/15/17 | $ | 1,985,792 | 1.0 | |||||||||||||||||||
1,646,224 | 0.125%, due 04/15/18 | 1,642,940 | 0.9 | ||||||||||||||||||||
4,190,200 | 0.375%, due 07/15/23 | 4,092,149 | 2.2 | ||||||||||||||||||||
7,720,881 | 4.1 | ||||||||||||||||||||||
U.S. Treasury Bonds: 8.4% | |||||||||||||||||||||||
3,900,000 | 3.000%, due 11/15/44 | 3,879,431 | 2.1 | ||||||||||||||||||||
1,200,000 | 3.000%, due 11/15/45 | 1,194,344 | 0.6 | ||||||||||||||||||||
1,100,000 | 3.625%, due 08/15/43 | 1,236,838 | 0.6 | ||||||||||||||||||||
7,800,000 | 3.625%, due 02/15/44 | 8,759,736 | 4.7 | ||||||||||||||||||||
600,000 | 3.750%, due 11/15/43 | 689,959 | 0.4 | ||||||||||||||||||||
15,760,308 | 8.4 | ||||||||||||||||||||||
Total U.S. Treasury Obligations (Cost $23,960,571) | 23,481,189 | 12.5 | |||||||||||||||||||||
ASSET-BACKED SECURITIES: 12.6% | |||||||||||||||||||||||
Other Asset-Backed Securities: 12.6% | |||||||||||||||||||||||
250,000 | # | B&M CLO 2014-1 Ltd., 2.267%, 04/16/26 | 238,287 | 0.1 | |||||||||||||||||||
367,365 | # | Bank of America Student Loan Trust 2010-1 A, 1.120%, 02/25/43 | 363,175 | 0.2 | |||||||||||||||||||
60,439 | # | Bayview Opportunity Master Fund IIIb RPL Trust 2015-3 A1, 3.623%, 04/28/30 | 59,786 | 0.0 | |||||||||||||||||||
1,600,000 | # | Crown Point CLO III Ltd. 2015-3A ACOM, 1.857%, 12/31/27 | 1,560,640 | 0.9 | |||||||||||||||||||
250,000 | # | Crown Point CLO III Ltd. 2015-3A B, 3.371%, 12/31/27 | 235,315 | 0.1 | |||||||||||||||||||
934,030 | # | Edsouth Indenture No 9 LLC, 1.222%, 10/25/56 | 916,366 | 0.5 | |||||||||||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 1.920%, 04/25/27 | 643,014 | 0.4 | |||||||||||||||||||
250,000 | # | Greywolf CLO V Ltd. 2015-1A A2, 2.720%, 04/25/27 | 246,322 | 0.1 | |||||||||||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A Ltd., 1.767%, 04/20/27 | 783,514 | 0.4 | |||||||||||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A Ltd., 4.679%, 07/25/27 | 1,029,259 | 0.6 | |||||||||||||||||||
2,000,000 | # | ICG US CLO Ltd. 2014-1A ACOM, 1.557%, 04/20/26 | 1,932,600 | 1.0 | |||||||||||||||||||
1,200,000 | # | OFSI Fund VI Ltd. 2014-6A ACOM, 1.476%, 03/20/25 | 1,149,480 | 0.6 | |||||||||||||||||||
2,550,000 | # | OFSI Fund VII Ltd. 2014-7A ACOM, 1.784%, 10/18/26 | 2,474,775 | 1.3 | |||||||||||||||||||
1,350,000 | # | Regatta IV Funding Ltd. 2014-1A ACOM, 0.000%, 07/25/26 | 1,316,790 | 0.7 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
399,868 | # | Scholar Funding Trust 2010-A A, 1.073%, 10/28/41 | $ | 390,588 | 0.2 | ||||||||||||||
772,514 | # | SLM Student Loan Trust 2003-1, 0.622%, 12/15/32 | 705,285 | 0.4 | |||||||||||||||
935,801 | SLM Student Loan Trust 2005-4 A3, 0.440%, 01/25/27 | 890,859 | 0.5 | ||||||||||||||||
500,000 | SLM Student Loan Trust 2007-1, 0.410%, 01/26/26 | 478,323 | 0.2 | ||||||||||||||||
750,000 | SLM Student Loan Trust 2007-2, 0.380%, 07/25/22 | 701,155 | 0.4 | ||||||||||||||||
219,649 | SLM Student Loan Trust 2008-2 A3, 1.070%, 04/25/23 | 211,768 | 0.1 | ||||||||||||||||
550,000 | SLM Student Loan Trust 2008-4 A4, 1.970%, 01/24/17 | 553,872 | 0.3 | ||||||||||||||||
450,000 | SLM Student Loan Trust 2008-5, 2.020%, 07/25/23 | 453,082 | 0.2 | ||||||||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 1.851%, 04/15/27 | 1,624,771 | 0.9 | |||||||||||||||
300,000 | # | Sound Point CLO VIII Ltd. 2015-1A B, 2.371%, 04/15/27 | 283,767 | 0.1 | |||||||||||||||
900,000 | # | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T2, 2.620%, 01/15/47 | 898,930 | 0.5 | |||||||||||||||
1,000,000 | # | Trinitas CLO II Ltd. 2014-2A ACOM, 1.665%, 07/15/26 | 967,100 | 0.5 | |||||||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 1.831%, 07/15/27 | 976,555 | 0.5 | |||||||||||||||
1,100,000 | # | Z Capital Credit Partners CLO 2015-1A ACOM Ltd., 1.730%, 07/16/27 | 1,067,990 | 0.6 | |||||||||||||||
595,462 | Other Securities | 498,785 | 0.3 | ||||||||||||||||
Total Asset-Backed Securities (Cost $23,855,407) | 23,652,153 | 12.6 | |||||||||||||||||
Total Long-Term Investments (Cost $192,037,637) | 188,493,559 | 100.4 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 16.7% | |||||||||||||||||||
Commercial Paper: 0.9% | |||||||||||||||||||
1,500,000 | # | Barclays Bank PLC, 2.000%, 04/13/16 (Cost $1,500,000) | 1,499,895 | 0.9 | |||||||||||||||
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Securities Lending Collateralcc: 0.3% | |||||||||||||||||||
604,694 | HSBC Securities USA, Repurchase Agreement dated 12/31/15, 0.29%, due 01/04/16 (Repurchase Amount $604,713, collateralized by various U.S. Government Securities, 3.000%, Market Value plus accrued interest $616,790, due 11/15/44) (Cost $604,694) | $ | 604,694 | 0.3 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 15.5% | ||||||||||||||||||
29,184,938 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.270%†† (Cost $29,184,938) | 29,184,938 | 15.5 | |||||||||||||||
Total Short-Term Investments (Cost $31,289,632) | 31,289,527 | 16.7 | ||||||||||||||||
Total Investments in Securities (Cost $223,327,269) | $ | 219,783,086 | 117.1 | |||||||||||||||
Liabilities in Excess of Other Assets | (32,015,736 | ) | (17.1 | ) | ||||||||||||||
Net Assets | $ | 187,767,350 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of December 31, 2015. |
# | 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. |
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. |
(a) | This grouping contains securities on loan. |
BRL | Brazilian Real |
EUR | EU Euro |
MXN | Mexican Peso |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Cost for federal income tax purposes is $223,360,217. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 382,367 | ||||
Gross Unrealized Depreciation | (3,959,498 | ) | ||||
Net Unrealized Depreciation | $ | (3,577,131 | ) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2015 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 61,148,253 | $ | — | $ | 61,148,253 | ||||||||||
Collateralized Mortgage Obligations | — | 8,552,314 | 527,399 | 9,079,713 | ||||||||||||||
Municipal Bonds | — | 2,134,945 | — | 2,134,945 | ||||||||||||||
Short-Term Investments | 29,184,938 | 2,104,589 | — | 31,289,527 | ||||||||||||||
Foreign Government Bonds | — | 11,067,790 | — | 11,067,790 | ||||||||||||||
U.S. Treasury Obligations | — | 23,481,189 | — | 23,481,189 | ||||||||||||||
Asset-Backed Securities | — | 22,753,223 | 898,930 | 23,652,153 | ||||||||||||||
U.S. Government Agency Obligations | — | 57,929,516 | — | 57,929,516 | ||||||||||||||
Total Investments, at fair value | $ | 29,184,938 | $ | 189,171,819 | $ | 1,426,329 | $ | 219,783,086 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | — | 780,490 | — | 780,490 | ||||||||||||||
Forward Foreign Currency Contracts | — | 503,414 | — | 503,414 | ||||||||||||||
Futures | 90,996 | — | — | 90,996 | ||||||||||||||
OTC Swaps | — | 972 | — | 972 | ||||||||||||||
Total Assets | $ | 29,275,934 | $ | 190,456,695 | $ | 1,426,329 | $ | 221,158,958 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (647,979 | ) | $ | — | $ | (647,979 | ) | ||||||||
Forward Foreign Currency Contracts | — | (607,329 | ) | — | (607,329 | ) | ||||||||||||
Futures | (89,391 | ) | — | — | (89,391 | ) | ||||||||||||
OTC Swaps | — | (168,977 | ) | — | (168,977 | ) | ||||||||||||
Total Liabilities | $ | (89,391 | ) | $ | (1,424,285 | ) | $ | — | $ | (1,513,676 | ) |
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. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | British Pound | 51,525 | Buy | 03/16/16 | 9,311,953 | 9,310,311 | $ | (1,642 | ) | |||||||||||||||||||||
Bank of America | Swedish Krona | 961,124 | Buy | 03/16/16 | 103,643 | 104,897 | 1,254 | |||||||||||||||||||||||
Bank of America | Swedish Krona | 1,154,833 | Buy | 03/16/16 | 123,754 | 126,107 | 2,353 | |||||||||||||||||||||||
Bank of America | Swedish Krona | 998,313 | Buy | 03/16/16 | 117,538 | 118,513 | 975 | |||||||||||||||||||||||
Bank of America | EU Euro | 161,000 | Buy | 03/16/16 | 703,087 | 699,400 | (3,687 | ) | ||||||||||||||||||||||
Bank of America | Canadian Dollar | 124,250 | Buy | 03/16/16 | 91,728 | 89,813 | (1,915 | ) | ||||||||||||||||||||||
Bank of America | Swedish Krona | 5,498,489 | Buy | 03/16/16 | 594,325 | 599,979 | 5,654 | |||||||||||||||||||||||
Barclays Bank PLC | South Korean Won | 206,964,330 | Buy | 01/14/16 | 177,000 | 176,323 | (677 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Taiwan New Dollar | 5,819,176 | Buy | 01/08/16 | 178,000 | 177,033 | (967 | ) | ||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 256,804 | Buy | 03/16/16 | 393,455 | 387,385 | (6,070 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Malaysian Ringgit | 758,547 | Buy | 01/04/16 | 176,406 | 176,673 | 267 | |||||||||||||||||||||||
BNP Paribas Bank | Chilean Peso | 232,785,615 | Buy | 01/27/16 | 327,153 | 327,613 | 460 | |||||||||||||||||||||||
BNP Paribas Bank | Canadian Dollar | 125,360 | Buy | 03/16/16 | 90,316 | 90,615 | 299 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BNP Paribas Bank | British Pound | 60,835 | Buy | 03/16/16 | 90,256 | 89,694 | $ | (562 | ) | |||||||||||||||||||||
BNP Paribas Bank | Norwegian Krone | 608,131 | Buy | 03/16/16 | 69,656 | 68,655 | (1,001 | ) | ||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 117,000 | Buy | 03/16/16 | 36,809,604 | 36,810,298 | 694 | |||||||||||||||||||||||
BNP Paribas Bank | Swedish Krona | 3,598,976 | Buy | 03/16/16 | 388,122 | 392,789 | 4,667 | |||||||||||||||||||||||
BNP Paribas Bank | British Pound | 75,678 | Buy | 03/16/16 | 113,857 | 111,579 | (2,278 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Hungarian Forint | 78,701,705 | Buy | 03/16/16 | 267,930 | 270,881 | 2,951 | |||||||||||||||||||||||
Citigroup, Inc. | Chinese Offshore Yuan | 6,572,813 | Buy | 03/16/16 | 1,010,658 | 990,060 | (20,598 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 236,016,000 | Buy | 01/12/16 | 71,862 | 74,285 | 2,423 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 9,924,876 | Buy | 01/12/16 | 143,268 | 135,652 | (7,616 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chilean Peso | 105,441,275 | Buy | 01/12/16 | 147,460 | 148,666 | 1,206 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 1,130,132 | Buy | 02/10/16 | 1,227,448 | 1,229,334 | 1,886 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 32,528,964 | Buy | 01/27/16 | 485,036 | 442,723 | (42,313 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 152,990 | Buy | 03/16/16 | 113,012 | 110,587 | (2,425 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 78,826,874 | Buy | 03/16/16 | 273,837 | 271,311 | (2,526 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 736,386 | Buy | 03/16/16 | 170,019 | 172,363 | 2,344 | |||||||||||||||||||||||
Citigroup, Inc. | Australian Dollar | 74,451 | Buy | 03/16/16 | 54,288 | 54,056 | (232 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Polish Zloty | 5,210,903 | Buy | 03/16/16 | 1,289,078 | 1,326,510 | 37,432 | |||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 12,464,725 | Buy | 01/28/16 | 175,000 | 169,598 | (5,402 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Colombian Peso | 596,822,664 | Buy | 01/12/16 | 189,407 | 187,847 | (1,560 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 118,285 | Buy | 03/16/16 | 160,000 | 160,192 | 192 | |||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 51,399 | Buy | 03/16/16 | 76,512 | 75,782 | (730 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Canadian Dollar | 116,331 | Buy | 03/16/16 | 83,575 | 84,089 | 514 | |||||||||||||||||||||||
Credit Suisse Group AG | EU Euro | 256,804 | Buy | 03/16/16 | 391,656 | 386,892 | (4,764 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Japanese Yen | 42,887,812 | Buy | 03/16/16 | 351,000 | 357,447 | 6,447 | |||||||||||||||||||||||
Credit Suisse Group AG | Australian Dollar | 108,177 | Buy | 03/16/16 | 70,709 | 72,266 | 1,557 | |||||||||||||||||||||||
Credit Suisse Group AG | Canadian Dollar | 105,758 | Buy | 03/16/16 | 77,386 | 76,446 | (940 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 85,648 | Buy | 03/16/16 | 127,922 | 126,278 | (1,644 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Chilean Peso | 183,414,443 | Buy | 01/13/16 | 260,773 | 258,572 | (2,201 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 787,461 | Buy | 03/16/16 | 119,000 | 118,615 | (385 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 210,311,400 | Buy | 01/15/16 | 177,000 | 179,155 | 2,155 | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 725,784,644 | Buy | 01/15/16 | 227,840 | 228,366 | 526 | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 343,810,636 | Buy | 01/27/16 | 102,401 | 108,043 | 5,642 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 3,023,771 | Buy | 03/16/16 | 175,000 | 174,530 | (470 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Swedish Krona | 1,918,038 | Buy | 03/16/16 | 206,618 | 209,353 | 2,735 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,160,624 | Buy | 03/16/16 | 177,000 | 174,824 | (2,176 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,177,221 | Buy | 09/01/16 | 178,000 | 174,775 | (3,225 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Offshore Yuan | 1,168,983 | Buy | 03/16/16 | 177,000 | 176,083 | (917 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 24,403,000 | Buy | 01/19/16 | 341,110 | 332,879 | (8,231 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 12,000,974 | Buy | 01/12/16 | 178,000 | 164,027 | (13,973 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 12,028,190 | Buy | 01/12/16 | 178,000 | 164,399 | (13,601 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 12,350,927 | Buy | 01/21/16 | 177,000 | 168,383 | (8,617 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 11,397,539 | Buy | 01/14/16 | 170,635 | 155,692 | (14,943 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Norwegian Krone | 728,450 | Buy | 03/16/16 | 83,326 | 82,238 | (1,088 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 3,010,928 | Buy | 03/16/16 | 175,000 | 173,788 | (1,212 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Swedish Krona | 776,836 | Buy | 03/16/16 | 83,600 | 84,799 | 1,199 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Canadian Dollar | 115,129 | Buy | 03/16/16 | 84,089 | 83,220 | (869 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Swedish Krona | 2,756,738 | Buy | 03/16/16 | 295,643 | 301,014 | 5,371 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Swedish Krona | 1,209,795 | Buy | 03/16/16 | 143,379 | 143,619 | 240 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 3,027,951 | Buy | 03/16/16 | 177,000 | 174,771 | (2,229 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 11,448,784 | Buy | 03/16/16 | 671,247 | 660,815 | (10,432 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Norwegian Krone | 678,025 | Buy | 03/16/16 | 77,568 | 76,545 | (1,023 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 3,032,948 | Buy | 03/16/16 | 177,000 | 175,059 | (1,941 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Canadian Dollar | 103,383 | Buy | 03/16/16 | 77,494 | 74,730 | (2,764 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Swedish Krona | 1,518,545 | Buy | 03/16/16 | 164,000 | 165,712 | 1,712 | |||||||||||||||||||||||
Morgan Stanley | Russian Ruble | 6,717,507 | Buy | 01/19/16 | 90,822 | 91,633 | 811 | |||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 665,639 | Buy | 01/05/16 | 177,000 | 168,189 | (8,811 | ) | ||||||||||||||||||||||
Morgan Stanley | Russian Ruble | 12,116,173 | Buy | 01/19/16 | 171,248 | 165,276 | (5,972 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 1,396,346 | Buy | 01/05/16 | 356,000 | 352,819 | (3,181 | ) | ||||||||||||||||||||||
Morgan Stanley | Russian Ruble | 21,008,182 | Buy | 02/03/16 | 295,266 | 285,358 | (9,908 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley | Russian Ruble | 29,747,696 | Buy | 01/14/16 | 444,393 | 406,357 | $ | (38,036 | ) | |||||||||||||||||||||
Morgan Stanley | Norwegian Krone | 734,112 | Buy | 03/16/16 | 84,200 | 82,877 | (1,323 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 1,374,989 | Buy | 01/05/16 | 344,911 | 347,422 | 2,511 | |||||||||||||||||||||||
The Royal Bank of Canada | EU Euro | 65,007 | Buy | 03/16/16 | 71,216 | 70,778 | (438 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 362,664 | Buy | 03/16/16 | 240,406 | 240,805 | 399 | |||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 256,444 | Buy | 03/16/16 | 189,195 | 185,368 | (3,827 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 674,777 | Buy | 03/16/16 | 456,230 | 447,251 | (8,979 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Mexican Peso | 11,728,253 | Buy | 03/16/16 | 692,422 | 676,945 | (15,477 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Mexican Peso | 3,008,782 | Buy | 03/16/16 | 177,000 | 173,665 | (3,335 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Swedish Krona | 2,984,555 | Buy | 03/16/16 | 321,000 | 325,808 | 4,808 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Turkish Lira | 541,257 | Buy | 03/16/16 | 177,000 | 181,818 | 4,818 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Mexican Peso | 12,504,270 | Buy | 03/16/16 | 750,592 | 721,736 | (28,856 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Hungarian Forint | 81,210,758 | Buy | 03/16/16 | 275,758 | 279,517 | 3,759 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Polish Zloty | 721,824 | Buy | 03/16/16 | 168,000 | 168,835 | 835 | |||||||||||||||||||||||
Standard Chartered PLC | South Korean Won | 209,372,415 | Buy | 01/08/16 | 177,000 | 178,487 | 1,487 | |||||||||||||||||||||||
Standard Chartered PLC | South Korean Won | 410,872,176 | Buy | 01/19/16 | 351,000 | 349,858 | (1,142 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Colombian Peso | 897,578,800 | Buy | 01/27/16 | 293,164 | 282,066 | (11,098 | ) | ||||||||||||||||||||||
Standard Chartered PLC | British Pound | 56,173 | Buy | 03/16/16 | 83,549 | 82,821 | (728 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 1,158,203 | Buy | 03/16/16 | 175,000 | 174,460 | (540 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Australian Dollar | 247,000 | Buy | 03/16/16 | 174,965 | 179,338 | 4,373 | |||||||||||||||||||||||
Standard Chartered PLC | South African Rand | 2,706,157 | Buy | 03/16/16 | 177,000 | 172,631 | (4,369 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Canadian Dollar | 114,824 | Buy | 03/16/16 | 84,535 | 82,999 | (1,536 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 1,159,858 | Buy | 03/16/16 | 177,000 | 174,709 | (2,291 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Norwegian Krone | 796,412 | Buy | 03/16/16 | 91,597 | 89,911 | (1,686 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Canadian Dollar | 114,162 | Buy | 03/16/16 | 85,419 | 82,521 | (2,898 | ) | ||||||||||||||||||||||
State Street | South Korean Won | 415,912,140 | Buy | 01/15/16 | 357,000 | 354,298 | (2,702 | ) | ||||||||||||||||||||||
State Street | British Pound | 89,097 | Buy | 03/16/16 | 132,240 | 131,363 | (877 | ) | ||||||||||||||||||||||
State Street | EU Euro | 323,000 | Buy | 03/16/16 | 351,490 | 351,677 | 187 | |||||||||||||||||||||||
State Street | Norwegian Krone | 606,971 | Buy | 03/16/16 | 69,631 | 68,524 | (1,107 | ) | ||||||||||||||||||||||
State Street | British Pound | 50,843 | Buy | 03/16/16 | 77,100 | 74,962 | (2,138 | ) | ||||||||||||||||||||||
State Street | Canadian Dollar | 966,179 | Buy | 03/16/16 | 707,000 | 698,394 | (8,606 | ) | ||||||||||||||||||||||
State Street | Swedish Krona | 1,398,098 | Buy | 03/16/16 | 150,720 | 152,592 | 1,872 | |||||||||||||||||||||||
State Street | Swedish Krona | 1,065,874 | Buy | 03/16/16 | 126,209 | 126,534 | 325 | |||||||||||||||||||||||
State Street | New Zealand Dollar | 128,822 | Buy | 03/16/16 | 84,591 | 87,716 | 3,125 | |||||||||||||||||||||||
State Street | Swedish Krona | 5,496,154 | Buy | 03/16/16 | 594,507 | 599,686 | 5,179 | |||||||||||||||||||||||
State Street | Australian Dollar | 216,645 | Buy | 03/16/16 | 155,340 | 157,298 | 1,958 | |||||||||||||||||||||||
State Street | Norwegian Krone | 2,474,299 | Buy | 03/16/16 | 290,661 | 279,333 | (11,328 | ) | ||||||||||||||||||||||
State Street | Swedish Krona | 2,889,062 | Buy | 03/16/16 | 311,897 | 315,279 | 3,382 | |||||||||||||||||||||||
UBS AG | Russian Ruble | 11,504,950 | Buy | 01/14/16 | 177,751 | 157,159 | (20,592 | ) | ||||||||||||||||||||||
UBS AG | Chinese Offshore Yuan | 1,169,103 | Buy | 03/16/16 | 177,000 | 176,101 | (899 | ) | ||||||||||||||||||||||
UBS AG | Chinese Offshore Yuan | 3,509,766 | Buy | 03/16/16 | 530,000 | 528,675 | (1,325 | ) | ||||||||||||||||||||||
UBS AG | Indonesian Rupiah | 2,111,122,711 | Buy | 01/04/16 | 154,040 | 153,146 | (894 | ) | ||||||||||||||||||||||
UBS AG | Brazilian Real | 670,830 | Buy | 01/05/16 | 177,000 | 169,501 | (7,499 | ) | ||||||||||||||||||||||
UBS AG | Russian Ruble | 11,604,695 | Buy | 01/19/16 | 163,839 | 158,299 | (5,540 | ) | ||||||||||||||||||||||
UBS AG | South Korean Won | 209,169,750 | Buy | 01/14/16 | 177,000 | 178,202 | 1,202 | |||||||||||||||||||||||
UBS AG | South Korean Won | 210,579,555 | Buy | 01/15/16 | 177,000 | 179,384 | 2,384 | |||||||||||||||||||||||
UBS AG | Brazilian Real | 678,109 | Buy | 01/05/16 | 178,000 | 171,340 | (6,660 | ) | ||||||||||||||||||||||
UBS AG | Russian Ruble | 9,585,931 | Buy | 02/11/16 | 135,926 | 129,941 | (5,985 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 343,414 | Buy | 03/16/16 | 375,897 | 373,903 | (1,994 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 162,000 | Buy | 03/16/16 | 699,351 | 697,704 | (1,647 | ) | ||||||||||||||||||||||
UBS AG | Swedish Krona | 1,485,376 | Buy | 03/16/16 | 160,000 | 162,129 | 2,129 | |||||||||||||||||||||||
UBS AG | Australian Dollar | 148,080 | Buy | 03/16/16 | 105,739 | 107,516 | 1,777 | |||||||||||||||||||||||
UBS AG | Swedish Krona | 2,735,363 | Buy | 03/16/16 | 295,759 | 298,466 | 2,707 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
UBS AG | Japanese Yen | 21,780,912 | Buy | 03/16/16 | 177,000 | 181,532 | $ | 4,532 | ||||||||||||||||||||||
UBS AG | EU Euro | 73,778 | Buy | 03/16/16 | 78,175 | 80,328 | 2,153 | |||||||||||||||||||||||
UBS AG | Mexican Peso | 13,812,954 | Buy | 03/16/16 | 831,880 | 797,272 | (34,608 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 293,018 | Buy | 03/16/16 | 207,050 | 220,812 | 13,762 | |||||||||||||||||||||||
Westpac | Australian Dollar | 490,000 | Buy | 03/16/16 | 352,707 | 355,772 | 3,065 | |||||||||||||||||||||||
$ | (301,983 | ) | ||||||||||||||||||||||||||||
Bank of America | Chinese Offshore Yuan | 1,167,507 | Sell | 03/16/16 | 177,000 | 175,861 | $ | 1,139 | ||||||||||||||||||||||
Bank of America | South Korean Won | 408,817,620 | Sell | 01/14/16 | 344,703 | 348,291 | (3,588 | ) | ||||||||||||||||||||||
Bank of America | Taiwan New Dollar | 5,842,770 | Sell | 01/11/16 | 177,000 | 177,655 | (655 | ) | ||||||||||||||||||||||
Bank of America | Brazilian Real | 696,668 | Sell | 01/05/16 | 179,000 | 176,029 | 2,971 | |||||||||||||||||||||||
Bank of America | Taiwan New Dollar | 12,112,344 | Sell | 01/19/16 | 369,290 | 367,757 | 1,533 | |||||||||||||||||||||||
Bank of America | Brazilian Real | 669,565 | Sell | 01/05/16 | 178,000 | 169,181 | 8,819 | |||||||||||||||||||||||
Bank of America | Swedish Krona | 823,292 | Sell | 03/16/16 | 97,631 | 97,736 | (105 | ) | ||||||||||||||||||||||
Bank of America | Canadian Dollar | 489,557 | Sell | 03/16/16 | 350,000 | 353,872 | (3,872 | ) | ||||||||||||||||||||||
Bank of America | Australian Dollar | 243,000 | Sell | 03/16/16 | 176,142 | 176,434 | (292 | ) | ||||||||||||||||||||||
Bank of America | Singapore Dollar | 747,477 | Sell | 03/16/16 | 529,169 | 525,908 | 3,261 | |||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 4,065,346 | Sell | 09/01/16 | 610,412 | 603,559 | 6,853 | |||||||||||||||||||||||
Barclays Bank PLC | Indonesian Rupiah | 2,447,202,000 | Sell | 02/17/16 | 169,709 | 174,324 | (4,615 | ) | ||||||||||||||||||||||
Barclays Bank PLC | New Zealand Dollar | 103,681 | Sell | 03/16/16 | 69,575 | 70,597 | (1,022 | ) | ||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 2,743,028 | Sell | 03/16/16 | 177,000 | 174,983 | 2,017 | |||||||||||||||||||||||
Barclays Bank PLC | Israeli New Shekel | 1,028,834 | Sell | 03/16/16 | 266,738 | 264,815 | 1,923 | |||||||||||||||||||||||
Barclays Bank PLC | Turkish Lira | 1,925,809 | Sell | 03/16/16 | 642,579 | 646,915 | (4,336 | ) | ||||||||||||||||||||||
Barclays Bank PLC | New Zealand Dollar | 106,211 | Sell | 03/16/16 | 70,453 | 72,320 | (1,867 | ) | ||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 83,977 | Sell | 03/16/16 | 91,589 | 91,433 | 156 | |||||||||||||||||||||||
BNP Paribas Bank | South Korean Won | 594,706,530 | Sell | 01/14/16 | 511,844 | 506,659 | 5,185 | |||||||||||||||||||||||
BNP Paribas Bank | Taiwan New Dollar | 8,217,511 | Sell | 01/08/16 | 253,041 | 249,995 | 3,046 | |||||||||||||||||||||||
BNP Paribas Bank | Taiwan New Dollar | 8,277,380 | Sell | 01/29/16 | 254,141 | 250,866 | 3,275 | |||||||||||||||||||||||
BNP Paribas Bank | Malaysian Ringgit | 758,547 | Sell | 01/08/16 | 176,378 | 176,551 | (173 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Japanese Yen | 10,033,007 | Sell | 03/16/16 | 83,408 | 83,619 | (211 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Japanese Yen | 41,932,664 | Sell | 03/16/16 | 349,000 | 349,486 | (486 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Japanese Yen | 42,854,240 | Sell | 03/16/16 | 352,000 | 357,167 | (5,167 | ) | ||||||||||||||||||||||
BNP Paribas Bank | New Zealand Dollar | 134,908 | Sell | 03/16/16 | 91,118 | 91,859 | (741 | ) | ||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 141,531 | Sell | 03/16/16 | 155,084 | 154,096 | 988 | |||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 149,215 | Sell | 03/16/16 | 162,401 | 162,463 | (62 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Australian Dollar | 136,648 | Sell | 03/16/16 | 99,625 | 99,215 | 410 | |||||||||||||||||||||||
BNP Paribas Bank | United Arab Emirates Dirham | 466,325 | Sell | 12/07/16 | 126,305 | 126,511 | (206 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chinese Offshore Yuan | 3,494,187 | Sell | 03/16/16 | 531,000 | 526,328 | 4,672 | |||||||||||||||||||||||
Citigroup, Inc. | South Korean Won | 308,267,206 | Sell | 01/15/16 | 271,709 | 262,600 | 9,109 | |||||||||||||||||||||||
Citigroup, Inc. | United Arab Emirates Dirham | 2,359,360 | Sell | 08/11/16 | 640,000 | 640,968 | (968 | ) | ||||||||||||||||||||||
Citigroup, Inc. | United Arab Emirates Dirham | 2,697,054 | Sell | 08/11/16 | 732,000 | 732,710 | (710 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Chinese Offshore Yuan | 1,204,710 | Sell | 09/01/16 | 184,226 | 178,856 | 5,370 | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 102,442 | Sell | 01/13/16 | 153,201 | 151,024 | 2,177 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 4,167,489 | Sell | 02/10/16 | 4,526,351 | 4,533,307 | (6,956 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 3,976,160 | Sell | 02/05/16 | 232,593 | 230,161 | 2,432 | |||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 245,059 | Sell | 03/16/16 | 176,000 | 177,139 | (1,139 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 3,129,816 | Sell | 03/16/16 | 3,453,142 | 3,407,694 | 45,448 | |||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 40,501,747 | Sell | 03/16/16 | 335,026 | 337,561 | (2,535 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Swedish Krona | 955,692 | Sell | 03/16/16 | 113,213 | 113,454 | (241 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Australian Dollar | 246,000 | Sell | 03/16/16 | 176,210 | 178,612 | (2,402 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Australian Dollar | 146,331 | Sell | 03/16/16 | 106,602 | 106,246 | 356 | |||||||||||||||||||||||
Citigroup, Inc. | New Zealand Dollar | 150,491 | Sell | 03/16/16 | 99,625 | 102,470 | (2,845 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 12,417,577 | Sell | 01/14/16 | 177,000 | 169,626 | 7,374 | |||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 11,932,355 | Sell | 01/12/16 | 178,000 | 163,089 | 14,911 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse Group AG | Swedish Krona | 696,753 | Sell | 03/16/16 | 83,709 | 82,714 | $ | 995 | ||||||||||||||||||||||
Credit Suisse Group AG | Japanese Yen | 10,108,031 | Sell | 03/16/16 | 83,720 | 84,245 | (525 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | New Zealand Dollar | 154,198 | Sell | 03/16/16 | 104,400 | 104,994 | (594 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | EU Euro | 167,972 | Sell | 03/16/16 | 183,037 | 182,885 | 152 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 645,023,777 | Sell | 01/08/16 | 548,024 | 549,873 | (1,849 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 685,389 | Sell | 01/05/16 | 178,000 | 173,179 | 4,821 | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 484,086,142 | Sell | 01/21/16 | 144,613 | 152,221 | (7,608 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chilean Peso | 100,039,500 | Sell | 01/12/16 | 141,000 | 141,049 | (49 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Malaysian Ringgit | 758,547 | Sell | 01/04/16 | 178,000 | 176,673 | 1,327 | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 2,111,122,711 | Sell | 01/04/16 | 151,834 | 153,146 | (1,312 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Taiwan New Dollar | 12,766,823 | Sell | 01/21/16 | 389,767 | 387,488 | 2,279 | |||||||||||||||||||||||
Deutsche Bank AG | Swedish Krona | 798,000 | Sell | 01/15/16 | 91,876 | 94,566 | (2,690 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 1,283,044 | Sell | 02/02/16 | 333,883 | 320,895 | 12,988 | |||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 122,163 | Sell | 03/16/16 | 83,313 | 83,182 | 131 | |||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 21,681,969 | Sell | 03/16/16 | 177,000 | 180,708 | (3,708 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 747,530 | Sell | 03/16/16 | 527,917 | 525,945 | 1,972 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,204,455 | Sell | 09/01/16 | 183,000 | 178,819 | 4,181 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 3,785,116 | Sell | 09/01/16 | 568,506 | 561,955 | 6,551 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 3,612,420 | Sell | 09/01/16 | 549,000 | 536,316 | 12,684 | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 2,353,457,400 | Sell | 01/11/16 | 169,680 | 170,179 | (499 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,165,103 | Sell | 03/16/16 | 177,000 | 175,499 | 1,501 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,155,810 | Sell | 03/16/16 | 177,000 | 174,099 | 2,901 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Offshore Yuan | 1,166,642 | Sell | 03/16/16 | 177,000 | 175,731 | 1,269 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Offshore Yuan | 1,155,042 | Sell | 09/01/16 | 179,000 | 171,483 | 7,517 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Offshore Yuan | 2,406,368 | Sell | 09/01/16 | 366,000 | 357,260 | 8,740 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 37,532,835 | Sell | 01/19/16 | 527,000 | 511,982 | 15,018 | |||||||||||||||||||||||
JPMorgan Chase & Co. | South Korean Won | 362,799,493 | Sell | 01/15/16 | 312,850 | 309,054 | 3,796 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Indonesian Rupiah | 2,419,405,000 | Sell | 01/22/16 | 171,285 | 174,061 | (2,776 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Taiwan New Dollar | 11,451,753 | Sell | 02/04/16 | 350,099 | 346,774 | 3,325 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Indonesian Rupiah | 3,411,652,937 | Sell | 02/19/16 | 237,332 | 242,872 | (5,540 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Australian Dollar | 133,326 | Sell | 03/16/16 | 97,212 | 96,803 | 409 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 9,515,203 | Sell | 03/16/16 | 77,728 | 79,304 | (1,576 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Canadian Dollar | 169,712 | Sell | 03/16/16 | 125,161 | 122,675 | 2,486 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Swedish Krona | 963,118 | Sell | 03/16/16 | 113,360 | 114,336 | (976 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 71,639 | Sell | 03/16/16 | 107,533 | 105,624 | 1,909 | |||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 693,477 | Sell | 01/05/16 | 174,856 | 175,223 | (367 | ) | ||||||||||||||||||||||
Morgan Stanley | Russian Ruble | 12,435,755 | Sell | 01/12/16 | 177,000 | 169,970 | 7,030 | |||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 671,767 | Sell | 01/05/16 | 178,000 | 169,737 | 8,263 | |||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 680,802 | Sell | 01/05/16 | 178,000 | 172,020 | 5,980 | |||||||||||||||||||||||
Morgan Stanley | Indonesian Rupiah | 2,344,115,400 | Sell | 01/19/16 | 168,133 | 168,877 | (744 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 1,411,900 | Sell | 02/02/16 | 350,000 | 353,122 | (3,122 | ) | ||||||||||||||||||||||
Morgan Stanley | Australian Dollar | 245,865 | Sell | 03/16/16 | 175,034 | 178,514 | (3,480 | ) | ||||||||||||||||||||||
Morgan Stanley | Mexican Peso | 3,005,024 | Sell | 03/16/16 | 176,000 | 173,448 | 2,552 | |||||||||||||||||||||||
Morgan Stanley | New Zealand Dollar | 252,663 | Sell | 03/16/16 | 168,958 | 172,040 | (3,082 | ) | ||||||||||||||||||||||
Morgan Stanley | New Zealand Dollar | 150,522 | Sell | 03/16/16 | 99,495 | 102,491 | (2,996 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 688,244 | Sell | 01/05/16 | 176,000 | 173,901 | 2,099 | |||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 1,374,989 | Sell | 02/02/16 | 341,434 | 343,891 | (2,457 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 238,652 | Sell | 03/16/16 | 177,000 | 172,508 | 4,492 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Chilean Peso | 153,042,983 | Sell | 01/15/16 | 215,826 | 215,702 | 124 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Colombian Peso | 584,893,408 | Sell | 01/19/16 | 176,000 | 183,958 | (7,958 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Chilean Peso | 148,777,022 | Sell | 01/11/16 | 211,426 | 209,791 | 1,635 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The Royal Bank of Scotland Group PLC | Mexican Peso | 3,024,227 | Sell | 03/16/16 | 176,000 | 174,556 | $ | 1,444 | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 171,935 | Sell | 03/16/16 | 26,145 | 25,898 | 247 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,311,808 | Sell | 09/01/16 | 358,000 | 343,221 | 14,779 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,248,027 | Sell | 09/01/16 | 347,000 | 333,752 | 13,248 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 1,219,055 | Sell | 09/01/16 | 183,000 | 180,986 | 2,014 | |||||||||||||||||||||||
Standard Chartered PLC | United Arab Emirates Dirham | 1,238,373 | Sell | 12/07/16 | 335,103 | 335,963 | (860 | ) | ||||||||||||||||||||||
State Street | Australian Dollar | 105,588 | Sell | 03/16/16 | 76,512 | 76,664 | (152 | ) | ||||||||||||||||||||||
State Street | Swedish Krona | 589,557 | Sell | 03/16/16 | 70,263 | 69,988 | 275 | |||||||||||||||||||||||
State Street | Australian Dollar | 732,000 | Sell | 03/16/16 | 526,670 | 531,479 | (4,809 | ) | ||||||||||||||||||||||
State Street | New Zealand Dollar | 261,000 | Sell | 03/16/16 | 175,191 | 177,716 | (2,525 | ) | ||||||||||||||||||||||
State Street | New Zealand Dollar | 262,000 | Sell | 03/16/16 | 175,645 | 178,397 | (2,752 | ) | ||||||||||||||||||||||
State Street | Japanese Yen | 9,558,836 | Sell | 03/16/16 | 77,847 | 79,668 | (1,821 | ) | ||||||||||||||||||||||
State Street | New Zealand Dollar | 149,582 | Sell | 03/16/16 | 98,792 | 101,852 | (3,060 | ) | ||||||||||||||||||||||
UBS AG | Russian Ruble | 9,585,931 | Sell | 01/12/16 | 137,014 | 131,019 | 5,995 | |||||||||||||||||||||||
UBS AG | Indonesian Rupiah | 2,111,122,711 | Sell | 01/19/16 | 153,369 | 152,092 | 1,277 | |||||||||||||||||||||||
UBS AG | Indonesian Rupiah | 2,508,681,181 | Sell | 01/08/16 | 178,872 | 181,653 | (2,781 | ) | ||||||||||||||||||||||
UBS AG | Taiwan New Dollar | 5,814,160 | Sell | 01/21/16 | 176,000 | 176,467 | (467 | ) | ||||||||||||||||||||||
UBS AG | South Korean Won | 589,502,659 | Sell | 01/22/16 | 502,453 | 501,804 | 649 | |||||||||||||||||||||||
UBS AG | New Zealand Dollar | 137,071 | Sell | 03/16/16 | 91,711 | 93,333 | (1,622 | ) | ||||||||||||||||||||||
UBS AG | Japanese Yen | 72,936,469 | Sell | 03/16/16 | 592,965 | 607,886 | (14,921 | ) | ||||||||||||||||||||||
UBS AG | Australian Dollar | 488,000 | Sell | 03/16/16 | 355,179 | 354,320 | 859 | |||||||||||||||||||||||
UBS AG | New Zealand Dollar | 182,679 | Sell | 03/16/16 | 120,608 | 124,387 | (3,779 | ) | ||||||||||||||||||||||
Westpac | Taiwan New Dollar | 5,688,240 | Sell | 01/08/16 | 175,341 | 173,049 | 2,292 | |||||||||||||||||||||||
Westpac | South Korean Won | 308,337,828 | Sell | 01/15/16 | 271,790 | 262,660 | 9,130 | |||||||||||||||||||||||
Westpac | Chinese Offshore Yuan | 2,402,744 | Sell | 09/01/16 | 366,000 | 356,722 | 9,278 | |||||||||||||||||||||||
Westpac | EU Euro | 856,000 | Sell | 02/10/16 | 939,023 | 931,139 | 7,884 | |||||||||||||||||||||||
Westpac | British Pound | 116,000 | Sell | 01/13/16 | 175,506 | 171,012 | 4,494 | |||||||||||||||||||||||
Westpac | Taiwan New Dollar | 2,682,526 | Sell | 02/04/16 | 81,532 | 81,230 | 302 | |||||||||||||||||||||||
$ | 198,068 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Australia 10-Year Bond | 17 | 03/15/16 | $ | 1,571,926 | $ | 3,194 | ||||||||||||
Australia 3-Year Bond | 172 | 03/15/16 | 13,970,860 | 41,875 | ||||||||||||||
Euro-Bobl 5-Year | 27 | 03/08/16 | 3,834,172 | (1,047 | ) | |||||||||||||
Long-Term Euro-BTP | 27 | 03/08/16 | 4,046,904 | 25,283 | ||||||||||||||
U.S. Treasury 2-Year Note | 89 | 03/31/16 | 19,333,860 | (31,993 | ) | |||||||||||||
U.S. Treasury 5-Year Note | 169 | 03/31/16 | 19,996,132 | (38,754 | ) | |||||||||||||
U.S. Treasury Ultra Long Bond | 7 | 03/21/16 | 1,110,813 | (7,012 | ) | |||||||||||||
$ | 63,864,667 | $ | (8,454 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
Euro-Bund | (17 | ) | 03/08/16 | (2,917,548 | ) | (10,585 | ) | |||||||||||
U.S. Treasury 10-Year Note | (30 | ) | 03/21/16 | (3,777,187 | ) | 7,471 | ||||||||||||
U.S. Treasury Long Bond | (33 | ) | 03/21/16 | (5,073,750 | ) | 13,173 | ||||||||||||
$ | (11,768,485 | ) | $ | 10,059 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Reference Entity/Obligation | | Buy/Sell Protection | | (Pay)/ Receive Fixed Rate (%) | | Clearinghouse | | Termination Date | | Notional Amount(2) | | Fair Value(3) | | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX North American High Yield Index Series 25, Version 1 | Buy | 1.000 | Intercontinental Exchange | 12/20/20 | USD 3,600,000 | $ | (43,279 | ) | $ | (62,530 | ) | |||||||||||||||||||
$ | (43,279 | ) | $ | (62,530 | ) |
Reference Entity/Obligation | | Buy/Sell Protection | | (Pay)/ Receive Fixed Rate (%) | | Clearinghouse | | Termination Date | | Notional Amount(2) | | Fair Value(3) | | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX North American Investment Grade Index Series 25, Version 1 | Sell | 1.000 | Intercontinental Exchange | 12/20/20 | USD 5,450,000 | 29,773 | 12,358 | |||||||||||||||||||||||
29,773 | $ | 12,358 |
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) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 6, AAA rated | Sell | 0.500 | 05/11/63 | USD 100,000 | $ | (2,309 | ) | $ | (2,491 | ) | $ | 182 | |||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,524 | ) | (3,596 | ) | 72 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | (7,049 | ) | (7,277 | ) | 228 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | (7,049 | ) | (7,493 | ) | 444 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | (7,049 | ) | (7,564 | ) | 515 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,524 | ) | (3,560 | ) | 36 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 300,000 | (10,573 | ) | (10,736 | ) | 163 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,524 | ) | (3,663 | ) | 139 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,524 | ) | (3,817 | ) | 293 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,524 | ) | (3,668 | ) | 144 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | (7,049 | ) | (7,720 | ) | 671 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,525 | ) | (3,809 | ) | 284 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
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) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | $ | (7,049 | ) | $ | (7,327 | ) | $ | 278 | |||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | (7,049 | ) | (7,193 | ) | 144 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 100,000 | (3,525 | ) | (3,737 | ) | 212 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 7, AAA rated | Sell | 0.500 | 01/17/47 | USD 200,000 | (7,049 | ) | (7,720 | ) | 671 | ||||||||||||||||||||||||
Barclays Bank PLC | Commercial Mortgage-Backed North American Index Series 8, AAA rated | Sell | 0.500 | 10/17/57 | USD 400,000 | (19,314 | ) | (16,011 | ) | (3,303 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 8, AAA rated | Sell | 0.500 | 10/17/57 | USD 100,000 | (4,828 | ) | (5,002 | ) | 174 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 8, AAA rated | Sell | 0.500 | 10/17/57 | USD 300,000 | (14,485 | ) | (14,772 | ) | 287 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 8, AAA rated | Sell | 0.500 | 10/17/57 | USD 200,000 | (9,657 | ) | (10,090 | ) | 433 | ||||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 8, AAA rated | Sell | 0.500 | 10/17/57 | USD 100,000 | (4,828 | ) | (4,002 | ) | (826 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Commercial Mortgage-Backed North American Index Series 8, AAA rated | Sell | 0.500 | 10/17/57 | USD 600,000 | (28,970 | ) | (26,818 | ) | (2,152 | ) | |||||||||||||||||||||||
$ | (168,977 | ) | $ | (168,066 | ) | $ | (911 | ) |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the 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. |
(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. |
(4) | 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 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. |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 2.500% and pay a floating rate based on the 6-month AUD-BBR-BBSW | LCH.Clearnet | 03/16/21 | AUD 2,600,000 | $ | (11,774 | ) | $ | (2,152 | ) | |||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 6-month AUD-BBR-BBSW | LCH.Clearnet | 03/16/26 | AUD 3,500,000 | (17,889 | ) | 10,176 | ||||||||||||||||
Receive a fixed rate equal to 1.250% and pay a floating rate based on the 6-month CAD-BA-CDOR | LCH.Clearnet | 03/16/18 | CAD 4,540,000 | 26,076 | 3,571 | |||||||||||||||||
Receive a fixed rate equal to 1.750% and pay a floating rate based on the 6-month CAD-BA-CDOR | LCH.Clearnet | 03/16/21 | CAD 6,040,000 | 112,459 | 25,124 | |||||||||||||||||
Receive a fixed rate equal to 0.250% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 03/16/19 | EUR 4,940,000 | 33,398 | 3,313 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 0.500% | LCH.Clearnet | 03/16/21 | EUR 5,070,000 | (35,113 | ) | 17,029 | ||||||||||||||||
Receive a fixed rate equal to 1.568% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | Chicago Mercantile Exchange | 05/11/25 | EUR 15,510,000 | 16,142 | 31,123 | |||||||||||||||||
Receive a fixed rate equal to 2.000% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 09/16/25 | EUR 5,480,000 | 105,015 | 48,474 | |||||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/16/25 | EUR 3,620,000 | (36,306 | ) | (394 | ) | |||||||||||||||
Receive a fixed rate equal to 1.000% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 03/16/26 | EUR 14,460,000 | (66,695 | ) | (141,814 | ) | |||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 03/17/26 | EUR 4,850,000 | (62,580 | ) | (24,589 | ) | |||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.695% | Chicago Mercantile Exchange | 05/11/35 | EUR 5,850,000 | 246,826 | 75,285 | |||||||||||||||||
Receive a fixed rate equal to 2.250% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/17/35 | EUR 690,000 | (217 | ) | (5,081 | ) | |||||||||||||||
Receive a fixed rate equal to 1.750% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/19/45 | EUR 500,000 | 794 | 532 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 0.845% | LCH.Clearnet | 01/04/18 | GBP 1,490,000 | 5,880 | 2,031 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 1.500% | LCH.Clearnet | 03/16/18 | GBP 6,310,000 | (58,038 | ) | 16,565 | ||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 1.940% | LCH.Clearnet | 12/11/22 | GBP 800,000 | 7,786 | 3,460 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.750% | LCH.Clearnet | 09/16/25 | GBP 4,030,000 | (86,384 | ) | (44,966 | ) | |||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 03/16/26 | GBP 910,000 | (26,351 | ) | 14,172 | ||||||||||||||||
Receive a fixed rate equal to 2.190% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 12/11/27 | GBP 1,400,000 | (20,564 | ) | (6,194 | ) | |||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 12/11/32 | GBP 710,000 | 14,693 | 3,398 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.500% | LCH.Clearnet | 12/17/35 | GBP 160,000 | (791 | ) | 3,964 | ||||||||||||||||
Receive a fixed rate equal to 2.500% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 12/17/35 | GBP 170,000 | 840 | (580 | ) | ||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 03/16/46 | GBP 2,680,000 | (74,195 | ) | 124,904 | ||||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 1.000% | LCH.Clearnet | 12/16/25 | JPY 900,290,000 | (119,772 | ) | (47,194 | ) | |||||||||||||||
Receive a fixed rate equal to 0.500% and pay a floating rate based on the 6-month JPY-LIBOR-BBA | LCH.Clearnet | 03/16/26 | JPY 454,830,000 | 22,335 | 16,888 | |||||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 2.000% | LCH.Clearnet | 12/19/45 | JPY 75,280,000 | (12,105 | ) | 450 | ||||||||||||||||
Receive a fixed rate equal to 3.911% and pay a floating rate based on the 28-day MXN TIIE-BANXICO | Chicago Mercantile Exchange | 11/07/16 | MXN 14,290,000 | $ | 235 | $ | 252 | |||||||||||||||
Receive a fixed rate equal to 3.920% and pay a floating rate based on the 28-day MXN TIIE-BANXICO | Chicago Mercantile Exchange | 11/08/16 | MXN 6,070,000 | 126 | 134 | |||||||||||||||||
Receive a fixed rate equal to 3.900% and pay a floating rate based on the 28-day MXN TIIE-BANXICO | Chicago Mercantile Exchange | 11/09/16 | MXN 12,290,000 | 129 | 141 | |||||||||||||||||
Receive a floating rate based on the 3-month NZD-BBR-FRA and pay a fixed rate equal to 3.500% | LCH.Clearnet | 03/16/26 | NZD 1,290,000 | 22,468 | 11,075 | |||||||||||||||||
Receive a fixed rate equal to 0.500% and pay a floating rate based on the 3-month SEK-STIBOR-SIDE | LCH.Clearnet | 03/16/18 | SEK 93,440,000 | 22,112 | (19,279 | ) | ||||||||||||||||
Receive a floating rate based on the 3-month SEK-STIBOR-SIDE and pay a fixed rate equal to 0.750% | LCH.Clearnet | 03/16/21 | SEK 31,250,000 | 11,279 | 23,537 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 3-month SEK-STIBOR-SIDE and pay a fixed rate equal to 1.500% | LCH.Clearnet | 03/16/26 | SEK 21,240,000 | 46,681 | 24,611 | |||||||||||||||||
Receive a fixed rate equal to 2.750% and pay a floating rate based on the 3-month SEK-STIBOR-SIDE | LCH.Clearnet | 12/15/26 | SEK 6,960,000 | (1,641 | ) | (1,149 | ) | |||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 03/16/18 | USD 2,890,000 | 11,962 | (5,460 | ) | ||||||||||||||||
Receive a fixed rate equal to 2.923% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 06/24/21 | USD 16,800,000 | 203,378 | 210,845 | |||||||||||||||||
Receive a fixed rate equal to 2.810% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 09/02/22 | USD 24,500,000 | 131,438 | 79,303 | |||||||||||||||||
Receive a floating rate based on the 3-month USB-LIBOR-BBA and pay a fixed rate equal to 3.000% | LCH.Clearnet | 12/16/25 | USD 2,170,000 | (29,519 | ) | (6,719 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USB-LIBOR-BBA and pay a fixed rate equal to 2.500% | LCH.Clearnet | 03/16/26 | USD 5,480,000 | (136,286 | ) | 17,232 | ||||||||||||||||
Receive a floating rate based on the 3-month USB-LIBOR-BBA and pay a fixed rate equal to 2.500% | LCH.Clearnet | 03/17/26 | USD 5,310,000 | 49,080 | 543 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.218% | LCH.Clearnet | 06/24/29 | USD 4,300,000 | (187,587 | ) | (204,406 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USB-LIBOR-BBA and pay a fixed rate equal to 3.005% | LCH.Clearnet | 09/02/30 | USD 5,750,000 | (95,112 | ) | (73,662 | ) | |||||||||||||||
Receive a fixed rate equal to 2.750% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 12/19/45 | USD 550,000 | (4,142 | ) | (1,810 | ) | |||||||||||||||
$ | 8,071 | $ | 182,683 |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 15.697% and pay a floating rate based on the Brazil Cetip Interbank Deposte Rate Annualized (BRL-CDI) Counterparty: Deutsche Bank AG | 01/02/17 | BRL 2,810,000 | $972 | $ | — | $ | 972 | |||||||||||||||
$972 | $ | — | $ | 972 |
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 | $ | 503,414 | |||||||
Interest rate contracts | Net Assets — Unrealized appreciation* | 90,996 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation** | 12,358 | ||||||||
Asset Derivatives (continued) | ||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | $ | 768,132 | |||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 5,370 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 972 | ||||||||
Total Asset Derivatives | $ | 1,381,242 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 607,329 | |||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | 89,391 | ||||||||
Credit contracts | Net Assets — Unrealized depreciation** | 62,530 | ||||||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 585,449 | ||||||||
Credit contracts | Upfront payments received on OTC swap agreements | 168,066 | ||||||||
Credit contracts | Unrealized depreciation on OTC swap agreements | 6,281 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Total Liability Derivatives | $ | 1,519,046 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
** | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Summary Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
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 | $ | — | $ | — | $ | 17,729 | $ | 17,729 | |||||||||||
Foreign exchange contracts | 624,714 | — | — | 624,714 | |||||||||||||||
Interest rate contracts | — | 691,157 | 783,362 | 1,474,519 | |||||||||||||||
Total | $ | 624,714 | $ | 691,157 | $ | 801,091 | $ | 2,116,962 | |||||||||||
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 | $ | — | $ | — | $ | (51,083 | ) | $ | (51,083 | ) | |||||||||
Foreign exchange contracts | (103,915 | ) | — | — | (103,915 | ) | |||||||||||||
Interest rate contracts | — | 1,605 | 183,655 | 185,260 | |||||||||||||||
Total | $ | (103,915 | ) | $ | 1,605 | $ | 132,572 | $ | 30,262 |
* | 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. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2015 (CONTINUED) |
Bank of America | Barclays Bank PLC | BNP Paribas Bank | Citigroup, Inc. | Credit Suisse Group AG | Deutsche Bank AG | JPMorgan Chase & Co. | Morgan Stanley | Standard Chartered Bank PLC | State Street Bank | The Royal Bank of Canada | The Royal Bank of Scotland Group PLC | UBS AG | Westpac | Totals | |||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 27,959 | $ | 10,949 | $ | 22,242 | $ | 114,855 | $ | 32,142 | $ | 62,394 | $ | 52,991 | $ | 24,636 | $ | 36,148 | $ | 16,303 | $ | 9,501 | $ | 17,423 | $ | 39,426 | $ | 36,445 | $ | 503,414 | |||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | — | — | — | 972 | — | — | — | — | — | — | — | — | 972 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 27,959 | $ | 10,949 | $ | 22,242 | $ | 114,855 | $ | 32,142 | $ | 63,366 | $ | 52,991 | $ | 24,636 | $ | 36,148 | $ | 16,303 | $ | 9,501 | $ | 17,423 | $ | 39,426 | $ | 36,445 | $ | 504,386 | |||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 15,756 | $ | 19,554 | $ | 10,887 | $ | 93,506 | $ | 18,360 | $ | 23,971 | $ | 92,708 | $ | 81,022 | $ | 27,148 | $ | 41,877 | $ | 34,513 | $ | 36,814 | $ | 111,213 | $ | — | $ | 607,329 | |||||||||||||||||||||||||||||||||
OTC credit default swaps | — | 42,292 | — | — | 126,685 | — | — | — | — | — | — | — | — | — | 168,977 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 15,756 | $ | 61,846 | $ | 10,887 | $ | 93,506 | $ | 145,045 | $ | 23,971 | $ | 92,708 | $ | 81,022 | $ | 27,148 | $ | 41,877 | $ | 34,513 | $ | 36,814 | $ | 111,213 | $ | — | $ | 776,306 | |||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | 12,203 | $ | (50,897 | ) | $ | 11,355 | $ | 21,349 | $ | (112,903 | ) | $ | 39,395 | $ | (39,717 | ) | $ | (56,386 | ) | $ | 9,000 | $ | (25,574 | ) | $ | (25,012 | ) | $ | (19,391 | ) | $ | (71,787 | ) | $ | 36,445 | $ | (271,920 | ) | ||||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||||||||
Net Exposure(1) | $ | 12,203 | $ | (50,897 | ) | $ | 11,355 | $ | 21,349 | $ | (112,903 | ) | $ | 39,395 | $ | (39,717 | ) | $ | (56,386 | ) | $ | 9,000 | $ | (25,574 | ) | $ | (25,012 | ) | $ | (19,391 | ) | $ | (71,787 | ) | $ | 36,445 | $ | (271,920 | ) |
(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. |
Portfolio Name | Type | Per Share Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||
Class ADV | NII | $ | 0.0942 | |||||||
Class I | NII | $ | 0.0834 | |||||||
Class S | NII | $ | 0.0884 | |||||||
Class ADV | ROC | $ | 0.0031 | |||||||
Class I | ROC | $ | 0.0465 | |||||||
Class S | ROC | $ | 0.0281 |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees*: | ||||||||||||||||||||||
Colleen D. Baldwin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Trustee | November 2007–Present | President, Glantuam Partners, LLC, a business consulting firm (January 2009–Present). | 151 | DSM/Dentaquest, Boston, MA (February 2014–Present). | |||||||||||||||||
John V. Boyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Chairperson Trustee | January 2014–Present January 2005–Present | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–Present). | 151 | None. | |||||||||||||||||
Patricia W. Chadwick 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Trustee | January 2006–Present | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | 151 | Wisconsin Energy Corporation (June 2006–Present); The Royce Funds (35 funds) (December 2009–Present); and AMICA Mutual Insurance Company (1992–Present). | |||||||||||||||||
Peter S. Drotch 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 74 | Trustee | November 2007–Present | Retired. | 151 | First Marblehead Corporation (September 2003–Present). | |||||||||||||||||
Martin J. Gavin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, AZ 85258-2034 Age: 65 | Trustee | August 2015–Present | Retired. Formerly, President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006–November 2015). | 151 | None. | |||||||||||||||||
Russell H. Jones 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 71 | Trustee | May 2013–Present | Retired. | 151 | None. | |||||||||||||||||
Patrick W. Kenny 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 73 | Trustee | January 2005–Present | Retired. | 151 | Assured Guaranty Ltd. (April 2004–Present). | |||||||||||||||||
Joseph E. Obermeyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 58 | Trustee | May 2013–Present | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). | 151 | None. | |||||||||||||||||
Sheryl K. Pressler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 65 | Trustee | January 2006–Present | Consultant (May 2001–Present). | 151 | None. | |||||||||||||||||
Christopher P. Sullivan 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Trustee | October 2015–Present | Retired. Formerly, President, Bond Division, Fidelity Management and Research (June 2009–September 2012). | 151 | None. |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Roger B. Vincent 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 70 | Trustee | VIT: January 1994–Present VVIT: February 2002–Present | Retired. Formerly, President, Springwell Corporation, a corporate finance firm (March 1989–August 2011). | 151 | UGI Corporation (February 2006–Present) and UGI Utilities, Inc. (February 2006–Present). | |||||||||||||||||
Trustee who is an “interested person”: | ||||||||||||||||||||||
Shaun P. Mathews (3) 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 60 | Trustee | November 2007–Present | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). | 151 | Voya Capital Corporation, LLC and Voya Investments Distributor, LLC (December 2005–Present); Voya Funds Services, LLC, Voya Investments, LLC and Voya Investment Management, LLC (March 2006–Present); and Voya Investment Trust Co. (April 2009–Present). |
(1) | Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). |
(2) | For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya International High Dividend Equity Income Fund; Voya Investors Trust; Voya Money Market Portfolio; Voya Mutual Funds; Voya Natural Resources Equity Income Fund; Voya Partners, Inc.; Voya Prime Rate Trust; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Series Fund, Inc.; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2016. |
(3) | Mr. Mathews is deemed to be an “interested person” of the Trust as defined in the 1940 Act, because of his current affiliation with the Voya funds, Voya Financial, Inc. or Voya Financial, Inc.’s affiliates. |
• | Effective December 31, 2015, Dr. Albert E. DePrince, Jr. retired as a Trustee of the Board. |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shaun P. Mathews 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 60 | President and Chief Executive Officer | November 2006–Present | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). | |||||||||||
Michael J. Roland 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Managing Director and Chief Operating Officer | April 2012–Present | Managing Director and Chief Operating Officer, Voya Investments, LLC and Voya Funds Services, LLC (April 2012–Present). Formerly, Chief Compliance Officer, Directed Services LLC and Voya Investments, LLC (March 2011–December 2013); Executive Vice President and Chief Operating Officer, Voya Investments, LLC and Voya Funds Services, LLC (January 2007–April 2012) and Chief Compliance Officer, Voya Family of Funds (March 2011–February 2012). | |||||||||||
Stanley D. Vyner 230 Park Avenue New York, New York 10169 Age: 65 | Executive Vice President Chief Investment Risk Officer | VIT: March 2003–Present VVIT: October 2000–Present September 2009–Present | Executive Vice President, Voya Investments, LLC (July 2000 Present) and Chief Investment Risk Officer, Voya Investments, LLC (January 2003–Present). | |||||||||||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Chief Compliance Officer | February 2012–Present | Senior Vice President, Voya Investments, LLC and Chief Compliance Officer, Voya Family of Funds (February 2012–Present). Formerly, Assistant General Counsel and Assistant Secretary, The Northwestern Mutual Life Insurance Company (June 2004–January 2012). | |||||||||||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | Senior Vice President, Voya Investments, LLC and Voya Funds Services, LLC (April 2005–Present). | |||||||||||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 51 | Senior Vice President | November 2003–Present | Senior Vice President, Voya Investments, LLC (September 2003–Present). | |||||||||||
Julius A. Drelick, III 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Senior Vice President | July 2012–Present | Senior Vice President and Chief Compliance Officer of Directed Services LLC and Voya Investments, LLC (January 2014–Present); and Senior Vice President — Fund Compliance, Voya Funds Services, LLC (June 2012–Present). Formerly, Vice President — Platform Product Management & Project Management, Voya Investments, LLC (April 2007–June 2012). | |||||||||||
Robert Terris 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Senior Vice President | May 2006–Present | Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (March 2006–Present). | |||||||||||
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Vice President and Treasurer | September 2012–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2012–Present). Formerly, Assistant Vice President–Director, Voya Funds Services, LLC (March 2003–March 2012). | |||||||||||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Vice President | September 2004–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (September 2004–Present). |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lauren D. Bensinger 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Vice President | February 2003–Present | Vice President, Voya Funds Services, LLC (February 1996–Present) and Voya Investments, LLC (October 2004–Present); Vice President and Money Laundering Reporting Officer, Voya Investments Distributor, LLC (April 2010–Present); Anti-Money Laundering Compliance Officer, Voya Financial, Inc. (January 2013–Present); and Money Laundering Reporting Officer, Voya Investment Management Trust Co. (October 2012–Present). | |||||||||||
Sara M. Donaldson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 56 | Vice President | September 2014–Present | Vice President, Voya Investments, LLC (October 2015–Present). Formerly Vice President, Voya Funds Services, LLC (April 2014–October 2015). Formerly, Director, Compliance, AXA Rosenberg Global Services, LLC (September 1997–March 2014). | |||||||||||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Vice President | VIT: November 1999–Present VVIT: October 2000–Present | Vice President, Voya Funds Services, LLC (November 1995 Present) and Voya Investments, LLC (August 1997 Present). Formerly, Treasurer, Voya Family of Funds (November 1999–February 2012). | |||||||||||
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 39 | Vice President | September 2012–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). | |||||||||||
Kimberly K. Springer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 58 | Vice President | March 2006–Present | Vice President — Mutual Fund Product Development, Voya Investments, LLC (July 2012–Present); Vice President, Voya Investment Management — Voya Family of Funds (March 2010–Present) and Vice President, Voya Funds Services, LLC (March 2006–Present). Formerly Managing Paralegal, Registration Statements (June 2003–July 2012). | |||||||||||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Vice President | May 2013–Present | Vice President — Director of Tax, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (March 2013–Present). Formerly, Assistant Vice President — Director of Tax, Voya Funds Services, LLC (March 2008–February 2013). | |||||||||||
Huey P. Falgout, Jr. 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 52 | Secretary | August 2003–Present | Senior Vice President and Chief Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). | |||||||||||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 64 | Assistant Secretary | June 2010–Present | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). | |||||||||||
Theresa K. Kelety 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 53 | Assistant Secretary | August 2003—Present | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010 Present). |
(1) | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
1475 Dunwoody Drive
West Chester, Pennsylvania 19380
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE voyainvestments.com | VPAR-VIT3AIS (1215-021916) |
Item 2. Code of Ethics.
As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code during the period covered by this report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Exhibit 99.CODE ETH.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Colleen D. Baldwin, Peter S. Drotch, Patrick W. Kenny, Joseph E. Obermeyer, and Roger B. Vincent are audit committee financial experts, as defined in Item 3 of Form N-CSR. Ms. Baldwin, Mr. Drotch, Mr. Kenny, Mr. Obermeyer and Mr. Vincent are “independent” for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP (“KPMG”), the principal accountant for the audit of the registrant’s annual financial statements, for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $13,027 for year ended December 31, 2015 and $0 for year ended December 31, 2014. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by KPMG that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $2,525 for year ended December 31, 2015 and $0 for year ended December 31, 2014. |
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by KPMG for tax compliance, tax advice, and tax planning were $4,590 in the year ended December 31, 2015 and $0 in the year ended December 31, 2014. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by KPMG, other than the services reported in paragraphs (a) through (c) of this Item were: None. |
(e) (1) | Audit Committee Pre-Approval Policies and Procedures |
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY
I. | Statement of Principles |
Under the Sarbanes-Oxley Act of 2002 (the “Act”), the Audit Committee of the Board of Directors or Trustees (the “Committee”) of the Voya funds (each a “Fund,” collectively, the “Funds”) set out on Exhibit A to this Audit and Non-Audit Services Pre-Approval Policy (“Policy”) is responsible for the oversight of the work of the Funds’ independent auditors. As part of its responsibilities, the Committee must pre-approve the audit and non-audit services performed by the auditors in order to assure that the provision of these services does not impair the auditors’ independence from the Funds. The Committee has adopted, and the Board has ratified, this Policy, which sets out the procedures and conditions under which the services of the independent auditors may be pre-approved.
Under Securities and Exchange Commission (“SEC”) rules promulgated in accordance with the Act, the Funds may establish two different approaches to pre-approving audit and non-audit services. The Committee may approve services without consideration of specific case-by-case services (“general pre-approval”) or it may pre-approve specific services (“specific pre-approval”). The Committee believes that the combination of these approaches contemplated in this Policy results in an effective and efficient method for pre-approving audit and non-audit services to be performed by the Funds’ independent auditors. Under this Policy, services that are not of a type that may receive general pre-approval require specific pre-approval by the Committee. Any proposed services that exceed pre-approved cost levels or budgeted amounts will also require the Committee’s specific pre-approval.
For both types of approval, the Committee considers whether the subject services are consistent with the SEC’s rules on auditor independence and that such services are compatible with maintaining the auditors independence. The Committee also considers whether a particular audit firm is in the best position to provide effective and efficient services to the Funds. Reasons that the auditors are in the best position include the auditors’ familiarity with the Funds’ business, personnel, culture, accounting systems, risk profile, and other factors, and whether the services will enhance the Funds’ ability to manage and control risk or improve audit quality. Such factors will be considered as a whole, with no one factor being determinative.
The appendices attached to this Policy describe the audit, audit-related, tax-related, and other services that have the Committee’s general pre-approval. For any service that has been approved through general pre-approval, the general pre-approval will remain in place for a period 12 months from the date of pre-approval, unless the Committee determines that a different period is appropriate. The Committee will annually review and pre-approve the services that may be provided by the independent auditors without specific pre-approval. The Committee will revise the list of services subject to general pre-approval as appropriate. This Policy does not serve as a delegation to Fund management of the Committee’s duty to pre-approve services performed by the Funds’ independent auditors.
II. | Audit Services |
The annual audit services engagement terms and fees are subject to the Committee’s specific pre-approval. Audit services are those services that are normally provided by auditors in connection with statutory and regulatory filings or engagements or those that generally only independent auditors can reasonably provide. They include the Funds’ annual financial statement audit and procedures that the independent auditors must perform in order to form an opinion on the Funds’ financial statements (e.g., information systems and procedural reviews and testing). The Committee will monitor the audit services engagement and approve any changes in terms, conditions or fees deemed by the Committee to be necessary or appropriate.
The Committee may grant general pre-approval to other audit services, such as statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or issued in connection with securities offerings.
The Committee has pre-approved the audit services listed on Appendix A. The Committee must specifically approve all audit services not listed on Appendix A.
III. | Audit-related Services |
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or the review of the Funds’ financial statements or are traditionally performed by the independent auditors. The Committee believes that the provision of audit-related services will not impair the independent auditors’ independence, and therefore may grant pre-approval to audit-related services. Audit-related services include accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures relating to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Form N-SAR or Form N-CSR.
The Committee has pre-approved the audit-related services listed on Appendix B. The Committee must specifically approve all audit-related services not listed on Appendix B.
IV. | Tax Services |
The Committee believes the independent auditors can provide tax services to the Funds, including tax compliance, tax planning, and tax advice, without compromising the auditors’ independence. Therefore, the Committee may grant general pre-approval with respect to tax services historically provided by the Funds’ independent auditors that do not, in the Committee’s view, impair auditor independence and that are consistent with the SEC’s rules on auditor independence.
The Committee will not grant pre-approval if the independent auditors initially recommends a transaction the sole business purpose of which is tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Committee may consult
outside counsel to determine that tax planning and reporting positions are consistent with this Policy.
The Committee has pre-approved the tax-related services listed on Appendix C. The Committee must specifically approve all tax-related services not listed on Appendix C.
V. | Other Services |
The Committee believes it may grant approval of non-audit services that are permissible services for independent auditors to a Fund. The Committee has determined to grant general pre-approval to other services that it believes are routine and recurring, do not impair auditor independence, and are consistent with SEC rules on auditor independence.
The Committee has pre-approved the non-audit services listed on Appendix D. The Committee must specifically approve all non-audit services not listed on Appendix D.
A list of the SEC’s prohibited non-audit services is attached to this Policy as Appendix E. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these impermissible services and the applicability of exceptions to certain of the SEC’s prohibitions.
VI. | Pre-approval of Fee levels and Budgeted Amounts |
The Committee will annually establish pre-approval fee levels or budgeted amounts for audit, audit-related, tax and non-audit services to be provided to the Funds by the independent auditors. Any proposed services exceeding these levels or amounts require the Committee’s specific pre-approval. The Committee considers fees for audit and non-audit services when deciding whether to pre-approve services. The Committee may determine, for a pre-approval period of 12 months, the appropriate ratio between the total amount of fees for the Fund’s audit, audit-related, and tax services (including fees for services provided to Fund affiliates that are subject to pre-approval), and the total amount of fees for certain permissible non-audit services for the Fund classified as other services (including any such services provided to Fund affiliates that are subject to pre-approval).
VII. | Procedures |
Requests or applications for services to be provided by the independent auditors will be submitted to management. If management determines that the services do not fall within those services generally pre-approved by the Committee and set out in the appendices to these procedures, management will submit the services to the Committee or its delagee. Any such submission will include a detailed description of the services to be rendered. Notwithstanding this paragraph, the Committee will, on a quarterly basis, receive from the independent auditors a list of services provided for the previous calendar quarter on a cumulative basis by the auditors during the Pre-Approval Period.
VIII. | Delegation |
The Committee may delegate pre-approval authority to one or more of the Committee’s members. Any member or members to whom such pre-approval authority is delegated must report any pre-approval decisions, including any pre-approved services, to the Committee at its next scheduled meeting. The Committee will identify any member to whom pre-approval authority is delegated in writing. The member will retain such authority for a period of 12 months from the date of pre-approval unless the Committee determines that a different period is appropriate. The period of delegated authority may be terminated by the Committee or at the option of the member.
IX. | Additional Requirements |
The Committee will take any measures the Committee deems necessary or appropriate to oversee the work of the independent auditors and to assure the auditors’ independence from the Funds. This may include reviewing a formal written statement from the independent auditors delineating all relationships between the auditors and the Funds, consistent with Independence Standards Board No. 1, and discussing with the auditors their methods and procedures for ensuring independence.
Part of KPMG’s performance of an audit in accordance with standards of the Public Company Accounting Oversight Board (US) includes their responsibility to maintain and monitor auditor independence with respect to the Voya funds. Using a proprietary system called Sentinel, the audit team is able to identify and manage potential conflicts of interest across the member firms of the KPMG International Network and prevent the provision of prohibited services to the Voya entities that would impair KPMG independence with the respect to the Voya funds. KPMG requests pre-approval from the Voya funds Audit Committee for services provided to the Voya funds and for services to affiliated entities that relate to the financial reporting or nature of operations of the Voya Funds. Additionally, KPMG provides an annual summary of the fees for services that have commenced for Voya funds and Affiliates.
Last Approved: November 20, 2014
Appendix A
Pre-Approved Audit Services for the Pre-Approval Period January 1, 2015 through December 31, 2015
Service | ||
The Fund(s) | Fee Range | |
Statutory audits or financial audits (including tax services associated with audit services) | √ | As presented to Audit Committee1 |
Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters. | √ | Not to exceed $9,750 per filing |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. | √ | Not to exceed $8,000 during the Pre-Approval Period |
Seed capital audit and related review and issuance of consent on the N-2 registration statement | √ | Not to exceed $13,750 per audit |
Audit of summary portfolio of investments | √ | Not to exceed $525 per fund |
1 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
Appendix B
Pre-Approved Audit-Related Services for the Pre-Approval Period January 1, 2015 through December 31, 2015
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Services related to Fund mergers (Excludes tax services - See Appendix C for tax services associated with Fund mergers) | √ | √ | Not to exceed $10,000 per merger |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. [Note: Under SEC rules some consultations may be “audit” services and others may be “audit-related” services.] | √ | Not to exceed $5,000 per occurrence during the Pre-Approval Period | |
Review of the Funds’ semi-annual and quarterly financial statements | √ | Not to exceed $2,525 per set of financial statements per fund | |
Reports to regulatory or government agencies related to the annual engagement | √ | Up to $5,000 per occurrence during the Pre-Approval Period | |
Regulatory compliance assistance | √ | √ | Not to exceed $5,000 per quarter |
Training courses | √ | Not to exceed $5,000 per course | |
For Prime Rate Trust, agreed upon procedures for quarterly reports to rating agencies | √ | Not to exceed $9,450 per quarter |
Appendix C
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2015 through December 31, 2015
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Preparation of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions | √ | As presented to Audit Committee2 | |
Review of IRC Sections 851(b) and 817(h) diversification testing on a real-time basis | √ | As presented to Audit Committee2 | |
Assistance and advice regarding year-end reporting for 1099’s, as requested | √ | As presented to Audit Committee2 | |
Tax assistance and advice regarding statutory, regulatory or administrative developments | √ | √ | Not to exceed $5,000 for the Funds or for the Funds’ investment adviser during the Pre-Approval Period |
2 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
Appendix C, continued
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Tax training courses | √ | Not to exceed $5,000 per course during the Pre-Approval Period | |
Tax services associated with Fund mergers | √ | √ | Not to exceed $4,000 per fund per merger during the Pre-Approval Period |
Other tax-related assistance and consultation, including, without limitation, assistance in evaluating derivative financial instruments and international tax issues, qualification and distribution issues, and similar routine tax consultations. | √ | Not to exceed $120,000 during the Pre-Approval Period |
Appendix D
Pre-Approved Other Services for the Pre-Approval Period January 1, 2015 through December 31, 2015
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Agreed-upon procedures for Class B share 12b-1 programs | √ | Not to exceed $60,000 during the Pre-Approval Period | |
Security counts performed pursuant to Rule 17f-2 of the 1940 Act (i.e., counts for Funds holding securities with affiliated sub-custodians)
Cost to be borne 50% by the Funds and 50% by Voya Investments, LLC. | √
| √
| Not to exceed $5,300 per Fund during the Pre-Approval Period |
Agreed upon procedures for 15 (c) FACT Books | √ | Not to exceed $50,000 during the Pre-Approval Period |
Appendix E
Prohibited Non-Audit Services
Dated: | January 1, 2015 to December 31, 2015 |
· | Bookkeeping or other services related to the accounting records or financial statements of the Funds |
· | Financial information systems design and implementation |
· | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
· | Actuarial services |
· | Internal audit outsourcing services |
· | Management functions |
· | Human resources |
· | Broker-dealer, investment adviser, or investment banking services |
· | Legal services |
· | Expert services unrelated to the audit |
· | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible |
EXHIBIT A
VOYA ASIA PACIFIC HIGH DIVIDEND EQUITY INCOME FUND
VOYA BALANCED PORTFOLIO, INC.
VOYA EMERGING MARKETS HIGH DIVIDEND EQUITY FUND
VOYA EQUITY TRUST
VOYA FUNDS TRUST
VOYA GLOBAL ADVANTAGE AND PREMIUM OPPORTUNITY FUND
VOYA GLOBAL EQUITY DIVIDEND AND PREMIUM OPPORTUNITY FUND
VOYA INFRASTRUCTURE, INDUSTRIALS, AND MATERIALS FUND
VOYA INTERMEDIATE BOND PORTFOLIO
VOYA INTERNATIONAL HIGH DIVIDEND EQUITY INCOME FUND
VOYA INVESTORS TRUST
VOYA MONEY MARKET PORTFOLIO
VOYA MUTUAL FUNDS
VOYA PARTNERS, INC.
VOYA PRIME RATE TRUST
VOYA NATURAL RESOURCES EQUITY INCOME FUND
VOYA SENIOR INCOME FUND
VOYA SEPARATE PORTFOLIOS TRUST
VOYA SERIES FUND, INC.
VOYA STRATEGIC ALLOCATIONS PORTFOLIOS, INC.
VOYA VARIABLE FUNDS
VOYA VARIABLE PORTFOLIOS INC,
VOYA VARIABLE PRODUCTS TRUST
(e) (2) | Percentage of services referred to in 4(b) — (4)(d) that were approved by the audit committee 100% of the services were approved by the audit committee. |
(f) | Percentage of hours expended attributable to work performed by other than full time employees of KPMG if greater than 50%. |
Not applicable.
(g) | Non-Audit Fees: The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to each Registrant by the independent registered public accounting firm for each Registrant's fiscal years ended December 31, 2015 and December 31, 2014; and (ii) the aggregate non-audit fees billed to the investment adviser, or any of its affiliates that provide ongoing services to the registrant, by the independent registered public accounting firm for the same time periods. |
Registrant/Investment Adviser | 2015 | 2014 | ||||||
Voya Variable Insurance Trust | $ | 7,115 | $ | 0 | ||||
Voya Investments, LLC (1) | $ | 145,625 | $ | 184,250 |
(1) Each Registrant's investment adviser and any of its affiliates, which are subsidiaries of Voya Financial, Inc.
(h) | Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining KPMG’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
Complete schedule of investments filed herein.
Report of Independent Registered Public Accounting Firm
The Shareholders and Board of Trustees
Voya Variable Insurance Trust
We have audited the accompanying statement of asset and liabilities, including the summary portfolio of investments, of VY® Goldman Sachs Bond Portfolio, a series of Voya Variable Insurance Trust, as of December 31, 2015, and the related statements of operations and changes in net assets for the period then ended, (collectively, the "financial statements"), and the financial highlights for the period then ended (the financial statements and financial highlights are included in Item 1 of this Form N-CSR), and the portfolio of investments as of December 31, 2015 (included in Item 6 of this Form N-CSR). These financial statements, financial highlights, and portfolio of investments are the responsibility of management. Our responsibility is to express an opinion on these financial statements, financial highlights, and portfolios of investments based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements, financial highlights, and portfolios of investments are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and portfolio of investments. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian, transfer agent, and brokers, or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements, financial highlights, and portfolio of investments referred to above present fairly, in all material respects, the financial position of the aforementioned fund of Voya Variable Insurance Trust as of December 31, 2015, and the results of its operations, the changes in its net assets, and the financial highlights for the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 25, 2016
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 32.6% | ||||||||||||||
Basic Materials: 0.9% | ||||||||||||||
300,000 | Eastman Chemical Co., 3.800%, 03/15/25 | 291,263 | 0.2 | |||||||||||
225,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/34 | 120,375 | 0.1 | |||||||||||
325,000 | # | Glencore Funding LLC, 2.500%, 01/15/19 | 271,565 | 0.1 | ||||||||||
225,000 | LyondellBasell Industries NV, 5.000%, 04/15/19 | 239,517 | 0.1 | |||||||||||
300,000 | # | Solvay Finance America LLC, 3.400%, 12/03/20 | 297,966 | 0.2 | ||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 379,687 | 0.2 | ||||||||||
1,600,373 | 0.9 | |||||||||||||
Communications: 4.9% | ||||||||||||||
550,000 | 21st Century Fox America, Inc., 4.000%, 10/01/23 | 569,427 | 0.3 | |||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 798,929 | 0.4 | |||||||||||
300,000 | AT&T, Inc., 3.400%, 05/15/25 | 288,935 | 0.2 | |||||||||||
25,000 | # | CCO Safari II LLC, 3.579%, 07/23/20 | 24,877 | 0.0 | ||||||||||
325,000 | # | CCO Safari II LLC, 4.908%, 07/23/25 | 325,171 | 0.2 | ||||||||||
325,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%, 03/15/22 | 327,701 | 0.2 | |||||||||||
350,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.950%, 01/15/25 | 345,956 | 0.2 | |||||||||||
100,000 | # | Frontier Communications Corp., 8.875%, 09/15/20 | 101,500 | 0.1 | ||||||||||
175,000 | Intelsat Jackson Holdings SA, 7.250%, 04/01/19 | 161,438 | 0.1 | |||||||||||
775,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 760,548 | 0.4 | |||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 49,563 | 0.0 | ||||||||||
375,000 | Sprint Nextel Corp., 7.875%, 09/15/23 | 282,563 | 0.2 | |||||||||||
350,000 | Telefonica Emisiones SAU, 5.134%, 04/27/20 | 382,657 | 0.2 | |||||||||||
950,000 | Telefonica Emisiones SAU, 5.462%, 02/16/21 | 1,063,045 | 0.6 | |||||||||||
275,000 | Time Warner Cable, Inc., 4.125%, 02/15/21 | 281,103 | 0.1 | |||||||||||
50,000 | Time Warner Cable, Inc., 5.000%, 02/01/20 | 52,975 | 0.0 | |||||||||||
50,000 | Time Warner Cable, Inc., 5.875%, 11/15/40 | 47,524 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Communications: (continued) | ||||||||||||||
200,000 | Time Warner, Inc., 3.875%, 01/15/26 | 198,765 | 0.1 | |||||||||||
800,000 | Verizon Communications, Inc., 2.625%, 02/21/20 | 803,717 | 0.4 | |||||||||||
725,000 | Verizon Communications, Inc., 4.150%, 03/15/24 | 746,775 | 0.4 | |||||||||||
1,450,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,596,744 | 0.8 | |||||||||||
9,209,913 | 4.9 | |||||||||||||
Consumer, Cyclical: 2.4% | ||||||||||||||
950,000 | CVS Caremark Corp., 3.375%, 08/12/24 | 942,377 | 0.5 | |||||||||||
275,000 | CVS Health Corp., 3.500%, 07/20/22 | 280,365 | 0.1 | |||||||||||
375,000 | # | Family Tree Escrow LLC, 5.750%, 03/01/23 | 392,812 | 0.2 | ||||||||||
1,175,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,311,905 | 0.7 | |||||||||||
575,000 | General Motors Financial Co., Inc., 3.500%, 07/10/19 | 577,509 | 0.3 | |||||||||||
25,000 | McDonald's Corp., 3.700%, 01/30/26 | 25,038 | 0.0 | |||||||||||
375,000 | MGM Resorts International, 6.625%, 12/15/21 | 385,781 | 0.2 | |||||||||||
250,000 | Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25 | 253,750 | 0.1 | |||||||||||
300,000 | Walgreens Boots Alliance, Inc., 3.800%, 11/18/24 | 291,821 | 0.2 | |||||||||||
125,000 | Walgreens Boots Alliance, Inc., 4.800%, 11/18/44 | 113,979 | 0.1 | |||||||||||
4,575,337 | 2.4 | |||||||||||||
Consumer, Non-cyclical: 5.9% | ||||||||||||||
550,000 | AbbVie, Inc., 2.500%, 05/14/20 | 545,121 | 0.3 | |||||||||||
225,000 | AbbVie, Inc., 3.200%, 11/06/22 | 221,905 | 0.1 | |||||||||||
975,000 | Actavis Funding SCS, 2.350%, 03/12/18 | 976,686 | 0.5 | |||||||||||
250,000 | Actavis Funding SCS, 3.450%, 03/15/22 | 250,738 | 0.1 | |||||||||||
335,000 | Actavis Funding SCS, 3.800%, 03/15/25 | 333,962 | 0.2 | |||||||||||
300,000 | Actavis Funding SCS, 4.850%, 06/15/44 | 298,084 | 0.2 | |||||||||||
800,000 | # | BAT International Finance PLC, 3.950%, 06/15/25 | 825,148 | 0.5 | ||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 479,661 | 0.3 | ||||||||||
200,000 | Becton Dickinson and Co., 2.675%, 12/15/19 | 201,332 | 0.1 | |||||||||||
375,000 | CHS/Community Health Systems, Inc., 5.125%, 08/01/21 | 375,000 | 0.2 | |||||||||||
275,000 | Ecolab, Inc., 5.500%, 12/08/41 | 300,421 | 0.2 | |||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 676,777 | 0.4 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||||
350,000 | HCA, Inc., 6.500%, 02/15/20 | 382,200 | 0.2 | |||||||||||
225,000 | # | HJ Heinz Co., 2.800%, 07/02/20 | 224,708 | 0.1 | ||||||||||
325,000 | # | Kraft Heinz Foods Co., 3.950%, 07/15/25 | 328,780 | 0.2 | ||||||||||
400,000 | Mead Johnson Nutrition Co., 4.125%, 11/15/25 | 404,011 | 0.2 | |||||||||||
375,000 | Medtronic, Inc., 3.150%, 03/15/22 | 379,476 | 0.2 | |||||||||||
250,000 | # | Pernod Ricard SA, 4.450%, 01/15/22 | 259,614 | 0.1 | ||||||||||
1,675,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 1,756,053 | 0.9 | |||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 774,734 | 0.4 | |||||||||||
175,000 | Thermo Fisher Scientific, Inc., 3.650%, 12/15/25 | 174,526 | 0.1 | |||||||||||
200,000 | UnitedHealth Group, Inc., 4.625%, 07/15/35 | 207,993 | 0.1 | |||||||||||
425,000 | UnitedHealth Group, Inc., 4.750%, 07/15/45 | 448,319 | 0.2 | |||||||||||
200,000 | # | Whole Foods Market, Inc., 5.200%, 12/03/25 | 200,201 | 0.1 | ||||||||||
11,025,450 | 5.9 | |||||||||||||
Energy: 2.7% | ||||||||||||||
650,000 | L | Anadarko Petroleum Corp., 3.450%, 07/15/24 | 578,773 | 0.3 | ||||||||||
400,000 | # | Antero Resources Corp., 5.625%, 06/01/23 | 314,000 | 0.2 | ||||||||||
420,000 | Apache Corp., 4.250%, 01/15/44 | 337,382 | 0.2 | |||||||||||
383,000 | # | Chesapeake Energy Corp., 8.000%, 12/15/22 | 189,585 | 0.1 | ||||||||||
50,000 | Cimarex Energy Co., 4.375%, 06/01/24 | 44,452 | 0.0 | |||||||||||
400,000 | ConocoPhillips Co., 3.350%, 11/15/24 | 366,398 | 0.2 | |||||||||||
280,000 | Devon Energy Corp., 4.750%, 05/15/42 | 199,273 | 0.1 | |||||||||||
125,000 | Enbridge, Inc., 3.500%, 06/10/24 | 104,922 | 0.1 | |||||||||||
75,000 | Energy Transfer Partners L.P., 4.750%, 01/15/26 | 64,677 | 0.0 | |||||||||||
375,000 | Enterprise Products Operating L.P., 8.375%, 08/01/66 | 336,562 | 0.2 | |||||||||||
175,000 | Enterprise Products Operating LLC, 7.034%, 01/15/68 | 178,063 | 0.1 | |||||||||||
275,000 | Halliburton Co., 3.375%, 11/15/22 | 270,906 | 0.1 | |||||||||||
275,000 | Halliburton Co., 3.800%, 11/15/25 | 268,272 | 0.1 | |||||||||||
50,000 | Laredo Petroleum, Inc., 6.250%, 03/15/23 | 43,750 | 0.0 | |||||||||||
650,000 | # | MEG Energy Corp., 6.375%, 01/30/23 | 448,500 | 0.2 | ||||||||||
10,000 | Petroleos de Venezuela SA, 5.375%, 04/12/27 | 3,650 | 0.0 | |||||||||||
250,000 | Pioneer Natural Resources Co., 3.450%, 01/15/21 | 231,195 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Energy: (continued) | ||||||||||||||
175,000 | TransCanada PipeLines Ltd, 6.350%, 05/15/67 | 132,563 | 0.1 | |||||||||||
300,000 | Valero Energy Corp., 3.650%, 03/15/25 | 283,663 | 0.2 | |||||||||||
225,000 | Western Gas Partners L.P., 3.950%, 06/01/25 | 189,347 | 0.1 | |||||||||||
425,000 | Williams Partners L.P., 3.600%, 03/15/22 | 334,848 | 0.2 | |||||||||||
300,000 | Williams Partners L.P., 3.900%, 01/15/25 | 225,953 | 0.1 | |||||||||||
5,146,734 | 2.7 | |||||||||||||
Financial: 13.9% | ||||||||||||||
100,000 | ACE INA Holdings, Inc., 2.875%, 11/03/22 | 99,394 | 0.0 | |||||||||||
100,000 | ACE INA Holdings, Inc., 3.350%, 05/03/26 | 99,841 | 0.1 | |||||||||||
325,000 | # | AIA Group Ltd., 3.200%, 03/11/25 | 314,558 | 0.2 | ||||||||||
350,000 | American International Group, Inc., 3.750%, 07/10/25 | 347,764 | 0.2 | |||||||||||
300,000 | Allied World Assurance Co. Holdings Ltd., 4.350%, 10/29/25 | 295,948 | 0.2 | |||||||||||
375,000 | American Campus Communities Operating Partnership L.P., 3.750%, 04/15/23 | 369,579 | 0.2 | |||||||||||
550,000 | American Express Co., 6.800%, 09/01/66 | 555,500 | 0.3 | |||||||||||
200,000 | American Tower Corp., 3.400%, 02/15/19 | 205,349 | 0.1 | |||||||||||
450,000 | Arch Capital Group US, Inc., 5.144%, 11/01/43 | 456,503 | 0.2 | |||||||||||
550,000 | Banco Bilbao Vizcaya Argentaria SA, 3.000%, 10/20/20 | 548,489 | 0.3 | |||||||||||
750,000 | Bank of America Corp., 4.000%, 04/01/24 | 768,776 | 0.4 | |||||||||||
275,000 | Bank of America Corp., 6.500%, 10/29/49 | 290,125 | 0.2 | |||||||||||
1,000,000 | Barclays Bank PLC, 2.500%, 02/20/19 | 1,002,731 | 0.5 | |||||||||||
400,000 | # | BNP Paribas SA, 4.375%, 09/28/25 | 392,560 | 0.2 | ||||||||||
425,000 | Capital One Financial Corp., 4.200%, 10/29/25 | 420,679 | 0.2 | |||||||||||
250,000 | Chubb Corp., 6.375%, 03/29/67 | 240,707 | 0.1 | |||||||||||
350,000 | Citigroup, Inc., 5.875%, 12/29/49 | 347,813 | 0.2 | |||||||||||
350,000 | Compass Bank, 5.500%, 04/01/20 | 374,288 | 0.2 | |||||||||||
600,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 647,880 | 0.3 | ||||||||||
300,000 | # | Credit Suisse Group AG, 6.250%, 12/29/49 | 300,711 | 0.2 | ||||||||||
250,000 | # | Credit Suisse Group Funding Guernsey Ltd., 3.750%, 03/26/25 | 241,989 | 0.1 | ||||||||||
375,000 | Crown Castle International Corp., 5.250%, 01/15/23 | 395,625 | 0.2 | |||||||||||
425,000 | Discover Financial Services, 3.750%, 03/04/25 | 409,129 | 0.2 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
350,000 | Education Realty Operating Partnership L.P., 4.600%, 12/01/24 | 345,975 | 0.2 | |||||||||||
306,000 | # | GE Capital International Funding Co., 4.418%, 11/15/35 | 312,998 | 0.2 | ||||||||||
94,000 | General Electric Capital Corp., 6.150%, 08/07/37 | 118,165 | 0.1 | |||||||||||
275,000 | HCP, Inc., 4.250%, 11/15/23 | 275,853 | 0.1 | |||||||||||
375,000 | HSBC Holdings PLC, 6.375%, 03/29/49 | 375,469 | 0.2 | |||||||||||
875,000 | ING Bank NV, 4.125%, 11/21/23 | 893,953 | 0.5 | |||||||||||
350,000 | ING Groep NV, 6.000%, 12/31/49 | 351,750 | 0.2 | |||||||||||
600,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | 617,250 | 0.3 | ||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 589,937 | 0.3 | |||||||||||
975,000 | # | Intesa Sanpaolo SpA, 5.017%, 06/26/24 | 961,374 | 0.5 | ||||||||||
500,000 | JPMorgan Chase & Co., 5.300%, 12/29/49 | 499,375 | 0.3 | |||||||||||
1,700,000 | KFW, 1.125%, 08/06/18 | 1,687,493 | 0.9 | |||||||||||
275,000 | # | LBG Capital No.1 PLC, 8.000%, 12/29/49 | 288,956 | 0.2 | ||||||||||
775,000 | Lloyds Bank PLC, 2.350%, 09/05/19 | 775,862 | 0.4 | |||||||||||
425,000 | # | Macquarie, 6.625%, 04/07/21 | 476,902 | 0.3 | ||||||||||
250,000 | # | Meiji Yasuda Life Insurance Co., 5.200%, 10/20/45 | 257,858 | 0.1 | ||||||||||
575,000 | # | Mitsubishi UFJ Trust & Banking Corp., 2.650%, 10/19/20 | 575,025 | 0.3 | ||||||||||
1,050,000 | Morgan Stanley, 3.700%, 10/23/24 | 1,057,114 | 0.6 | |||||||||||
100,000 | Morgan Stanley, 4.000%, 07/23/25 | 103,268 | 0.1 | |||||||||||
350,000 | Morgan Stanley, 5.550%, 12/29/49 | 350,438 | 0.2 | |||||||||||
375,000 | # | Nationwide Building Society, 3.900%, 07/21/25 | 387,445 | 0.2 | ||||||||||
75,000 | Prudential Financial, Inc., 5.375%, 05/15/45 | 75,000 | 0.0 | |||||||||||
300,000 | Royal Bank of Scotland Group PLC, 8.000%, 12/29/49 | 318,000 | 0.2 | |||||||||||
200,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 216,962 | 0.1 | |||||||||||
500,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 542,404 | 0.3 | |||||||||||
300,000 | Santander Bank NA, 2.000%, 01/12/18 | 297,968 | 0.2 | |||||||||||
450,000 | Santander Holdings USA, Inc./PA, 2.650%, 04/17/20 | 441,937 | 0.2 | |||||||||||
400,000 | Santander Issuances SAU, 5.179%, 11/19/25 | 394,741 | 0.2 | |||||||||||
625,000 | # | Santander UK Group Holdings PLC, 4.750%, 09/15/25 | 619,774 | 0.3 | ||||||||||
150,000 | Select Income REIT, 3.600%, 02/01/20 | 151,188 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
200,000 | Select Income REIT, 4.150%, 02/01/22 | 192,205 | 0.1 | |||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 463,343 | 0.2 | ||||||||||
425,000 | TD Ameritrade Holding Corp., 2.950%, 04/01/22 | 421,618 | 0.2 | |||||||||||
400,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 404,956 | 0.2 | ||||||||||
300,000 | Vereit Operating Partnership L.P., 3.000%, 02/06/19 | 289,350 | 0.2 | |||||||||||
550,000 | Visa, Inc., 3.150%, 12/14/25 | 551,849 | 0.3 | |||||||||||
275,000 | # | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | 273,992 | 0.1 | ||||||||||
26,083,685 | 13.9 | |||||||||||||
Industrial: 0.7% | ||||||||||||||
600,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 583,421 | 0.3 | ||||||||||
250,000 | Roper Technologies, Inc., 3.000%, 12/15/20 | 249,264 | 0.2 | |||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 384,375 | 0.2 | ||||||||||
1,217,060 | 0.7 | |||||||||||||
Technology: 1.2% | ||||||||||||||
425,000 | Fidelity National Information Services, Inc., 3.625%, 10/15/20 | 431,183 | 0.2 | |||||||||||
300,000 | Fiserv, Inc., 2.700%, 06/01/20 | 297,889 | 0.2 | |||||||||||
375,000 | # | HP Enterprise Co., 4.900%, 10/15/25 | 368,987 | 0.2 | ||||||||||
500,000 | Intel Corp., 3.700%, 07/29/25 | 517,873 | 0.3 | |||||||||||
400,000 | Microsoft Corp., 3.125%, 11/03/25 | 402,821 | 0.2 | |||||||||||
200,000 | Oracle Corp., 2.500%, 05/15/22 | 196,596 | 0.1 | |||||||||||
75,000 | Qualcomm, Inc., 3.000%, 05/20/22 | 74,352 | 0.0 | |||||||||||
2,289,701 | 1.2 | |||||||||||||
Total Corporate Bonds/Notes | ||||||||||||||
(Cost $63,112,659) | 61,148,253 | 32.6 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 4.8% | ||||||||||||||
456,838 | CHL Mortgage Pass-Through Trust 2005-25 A12, 5.500%, 11/25/35 | 425,147 | 0.2 | |||||||||||
EUR | 490,198 | CSEMC 15-1HWA, 2.750%, 04/20/20 | 527,399 | 0.3 | ||||||||||
3,955,912 | Fannie Mae, 3.500%, 10/01/45 | 4,085,657 | 2.2 | |||||||||||
400,000 | Fannie Mae, 3.500%, 12/01/45 | 413,124 | 0.2 | |||||||||||
800,000 | Fannie Mae, 3.500%, 12/01/45 | 826,247 | 0.4 | |||||||||||
800,000 | Fannie Mae, 3.500%, 12/01/45 | 826,247 | 0.4 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
650,000 | # | FREMF Mortgage Trust, 3.685%, 01/25/48 | 583,574 | 0.3 | ||||||||||
1,337,735 | GS Mortgage Securities Trust 2007-GG10, 5.795%, 08/10/45 | 1,392,318 | 0.8 | |||||||||||
Total Collateralized Mortgage Obligations | ||||||||||||||
(Cost $9,245,413) | 9,079,713 | 4.8 | ||||||||||||
MUNICIPAL BONDS: 1.1% | ||||||||||||||
California: 0.5% | ||||||||||||||
400,000 | East Bay Municipal Utility District Water System Revenue, 5.874%, 06/01/40 | 499,704 | 0.3 | |||||||||||
350,000 | Bay Area Toll Authority, 7.043%, 04/01/50 | 481,663 | 0.2 | |||||||||||
981,367 | 0.5 | |||||||||||||
Puerto Rico: 0.6% | ||||||||||||||
735,000 | Commonwealth of Puerto Rico, 8.000%, 07/01/35 | 532,897 | 0.3 | |||||||||||
85,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.250%, 07/01/42 | 55,691 | 0.0 | |||||||||||
50,000 | Puerto Rico Sales Tax Financing Corp., 5.250%, 08/01/41 | 20,068 | 0.0 | |||||||||||
1,000,000 | Puerto Rico Sales Tax Financing Corp., 5.500%, 08/01/37 | 405,040 | 0.2 | |||||||||||
195,000 | Puerto Rico Sales Tax Financing Corp., 5.000%, 08/01/43 | 78,002 | 0.1 | |||||||||||
150,000 | Puerto Rico Sales Tax Financing Corp., 6.000%, 08/01/39 | 61,880 | 0.0 | |||||||||||
1,153,578 | 0.6 | |||||||||||||
Total Municipal Bonds | ||||||||||||||
(Cost $2,367,020) | 2,134,945 | 1.1 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 30.9% | ||||||||||||||
Federal Home Loan Bank: 1.2% | ||||||||||||||
900,000 | 2.625%, due 09/12/25 | 891,916 | 0.5 | |||||||||||
1,300,000 | 2.875%, due 06/13/25 | 1,316,926 | 0.7 | |||||||||||
2,208,842 | 1.2 | |||||||||||||
Federal Home Loan Mortgage Corporation: 3.1%## | ||||||||||||||
800,000 | 2.811%, due 01/25/25 | 790,417 | 0.4 | |||||||||||
3,000,000 | 3.062%, due 12/25/24 | 3,026,770 | 1.6 | |||||||||||
1,865,012 | 3.500%, due 04/01/43 | 1,924,021 | 1.0 | |||||||||||
304,705 | ^ | 5.770%, due 07/15/39 | 49,381 | 0.1 | ||||||||||
5,790,589 | 3.1 | |||||||||||||
Federal National Mortgage Association: 9.7%## | ||||||||||||||
2,100,000 | 0.750%, due 03/14/17 | 2,095,168 | 1.1 | |||||||||||
1,000,000 | W | 2.500%, due 01/15/28 | 1,007,983 | 0.5 | ||||||||||
154,742 | 3.000%, due 08/01/43 | 155,096 | 0.1 | |||||||||||
5,000,000 | W | 3.500%, due 06/25/42 | 5,159,007 | 2.8 | ||||||||||
35,644 | 3.500%, due 09/01/45 | 36,814 | 0.0 | |||||||||||
2,957,729 | 3.500%, due 09/01/45 | 3,054,735 | 1.6 | |||||||||||
38,344 | 3.500%, due 09/01/45 | 39,601 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||||
Federal National Mortgage Association: (continued) | ||||||||||||||
37,843 | 3.500%, due 09/01/45 | 39,091 | 0.0 | |||||||||||
4,000,000 | W | 4.000%, due 08/25/40 | 4,233,000 | 2.3 | ||||||||||
480,498 | ^ | 5.278%, due 11/25/45 | 73,154 | 0.0 | ||||||||||
2,068,450 | ^ | 5.278%, due 11/25/45 | 289,901 | 0.2 | ||||||||||
446,636 | ^ | 5.678%, due 09/25/43 | 72,134 | 0.0 | ||||||||||
530,321 | ^ | 5.678%, due 12/25/43 | 87,424 | 0.0 | ||||||||||
630,957 | ^ | 5.828%, due 01/25/45 | 107,537 | 0.1 | ||||||||||
952,789 | ^ | 5.828%, due 11/25/45 | 147,852 | 0.1 | ||||||||||
758,583 | 6.000%, due 08/01/27 | 856,570 | 0.5 | |||||||||||
225,513 | 6.000%, due 09/01/35 | 257,351 | 0.1 | |||||||||||
84,112 | 6.000%, due 09/01/36 | 95,352 | 0.1 | |||||||||||
58,284 | 6.000%, due 12/01/36 | 65,813 | 0.0 | |||||||||||
151,583 | 6.000%, due 07/01/37 | 172,823 | 0.1 | |||||||||||
178,457 | 6.000%, due 08/01/38 | 203,327 | 0.1 | |||||||||||
18,249,733 | 9.7 | |||||||||||||
Government National Mortgage Association: 16.9% | ||||||||||||||
20,000,000 | W | 4.000%, due 09/20/40 | 21,240,622 | 11.3 | ||||||||||
1,959,215 | 4.000%, due 10/20/43 | 2,090,975 | 1.1 | |||||||||||
195,025 | 4.000%, due 09/20/44 | 207,410 | 0.1 | |||||||||||
4,288,097 | 4.000%, due 08/20/45 | 4,558,440 | 2.4 | |||||||||||
1,268,844 | 4.000%, due 09/20/45 | 1,349,971 | 0.7 | |||||||||||
1,358,532 | 4.000%, due 10/20/45 | 1,445,449 | 0.8 | |||||||||||
709,113 | ^ | 5.198%, due 09/20/44 | 102,288 | 0.1 | ||||||||||
677,284 | ^ | 5.308%, due 08/20/45 | 108,987 | 0.1 | ||||||||||
398,530 | ^ | 5.348%, due 03/20/40 | 61,053 | 0.0 | ||||||||||
144,742 | ^ | 5.698%, due 09/20/43 | 23,525 | 0.0 | ||||||||||
957,933 | ^ | 5.698%, due 11/20/43 | 152,958 | 0.1 | ||||||||||
158,205 | ^ | 5.698%, due 03/20/44 | 26,824 | 0.0 | ||||||||||
439,432 | ^ | 5.748%, due 06/20/43 | 72,260 | 0.0 | ||||||||||
483,800 | ^ | 5.798%, due 09/20/45 | 88,804 | 0.1 | ||||||||||
494,827 | ^ | 5.798%, due 11/20/45 | 85,541 | 0.1 | ||||||||||
122,772 | ^ | 5.848%, due 02/20/40 | 20,978 | 0.0 | ||||||||||
261,336 | ^ | 5.848%, due 12/20/42 | 44,267 | 0.0 | ||||||||||
31,680,352 | 16.9 | |||||||||||||
Total U.S. Government Agency Obligations | ||||||||||||||
(Cost $57,946,036) | 57,929,516 | 30.9 | ||||||||||||
FOREIGN GOVERNMENT BONDS: 5.9% | ||||||||||||||
300,000 | Brazil Minas SPE via State of Minas Gerais, 5.333%, 02/15/28 | 227,250 | 0.1 | |||||||||||
BRL | 518,000 | Brazil Notas do Tesouro Nacional Serie B, 08/15/50 | 316,359 | 0.2 | ||||||||||
EUR | 1,285,709 | Buoni Poliennali, 2.350%, 09/15/19 | 1,531,244 | 0.8 | ||||||||||
520,000 | Colombia Government International Bond, 4.000%, 02/26/24 | 496,600 | 0.3 | |||||||||||
200,000 | # | Costa Rica Government International Bond, 7.158%, 03/12/45 | 168,250 | 0.1 | ||||||||||
620,000 | Croatia Government International Bond, 5.500%, 04/04/23 | 630,850 | 0.3 | |||||||||||
160,000 | Dominican Republic International Bond, 5.500%, 01/27/25 | 154,800 | 0.1 | |||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | 328,950 | 0.2 | ||||||||||
100,000 | Dominican Republic International Bond, 6.850%, 01/27/45 | 94,750 | 0.1 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | ||||||||||||||
200,000 | Indonesia Government International Bond, 4.125%, 01/15/25 | 192,198 | 0.1 | |||||||||||
400,000 | Indonesia Government International Bond, 5.375%, 10/17/23 | 416,875 | 0.2 | |||||||||||
1,039,000 | Israel Aid Bond, 5.500%, 12/04/23 | 1,251,601 | 0.7 | |||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,650,480 | 0.9 | |||||||||||
EUR | 590,000 | Italy Buoni Poliennali Del Tesoro, 3.750%, 05/01/21 | 743,011 | 0.4 | ||||||||||
MXN | 4,040,400 | Mexican Bonos, 7.750%, 11/23/34 | 256,903 | 0.1 | ||||||||||
640,000 | Mexico Government International Bond, 4.600%, 01/23/46 | 568,800 | 0.3 | |||||||||||
160,000 | Mexico Government International Bond, 4.750%, 03/08/44 | 146,160 | 0.1 | |||||||||||
180,000 | Petroleos de Venezuela SA, 6.000%, 11/15/26 | 66,600 | 0.0 | |||||||||||
130,000 | Petroleos de Venezuela SA, 6.000%, 05/16/24 | 48,750 | 0.0 | |||||||||||
60,000 | Petroleos de Venezuela SA, 9.000%, 11/17/21 | 24,255 | 0.0 | |||||||||||
EUR | 1,000,000 | # | Spain Government Bond, 5.500%, 04/30/21 | 1,351,897 | 0.7 | |||||||||
EUR | 80,207 | # | Spain Government Inflation Linked Bond, 0.550%, 11/30/19 | 89,457 | 0.1 | |||||||||
360,000 | Venezuela Government International Bond, 6.000%, 12/09/20 | 135,900 | 0.1 | |||||||||||
10,000 | Venezuela Government International Bond, 7.650%, 04/21/25 | 3,750 | 0.0 | |||||||||||
70,000 | Venezuela Government International Bond, 7.750%, 10/13/19 | 28,175 | 0.0 | |||||||||||
110,000 | Venezuela Government International Bond, 8.250%, 10/13/24 | 42,350 | 0.0 | |||||||||||
60,000 | Venezuela Government International Bond, 9.250%, 05/07/28 | 23,700 | 0.0 | |||||||||||
20,000 | Venezuela Government International Bond, 9.250%, 09/15/27 | 8,300 | 0.0 | |||||||||||
50,000 | Venezuela Government International Bond, 9.000%, 05/07/23 | 20,125 | 0.0 | |||||||||||
30,000 | Venezuela Government International Bond, 11.750%, 10/21/26 | 13,500 | 0.0 | |||||||||||
50,000 | Venezuela Government International Bond, 11.950%, 08/05/31 | 22,375 | 0.0 | |||||||||||
30,000 | Venezuela Government International Bond, 12.750%, 08/23/22 | 13,575 | 0.0 | |||||||||||
Total Foreign Government Bonds | ||||||||||||||
(Cost $11,550,531) | 11,067,790 | 5.9 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
U.S. TREASURY OBLIGATIONS: 12.5% | ||||||||||||||
Treasury Inflation Indexed Protected Securities: 4.1% | ||||||||||||||
1,989,566 | 0.125%, due 04/15/17 | 1,985,792 | 1.0 | |||||||||||
1,646,224 | 0.125%, due 04/15/18 | 1,642,940 | 0.9 | |||||||||||
4,190,200 | 0.375%, due 07/15/23 | 4,092,149 | 2.2 | |||||||||||
7,720,881 | 4.1 | |||||||||||||
U.S. Treasury Bonds: 8.4% | ||||||||||||||
3,900,000 | 3.000%, due 11/15/44 | 3,879,431 | 2.1 | |||||||||||
1,200,000 | 3.000%, due 11/15/45 | 1,194,344 | 0.6 | |||||||||||
1,100,000 | 3.625%, due 08/15/43 | 1,236,838 | 0.6 | |||||||||||
7,800,000 | 3.625%, due 02/15/44 | 8,759,736 | 4.7 | |||||||||||
600,000 | 3.750%, due 11/15/43 | 689,959 | 0.4 | |||||||||||
15,760,308 | 8.4 | |||||||||||||
Total U.S. Treasury Obligations | ||||||||||||||
(Cost $23,960,571) | 23,481,189 | 12.5 | ||||||||||||
ASSET-BACKED SECURITIES: 12.6% | ||||||||||||||
Other Asset-Backed Securities: 12.6% | ||||||||||||||
250,000 | # | B&M CLO 2014-1 Ltd., 2.267%, 04/16/26 | 238,287 | 0.1 | ||||||||||
367,365 | # | Bank of America Student Loan Trust 2010-1 A, 1.120%, 02/25/43 | 363,175 | 0.2 | ||||||||||
60,439 | # | Bayview Opportunity Master Fund IIIb RPL Trust 2015-3 A1, 3.623%, 04/28/30 | 59,786 | 0.0 | ||||||||||
1,600,000 | # | Crown Point CLO III Ltd. 2015-3A ACOM, 1.857%, 12/31/27 | 1,560,640 | 0.8 | ||||||||||
250,000 | # | Crown Point CLO III Ltd. 2015-3A B, 3.371%, 12/31/27 | 235,315 | 0.1 | ||||||||||
934,030 | # | Edsouth Indenture No 9 LLC, 1.222%, 10/25/56 | 916,366 | 0.5 | ||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 1.920%, 04/25/27 | 643,014 | 0.3 | ||||||||||
250,000 | # | Greywolf CLO V Ltd. 2015-1A A2, 2.720%, 04/25/27 | 246,322 | 0.1 | ||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A Ltd., 1.767%, 04/20/27 | 783,514 | 0.4 | ||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A Ltd., 4.679%, 07/25/27 | 1,029,259 | 0.6 | ||||||||||
2,000,000 | # | ICG US CLO Ltd. 2014-1A ACOM, 1.557%, 04/20/26 | 1,932,600 | 1.0 | ||||||||||
1,200,000 | # | OFSI Fund VI Ltd. 2014-6A ACOM, 1.476%, 03/20/25 | 1,149,480 | 0.6 | ||||||||||
2,550,000 | # | OFSI Fund VII Ltd. 2014-7A ACOM, 1.784%, 10/18/26 | 2,474,775 | 1.3 | ||||||||||
1,350,000 | # | Regatta IV Funding Ltd. 2014-1A ACOM, 0.000%, 07/25/26 | 1,316,790 | 0.7 | ||||||||||
399,868 | # | Scholar Funding Trust 2010-A A, 1.073%, 10/28/41 | 390,588 | 0.2 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Other Asset-Backed Securities: (continued) | ||||||||||||||
772,514 | # | SLM Student Loan Trust 2003-1, 0.622%, 12/15/32 | 705,285 | 0.4 | ||||||||||
935,801 | SLM Student Loan Trust 2005-4 A3, 0.440%, 01/25/27 | 890,859 | 0.5 | |||||||||||
500,000 | SLM Student Loan Trust 2007-1, 0.410%, 01/26/26 | 478,323 | 0.3 | |||||||||||
750,000 | SLM Student Loan Trust 2007-2, 0.380%, 07/25/22 | 701,155 | 0.4 | |||||||||||
219,649 | SLM Student Loan Trust 2008-2 A3, 1.070%, 04/25/23 | 211,767 | 0.1 | |||||||||||
550,000 | SLM Student Loan Trust 2008-4 A4, 1.970%, 01/24/17 | 553,872 | 0.3 | |||||||||||
450,000 | SLM Student Loan Trust 2008-5, 2.020%, 07/25/23 | 453,082 | 0.2 | |||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 1.851%, 04/15/27 | 1,624,772 | 0.9 | ||||||||||
300,000 | # | Sound Point CLO VIII Ltd. 2015-1A B, 2.371%, 04/15/27 | 283,767 | 0.2 | ||||||||||
900,000 | # | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T2, 2.620%, 01/15/47 | 898,930 | 0.5 | ||||||||||
1,000,000 | # | Trinitas CLO II Ltd. 2014-2A ACOM, 1.665%, 07/15/26 | 967,100 | 0.5 | ||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 1.831%, 07/15/27 | 976,555 | 0.5 | ||||||||||
595,462 | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust A3, 0.652%, 04/25/37 | 498,785 | 0.3 | |||||||||||
1,100,000 | # | Z Capital Credit Partners CLO 2015-1A ACOM Ltd., 1.730%, 07/16/27 | 1,067,990 | 0.6 | ||||||||||
Total Asset-Backed Securities | ||||||||||||||
(Cost $23,855,407) | 23,652,153 | 12.6 | ||||||||||||
Total Long-Term Investments | ||||||||||||||
(Cost $192,037,637) | 188,493,559 | 100.4 | ||||||||||||
SHORT-TERM INVESTMENTS: 16.7% | ||||||||||||||
Commercial Paper: 0.9% | ||||||||||||||
1,500,000 | # | Barclays Bank PLC, 2.000%, 04/13/16 | ||||||||||||
(Cost $1,500,000) | 1,499,895 | 0.9 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: (continued) | ||||||||||||||
Securities Lending Collateralcc: 0.3% | ||||||||||||||
604,694 | HSBC Securities USA, Repurchase Agreement dated 12/31/15, 0.29%, due 01/04/16 (Repurchase Amount $604,713, collateralized by various U.S. Government Securities, 3.000%, Market Value plus accrued interest $616,790, due 11/15/44) | |||||||||||||
(Cost $604,694) | 604,694 | 0.3 |
Shares | Value | Percentage of Net Assets | ||||||||||||
Mutual Funds: 15.5% | ||||||||||||||
29,184,938 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.270%†† | |||||||||||||
(Cost $29,184,938) | 29,184,938 | 15.5 | ||||||||||||
Total Short-Term Investments | ||||||||||||||
(Cost $31,289,632) | 31,289,527 | 16.7 | ||||||||||||
Total Investments in Securities (Cost $223,327,269) | $ | 219,783,086 | 117.1 | |||||||||||
Liabilities in Excess of Other Assets | (32,015,736 | ) | (17.1 | ) | ||||||||||
Net Assets | $ | 187,767,350 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of December 31, 2015. |
# | 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 December 31, 2015. |
^ | 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. |
BRL | Brazilian Real |
EUR | EU Euro |
MXN | Mexican Peso |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of December 31, 2015 (continued) |
Cost for federal income tax purposes is $223,360,217. | ||||
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 382,367 | ||
Gross Unrealized Depreciation | (3,959,498 | ) | ||
Net Unrealized Depreciation | $ | (3,577,131 | ) |
Placeholder: Returns an entire table created with the Holdings Mapper - FAS157 Summary Levels (Investor's Trust Subschedules)
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.
N/A.
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) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
(3) | Not applicable. |
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: | March 8, 2016 |
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: | March 8, 2016 | |
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer | ||
Date: | March 8, 2016 |