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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02565
| Voya Money Market Portfolio | | |||
| (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) | |
CT Corporation System, 101 Federal Street, Boston, MA 02110
(Name and address of agent for service)
(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: January 1, 2015 to June 30, 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):
![[MISSING IMAGE: ing_cov.jpg]](https://capedge.com/proxy/N-CSRS/0001571049-15-007313/ing_cov.jpg)
Semi-Annual Report
June 30, 2015
Classes ADV, I, S, S2 and T
Voya Variable Product Funds
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Voya Balanced Portfolio
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Voya Global Value Advantage Portfolio
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Voya Growth and Income Portfolio
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Voya Intermediate Bond Portfolio
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Voya Money Market Portfolio
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Voya Small Company Portfolio
| ![]() | | | E-Delivery Sign-up – details inside | |
| | 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 funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. | | |
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TABLE OF CONTENTS
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PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available: (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the Portfolios’ website at www.voyainvestments.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Portfolios’ website at www.voyainvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This report contains a summary portfolio of investments for certain Portfolios. The Portfolios’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Portfolios’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Portfolios’ Forms N-Q, as well as a complete portfolio of investments, are available without charge upon request from the Portfolios by calling Shareholder Services toll-free at (800) 992-0180.
PRESIDENT’S LETTER
![[MISSING IMAGE: ph_shaun-mathews.jpg]](https://capedge.com/proxy/N-CSRS/0001571049-15-007313/ph_shaun-mathews.jpg)
Should I Stay or Should I Go?
Dear Shareholder,
The lyrics of The Clash’s 1981 hit referenced in the title of this letter seem to fit the current impasse between Greece and the leadership of the euro zone: “If I go there will be trouble / and if I stay it will be double.”
In a referendum on July 5, Greek voters decisively rejected what they perceived as unreasonable demands by the European Union: further tax increases and spending cuts as a condition for continued support. The country then missed a scheduled debt payment to the International Monetary Fund; Greek citizens endured more than three weeks of intensified hardship as banks closed and money got scarce. As of this writing, Greece has accepted the terms of a third bailout offer. Approval of the new offer forestalls a Greek euro zone exit and keep Greek banks open, but it remains unclear whether Greece can live up to the demands of the deal and reform its economy.
Will the problems in Greece spill over into the global financial markets? We believe that some investors may seek perceived safety by bidding up the prices of U.S. Treasury securities. Also, there may be volatility in European and Asian equity markets, where the Greek situation might amplify other, local challenges. In aggregate, however, we believe the effects on the global economy and financial markets will be contained.
As always, it’s important to keep focused on your long-term reasons for investing and not get distracted by day-to-day market gyrations. We believe that attempting to time markets is more often than not an exercise in futility and can impair your portfolio’s potential to help achieve your long-term goals. Please thoroughly discuss any contemplated changes with your investment advisor before taking any action.
At Voya Investment Management, we seek to be a reliable partner committed to reliable investing, helping you and your investment advisor achieve your goals. We appreciate your continued confidence in us, and we look forward to serving your investment needs in the future.
Sincerely,
![[MISSING IMAGE: sg_shaun-mathews.jpg]](https://capedge.com/proxy/N-CSRS/0001571049-15-007313/sg_shaun-mathews.jpg)
Shaun Mathews
President and Chief Executive Officer
August 5, 2015
President and Chief Executive Officer
August 5, 2015
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and the Voya mutual funds disclaim any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for a Voya mutual fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any Voya mutual fund. Reference to specific company securities should not be construed as recommendations or investment advice.
International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
1
Market Perspective: Six Months Ended June 30, 2015
After a volatile last few months of 2014, global equities, represented by the MSCI World IndexSM (the “Index”) measured in local currencies, including net reinvested dividends, maintained an uneven advance in the first half of our fiscal year. The Index rose 4.14% over the six months, but by the end the forces driving financial markets had substantially changed. (The Index returned 2.63% for the six-months ended June 30, 2015, measured in U.S. dollars.)
For much of 2014 it seemed that the only credible major growth story in the world was that the U.S. Markets took the October end of U.S. quantitative easing in stride and much of the economic data remained positive into 2015. In particular, employment was a source of strength. While reservations remained about the low labor force participation rate and sluggish wage growth, by June more than 200,000 jobs had been created in 14 out of the previous 15 months and the unemployment rate was down to 5.5%. New and existing home sales ended the period at the highest rates since before 2010.
But other reports painted a less optimistic picture. Gross domestic product (“GDP”) fell 0.2% annualized in the first quarter of 2015, in part due to the effects of another harsh winter, after rising 2.2% in the previous quarter. Industrial production and factory orders seemed to be in a downward drift. Other series showed no clear pattern, like retail sales, despite lower gasoline prices. As for oil prices, the price of a barrel of oil bounced from its mid-March low, but still ended June at two thirds of its level nine months earlier. While this would boost consumption in time, the more immediate effect was to reduce profits and investment in the energy sector and in industries that service it.
Superimposed on this was the prospect of rising U.S. interest rates. The U.S. Federal Reserve Board’s (“Fed’s”) June report suggested at least one increase by the end of 2015, while stressing that the process would be data driven and the trajectory of increases low. But the Fed had not increased rates for nine years and many investors feared that it would feel pressed to act before the economy was really ready.
Outside of the U.S., annual GDP growth in China decelerated to 7.0% in the first quarter of 2015, the slowest in six years, depressing in addition demand in the world’s commodity supplying countries. Japan was still struggling to create inflation despite the central bank’s accumulation of 20% of all in-force Japanese government bonds.
But it was the euro zone that attracted most of the attention. The region entered 2015 after growth of barely 1% in 2014, unemployment perched at 11.5% and consumer prices falling. In Greece, a new government was mandated in January to ease the terms of its €240 billion bailout and roll back reforms. Its attempts to do so were repelled by creditors and as June ended, Greece, with its banks shuttered, faced ejection from the euro zone, with unknowable side effects. But by then the European Central Bank had at last implemented a program of quantitative easing, the elixir that despite all else, might drive asset prices higher, judging from the experience of the U.S. and Japan. The euro and its interest rates fell: good for business, and within a few weeks it seemed, the gloomy euro zone data were turning. The unemployment rate edged down to 11.1%, prices stopped falling
and GDP rose 0.4% in the first quarter of 2015. Increasingly, buy euro zone equities, preferably currency-hedged, sell U.S., was the trade in the news.
In U.S. fixed income markets, the Treasury yield curve steepened through June and the Barclays Long-Term U.S. Treasury sub-index returned -4.67%. The Barclays U.S. Aggregate Bond Index (“Barclays Aggregate”) of investment grade bonds, lost just 0.10%, reflecting small moves in major sub-indices: Barclays U.S. Corporate Investment Grade Bond -0.92%; Barclays U.S. Mortgage Backed Securities 0.31% and Barclays U.S. Treasury Bond 0.03%. The Barclays High Yield Bond — 2% Issuer Constrained Composite Index (not a part of the Barclays Aggregate) returned 2.53%.
U.S. equities, represented by the S&P 500® Index including dividends, gained 1.23% in the first half of the fiscal year. The mergers and acquisitions driven health care sector did best, soaring 24.17%. Three sectors lost ground: not surprisingly led by energy, down 22.20%. S&P 500® earnings per share were still edging up, despite the effect of lower energy prices and the strong dollar on the value of overseas revenues. They were boosted in part by continuing high levels of share buybacks: $553 billion in 2014, the highest since 2007.
In currencies, the dollar rallied strongly against the euro, up 8.53% on the euro, as euro zone quantitative easing drove down interest rates. The dollar gained 2.27% on the yen, after continued monetary easing in Japan and a partial re-allocation into non-yen securities for the giant Government Pension Investment Fund (“GPIF”). But the dollar slipped 0.86% against the pound. The UK has a comparable growth story to the U.S., and an acceleration in average wages reported in June, brought forward the likelihood of a rate increase.
In international markets, the MSCI Japan® Index surged 15.96%, with exporters benefiting from the lower yen and all sectors from the GPIF’s rebalancing into stocks. The MSCI Europe ex UK® Index gained 10.16%, eclipsing in April its previous record from 2007. Quantitative easing, plus the declining euro that went with it, ultimately trumped the still weak economic data and Greece-driven uncertainties that prevailed through most of the period. The MSCI UK® Index added just 1.13%, with sizeable losses from the energy and materials sectors. The 15 largest names in the UK index: multinationals accounting for half of its value, returned an average of -1.05%.
All indices are unmanaged and investors cannot invest directly in an index. Past performance does not guarantee future results. The performance quoted represents past performance. Investment return and principal value of an investment will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. The Portfolios’ performance is subject to change since the period’s end and may be lower or higher than the performance data shown. Please call (800) 992-0180 or log on to www.voyainvestments.com to obtain performance data current to the most recent month end.
Market Perspective reflects the views of Voya Investment Management’s Chief Investment Risk Officer only through the end of the period, and is subject to change based on market and other conditions.
2
Benchmark Descriptions
| | Index | | | | Description | | |
| | 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 Long-Term U.S. Treasury Index | | | | The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. | | |
| | 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. Mortgage Backed Securities Index | | | | The Index tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). | | |
| | 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. | | |
| | 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. | | |
| | 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. | | |
3
SHAREHOLDER EXPENSE EXAMPLES (Unaudited)
As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including redemption fees and exchange fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Portfolio expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2015 to June 30, 2015. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your annuity contract. Expenses would have been higher if such charges were included.
Actual Expenses
The left section of the table shown below, “Actual Portfolio Return,” provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The right section of the table shown below, “Hypothetical (5% return before expenses),” provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Portfolio and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees or exchange fees. Therefore, the hypothetical section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Actual Portfolio Return | | | Hypothetical (5% return before expenses) | | ||||||||||||||||||||||||||||||||||||||||||
| | | Beginning Account Value January 1, 2015 | | | Ending Account Value June 30, 2015 | | | Annualized Expense Ratio | | | Expenses Paid During the Period Ended June 30, 2015* | | | Beginning Account Value January 1, 2015 | | | Ending Account Value June 30, 2015 | | | Annualized Expense Ratio | | | Expenses Paid During the Period Ended June 30, 2015* | | ||||||||||||||||||||||||
Voya Balanced Portfolio | | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | | | | $ | 1,000.00 | | | | | $ | 1,012.70 | | | | | | 0.62% | | | | | $ | 3.09 | | | | | $ | 1,000.00 | | | | | $ | 1,021.72 | | | | | | 0.62% | | | | | $ | 3.11 | | |
Class S | | | | | 1,000.00 | | | | | | 1,011.40 | | | | | | 0.87 | | | | | | 4.34 | | | | | | 1,000.00 | | | | | | 1,020.48 | | | | | | 0.87 | | | | | | 4.36 | | |
Voya Global Value Advantage Portfolio | | ||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,042.80 | | | | | | 1.09% | | | | | $ | 5.52 | | | | | $ | 1,000.00 | | | | | $ | 1,019.39 | | | | | | 1.09% | | | | | $ | 5.46 | | |
Class I(1) | | | | | 1,000.00 | | | | | | 998.30 | | | | | | 0.59 | | | | | | 1.89 | | | | | | 1,000.00 | | | | | | 1,014.14 | | | | | | 0.59 | | | | | | 1.90 | | |
Class S | | | | | 1,000.00 | | | | | | 1,045.20 | | | | | | 0.84 | | | | | | 4.26 | | | | | | 1,000.00 | | | | | | 1,020.63 | | | | | | 0.84 | | | | | | 4.21 | | |
Class S2(1) | | | | | 1,000.00 | | | | | | 997.30 | | | | | | 0.99 | | | | | | 3.17 | | | | | | 1,000.00 | | | | | | 1,012.85 | | | | | | 0.99 | | | | | | 3.19 | | |
Class T(1) | | | | | 1,000.00 | | | | | | 997.30 | | | | | | 1.19 | | | | | | 3.81 | | | | | | 1,000.00 | | | | | | 1,012.21 | | | | | | 1.19 | | | | | | 3.84 | | |
Voya Growth and Income Portfolio | | ||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,014.90 | | | | | | 1.03% | | | | | $ | 5.15 | | | | | $ | 1,000.00 | | | | | $ | 1,019.69 | | | | | | 1.03% | | | | | $ | 5.16 | | |
Class I | | | | | 1,000.00 | | | | | | 1,016.70 | | | | | | 0.58 | | | | | | 2.90 | | | | | | 1,000.00 | | | | | | 1,021.92 | | | | | | 0.58 | | | | | | 2.91 | | |
Class S | | | | | 1,000.00 | | | | | | 1,015.50 | | | | | | 0.83 | | | | | | 4.15 | | | | | | 1,000.00 | | | | | | 1,020.68 | | | | | | 0.83 | | | | | | 4.16 | | |
Class S2 | | | | | 1,000.00 | | | | | | 1,014.90 | | | | | | 0.98 | | | | | | 4.90 | | | | | | 1,000.00 | | | | | | 1,019.93 | | | | | | 0.98 | | | | | | 4.91 | | |
4
SHAREHOLDER EXPENSE EXAMPLES (Unaudited) (continued)
| | | Actual Portfolio Return | | | Hypothetical (5% return before expenses) | | ||||||||||||||||||||||||||||||||||||||||||
| | | Beginning Account Value January 1, 2015 | | | Ending Account Value June 30, 2015 | | | Annualized Expense Ratio | | | Expenses Paid During the Period Ended June 30, 2015* | | | Beginning Account Value January 1, 2015 | | | Ending Account Value June 30, 2015 | | | Annualized Expense Ratio | | | Expenses Paid During the Period Ended June 30, 2015* | | ||||||||||||||||||||||||
Voya Intermediate Bond Portfolio | | ||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,000.30 | | | | | | 0.98% | | | | | $ | 4.86 | | | | | $ | 1,000.00 | | | | | $ | 1,019.93 | | | | | | 0.98% | | | | | $ | 4.91 | | |
Class I | | | | | 1,000.00 | | | | | | 1,002.60 | | | | | | 0.48 | | | | | | 2.38 | | | | | | 1,000.00 | | | | | | 1,022.41 | | | | | | 0.48 | | | | | | 2.41 | | |
Class S | | | | | 1,000.00 | | | | | | 1,001.10 | | | | | | 0.73 | | | | | | 3.62 | | | | | | 1,000.00 | | | | | | 1,021.17 | | | | | | 0.73 | | | | | | 3.66 | | |
Class S2 | | | | | 1,000.00 | | | | | | 1,001.10 | | | | | | 0.88 | | | | | | 4.37 | | | | | | 1,000.00 | | | | | | 1,020.43 | | | | | | 0.88 | | | | | | 4.41 | | |
Voya Money Market Portfolio | | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | | | | $ | 1,000.00 | | | | | $ | 1,000.10 | | | | | | 0.22% | | | | | $ | 1.09 | | | | | $ | 1,000.00 | | | | | $ | 1,023.70 | | | | | | 0.22% | | | | | $ | 1.10 | | |
Class S | | | | | 1,000.00 | | | | | | 1,000.10 | | | | | | 0.22 | | | | | | 1.09 | | | | | | 1,000.00 | | | | | | 1,023.70 | | | | | | 0.22 | | | | | | 1.10 | | |
Voya Small Company Portfolio | | ||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,052.90 | | | | | | 1.34% | | | | | $ | 6.82 | | | | | $ | 1,000.00 | | | | | $ | 1,018.15 | | | | | | 1.34% | | | | | $ | 6.71 | | |
Class I | | | | | 1,000.00 | | | | | | 1,055.00 | | | | | | 0.84 | | | | | | 4.28 | | | | | | 1,000.00 | | | | | | 1,020.63 | | | | | | 0.84 | | | | | | 4.21 | | |
Class S | | | | | 1,000.00 | | | | | | 1,053.80 | | | | | | 1.09 | | | | | | 5.55 | | | | | | 1,000.00 | | | | | | 1,019.39 | | | | | | 1.09 | | | | | | 5.46 | | |
*
Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year.
(1)
Commencement of operations was March 5, 2015. Expenses paid for the actual Portfolio’s return reflect the 117-day period ended June 30, 2015.
5
STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 2015 (Unaudited)
| | | Voya Balanced Portfolio | | | Voya Global Value Advantage Portfolio | | | Voya Growth and Income Portfolio | | |||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | |
Investments in securities at fair value+* | | | | $ | 451,713,689 | | | | | $ | 747,166,331 | | | | | $ | 3,946,030,409 | | |
Investments in affiliated underlying funds at fair value** | | | | | 12,487,390 | | | | | | — | | | | | | — | | |
Short-term investments at fair value*** | | | | | 26,752,485 | | | | | | 21,052,117 | | | | | | 17,960,186 | | |
Total investments at fair value | | | | $ | 490,953,564 | | | | | $ | 768,218,448 | | | | | $ | 3,963,990,595 | | |
Cash | | | | | 22,776,770 | | | | | | 15,873 | | | | | | 102,207 | | |
Cash collateral for futures | | | | | 2,726,333 | | | | | | — | | | | | | — | | |
Cash pledged for centrally cleared swaps (Note 2) | | | | | 550,000 | | | | | | — | | | | | | — | | |
Cash pledged as collateral for OTC derivatives (Note 2) | | | | | 500,000 | | | | | | — | | | | | | — | | |
Foreign currencies at value**** | | | | | 261,953 | | | | | | 323,984 | | | | | | — | | |
Foreign cash collateral for futures***** | | | | | 33,792 | | | | | | — | | | | | | — | | |
Receivables: | | | | | | | | | | | | | | | | | | | |
Investment in affiliated underlying funds sold | | | | | 12,649,049 | | | | | | — | | | | | | — | | |
Investment securities sold | | | | | — | | | | | | 33,772,080 | | | | | | 97,445,314 | | |
Investment securities sold on a delayed-delivery or when-issued basis | | | | | 9,816,962 | | | | | | — | | | | | | — | | |
Fund shares sold | | | | | 101,193 | | | | | | 77,817 | | | | | | 79,707 | | |
Dividends | | | | | 534,320 | | | | | | 2,362,521 | | | | | | 7,499,131 | | |
Interest | | | | | 843,716 | | | | | | — | | | | | | — | | |
Foreign tax reclaims | | | | | 91,766 | | | | | | 577,209 | | | | | | — | | |
Variation margin | | | | | 4,827 | | | | | | — | | | | | | — | | |
Unrealized appreciation on forward foreign currency contracts | | | | | 303,182 | | | | | | — | | | | | | — | | |
Variation margin receivable on centrally cleared swaps | | | | | 81,736 | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 1,895 | | | | | | 669 | | | | | | 17,167 | | |
Other assets | | | | | 128,074 | | | | | | 10,228 | | | | | | 523,138 | | |
Total assets | | | | | 542,359,132 | | | | | | 805,358,829 | | | | | | 4,069,657,259 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | |
Payable for investments in affiliated underlying funds purchased | | | | | 11,785,659 | | | | | | — | | | | | | — | | |
Payable for investment securities purchased | | | | | — | | | | | | 22,748,214 | | | | | | 3,842,742 | | |
Payable for investment securities purchased on a delayed-delivery or when-issued basis | | | | | 20,274,695 | | | | | | — | | | | | | — | | |
Payable for fund shares redeemed | | | | | 78,085 | | | | | | 461,030 | | | | | | 770,798 | | |
Payable upon receipt of securities loaned | | | | | 16,243,485 | | | | | | 12,053,117 | | | | | | — | | |
Unrealized depreciation on forward foreign currency contracts | | | | | 819,706 | | | | | | — | | | | | | — | | |
Cash received as collateral for OTC derivatives (Note 2) | | | | | 280,000 | | | | | | — | | | | | | — | | |
Payable for investment management fees | | | | | 228,796 | | | | | | 356,923 | | | | | | 1,894,590 | | |
Payable for distribution and shareholder service fees | | | | | 972 | | | | | | 147,897 | | | | | | 632,558 | | |
Payable for directors fees | | | | | 2,555 | | | | | | 3,337 | | | | | | 21,218 | | |
Payable to directors under the deferred compensation plan (Note 6) | | | | | 128,074 | | | | | | 10,228 | | | | | | 523,138 | | |
Payable for proxy and solicitation costs (Note 6) | | | | | — | | | | | | 145,900 | | | | | | — | | |
Other accrued expenses and liabilities | | | | | 183,062 | | | | | | 109,945 | | | | | | 518,621 | | |
Written options, at fair value^ | | | | | 799,491 | | | | | | — | | | | | | — | | |
Total liabilities | | | | | 50,824,580 | | | | | | 36,036,591 | | | | | | 8,203,665 | | |
NET ASSETS | | | | $ | 491,534,552 | | | | | $ | 769,322,238 | | | | | $ | 4,061,453,594 | | |
NET ASSETS WERE COMPRISED OF: | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 477,679,069 | | | | | $ | 772,242,885 | | | | | $ | 3,057,718,413 | | |
Undistributed net investment income | | | | | 5,204,360 | | | | | | 9,630,531 | | | | | | 34,789,982 | | |
Accumulated net realized gain (loss) | | | | | (11,124,422) | | | | | | 320,901 | | | | | | 152,603,649 | | |
Net unrealized appreciation (depreciation) | | | | | 19,775,545 | | | | | | (12,872,079) | | | | | | 816,341,550 | | |
NET ASSETS | | | | $ | 491,534,552 | | | | | $ | 769,322,238 | | | | | $ | 4,061,453,594 | | |
+ Including securities loaned at value | | | | $ | 15,885,439 | | | | | $ | 11,630,335 | | | | | $ | — | | |
* Cost of investments in securities | | | | $ | 430,766,944 | | | | | $ | 759,979,245 | | | | | $ | 3,129,688,859 | | |
** Cost of investments in affiliated underlying funds | | | | $ | 12,582,809 | | | | | $ | — | | | | | $ | — | | |
*** Cost of short-term investments | | | | $ | 26,752,485 | | | | | $ | 21,052,117 | | | | | $ | 17,960,186 | | |
**** Cost of foreign currencies | | | | $ | 261,642 | | | | | $ | 336,089 | | | | | $ | — | | |
***** Cost of foreign cash collateral for futures | | | | $ | 33,792 | | | | | $ | — | | | | | $ | — | | |
^ Premiums received on written options | | | | $ | 784,948 | | | | | $ | — | | | | | $ | — | | |
See Accompanying Notes to Financial Statements
6
STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 2015 (Unaudited) (continued)
| | | Voya Balanced Portfolio | | | Voya Global Value Advantage Portfolio | | | Voya Growth and Income Portfolio | | |||||||||
Class ADV | | | | | |||||||||||||||
Net assets | | | | | n/a | | | | | $ | 24,817,499 | | | | | $ | 1,262,187,944 | | |
Shares authorized | | | | | n/a | | | | | | 100,000,000 | | | | | | unlimited | | |
Par value | | | | | n/a | | | | | $ | 0.001 | | | | | $ | 1.000 | | |
Shares outstanding | | | | | n/a | | | | | | 2,612,832 | | | | | | 41,077,384 | | |
Net asset value and redemption price per share | | | | | n/a | | | | | $ | 9.50 | | | | | $ | 30.73 | | |
Class I | | | | | |||||||||||||||
Net assets | | | | $ | 486,883,923 | | | | | $ | 189,505,027 | | | | | $ | 2,062,215,871 | | |
Shares authorized | | | | | 500,000,000 | | | | | | 100,000,000 | | | | | | unlimited | | |
Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 1.000 | | |
Shares outstanding | | | | | 33,455,273 | | | | | | 19,814,902 | | | | | | 66,218,072 | | |
Net asset value and redemption price per share | | | | $ | 14.55 | | | | | $ | 9.56 | | | | | $ | 31.14 | | |
Class S | | | | | |||||||||||||||
Net assets | | | | $ | 4,650,629 | | | | | $ | 486,760,940 | | | | | $ | 736,811,288 | | |
Shares authorized | | | | | 500,000,000 | | | | | | 200,000,000 | | | | | | unlimited | | |
Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 1.000 | | |
Shares outstanding | | | | | 321,180 | | | | | | 50,889,629 | | | | | | 23,937,570 | | |
Net asset value and redemption price per share | | | | $ | 14.48 | | | | | $ | 9.57 | | | | | $ | 30.78 | | |
Class S2 | | | | | |||||||||||||||
Net assets | | | | | n/a | | | | | $ | 306,298 | | | | | $ | 238,491 | | |
Shares authorized | | | | | n/a | | | | | | 100,000,000 | | | | | | unlimited | | |
Par value | | | | | n/a | | | | | $ | 0.001 | | | | | $ | 1.000 | | |
Shares outstanding | | | | | n/a | | | | | | 32,450 | | | | | | 7,803 | | |
Net asset value and redemption price per share | | | | | n/a | | | | | $ | 9.44 | | | | | $ | 30.56 | | |
Class T | | | | | |||||||||||||||
Net assets | | | | | n/a | | | | | $ | 67,932,474 | | | | | | n/a | | |
Shares authorized | | | | | n/a | | | | | | 100,000,000 | | | | | | n/a | | |
Par value | | | | | n/a | | | | | $ | 0.001 | | | | | | n/a | | |
Shares outstanding | | | | | n/a | | | | | | 7,192,766 | | | | | | n/a | | |
Net asset value and redemption price per share | | | | | n/a | | | | | $ | 9.44 | | | | | | n/a | | |
See Accompanying Notes to Financial Statements
7
STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 2015 (Unaudited)
| | | Voya Intermediate Bond Portfolio | | | Voya Money Market Portfolio | | | Voya Small Company Portfolio | | |||||||||
ASSETS: | | | | | |||||||||||||||
Investments in securities at fair value+* | | | | $ | 4,321,255,036 | | | | | $ | — | | | | | $ | 622,409,393 | | |
Investments in affiliates at fair value** | | | | | 567,447,359 | | | | | | — | | | | | | — | | |
Short-term investments at fair value*** | | | | | 343,424,448 | | | | | | — | | | | | | 37,774,708 | | |
Total investments at fair value | | | | $ | 5,232,126,843 | | | | | $ | — | | | | | $ | 660,184,101 | | |
Short-term investments at amortized cost | | | | | — | | | | | | 571,238,808 | | | | | | — | | |
Cash | | | | | 89,079 | | | | | | 478 | | | | | | 717 | | |
Cash collateral for futures | | | | | 2,900,831 | | | | | | — | | | | | | — | | |
Cash pledged for centrally cleared swaps (Note 2) | | | | | 4,407,000 | | | | | | — | | | | | | — | | |
Cash pledged as collateral for delayed-delivery or when-issued securities (Note 2) | | | | | 4,026,318 | | | | | | — | | | | | | — | | |
Receivables: | | | | | | | | | | | | | | | | | | | |
Investment securities sold | | | | | 99,528,834 | | | | | | — | | | | | | 2,488,379 | | |
Investment securities sold on a delayed-delivery or when-issued basis | | | | | 1,025,390,471 | | | | | | — | | | | | | — | | |
Fund shares sold | | | | | 770,454 | | | | | | 437,410 | | | | | | 37,820 | | |
Dividends | | | | | 979,469 | | | | | | 3,238 | | | | | | 702,810 | | |
Interest | | | | | 23,430,246 | | | | | | 261,744 | | | | | | — | | |
Unrealized appreciation on forward foreign currency contracts | | | | | 947,562 | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 19,129 | | | | | | 2,639 | | | | | | 2,445 | | |
Other assets | | | | | 343,499 | | | | | | 197,098 | | | | | | 53,584 | | |
Total assets | | | | | 6,394,959,735 | | | | | | 572,141,415 | | | | | | 663,469,856 | | |
LIABILITIES: | | | | | |||||||||||||||
Payable for investment securities purchased | | | | | 157,585,438 | | | | | | — | | | | | | 3,828,146 | | |
Payable for investment securities purchased on a delayed-delivery or when-issued basis | | | | | 1,697,853,850 | | | | | | — | | | | | | — | | |
Payable for fund shares redeemed | | | | | 5,058,438 | | | | | | 216,111 | | | | | | 1,118,927 | | |
Payable upon receipt of securities loaned | | | | | 14,034,788 | | | | | | — | | | | | | 11,640,708 | | |
Unrealized depreciation on forward foreign currency contracts | | | | | 2,024,444 | | | | | | — | | | | | | — | | |
Variation margin payable on centrally cleared swaps | | | | | 995 | | | | | | — | | | | | | — | | |
Payable for investment management fees | | | | | 1,688,964 | | | | | | 143,716 | | | | | | 431,681 | | |
Payable for distribution and shareholder service fees | | | | | 764,690 | | | | | | 13 | | | | | | 26,397 | | |
Payable to custodian due to foreign currency overdraft**** | | | | | 7,331,557 | | | | | | — | | | | | | — | | |
Payable for directors fees | | | | | 95,419 | | | | | | 2,931 | | | | | | 3,215 | | |
Payable to directors under the deferred compensation plan (Note 6) | | | | | 343,499 | | | | | | 197,098 | | | | | | 53,584 | | |
Other accrued expenses and liabilities | | | | | 74,574 | | | | | | 56,358 | | | | | | 87,959 | | |
Total liabilities | | | | | 1,886,856,656 | | | | | | 616,227 | | | | | | 17,190,617 | | |
NET ASSETS | | | | $ | 4,508,103,079 | | | | | $ | 571,525,188 | | | | | $ | 646,279,239 | | |
NET ASSETS WERE COMPRISED OF: | | | | | |||||||||||||||
Paid-in capital | | | | $ | 4,594,944,490 | | | | | $ | 571,633,336 | | | | | $ | 487,779,429 | | |
Undistributed (distributions in excess of) net investment income | | | | | 65,070,629 | | | | | | (139,822) | | | | | | 803,057 | | |
Accumulated net realized gain (loss) | | | | | (165,396,169) | | | | | | 31,674 | | | | | | 34,258,105 | | |
Net unrealized appreciation | | | | | 13,484,129 | | | | | | — | | | | | | 123,438,648 | | |
NET ASSETS | | | | $ | 4,508,103,079 | | | | | $ | 571,525,188 | | | | | $ | 646,279,239 | | |
+ Including securities loaned at value | | | | $ | 13,685,074 | | | | | $ | — | | | | | $ | 11,382,397 | | |
* Cost of investments in securities | | | | $ | 4,274,730,459 | | | | | $ | — | | | | | $ | 498,970,745 | | |
** Cost of investments in affiliates | | | | $ | 593,382,834 | | | | | $ | — | | | | | $ | — | | |
*** Cost of short-term investments | | | | $ | 343,390,679 | | | | | $ | — | | | | | $ | 37,774,708 | | |
**** Cost of foreign currency overdraft | | | | $ | 7,331,556 | | | | | $ | — | | | | | $ | — | | |
See Accompanying Notes to Financial Statements
8
STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 2015 (Unaudited) (continued)
| | | Voya Intermediate Bond Portfolio | | | Voya Money Market Portfolio | | | Voya Small Company Portfolio | | |||||||||
Class ADV | | | | | |||||||||||||||
Net assets | | | | $ | 191,442,553 | | | | | | n/a | | | | | $ | 5,836,262 | | |
Shares authorized | | | | | unlimited | | | | | | n/a | | | | | | 100,000,000 | | |
Par value | | | | $ | 1.000 | | | | | | n/a | | | | | $ | 0.001 | | |
Shares outstanding | | | | | 14,973,199 | | | | | | n/a | | | | | | 288,277 | | |
Net asset value and redemption price per share | | | | $ | 12.79 | | | | | | n/a | | | | | $ | 20.25 | | |
Class I | | | | | |||||||||||||||
Net assets | | | | $ | 1,019,816,145 | | | | | $ | 571,419,113 | | | | | $ | 524,640,247 | | |
Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | 100,000,000 | | |
Par value | | | | $ | 1.000 | | | | | $ | 1.000 | | | | | $ | 0.001 | | |
Shares outstanding | | | | | 78,968,498 | | | | | | 571,269,113 | | | | | | 25,000,828 | | |
Net asset value and redemption price per share | | | | $ | 12.91 | | | | | $ | 1.00 | | | | | $ | 20.98 | | |
Class S | | | | | |||||||||||||||
Net assets | | | | $ | 3,268,512,344 | | | | | $ | 106,075 | | | | | $ | 115,802,730 | | |
Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | 100,000,000 | | |
Par value | | | | $ | 1.000 | | | | | $ | 1.000 | | | | | $ | 0.001 | | |
Shares outstanding | | | | | 254,893,945 | | | | | | 106,051 | | | | | | 5,625,651 | | |
Net asset value and redemption price per share | | | | $ | 12.82 | | | | | $ | 1.00 | | | | | $ | 20.58 | | |
Class S2 | | | | | |||||||||||||||
Net assets | | | | $ | 28,332,037 | | | | | | n/a | | | | | | n/a | | |
Shares authorized | | | | | unlimited | | | | | | n/a | | | | | | n/a | | |
Par value | | | | $ | 1.000 | | | | | | n/a | | | | | | n/a | | |
Shares outstanding | | | | | 2,216,567 | | | | | | n/a | | | | | | n/a | | |
Net asset value and redemption price per share | | | | $ | 12.78 | | | | | | n/a | | | | | | n/a | | |
See Accompanying Notes to Financial Statements
9
STATEMENTS OF OPERATIONS for the six months ended June 30, 2015 (Unaudited)
| | | Voya Balanced Portfolio | | | Voya Global Value Advantage Portfolio | | | Voya Growth and Income Portfolio | | | Voya Intermediate Bond Portfolio | | ||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | |||||
Dividends from affiliated underlying funds | | | | $ | 4,388,555 | | | | | $ | — | | | | | $ | — | | | | | $ | 12,993,328 | | |
Dividends, net of foreign taxes withheld* | | | | | — | | | | | | 11,788,375 | | | | | | 51,468,713 | | | | | | 55,646 | | |
Interest | | | | | 2,023,881 | | | | | | 782 | | | | | | 1,499 | | | | | | 70,701,655 | | |
Securities lending income, net | | | | | 60,917 | | | | | | 202,217 | | | | | | 2,936 | | | | | | 448,269 | | |
Total investment income | | | | | 6,473,353 | | | | | | 11,991,374 | | | | | | 51,473,148 | | | | | | 84,198,898 | | |
EXPENSES: | | | | | | ||||||||||||||||||||
Investment management fees(1) | | | | | 1,351,537 | | | | | | 1,413,485 | | | | | | 11,226,549 | | | | | | 9,945,413 | | |
Distribution and shareholder service fees: | | | | | | ||||||||||||||||||||
Class ADV | | | | | — | | | | | | 41,933 | | | | | | 3,292,218 | | | | | | 482,094 | | |
Class S | | | | | 5,984 | | | | | | 477,369 | | | | | | 966,495 | | | | | | 4,240,104 | | |
Class S2 | | | | | — | | | | | | 667 | | | | | | 587 | | | | | | 54,790 | | |
Class T | | | | | — | | | | | | 173,022 | | | | | | — | | | | | | — | | |
Transfer agent fees | | | | | 300 | | | | | | 180 | | | | | | 5,715 | | | | | | 5,107 | | |
Administrative service fees(1) | | | | | 168,681 | | | | | | 150,033 | | | | | | 1,404,051 | | | | | | 1,545,047 | | |
Shareholder reporting expense | | | | | 32,432 | | | | | | 10,040 | | | | | | 117,845 | | | | | | 127,173 | | |
Professional fees | | | | | 20,806 | | | | | | 10,995 | | | | | | 82,786 | | | | | | 91,611 | | |
Custody and accounting expense | | | | | 95,021 | | | | | | 72,345 | | | | | | 196,616 | | | | | | 207,221 | | |
Directors fees | | | | | 7,664 | | | | | | 10,011 | | | | | | 63,656 | | | | | | 69,911 | | |
Miscellaneous expense | | | | | 14,344 | | | | | | 6,473 | | | | | | 93,250 | | | | | | 68,343 | | |
Interest expense | | | | | 84 | | | | | | 644 | | | | | | 1,907 | | | | | | 491 | | |
Total expenses | | | | | 1,696,853 | | | | | | 2,367,197 | | | | | | 17,451,675 | | | | | | 16,837,305 | | |
Net waived and reimbursed fees | | | | | (114,019) | | | | | | (34,738) | | | | | | (1,276,663) | | | | | | (1,051,018) | | |
Net expenses | | | | | 1,582,834 | | | | | | 2,332,459 | | | | | | 16,175,012 | | | | | | 15,786,287 | | |
Net investment income | | | | | 4,890,519 | | | | | | 9,658,915 | | | | | | 35,298,136 | | | | | | 68,412,611 | | |
REALIZED AND UNREALIZED GAIN (LOSS): | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 17,079,332 | | | | | | 23,168,224 | | | | | | 277,158,885 | | | | | | 6,252,285 | | |
Sale of investments in affiliates | | | | | — | | | | | | — | | | | | | — | | | | | | (2,019,122) | | |
Foreign currency related transactions | | | | | (604,074) | | | | | | 49,410 | | | | | | 12,250 | | | | | | 580,640 | | |
Futures | | | | | 894,179 | | | | | | — | | | | | | 963,331 | | | | | | (14,955,841) | | |
Swaps | | | | | 87,707 | | | | | | — | | | | | | — | | | | | | 3,708,912 | | |
Written options | | | | | 161,065 | | | | | | — | | | | | | — | | | | | | (1,886,618) | | |
Net realized gain (loss) | | | | | 17,618,209 | | | | | | 23,217,634 | | | | | | 278,134,466 | | | | | | (8,319,744) | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (15,264,374) | | | | | | (17,601,134) | | | | | | (241,652,689) | | | | | | (40,465,698) | | |
Affiliated underlying funds | | | | | (75,910) | | | | | | — | | | | | | — | | | | | | (3,155,040) | | |
Foreign currency related transactions | | | | | (5,009) | | | | | | (24,641) | | | | | | 2,758 | | | | | | (840,881) | | |
Futures | | | | | (144,686) | | | | | | — | | | | | | (726,481) | | | | | | (7,929,475) | | |
Swaps | | | | | (152,484) | | | | | | — | | | | | | — | | | | | | 2,275,667 | | |
Written options | | | | | (17,991) | | | | | | — | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation) | | | | | (15,660,454) | | | | | | (17,625,775) | | | | | | (242,376,412) | | | | | | (50,115,427) | | |
Net realized and unrealized gain (loss) | | | | | 1,957,755 | | | | | | 5,591,859 | | | | | | 35,758,054 | | | | | | (58,435,171) | | |
Increase in net assets resulting from operations | | | | $ | 6,848,274 | | | | | $ | 15,250,774 | | | | | $ | 71,056,190 | | | | | $ | 9,977,440 | | |
* Foreign taxes withheld | | | | $ | 150,515 | | | | | $ | 862,333 | | | | | $ | 183,114 | | | | | $ | — | | |
(1)
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.
See Accompanying Notes to Financial Statements
10
STATEMENTS OF OPERATIONS for the six months ended June 30, 2015 (Unaudited)
| | | Voya Money Market Portfolio | | | Voya Small Company Portfolio | | ||||||
INVESTMENT INCOME: | | | | | | | | | | | | | |
Dividends, net of foreign taxes withheld* | | | | $ | 17,579 | | | | | $ | 3,607,820 | | |
Interest, net of foreign taxes withheld* | | | | | 606,810 | | | | | | — | | |
Securities lending income, net | | | | | — | | | | | | 75,422 | | |
Total investment income | | | | | 624,389 | | | | | | 3,683,242 | | |
EXPENSES: | | | | | | | | | | | | | |
Investment management fees(1) | | | | | 822,717 | | | | | | 2,499,533 | | |
Distribution and shareholder service fees: | | | | ||||||||||
Class ADV | | | | | — | | | | | | 14,457 | | |
Class S | | | | | 131 | | | | | | 142,877 | | |
Class S2(2) | | | | | — | | | | | | 11 | | |
Transfer agent fees | | | | | 388 | | | | | | 521 | | |
Administrative service fees(1) | | | | | 194,439 | | | | | | 210,498 | | |
Shareholder reporting expense | | | | | 24,210 | | | | | | 20,634 | | |
Professional fees | | | | | 15,020 | | | | | | 20,350 | | |
Custody and accounting expense | | | | | 34,530 | | | | | | 39,820 | | |
Directors fees | | | | | 8,795 | | | | | | 9,644 | | |
Miscellaneous expense | | | | | 15,370 | | | | | | 16,999 | | |
Interest expense | | | | | 524 | | | | | | 72 | | |
Total expenses | | | | | 1,116,124 | | | | | | 2,975,416 | | |
Net waived and reimbursed fees | | | | | (491,735) | | | | | | (143,478) | | |
Net expenses | | | | | 624,389 | | | | | | 2,831,938 | | |
Net investment income | | | | | — | | | | | | 851,304 | | |
REALIZED AND UNREALIZED GAIN (LOSS): | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | |
Investments | | | | | 31,775 | | | | | | 41,750,145 | | |
Net realized gain | | | | | 31,775 | | | | | | 41,750,145 | | |
Net change in unrealized appreciation (depreciation) on: | | �� | | | | | | | | | | | |
Investments | | | | | — | | | | | | (8,274,173) | | |
Net change in unrealized appreciation (depreciation) | | | | | — | | | | | | (8,274,173) | | |
Net realized and unrealized gain | | | | | 31,775 | | | | | | 33,475,972 | | |
Increase in net assets resulting from operations | | | | $ | 31,775 | | | | | $ | 34,327,276 | | |
* Foreign taxes withheld | | | | $ | 267 | | | | | $ | 12,824 | | |
(1)
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.
(2)
Class S2 for Voya Small Company Portfolio liquidated on May 28, 2015.
See Accompanying Notes to Financial Statements
11
Statements of Changes in Net Assets (Unaudited)
| | | Voya Balanced Portfolio | | | Voya Global Value Advantage Portfolio | | ||||||||||||||||||
| | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | ||||||||||||
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 4,890,519 | | | | | $ | 11,612,453 | | | | | $ | 9,658,915 | | | | | $ | 4,050,134 | | |
Net realized gain | | | | | 17,618,209 | | | | | | 36,367,262 | | | | | | 23,217,634 | | | | | | 11,266,385 | | |
Net change in unrealized appreciation (depreciation) | | | | | (15,660,454) | | | | | | (15,716,533) | | | | | | (17,625,775) | | | | | | (6,805,584) | | |
Increase in net assets resulting from operations | | | | | 6,848,274 | | | | | | 32,263,182 | | | | | | 15,250,774 | | | | | | 8,510,935 | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | ||||||||||||||||||||
Net investment income: | | | | | | ||||||||||||||||||||
Class ADV | | | | | — | | | | | | — | | | | | | — | | | | | | (34,754) | | |
Class I | | | | | (9,483,192) | | | | | | (8,604,651) | | | | | | (1,130,564) | | | | | | — | | |
Class S | | | | | (77,986) | | | | | | (78,141) | | | | | | (2,463,068) | | | | | | (5,096,647) | | |
Class S2 | | | | | — | | | | | | — | | | | | | (1,762) | | | | | | — | | |
Class T | | | | | — | | | | | | — | | | | | | (416,187) | | | | | | — | | |
Total distributions | | | | | (9,561,178) | | | | | | (8,682,792) | | | | | | (4,011,581) | | | | | | (5,131,401) | | |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 1,817,106 | | | | | | 7,209,160 | | | | | | 119,911,040 | | | | | | 7,948,827 | | |
Proceeds from shares issued in merger (Note 15) | | | | | — | | | | | | — | | | | | | 646,506,805 | | | | | | — | | |
Reinvestment of distributions | | | | | 9,561,178 | | | | | | 8,682,792 | | | | | | 4,011,581 | | | | | | 5,131,401 | | |
| | | | | 11,378,284 | | | | | | 15,891,952 | | | | | | 770,429,426 | | | | | | 13,080,228 | | |
Cost of shares redeemed | | | | | (29,140,627) | | | | | | (71,405,477) | | | | | | (182,106,671) | | | | | | (27,339,058) | | |
Net increase (decrease) in net assets resulting from capital share transactions | | | | | (17,762,343) | | | | | | (55,513,525) | | | | | | 588,322,755 | | | | | | (14,258,830) | | |
Net increase (decrease) in net assets | | | | | (20,475,247) | | | | | | (31,933,135) | | | | | | 599,561,948 | | | | | | (10,879,296) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year or period | | | | | 512,009,799 | | | | | | 543,942,934 | | | | | | 169,760,290 | | | | | | 180,639,586 | | |
End of year or period | | | | $ | 491,534,552 | | | | | $ | 512,009,799 | | | | | $ | 769,322,238 | | | | | $ | 169,760,290 | | |
Undistributed net investment income at end of year or period | | | | $ | 5,204,360 | | | | | $ | 9,875,019 | | | | | $ | 9,630,531 | | | | | $ | 3,983,197 | | |
See Accompanying Notes to Financial Statements
12
Statements of Changes in Net Assets (Unaudited)
| | | Voya Growth and Income Portfolio | | | Voya Intermediate Bond Portfolio | | ||||||||||||||||||
| | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | ||||||||||||
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 35,298,136 | | | | | $ | 77,340,845 | | | | | $ | 68,412,611 | | | | | $ | 135,438,503 | | |
Net realized gain (loss) | | | | | 278,134,466 | | | | | | 526,847,895 | | | | | | (8,319,744) | | | | | | 87,219,936 | | |
Net change in unrealized appreciation (depreciation) | | | | | (242,376,412) | | | | | | (164,946,310) | | | | | | (50,115,427) | | | | | | 19,693,504 | | |
Increase in net assets resulting from operations | | | | | 71,056,190 | | | | | | 439,242,430 | | | | | | 9,977,440 | | | | | | 242,351,943 | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | ||||||||||||||||||||
Net investment income: | | | | | | ||||||||||||||||||||
Class ADV | | | | | — | | | | | | (20,253,935) | | | | | | (358,856) | | | | | | (5,558,145) | | |
Class I | | | | | — | | | | | | (41,711,859) | | | | | | (1,901,678) | | | | | | (31,200,782) | | |
Class S | | | | | — | | | | | | (13,490,161) | | | | | | (6,230,709) | | | | | | (106,574,035) | | |
Class S2 | | | | | — | | | | | | (3,255) | | | | | | (50,471) | | | | | | (161,042) | | |
Net realized gains: | | | | | | ||||||||||||||||||||
Class ADV | | | | | — | | | | | | (149,931,317) | | | | | | — | | | | | | — | | |
Class I | | | | | — | | | | | | (235,869,791) | | | | | | — | | | | | | — | | |
Class S | | | | | — | | | | | | (87,990,084) | | | | | | — | | | | | | — | | |
Class S2 | | | | | — | | | | | | (34,844) | | | | | | — | | | | | | — | | |
Total distributions | | | | | — | | | | | | (549,285,246) | | | | | | (8,541,714) | | | | | | (143,494,004) | | |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 10,771,320 | | | | | | 46,421,375 | | | | | | 187,286,534 | | | | | | 215,719,028 | | |
Proceeds from shares issued in merger (Note 15) | | | | | — | | | | | | — | | | | | | — | | | | | | 2,882,928,925 | | |
Reinvestment of distributions | | | | | — | | | | | | 548,990,972 | | | | | | 8,541,141 | | | | | | 143,483,422 | | |
| | | | | 10,771,320 | | | | | | 595,412,347 | | | | | | 195,827,675 | | | | | | 3,242,131,375 | | |
Cost of shares redeemed | | | | | (304,100,255) | | | | | | (692,572,215) | | | | | | (322,721,093) | | | | | | (733,223,928) | | |
Net increase (decrease) in net assets resulting from capital share transactions | | | | | (293,328,935) | | | | | | (97,159,868) | | | | | | (126,893,418) | | | | | | 2,508,907,447 | | |
Net increase (decrease) in net assets | | | | | (222,272,745) | | | | | | (207,202,684) | | | | | | (125,457,692) | | | | | | 2,607,765,386 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year or period | | | | | 4,283,726,339 | | | | | | 4,490,929,023 | | | | | | 4,633,560,771 | | | | | | 2,025,795,385 | | |
End of year or period | | | | $ | 4,061,453,594 | | | | | $ | 4,283,726,339 | | | | | $ | 4,508,103,079 | | | | | $ | 4,633,560,771 | | |
Distributions in excess of net investment income/Accumulated net investment loss at end of year or period | | | | $ | 34,789,982 | | | | | $ | (508,154) | | | | | $ | 65,070,629 | | | | | $ | 5,199,732 | | |
See Accompanying Notes to Financial Statements
13
Statements of Changes in Net Assets (Unaudited)
| | | Voya Money Market Portfolio | | | Voya Small Company Portfolio | | ||||||||||||||||||
| | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | ||||||||||||
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | — | | | | | $ | — | | | | | $ | 851,304 | | | | | $ | 1,863,729 | | |
Net realized gain | | | | | 31,775 | | | | | | 65,891 | | | | | | 41,750,145 | | | | | | 94,017,009 | | |
Net change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | (8,274,173) | | | | | | (55,993,316) | | |
Increase in net assets resulting from operations | | | | | 31,775 | | | | | | 65,891 | | | | | | 34,327,276 | | | | | | 39,887,422 | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | — | | | | | | (2,508,306) | | | | | | (1,995,917) | | |
Class S | | | | | — | | | | | | — | | | | | | (277,275) | | | | | | (116,064) | | |
Net realized gains: | | | | | | ||||||||||||||||||||
Class ADV | | | | | — | | | | | | — | | | | | | (833,677) | | | | | | (780,154) | | |
Class I | | | | | (65,980) | | | | | | (109,900) | | | | | | (72,451,613) | | | | | | (61,891,884) | | |
Class S | | | | | (12) | | | | | | (16) | | | | | | (16,327,083) | | | | | | (13,010,836) | | |
Class S2 | | | | | — | | | | | | — | | | | | | — | | | | | | (3,725) | | |
Total distributions | | | | | (65,992) | | | | | | (109,916) | | | | | | (92,397,954) | | | | | | (77,798,580) | | |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 40,791,713 | | | | | | 70,333,921 | | | | | | 14,166,006 | | | | | | 60,263,113 | | |
Reinvestment of distributions | | | | | 65,992 | | | | | | 109,916 | | | | | | 92,397,954 | | | | | | 77,798,580 | | |
| | | | | 40,857,705 | | | | | | 70,443,837 | | | | | | 106,563,960 | | | | | | 138,061,693 | | |
Cost of shares redeemed | | | | | (86,149,145) | | | | | | (222,207,656) | | | | | | (44,047,017) | | | | | | (164,207,275) | | |
Net increase (decrease) in net assets resulting from capital share transactions | | | | | (45,291,440) | | | | | | (151,763,819) | | | | | | 62,516,943 | | | | | | (26,145,582) | | |
Net increase (decrease) in net assets | | | | | (45,325,657) | | | | | | (151,807,844) | | | | | | 4,446,265 | | | | | | (64,056,740) | | |
NET ASSETS: | | | | | | | ��� | | | | | | | | | | | | | | | | | | |
Beginning of year or period | | | | | 616,850,845 | | | | | | 768,658,689 | | | | | | 641,832,974 | | | | | | 705,889,714 | | |
End of year or period | | | | $ | 571,525,188 | | | | | $ | 616,850,845 | | | | | $ | 646,279,239 | | | | | $ | 641,832,974 | | |
Undistributed (distributions in excess of) net investment income at end of year or period | | | | $ | (139,822) | | | | | $ | (139,822) | | | | | $ | 803,057 | | | | | $ | 2,737,334 | | |
See Accompanying Notes to Financial Statements
14
Financial Highlights (Unaudited)
Selected data for a share of beneficial interest outstanding throughout each year or period.
| | | | | | | | | 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) | | | (%) | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Voya Balanced Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 14.64 | | | | | | 0.14• | | | | | | 0.05 | | | | | | 0.19 | | | | | | 0.28 | | | | | | — | | | | | | — | | | | | | 0.28 | | | | | | — | | | | | | 14.55 | | | | | | 1.27 | | | | | | 0.67 | | | | | | 0.62 | | | | | | 0.62 | | | | | | 1.93 | | | | | | 486,884 | | | | | | 104 | | |
12-31-14 | | | | | 14.01 | | | | | | 0.31• | | | | | | 0.55 | | | | | | 0.86 | | | | | | 0.23 | | | | | | — | | | | | | — | | | | | | 0.23 | | | | | | — | | | | | | 14.64 | | | | | | 6.22 | | | | | | 0.63 | | | | | | 0.63 | | | | | | 0.63 | | | | | | 2.18 | | | | | | 507,213 | | | | | | 192 | | |
12-31-13 | | | | | 12.27 | | | | | | 0.28• | | | | | | 1.74 | | | | | | 2.02 | | | | | | 0.28 | | | | | | — | | | | | | — | | | | | | 0.28 | | | | | | — | | | | | | 14.01 | | | | | | 16.71 | | | | | | 0.64 | | | | | | 0.64 | | | | | | 0.64 | | | | | | 2.13 | | | | | | 538,114 | | | | | | 210 | | |
12-31-12 | | | | | 11.13 | | | | | | 0.30• | | | | | | 1.20 | | | | | | 1.50 | | | | | | 0.36 | | | | | | — | | | | | | — | | | | | | 0.36 | | | | | | — | | | | | | 12.27 | | | | | | 13.64 | | | | | | 0.64 | | | | | | 0.64 | | | | | | 0.64 | | | | | | 2.57 | | | | | | 520,249 | | | | | | 234 | | |
12-31-11 | | | | | 11.58 | | | | | | 0.29• | | | | | | (0.43) | | | | | | (0.14) | | | | | | 0.31 | | | | | | — | | | | | | — | | | | | | 0.31 | | | | | | — | | | | | | 11.13 | | | | | | (1.40) | | | | | | 0.65 | | | | | | 0.65 | | | | | | 0.65 | | | | | | 2.51 | | | | | | 524,887 | | | | | | 259 | | |
12-31-10 | | | | | 10.42 | | | | | | 0.27• | | | | | | 1.19 | | | | | | 1.46 | | | | | | 0.30 | | | | | | — | | | | | | — | | | | | | 0.30 | | | | | | — | | | | | | 11.58 | | | | | | 14.22 | | | | | | 0.62 | | | | | | 0.62† | | | | | | 0.62† | | | | | | 2.47† | | | | | | 614,261 | | | | | | 328 | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 14.55 | | | | | | 0.12• | | | | | | 0.05 | | | | | | 0.17 | | | | | | 0.24 | | | | | | — | | | | | | — | | | | | | 0.24 | | | | | | — | | | | | | 14.48 | | | | | | 1.14 | | | | | | 0.92 | | | | | | 0.87 | | | | | | 0.87 | | | | | | 1.68 | | | | | | 4,651 | | | | | | 104 | | |
12-31-14 | | | | | 13.92 | | | | | | 0.28• | | | | | | 0.55 | | | | | | 0.83 | | | | | | 0.20 | | | | | | — | | | | | | — | | | | | | 0.20 | | | | | | — | | | | | | 14.55 | | | | | | 5.99 | | | | | | 0.88 | | | | | | 0.88 | | | | | | 0.88 | | | | | | 1.94 | | | | | | 4,797 | | | | | | 192 | | |
12-31-13 | | | | | 12.20 | | | | | | 0.24• | | | | | | 1.73 | | | | | | 1.97 | | | | | | 0.25 | | | | | | — | | | | | | — | | | | | | 0.25 | | | | | | — | | | | | | 13.92 | | | | | | 16.33 | | | | | | 0.89 | | | | | | 0.89 | | | | | | 0.89 | | | | | | 1.88 | | | | | | 5,829 | | | | | | 210 | | |
12-31-12 | | | | | 11.05 | | | | | | 0.27• | | | | | | 1.21 | | | | | | 1.48 | | | | | | 0.33 | | | | | | — | | | | | | — | | | | | | 0.33 | | | | | | — | | | | | | 12.20 | | | | | | 13.49 | | | | | | 0.89 | | | | | | 0.89 | | | | | | 0.89 | | | | | | 2.32 | | | | | | 5,567 | | | | | | 234 | | |
12-31-11 | | | | | 11.50 | | | | | | 0.26• | | | | | | (0.43) | | | | | | (0.17) | | | | | | 0.28 | | | | | | — | | | | | | — | | | | | | 0.28 | | | | | | — | | | | | | 11.05 | | | | | | (1.66) | | | | | | 0.90 | | | | | | 0.90 | | | | | | 0.90 | | | | | | 2.25 | | | | | | 5,953 | | | | | | 259 | | |
12-31-10 | | | | | 10.36 | | | | | | 0.24 | | | | | | 1.18 | | | | | | 1.42 | | | | | | 0.28 | | | | | | — | | | | | | — | | | | | | 0.28 | | | | | | — | | | | | | 11.50 | | | | | | 13.87 | | | | | | 0.87 | | | | | | 0.87† | | | | | | 0.87† | | | | | | 2.22† | | | | | | 7,933 | | | | | | 328 | | |
Voya Global Value Advantage Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 9.11 | | | | | | 0.16• | | | | | | 0.23 | | | | | | 0.39 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 9.50 | | | | | | 4.28 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 3.44 | | | | | | 24,817 | | | | | | 51 | | |
12-31-14 | | | | | 8.94 | | | | | | 0.19 | | | | | | 0.22 | | | | | | 0.41 | | | | | | 0.24 | | | | | | — | | | | | | — | | | | | | 0.24 | | | | | | — | | | | | | 9.11 | | | | | | 4.65 | | | | | | 1.12 | | | | | | 1.12 | | | | | | 1.12 | | | | | | 2.03 | | | | | | 1,279 | | | | | | 88 | | |
12-31-13 | | | | | 8.15 | | | | | | 0.23• | | | | | | 0.85 | | | | | | 1.08 | | | | | | 0.29 | | | | | | — | | | | | | — | | | | | | 0.29 | | | | | | — | | | | | | 8.94 | | | | | | 13.46 | | | | | | 1.27 | | | | | | 1.28 | | | | | | 1.28 | | | | | | 2.70 | | | | | | 1,312 | | | | | | 122 | | |
12-31-12 | | | | | 7.38 | | | | | | 0.25• | | | | | | 0.81 | | | | | | 1.06 | | | | | | 0.29 | | | | | | — | | | | | | — | | | | | | 0.29 | | | | | | — | | | | | | 8.15 | | | | | | 14.74 | | | | | | 1.33 | | | | | | 1.34 | | | | | | 1.34 | | | | | | 3.25 | | | | | | 1,485 | | | | | | 23 | | |
12-31-11 | | | | | 7.93 | | | | | | 0.27• | | | | | | (0.56) | | | | | | (0.29) | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 7.38 | | | | | | (4.18) | | | | | | 1.34 | | | | | | 1.34 | | | | | | 1.34 | | | | | | 3.48 | | | | | | 812 | | | | | | 25 | | |
12-31-10 | | | | | 7.76 | | | | | | 0.20• | | | | | | 0.24 | | | | | | 0.44 | | | | | | 0.27 | | | | | | — | | | | | | — | | | | | | 0.27 | | | | | | — | | | | | | 7.93 | | | | | | 5.80 | | | | | | 1.37 | | | | | | 1.34† | | | | | | 1.34† | | | | | | 2.67† | | | | | | 695 | | | | | | 47 | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
03-05-15(5) - 06-30-15 | | | | | 9.63 | | | | | | 0.12• | | | | | | (0.13) | | | | | | (0.01) | | | | | | 0.06 | | | | | | — | | | | | | — | | | | | | 0.06 | | | | | | — | | | | | | 9.56 | | | | | | (0.17) | | | | | | 0.59 | | | | | | 0.59 | | | | | | 0.59 | | | | | | 3.80 | | | | | | 189,505 | | | | | | 51 | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 9.20 | | | | | | 0.16• | | | | | | 0.26 | | | | | | 0.42 | | | | | | 0.05 | | | | | | — | | | | | | — | | | | | | 0.05 | | | | | | — | | | | | | 9.57 | | | | | | 4.52 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 3.28 | | | | | | 486,761 | | | | | | 51 | | |
12-31-14 | | | | | 9.03 | | | | | | 0.21• | | | | | | 0.22 | | | | | | 0.43 | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 9.20 | | | | | | 4.87 | | | | | | 0.87 | | | | | | 0.87 | | | | | | 0.87 | | | | | | 2.28 | | | | | | 168,482 | | | | | | 88 | | |
12-31-13 | | | | | 8.23 | | | | | | 0.25• | | | | | | 0.85 | | | | | | 1.10 | | | | | | 0.30 | | | | | | — | | | | | | — | | | | | | 0.30 | | | | | | — | | | | | | 9.03 | | | | | | 13.63 | | | | | | 1.02 | | | | | | 1.03 | | | | | | 1.03 | | | | | | 2.96 | | | | | | 179,327 | | | | | | 122 | | |
12-31-12 | | | | | 7.44 | | | | | | 0.27• | | | | | | 0.83 | | | | | | 1.10 | | | | | | 0.31 | | | | | | — | | | | | | — | | | | | | 0.31 | | | | | | — | | | | | | 8.23 | | | | | | 15.12 | | | | | | 1.08 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 3.54 | | | | | | 180,208 | | | | | | 23 | | |
12-31-11 | | | | | 7.96 | | | | | | 0.30• | | | | | | (0.57) | | | | | | (0.27) | | | | | | 0.25 | | | | | | — | | | | | | — | | | | | | 0.25 | | | | | | — | | | | | | 7.44 | | | | | | (3.87) | | | | | | 1.09 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 3.76 | | | | | | 173,576 | | | | | | 25 | | |
12-31-10 | | | | | 7.77 | | | | | | 0.24• | | | | | | 0.20 | | | | | | 0.44 | | | | | | 0.25 | | | | | | — | | | | | | — | | | | | | 0.25 | | | | | | — | | | | | | 7.96 | | | | | | 5.86 | | | | | | 1.12 | | | | | | 1.09† | | | | | | 1.09† | | | | | | 3.23† | | | | | | 206,216 | | | | | | 47 | | |
Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
03-05-15(5) - 06-30-15 | | | | | 9.52 | | | | | | 0.06• | | | | | | (0.08) | | | | | | (0.02) | | | | | | 0.06 | | | | | | — | | | | | | — | | | | | | 0.06 | | | | | | — | | | | | | 9.44 | | | | | | (0.27) | | | | | | 1.09 | | | | | | 0.99 | | | | | | 0.99 | | | | | | 2.03 | | | | | | 306 | | | | | | 51 | | |
Class T | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
03-05-15(5) - 06-30-15 | | | | | 9.52 | | | | | | 0.10• | | | | | | (0.12) | | | | | | (0.02) | | | | | | 0.06 | | | | | | — | | | | | | — | | | | | | 0.06 | | | | | | — | | | | | | 9.44 | | | | | | (0.27) | | | | | | 1.34 | | | | | | 1.19 | | | | | | 1.19 | | | | | | 3.14 | | | | | | 67,932 | | | | | | 51 | | |
See Accompanying Notes to Financial Statements
15
Financial Highlights (Unaudited) (continued)
| | | | | | | | | 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) | | | (%) | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Voya Growth and Income Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 30.28 | | | | | | 0.22• | | | | | | 0.23 | | | | | | 0.45 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 30.73 | | | | | | 1.49 | | | | | | 1.13 | | | | | | 1.03 | | | | | | 1.03 | | | | | | 1.41 | | | | | | 1,262,188 | | | | | | 31 | | |
12-31-14 | | | | | 31.36 | | | | | | 0.49• | | | | | | 2.77 | | | | | | 3.26 | | | | | | 0.52 | | | | | | 3.82 | | | | | | — | | | | | | 4.34 | | | | | | — | | | | | | 30.28 | | | | | | 10.19 | | | | | | 1.08 | | | | | | 1.03 | | | | | | 1.03 | | | | | | 1.49 | | | | | | 1,348,687 | | | | | | 87 | | |
12-31-13 | | | | | 24.31 | | | | | | 0.22• | | | | | | 7.09 | | | | | | 7.31 | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 31.36 | | | | | | 30.07 | | | | | | 1.09 | | | | | | 1.04 | | | | | | 1.04 | | | | | | 0.80 | | | | | | 1,441,995 | | | | | | 49 | | |
12-31-12 | | | | | 21.39 | | | | | | 0.29• | | | | | | 2.97 | | | | | | 3.26 | | | | | | 0.34 | | | | | | — | | | | | | — | | | | | | 0.34 | | | | | | — | | | | | | 24.31 | | | | | | 15.24 | | | | | | 1.09 | | | | | | 1.04 | | | | | | 1.04 | | | | | | 1.23 | | | | | | 1,251,577 | | | | | | 57 | | |
12-31-11 | | | | | 21.74 | | | | | | 0.22 | | | | | | (0.38) | | | | | | (0.16) | | | | | | 0.19 | | | | | | — | | | | | | — | | | | | | 0.19 | | | | | | — | | | | | | 21.39 | | | | | | (0.72) | | | | | | 1.08 | | | | | | 1.03 | | | | | | 1.03 | | | | | | 1.03 | | | | | | 1,221,084 | | | | | | 75 | | |
12-31-10 | | | | | 19.31 | | | | | | 0.15• | | | | | | 2.47 | | | | | | 2.62 | | | | | | 0.19 | | | | | | — | | | | | | — | | | | | | 0.19 | | | | | | — | | | | | | 21.74 | | | | | | 13.55 | | | | | | 1.10 | | | | | | 1.10† | | | | | | 1.10† | | | | | | 0.77† | | | | | | 6,037 | | | | | | 117 | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 30.63 | | | | | | 0.29• | | | | | | 0.22 | | | | | | 0.51 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 31.14 | | | | | | 1.67 | | | | | | 0.63 | | | | | | 0.58 | | | | | | 0.58 | | | | | | 1.87 | | | | | | 2,062,216 | | | | | | 31 | | |
12-31-14 | | | | | 31.67 | | | | | | 0.64• | | | | | | 2.82 | | | | | | 3.46 | | | | | | 0.68 | | | | | | 3.82 | | | | | | — | | | | | | 4.50 | | | | | | — | | | | | | 30.63 | | | | | | 10.72 | | | | | | 0.58 | | | | | | 0.58 | | | | | | 0.58 | | | | | | 1.94 | | | | | | 2,140,398 | | | | | | 87 | | |
12-31-13 | | | | | 24.54 | | | | | | 0.35• | | | | | | 7.17 | | | | | | 7.52 | | | | | | 0.39 | | | | | | — | | | | | | — | | | | | | 0.39 | | | | | | — | | | | | | 31.67 | | | | | | 30.66 | | | | | | 0.59 | | | | | | 0.59 | | | | | | 0.59 | | | | | | 1.25 | | | | | | 2,182,314 | | | | | | 49 | | |
12-31-12 | | | | | 21.59 | | | | | | 0.40• | | | | | | 3.00 | | | | | | 3.40 | | | | | | 0.45 | | | | | | — | | | | | | — | | | | | | 0.45 | | | | | | — | | | | | | 24.54 | | | | | | 15.78 | | | | | | 0.59 | | | | | | 0.59 | | | | | | 0.59 | | | | | | 1.68 | | | | | | 1,865,425 | | | | | | 57 | | |
12-31-11 | | | | | 21.94 | | | | | | 0.31• | | | | | | (0.37) | | | | | | (0.06) | | | | | | 0.29 | | | | | | — | | | | | | — | | | | | | 0.29 | | | | | | — | | | | | | 21.59 | | | | | | (0.27) | | | | | | 0.58 | | | | | | 0.58 | | | | | | 0.58 | | | | | | 1.39 | | | | | | 1,873,712 | | | | | | 75 | | |
12-31-10 | | | | | 19.42 | | | | | | 0.22 | | | | | | 2.53 | | | | | | 2.75 | | | | | | 0.23 | | | | | | — | | | | | | — | | | | | | 0.23 | | | | | | — | | | | | | 21.94 | | | | | | 14.14 | | | | | | 0.60 | | | | | | 0.60† | | | | | | 0.60† | | | | | | 1.12† | | | | | | 2,253,794 | | | | | | 117 | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 30.31 | | | | | | 0.25• | | | | | | 0.22 | | | | | | 0.47 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 30.78 | | | | | | 1.55 | | | | | | 0.88 | | | | | | 0.83 | | | | | | 0.83 | | | | | | 1.61 | | | | | | 736,811 | | | | | | 31 | | |
12-31-14 | | | | | 31.38 | | | | | | 0.56• | | | | | | 2.78 | | | | | | 3.34 | | | | | | 0.59 | | | | | | 3.82 | | | | | | — | | | | | | 4.41 | | | | | | — | | | | | | 30.31 | | | | | | 10.44 | | | | | | 0.83 | | | | | | 0.83 | | | | | | 0.83 | | | | | | 1.70 | | | | | | 794,327 | | | | | | 87 | | |
12-31-13 | | | | | 24.32 | | | | | | 0.28• | | | | | | 7.10 | | | | | | 7.38 | | | | | | 0.32 | | | | | | — | | | | | | — | | | | | | 0.32 | | | | | | — | | | | | | 31.38 | | | | | | 30.34 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 1.00 | | | | | | 865,453 | | | | | | 49 | | |
12-31-12 | | | | | 21.40 | | | | | | 0.34• | | | | | | 2.97 | | | | | | 3.31 | | | | | | 0.39 | | | | | | — | | | | | | — | | | | | | 0.39 | | | | | | — | | | | | | 24.32 | | | | | | 15.47 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 1.42 | | | | | | 772,713 | | | | | | 57 | | |
12-31-11 | | | | | 21.77 | | | | | | 0.24• | | | | | | (0.35) | | | | | | (0.11) | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 21.40 | | | | | | (0.51) | | | | | | 0.83 | | | | | | 0.83 | | | | | | 0.83 | | | | | | 1.13 | | | | | | 795,131 | | | | | | 75 | | |
12-31-10 | | | | | 19.28 | | | | | | 0.18 | | | | | | 2.48 | | | | | | 2.66 | | | | | | 0.17 | | | | | | — | | | | | | — | | | | | | 0.17 | | | | | | — | | | | | | 21.77 | | | | | | 13.81 | | | | | | 0.85 | | | | | | 0.85† | | | | | | 0.85† | | | | | | 0.87† | | | | | | 480,529 | | | | | | 117 | | |
Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 30.11 | | | | | | 0.23• | | | | | | 0.22 | | | | | | 0.45 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 30.56 | | | | | | 1.49 | | | | | | 1.13 | | | | | | 0.98 | | | | | | 0.98 | | | | | | 1.52 | | | | | | 238 | | | | | | 31 | | |
12-31-14 | | | | | 31.05 | | | | | | 0.54• | | | | | | 2.70 | | | | | | 3.24 | | | | | | 0.36 | | | | | | 3.82 | | | | | | — | | | | | | 4.18 | | | | | | — | | | | | | 30.11 | | | | | | 10.24 | | | | | | 1.08 | | | | | | 0.98 | | | | | | 0.98 | | | | | | 1.68 | | | | | | 314 | | | | | | 87 | | |
12-31-13 | | | | | 24.08 | | | | | | 0.22 | | | | | | 7.04 | | | | | | 7.26 | | | | | | 0.29 | | | | | | — | | | | | | — | | | | | | 0.29 | | | | | | — | | | | | | 31.05 | | | | | | 30.17 | | | | | | 1.09 | | | | | | 0.99 | | | | | | 0.99 | | | | | | 0.85 | | | | | | 1,167 | | | | | | 49 | | |
12-31-12 | | | | | 21.23 | | | | | | 0.35• | | | | | | 2.90 | | | | | | 3.25 | | | | | | 0.40 | | | | | | — | | | | | | — | | | | | | 0.40 | | | | | | — | | | | | | 24.08 | | | | | | 15.30 | | | | | | 1.09 | | | | | | 0.99 | | | | | | 0.99 | | | | | | 1.47 | | | | | | 728 | | | | | | 57 | | |
12-31-11 | | | | | 21.52 | | | | | | 0.41• | | | | | | (0.54) | | | | | | (0.13) | | | | | | 0.16 | | | | | | — | | | | | | — | | | | | | 0.16 | | | | | | — | | | | | | 21.23 | | | | | | (0.59) | | | | | | 1.08 | | | | | | 0.98 | | | | | | 0.98 | | | | | | 1.99 | | | | | | 217 | | | | | | 75 | | |
12-31-10 | | | | | 19.26 | | | | | | 0.14 | | | | | | 2.28 | | | | | | 2.42 | | | | | | 0.16 | | | | | | — | | | | | | — | | | | | | 0.16 | | | | | | — | | | | | | 21.52 | | | | | | 12.55 | | | | | | 1.10 | | | | | | 1.00† | | | | | | 1.00† | | | | | | 0.72† | | | | | | 5 | | | | | | 117 | | |
Voya Intermediate Bond Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 12.81 | | | | | | 0.17• | | | | | | (0.17) | | | | | | 0.00* | | | | | | 0.02 | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | — | | | | | | 12.79 | | | | | | 0.03 | | | | | | 1.02 | | | | | | 0.98 | | | | | | 0.98 | | | | | | 2.67 | | | | | | 191,443 | | | | | | 184 | | |
12-31-14 | | | | | 12.42 | | | | | | 0.38• | | | | | | 0.39 | | | | | | 0.77 | | | | | | 0.38 | | | | | | — | | | | | | — | | | | | | 0.38 | | | | | | — | | | | | | 12.81 | | | | | | 6.21 | | | | | | 0.97 | | | | | | 0.97 | | | | | | 0.97 | | | | | | 2.97 | | | | | | 191,895 | | | | | | 428 | | |
12-31-13 | | | | | 12.88 | | | | | | 0.39 | | | | | | (0.47) | | | | | | (0.08) | | | | | | 0.38 | | | | | | — | | | | | | — | | | | | | 0.38 | | | | | | — | | | | | | 12.42 | | | | | | (0.62) | | | | | | 0.99 | | | | | | 0.99 | | | | | | 0.99 | | | | | | 3.05 | | | | | | 37,058 | | | | | | 389 | | |
12-31-12 | | | | | 12.34 | | | | | | 0.42• | | | | | | 0.67 | | | | | | 1.09 | | | | | | 0.55 | | | | | | — | | | | | | — | | | | | | 0.55 | | | | | | — | | | | | | 12.88 | | | | | | 8.85 | | | | | | 1.00 | | | | | | 1.00 | | | | | | 1.00 | | | | | | 3.25 | | | | | | 34,473 | | | | | | 425 | | |
12-31-11 | | | | | 12.04 | | | | | | 0.47• | | | | | | 0.38 | | | | | | 0.85 | | | | | | 0.55 | | | | | | — | | | | | | — | | | | | | 0.55 | | | | | | — | | | | | | 12.34 | | | | | | 7.04 | | | | | | 1.00 | | | | | | 1.00 | | | | | | 1.00 | | | | | | 3.76 | | | | | | 16,953 | | | | | | 456 | | |
12-31-10 | | | | | 11.62 | | | | | | 0.57• | | | | | | 0.48 | | | | | | 1.05 | | | | | | 0.63 | | | | | | — | | | | | | — | | | | | | 0.63 | | | | | | — | | | | | | 12.04 | | | | | | 9.01 | | | | | | 1.00 | | | | | | 1.00† | | | | | | 1.00† | | | | | | 4.56† | | | | | | 4,315 | | | | | | 438 | | |
See Accompanying Notes to Financial Statements
16
Financial Highlights (Unaudited) (continued)
| | | | | | | | | 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) | | | (%) | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Voya Intermediate Bond Portfolio (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 12.90 | | | | | | 0.21• | | | | | | (0.18) | | | | | | 0.03 | | | | | | 0.02 | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | — | | | | | | 12.91 | | | | | | 0.26 | | | | | | 0.52 | | | | | | 0.48 | | | | | | 0.48 | | | | | | 3.17 | | | | | | 1,019,816 | | | | | | 184 | | |
12-31-14 | | | | | 12.50 | | | | | | 0.44 | | | | | | 0.39 | | | | | | 0.83 | | | | | | 0.43 | | | | | | — | | | | | | — | | | | | | 0.43 | | | | | | — | | | | | | 12.90 | | | | | | 6.67 | | | | | | 0.47 | | | | | | 0.47 | | | | | | 0.47 | | | | | | 3.46 | | | | | | 958,412 | | | | | | 428 | | |
12-31-13 | | | | | 12.96 | | | | | | 0.45* | | | | | | (0.47) | | | | | | (0.02) | | | | | | 0.44 | | | | | | — | | | | | | — | | | | | | 0.44 | | | | | | — | | | | | | 12.50 | | | | | | (0.12) | | | | | | 0.49 | | | | | | 0.49 | | | | | | 0.49 | | | | | | 3.57 | | | | | | 846,916 | | | | | | 389 | | |
12-31-12 | | | | | 12.40 | | | | | | 0.49• | | | | | | 0.67 | | | | | | 1.16 | | | | | | 0.60 | | | | | | — | | | | | | — | | | | | | 0.60 | | | | | | — | | | | | | 12.96 | | | | | | 9.39 | | | | | | 0.50 | | | | | | 0.50 | | | | | | 0.50 | | | | | | 3.78 | | | | | | 1,001,255 | | | | | | 425 | | |
12-31-11 | | | | | 12.07 | | | | | | 0.54• | | | | | | 0.37 | | | | | | 0.91 | | | | | | 0.58 | | | | | | — | | | | | | — | | | | | | 0.58 | | | | | | — | | | | | | 12.40 | | | | | | 7.54 | | | | | | 0.50 | | | | | | 0.50 | | | | | | 0.50 | | | | | | 4.31 | | | | | | 1,205,691 | | | | | | 456 | | |
12-31-10 | | | | | 11.57 | | | | | | 0.61• | | | | | | 0.53 | | | | | | 1.14 | | | | | | 0.64 | | | | | | — | | | | | | — | | | | | | 0.64 | | | | | | — | | | | | | 12.07 | | | | | | 9.84 | | | | | | 0.50 | | | | | | 0.50† | | | | | | 0.50† | | | | | | 4.93† | | | | | | 1,217,280 | | | | | | 438 | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 12.83 | | | | | | 0.19• | | | | | | (0.18) | | | | | | 0.01 | | | | | | 0.02 | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | — | | | | | | 12.82 | | | | | | 0.11 | | | | | | 0.77 | | | | | | 0.73 | | | | | | 0.73 | | | | | | 2.92 | | | | | | 3,268,512 | | | | | | 184 | | |
12-31-14 | | | | | 12.43 | | | | | | 0.42• | | | | | | 0.38 | | | | | | 0.80 | | | | | | 0.40 | | | | | | — | | | | | | — | | | | | | 0.40 | | | | | | — | | | | | | 12.83 | | | | | | 6.48 | | | | | | 0.72 | | | | | | 0.72 | | | | | | 0.72 | | | | | | 3.21 | | | | | | 3,477,973 | | | | | | 428 | | |
12-31-13 | | | | | 12.89 | | | | | | 0.44 | | | | | | (0.49) | | | | | | (0.05) | | | | | | 0.41 | | | | | | — | | | | | | — | | | | | | 0.41 | | | | | | — | | | | | | 12.43 | | | | | | (0.38) | | | | | | 0.74 | | | | | | 0.74 | | | | | | 0.74 | | | | | | 3.31 | | | | | | 1,140,317 | | | | | | 389 | | |
12-31-12 | | | | | 12.34 | | | | | | 0.45• | | | | | | 0.67 | | | | | | 1.12 | | | | | | 0.57 | | | | | | — | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 12.89 | | | | | | 9.08 | | | | | | 0.75 | | | | | | 0.75 | | | | | | 0.75 | | | | | | 3.52 | | | | | | 1,221,680 | | | | | | 425 | | |
12-31-11 | | | | | 12.01 | | | | | | 0.51• | | | | | | 0.37 | | | | | | 0.88 | | | | | | 0.55 | | | | | | — | | | | | | — | | | | | | 0.55 | | | | | | — | | | | | | 12.34 | | | | | | 7.30 | | | | | | 0.75 | | | | | | 0.75 | | | | | | 0.75 | | | | | | 4.09 | | | | | | 1,247,149 | | | | | | 456 | | |
12-31-10 | | | | | 11.52 | | | | | | 0.57• | | | | | | 0.52 | | | | | | 1.09 | | | | | | 0.60 | | | | | | — | | | | | | — | | | | | | 0.60 | | | | | | — | | | | | | 12.01 | | | | | | 9.51 | | | | | | 0.75 | | | | | | 0.75† | | | | | | 0.75† | | | | | | 4.67† | | | | | | 1,292,731 | | | | | | 438 | | |
Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 12.79 | | | | | | 0.18• | | | | | | (0.17) | | | | | | 0.01 | | | | | | 0.02 | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | — | | | | | | 12.78 | | | | | | 0.11 | | | | | | 1.02 | | | | | | 0.88 | | | | | | 0.88 | | | | | | 2.80 | | | | | | 28,332 | | | | | | 184 | | |
12-31-14 | | | | | 12.43 | | | | | | 0.37• | | | | | | 0.40 | | | | | | 0.77 | | | | | | 0.41 | | | | | | — | | | | | | — | | | | | | 0.41 | | | | | | — | | | | | | 12.79 | | | | | | 6.17 | | | | | | 0.97 | | | | | | 0.87 | | | | | | 0.87 | | | | | | 2.87 | | | | | | 5,281 | | | | | | 428 | | |
12-31-13 | | | | | 12.92 | | | | | | 0.44* | | | | | | (0.50) | | | | | | (0.06) | | | | | | 0.43 | | | | | | — | | | | | | — | | | | | | 0.43 | | | | | | — | | | | | | 12.43 | | | | | | (0.44) | | | | | | 0.99 | | | | | | 0.89 | | | | | | 0.89 | | | | | | 3.45 | | | | | | 1,505 | | | | | | 389 | | |
12-31-12 | | | | | 12.37 | | | | | | 0.41 | | | | | | 0.69 | | | | | | 1.10 | | | | | | 0.55 | | | | | | — | | | | | | — | | | | | | 0.55 | | | | | | — | | | | | | 12.92 | | | | | | 8.93 | | | | | | 1.00 | | | | | | 0.90 | | | | | | 0.90 | | | | | | 3.37 | | | | | | 1,277 | | | | | | 425 | | |
12-31-11 | | | | | 12.08 | | | | | | 0.52• | | | | | | 0.34 | | | | | | 0.86 | | | | | | 0.57 | | | | | | — | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 12.37 | | | | | | 7.14 | | | | | | 1.00 | | | | | | 0.90 | | | | | | 0.90 | | | | | | 4.20 | | | | | | 1,001 | | | | | | 456 | | |
12-31-10 | | | | | 11.59 | | | | | | 0.55• | | | | | | 0.53 | | | | | | 1.08 | | | | | | 0.59 | | | | | | — | | | | | | — | | | | | | 0.59 | | | | | | — | | | | | | 12.08 | | | | | | 9.29 | | | | | | 1.00 | | | | | | 0.90† | | | | | | 0.90† | | | | | | 4.50† | | | | | | 3 | | | | | | 438 | | |
Voya Money Market Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 1.00 | | | | | | — | | | | | | 0.00* | | | | | | 0.00 | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.01 | | | | | | 0.38 | | | | | | 0.22 | | | | | | 0.22 | | | | | | 0.00 | | | | | | 571,419 | | | | | | — | | |
12-31-14 | | | | | 1.00 | | | | | | — | | | | | | 0.00* | | | | | | 0.00 | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.02 | | | | | | 0.34 | | | | | | 0.19 | | | | | | 0.19 | | | | | | 0.00 | | | | | | 616,745 | | | | | | — | | |
12-31-13 | | | | | 1.00 | | | | | | (0.00)* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.02 | | | | | | 0.34 | | | | | | 0.23 | | | | | | 0.23 | | | | | | 0.00 | | | | | | 768,521 | | | | | | — | | |
12-31-12 | | | | | 1.00 | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.03 | | | | | | 0.34 | | | | | | 0.34 | | | | | | 0.34 | | | | | | 0.03 | | | | | | 975,469 | | | | | | — | | |
12-31-11 | | | | | 1.00 | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.02 | | | | | | 0.34 | | | | | | 0.26 | | | | | | 0.26 | | | | | | 0.00* | | | | | | 1,176,157 | | | | | | — | | |
12-31-10 | | | | | 1.00 | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.24 | | | | | | 0.34 | | | | | | 0.31† | | | | | | 0.31† | | | | | | 0.02† | | | | | | 1,069,947 | | | | | | — | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 1.00 | | | | | | — | | | | | | 0.00* | | | | | | 0.00 | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.01 | | | | | | 0.63 | | | | | | 0.22 | | | | | | 0.22 | | | | | | 0.00 | | | | | | 106 | | | | | | — | | |
12-31-14 | | | | | 1.00 | | | | | | — | | | | | | 0.00* | | | | | | 0.00 | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.02 | | | | | | 0.59 | | | | | | 0.19 | | | | | | 0.19 | | | | | | 0.00 | | | | | | 106 | | | | | | — | | |
12-31-13 | | | | | 1.00 | | | | | | — | | | | | | 0.00* | | | | | | 0.00 | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.02 | | | | | | 0.59 | | | | | | 0.23 | | | | | | 0.23 | | | | | | 0.00 | | | | | | 138 | | | | | | — | | |
12-31-12 | | | | | 1.00 | | | | | | (0.00)* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1.00 | | | | | | 0.00 | | | | | | 0.59 | | | | | | 0.36 | | | | | | 0.36 | | | | | | 0.01 | | | | | | 134 | | | | | | — | | |
12-31-11 | | | | | 1.00 | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00 | | | | | | — | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.02 | | | | | | 0.59 | | | | | | 0.26 | | | | | | 0.26 | | | | | | 0.00 | | | | | | 314 | | | | | | — | | |
03-15-10(5) - 12-31-10 | | | | | 1.00 | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | 0.00* | | | | | | — | | | | | | — | | | | | | 0.00* | | | | | | — | | | | | | 1.00 | | | | | | 0.00 | | | | | | 0.59 | | | | | | 0.36† | | | | | | 0.36† | | | | | | 0.00*† | | | | | | 313 | | | | | | — | | |
See Accompanying Notes to Financial Statements
17
Financial Highlights (Unaudited) (continued)
| | | | | | | | | 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) | | | (%) | | |||||||||||||||||||||||||||||||||||||||||||||||||||
Voya Small Company Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 22.49 | | | | | | (0.03) | | | | | | 1.15 | | | | | | 1.12 | | | | | | — | | | | | | 3.36 | | | | | | — | | | | | | 3.36 | | | | | | — | | | | | | 20.25 | | | | | | 5.29 | | | | | | 1.38 | | | | | | 1.34 | | | | | | 1.34 | | | | | | (0.18) | | | | | | 5,836 | | | | | | 17 | | |
12-31-14 | | | | | 23.94 | | | | | | (0.03) | | | | | | 1.26 | | | | | | 1.23 | | | | | | — | | | | | | 2.68 | | | | | | — | | | | | | 2.68 | | | | | | — | | | | | | 22.49 | | | | | | 6.00 | | | | | | 1.34 | | | | | | 1.34 | | | | | | 1.34 | | | | | | (0.18) | | | | | | 5,861 | | | | | | 30 | | |
12-31-13 | | | | | 19.13 | | | | | | (0.02) | | | | | | 6.64 | | | | | | 6.62 | | | | | | 0.01 | | | | | | 1.80 | | | | | | — | | | | | | 1.81 | | | | | | — | | | | | | 23.94 | | | | | | 37.04 | | | | | | 1.34 | | | | | | 1.34 | | | | | | 1.34 | | | | | | (0.13) | | | | | | 7,233 | | | | | | 36 | | |
12-31-12 | | | | | 17.39 | | | | | | 0.01 | | | | | | 2.41 | | | | | | 2.42 | | | | | | — | | | | | | 0.68 | | | | | | — | | | | | | 0.68 | | | | | | — | | | | | | 19.13 | | | | | | 14.01 | | | | | | 1.35 | | | | | | 1.35 | | | | | | 1.35 | | | | | | 0.06 | | | | | | 6,213 | | | | | | 49 | | |
12-31-11 | | | | | 17.98 | | | | | | (0.02)• | | | | | | (0.51) | | | | | | (0.53) | | | | | | 0.06 | | | | | | — | | | | | | — | | | | | | 0.06 | | | | | | — | | | | | | 17.39 | | | | | | (2.99) | | | | | | 1.35 | | | | | | 1.35 | | | | | | 1.35 | | | | | | (0.10) | | | | | | 5,938 | | | | | | 61 | | |
12-31-10 | | | | | 14.60 | | | | | | 0.04• | | | | | | 3.42 | | | | | | 3.46 | | | | | | 0.08 | | | | | | — | | | | | | — | | | | | | 0.08 | | | | | | — | | | | | | 17.98 | | | | | | 23.75 | | | | | | 1.34 | | | | | | 1.34† | | | | | | 1.34† | | | | | | 0.25† | | | | | | 3,253 | | | | | | 86 | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 23.25 | | | | | | 0.04• | | | | | | 1.17 | | | | | | 1.21 | | | | | | 0.12 | | | | | | 3.36 | | | | | | — | | | | | | 3.48 | | | | | | — | | | | | | 20.98 | | | | | | 5.50 | | | | | | 0.88 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.32 | | | | | | 524,640 | | | | | | 17 | | |
12-31-14 | | | | | 24.63 | | | | | | 0.08 | | | | | | 1.31 | | | | | | 1.39 | | | | | | 0.09 | | | | | | 2.68 | | | | | | — | | | | | | 2.77 | | | | | | — | | | | | | 23.25 | | | | | | 6.54 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.33 | | | | | | 520,298 | | | | | | 30 | | |
12-31-13 | | | | | 19.63 | | | | | | 0.08• | | | | | | 6.84 | | | | | | 6.92 | | | | | | 0.12 | | | | | | 1.80 | | | | | | — | | | | | | 1.92 | | | | | | — | | | | | | 24.63 | | | | | | 37.76 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.84 | | | | | | 0.38 | | | | | | 571,880 | | | | | | 36 | | |
12-31-12 | | | | | 17.82 | | | | | | 0.10• | | | | | | 2.47 | | | | | | 2.57 | | | | | | 0.08 | | | | | | 0.68 | | | | | | — | | | | | | 0.76 | | | | | | — | | | | | | 19.63 | | | | | | 14.52 | | | | | | 0.85 | | | | | | 0.85 | | | | | | 0.85 | | | | | | 0.55 | | | | | | 472,254 | | | | | | 49 | | |
12-31-11 | | | | | 18.34 | | | | | | 0.07 | | | | | | (0.52) | | | | | | (0.45) | | | | | | 0.07 | | | | | | — | | | | | | — | | | | | | 0.07 | | | | | | — | | | | | | 17.82 | | | | | | (2.49) | | | | | | 0.85 | | | | | | 0.85 | | | | | | 0.85 | | | | | | 0.38 | | | | | | 483,473 | | | | | | 61 | | |
12-31-10 | | | | | 14.82 | | | | | | 0.09 | | | | | | 3.52 | | | | | | 3.61 | | | | | | 0.09 | | | | | | — | | | | | | — | | | | | | 0.09 | | | | | | — | | | | | | 18.34 | | | | | | 24.38 | | | | | | 0.84 | | | | | | 0.84† | | | | | | 0.84† | | | | | | 0.51† | | | | | | 503,739 | | | | | | 86 | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
06-30-15 | | | | | 22.84 | | | | | | 0.00* | | | | | | 1.16 | | | | | | 1.16 | | | | | | 0.06 | | | | | | 3.36 | | | | | | — | | | | | | 3.42 | | | | | | — | | | | | | 20.58 | | | | | | 5.38 | | | | | | 1.13 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 0.07 | | | | | | 115,803 | | | | | | 17 | | |
12-31-14 | | | | | 24.24 | | | | | | 0.02 | | | | | | 1.28 | | | | | | 1.30 | | | | | | 0.02 | | | | | | 2.68 | | | | | | — | | | | | | 2.70 | | | | | | — | | | | | | 22.84 | | | | | | 6.26 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 0.08 | | | | | | 115,635 | | | | | | 30 | | |
12-31-13 | | | | | 19.35 | | | | | | 0.03 | | | | | | 6.72 | | | | | | 6.75 | | | | | | 0.06 | | | | | | 1.80 | | | | | | — | | | | | | 1.86 | | | | | | — | | | | | | 24.24 | | | | | | 37.37 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 1.09 | | | | | | 0.12 | | | | | | 126,746 | | | | | | 36 | | |
12-31-12 | | | | | 17.57 | | | | | | 0.05• | | | | | | 2.44 | | | | | | 2.49 | | | | | | 0.03 | | | | | | 0.68 | | | | | | — | | | | | | 0.71 | | | | | | — | | | | | | 19.35 | | | | | | 14.26 | | | | | | 1.10 | | | | | | 1.10 | | | | | | 1.10 | | | | | | 0.28 | | | | | | 101,041 | | | | | | 49 | | |
12-31-11 | | | | | 18.09 | | | | | | 0.02 | | | | | | (0.50) | | | | | | (0.48) | | | | | | 0.04 | | | | | | — | | | | | | — | | | | | | 0.04 | | | | | | — | | | | | | 17.57 | | | | | | (2.68) | | | | | | 1.10 | | | | | | 1.10 | | | | | | 1.10 | | | | | | 0.12 | | | | | | 108,502 | | | | | | 61 | | |
12-31-10 | | | | | 14.64 | | | | | | 0.04 | | | | | | 3.47 | | | | | | 3.51 | | | | | | 0.06 | | | | | | — | | | | | | — | | | | | | 0.06 | | | | | | — | | | | | | 18.09 | | | | | | 24.00 | | | | | | 1.09 | | | | | | 1.09† | | | | | | 1.09† | | | | | | 0.29† | | | | | | 122,286 | | | | | | 86 | | |
(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)%.
†
Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio.
See Accompanying Notes to Financial Statements
18
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited)
NOTE 1 — ORGANIZATION
As further detailed below, the Voya Variable Product Funds are series of Voya Balanced Portfolio, Inc., Voya Variable Funds, Voya Variable Portfolios, Inc., Voya Intermediate Bond Portfolio, and Voya Money Market Portfolio (collectively, the “Registrants”), all of which are open-end investment management companies registered under the Investment Company Act of 1940, as amended (“1940 Act”).
Voya Balanced Portfolio, Inc. is a company incorporated under the laws of Maryland on December 14, 1988 with one diversified series, Voya Balanced Portfolio (“Balanced”). Voya Variable Funds is a business trust formed under the laws of Massachusetts on January 25, 1984 with one diversified series, Voya Growth and Income Portfolio (“Growth and Income”). Voya Variable Portfolios, Inc. is a company incorporated under the laws of Maryland on June 4, 1996 and has nineteen active separate investment series. The two diversified series of Voya Variable Portfolios, Inc. included in this report are Voya Global Value Advantage Portfolio (“Global Value Advantage”) and Voya Small Company Portfolio (“Small Company”). Voya Intermediate Bond Portfolio is a business trust formed under the laws of Massachusetts on January 25, 1984 with one diversified series, Voya Intermediate Bond Portfolio (“Intermediate Bond”). Voya Money Market Portfolio is a business trust formed under the laws of Massachusetts on January 25, 1984 with one diversified series, Voya Money Market Portfolio (“Money Market”). Each of the Voya Variable Product Funds is a “Portfolio” and collectively, they are the “Portfolios.” The investment objective of the Portfolios is described in the Portfolios’ Prospectus.
Each Portfolio offers at least two of the following classes of shares: Adviser Class (“Class ADV”), Class I, Class S, Service 2 Class (“Class S2”) and Class T. Each class has equal rights as to voting privileges. The classes differ principally in the applicable distribution and shareholder service fees. Generally, shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of a portfolio and earn income and realized gains/losses from a portfolio pro rata based on the daily ending net assets of each class, without distinction between share classes. Expenses that are specific to a portfolio or a class are charged directly to that portfolio or class. Other operating expenses shared by several portfolios are generally allocated among those portfolios based on average net assets. Distributions are determined separately for each class based on income and expenses allocated to each class. Realized gain distributions are allocated to each class pro rata based on the shares outstanding of each class on the date of
distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
Voya Investments, LLC (“Voya Investments” or the “Investment Adviser”), an Arizona limited liability company, serves as the Investment Adviser to the Portfolios. Voya Investments oversees all investment advisory and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. Voya Investment Management Co. LLC (“Voya IM” or the “Sub-Adviser”), a Delaware limited liability company, serves as the Sub-Adviser to the Portfolios. Voya Investments Distributor, LLC (“VID” or the “Distributor”), a Delaware limited liability company, serves as the principal underwriter to the Portfolios.
On July 23, 2014, the SEC has adopted amendments to money market fund regulation, which when implemented may, among other things, require Money Market to change the manner in which it values its securities, impose new liquidity fees on redemptions in certain circumstances, and permit Money Market to limit redemptions in certain circumstances. These changes may result in reduced yields for money market funds, including Money Market. Compliance with the amended money market fund regulation is generally required in 2016. The SEC or other regulators may adopt additional money market reforms, which may impact the operation or performance of Money Market. At this time, management is evaluating the potential implications of these amendments to Money Market.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Portfolios in the preparation of their financial statements. Each Portfolio is considered an investment company under U.S. generally accepted accounting principles (“GAAP”) and follows the accounting and reporting guidance applicable to investment companies.
A. Security Valuation. The net asset value (“NAV”) per share for each class of each Portfolio, (except Money Market), is determined each business day as of the close of regular trading (“Market Close”) on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time unless otherwise designated by the NYSE) each day on which the NYSE is open for trading. The Portfolios are open for business every day the NYSE is open. Portfolio shares will not be priced on days when the NYSE is closed.
19
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
The NAV per share of each class of each Portfolio is calculated by taking the value of the Portfolio’s assets attributable to that class, subtracting the Portfolio’s liabilities attributable to that class, and dividing by the number of shares of that class that are outstanding.
Assets for which market quotations are readily available are valued at market value. A security listed or traded on an exchange is valued at its last sales price or official closing price as of the close of the normal trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the mean of the closing bid and ask price on that day. Bank loans are valued at the average of the averages between the bid and ask prices provided to an independent loan pricing 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 net asset value 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 customary trading session on the exchange where the security is principally traded.
When a market quotation is not readily available or is deemed unreliable, a Portfolio will determine a fair value for the relevant asset in accordance with procedures adopted by the Board of Directors/Trustees (“Board”). Such procedures provide, for example, that: (a) Debt obligations are valued using an evaluated price provided by an independent pricing service. Evaluated prices provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect factors such as institution-size trading in similar groups of securities, developments related to specific securities, benchmark yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data; (b) Securities traded in the over-the-counter market are valued based on prices provided by independent pricing services or market makers; (c) Options not listed on an exchange are valued by an independent source using an industry accepted model, such as Black-Scholes; (d) Centrally cleared swap agreements are valued using a price provided by the central counterparty clearinghouse; (e) Over-the-counter swap agreements are valued using a price provided by an independent pricing service; (f) Forward foreign currency contracts are valued utilizing current and forward rates obtained from an independent
pricing service. Such prices from the third party pricing service are for specific settlement periods and each Portfolio’s forward foreign currency contracts are valued at an interpolated rate between the closest preceding and subsequent period reported by the independent pricing service and (g) Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by brokers.
The prospectuses of the open-end registered investment companies in which a Portfolio may invest explain the circumstances under which they will use fair value pricing and the effects of using fair value pricing.
Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and believed to be reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. An independent pricing service determines the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be valued by the independent pricing service using pricing models designed to estimate likely changes in the values of those securities between the times in which the trading in those securities is substantially completed and the close of the NYSE. Multiple factors may be considered by the independent pricing service in determining the value of such securities and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures.
All other assets for which market quotations are not readily available or became unreliable (or if the above fair valuation methods are unavailable or determined to be unreliable) are valued at fair value as determined in good faith by or under the supervision of the Board following procedures approved by the Board. The Board has delegated to the Investment Adviser responsibility for overseeing the implementation of the Portfolios’ valuation procedures; a “Pricing Committee” comprised of employees of the Investment Adviser or its affiliates has responsibility for applying the fair valuation methods set forth in the procedures and, if a fair valuation cannot be determined pursuant to the fair valuation methods, determining the fair value of assets held by the Portfolios. Issuer specific events, transaction price, position size, nature and duration of restrictions on disposition of the security, market trends, bid/ask quotes of brokers and
20
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
other market data may be reviewed in the course of making a good faith determination of a security’s fair value. Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of fair valuation, the values used to determine the Portfolio’s NAV may materially differ from the value received upon actual sale of those investments. Thus, fair valuation may have an unintended dilutive or accretive effect on the value of shareholders’ investments in a Portfolio.
Money Market uses the amortized cost method to value its portfolio securities and seeks to maintain a constant NAV of $1.00 per share, although there may be circumstances under which this goal cannot be achieved. The amortized cost method involves valuing a security at its cost and amortizing any discount or premium over the period until maturity, regardless of the impact of fluctuating interest rates or the market value of the security. Although the Board has established procedures designed to stabilize, to the extent reasonably possible, the share price of Money Market, there can be no assurance that the Money Market’s NAV can be maintained at $1.00 per share.
Each investment asset or liability of the Portfolios is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and unobservable inputs, including the Sub-Adviser’s 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 the Portfolios’ investments under these levels of classification is included following the Summary Portfolio of Investments.
U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between Levels of a Portfolio’s assets and liabilities. A reconciliation
of Level 3 investments is presented only when a Portfolio has a significant amount of Level 3 investments.
For the six months ended June 30, 2015, there have been no significant changes to the fair valuation methodologies.
B. Security Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Realized gains and losses are reported on the basis of identified cost of securities sold. Interest income is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date, or for certain foreign securities, when the information becomes available to the Portfolios. Premium amortization and discount accretion are determined by the effective yield method.
C. Foreign Currency Translation. The books and records of the Portfolios are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1)
Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day.
(2)
Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the market values are presented at the foreign exchange rates at the end of the day, the Portfolios do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statements of Assets and Liabilities for the estimated tax withholding based on the securities’ current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on a Portfolio’s books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies
21
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments, which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.
D. Risk Exposures and the Use of Derivative Instruments. Certain Portfolios’ investment strategies permit the Portfolios to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to market risk factors. This may allow a Portfolio to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
Market Risk Factors. In pursuit of its investment objectives, a Portfolio may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with
longer durations, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter durations.
Risks of Investing in Derivatives. A Portfolio’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
The use of these strategies involves certain special risks, including a possible imperfect correlation, or even no correlation, between price movements of derivative instruments and price movements of related investments. While some strategies involving derivative instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in related investments or otherwise, due to the possible inability of a Portfolio to purchase or sell a portfolio security at a time that otherwise would be favorable or the possible need to sell a portfolio security at a disadvantageous time because a Portfolio is required to maintain asset coverage or offsetting positions in connection with transactions in derivative instruments. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and a Portfolio. Associated risks are not the risks that a Portfolio is attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that a Portfolio will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Associated risks can be different for each type of derivative and are discussed by each derivative type in the following notes.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that they believe to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio’s
22
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
International Swap and Derivatives Association, Inc. Master Agreements (“Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter (“OTC”) derivative and forward foreign currency contracts, entered into by a Portfolio and the counterparty. The Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable Master Agreement.
A Portfolio may also enter into collateral agreements with certain counterparties to further mitigate counterparty credit risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from a Portfolio is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
As of June 30, 2015, the maximum amount of loss that Balanced and Intermediate Bond would incur if the counterparties to its derivative transactions failed to perform would be $1,128,567 and $947,562, respectively, which represents the gross payments to be received by the Portfolios on open forward foreign currency contracts and purchased options were they to be unwound as of June 30, 2015. At June 30, 2015, certain counterparties have posted $500,000 in cash collateral to Balanced for open OTC derivatives.
Each Portfolio has credit-related contingent features that if triggered would allow its derivative counterparties to close out and demand payment or additional collateral to cover their exposure from a Portfolio. Credit-related contingent features are established between each Portfolio and their derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio’s net assets and or a percentage decrease in a Portfolio’s NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio’s Master Agreements.
As of June 30, 2015, Balanced and Intermediate Bond had a net liability position of $1,619,198 and $2,024,444, respectively, on forward foreign currency contracts and written options with credit related contingent features. If a
contingent feature would have been triggered as of June 30, 2015, the Portfolios could have been required to pay this amount in cash to its counterparties. At June 30, 2015, Balanced had pledged $280,000 in cash collateral for open OTC derivatives.
E. Forward Foreign Currency Transactions and Futures Contracts. Certain Portfolios may enter into foreign currency exchange transactions to convert to and from different foreign currencies and to and from the U.S. dollar in connection with the planned purchases or sales of securities. When entering into a forward foreign currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. A Portfolio either enters into these transactions on a spot basis at the spot rate prevailing in the foreign currency exchange market or uses forward foreign currency contracts to purchase or sell foreign currencies. When the contract is fulfilled or closed, gains or losses are realized. Until then, the gain or loss is included in unrealized appreciation or depreciation. Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their forward contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
During the period ended June 30, 2015, the following Portfolios had average contract amounts on forward foreign currency contracts to buy and sell as disclosed below:
| | | Buy | | | Sell | | ||||||
Balanced | | | | $ | 50,726,538 | | | | | $ | 28,980,733 | | |
Intermediate Bond | | | | | 36,652,022 | | | | | | 108,975,963 | | |
The above Portfolios entered into forward foreign currency contracts to protect their non-U.S. dollar-denominated holdings from adverse currency movements. Please refer to the tables following each respective Summary Portfolio of Investments for open forward foreign currency contracts at June 30, 2015.
Each Portfolio, with the exception of Money Market, may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. A Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when each Portfolio’s assets are valued.
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities (initial margin) in an
23
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Open futures contracts are reported on a table following each Portfolio’s Summary Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Summary Portfolio of Investments. Cash collateral held by the broker to cover initial margin requirements on open futures contracts are noted in the Statements of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statements of Operations. Realized gains (losses) are reported in the Statements of Operations at the closing or expiration of futures contracts.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. During the period ended June 30, 2015, Balanced and Intermediate Bond have purchased and sold futures contracts on various equity indices (Balanced only), bonds, and notes. Balanced purchased equity futures to “equitize” cash. Both Balanced and Intermediate Bond purchased and sold futures on bonds and notes as part of their duration management. Balanced and Growth and Income entered into equity futures to “equitize” cash. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where a Portfolio is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of a Portfolio’s securities. With futures, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. During the period ended June 30, 2015, the following Portfolios had average notional values on futures contracts purchased and sold as disclosed below:
| | | Purchased | | | Sold | | ||||||
Balanced | | | | $ | 94,589,298 | | | | | $ | 55,181,114 | | |
Intermediate Bond | | | | | 395,882,284 | | | | | | 706,925,531 | | |
Growth and Income | | | | | 33,709,294 | | | | | | — | | |
Please refer to the tables following each respective Summary Portfolio of Investments for the above Portfolio’s for open futures contracts at June 30, 2015. There were no open futures contracts for Growth and Income at June 30, 2015.
F. Options Contracts. Certain Portfolios may write call and put options on futures, swaps (“swaptions”), securities, commodities or foreign currencies it owns or in which it may invest. Writing put options tends to increase the Portfolios exposure to the underlying instrument. Writing call options tends to decrease the Portfolios exposure to the underlying instrument. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities. Certain options may be written with premiums to be determined on a future date. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk the Portfolios may not be able to enter into a closing transaction because of an illiquid market. The Portfolios may also purchase put and call options. Purchasing call options tends to increase the Portfolios’ exposure to the underlying instrument. Purchasing put options tends to decrease the Portfolios exposure to the underlying instrument. The Portfolios pay a premium which is included on the Statements of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss.
During the period ended June 30, 2015, Balanced had purchased and written foreign currency options to gain exposure to currencies and to generate income. Please refer to the Summary Portfolio of Investments for open purchased foreign currency options at June 30, 2015. Please refer to the table following the Summary Portfolio of Investments for open written foreign currency options at June 30, 2015.
24
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
During the period ended June 30, 2015, Balanced and Intermediate Bond had both purchased and written interest rate swaptions to gain exposure to interest rates and to generate income. Please refer to the Summary Portfolio of Investments for open purchased interest rate swaptions and the table following for open written interest rate swaptions. There were no open swaptions for Intermediate Bond at June 30, 2015.
Please refer to Note 9 for the volume of both purchased and written option activity during the period ended June 30, 2015.
G. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Balanced, Global Value Advantage, and Small Company declare and pay dividends annually. Growth and Income and Intermediate Bond declare and pay dividends semi-annually. Money Market declares dividends daily and pays dividends, if any, monthly. Each Portfolio distributes capital gains, if any, annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from U.S. GAAP for investment companies.
H. Federal Income Taxes. It is the policy of the Portfolios to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expire.
I. Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
J. Repurchase Agreements. Each Portfolio may invest in repurchase agreements only with government securities dealers recognized by the Board of Governors of the
Federal Reserve System. Under such agreements, the seller of the security agrees to repurchase it at a mutually agreed upon time and price. The resale price is in excess of the purchase price and reflects an agreed upon interest rate for the period of time the agreement is outstanding. The period of the repurchase agreements is usually short, from overnight to one week, while the underlying securities generally have longer maturities. Each Portfolio will receive as collateral securities acceptable to it whose market value is equal to at least 100% of the carrying amount of the repurchase agreements, plus accrued interest, being invested by the Portfolio. The underlying collateral is valued daily on a mark-to-market basis to assure that the value, including accrued interest is at least equal to the repurchase price. There would be potential loss to the Portfolio in the event the Portfolio is delayed or prevented from exercising its right to dispose of the collateral, and it might incur disposition costs in liquidating the collateral.
Repurchase agreements are entered into by the Portfolios under Master Repurchase Agreements (“MRA”) which permit the Portfolios, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset receivables or payables under the MRA with collateral held and/or pledged by the counterparty and create one single net payment due to or from the respective Portfolio. Please refer to the table following the Portfolio of Investments for Money Market for open repurchase agreements subject to the MRA on a net basis at June 30, 2015.
K. Securities Lending. Each Portfolio (except Money Market) may temporarily loan up to 33 1/3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender’s fee. The borrower is required to fully collateralize the loans with cash or U.S. government securities. Generally, in the event of counterparty default, a Portfolio has the right to use collateral to offset losses incurred. There would be potential loss to a Portfolio in the event a Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Portfolio bears the risk of loss with respect to the investment of collateral with the following exception: The Bank of New York Mellon (“BNY”) provides the Portfolio indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a Portfolio.
L. Restricted Securities. The Portfolios may invest in restricted securities, which include those sold under Rule 144A of the Securities Act of 1933 (“1933 Act”) or securities offered pursuant to Section 4(a)(2) of the 1933
25
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Act, and/or are subject to legal or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Restricted securities are fair valued using market quotations when readily available. In the absence of market quotations, the securities are valued based upon their fair value, as defined by the Act, determined in good faith under procedures approved by the Board.
M. When-Issued and Delayed-Delivery Transactions. Each Portfolio may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The fair value of such is identified in the Summary Portfolio of Investments. Losses may arise due to changes in the fair value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolios are required to hold liquid assets as collateral with the Portfolios’ custodian sufficient to cover the purchase price.
To mitigate counterparty risk, certain Portfolios have entered into Master Securities Forward Transaction Agreements (“MSFTA”) with their respective counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all the when-issued or delayed-delivery transactions with a particular counterparty. Cash collateral, if any, is presented on the Statement of Assets and Liabilities as an asset (Cash pledged as collateral for delayed-delivery or when-issued securities) and a liability (Cash received as collateral for delayed-delivery or when-issued securities). At June 30, 2015, Intermediate Bond had posted $4,026,318 in cash collateral for open delayed-delivery transactions.
N. Mortgage Dollar Roll Transactions. Each Portfolio, except Small Company, may engage in dollar roll transactions with respect to mortgage-backed securities issued by Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Mortgage Corp. In a dollar roll transaction, a Portfolio sells a mortgage-backed security to a financial institution, such as a bank or broker/dealer, and simultaneously agrees to repurchase a substantially similar (i.e., same type, coupon, and maturity) security from the institution on a delayed delivery basis at an agreed upon price. The mortgage-backed securities that are repurchased will bear
the same interest rate as those sold, but generally will be collateralized by different pools of mortgages with different prepayment histories. The Portfolios account for dollar roll transactions as purchases and sales.
O. Swap Agreements. Certain Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. Subsequent changes in fair value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. A Portfolio may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported following each Portfolio’s Summary Portfolio of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on each Portfolio’s Statement of Assets and Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statement of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statement of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statement of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on each Portfolio’s Statement of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statement of Operations.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Portfolio’s counterparty on the swap agreement becomes the CCP. The Portfolios are required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Portfolios are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial
26
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
margin are footnoted as pledged on the Summary Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) on the Statements of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on each Portfolio’s Statement of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer’s credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
Certain Portfolios may sell credit default swaps which expose these Portfolios to the risk of loss from credit risk related events specified in the contract. Although contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. If a Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will generally either (i) pay to the buyer an
amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Portfolio’s Summary Portfolio of Investment and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement
27
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
For the period ended June 30, 2015, both Balanced and Intermediate Bond had purchased credit protection on credit default swap indices (“CDX”). A CDX is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. The Portfolios use CDX swaps to hedge the credit risk associated with various sectors within the credit markets. For the period ended June 30, 2015, Balanced and Intermediate Bond had average notional amounts of $7,342,000 and $97,966,000, respectively, on credit default swaps to buy protection. There were no open credit default swaps to buy protection at June 30, 2015.
Interest Rate Swap Contracts. An interest rate swap involves the agreement between counterparties to exchange periodic payments based on interest rates. One payment will be based on a floating rate of a specified interest rate while the other will be a fixed rate. Risks involve the future fluctuations of interest rates in which a Portfolio may make payments that are greater than what a Portfolio received from the counterparty. Other risks include credit, liquidity and market risk.
For the period ended June 30, 2015, Balanced and Intermediate Bond had entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate (“Long interest rate swap”) in order to increase exposure to interest rate risk. Average notional amounts on Long interest rate swaps were $153,731,699 and $1,136,617,000, respectively.
For the period ended June 30, 2015, Balanced and Intermediate Bond had entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate (“Short interest rate swap”) in order to decrease exposure to interest rate risk. Average notional amounts on Short interest rate swaps were $109,312,284 and $924,278,000, respectively.
Balanced and Intermediate Bond entered into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the table following each respective the Summary Portfolio of Investments for Balanced and Intermediate Bond for open interest rate swaps at June 30, 2015.
At June 30, 2015, Balanced and Intermediate Bond had posted $550,000 and $4,407,000, respectively, in cash collateral for open centrally cleared interest rate swaps.
P. Indemnifications. In the normal course of business, the Registrants may enter into contracts that provide certain indemnifications. The Registrants’ maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the period ended June 30, 2015, the cost of purchases and proceeds from the sales of securities, excluding short-term and U.S. government securities, were as follows:
| | | Purchases | | | Sales | | ||||||
Balanced | | | | $ | 243,800,214 | | | | | $ | 267,702,896 | | |
Global Value Advantage | | | | | 266,354,592 | | | | | | 313,740,798 | | |
Growth and Income | | | | | 1,289,007,316 | | | | | | 1,566,420,472 | | |
Intermediate Bond | | | | | 914,653,114 | | | | | | 968,219,872 | | |
Small Company | | | | | 106,113,126 | | | | | | 147,344,115 | | |
U.S. government securities not included above were as follows:
| | | Purchases | | | Sales | | ||||||
Balanced | | | | $ | 250,231,056 | | | | | $ | 242,195,394 | | |
Intermediate Bond | | | | | 8,498,536,165 | | | | | | 8,234,804,388 | | |
NOTE 4 — INVESTMENT MANAGEMENT FEES
Prior to May 1, 2015, the Portfolios had entered into investment management agreements (“Management Agreements”) with the Investment Adviser. The Management Agreements compensated the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates. Amounts paid to the Investment Adviser through April 30, 2015 are reflected as investment management fees on the accompanying Statements of Operations.
Portfolio | | | Fee | |
Balanced | | | 0.500% | |
Global Value Advantage | | | 0.46% on the first $500 million; 0.43% on the next $500 million; 0.41% thereafter | |
Growth and Income | | | 0.500% on the first $10 billion; 0.450% on the next $5 billion; 0.425% thereafter | |
Intermediate Bond | | | 0.400% on first $4 billion; 0.380% on next $3 billion; 0.360% thereafter | |
Money Market | | | 0.250% | |
Small Company | | | 0.750% | |
Also, prior to May 1, 2015, the Portfolios had entered into an administrative agreement (“Administrative Agreement”)
28
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 4 — INVESTMENT MANAGEMENT FEES (continued)
with Voya Funds Services, LLC (the “Administrator”), a Delaware limited liability company. The Administrator provided certain administrative and shareholder services necessary for each Portfolio’s operations and was responsible for the supervision of other service providers. Effective January 1, 2015, the Administrator was entitled to receive from Balanced, Growth and Income, Intermediate Bond, Money Market and Small Company a fee at an annual rate of 0.10% of each Portfolios average daily net assets. The Administrator was contractually obligated to waive a portion of the administration fee equal to 0.045% on the first $5 billion and 0.070% thereafter of each Portfolio’s average daily net assets for at least two years from the effective date of January 1, 2015. This waiver was not eligible for recoupment. Prior to January 1, 2015, the Administrator was entitled to receive from each Portfolio (except Global Value Advantage) a fee at an annual rate of 0.055% on the first $5 billion of each Portfolio’s average daily net assets and 0.030% thereafter. Prior to May 1, 2015, the Administrator was entitled to receive from Global Value Advantage a fee at an annual rate of 0.10% of the Portfolio’s average daily net assets. Amounts paid to the Administrator through April 30, 2015 are reflected as administrative service fees on the accompanying Statements of Operations.
Effective May 1, 2015, the terms of the Portfolios’ Management Agreement and Administrative Agreement were combined under a single Amended and Restated Investment Management Agreement with a single management fee. The single management fee rate under the Portfolios’ Amended and Restated Investment Management Agreement does not exceed the former combined investment management and administrative services fee rates for the Portfolios and there is no change to the investment management or administrative services provided.
The Amended and Restated Investment Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates. Single management fee amounts paid to the Investment Adviser from May 1, 2015 through June 30, 2015 are reflected as investment management fees on the accompanying Statements of Operations.
Portfolio | | | Fee | |
Balanced(1) | | | 0.60% | |
Global Value Advantage | | | 0.56% on the first $500 million; 0.53% on the next $500 million; 0.51% thereafter | |
Portfolio | | | Fee | |
Growth and Income(1) | | | 0.600% on the first $10 billion; 0.550% on the next $5 billion; 0.525% thereafter | |
Intermediate Bond(1) | | | 0.50% on first $4 billion; 0.48% on next $3 billion; 0.46% thereafter | |
Money Market(1) | | | 0.35% | |
Small Company(1) | | | 0.85% | |
(1)
Effective May 1, 2015, the Investment Adviser is contractually obligated to waive a portion of the management fee equal to 0.045% on the first $5 billion and 0.070% thereafter of the Portfolio’s average daily net assets through January 1, 2017. This waiver is not eligible for recoupment. Termination or modification of this obligation requires approval by the Board.
The Investment Adviser has entered into sub-advisory agreements with Voya IM. Voya IM acts as sub-adviser to all Portfolios. Subject to such policies as the Board or the Investment Adviser may determine, Voya IM manages the Portfolios’ assets in accordance with the Portfolios’ investment objectives, policies, and limitations.
NOTE 5 — DISTRIBUTION AND SERVICE FEES
Class ADV, Class S2 and Class T shares of the respective Portfolios are subject to a Shareholder Service and Distribution Plan (the “Plan”). Under the Plan, the Distributor is paid an annual shareholder service fee at the rate of 0.25% of each Portfolio’s average daily net assets attributable to its Class ADV, Class S2 and Class T shares. The Distributor is paid an annual distribution fee at the rate of 0.25%, 0.25% and 0.50% of the average daily net assets attributable to its Class ADV, Class S2 and Class T shares, respectively. The Distributor has contractually agreed to waive a portion of its fee equal to 0.10% of the average daily net assets attributable to the distribution fee paid by Class S2 shares of the Portfolios, so that the actual fee paid by a Portfolio is an annual rate of 0.15%. Additionally, the Distributor has contractually agreed to waive a portion of its fee equal to 0.05% and 0.15% of the average daily net assets attributable to the distribution fee paid by Class ADV shares of Growth and Income and Class T shares of Global Value Advantage, respectively, so that the actual fee paid by the Portfolios are an annual rate of 0.20% and 0.35%, respectively. Termination or modification of these obligations requires approval by the Board.
Class S shares of the respective Portfolios have adopted either a Distribution Plan or a Shareholder Services and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (collectively, the “12b-1 Plans”), whereby the Distributor is compensated by each Portfolio for expenses incurred for Shareholder Servicing and/or the distribution of each Portfolio’s shares. Pursuant to the 12b-1 Plans, the Distributor is entitled to a payment each month to
29
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 5 — DISTRIBUTION AND SERVICE FEES (continued)
compensate for expenses incurred in the distribution and promotion of each Portfolio’s shares, including expenses incurred in printing prospectuses and reports used for sales purposes, expenses incurred in preparing and printing sales literature and other such distribution related expenses, including any distribution or shareholder servicing fees paid to securities dealers who have executed a distribution agreement with the Distributor. Under the 12b-1 Plans, Class S shares of the Portfolios pay the Distributor a fee calculated at an annual rate of 0.25% of average daily net assets. For Money Market, the Distributor agreed to waive 0.10% of average daily net assets attributable to distribution fees for Class S shares, so that the actual fee paid by Money Market is an annual rate of 0.15%. Termination or modification of this obligation requires approval by the Board.
The Distributor and Voya Investments have contractually agreed to waive a portion of their distribution and/or shareholder servicing fees and management fees, as applicable, and to reimburse certain expenses to the extent necessary to assist Money Market in maintaining a yield of not less than zero. There is no guarantee that Money Market will maintain such a yield. Management fees waived or expenses reimbursed are subject to possible recoupment by Voya Investments, as applicable, within three years subject to certain restrictions. For the six months ended June 30, 2015, the Distributor waived $79 of Class S specific distribution fees and Voya Investments waived $360,824 of management fees for Money Market to maintain a yield of not less than zero. Termination or modification of this obligation requires approval by the Board. Please note that these waivers or reimbursements are in addition to existing contractual expense limitations, if any.
As of June 30, 2015, amounts of waived fees that are subject to possible recoupment by Voya Investments, and the related expiration dates are as follows:
| | | June 30, | | | | | | | | |||||||||||||||
| | | 2016 | | | 2017 | | | 2018 | | | Total | | ||||||||||||
Money Market | | | | $ | 388,140 | | | | | $ | 1,135,492 | | | | | $ | 843,906 | | | | | $ | 2,367,538 | | |
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
For the period ended June 30, 2015, Global Value Advantage assumed a payable of $145,900 for proxy and solicitation costs associated with its acquisition of Voya Global Resources Portfolio and Voya International Value Portfolio.
At June 30, 2015, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. or affiliated investment companies owned more than 5% of the following Portfolios:
Subsidiary/Affiliated Investment Company | | | Portfolio | | | Percentage | | |||
Voya Institutional Trust Company | | | Intermediate Bond | | | | | 5.43% | | |
| | | Money Market | | | | | 6.50 | | |
| | | Small Company | | | | | 7.15 | | |
Voya Insurance and Annuity Company | | | Global Value Advantage | | | | | 63.62 | | |
| | | Growth and Income | | | | | 45.54 | | |
| | | Intermediate Bond | | | | | 70.00 | | |
| | | Small Company | | | | | 14.89 | | |
Voya Retirement Insurance and Annuity Company | | | Balanced | | | | | 89.17 | | |
| | | Global Value Advantage | | | | | 25.17 | | |
| | | Growth and Income | | | | | 48.09 | | |
| | | Intermediate Bond | | | | | 20.30 | | |
| | | Money Market | | | | | 91.67 | | |
| | | Small Company | | | | | 53.46 | | |
Voya Solution 2025 Portfolio | | | Small Company | | | | | 5.33 | | |
Control is defined by the 1940 Act as the beneficial ownership, either directly or through one or more controlled companies, of more than 25% of the voting securities of a company. The 1940 Act defines affiliates as companies that are under common control. Therefore, if certain Portfolios have a common owner that owns over 25% of the outstanding securities of the Portfolios, they may be deemed to be affiliates of each other. Investment activities of these shareholders could have a material impact on the Portfolios.
The Investment Adviser may direct the Portfolios’ Sub-Adviser to use its best efforts (subject to obtaining best execution of each transaction) to allocate a Portfolio’s equity security transactions through certain designated broker-dealers. The designated broker-dealer, in turn, will reimburse a portion of the brokerage commissions to pay certain expenses of that Portfolio. Any amounts credited to the Portfolios are reflected as brokerage commission recapture on the accompanying Statements of Operations.
The Portfolios have adopted a Deferred Compensation Plan (the “Plan”), which allows eligible non-affiliated directors/trustees, as described in the Plan, to defer the receipt of all or a portion of the directors’/trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the director/trustee under the Plan, the amounts deferred are invested in shares of the funds selected by the director/trustee (the “Notional Funds”). The Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the directors’/trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets are included as a component of “Other assets” on the accompanying Statement of Assets and Liabilities. Deferral of directors’/
30
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (continued)
trustees’ fees under the Plan will not affect net assets of the Portfolios, and will not materially affect the Portfolios’ assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the Plan.
NOTE 7 — EXPENSE LIMITATION AGREEMENT
The Investment Adviser has entered into a written expense limitation agreement (“Expense Limitation Agreement”) with the following Portfolios whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses, extraordinary expenses, and acquired fund fees and expenses to the levels listed below:
| | | Class ADV | | | Class I | | | Class S | | | Class S2 | | | Class T | | |||||||||||||||
Global Value Advantage(1) | | | | | 1.34% | | | | | | 0.84% | | | | | | 1.09% | | | | | | 1.24% | | | | | | 1.44% | | |
Growth and Income | | | | | 1.30% | | | | | | 0.70% | | | | | | 0.95% | | | | | | 1.10% | | | | | | N/A | | |
Intermediate Bond | | | | | 1.05% | | | | | | 0.55% | | | | | | 0.80% | | | | | | 0.95% | | | | | | N/A | | |
Small Company | | | | | 1.45% | | | | | | 0.95% | | | | | | 1.20% | | | | | | N/A | | | | | | N/A | | |
(1)
Effective close of business on March 6, 2015, pursuant to a side letter agreement, through May 1, 2017, the Investment Adviser has further lowered the expense limits for Global Value Advantage to 1.14%, 0.64%, 0.89%, 1.04% and 1.24% for Class ADV, Class I, Class S, Class S2 and Class T, respectively. Prior to close of business on March 6, 2015, the side letter agreement expense limits were 1.15%, 0.65%, 0.90%, 1.05% and 1.25% for Class ADV, Class I, Class S, Class S2 and Class T, respectively. Termination or modification of this obligation requires approval by the Board. Any fees waived pursuant to the side letter agreement shall not be eligible for recoupment.
The Investment Adviser may at a later date recoup from a Portfolio management fees waived and other expenses assumed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, the Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
As of June 30, 2015, the Portfolios did not have any amount of waived or reimbursed fees that would be subject to possible recoupment by the Investment Adviser.
The Expense Limitation Agreements are contractual through May 1, 2016 (except for Global Value Advantage and Intermediate Bond, which are through May 1, 2017) and shall renew automatically for one-year terms. Termination or modification of these obligations requires approval by the Board.
NOTE 8 — LINE OF CREDIT
The Portfolios, in addition to certain other funds managed by the Investment Adviser, have entered into an unsecured committed revolving line of credit agreement (the “Credit Agreement”) with BNY for an aggregate amount of $200,000,000. The proceeds may be used only to: (1) temporarily finance the purchase or sale of securities; or (2) finance the redemption of shares of an investor in the funds. The funds to which the line of credit is available pay a commitment fee equal to 0.10% per annum on the daily unused portion of the committed line amount payable quarterly in arrears. Prior to May 22, 2015, the funds to which the Credit Agreement is available paid a commitment fee equal to 0.07% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The following Portfolios utilized the line of credit during the six months ended June 30, 2015:
Portfolio | | | Days Utilized | | | Approximate Average Daily Balance For Days Utilized | | | Approximate Weighted Average Interest Rate For Days Utilized | | |||||||||
Balanced | | | | | 4 | | | | | $ | 670,000 | | | | | | 1.12% | | |
Global Value Advantage | | | | | 7 | | | | | | 2,757,000 | | | | | | 1.12 | | |
Growth and Income | | | | | 3 | | | | | | 20,136,000 | | | | | | 1.12 | | |
Intermediate Bond | | | | | 16 | | | | | | 987,875 | | | | | | 1.12 | | |
Money Market | | | | | 1 | | | | | | 17,079,000 | | | | | | 1.12 | | |
NOTE 9 — OTHER ACCRUED EXPENSES & LIABILITIES
At June 30, 2015, the following Portfolio had the below payables included in Other Accrued Expenses and Liabilities that exceeded 5% of total liabilities:
Portfolio | | | Accrued Expenses | | | Amount | | |||
Money Market | | | Custody | | | | $ | 30,669 | | |
| | | Shareholder Reporting | | | | | 50,305 | | |
NOTE 10 — PURCHASED AND WRITTEN OPTIONS
Transactions in purchased foreign currency options for Balanced during the period ended June 30, 2015 were as follows:
| | | USD Notional | | | Cost | | ||||||
Balance at 12/31/2014 | | | | | 2,843,000 | | | | | $ | 13,078 | | |
Options Purchased | | | | | 18,334,058 | | | | | | 199,020 | | |
31
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 10 — PURCHASED AND WRITTEN OPTIONS (continued)
| | | USD Notional | | | Cost | | ||||||||
Options Terminated in Closing Sell Transactions | | | | | (5,184,686) | | | | | | (59,935) | | | ||
Options Expired | | | | | (2,843,000) | | | | | | (13,078) | | | ||
Balance at 06/30/2015 | | | | | 13,149,372 | | | | | $ | 139,085 | | | ||
|
Transactions in purchased interest rate swaptions for Balanced during the period ended June 30, 2015 were as follows:
| | | USD Notional | | | Cost | | ||||||||
Balance at 12/31/2014 | | | | | 27,549,598 | | | | | $ | 124,003 | | | ||
Options Purchased | | | | | 251,784,000 | | | | | | 2,047,632 | | | ||
Options Terminated in Closing Sell Transactions | | | | | (177,124,000) | | | | | | (1,069,550) | | | ||
Options Expired | | | | | (61,759,598) | | | | | | (230,018) | | | ||
Balance at 06/30/2015 | | | | | 40,450,000 | | | | | $ | 872,067 | | | ||
|
Transactions in written foreign currency options for Balanced during the period ended June 30, 2015 were as follows:
| | | USD Notional | | | Premiums Received | | ||||||||
Balance at 12/31/2014 | | | | | — | | | | | $ | — | | | ||
Options Written | | | | | 18,738,686 | | | | | | 85,909 | | | ||
Options Terminated in Closing Purchase Transactions | | | | | (11,863,686) | | | | | | (52,424) | | | ||
Options Expired | | | | | (4,095,000) | | | | | | (10,355) | | | ||
Balance at 06/30/2015 | | | | | 2,780,000 | | | | | $ | 23,130 | | | ||
|
Transactions in written interest rate swaptions for Balanced during the period ended June 30, 2015 were as follows:
| | | EUR Notional | | | USD Notional | | | Premiums Received | | ||||||||||||
| | | | | ||||||||||||||||||
Balance at 12/31/2014 | | | | | — | | | | | | 29,492,000 | | | | | $ | 85,907 | | | |||
Options Written | | | | | 50,298,000 | | | | | | 401,532,000 | | | | | | 1,531,504 | | | |||
Options Terminated in Closing Purchase Transactions | | | | | — | | | | | | (183,061,000) | | | | | | (633,685) | | | |||
Options Expired | | | | | — | | | | | | (49,535,000) | | | | | | (221,908) | | | |||
Balance at 06/30/2015 | | | | | 50,298,000 | | | | | | 198,428,000 | | | | | $ | 761,818 | | | |||
|
Transactions in purchased interest rate swaptions for Intermediate Bond during the period ended June 30, 2015 were as follows:
| | | USD Notional | | | Cost | | ||||||||
Balance at 12/31/2014 | | | | | 993,819,485 | | | | | $ | 4,869,715 | | | ||
Options Purchased | | | | | 1,077,188,000 | | | | | | 2,635,813 | | | ||
Options Terminated in Closing Sell Transactions | | | | | (1,077,188,000) | | | | | | (2,635,813) | | | ||
Options Expired | | | | | (993,819,485) | | | | | | (4,869,715) | | | ||
Balance at 6/30/2015 | | | | | — | | | | | $ | — | | | ||
|
Transactions in written interest rate swaptions for Intermediate Bond during the period ended June 30, 2015 were as follows:
| | | USD Notional | | | Premiums Received | | ||||||||
Balance at 12/31/2014 | | | | | — | | | | | $ | — | | | ||
Options Written | | | | | 1,077,188,000 | | | | | | 3,723,993 | | | ||
Options Terminated in Closing Purchase Transactions | | | | | (1,077,188,000) | | | | | | (3,723,993) | | | ||
Balance at 6/30/2015 | | | | | — | | | | | $ | — | | | ||
|
NOTE 11 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
| | | Shares sold | | | Shares issued in merger | | | Reinvestment of distributions | | | Shares redeemed | | | Net increase (decrease) in shares outstanding | | | Shares sold | | | Proceeds from shares issued in merger | | | Reinvestment of distributions | | | Shares redeemed | | | Net increase (decrease) | | ||||||||||||||||||||||||||||||
Year or period ended | | | # | | | # | | | # | | | # | | | # | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | ||||||||||||||||||||||||||||||
Balanced | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
12/31/2014 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Class I | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 119,223 | | | | | | — | | | | | | 636,456 | | | | | | (1,943,629) | | | | | | (1,187,950) | | | | | | 1,772,724 | | | | | | — | | | | | | 9,483,192 | | | | | | (28,890,352) | | | | | | (17,634,436) | | |
12/31/2014 | | | | | 490,372 | | | | | | — | | | | | | 612,403 | | | | | | (4,861,806) | | | | | | (3,759,031) | | | | | | 6,967,759 | | | | | | — | | | | | | 8,604,651 | | | | | | (69,819,472) | | | | | | (54,247,062) | | |
Class S | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 2,998 | | | | | | — | | | | | | 5,259 | | | | | | (16,850) | | | | | | (8,593) | | | | | | 44,382 | | | | | | — | | | | | | 77,986 | | | | | | (250,275) | | | | | | (127,907) | | |
12/31/2014 | | | | | 16,786 | | | | | | — | | | | | | 5,585 | | | | | | (111,231) | | | | | | (88,860) | | | | | | 241,401 | | | | | | — | | | | | | 78,141 | | | | | | (1,586,005) | | | | | | (1,266,463) | | |
Class S2 | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
12/31/2014 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
32
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 11 — CAPITAL SHARES (continued)
| | | 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 | | | # | | | # | | | # | | | # | | | # | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | ||||||||||||||||||||||||||||||
Global Value Advantage | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 2,597,997 | | | | | | 141,353 | | | | | | — | | | | | | (266,924) | | | | | | 2,472,426 | | | | | | 24,444,586 | | | | | | 1,329,705 | | | | | | — | | | | | | (2,580,792) | | | | | | 23,193,499 | |
12/31/2014 | | | | | 28,485 | | | | | | — | | | | | | 3,901 | | | | | | (38,773) | | | | | | (6,387) | | | | | | 259,356 | | | | | | — | | | | | | 34,754 | | | | | | (352,057) | | | | | | (57,947) | |
Class I | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
3/5/2015(1) - 6/30/2015 | | | | | 7,817,334 | | | | | | 13,113,754 | | | | | | 113,968 | | | | | | (1,230,154) | | | | | | 19,814,902 | | | | | | 74,359,970 | | | | | | 124,711,936 | | | | | | 1,130,564 | | | | | | (12,000,702) | | | | | | 188,201,768 | |
Class S | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 2,076,733 | | | | | | 42,621,132 | | | | | | 248,043 | | | | | | (12,365,007) | | | | | | 32,580,901 | | | | | | 19,827,076 | | | | | | 405,349,847 | | | | | | 2,463,068 | | | | | | (118,431,033) | | | | | | 309,208,958 | |
12/31/2014 | | | | | 832,547 | | | | | | — | | | | | | 566,924 | | | | | | (2,946,785) | | | | | | (1,547,314) | | | | | | 7,689,471 | | | | | | — | | | | | | 5,096,647 | | | | | | (26,987,001) | | | | | | (14,200,883) | |
Class S2 | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
3/5/2015(1) - 6/30/2015 | | | | | 2,073 | | | | | | 1,501,436 | | | | | | 180 | | | | | | (1,471,239) | | | | | | 32,450 | | | | | | 19,968 | | | | | | 14,128,522 | | | | | | 1,762 | | | | | | (13,844,526) | | | | | | 305,726 | |
Class T | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
3/5/2015(1) - 6/30/2015 | | | | | 130,243 | | | | | | 10,731,841 | | | | | | 42,425 | | | | | | (3,711,743) | | | | | | 7,192,766 | | | | | | 1,259,440 | | | | | | 100,986,795 | | | | | | 416,187 | | | | | | (35,249,618) | | | | | | 67,412,804 | |
Growth and Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 91,078 | | | | | | — | | | | | | — | | | | | | (3,547,800) | | | | | | (3,456,722) | | | | | | 2,826,615 | | | | | | — | | | | | | — | | | | | | (110,189,632) | | | | | | (107,363,017) | |
12/31/2014 | | | | | 400,469 | | | | | | — | | | | | | 5,534,480 | | | | | | (7,386,574) | | | | | | (1,451,625) | | | | | | 13,212,287 | | | | | | — | | | | | | 170,185,252 | | | | | | (241,956,332) | | | | | | (58,558,793) | |
Class I | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 168,636 | | | | | | — | | | | | | — | | | | | | (3,839,588) | | | | | | (3,670,952) | | | | | | 5,321,338 | | | | | | — | | | | | | — | | | | | | (120,552,182) | | | | | | (115,230,844) | |
12/31/2014 | | | | | 799,962 | | | | | | — | | | | | | 8,918,861 | | | | | | (8,742,866) | | | | | | 975,957 | | | | | | 25,620,199 | | | | | | — | | | | | | 277,287,376 | | | | | | (288,762,379) | | | | | | 14,145,196 | |
Class S | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 79,654 | | | | | | — | | | | | | — | | | | | | (2,351,469) | | | | | | (2,271,815) | | | | | | 2,468,327 | | | | | | — | | | | | | — | | | | | | (73,125,527) | | | | | | (70,657,200) | |
12/31/2014 | | | | | 227,145 | | | | | | — | | | | | | 3,298,025 | | | | | | (4,897,593) | | | | | | (1,372,423) | | | | | | 7,362,201 | | | | | | — | | | | | | 101,480,245 | | | | | | (160,678,902) | | | | | | (51,836,456) | |
Class S2 | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 4,963 | | | | | | — | | | | | | — | | | | | | (7,599) | | | | | | (2,636) | | | | | | 155,040 | | | | | | — | | | | | | — | | | | | | (232,914) | | | | | | (77,874) | |
12/31/2014 | | | | | 6,900 | | | | | | — | | | | | | 1,246 | | | | | | (35,280) | | | | | | (27,134) | | | | | | 226,688 | | | | | | — | | | | | | 38,099 | | | | | | (1,174,602) | | | | | | (909,815) | |
Intermediate Bond | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 692,032 | | | | | | — | | | | | | 27,668 | | | | | | (731,940) | | | | | | (12,240) | | | | | | 8,969,950 | | | | | | — | | | | | | 358,856 | | | | | | (9,472,839) | | | | | | (144,033) | |
12/31/2014 | | | | | 1,008,851 | | | | | | 12,168,090 | | | | | | 434,533 | | | | | | (1,609,142) | | | | | | 12,002,332 | | | | | | 13,074,243 | | | | | | 154,197,567 | | | | | | 5,558,145 | | | | | | (20,800,864) | | | | | | 152,029,091 | |
Class I | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 8,884,224 | | | | | | — | | | | | | 145,233 | | | | | | (4,344,256) | | | | | | 4,685,201 | | | | | | 115,826,904 | | | | | | — | | | | | | 1,901,105 | | | | | | (56,653,861) | | | | | | 61,074,148 | |
12/31/2014 | | | | | 5,701,375 | | | | | | 7,270,005 | | | | | | 2,419,543 | | | | | | (8,856,545) | | | | | | 6,534,378 | | | | | | 74,750,108 | | | | | | 92,812,192 | | | | | | 31,190,200 | | | | | | (115,079,220) | | | | | | 83,673,280 | |
Class S | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 2,834,597 | | | | | | — | | | | | | 479,285 | | | | | | (19,566,225) | | | | | | (16,252,343) | | | | | | 36,715,406 | | | | | | — | | | | | | 6,230,709 | | | | | | (254,052,587) | | | | | | (211,106,472) | |
12/31/2014 | | | | | 9,546,315 | | | | | | 203,703,912 | | | | | | 8,318,881 | | | | | | (42,127,562) | | | | | | 179,441,546 | | | | | | 123,095,452 | | | | | | 2,585,587,889 | | | | | | 106,574,035 | | | | | | (547,039,572) | | | | | | 2,268,217,804 | |
Class S2 | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 1,995,036 | | | | | | — | | | | | | 3,894 | | | | | | (195,083) | | | | | | 1,803,847 | | | | | | 25,774,274 | | | | | | — | | | | | | 50,471 | | | | | | (2,541,806) | | | | | | 23,282,939 | |
12/31/2014 | | | | | 368,717 | | | | | | 3,875,395 | | | | | | 12,601 | | | | | | (3,965,115) | | | | | | 291,598 | | | | | | 4,799,225 | | | | | | 50,331,277 | | | | | | 161,042 | | | | | | (50,304,272) | | | | | | 4,987,272 | |
Money Market | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 40,791,280 | | | | | | — | | | | | | 65,980 | | | | | | (86,148,759) | | | | | | (45,291,499) | | | | | | 40,791,281 | | | | | | — | | | | | | 65,980 | | | | | | (86,148,759) | | | | | | (45,291,498) | |
12/31/2014 | | | | | 70,331,752 | | | | | | — | | | | | | 109,900 | | | | | | (222,173,820) | | | | | | (151,732,168) | | | | | | 70,331,752 | | | | | | — | | | | | | 109,900 | | | | | | (222,173,820) | | | | | | (151,732,168) | |
Class S | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 432 | | | | | | — | | | | | | 12 | | | | | | (386) | | | | | | 58 | | | | | | 432 | | | | | | — | | | | | | 12 | | | | | | (386) | | | | | | 58 | |
12/31/2014 | | | | | 2,169 | | | | | | — | | | | | | 16 | | | | | | (33,837) | | | | | | (31,652) | | | | | | 2,169 | | | | | | — | | | | | | 16 | | | | | | (33,836) | | | | | | (31,651) | |
Small Company | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 16,227 | | | | | | — | | | | | | 42,062 | | | | | | (30,607) | | | | | | 27,682 | | | | | | 360,618 | | | | | | — | | | | | | 833,677 | | | | | | (685,934) | | | | | | 508,361 | |
12/31/2014 | | | | | 31,232 | | | | | | — | | | | | | 37,382 | | | | | | (110,097) | | | | | | (41,483) | | | | | | 701,029 | | | | | | — | | | | | | 780,154 | | | | | | (2,416,034) | | | | | | (934,851) | |
Class I | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 439,540 | | | | | | — | | | | | | 3,651,238 | | | | | | (1,469,437) | | | | | | 2,621,341 | | | | | | 9,959,841 | | | | | | — | | | | | | 74,959,920 | | | | | | (33,643,761) | | | | | | 51,276,000 | |
12/31/2014 | | | | | 2,074,599 | | | | | | — | | | | | | 2,971,526 | | | | | | (5,881,293) | | | | | | (835,168) | | | | | | 48,553,568 | | | | | | — | | | | | | 63,887,801 | | | | | | (133,003,794) | | | | | | (20,562,425) | |
Class S | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | 170,181 | | | | | | — | | | | | | 824,447 | | | | | | (431,688) | | | | | | 562,940 | | | | | | 3,845,547 | | | | | | — | | | | | | 16,604,357 | | | | | | (9,678,248) | | | | | | 10,771,656 | |
12/31/2014 | | | | | 493,548 | | | | | | — | | | | | | 620,364 | | | | | | (1,279,303) | | | | | | (165,391) | | | | | | 11,001,481 | | | | | | — | | | | | | 13,126,900 | | | | | | (28,787,447) | | | | | | (4,659,066) | |
Class S2(2) | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | | | | | — | | | | | | — | | | | | | — | | | | | | (1,782) | | | | | | (1,782) | | | | | | — | | | | | | — | | | | | | — | | | | | | (39,074) | | | | | | (39,074) | |
12/31/2014 | | | | | 319 | | | | | | — | | | | | | 177 | | | | | | 0 | | | | | | 496 | | | | | | 7,035 | | | | | | — | | | | | | 3,725 | | | | | | — | | | | | | 10,760 |
(1)
Commencement of operations.
(2)
Class S2 liquidated on May 28, 2015.
33
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 12 — SECURITIES LENDING
Under a Master Securities Lending Agreement (the “Agreement”) with BNY, each Portfolio (except Money Market) can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash and U.S. government securities. The collateral is equal to at least 105% of the market value of non-U.S. securities loaned and 102% of the market value of U.S. securities loaned. The market value of the loaned securities is determined at the close of business of the Portfolios at their last sale price or official closing price on the principal exchange or system on which they are traded and any additional collateral is delivered to the Portfolios on the next business day. The cash collateral received is invested in approved investments as defined in the Agreement with BNY. The Portfolios bear the risk of loss with respect to the investment of collateral with the following exception: BNY provides the Portfolios indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements.
The cash collateral is invested in overnight repurchase agreements that are collateralized at 102% with securities issued or fully guaranteed by the United States Treasury; United States government or any agency, instrumentality or authority of the United States government. The securities purchased with cash collateral received are reflected in the Summary Portfolio of Investments under Securities Lending Collateral.
Generally, in the event of counterparty default, the Portfolios have the right to use the collateral to offset losses incurred. The Agreement contains certain guarantees by BNY in the event of counterparty default and/or a borrower’s failure to return a loaned security; however, there would be a potential loss to the Portfolios in the event the Portfolios are delayed or prevented from exercising their right to dispose of the collateral. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a Portfolio.
The following is a summary of the Portfolio’s securities lending agreements by counterparty which are subject to offset under the Agreement as of June 30, 2015:
Balanced
Counterparty | | | Securities Loaned at Value | | | Cash Collateral Received(1) | | | Net Amount | | |||||||||
Barclays Capital Inc. | | | | $ | 65,631 | | | | | $ | (65,631) | | | | | $ | — | | |
Citigroup Global Markets Inc. | | | | | 483,459 | | | | | | (483,459) | | | | | | — | | |
Citigroup Global Markets Limited | | | | | 541,407 | | | | | | (541,407) | | | | | | — | | |
Counterparty | | | Securities Loaned at Value | | | Cash Collateral Received(1) | | | Net Amount | |||||||||||
Credit Suisse Securities (USA) LLC | | | | | 69,630 | | | | | | (69,630) | | | | | | — | |||
Goldman Sachs & Company | | | | | 1,301,595 | | | | | | (1,301,595) | | | | | | — | |||
HSBC Securities (USA) Inc. | | | | | 232,432 | | | | | | (232,432) | | | | | | — | |||
Merrill Lynch International | | | | | 275,524 | | | | | | (275,524) | | | | | | — | |||
Morgan Stanley & Co. LLC | | | | | 360,620 | | | | | | (360,620) | | | | | | — | |||
Scotia Capital (USA) INC | | | | | 98,908 | | | | | | (98,908) | | | | | | — | |||
UBS Securities LLC. | | | | | 12,456,232 | | | | | | (12,456,232) | | | | | | — | |||
Total | | | | $ | 15,885,439 | | | | | $ | (15,885,439) | | | | | $ | — | |||
|
(1)
Collateral with a fair value of $16,243,485 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.
Global Value Advantage
Counterparty | | | Securities Loaned at Value | | | Cash Collateral Received(1) | | | Net Amount | | ||||||||||||
Citigroup Global Markets Limited | | | | $ | 2,762,859 | | | | | $ | (2,762,859) | | | | | $ | — | | | |||
Goldman Sachs & Co. | | | | | 8,867,476 | | | | | | (8,867,476) | | | | | | — | | | |||
Total | | | | $ | 11,630,335 | | | | | $ | (11,630,335) | | | | | $ | — | | | |||
|
(1)
Collateral with a fair value of $12,053,117 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.
Intermediate Bond
Counterparty | | | Securities Loaned at Value | | | Cash Collateral Received(1) | | | Net Amount | | ||||||||||||
Barclays Capital Inc. | | | | $ | 4,833,528 | | | | | $ | (4,833,528) | | | | | $ | — | | | |||
Citigroup Global Markets Inc. | | | | | 1,507,880 | | | | | | (1,507,880) | | | | | | — | | | |||
Credit Suisse Securities (USA) LLC | | | | | 166,314 | | | | | | (166,314) | | | | | | — | | | |||
Deutsche Bank Securities Inc. | | | | | 5,242,495 | | | | | | (5,242,495) | | | | | | — | | | |||
Goldman Sachs & Co. | | | | | 1,504,255 | | | | | | (1,504,255) | | | | | | — | | | |||
Scotia Capital (USA) INC | | | | | 430,601 | | | | | | (430,601) | | | | | | — | | | |||
Total | | | | $ | 13,685,074 | | | | | $ | (13,685,074) | | | | | $ | — | | | |||
|
(1)
Collateral with a fair value of $14,034,788 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.
Small Company
Counterparty | | | Securities Loaned at Value | | | Cash Collateral Received(1) | | | Net Amount | | |||||||||
Barclays Capital Inc. | | | | $ | 218,152 | | | | | $ | (218,152) | | | | | $ | — | | |
Citadel Clearing LLC | | | | | 179,898 | | | | | | (179,898) | | | | | | — | | |
Goldman Sachs & Co. | | | | | 3,462,372 | | | | | | (3,462,372) | | | | | | — | | |
HSBC Bank PLC | | | | | 743,400 | | | | | | (743,400) | | | | | | — | | |
34
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 12 — SECURITIES LENDING (continued)
Counterparty | | | Securities Loaned at Value | | | Cash Collateral Received(1) | | | Net Amount | |||||||||||
JP Morgan Clearing Corp | | | | | 3,178,791 | | | | | | (3,178,791) | | | | | | — | |||
RBC Capital Markets, LLC | | | | | 7,828 | | | | | | (7,828) | | | | | | — | |||
RBC Dominion Securities Inc | | | | | 133,812 | | | | | | (133,812) | | | | | | — | |||
UBS Securities LLC. | | | | | 3,458,144 | | | | | | (3,458,144) | | | | | | — | |||
Total | | | | $ | 11,382,397 | | | | | $ | (11,382,397) | | | | | $ | — | |||
|
(1)
Collateral with a fair value of $11,640,708 has been received in connection with the above securities lending transactions. Excess collateral received from the individual counterparty is not shown for financial reporting purposes.
NOTE 13 — CONCENTRATION OF INVESTMENT RISKS
All mutual funds involve risk — some more than others — and there is always the chance that you could lose money or not earn as much as you hope. A Portfolio’s risk profile is largely a factor of the principal securities in which it invests and investment techniques that it uses. For more information regarding the types of securities and investment techniques that may be used by each Portfolio and their corresponding risks, see the Portfolios’ most recent Prospectus and/or the Statement of Additional Information.
Foreign Investments and/or Developing and Emerging Markets. Investing in foreign (non-U.S.) securities may result in the Portfolios experiencing more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies due to: smaller markets; differing reporting, accounting, and auditing standards; nationalization, expropriation, or confiscatory taxation; foreign currency fluctuations, currency blockage, or replacement; potential for default on sovereign debt; or political changes or diplomatic developments, which may include the imposition of economic sanctions or other measures by the United States or other governments and supranational organizations. Markets and economies throughout the world are becoming increasingly interconnected, and conditions or events in one market, country or region may adversely impact investments or issuers in another market, country or region. Foreign investment risks may be greater in developing and emerging markets than in developed markets.
Regulatory (Money Market). Changes in government regulations may adversely affect the value of a security
held by the Portfolio. In addition, the SEC has adopted amendments to money market fund regulation, which when implemented may, among other things, require the Portfolio to change the manner in which it values its securities, impose new liquidity fees on redemptions in certain circumstances, and permit the Portfolio to limit redemptions in certain circumstances. These changes may result in reduced yields for money market funds, including the Portfolio. Compliance with amended money market fund regulation is required in 2016. The SEC or other regulators may adopt additional money market reforms, which may impact the operations or performance of the Portfolio.
NOTE 14 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, income from passive foreign investment companies (PFICs), and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
The tax composition of dividends and distributions to shareholders was as follows:
| | | Six Months Ended June 30, 2015 | | | Year Ended December 31, 2014 | | ||||||||||||||||||
| | | Ordinary Income | | | Long-term Capital Gains | | | Ordinary Income | | | Long-term Capital Gains | | ||||||||||||
Balanced | | | | $ | 9,561,178 | | | | | $ | — | | | | | $ | 8,682,792 | | | | | $ | — | | |
Global Value Advantage | | | | | 4,011,581 | | | | | | — | | | | | | 5,131,401 | | | | | | — | | |
Growth and Income | | | | | — | | | | | | — | | | | | | 84,492,933 | | | | | | 464,792,313 | | |
Intermediate Bond | | | | | 8,541,714 | | | | | | — | | | | | | 143,494,004 | | | | | | — | | |
Money Market | | | | | 65,992 | | | | | | — | | | | | | 109,916 | | | | | | — | | |
Small Company | | | | | 11,222,451 | | | | | | 81,175,503 | | | | | | 14,880,846 | | | | | | 62,917,734 | | |
35
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 14 — FEDERAL INCOME TAXES (continued)
The tax-basis components of distributable earnings and the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2014 are detailed below. The Regulated Investment Company Modernization Act of 2010 (the “Act”) provides an unlimited carryforward period for newly generated capital losses. Under the Act, there may be a greater likelihood that all or a portion of the Portfolios’ pre-enactment capital loss carryforwards may expire without being utilized due to the fact that post-enactment capital losses are required to be utilized before pre-enactment capital loss carryforwards.
| | | Undistributed Ordinary Income | | | Late Year Ordinary Losses Deferred | | | Undistributed Long-term Capital Gains | | | Post-October Capital Losses Deferred | | | Unrealized Appreciation/ (Depreciation) | | | Capital Loss Carryforwards | | ||||||||||||||||||||||||||||||||||
| Amount | | | Character | | | Expiration | | |||||||||||||||||||||||||||||||||||||||||||||
Balanced | | | | $ | 9,628,574 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 34,890,371 | | | | | $ | (27,823,239) | | | | Short-term | | | | | 2017 | | | |||||||
Global Value Advantage | | | | | 3,989,014 | | | | | | — | | | | | | — | | | | | | — | | | | | | 12,919,031 | | | | | | (16,195,194) | | | | Short-term | | | | | 2017 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (6,695,973) | | | | Short-term | | | | | 2018 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (22,891,167) | | | | | | | | | | | | |||||||
Growth and Income | | | | | — | | | | | | (6,631) | | | | | | — | | | | | | (20,869,570) | | | | | | 1,041,328,238 | | | | | | (16,483,874) | | | | Short-term | | | | | 2015 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (70,550,465) | | | | Short-term | | | | | 2016 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (237,184) | | | | Long-term | | | | | None | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (87,271,523)* | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||||
Intermediate Bond | | | | | 8,536,949 | | | | | | — | | | | | | — | | | | | | (532,231) | | | | | | 57,705,286 | | | | | | (152,830,543)* | | | | Short-term | | | | | 2017 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||||
Money Market | | | | | 57,517 | | | | | | — | | | | | | 9,705 | | | | | | — | | | | | | (101) | | | | | | — | | | | — | | | | | — | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||||
Small Company | | | | | 11,219,286 | | | | | | — | | | | | | 81,173,807 | | | | | | — | | | | | | 127,885,590 | | | | | | (1,570,777) | | | | Short-term | | | | | 2015 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (1,570,776) | | | | Short-term | | | | | 2016 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (520,509) | | | | Short-term | | | | | 2017 | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (3,662,062)* | | | | | | | | | | | | |||||||
|
*
Utilization of these capital losses is subject to annual limitations under Section 382 of the Internal Revenue Code.
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2010.
As of June 30, 2015, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.
NOTE 15 — REORGANIZATIONS
On March 14, 2014, Intermediate Bond (“Acquiring Portfolio”) acquired all of the net assets of ING Bond Portfolio (“Acquired 1 Portfolio”), an open-end investment company in a tax-free reorganization in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the shareholders of the Acquired 1 Portfolio on February 27, 2014. The purposes of the transaction were to combine two portfolios with comparable investment objectives, policies, restrictions, portfolio holdings and management. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired 1 Portfolio were carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2014, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the year ended December 31, 2014, are as follows:
| Net investment income | | | | $ | 140,371,277 | | |
| Net realized and unrealized gain on investments | | | | $ | 111,508,006 | | |
| Net increase in net assets resulting from operations | | | | $ | 251,879,283 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired 1 Portfolio that have been included in the Acquiring Portfolio’s statement of operations since March 14, 2014. Net assets and unrealized appreciation or depreciation as of the reorganization date were as follows:
36
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 15 — REORGANIZATIONS (continued)
| Total Net Assets of Acquired 1 Portfolio (000s) | | | Total Net Assets of Acquiring Portfolio (000s) | | | Acquired 1 Portfolio’s Capital Loss Carryforwards (000s) | | | Acquired 1 Portfolio’s Unrealized Appreciation (000s) | | | Portfolios’ Conversion Ratio | |
| $401,363 | | | $2,027,068 | | | $6,819 | | | $1,198 | | | 0.7080 | |
The net assets of the Acquiring Portfolio after the acquisition of Acquired 1 Portfolio were $2,428,431,449.
On March 21, 2014, Intermediate Bond (“Acquiring Portfolio”) acquired all of the net assets of ING Total Return Bond Portfolio (“Acquired 2 Portfolio”), an open-end investment company in a tax-free reorganization in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the shareholders of the Acquired 2 Portfolio on January 28, 2014. The purposes of the transaction were to combine two portfolios with comparable investment objectives and policies. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired 2 Portfolio were carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2014, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the year ended December 31, 2014, are as follows:
| Net investment income | | | | $ | 150,250,860 | | |
| Net realized and unrealized gain on investments | | | | $ | 133,073,443 | | |
| Net increase in net assets resulting from operations | | | | $ | 283,324,303 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired 2 Portfolio that have been included in the Acquiring Portfolio’s statement of operations since March 21, 2014. Net assets and unrealized appreciation or depreciation as of the reorganization date were as follows:
| Total Net Assets of Acquired 2 Portfolio (000s) | | | Total Net Assets of Acquiring Portfolio (000s) | | | Acquired 2 Portfolio’s Capital Loss Carryforwards (000s) | | | Acquired 2 Portfolio’s Unrealized Appreciation (000s) | | | Portfolios’ Conversion Ratio | |
| $2,481,566 | | | $2,412,823 | | | $ — | | | $37,067 | | | 0.8585 | |
The net assets of the Acquiring Portfolio after the acquisition of Acquired 2 Portfolio were $4,894,389,260.
On March 6, 2015, Global Value Advantage (“Acquiring Portfolio”) acquired all of the net assets of, and assumed all the liabilities, for each of Voya Global Resources Portfolio (“Acquired 1 Portfolio”) and Voya International
Value Portfolio (“Acquired 2 Portfolio”), collectively, “Acquired Portfolios,” each an open-end investment company in a tax-free reorganization, in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the shareholders of the Acquired Portfolios, voting separately, on February 17, 2015. The transaction was intended to enhance the efficiency and reduce the complexity of Voya family of funds by, among other things, eliminating sector funds from the Voya family of funds. Furthermore, the Acquired Portfolios were expected to benefit from a reduction in gross and net expenses as shareholders of Global Value Advantage Portfolio. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired Portfolio were carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2015, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the period ended June 30, 2015, are as follows:
| Net investment income | | | | $ | 11,755,533 | | |
| Net realized and unrealized loss on investments | | | | $ | (6,128,327) | | |
| Net increase in net assets resulting from operations | | | | $ | 5,627,206 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Portfolios that have been included in the Acquiring Portfolio’s statement of operations since March 6, 2015. Net assets and unrealized appreciation or depreciation as of the reorganization date were as follows:
| Acquired Portfolio | | | Total Net Assets of Acquired Portfolios (000s) | | | Total Net Assets of Acquiring Portfolios (000s) | | | Acquired Capital Loss Carryforwards (000s) | | | Acquired Unrealized Appreciation/ (Depreciation) (000s) | | | Portfolio Conversion Ratio | | |||||||||||||||
| Acquired 1 Portfolio | | | | $ | 534,681 | | | | | $ | 169,240 | | | | | $ | 154,807 | | | | | $ | (12,803) | | | | | | 1.8507 | | |
| Acquired 2 Portfolio | | | | $ | 111,826 | | | | | $ | 169,240 | | | | | $ | 173,391 | | | | | $ | 4,632 | | | | | | 0.9631 | | |
The net assets of the Acquiring Portfolio after the acquisition were $815,746,881.
NOTE 16 — RESTRUCTURING PLAN
Prior to May 2013, Voya Financial, Inc. was a wholly-owned subsidiary of ING Groep N.V. (“ING Groep”). In October 2009, ING Groep submitted a restructuring plan (the “Restructuring Plan”) to the European Commission in order to receive approval for state aid granted to ING
37
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 16 — RESTRUCTURING PLAN (continued)
Groep by the Kingdom of the Netherlands in November 2008 and March 2009. To receive approval for this state aid, ING Groep was required to divest its insurance and investment management businesses, including Voya Financial, Inc. (formerly, ING U.S., Inc.), before the end of 2013. In November 2012, the Restructuring Plan was amended to permit ING Groep additional time to complete the divestment. Pursuant to the amended Restructuring Plan, ING Groep was required to divest at least 25% of Voya Financial, Inc. by the end of 2013 and more than 50% by the end of 2014, and was required to divest its remaining interest by the end of 2016 (such divestment, the “Separation Plan”).
In May 2013, Voya Financial, Inc. conducted an initial public offering of its common stock (the “IPO”). In October 2013, March 2014, and September 2014, ING Groep divested additional shares in several secondary offerings of common stock of Voya Financial, Inc. and concurrent share repurchases by Voya Financial, Inc. These transactions reduced ING Groep’s ownership interest in Voya Financial, Inc. to 32%. Voya Financial, Inc. did not receive any proceeds from these offerings.
In November 2014, through an additional secondary offering and the concurrent repurchase of shares by Voya Financial, Inc., ING Groep further reduced its interest in Voya Financial, Inc. below 25% to approximately 19% (the “November 2014 Offering”). The November 2014 Offering was deemed by the Investment Adviser to be a change of control (the “Change of Control”), which resulted in the automatic termination of the existing investment advisory and sub-advisory agreements under which the Investment Adviser and Sub-Adviser provide services to the Portfolios. In anticipation of this termination, and in order to ensure that the existing investment advisory and sub-advisory services could continue uninterrupted, in 2013 the Board approved new advisory and sub-advisory agreements for the Portfolios, as applicable, in connection with the IPO. In addition, in 2013, shareholders of each Portfolio approved new investment advisory and affiliated sub-advisory agreements prompted by the IPO, as well as any future advisory and affiliated sub-advisory agreements prompted by the Separation Plan that are approved by the Board and that have terms not materially different from the current agreements. This meant that shareholders would not have another opportunity to vote on a new agreement with the Investment Adviser or the current affiliated sub-adviser even upon a change of control prompted by the Separation Plan, as long as no single person or group of persons acting together gains “control” (as defined in the 1940 Act) of Voya Financial, Inc.
On November 18, 2014, in response to the Change of Control, the Board, at an in-person meeting, approved new investment advisory and sub-advisory agreements. At that meeting, the Investment Adviser represented that the new investment advisory and affiliated sub-advisory agreements approved by the Board were not materially different from the agreements approved by shareholders in 2013 and no single person or group of persons acting together was expected to gain “control” (as defined in the 1940 Act) of Voya Financial, Inc. As a result, shareholders of the Portfolios will not be asked to vote again on the new agreements with the Investment Adviser and affiliated sub-adviser.
In March 2015, ING Groep divested the remainder of its interest in Voya Financial, Inc. through a secondary offering of Voya Financial, Inc.’s common stock and a concurrent share repurchase by Voya Financial, Inc. Voya Financial, Inc. did not receive any proceeds from these transactions.
NOTE 17 — SUBSEQUENT EVENTS
Reorganization: On November 20, 2014, the Board approved a proposal to reorganize Voya Aggregate Bond Portfolio, which is not included in this report (the “Disappearing Portfolio”) with and into Intermediate Bond (the “Reorganization”). The proposed Reorganization was approved by shareholders of the Disappearing Portfolio at a shareholder meeting held on August 6, 2015. The Reorganization took place on close of business August 14, 2015.
Reorganization: On March 12, 2015, the Board approved a proposal to reorganize VY® DFA World Equity Portfolio, which is not included in this report (the “Disappearing Portfolio”) with and into Global Value Advantage (the “Reorganization”). The proposed Reorganization was approved by shareholders of the Disappearing Portfolio at a shareholder meeting held on July 28, 2015. The Reorganization took place on close of business August 14, 2015 and a new side letter agreement for Global Value Advantage was implemented. The new side letter agreement supersedes the side letter agreement described in Note 7 and establishes the following expense limits through May 1, 2017: 1.11%, 0.61%, 0.86%, 1.01% and 1.21% for Class ADV, Class I, Class S, Class S2 and Class T shares, respectively.
Merger: On August 14, 2015, Intermediate Bond (“Acquiring Portfolio”) acquired all of the net assets of, and assumed all the liabilities for, Voya Aggregate Bond Portfolio (“Acquired Portfolio”), an open-end investment company in a tax-free reorganization, in exchange for shares of the Acquiring Portfolio, pursuant to a plan of
38
NOTES TO FINANCIAL STATEMENTS as of June 30, 2015 (Unaudited) (continued)
NOTE 17 — SUBSEQUENT EVENTS (continued)
reorganization approved by the shareholders of the Acquired Portfolio on August 6, 2015. The reorganization could provide Voya Aggregate Bond Portfolio shareholders with the potential for improved performance and an immediate benefit through lower gross and net expenses. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired Portfolio were carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2015, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the period ended June 30, 2015, are as follows:
| Net investment income | | | | $ | 75,388,591 | | |
| Net realized and unrealized loss on investments | | | | $ | (63,200,313) | | |
| Net increase in net assets resulting from operations | | | | $ | 12,188,278 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Portfolio that have been included in the Acquiring Portfolio’s statement of operations since August 14, 2015. Net assets and unrealized appreciation or depreciation as of the reorganization date were as follows:
| Acquired Portfolio | | | Total Net Assets of Acquired Portfolios (000s) | | | Total Net Assets of Acquiring Portfolio (000s) | | | Acquired Capital Loss Carryforwards (000s) | | | Acquired Unrealized Appreciation/ (Depreciation) (000s) | | | Portfolio Conversion Ratio | | |||||||||||||||
| Voya Aggregate Bond Portfolio | | | | $ | 567,665 | | | | | $ | 4,449,177 | | | | | $ | — | | | | | $ | (1,127) | | | | | | 0.8214 | | |
The net assets of the Acquiring Portfolio after the acquisition were $5,016,842,393.
Merger: On August 14, 2015, Global Value Advantage (“Acquiring Portfolio”) acquired all of the net assets of, and assumed all the liabilities for, VY® DFA World Equity Portfolio (“Acquired Portfolio”), an open-end investment company in a tax-free reorganization, in exchange for shares of the Acquiring Portfolio, pursuant to a plan of
reorganization approved by the shareholders of the Acquired Portfolio on July 28, 2015. The transaction is intended to enhance the efficiency and reduce the complexity of the Voya family of funds. Furthermore, shareholders of VY® DFA World Equity Portfolio are expected to benefit from a reduction in gross and net expenses as shareholders of Global Value Advantage. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired Portfolio were carried forward to align ongoing reporting of the Acquiring Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2015, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio’s pro forma results of operations for the period ended June 30, 2015, are as follows:
| Net investment income | | | | $ | 10,511,658 | | |
| Net realized and unrealized loss on investments | | | | $ | 11,510,828 | | |
| Net increase in net assets resulting from operations | | | | $ | 22,022,486 | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Portfolio that have been included in the Acquiring Portfolio’s statement of operations since August 14, 2015. Net assets and unrealized appreciation or depreciation as of the reorganization date were as follows:
| Acquired Portfolio | | | Total Net Assets of Acquired Portfolios (000s) | | | Total Net Assets of Acquiring Portfolio (000s) | | | Acquired Capital Loss Carryforwards (000s) | | | Acquired Unrealized Appreciation/ (Depreciation) (000s) | | | Portfolio Conversion Ratio | | |||||||||||||||
| VY® DFA World Equity Portfolio | | | | $ | 171,489 | | | | | $ | 734,035 | | | | | $ | — | | | | | $ | (2,082) | | | | | | 1.0286 | | |
The net assets of the Acquiring Portfolio after the acquisition were $905,524,087.
The Portfolios have evaluated events occurring after the Statements of Assets and Liabilities date (“subsequent events”) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than the above, no such subsequent events were identified.
39
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) |
| Investment Type Allocation as of June 30, 2015 (as a percentage of net assets) | | |||
| | | | | |
| Common Stock | | | 56.4% | |
| Exchange-Traded Funds | | | 8.6% | |
| Corporate Bonds/Notes | | | 8.6% | |
| U.S. Government Agency Obligations | | | 6.1% | |
| U.S. Treasury Obligations | | | 4.3% | |
| Mutual Funds | | | 3.6% | |
| Collateralized Mortgage Obligations | | | 2.9% | |
| Foreign Government Bonds | | | 1.9% | |
| Asset-Backed Securities | | | 1.8% | |
| Purchased Options | | | 0.2% | |
| Preferred Stock | | | 0.1% | |
| Assets in Excess of Other Liabilities* | | | 5.5% | |
| Net Assets | | | 100.0% | |
| * Includes short-term investments. | | |||
| Portfolio holdings are subject to change daily. | |
| Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COMMON STOCK: 56.4% | | ||||||||||||||||||
| | | | | | | Consumer Discretionary: 8.2% | | ||||||||||||
| | | 5,329 @ | | | | Amazon.com, Inc. | | | | $ | 2,313,266 | | | | | | 0.5 | | |
| | | 91,334 | | | | Coach, Inc. | | | | | 3,161,070 | | | | | | 0.6 | | |
| | | 36,539 | | | | Comcast Corp. - Class A | | | | | 2,197,455 | | | | | | 0.4 | | |
| | | 30,239 @ | | | | Dish Network Corp. - Class A | | | | | 2,047,483 | | | | | | 0.4 | | |
| | | 103,454 @ | | | | Hilton Worldwide Holdings, Inc. | | | | | 2,850,158 | | | | | | 0.6 | | |
| | | 25,993 | | | | Home Depot, Inc. | | | | | 2,888,602 | | | | | | 0.6 | | |
| | | 47,663 | | | | Kohl’s Corp. | | | | | 2,984,180 | | | | | | 0.6 | | |
| | | 17,915 | | | | Nike, Inc. | | | | | 1,935,178 | | | | | | 0.4 | | |
| | | 11,702 @ | | | | Ulta Salon Cosmetics & Fragrance, Inc. | | | | | 1,807,374 | | | | | | 0.4 | | |
| | | 16,158 | | | | Walt Disney Co. | | | | | 1,844,274 | | | | | | 0.4 | | |
| | | 506,593 | | | | Other Securities | | | | | 16,039,550 | | | | | | 3.3 | | |
| | | | | | | | | | | | 40,068,590 | | | | | | 8.2 | | |
| | | | | | | Consumer Staples: 4.7% | | ||||||||||||
| | | 17,051 | | | | CVS Health | | | | | 1,788,309 | | | | | | 0.4 | | |
| | | 25,468 | | | | PepsiCo, Inc. | | | | | 2,377,183 | | | | | | 0.5 | | |
| | | 379,323 | | | | Other Securities | | | | | 18,946,761 | | | | | | 3.8 | | |
| | | | | | | | | | | | 23,112,253 | | | | | | 4.7 | | |
| | | | | | | Energy: 4.1% | | ||||||||||||
| | | 43,486 | | | | Halliburton Co. | | | | | 1,872,942 | | | | | | 0.4 | | |
| | | 30,891 | | | | Royal Dutch Shell PLC - Class A | | | | | 873,412 | | | | | | 0.2 | | |
| | | 17,913 @ | | | | Royal Dutch Shell PLC - Class A ADR | | | | | 1,021,220 | | | | | | 0.2 | | |
| | | 10,022 | | | | Royal Dutch Shell PLC - Class B | | | | | 285,330 | | | | | | 0.0 | | |
| Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COMMON STOCK: (continued) | | ||||||||||||||||||
| | | | | | | Energy (continued) | | ||||||||||||
| | | 21,060 | | | | Schlumberger Ltd. | | | | $ | 1,815,161 | | | | | | 0.4 | | |
| | | 327,077 | | | | Other Securities(a) | | | | | 14,177,305 | | | | | | 2.9 | | |
| | | | | | | | | | | | 20,045,370 | | | | | | 4.1 | | |
| | | | | | | Financials: 10.6% | | ||||||||||||
| | | 16,382 | | | | Ameriprise Financial, Inc. | | | | | 2,046,603 | | | | | | 0.4 | | |
| | | 19,568 @ | | | | Aon PLC | | | | | 1,950,538 | | | | | | 0.4 | | |
| | | 38,213 | | | | Citigroup, Inc. | | | | | 2,110,886 | | | | | | 0.4 | | |
| | | 35,364 | | | | Discover Financial Services | | | | | 2,037,674 | | | | | | 0.4 | | |
| | | 8,242 | | | | Intercontinental Exchange, Inc. | | | | | 1,842,994 | | | | | | 0.4 | | |
| | | 51,442 | | | | Invesco Ltd. | | | | | 1,928,561 | | | | | | 0.4 | | |
| | | 41,285 | | | | JPMorgan Chase & Co. | | | | | 2,797,472 | | | | | | 0.6 | | |
| | | 29,735 | | | | Lincoln National Corp. | | | | | 1,760,907 | | | | | | 0.3 | | |
| | | 58,469 | | | | Wells Fargo & Co. | | | | | 3,288,296 | | | | | | 0.7 | | |
| | | 2,644,100 | | | | Other Securities(a) | | | | | 32,387,069 | | | | | | 6.6 | | |
| | | | | | | | | | | | 52,151,000 | | | | | | 10.6 | | |
| | | | | | | Health Care: 7.7% | | ||||||||||||
| | | 7,461 @ | | | | Allergan plc | | | | | 2,264,115 | | | | | | 0.5 | | |
| | | 44,707 | | | | Bristol-Myers Squibb Co. | | | | | 2,974,804 | | | | | | 0.6 | | |
| | | 28,939 | | | | Gilead Sciences, Inc. | | | | | 3,388,178 | | | | | | 0.7 | | |
| | | 63,035 | | | | Merck & Co., Inc. | | | | | 3,588,582 | | | | | | 0.7 | | |
| | | 323,130 | | | | Other Securities | | | | | 25,780,553 | | | | | | 5.2 | | |
| | | | | | | | | | | | 37,996,232 | | | | | | 7.7 | | |
| | | | | | | Industrials: 6.7% | | ||||||||||||
| | | 101,701 | | | | General Electric Co. | | | | | 2,702,196 | | | | | | 0.6 | | |
| | | 26,867 | | | | Union Pacific Corp. | | | | | 2,562,306 | | | | | | 0.5 | | |
| | | 644,994 | | | | Other Securities | | | | | 27,624,613 | | | | | | 5.6 | | |
| | | | | | | | | | | | 32,889,115 | | | | | | 6.7 | | |
| | | | | | | Information Technology: 8.8% | | ||||||||||||
| | | 55,959 | | | | Apple, Inc. | | | | | 7,018,658 | | | | | | 1.4 | | |
| | | 71,328 | | | | Cisco Systems, Inc. | | | | | 1,958,667 | | | | | | 0.4 | | |
| | | 31,690 @ | | | | Electronic Arts, Inc. | | | | | 2,107,385 | | | | | | 0.5 | | |
| | | 21,302 @ | | | | Facebook, Inc. | | | | | 1,826,966 | | | | | | 0.4 | | |
| | | 64,694 | | | | Intel Corp. | | | | | 1,967,668 | | | | | | 0.4 | | |
| | | 20,847 | | | | Intuit, Inc. | | | | | 2,100,752 | | | | | | 0.4 | | |
| | | 19,326 | | | | Mastercard, Inc. | | | | | 1,806,594 | | | | | | 0.4 | | |
| | | 90,436 | | | | Microsoft Corp. | | | | | 3,992,749 | | | | | | 0.8 | | |
| | | 30,881 | | | | Visa, Inc. | | | | | 2,073,659 | | | | | | 0.4 | | |
| | | 452,141 | | | | Other Securities(a) | | | | | 18,264,436 | | | | | | 3.7 | | |
| | | | | | | | | | | | 43,117,534 | | | | | | 8.8 | | |
| | | | | | | Materials: 2.9% | | ||||||||||||
| | | 602,119 | | | | Other Securities | | | | | 14,469,645 | | | | | | 2.9 | | |
| | | | | | | Telecommunication Services: 1.0% | | ||||||||||||
| | | 47,463 | | | | AT&T, Inc. | | | | | 1,685,886 | | | | | | 0.3 | | |
| | | 456,463 | | | | Other Securities | | | | | 3,220,542 | | | | | | 0.7 | | |
| | | | | | | | | | | | 4,906,428 | | | | | | 1.0 | | |
See Accompanying Notes to Financial Statements
40
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| COMMON STOCK: (continued) | | |||||||||||||||||||||
| | | | | | | Utilities: 1.7% | | |||||||||||||||
| | | 301,872 | | | | Other Securities(a) | | | | $ | 8,381,390 | | | | | | 1.7 | | | |||
| | | | | | | Total Common Stock (Cost $253,913,619) | | | | | 277,137,557 | | | | | | 56.4 | | | |||
| EXCHANGE-TRADED FUNDS: 8.6% | | |||||||||||||||||||||
| | | 39,600 | | | | iShares Barclays 20+ Year Treasury Bond Fund | | | | | 4,651,416 | | | | | | 0.9 | | | |||
| | | 2,190 | | | | iShares MSCI EAFE Index Fund | | | | | 139,043 | | | | | | 0.0 | | | |||
| | | 374,000 | | | | iShares MSCI Emerging Markets Index Fund | | | | | 14,817,880 | | | | | | 3.0 | | | |||
| | | 2,611 | | | | iShares Russell 1000 Value Index Fund | | | | | 269,325 | | | | | | 0.1 | | | |||
| | | 4,008 | | | | iShares Russell Midcap Value Index Fund | | | | | 295,630 | | | | | | 0.1 | | | |||
| | | 429,565 | | | | PowerShares Senior Loan Portfolio | | | | | 10,219,351 | | | | | | 2.1 | | | |||
| | | 311,914 L | | | | SPDR Barclays Capital High Yield Bond ETF | | | | | 11,986,855 | | | | | | 2.4 | | | |||
| | | | | | | Total Exchange-Traded Funds (Cost $45,139,533) | | | | | 42,379,500 | | | | | | 8.6 | | | |||
| MUTUAL FUNDS: 3.6% | | |||||||||||||||||||||
| | | | | | | Affiliated Investment Companies: 2.6% | | |||||||||||||||
| | | 1,549,304 | | | | Voya High Yield Bond Fund - Class P | | | | | 12,487,390 | | | | | | 2.6 | | | |||
| | | | | | | Unaffiliated Investment Companies: 1.0% | | |||||||||||||||
| | | 865,546 @ | | | | Credit Suisse Commodity Return Strategy Fund - Class I | | | | | 5,089,412 | | | | | | 1.0 | | | |||
| | | | | | | Total Mutual Funds (Cost $17,732,809) | | | | | 17,576,802 | | | | | | 3.6 | | | |||
| PREFERRED STOCK: 0.1% | | |||||||||||||||||||||
| | | | | | | Consumer Discretionary: 0.1% | | |||||||||||||||
| | | 1,765 | | | | Other Securities | | | | | 409,620 | | | | | | 0.1 | | | |||
| | | | | | | Total Preferred Stock (Cost $438,388) | | | | | 409,620 | | | | | | 0.1 | | | |||
|
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: 8.6% | | ||||||||||||||||||
| | | | | | | Basic Materials: 0.7% | | ||||||||||||
| | | 340,000 # | | | | Anglo American Capital PLC, 2.625%, 09/27/17 | | | | | 341,992 | | | | | | 0.1 | | |
| | | 45,000 # | | | | FMG Resources August 2006 Pty Ltd., 6.875%, 04/01/22 | | | | | 31,725 | | | | | | 0.0 | | |
| | | 67,000 # | | | | Georgia-Pacific LLC, 2.539%, 11/15/19 | | | | | 66,951 | | | | | | 0.0 | | |
| | | 70,000 # | | | | Georgia-Pacific LLC, 3.600%, 03/01/25 | | | | | 69,348 | | | | | | 0.0 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Basic Materials (continued) | | ||||||||||||
| | | 135,000 # | | | | Glencore Funding LLC, 2.500%, 01/15/19 | | | | $ | 133,509 | | | | | | 0.1 | | |
| | | 84,000 # | | | | Glencore Funding LLC, 2.875%, 04/16/20 | | | | | 82,354 | | | | | | 0.0 | | |
| | | 75,000 # | | | | NOVA Chemicals Corp., 5.250%, 08/01/23 | | | | | 76,406 | | | | | | 0.0 | | |
| | | 127,000 # | | | | Xstrata Finance Canada Ltd., 4.950%, 11/15/21 | | | | | 133,408 | | | | | | 0.0 | | |
| | | 2,445,000 | | | | Other Securities | | | | | 2,448,010 | | | | | | 0.5 | | |
| | | | | | | | | | | | 3,383,703 | | | | | | 0.7 | | |
| | | | | | | Communications: 1.5% | | ||||||||||||
| | | 200,000 # | | | | Alibaba Group Holding Ltd., 3.600%, 11/28/24 | | | | | 192,938 | | | | | | 0.0 | | |
| | | 347,000 | | | | AT&T, Inc., 3.000%-5.350%, 06/30/22-06/15/44 | | | | | 335,614 | | | | | | 0.1 | | |
| | | 33,000 # | | | | CommScope, Inc., 5.000%, 06/15/21 | | | | | 32,422 | | | | | | 0.0 | | |
| | | 40,000 # | | | | CommScope, Inc., 5.500%, 06/15/24 | | | | | 39,050 | | | | | | 0.0 | | |
| | | 103,000 # | | | | Cox Communications, Inc., 3.850%, 02/01/25 | | | | | 99,036 | | | | | | 0.0 | | |
| | | 142,000 # | | | | COX Communications, Inc., 2.950%, 06/30/23 | | | | | 130,927 | | | | | | 0.1 | | |
| | | 200,000 # | | | | Millicom International Cellular SA, 4.750%, 05/22/20 | | | | | 193,306 | | | | | | 0.0 | | |
| | | 20,000 # | | | | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | | | | | 19,725 | | | | | | 0.0 | | |
| | | 200,000 # | | | | Numericable Group SA, 6.000%, 05/15/22 | | | | | 197,625 | | | | | | 0.0 | | |
| | | 170,000 # | | | | Sinclair Television Group, Inc., 5.625%, 08/01/24 | | | | | 166,812 | | | | | | 0.0 | | |
| | | 209,000 # | | | | Sirius XM Radio, Inc., 5.875%, 10/01/20 | | | | | 214,748 | | | | | | 0.1 | | |
| | | 200,000 # | | | | SoftBank Group Corp., 4.500%, 04/15/20 | | | | | 201,250 | | | | | | 0.1 | | |
| | | 400,000 # | | | | Telefonica Chile SA, 3.875%, 10/12/22 | | | | | 392,885 | | | | | | 0.1 | | |
| | | 110,000 # | | | | West Corp., 5.375%, 07/15/22 | | | | | 103,263 | | | | | | 0.0 | | |
| | | 4,801,000 | | | | Other Securities(a) | | | | | 4,853,173 | | | | | | 1.0 | | |
| | | | | | | | | | | | 7,172,774 | | | | | | 1.5 | | |
| | | | | | | Consumer, Cyclical: 0.3% | | ||||||||||||
| | | 1,196,000 | | | | Other Securities | | | | | 1,252,610 | | | | | | 0.3 | | |
| | | | | | | Consumer, Non-cyclical: 1.3% | | ||||||||||||
| | | 95,000 # | | | | Alliance Data Systems Corp., 5.375%, 08/01/22 | | | | | 93,812 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
41
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Consumer, Non-cyclical (continued) | | ||||||||||||
| | | 60,000 # | | | | BAT International Finance PLC, 3.500%, 06/15/22 | | | | $ | 60,793 | | | | | | 0.0 | | |
| | | 41,000 # | | | | Baxalta, Inc., 3.600%, 06/23/22 | | | | | 41,023 | | | | | | 0.0 | | |
| | | 104,000 # | | | | Baxalta, Inc., 4.000%, 06/23/25 | | | | | 103,530 | | | | | | 0.1 | | |
| | | 80,000 | | | | Gilead Sciences, Inc., 3.500%, 02/01/25 | | | | | 80,092 | | | | | | 0.0 | | |
| | | 80,000 # | | | | HJ Heinz Co., 2.800%, 07/02/20 | | | | | 80,082 | | | | | | 0.0 | | |
| | | 240,000 # | | | | HJ Heinz Co., 3.950%, 07/15/25 | | | | | 241,838 | | | | | | 0.1 | | |
| | | 95,000 # | | | | JBS USA LLC / JBS USA Finance, Inc., 5.875%, 07/15/24 | | | | | 95,831 | | | | | | 0.0 | | |
| | | 80,000 # | | | | JM Smucker Co, 3.000%, 03/15/22 | | | | | 78,612 | | | | | | 0.0 | | |
| | | 60,000 # | | | | JM Smucker Co, 3.500%, 03/15/25 | | | | | 58,715 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Marfrig Overseas Ltd., 9.500%, 05/04/20 | | | | | 102,670 | | | | | | 0.0 | | |
| | | 160,000 # | | | | Medtronic, Inc., 3.150%, 03/15/22 | | | | | 160,711 | | | | | | 0.0 | | |
| | | 169,000 # | | | | Medtronic, Inc., 3.500%, 03/15/25 | | | | | 168,644 | | | | | | 0.1 | | |
| | | 72,000 # | | | | Medtronic, Inc., 4.375%, 03/15/35 | | | | | 71,369 | | | | | | 0.0 | | |
| | | 53,000 # | | | | Medtronic, Inc., 4.625%, 03/15/45 | | | | | 53,581 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Valeant Pharmaceuticals International, 7.000%, 10/01/20 | | | | | 104,250 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | | | | | 106,625 | | | | | | 0.1 | | |
| | | 67,000 # | | | | WM Wrigley Jr Co., 2.400%, 10/21/18 | | | | | 67,965 | | | | | | 0.0 | | |
| | | 4,414,000 | | | | Other Securities | | | | | 4,422,955 | | | | | | 0.9 | | |
| | | | | | | | | | | | 6,193,098 | | | | | | 1.3 | | |
| | | | | | | Diversified: 0.0% | | ||||||||||||
| | | 90,000 | | | | Other Securities | | | | | 88,946 | | | | | | 0.0 | | |
| | | | | | | Energy: 1.1% | | ||||||||||||
| | | 60,000 # | | | | Columbia Pipeline Group, Inc., 3.300%, 06/01/20 | | | | | 60,248 | | | | | | 0.0 | | |
| | | 60,000 # | | | | Columbia Pipeline Group, Inc., 4.500%, 06/01/25 | | | | | 59,217 | | | | | | 0.0 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Energy (continued) | | ||||||||||||
| | | 79,000 # | | | | Enable Midstream Partners L.P., 3.900%, 05/15/24 | | | | $ | 73,399 | | | | | | 0.0 | | |
| | | 25,000 # | | | | Hilcorp Energy I L.P./ Hilcorp Finance Co., 5.000%, 12/01/24 | | | | | 23,567 | | | | | | 0.0 | | |
| | | 80,000 # | | | | Kinder Morgan Finance Co., LLC, 6.000%, 01/15/18 | | | | | 86,688 | | | | | | 0.0 | | |
| | | 400,000 # | | | | Reliance Industries Ltd., 5.875%, 12/31/49 | | | | | 402,500 | | | | | | 0.1 | | |
| | | 150,000 # | | | | YPF SA, 8.500%, 07/28/25 | | | | | 148,875 | | | | | | 0.0 | | |
| | | 200,000 # | | | | YPF SA, 8.875%, 12/19/18 | | | | | 213,000 | | | | | | 0.1 | | |
| | | 4,605,000 | | | | Other Securities(a) | | | | | 4,598,090 | | | | | | 0.9 | | |
| | | | | | | | | | | | 5,665,584 | | | | | | 1.1 | | |
| | | | | | | Financial: 2.5% | | ||||||||||||
| | | 736,000 | | | | Bank of America Corp., 3.300%-5.000%, 01/11/23-04/21/45 | | | | | 739,472 | | | | | | 0.2 | | |
| | | 200,000 # | | | | Bank of Tokyo-Mitsubishi UFJ Ltd/The, 2.300%, 03/05/20 | | | | | 199,195 | | | | | | 0.1 | | |
| | | 197,000 # | | | | Barclays Bank PLC, 6.050%, 12/04/17 | | | | | 214,548 | | | | | | 0.1 | | |
| | | 200,000 # | | | | BPCE SA, 5.150%, 07/21/24 | | | | | 202,950 | | | | | | 0.0 | | |
| | | 200,000 # | | | | BPCE SA, 5.700%, 10/22/23 | | | | | 211,423 | | | | | | 0.1 | | |
| | | 89,000 # | | | | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | | | | | 113,141 | | | | | | 0.0 | | |
| | | 200,000 # | | | | Credit Agricole SA, 4.375%, 03/17/25 | | | | | 191,984 | | | | | | 0.0 | | |
| | | 200,000 # | | | | Credit Suisse AG, 6.500%, 08/08/23 | | | | | 219,222 | | | | | | 0.0 | | |
| | | 132,000 # | | | | Credit Suisse Group Funding Guernsey Ltd., 2.750%, 03/26/20 | | | | | 130,461 | | | | | | 0.0 | | |
| | | 79,000 # | | | | Credit Suisse Group Funding Guernsey Ltd., 3.750%, 03/26/25 | | | | | 76,088 | | | | | | 0.0 | | |
| | | 250,000 | | | | Credit Suisse/New York NY, 1.750%, 01/29/18 | | | | | 249,005 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
42
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Financial (continued) | | ||||||||||||
| | | 117,000 | | | | Discover Financial Services, 5.200%, 04/27/22 | | | | $ | 124,470 | | | | | | 0.0 | | |
| | | 113,000 # | | | | Five Corners Funding Trust, 4.419%, 11/15/23 | | | | | 116,774 | | | | | | 0.0 | | |
| | | 100,000 # | | | | HBOS PLC, 6.750%, 05/21/18 | | | | | 111,070 | | | | | | 0.0 | | |
| | | 181,000 # | | | | International Lease Finance Corp., 7.125%, 09/01/18 | | | | | 202,268 | | | | | | 0.1 | | |
| | | 591,000 | | | | JPMorgan Chase & Co., 1.625%-6.125%, 05/15/18-12/29/49 | | | | | 587,289 | | | | | | 0.1 | | |
| | | 400,000 # | | | | Mizuho Bank Ltd., 3.200%, 03/26/25 | | | | | 392,585 | | | | | | 0.1 | | |
| | | 624,000 | | | | Morgan Stanley, 2.800%-4.300%, 06/16/20-01/27/45 | | | | | 622,102 | | | | | | 0.1 | | |
| | | 70,000 # | | | | Scentre Group Trust 1 / Scentre Group Trust 2, 3.250%, 10/28/25 | | | | | 66,765 | | | | | | 0.0 | | |
| | | 73,000 # | | | | Scentre Group Trust 1 / Scentre Group Trust 2, 3.500%, 02/12/25 | | | | | 71,680 | | | | | | 0.0 | | |
| | | 200,000 # | | | | Swedbank AB, 2.200%, 03/04/20 | | | | | 198,711 | | | | | | 0.0 | | |
| | | 60,000 | | | | Wells Fargo & Co., 3.900%, 05/01/45 | | | | | 53,921 | | | | | | 0.0 | | |
| | | 7,293,000 | | | | Other Securities | | | | | 7,448,579 | | | | | | 1.5 | | |
| | | | | | | | | | | | 12,543,703 | | | | | | 2.5 | | |
| | | | | | | Industrial: 0.3% | | ||||||||||||
| | | 80,000 # | | | | AP Moeller - Maersk A/S, 2.550%, 09/22/19 | | | | | 80,568 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Sanmina Corp., 4.375%, 06/01/19 | | | | | 100,000 | | | | | | 0.0 | | |
| | | 150,000 # | | | | Siemens Financieringsmaatschappij NV, 2.900%, 05/27/22 | | | | | 148,098 | | | | | | 0.1 | | |
| | | 60,000 # | | | | Siemens Financieringsmaatschappij NV, 3.250%, 05/27/25 | | | | | 58,974 | | | | | | 0.0 | | |
| | | 953,000 | | | | Other Securities | | | | | 953,779 | | | | | | 0.2 | | |
| | | | | | | | | | | | 1,341,419 | | | | | | 0.3 | | |
| | | | | | | Technology: 0.4% | | ||||||||||||
| | | 55,000 # | | | | Activision Blizzard, Inc., 5.625%, 09/15/21 | | | | | 57,750 | | | | | | 0.0 | | |
| | | 180,000 | | | | Apple, Inc., 3.200%, 05/13/25 | | | | | 179,010 | | | | | | 0.0 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Technology (continued) | | ||||||||||||
| | | 85,000 # | | | | Audatex North America, Inc., 6.000%, 06/15/21 | | | | $ | 87,656 | | | | | | 0.0 | | |
| | | 200,000 # | | | | NXP BV / NXP Funding LLC, 5.750%, 02/15/21 | | | | | 208,750 | | | | | | 0.1 | | |
| | | 60,000 # | | | | Seagate HDD Cayman, 4.875%, 06/01/27 | | | | | 58,356 | | | | | | 0.0 | | |
| | | 1,448,000 | | | | Other Securities | | | | | 1,415,771 | | | | | | 0.3 | | |
| | | | | | | | | | | | 2,007,293 | | | | | | 0.4 | | |
| | | | | | | Utilities: 0.5% | | ||||||||||||
| | | 200,000 # | | | | Abu Dhabi National Energy Co., 5.875%, 12/13/21 | | | | | 231,760 | | | | | | 0.0 | | |
| | | 225,000 # | | | | Calpine Corp., 6.000%, 01/15/22 | | | | | 239,063 | | | | | | 0.1 | | |
| | | 58,000 # | | | | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | | | | | 66,474 | | | | | | 0.0 | | |
| | | 86,000 # | | | | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | | | | | 99,665 | | | | | | 0.0 | | |
| | | 200,000 # | | | | Empresa de Energia de Bogota SA, 6.125%, 11/10/21 | | | | | 212,000 | | | | | | 0.0 | | |
| | | 47,000 # | | | | Jersey Central Power & Light Co., 4.700%, 04/01/24 | | | | | 49,313 | | | | | | 0.0 | | |
| | | 1,669,000 | | | | Other Securities | | | | | 1,771,044 | | | | | | 0.4 | | |
| | | | | | | | | | | | 2,669,319 | | | | | | 0.5 | | |
| | | | | | | Total Corporate Bonds/Notes (Cost $41,998,577) | | | | | 42,318,449 | | | | | | 8.6 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS: 2.9% | | ||||||||||||||||||
| | | 190,000 # | | | | BAMLL Commercial Mortgage Securities Trust 2015-ASHF, 2.186%, 01/15/28 | | | | | 190,004 | | | | | | 0.0 | | |
| | | 93,127 | | | | Banc of America Alternative Loan Trust 2004-1 4A1, 4.750%, 02/25/19 | | | | | 93,827 | | | | | | 0.0 | | |
| | | 250,000 | | | | Banc of America Commercial Mortgage Trust 2007-3 AJ, 5.749%, 06/10/49 | | | | | 259,592 | | | | | | 0.1 | | |
| | | 120,000 | | | | Banc of America Commercial Mortgage Trust 2007-3 B, 5.749%, 06/10/49 | | | | | 122,056 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
43
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 180,000 | | | | Banc of America Commercial Mortgage Trust 2007-4 AJ, 6.003%, 02/10/51 | | | | $ | 187,690 | | | | | | 0.1 | | |
| | | 190,000 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc. 2004-4 G, 5.582%, 07/10/42 | | | | | 194,133 | | | | | | 0.1 | | |
| | | 50,000 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.582%, 07/10/42 | | | | | 49,545 | | | | | | 0.0 | | |
| | | 74,000 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.952%, 03/11/41 | | | | | 81,850 | | | | | | 0.0 | | |
| | | 42,717 | | | | Banc of America Mortgage 2005-J Trust 2A4, 2.712%, 11/25/35 | | | | | 39,582 | | | | | | 0.0 | | |
| | | 13,884 # | | | | Bank of America Merrill Lynch Commercial Mortgage, Inc., 5.291%, 07/10/43 | | | | | 13,875 | | | | | | 0.0 | | |
| | | 170,000 # | | | | Bank of America Merrill Lynch Commercial Mortgage, Inc., 6.234%, 11/10/38 | | | | | 172,159 | | | | | | 0.0 | | |
| | | 196,000 # | | | | Bear Stearns Commercial Mortgage Securities Trust 2004-PWR4, 6.078%, 06/11/41 | | | | | 209,378 | | | | | | 0.0 | | |
| | | 70,000 # | | | | Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6, 5.406%, 11/11/41 | | | | | 76,690 | | | | | | 0.0 | | |
| | | 130,000 # | | | | Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6, 5.882%, 11/11/41 | | | | | 142,769 | | | | | | 0.1 | | |
| | | 140,000 # | | | | Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, 5.921%, 02/13/42 | | | | | 136,741 | | | | | | 0.0 | | |
| | | 110,000 # | | | | Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, 5.766%, 04/12/38 | | | | | 115,007 | | | | | | 0.0 | | |
| | | 219,154 # | | | | Beckman Coulter, Inc. 2000-A A, 7.498%, 12/15/18 | | | | | 240,960 | | | | | | 0.1 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 50,000 # | | | | Citigroup Commercial Mortgage Trust 2012-GC8, 4.877%, 09/10/45 | | | | $ | 49,999 | | | | | | 0.0 | | |
| | | 110,000 # | | | | COMM 2004-LNB2 H Mortgage Trust, 6.067%, 03/10/39 | | | | | 121,495 | | | | | | 0.0 | | |
| | | 1,830,482 #,^ | | | | COMM 2012 - LTRT XA, 1.208%, 10/05/30 | | | | | 104,653 | | | | | | 0.0 | | |
| | | 1,748,589 ^ | | | | COMM 2012-CCRE4 XA Mortgage Trust, 2.103%, 10/15/45 | | | | | 167,757 | | | | | | 0.1 | | |
| | | 628,219 ^ | | | | COMM 2013-LC6 XA Mortgage Trust, 1.900%, 01/10/46 | | | | | 49,103 | | | | | | 0.0 | | |
| | | 749,508 ^ | | | | Commercial Mortgage Pass Through Certificates, 1.572%, 04/10/47 | | | | | 58,276 | | | | | | 0.0 | | |
| | | 80,000 # | | | | Commercial Mortgage Trust 2004-GG1 F, 6.236%, 06/10/36 | | | | | 81,374 | | | | | | 0.0 | | |
| | | 1,457,413 ^ | | | | Commercial Mortgage Trust, 1.575%, 10/10/46 | | | | | 115,582 | | | | | | 0.1 | | |
| | | 956,462 ^ | | | | Commercial Mortgage Trust, 2.050%, 08/15/45 | | | | | 88,105 | | | | | | 0.0 | | |
| | | 2,380,000 #,^ | | | | Commercial Mortgage Trust, 0.748%, 10/15/45 | | | | | 96,456 | | | | | | 0.0 | | |
| | | 70,000 # | | | | Credit Suisse Commercial Mortgage Trust Series-K1A, 5.415%, 02/25/21 | | | | | 70,018 | | | | | | 0.0 | | |
| | | 11,941 # | | | | Credit Suisse First Boston Mortgage Securities Corp. 2003-C4 J, 5.322%, 08/15/36 | | | | | 11,953 | | | | | | 0.0 | | |
| | | 177,180 # | | | | Credit Suisse First Boston Mortgage Securities Corp., 5.861%, 04/12/49 | | | | | 176,976 | | | | | | 0.1 | | |
| | | 50,000 # | | | | Credit Suisse First Boston Mortgage Securities Corp., 6.467%, 05/15/36 | | | | | 56,467 | | | | | | 0.0 | | |
| | | 51,953 # | | | | Credit Suisse Mortgage Capital Certificates 2009-3R 30A1, 2.289%, 07/27/37 | | | | | 52,150 | | | | | | 0.0 | | |
| | | 890,788 #,^ | | | | DBUBS 2011-LC1 XA Mortgage Trust, 1.531%, 11/10/46 | | | | | 16,198 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
44
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 100,000 # | | | | DBUBS 2011-LC2 Mortgage Trust, 5.640%, 07/10/44 | | | | $ | 104,794 | | | | | | 0.0 | | |
| | | 185,000 | | | | Fannie Mae Connecticut Avenue Securities 2013-CO1 M2, 4.737%, 02/25/25 | | | | | 187,080 | | | | | | 0.1 | | |
| | | 80,000 | | | | Fannie Mae Connecticut Avenue Securities 2014-C03 2M2, 3.087%, 07/25/24 | | | | | 74,125 | | | | | | 0.0 | | |
| | | 70,000 | | | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.187%, 05/25/25 | | | | | 68,497 | | | | | | 0.0 | | |
| | | 40,000 | | | | Fannie Mae Connecticut Avenue Securities 2015- C02 2M2, 4.187%, 05/25/25 | | | | | 39,066 | | | | | | 0.0 | | |
| | | 66,000 | | | | Fannie Mae Connecticut Avenue Securities 2015- CO1 M2, 4.487%, 02/25/25 | | | | | 66,086 | | | | | | 0.0 | | |
| | | 1,926,717 ^ | | | | Fannie Mae Series 2011-M3 X, 0.154%, 07/25/21 | | | | | 29,065 | | | | | | 0.0 | | |
| | | 500,000 | | | | Fannie Mae Connecticut Avenue Securities, 5.087%-5.187%, 11/25/24 | | | | | 516,518 | | | | | | 0.1 | | |
| | | 133,142 ^ | | | | First Horizon Alternative Mortgage Securities, 6.513%, 12/25/36 | | | | | 33,586 | | | | | | 0.0 | | |
| | | 100,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-HQ3 M3, 4.937%, 10/25/24 | | | | | 103,892 | | | | | | 0.0 | | |
| | | 80,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M2, 2.387%, 03/25/25 | | | | | 79,501 | | | | | | 0.0 | | |
| | | 110,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M3, 3.987%, 03/25/25 | | | | | 108,600 | | | | | | 0.0 | | |
| | | 710,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes, 3.787%-4.737%, 04/25/24-01/25/25 | | | | | 714,887 | | | | | | 0.2 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 7,348,555 #,^ | | | | FREMF Mortgage Trust, 0.100%, 12/25/44 | | | | $ | 37,691 | | | | | | 0.0 | | |
| | | 7,050 # | | | | GMAC Commercial Mortgage Securities, Inc. Series 2003-C1 Trust, 5.000%, 05/10/36 | | | | | 7,069 | | | | | | 0.0 | | |
| | | 952,202 ^ | | | | GS Mortgage Securities Corp. II, 2.724%, 05/10/45 | | | | | 97,024 | | | | | | 0.0 | | |
| | | 100,000 # | | | | GS Mortgage Securities Trust 2010-C2, 5.396%, 12/10/43 | | | | | 104,699 | | | | | | 0.0 | | |
| | | 1,000,000 #,^ | | | | JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 XB, 0.443%, 12/15/47 | | | | | 23,494 | | | | | | 0.0 | | |
| | | 40,000 # | | | | JP Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass-Thr, 5.740%, 05/15/41 | | | | | 41,730 | | | | | | 0.0 | | |
| | | 3,131,353 ^ | | | | JP Morgan Chase Commercial Mortgage Securities Corp., 0.762%, 01/15/46 | | | | | 65,109 | | | | | | 0.0 | | |
| | | 30,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2004-CIBC10, 5.097%, 01/12/37 | | | | | 29,942 | | | | | | 0.0 | | |
| | | 40,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2004-CIBC9 E, 5.847%, 06/12/41 | | | | | 39,075 | | | | | | 0.0 | | |
| | | 180,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, 5.040%, 10/15/42 | | | | | 180,405 | | | | | | 0.1 | | |
| | | 90,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8, 5.618%, 05/15/45 | | | | | 90,356 | | | | | | 0.0 | | |
| | | 1,480,816 ^ | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.926%, 06/15/45 | | | | | 105,969 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
45
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 1,584,003 ^ | | | | JPMBB Commercial Mortgage Securities Trust 2013-C14, 1.142%, 08/15/46 | | | | $ | 63,075 | | | | | | 0.0 | | |
| | | 1,287,221 ^ | | | | JPMBB Commercial Mortgage Securities Trust, 1.432%, 04/15/47 | | | | | 67,940 | | | | | | 0.0 | | |
| | | 90,000 | | | | JP Morgan Chase Commercial Mortgage Securities Corp., 5.520%, 05/15/45 | | | | | 92,110 | | | | | | 0.0 | | |
| | | 1,373,640 #,^ | | | | LB-UBS Commercial Mortgage Trust 2004-C1, 1.000%, 01/15/36 | | | | | 16,579 | | | | | | 0.0 | | |
| | | 190,000 # | | | | LB-UBS Commercial Mortgage Trust 2005-C1 G, 5.454%, 02/15/40 | | | | | 189,834 | | | | | | 0.1 | | |
| | | 30,000 # | | | | LB-UBS Commercial Mortgage Trust 2005-C5, 5.350%, 09/15/40 | | | | | 29,921 | | | | | | 0.0 | | |
| | | 60,000 # | | | | LB-UBS Commercial Mortgage Trust 2006-C6 JR14, 6.096%, 09/15/39 | | | | | 61,240 | | | | | | 0.0 | | |
| | | 60,000 # | | | | LB-UBS Commercial Mortgage Trust 2006-C6 JR15, 6.096%, 09/15/39 | | | | | 60,908 | | | | | | 0.0 | | |
| | | 60,000 # | | | | LB-UBS Commercial Mortgage Trust 2006-C6 JR16, 6.096%, 09/15/39 | | | | | 59,898 | | | | | | 0.0 | | |
| | | 7,679,806 #,^ | | | | LB-UBS Commercial Mortgage Trust, 0.854%, 11/15/38 | | | | | 59,985 | | | | | | 0.0 | | |
| | | 90,000 # | | | | LB-UBS Commercial Mortgage Trust, 5.328%, 10/15/36 | | | | | 94,853 | | | | | | 0.0 | | |
| | | 180,000 # | | | | LB-UBS Commercial Mortgage Trust, 6.096%, 09/15/39 | | | | | 185,629 | | | | | | 0.1 | | |
| | | 89,317 # | | | | LB-UBS Commercial Mortgage Trust, 6.890%, 07/15/32 | | | | | 89,633 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Merrill Lynch Mortgage Trust 2005-MKB2, 6.310%, 09/12/42 | | | | | 105,108 | | | | | | 0.0 | | |
| | | 2,007,082 ^ | | | | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, 1.823%, 02/15/46 | | | | | 159,846 | | | | | | 0.0 | | |
| | | 80,000 # | | | | Morgan Stanley Capital I Trust 2005-HQ6, 5.379%, 08/13/42 | | | | | 79,843 | | | | | | 0.0 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 47,426 | | | | Morgan Stanley Capital I Trust 2007-HQ13 A2, 5.649%, 12/15/44 | | | | $ | 47,705 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Morgan Stanley Capital I Trust 2011-C1 D, 5.418%, 09/15/47 | | | | | 107,975 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Morgan Stanley Capital I Trust 2011-C1 E, 5.418%, 09/15/47 | | | | | 106,345 | | | | | | 0.0 | | |
| | | 130,000 # | | | | Morgan Stanley Capital I Trust 2011-C1, 5.418%, 09/15/47 | | | | | 143,055 | | | | | | 0.0 | | |
| | | 344,389 # | | | | Morgan Stanley Re-REMIC Trust 2010-C30 A3B, 5.246%, 12/17/43 | | | | | 344,192 | | | | | | 0.1 | | |
| | | 200,000 # | | | | Morgan Stanley Re-REMIC Trust, 0.250%, 07/27/49 | | | | | 178,620 | | | | | | 0.1 | | |
| | | 190,373 # | | | | Springleaf Mortgage Loan Trust 2013-3A A, 1.870%, 09/25/57 | | | | | 190,394 | | | | | | 0.0 | | |
| | | 150,000 # | | | | TIAA CMBS I Trust 2001-C1A L, 5.770%, 06/19/33 | | | | | 155,682 | | | | | | 0.0 | | |
| | | 951,907 #,^ | | | | UBS-Barclays Commercial Mortgage Trust 2012-C3 XA, 2.276%, 08/10/49 | | | | | 97,213 | | | | | | 0.0 | | |
| | | 60,000 # | | | | Wachovia Bank Commercial Mortgage Trust Series 2005-C17 G, 5.703%, 03/15/42 | | | | | 59,867 | | | | | | 0.0 | | |
| | | 957,276 #,^ | | | | Wells Fargo Commercial Mortgage Trust 2012-LC5 XA, 2.241%, 10/15/45 | | | | | 92,938 | | | | | | 0.0 | | |
| | | 1,390,715 #,^ | | | | WFRBS Commercial Mortgage Trust 2012-C8 XA, 2.346%, 08/15/45 | | | | | 131,178 | | | | | | 0.1 | | |
| | | 5,518,757 | | | | Other Securities | | | | | 4,822,099 | | | | | | 1.0 | | |
| | | | | | | Total Collateralized Mortgage Obligations (Cost $14,238,463) | | | | | 14,484,345 | | | | | | 2.9 | | |
| U.S. TREASURY OBLIGATIONS: 4.3% | | ||||||||||||||||||
| | | | | | | U.S. Treasury Bonds: 1.6% | | ||||||||||||
| | | 6,601,000 | | | | 2.125%, due 05/15/25 | | | | | 6,471,040 | | | | | | 1.3 | | |
| | | 1,791,000 | | | | 2.500%, due 02/15/45 | | | | | 1,569,084 | | | | | | 0.3 | | |
| | | | | | | | | | | | 8,040,124 | | | | | | 1.6 | | |
| | | | | | | U.S. Treasury Notes: 2.7% | | ||||||||||||
| | | 2,792,000 | | | | 0.625%, due 06/30/17 | | | | | 2,790,691 | | | | | | 0.6 | | |
See Accompanying Notes to Financial Statements
46
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| U.S. TREASURY OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | | | | | U.S. Treasury Notes (continued) | | ||||||||||||
| | | 4,005,000 | | | | 1.125%, due 06/15/18 | | | | $ | 4,018,140 | | | | | | 0.8 | | |
| | | 3,222,000 | | | | 1.500%, due 07/31/16 | | | | | 3,261,015 | | | | | | 0.7 | | |
| | | 3,173,500 L | | | | 1.375%-2.125%, due 09/30/18-06/30/22 | | | | | 3,175,180 | | | | | | 0.6 | | |
| | | | | | | | | | | | 13,245,026 | | | | | | 2.7 | | |
| | | | | | | Total U.S. Treasury Obligations (Cost $21,321,160) | | | | | 21,285,150 | | | | | | 4.3 | | |
| ASSET-BACKED SECURITIES: 1.8% | | ||||||||||||||||||
| | | | | | | Automobile Asset-Backed Securities: 0.3% | | ||||||||||||
| | | 40,000 # | | | | AmeriCredit Automobile Receivables Trust 2011-3, 5.760%, 12/10/18 | | | | | 40,651 | | | | | | 0.0 | | |
| | | 190,000 # | | | | AmeriCredit Automobile Receivables Trust, 3.290%, 05/08/20 | | | | | 193,188 | | | | | | 0.1 | | |
| | | 40,000 # | | | | MMCA Automobile Trust, 2.260%, 10/15/20 | | | | | 40,332 | | | | | | 0.0 | | |
| | | 120,000 # | | | | Oscar US Funding Trust 2014-1, 2.550%, 12/15/21 | | | | | 122,297 | | | | | | 0.0 | | |
| | | 160,000 # | | | | Santander Drive Auto Receivables Trust 2013-A, 3.780%, 10/15/19 | | | | | 166,486 | | | | | | 0.1 | | |
| | | 110,000 # | | | | Santander Drive Auto Receivables Trust 2013-A, 4.710%, 01/15/21 | | | | | 116,534 | | | | | | 0.0 | | |
| | | 30,000 # | | | | SunTrust Auto Receivables Trust 2015-1, 2.200%, 02/15/21 | | | | | 29,991 | | | | | | 0.0 | | |
| | | 700,000 | | | | Other Securities | | | | | 704,980 | | | | | | 0.1 | | |
| | | | | | | | | | | | 1,414,459 | | | | | | 0.3 | | |
| | | | | | | Other Asset-Backed Securities: 1.5% | | ||||||||||||
| | | 500,000 # | | | | Ares XII CLO Ltd. 2007- 12A C, 2.282%, 11/25/20 | | | | | 494,851 | | | | | | 0.1 | | |
| | | 250,000 # | | | | Atrium V, 3.976%, 07/20/20 | | | | | 246,511 | | | | | | 0.1 | | |
| | | 250,000 # | | | | Black Diamond CLO 2005-1A C, 1.051%, 06/20/17 | | | | | 248,011 | | | | | | 0.1 | | |
| | | 250,000 # | | | | BlackRock Senior Income Series V Ltd. 2007-5A D, 2.527%, 08/13/19 | | | | | 242,430 | | | | | | 0.0 | | |
| | | 250,000 # | | | | Bluemountain CLO III Ltd. 2007-3A C, 0.973%, 03/17/21 | | | | | 242,007 | | | | | | 0.0 | | |
| | | 500,000 # | | | | Carlyle High Yield Partners IX Ltd., 0.688%, 08/01/21 | | | | | 480,018 | | | | | | 0.1 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| ASSET-BACKED SECURITIES: (continued) | | ||||||||||||||||||
| | | | | | | Other Asset-Backed Securities (continued) | | ||||||||||||
| | | 200,000 # | | | | Castle Garden Funding 2005-1A C1, 2.034%, 10/27/20 | | | | $ | 198,136 | | | | | | 0.1 | | |
| | | 100,000 # | | | | Castle Garden Funding, 6.560%, 10/27/20 | | | | | 106,652 | | | | | | 0.0 | | |
| | | 200,000 # | | | | CIFC Funding 2006-I Ltd., 1.875%, 10/20/20 | | | | | 197,265 | | | | | | 0.0 | | |
| | | 200,000 # | | | | CIFC Funding 2006-II Ltd., 1.884%, 03/01/21 | | | | | 194,917 | | | | | | 0.1 | | |
| | | 96,297 # | | | | CIFC Funding 2006-II Ltd., 4.284%, 03/01/21 | | | | | 94,966 | | | | | | 0.0 | | |
| | | 250,000 # | | | | ColumbusNova CLO IV Ltd 2007-2A C, 2.525%, 10/15/21 | | | | | 243,804 | | | | | | 0.0 | | |
| | | 500,000 # | | | | ColumbusNova CLO Ltd 2006-2A E, 4.029%, 04/04/18 | | | | | 494,168 | | | | | | 0.1 | | |
| | | 250,000 # | | | | Gulf Stream - Compass CLO 2007-1A D Ltd., 3.729%, 10/28/19 | | | | | 250,144 | | | | | | 0.1 | | |
| | | 250,000 # | | | | Katonah IX CLO Ltd., 0.997%, 01/25/19 | | | | | 243,516 | | | | | | 0.0 | | |
| | | 330,000 # | | | | Kingsland III Ltd., 0.932%, 08/24/21 | | | | | 316,187 | | | | | | 0.1 | | |
| | | 250,000 # | | | | Madison Park Funding Ltd., 1.277%, 07/26/21 | | | | | 239,852 | | | | | | 0.0 | | |
| | | 250,000 # | | | | Momentum Capital Fund Ltd., 1.675%, 09/18/21 | | | | | 246,532 | | | | | | 0.1 | | |
| | | 250,000 # | | | | MSIM Peconic Bay Ltd., 2.275%, 07/20/19 | | | | | 248,669 | | | | | | 0.1 | | |
| | | 500,000 # | | | | Muir Grove CLO Ltd. 2007-1A B, 2.277%, 03/25/20 | | | | | 499,702 | | | | | | 0.1 | | |
| | | 250,000 # | | | | Northwoods Capital VIII Ltd., 2.279%, 07/28/22 | | | | | 246,683 | | | | | | 0.1 | | |
| | | 300,000 # | | | | Progress Residential 2015-SFR2 Trust, 4.427%, 06/12/32 | | | | | 300,407 | | | | | | 0.1 | | |
| | | 100,000 # | | | | Springleaf Funding Trust 2015-A, 3.160%, 11/15/24 | | | | | 101,267 | | | | | | 0.0 | | |
| | | 250,000 # | | | | St James River CLO Ltd. 2007-1A D, 2.586%, 06/11/21 | | | | | 246,250 | | | | | | 0.0 | | |
| | | 100,000 # | | | | Telos CLO 2006-1A E Ltd., 4.526%, 10/11/21 | | | | | 100,296 | | | | | | 0.0 | | |
| | | 50,000 # | | | | Trade MAPS 1 Ltd., 2.439%, 12/10/18 | | | | | 49,675 | | | | | | 0.0 | | |
| | | 703,613 | | | | Other Securities | | | | | 618,124 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
47
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| ASSET-BACKED SECURITIES: (continued) | | |||||||||||||||||||||
| | | | | | | Other Asset-Backed Securities (continued) | | |||||||||||||||
| | | | | | | | | | | $ | 7,191,040 | | | | | | 1.5 | | | |||
| | | | | | | Total Asset-Backed Securities (Cost $8,571,623) | | | | | 8,605,499 | | | | | | 1.8 | | | |||
| U.S. GOVERNMENT AGENCY OBLIGATIONS: 6.1% | | |||||||||||||||||||||
| | | | | | | Federal Home Loan Mortgage Corporation: 2.0%## | | |||||||||||||||
| | | 13,812,132 ^,W | | | | 0.100%-21.817%, due 12/15/17-08/01/45 | | | | | 9,574,052 | | | | | | 2.0 | | | |||
| | | | | | | Federal National Mortgage Association: 3.4%## | | |||||||||||||||
| | | 2,514,000 W | | | | 0.300%, due 08/01/44 | | | | | 2,498,140 | | | | | | 0.5 | | | |||
| | | 2,236,028 ^ | | | | 3.000%, due 02/25/33 | | | | | 369,221 | | | | | | 0.1 | | | |||
| | | 2,499,000 W | | | | 3.500%, due 08/01/44 | | | | | 2,568,894 | | | | | | 0.5 | | | |||
| | | 1,026,794 ^ | | | | 4.500%, due 07/25/30 | | | | | 161,637 | | | | | | 0.0 | | | |||
| | | 3,211,428 ^ | | | | 5.963%, due 07/25/33 | | | | | 688,838 | | | | | | 0.1 | | | |||
| | | 4,249,739 ^ | | | | 6.383%, due 06/25/36 | | | | | 801,198 | | | | | | 0.2 | | | |||
| | | 8,634,514 W | | | | 0.400%-7.500%, due 06/01/16-08/01/45 | | | | | 9,094,964 | | | | | | 1.9 | | | |||
| | | 485,000 W | | | | 3.000%, due 07/01/29 | | | | | 502,502 | | | | | | 0.1 | | | |||
| | | | | | | | | | | | 16,685,394 | | | | | | 3.4 | | | |||
| | | | | | | Government National Mortgage Association: 0.7% | | |||||||||||||||
| | | 20,673,363 ^ | | | | 0.630%-7.000%, due 12/20/29-10/20/60 | | | | | 3,664,087 | | | | | | 0.7 | | | |||
| | | | | | | Total U.S. Government Agency Obligations (Cost $29,237,824) | | | | | 29,923,533 | | | | | | 6.1 | | | |||
| FOREIGN GOVERNMENT BONDS: 1.9% | | |||||||||||||||||||||
| | | EUR1,175,000 # | | | | Austria Government Bond, 1.650%, 10/21/24 | | | | | 1,384,672 | | | | | | 0.3 | | | |||
| | | 200,000 # | | | | Dominican Republic International Bond, 5.500%, 01/27/25 | | | | | 201,500 | | | | | | 0.1 | | | |||
| | | 200,000 # | | | | El Fondo MIVIVIENDA S.A., 3.500%, 01/31/23 | | | | | 190,700 | | | | | | 0.0 | | | |||
| | | 10,000 # | | | | Romanian Government International Bond, 4.375%, 08/22/23 | | | | | 10,299 | | | | | | 0.0 | | | |||
| | | EUR410,000 # | | | | Spain Government Bond, 2.750%, 10/31/24 | | | | | 475,487 | | | | | | 0.1 | | | |||
| | | EUR12,260,246 | | | | Other Securities(a) | | | | | 6,992,581 | | | | | | 1.4 | | | |||
| | | | | | | Total Foreign Government Bonds (Cost $9,746,605) | | | | | 9,255,239 | | | | | | 1.9 | | | |||
|
# of Contracts | | | Value | | | Percentage of Net Assets | | |||||||||||||||
PURCHASED OPTIONS: 0.2% | | |||||||||||||||||||||
| | | | | | Options on Currencies: 0.0% | | |||||||||||||||
| | 2,780,000 @ | | | | Put CNH vs Call USD, Strike @ 6.463, Exp. 08/03/15 Counterparty: JPMorgan Chase & Co. | | | | $ | 241 | | | | | | 0.0 | | | |||
| | 10,369,372 @ | | | | Put EUR vs. Call USD, Strike @ 1.055, Exp. 08/12/15 Counterparty: Bank of America | | | | | 41,621 | | | | | | 0.0 | | | |||
| | | | | | | | | | | 41,862 | | | | | | 0.0 | | | |||
| | | | | | OTC Interest Rate Swaptions: 0.2% | | |||||||||||||||
| | 15,325,000 @ | | | | Pay a fixed rate equal to 1.667% and receive a floating rate based on the 3-month USD-LIBOR-BBA, Exp. 09/11/15 Counterparty: JPMorgan Chase & Co. | | | | | 17,472 | | | | | | 0.0 | | | |||
| | 4,900,000 @ | | | | Pay a fixed rate equal to 3.140% and receive a floating rate based on the 3-month USD-LIBOR-BBA, Exp. 05/19/25 Counterparty: Morgan Stanley | | | | | 342,795 | | | | | | 0.1 | | | |||
| | 15,325,000 @ | | | | Receive a fixed rate equal to 1.667% and pay a floating rate based on the 3-month USD-LIBOR-BBA, Exp. 09/11/15 Counterparty: JPMorgan Chase & Co. | | | | | 146,878 | | | | | | 0.0 | | | |||
| | 4,900,000 @ | | | | Receive a fixed rate equal to 3.140% and pay a floating rate based on the 3-month USD-LIBOR-BBA, Exp. 05/19/25 Counterparty: Morgan Stanley | | | | | 276,378 | | | | | | 0.1 | | | |||
| | | | | | | | | | | 783,523 | | | | | | 0.2 | | | |||
| | | | | | Total Purchased Options (Cost $1,011,152) | | | | | 825,385 | | | | | | 0.2 | | | |||
| | | | | | Total Long-Term Investments (Cost $443,349,753) | | | | | 464,201,079 | | | | | | 94.5 | | | |||
|
See Accompanying Notes to Financial Statements
48
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
SHORT-TERM INVESTMENTS: 5.4% | | ||||||||||||||||||
| | | | | | Securities Lending Collateralcc: 3.3% | | ||||||||||||
| | 3,857,839 | | | | Cantor Fitzgerald, Repurchase Agreement dated 06/30/15, 0.15%, due 07/01/15 (Repurchase Amount $3,857,855, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-8.500%, Market Value plus accrued interest $3,934,996, due 07/15/15-05/20/65) | | | | $ | 3,857,839 | | | | | | 0.8 | | |
| | 2,841,131 | | | | Daiwa Capital Markets, Repurchase Agreement dated 06/30/15, 0.18%, due 07/01/15 (Repurchase Amount $2,841,145, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.250%, Market Value plus accrued interest $2,897,940, due 11/15/15-03/01/48) | | | | | 2,841,131 | | | | | | 0.6 | | |
| | 3,857,800 | | | | Millenium Fixed Income Ltd., Repurchase Agreement dated 06/30/15, 0.17%, due 07/01/15 (Repurchase Amount $3,857,818, collateralized by various U.S. Government Securities, 0.750%-2.750%, Market Value plus accrued interest $3,934,956, due 01/15/17- 08/15/42) | | | | | 3,857,800 | | | | | | 0.8 | | |
| | 3,857,839 | | | | Nomura Securities, Repurchase Agreement dated 06/30/15, 0.14%, due 07/01/15 (Repurchase Amount $3,857,854, collateralized by various U.S. Government/ U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $3,934,997, due 07/31/15-05/20/65) | | | | | 3,857,839 | | | | | | 0.8 | | |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
SHORT-TERM INVESTMENTS: (continued) | | ||||||||||||||||||
| | | | | | Securities Lending Collateralcc (continued) | | ||||||||||||
| | 1,828,876 | | | | State of Wisconsin Investment Board, Repurchase Agreement dated 06/30/15, 0.20%, due 07/01/15 (Repurchase Amount $1,828,886, collateralized by various U.S. Government Securities, 0.125%-2.500%, Market Value plus accrued interest $1,866,154, due 01/15/17- 01/15/29) | | | | $ | 1,828,876 | | | | | | 0.3 | | |
| | | | | | | | | | | 16,243,485 | | | | | | 3.3 | | |
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| | | | | | Mutual Funds: 2.1% | | |||||||||||||||
| | 10,509,000 | | | | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† (Cost $10,509,000) | | | | | 10,509,000 | | | | | | 2.1 | | | |||
| | | | | | Total Short-Term Investments (Cost $26,752,485) | | | | | 26,752,485 | | | | | | 5.4 | | | |||
| | | | | | Total Investments in Securities (Cost $470,102,238) | | | | $ | 490,953,564 | | | | | | 99.9 | | | |||
| | | | | | Assets in Excess of Other Liabilities | | | | | 580,988 | | | | | | 0.1 | | | |||
| | | | | | Net Assets | | | | $ | 491,534,552 | | | | | | 100.0 | | | |||
|
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2015.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
††
Rate shown is the 7-day yield as of June 30, 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.
See Accompanying Notes to Financial Statements
49
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (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.
ADR
American Depositary Receipt
cc
Represents securities purchased with cash collateral received for securities on loan.
W
Settlement is on a when-issued or delayed-delivery basis.
L
Loaned security, a portion or all of the security is on loan at June 30, 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.
(a)
This grouping contains securities on loan.
CAD
Canadian Dollar
EUR
EU Euro
GBP
British Pound
MXN
Mexican Peso
Cost for federal income tax purposes is $471,256,357.
Net unrealized appreciation consists of:
| Gross Unrealized Appreciation | | | | $ | 33,269,142 | | | |
| Gross Unrealized Depreciation | | | | | (13,571,935) | | | |
| Net Unrealized Appreciation | | | | $ | 19,697,207 | | | |
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2015 in valuing the assets and liabilities:
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs# (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Asset Table | | | | | | ||||||||||||||||||||||||
Investments, at fair value | | | | | | ||||||||||||||||||||||||
Common Stock | | | | | | ||||||||||||||||||||||||
Consumer Discretionary | | | | $ | 34,041,667 | | | | | $ | 6,026,923 | | | | | $ | — | | | | | $ | 40,068,590 | | | ||||
Consumer Staples | | | | | 18,173,430 | | | | | | 4,938,823 | | | | | | — | | | | | | 23,112,253 | | | ||||
Energy | | | | | 17,340,754 | | | | | | 2,704,616 | | | | | | — | | | | | | 20,045,370 | | | ||||
Financials | | | | | 38,042,509 | | | | | | 14,108,491 | | | | | | — | | | | | | 52,151,000 | | | ||||
Health Care | | | | | 31,337,859 | | | | | | 6,658,373 | | | | | | — | | | | | | 37,996,232 | | | ||||
Industrials | | | | | 26,271,242 | | | | | | 6,617,873 | | | | | | — | | | | | | 32,889,115 | | | ||||
Information Technology | | | | | 40,262,050 | | | | | | 2,855,484 | | | | | | — | | | | | | 43,117,534 | | | ||||
Materials | | | | | 10,710,118 | | | | | | 3,759,527 | | | | | | — | | | | | | 14,469,645 | | | ||||
Telecommunication Services | | | | | 2,529,971 | | | | | | 2,376,457 | | | | | | — | | | | | | 4,906,428 | | | ||||
Utilities | | | | | 6,671,823 | | | | | | 1,709,567 | | | | | | — | | | | | | 8,381,390 | | | ||||
Total Common Stock | | | | | 225,381,423 | | | | | | 51,756,134 | | | | | | — | | | | | | 277,137,557 | | | ||||
Exchange-Traded Funds | | | | | 42,379,500 | | | | | | — | | | | | | — | | | | | | 42,379,500 | | | ||||
Mutual Funds | | | | | 17,576,802 | | | | | | — | | | | | | — | | | | | | 17,576,802 | | | ||||
Preferred Stock | | | | | — | | | | | | 409,620 | | | | | | — | | | | | | 409,620 | | | ||||
Purchased Options | | | | | — | | | | | | 825,385 | | | | | | — | | | | | | 825,385 | | | ||||
Corporate Bonds/Notes | | | | | — | | | | | | 42,318,449 | | | | | | — | | | | | | 42,318,449 | | | ||||
Collateralized Mortgage Obligations | | | | | — | | | | | | 14,484,345 | | | | | | — | | | | | | 14,484,345 | | | ||||
Short-Term Investments | | | | | 10,509,000 | | | | | | 16,243,485 | | | | | | — | | | | | | 26,752,485 | | | ||||
Asset-Backed Securities | | | | | — | | | | | | 8,605,499 | | | | | | — | | | | | | 8,605,499 | | | ||||
U.S. Treasury Obligations | | | | | — | | | | | | 21,285,150 | | | | | | — | | | | | | 21,285,150 | | | ||||
Foreign Government Bonds | | | | | — | | | | | | 9,255,239 | | | | | | — | | | | | | 9,255,239 | | | ||||
U.S. Government Agency Obligations | | | | | — | | | | | | 29,923,533 | | | | | | — | | | | | | 29,923,533 | | | ||||
Total Investments, at fair value | | | | $ | 295,846,725 | | | | | $ | 195,106,839 | | | | | $ | — | | | | | $ | 490,953,564 | | | ||||
Other Financial Instruments+ | | | | | | ||||||||||||||||||||||||
Centrally Cleared Swaps | | | | | — | | | | | | 1,025,981 | | | | | | — | | | | | | 1,025,981 | | | ||||
Forward Foreign Currency Contracts | | | | | — | | | | | | 303,182 | | | | | | — | | | | | | 303,182 | | | ||||
Futures | | | | | 59,257 | | | | | | — | | | | | | — | | | | | | 59,257 | | | ||||
Total Assets | | | | $ | 295,905,982 | | | | | $ | 196,436,002 | | | | | $ | — | | | | | $ | 492,341,984 | | | ||||
|
See Accompanying Notes to Financial Statements
50
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs# (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Liabilities Table | | | | | | ||||||||||||||||||||||||
Other Financial Instruments+ | | | | | | ||||||||||||||||||||||||
Centrally Cleared Swaps | | | | $ | — | | | | | $ | (1,221,882) | | | | | $ | — | | | | | $ | (1,221,882) | | | ||||
Forward Foreign Currency Contracts | | | | | — | | | | | | (819,706) | | | | | | — | | | | | | (819,706) | | | ||||
Futures | | | | | (404,681) | | | | | | — | | | | | | — | | | | | | (404,681) | | | ||||
Written Options | | | | | — | | | | | | (799,492) | | | | | | — | | | | | | (799,492) | | | ||||
Total Liabilities | | | | $ | (404,681) | | | | | $ | (2,841,080) | | | | | $ | — | | | | | $ | (3,245,761) | | | ||||
|
^
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.
#
The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments.
Transactions with Affiliates
An investment of at least 5% of the voting securities of an issuer, or a company which is under common control results in that issuer becoming an affiliated person as defined by the 1940 Act.
The following table provides transactions during the year ended June 30, 2015, where the following issuers were considered an affiliate:
Issuer | | | Beginning Market Value at 12/31/14 | | | Purchases at Cost | | | Sales at Cost | | | Change in Unrealized Appreciation/ (Depreciation) | | | Ending Market Value at 6/30/2015 | | | Investment Income | | | Realized Gains/ (Losses) | | | Net Capital Gain Distributions | | ||||||||||||||||||||||||||||||||
Voya High Yield Bond Fund - Class P | | | | $ | 1,113,245 | | | | | $ | 11,450,055 | | | | | $ | — | | | | | $ | (75,910) | | | | | $ | 12,487,390 | | | | | $ | 231,059 | | | | | $ | — | | | | | $ | — | | | ||||||||
| | | | $ | 1,113,245 | | | | | $ | 11,450,055 | | | | | $ | — | | | | | $ | (75,910) | | | | | $ | 12,487,390 | | | | | $ | 231,059 | | | | | $ | — | | | | | $ | — | | | ||||||||
|
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At June 30, 2015, the following forward foreign currency contracts were outstanding for Voya Balanced Portfolio:
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||
Barclays Bank PLC | | | Norwegian Krone | | | | | 3,117,463 | | | | Buy | | | | | 08/14/15 | | | | | $ | 396,000 | | | | | $ | 397,202 | | | | | $ | 1,202 | | |
Barclays Bank PLC | | | EU Euro | | | | | 317,105 | | | | Buy | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 353,738 | | | | | | (6,012) | | |
Barclays Bank PLC | | | Swedish Krona | | | | | 1,046,780 | | | | Buy | | | | | 08/14/15 | | | | | | 129,000 | | | | | | 126,388 | | | | | | (2,612) | | |
Barclays Bank PLC | | | Japanese Yen | | | | | 12,921,712 | | | | Buy | | | | | 08/14/15 | | | | | | 104,000 | | | | | | 105,637 | | | | | | 1,637 | | |
Barclays Bank PLC | | | Swedish Krona | | | | | 953,007 | | | | Buy | | | | | 08/14/15 | | | | | | 112,000 | | | | | | 115,066 | | | | | | 3,066 | | |
Barclays Bank PLC | | | Turkish Lira | | | | | 211,898 | | | | Buy | | | | | 09/11/15 | | | | | | 76,419 | | | | | | 77,447 | | | | | | 1,028 | | |
Barclays Bank PLC | | | Singapore Dollar | | | | | 110,734 | | | | Buy | | | | | 08/14/15 | | | | | | 83,503 | | | | | | 82,161 | | | | | | (1,342) | | |
Barclays Bank PLC | | | Swedish Krona | | | | | 1,929,848 | | | | Buy | | | | | 08/14/15 | | | | | | 236,000 | | | | | | 233,009 | | | | | | (2,991) | | |
Citigroup, Inc. | | | EU Euro | | | | | 479,629 | | | | Buy | | | | | 08/14/15 | | | | | | 538,000 | | | | | | 535,037 | | | | | | (2,963) | | |
Citigroup, Inc. | | | EU Euro | | | | | 247,969 | | | | Buy | | | | | 08/14/15 | | | | | | 278,000 | | | | | | 276,615 | | | | | | (1,385) | | |
Citigroup, Inc. | | | EU Euro | | | | | 1,375,860 | | | | Buy | | | | | 08/14/15 | | | | | | 1,568,000 | | | | | | 1,534,803 | | | | | | (33,197) | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 195,213 | | | | Buy | | | | | 08/14/15 | | | | | | 159,000 | | | | | | 156,202 | | | | | | (2,798) | | |
Citigroup, Inc. | | | EU Euro | | | | | 288,835 | | | | Buy | | | | | 08/14/15 | | | | | | 326,000 | | | | | | 322,202 | | | | | | (3,798) | | |
Citigroup, Inc. | | | Japanese Yen | | | | | 15,174,482 | | | | Buy | | | | | 08/14/15 | | | | | | 123,000 | | | | | | 124,054 | | | | | | 1,054 | | |
Citigroup, Inc. | | | British Pound | | | | | 146,615 | | | | Buy | | | | | 08/14/15 | | | | | | 228,000 | | | | | | 230,298 | | | | | | 2,298 | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 335,836 | | | | Buy | | | | | 08/14/15 | | | | | | 272,000 | | | | | | 268,722 | | | | | | (3,278) | | |
Citigroup, Inc. | | | British Pound | | | | | 129,468 | | | | Buy | | | | | 08/14/15 | | | | | | 199,000 | | | | | | 203,365 | | | | | | 4,365 | | |
See Accompanying Notes to Financial Statements
51
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||
Citigroup, Inc. | | | British Pound | | | | | 206,926 | | | | Buy | | | | | 08/14/15 | | | | | | 316,000 | | | | | | 325,033 | | | | | | 9,033 | | |
Citigroup, Inc. | | | Australian Dollar | | | | | 167,847 | | | | Buy | | | | | 08/14/15 | | | | | | 130,000 | | | | | | 129,182 | | | | | | (818) | | |
Citigroup, Inc. | | | EU Euro | | | | | 171,005 | | | | Buy | | | | | 08/14/15 | | | | | | 187,000 | | | | | | 190,760 | | | | | | 3,760 | | |
Citigroup, Inc. | | | Japanese Yen | | | | | 16,208,791 | | | | Buy | | | | | 08/14/15 | | | | | | 130,000 | | | | | | 132,510 | | | | | | 2,510 | | |
Citigroup, Inc. | | | Australian Dollar | | | | | 144,453 | | | | Buy | | | | | 08/14/15 | | | | | | 110,000 | | | | | | 111,176 | | | | | | 1,176 | | |
Citigroup, Inc. | | | Israeli New Shekel | | | | | 191,464 | | | | Buy | | | | | 09/11/15 | | | | | | 50,178 | | | | | | 50,749 | | | | | | 571 | | |
Citigroup, Inc. | | | Mexican Peso | | | | | 12,109,326 | | | | Buy | | | | | 09/11/15 | | | | | | 791,902 | | | | | | 766,503 | | | | | | (25,399) | | |
Citigroup, Inc. | | | Australian Dollar | | | | | 1,047,581 | | | | Buy | | | | | 08/14/15 | | | | | | 834,228 | | | | | | 806,260 | | | | | | (27,968) | | |
Deutsche Bank AG | | | EU Euro | | | | | 15,436 | | | | Buy | | | | | 08/14/15 | | | | | | 17,300 | | | | | | 17,219 | | | | | | (81) | | |
Deutsche Bank AG | | | Norwegian Krone | | | | | 2,147,036 | | | | Buy | | | | | 08/14/15 | | | | | | 280,000 | | | | | | 273,558 | | | | | | (6,442) | | |
Deutsche Bank AG | | | Swedish Krona | | | | | 1,491,089 | | | | Buy | | | | | 08/14/15 | | | | | | 184,000 | | | | | | 180,034 | | | | | | (3,966) | | |
Deutsche Bank AG | | | British Pound | | | | | 186,336 | | | | Buy | | | | | 08/14/15 | | | | | | 289,000 | | | | | | 292,691 | | | | | | 3,691 | | |
Deutsche Bank AG | | | EU Euro | | | | | 112,035 | | | | Buy | | | | | 08/14/15 | | | | | | 125,000 | | | | | | 124,978 | | | | | | (22) | | |
Deutsche Bank AG | | | Malaysian Ringgit | | | | | 352,023 | | | | Buy | | | | | 08/14/15 | | | | | | 98,037 | | | | | | 93,443 | | | | | | (4,594) | | |
Goldman Sachs & Co. | | | British Pound | | | | | 219,898 | | | | Buy | | | | | 08/14/15 | | | | | | 346,000 | | | | | | 345,408 | | | | | | (592) | | |
Goldman Sachs & Co. | | | British Pound | | | | | 175,430 | | | | Buy | | | | | 08/14/15 | | | | | | 276,000 | | | | | | 275,561 | | | | | | (439) | | |
Goldman Sachs & Co. | | | British Pound | | | | | 419,036 | | | | Buy | | | | | 08/14/15 | | | | | | 657,000 | | | | | | 658,208 | | | | | | 1,208 | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 317,143 | | | | Buy | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 353,780 | | | | | | (5,970) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 320,062 | | | | Buy | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 357,037 | | | | | | (2,713) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 320,031 | | | | Buy | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 357,002 | | | | | | (2,748) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 1,391,699 | | | | Buy | | | | | 08/14/15 | | | | | | 1,571,000 | | | | | | 1,552,472 | | | | | | (18,528) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 1,372,265 | | | | Buy | | | | | 08/14/15 | | | | | | 1,527,000 | | | | | | 1,530,793 | | | | | | 3,793 | | |
HSBC Bank PLC | | | Peruvian Nuevo Sol | | | | | 11,796 | | | | Buy | | | | | 09/11/15 | | | | | | 3,677 | | | | | | 3,671 | | | | | | (6) | | |
HSBC Bank PLC | | | South Korean Won | | | | | 649,483,611 | | | | Buy | | | | | 08/14/15 | | | | | | 591,434 | | | | | | 579,362 | | | | | | (12,072) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 178,034 | | | | Buy | | | | | 08/14/15 | | | | | | 137,000 | | | | | | 137,022 | | | | | | 22 | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 202,314 | | | | Buy | | | | | 08/14/15 | | | | | | 156,000 | | | | | | 155,709 | | | | | | (291) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 530,607 | | | | Buy | | | | | 08/14/15 | | | | | | 411,000 | | | | | | 408,377 | | | | | | (2,623) | | |
JPMorgan Chase & Co. | | | Japanese Yen | | | | | 37,495,141 | | | | Buy | | | | | 08/14/15 | | | | | | 306,000 | | | | | | 306,530 | | | | | | 530 | | |
JPMorgan Chase & Co. | | | New Zealand Dollar | | | | | 120,843 | | | | Buy | | | | | 08/14/15 | | | | | | 83,000 | | | | | | 81,572 | | | | | | (1,428) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 383,078 | | | | Buy | | | | | 08/14/15 | | | | | | 296,000 | | | | | | 294,832 | | | | | | (1,168) | | |
JPMorgan Chase & Co. | | | Canadian Dollar | | | | | 406,551 | | | | Buy | | | | | 08/14/15 | | | | | | 332,000 | | | | | | 325,306 | | | | | | (6,694) | | |
JPMorgan Chase & Co. | | | British Pound | | | | | 285,117 | | | | Buy | | | | | 08/14/15 | | | | | | 437,000 | | | | | | 447,853 | | | | | | 10,853 | | |
JPMorgan Chase & Co. | | | Japanese Yen | | | | | 10,221,603 | | | | Buy | | | | | 08/14/15 | | | | | | 82,000 | | | | | | 83,564 | | | | | | 1,564 | | |
JPMorgan Chase & Co. | | | British Pound | | | | | 429,033 | | | | Buy | | | | | 08/14/15 | | | | | | 659,000 | | | | | | 673,911 | | | | | | 14,911 | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 262,261 | | | | Buy | | | | | 08/14/15 | | | | | | 203,000 | | | | | | 201,846 | | | | | | (1,154) | | |
JPMorgan Chase & Co. | | | Canadian Dollar | | | | | 296,848 | | | | Buy | | | | | 08/14/15 | | | | | | 239,000 | | | | | | 237,526 | | | | | | (1,474) | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 143,615 | | | | Buy | | | | | 08/14/15 | | | | | | 158,000 | | | | | | 160,206 | | | | | | 2,206 | | |
JPMorgan Chase & Co. | | | Canadian Dollar | | | | | 2,450 | | | | Buy | | | | | 08/14/15 | | | | | | 1,965 | | | | | | 1,960 | | | | | | (5) | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 326,817 | | | | Buy | | | | | 08/14/15 | | | | | | 358,000 | | | | | | 364,572 | | | | | | 6,572 | | |
JPMorgan Chase & Co. | | | Brazilian Real | | | | | 5,294 | | | | Buy | | | | | 09/11/15 | | | | | | 1,687 | | | | | | 1,659 | | | | | | (28) | | |
JPMorgan Chase & Co. | | | Hong Kong Sar Dollar | | | | | 83,689 | | | | Buy | | | | | 08/14/15 | | | | | | 10,796 | | | | | | 10,796 | | | | | | — | | |
JPMorgan Chase & Co. | | | Indonesian Rupiah | | | | | 841,602,000 | | | | Buy | | | | | 08/14/15 | | | | | | 62,309 | | | | | | 62,406 | | | | | | 97 | | |
JPMorgan Chase & Co. | | | Canadian Dollar | | | | | 2,893,116 | | | | Buy | | | | | 08/14/15 | | | | | | 2,398,453 | | | | | | 2,314,954 | | | | | | (83,499) | | |
JPMorgan Chase & Co. | | | Danish Krone | | | | | 849,772 | | | | Buy | | | | | 08/14/15 | | | | | | 129,353 | | | | | | 127,147 | | | | | | (2,206) | | |
JPMorgan Chase & Co. | | | British Pound | | | | | 1,578,586 | | | | Buy | | | | | 08/14/15 | | | | | | 2,480,218 | | | | | | 2,479,595 | | | | | | (623) | | |
Morgan Stanley | | | New Zealand Dollar | | | | | 285,052 | | | | Buy | | | | | 08/14/15 | | | | | | 198,000 | | | | | | 192,418 | | | | | | (5,582) | | |
Morgan Stanley | | | British Pound | | | | | 146,403 | | | | Buy | | | | | 08/14/15 | | | | | | 228,000 | | | | | | 229,966 | | | | | | 1,966 | | |
Morgan Stanley | | | Australian Dollar | | | | | 277,931 | | | | Buy | | | | | 08/14/15 | | | | | | 214,000 | | | | | | 213,906 | | | | | | (94) | | |
Morgan Stanley | | | EU Euro | | | | | 1,180,630 | | | | Buy | | | | | 08/14/15 | | | | | | 1,337,000 | | | | | | 1,317,019 | | | | | | (19,981) | | |
Morgan Stanley | | | Norwegian Krone | | | | | 2,126,129 | | | | Buy | | | | | 08/14/15 | | | | | | 273,000 | | | | | | 270,894 | | | | | | (2,106) | | |
See Accompanying Notes to Financial Statements
52
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||
Morgan Stanley | | | New Zealand Dollar | | | | | 284,714 | | | | Buy | | | | | 08/14/15 | | | | | | 202,000 | | | | | | 192,189 | | | | | | (9,811) | | |
Morgan Stanley | | | Swedish Krona | | | | | 1,515,379 | | | | Buy | | | | | 08/14/15 | | | | | | 183,000 | | | | | | 182,966 | | | | | | (34) | | |
Morgan Stanley | | | EU Euro | | | | | 187,135 | | | | Buy | | | | | 08/14/15 | | | | | | 211,000 | | | | | | 208,753 | | | | | | (2,247) | | |
Morgan Stanley | | | EU Euro | | | | | 225,480 | | | | Buy | | | | | 08/14/15 | | | | | | 254,000 | | | | | | 251,528 | | | | | | (2,472) | | |
Morgan Stanley | | | British Pound | | | | | 348,742 | | | | Buy | | | | | 08/14/15 | | | | | | 534,000 | | | | | | 547,793 | | | | | | 13,793 | | |
Morgan Stanley | | | EU Euro | | | | | 460,411 | | | | Buy | | | | | 08/14/15 | | | | | | 512,000 | | | | | | 513,598 | | | | | | 1,598 | | |
Morgan Stanley | | | EU Euro | | | | | 1,473,206 | | | | Buy | | | | | 08/14/15 | | | | | | 1,619,000 | | | | | | 1,643,394 | | | | | | 24,394 | | |
Morgan Stanley | | | EU Euro | | | | | 77,806 | | | | Buy | | | | | 08/14/15 | | | | | | 85,240 | | | | | | 86,794 | | | | | | 1,554 | | |
Morgan Stanley | | | EU Euro | | | | | 140,494 | | | | Buy | | | | | 08/14/15 | | | | | | 153,000 | | | | | | 156,724 | | | | | | 3,724 | | |
Morgan Stanley | | | Chilean Peso | | | | | 4,391,763 | | | | Buy | | | | | 09/11/15 | | | | | | 6,910 | | | | | | 6,824 | | | | | | (86) | | |
Morgan Stanley | | | Colombian Peso | | | | | 995,085 | | | | Buy | | | | | 09/11/15 | | | | | | 389 | | | | | | 378 | | | | | | (11) | | |
Morgan Stanley | | | Czech Koruna | | | | | 1,154,548 | | | | Buy | | | | | 09/11/15 | | | | | | 48,280 | | | | | | 47,248 | | | | | | (1,032) | | |
Morgan Stanley | | | British Pound | | | | | 58,727 | | | | Buy | | | | | 08/14/15 | | | | | | 92,000 | | | | | | 92,247 | | | | | | 247 | | |
Morgan Stanley | | | Hungarian Forint | | | | | 401,990 | | | | Buy | | | | | 09/11/15 | | | | | | 1,470 | | | | | | 1,419 | | | | | | (51) | | |
Morgan Stanley | | | Norwegian Krone | | | | | 1,807,208 | | | | Buy | | | | | 08/14/15 | | | | | | 239,000 | | | | | | 230,260 | | | | | | (8,740) | | |
Morgan Stanley | | | New Zealand Dollar | | | | | 424,625 | | | | Buy | | | | | 08/14/15 | | | | | | 309,000 | | | | | | 286,633 | | | | | | (22,367) | | |
Morgan Stanley | | | Polish Zloty | | | | | 422,687 | | | | Buy | | | | | 09/11/15 | | | | | | 115,396 | | | | | | 112,200 | | | | | | (3,196) | | |
Morgan Stanley | | | Russian Ruble | | | | | 2,847,623 | | | | Buy | | | | | 09/11/15 | | | | | | 51,606 | | | | | | 50,300 | | | | | | (1,306) | | |
Morgan Stanley | | | South African Rand | | | | | 969,568 | | | | Buy | | | | | 09/11/15 | | | | | | 78,567 | | | | | | 78,691 | | | | | | 124 | | |
Morgan Stanley | | | British Pound | | | | | 139,430 | | | | Buy | | | | | 08/14/15 | | | | | | 216,000 | | | | | | 219,012 | | | | | | 3,012 | | |
Morgan Stanley | | | Thai Baht | | | | | 4,334,011 | | | | Buy | | | | | 08/14/15 | | | | | | 128,969 | | | | | | 128,123 | | | | | | (846) | | |
Morgan Stanley | | | EU Euro | | | | | 8,027,858 | | | | Buy | | | | | 08/14/15 | | | | | | 9,112,163 | | | | | | 8,955,256 | | | | | | (156,907) | | |
Morgan Stanley | | | British Pound | | | | | 109,341 | | | | Buy | | | | | 08/14/15 | | | | | | 172,000 | | | | | | 171,750 | | | | | | (250) | | |
Morgan Stanley | | | Japanese Yen | | | | | 978,651,093 | | | | Buy | | | | | 08/14/15 | | | | | | 8,174,441 | | | | | | 8,000,663 | | | | | | (173,778) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (557,265) | | |
Barclays Bank PLC | | | Norwegian Krone | | | | | 4,274,688 | | | | Sell | | | | | 08/14/15 | | | | | $ | 542,000 | | | | | $ | 544,646 | | | | | $ | (2,646) | | |
Barclays Bank PLC | | | EU Euro | | | | | 161,897 | | | | Sell | | | | | 08/14/15 | | | | | | 184,000 | | | | | | 180,600 | | | | | | 3,400 | | |
Barclays Bank PLC | | | Japanese Yen | | | | | 44,372,770 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 362,756 | | | | | | (3,006) | | |
Barclays Bank PLC | | | Japanese Yen | | | | | 190,154,996 | | | | Sell | | | | | 08/14/15 | | | | | | 1,532,000 | | | | | | 1,554,554 | | | | | | (22,554) | | |
Barclays Bank PLC | | | Swedish Krona | | | | | 992,186 | | | | Sell | | | | | 08/14/15 | | | | | | 116,000 | | | | | | 119,796 | | | | | | (3,796) | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 268,451 | | | | Sell | | | | | 08/14/15 | | | | | | 217,000 | | | | | | 214,804 | | | | | | 2,196 | | |
Citigroup, Inc. | | | Norwegian Krone | | | | | 589,491 | | | | Sell | | | | | 08/14/15 | | | | | | 75,000 | | | | | | 75,108 | | | | | | (108) | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 96,316 | | | | Sell | | | | | 08/14/15 | | | | | | 78,000 | | | | | | 77,068 | | | | | | 932 | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 148,818 | | | | Sell | | | | | 08/14/15 | | | | | | 120,000 | | | | | | 119,078 | | | | | | 922 | | |
Citigroup, Inc. | | | British Pound | | | | | 98,878 | | | | Sell | | | | | 08/14/15 | | | | | | 157,000 | | | | | | 155,315 | | | | | | 1,685 | | |
Citigroup, Inc. | | | Swedish Krona | | | | | 1,419,530 | | | | Sell | | | | | 08/14/15 | | | | | | 174,000 | | | | | | 171,394 | | | | | | 2,606 | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 172,525 | | | | Sell | | | | | 08/14/15 | | | | | | 140,000 | | | | | | 138,048 | | | | | | 1,952 | | |
Citigroup, Inc. | | | British Pound | | | | | 156,940 | | | | Sell | | | | | 08/14/15 | | | | | | 243,000 | | | | | | 246,516 | | | | | | (3,516) | | |
Citigroup, Inc. | | | Canadian Dollar | | | | | 173,411 | | | | Sell | | | | | 08/14/15 | | | | | | 141,000 | | | | | | 138,756 | | | | | | 2,244 | | |
Citigroup, Inc. | | | Swedish Krona | | | | | 1,313,168 | | | | Sell | | | | | 08/14/15 | | | | | | 158,000 | | | | | | 158,552 | | | | | | (552) | | |
Citigroup, Inc. | | | British Pound | | | | | 154,615 | | | | Sell | | | | | 08/14/15 | | | | | | 237,000 | | | | | | 242,865 | | | | | | (5,865) | | |
Citigroup, Inc. | | | British Pound | | | | | 107,931 | | | | Sell | | | | | 08/14/15 | | | | | | 165,000 | | | | | | 169,535 | | | | | | (4,535) | | |
Citigroup, Inc. | | | British Pound | | | | | 297,921 | | | | Sell | | | | | 08/14/15 | | | | | | 456,000 | | | | | | 467,965 | | | | | | (11,965) | | |
Citigroup, Inc. | | | British Pound | | | | | 111,093 | | | | Sell | | | | | 08/14/15 | | | | | | 171,000 | | | | | | 174,502 | | | | | | (3,502) | | |
Citigroup, Inc. | | | EU Euro | | | | | 46,885 | | | | Sell | | | | | 08/14/15 | | | | | | 52,000 | | | | | | 52,302 | | | | | | (302) | | |
Citigroup, Inc. | | | Philippine Peso | | | | | 800,028 | | | | Sell | | | | | 08/14/15 | | | | | | 17,894 | | | | | | 17,711 | | | | | | 183 | | |
Deutsche Bank AG | | | EU Euro | | | | | 322,550 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 359,812 | | | | | | (62) | | |
Deutsche Bank AG | | | Swedish Krona | | | | | 806,859 | | | | Sell | | | | | 08/14/15 | | | | | | 98,000 | | | | | | 97,420 | | | | | | 580 | | |
Deutsche Bank AG | | | Japanese Yen | | | | | 44,371,856 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 362,749 | | | | | | (2,999) | | |
See Accompanying Notes to Financial Statements
53
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||
Deutsche Bank AG | | | Japanese Yen | | | | | 44,373,295 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 362,760 | | | | | | (3,010) | | |
Deutsche Bank AG | | | Norwegian Krone | | | | | 2,126,943 | | | | Sell | | | | | 08/14/15 | | | | | | 271,000 | | | | | | 270,998 | | | | | | 2 | | |
Deutsche Bank AG | | | Australian Dollar | | | | | 459,715 | | | | Sell | | | | | 08/14/15 | | | | | | 352,000 | | | | | | 353,815 | | | | | | (1,815) | | |
Deutsche Bank AG | | | Norwegian Krone | | | | | 1,819,244 | | | | Sell | | | | | 08/14/15 | | | | | | 234,000 | | | | | | 231,793 | | | | | | 2,207 | | |
Deutsche Bank AG | | | Romanian New Leu | | | | | 4,811 | | | | Sell | | | | | 09/11/15 | | | | | | 1,221 | | | | | | 1,197 | | | | | | 24 | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 322,397 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 359,641 | | | | | | 109 | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 322,403 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 359,648 | | | | | | 102 | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 322,426 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 359,674 | | | | | | 76 | | |
Goldman Sachs & Co. | | | Canadian Dollar | | | | | 319,899 | | | | Sell | | | | | 08/14/15 | | | | | | 258,000 | | | | | | 255,970 | | | | | | 2,030 | | |
Goldman Sachs & Co. | | | Japanese Yen | | | | | 44,367,932 | | | | Sell | | | | | 08/14/15 | | | | | | 359,750 | | | | | | 362,716 | | | | | | (2,966) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 1,571,908 | | | | Sell | | | | | 08/14/15 | | | | | | 1,768,000 | | | | | | 1,753,498 | | | | | | 14,502 | | |
Goldman Sachs & Co. | | | Japanese Yen | | | | | 9,695,985 | | | | Sell | | | | | 08/14/15 | | | | | | 78,000 | | | | | | 79,267 | | | | | | (1,267) | | |
Goldman Sachs & Co. | | | Canadian Dollar | | | | | 155,837 | | | | Sell | | | | | 08/14/15 | | | | | | 125,000 | | | | | | 124,695 | | | | | | 305 | | |
Goldman Sachs & Co. | | | Swedish Krona | | | | | 1,003,238 | | | | Sell | | | | | 08/14/15 | | | | | | 120,000 | | | | | | 121,131 | | | | | | (1,131) | | |
Goldman Sachs & Co. | | | Swedish Krona | | | | | 1,009,802 | | | | Sell | | | | | 08/14/15 | | | | | | 123,161 | | | | | | 121,924 | | | | | | 1,237 | | |
JPMorgan Chase & Co. | | | British Pound | | | | | 329,046 | | | | Sell | | | | | 08/14/15 | | | | | | 517,000 | | | | | | 516,855 | | | | | | 145 | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 475,148 | | | | Sell | | | | | 08/14/15 | | | | | | 530,000 | | | | | | 530,038 | | | | | | (38) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 491,585 | | | | Sell | | | | | 08/14/15 | | | | | | 377,000 | | | | | | 378,343 | | | | | | (1,343) | | |
JPMorgan Chase & Co. | | | Japanese Yen | | | | | 17,336,200 | | | | Sell | | | | | 08/14/15 | | | | | | 140,000 | | | | | | 141,727 | | | | | | (1,727) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 183,516 | | | | Sell | | | | | 08/14/15 | | | | | | 140,000 | | | | | | 141,241 | | | | | | (1,241) | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 115,267 | | | | Sell | | | | | 08/14/15 | | | | | | 129,000 | | | | | | 128,583 | | | | | | 417 | | |
JPMorgan Chase & Co. | | | Swiss Franc | | | | | 98,087 | | | | Sell | | | | | 08/14/15 | | | | | | 107,000 | | | | | | 105,089 | | | | | | 1,911 | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 325,346 | | | | Sell | | | | | 08/14/15 | | | | | | 369,000 | | | | | | 362,930 | | | | | | 6,070 | | |
JPMorgan Chase & Co. | | | British Pound | | | | | 296,633 | | | | Sell | | | | | 08/14/15 | | | | | | 464,000 | | | | | | 465,941 | | | | | | (1,941) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 390,145 | | | | Sell | | | | | 08/14/15 | | | | | | 302,000 | | | | | | 300,271 | | | | | | 1,729 | | |
JPMorgan Chase & Co. | | | Canadian Dollar | | | | | 407,762 | | | | Sell | | | | | 08/14/15 | | | | | | 331,000 | | | | | | 326,275 | | | | | | 4,725 | | |
JPMorgan Chase & Co. | | | New Zealand Dollar | | | | | 298,580 | | | | Sell | | | | | 08/14/15 | | | | | | 208,000 | | | | | | 201,549 | | | | | | 6,451 | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 161,659 | | | | Sell | | | | | 08/14/15 | | | | | | 125,000 | | | | | | 124,419 | | | | | | 581 | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 139,556 | | | | Sell | | | | | 08/14/15 | | | | | | 158,000 | | | | | | 155,678 | | | | | | 2,322 | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 232,801 | | | | Sell | | | | | 08/14/15 | | | | | | 177,000 | | | | | | 179,173 | | | | | | (2,173) | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 169,678 | | | | Sell | | | | | 08/14/15 | | | | | | 189,000 | | | | | | 189,280 | | | | | | (280) | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 177,734 | | | | Sell | | | | | 08/14/15 | | | | | | 136,000 | | | | | | 136,791 | | | | | | (791) | | |
JPMorgan Chase & Co. | | | Japanese Yen | | | | | 77,274,775 | | | | Sell | | | | | 08/14/15 | | | | | | 639,000 | | | | | | 631,736 | | | | | | 7,264 | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 251,723 | | | | Sell | | | | | 08/14/15 | | | | | | 197,000 | | | | | | 193,736 | | | | | | 3,264 | | |
JPMorgan Chase & Co. | | | Australian Dollar | | | | | 261,499 | | | | Sell | | | | | 08/14/15 | | | | | | 206,000 | | | | | | 201,260 | | | | | | 4,740 | | |
JPMorgan Chase & Co. | | | EU Euro | | | | | 362,670 | | | | Sell | | | | | 08/14/15 | | | | | | 405,000 | | | | | | 404,566 | | | | | | 434 | | |
JPMorgan Chase & Co. | | | Norwegian Krone | | | | | 1,035,918 | | | | Sell | | | | | 08/14/15 | | | | | | 139,862 | | | | | | 131,988 | | | | | | 7,874 | | |
Morgan Stanley | | | New Zealand Dollar | | | | | 172,785 | | | | Sell | | | | | 08/14/15 | | | | | | 118,000 | | | | | | 116,635 | | | | | | 1,365 | | |
Morgan Stanley | | | Australian Dollar | | | | | 260,076 | | | | Sell | | | | | 08/14/15 | | | | | | 201,000 | | | | | | 200,165 | | | | | | 835 | | |
Morgan Stanley | | | Japanese Yen | | | | | 9,015,415 | | | | Sell | | | | | 08/14/15 | | | | | | 73,000 | | | | | | 73,703 | | | | | | (703) | | |
Morgan Stanley | | | Japanese Yen | | | | | 188,649,760 | | | | Sell | | | | | 08/14/15 | | | | | | 1,532,000 | | | | | | 1,542,249 | | | | | | (10,249) | | |
Morgan Stanley | | | British Pound | | | | | 106,182 | | | | Sell | | | | | 08/14/15 | | | | | | 168,000 | | | | | | 166,787 | | | | | | 1,213 | | |
Morgan Stanley | | | British Pound | | | | | 161,858 | | | | Sell | | | | | 08/14/15 | | | | | | 256,000 | | | | | | 254,242 | | | | | | 1,758 | | |
Morgan Stanley | | | Japanese Yen | | | | | 10,978,661 | | | | Sell | | | | | 08/14/15 | | | | | | 89,000 | | | | | | 89,753 | | | | | | (753) | | |
Morgan Stanley | | | Norwegian Krone | | | | | 2,123,336 | | | | Sell | | | | | 08/14/15 | | | | | | 273,000 | | | | | | 270,538 | | | | | | 2,462 | | |
Morgan Stanley | | | Australian Dollar | | | | | 287,461 | | | | Sell | | | | | 08/14/15 | | | | | | 222,000 | | | | | | 221,241 | | | | | | 759 | | |
Morgan Stanley | | | EU Euro | | | | | 447,371 | | | | Sell | | | | | 08/14/15 | | | | | | 505,000 | | | | | | 499,052 | | | | | | 5,948 | | |
Morgan Stanley | | | New Zealand Dollar | | | | | 262,729 | | | | Sell | | | | | 08/14/15 | | | | | | 186,000 | | | | | | 177,348 | | | | | | 8,652 | | |
Morgan Stanley | | | New Zealand Dollar | | | | | 253,154 | | | | Sell | | | | | 08/14/15 | | | | | | 179,000 | | | | | | 170,886 | | | | | | 8,114 | | |
Morgan Stanley | | | Canadian Dollar | | | | | 246,359 | | | | Sell | | | | | 08/14/15 | | | | | | 197,000 | | | | | | 197,127 | | | | | | (127) | | |
See Accompanying Notes to Financial Statements
54
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||
Morgan Stanley | | | Japanese Yen | | | | | 189,691,304 | | | | Sell | | | | | 08/14/15 | | | | | | 1,525,000 | | | | | | 1,550,763 | | | | | | (25,763) | | |
Morgan Stanley | | | British Pound | | | | | 94,799 | | | | Sell | | | | | 08/14/15 | | | | | | 144,000 | | | | | | 148,908 | | | | | | (4,908) | | |
Morgan Stanley | | | Canadian Dollar | | | | | 368,138 | | | | Sell | | | | | 08/14/15 | | | | | | 296,000 | | | | | | 294,569 | | | | | | 1,431 | | |
Morgan Stanley | | | British Pound | | | | | 72,405 | | | | Sell | | | | | 08/14/15 | | | | | | 112,000 | | | | | | 113,731 | | | | | | (1,731) | | |
Morgan Stanley | | | Japanese Yen | | | | | 10,192,890 | | | | Sell | | | | | 08/14/15 | | | | | | 84,000 | | | | | | 83,329 | | | | | | 671 | | |
Morgan Stanley | | | EU Euro | | | | | 230,682 | | | | Sell | | | | | 08/14/15 | | | | | | 257,000 | | | | | | 257,331 | | | | | | (331) | | |
Morgan Stanley | | | Australian Dollar | | | | | 296,577 | | | | Sell | | | | | 08/14/15 | | | | | | 233,000 | | | | | | 228,258 | | | | | | 4,742 | | |
Morgan Stanley | | | Canadian Dollar | | | | | 411,685 | | | | Sell | | | | | 08/14/15 | | | | | | 337,000 | | | | | | 329,414 | | | | | | 7,586 | | |
Morgan Stanley | | | Swedish Krona | | | | | 922,295 | | | | Sell | | | | | 08/14/15 | | | | | | 111,000 | | | | | | 111,358 | | | | | | (358) | | |
Morgan Stanley | | | Canadian Dollar | | | | | 276,449 | | | | Sell | | | | | 08/14/15 | | | | | | 226,000 | | | | | | 221,203 | | | | | | 4,797 | | |
Morgan Stanley | | | British Pound | | | | | 218,201 | | | | Sell | | | | | 08/14/15 | | | | | | 338,000 | | | | | | 342,744 | | | | | | (4,744) | | |
Morgan Stanley | | | New Zealand Dollar | | | | | 550,986 | | | | Sell | | | | | 08/14/15 | | | | | | 406,300 | | | | | | 371,930 | | | | | | 34,370 | | |
Morgan Stanley | | | Swiss Franc | | | | | 67,544 | | | | Sell | | | | | 08/14/15 | | | | | | 73,306 | | | | | | 72,366 | | | | | | 940 | | |
Morgan Stanley | | | EU Euro | | | | | 152,611 | | | | Sell | | | | | 08/14/15 | | | | | | 175,000 | | | | | | 170,241 | | | | | | 4,759 | | |
Morgan Stanley | | | South African Rand | | | | | 661,064 | | | | Sell | | | | | 09/11/15 | | | | | | 53,568 | | | | | | 53,652 | | | | | | (84) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 40,741 | | |
| | | | | | | | |
At June 30, 2015, the following futures contracts were outstanding for Voya Balanced Portfolio:
Contract Description | | | Number of Contracts | | | Expiration Date | | | Notional Value | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||
Long Contracts | | | | | | ||||||||||||||||||||||||
30-year German Government Bond | | | | | 8 | | | | | | 09/08/15 | | | | | $ | 1,325,693 | | | | | $ | (16,749) | | | ||||
Australia 10-Year Bond | | | | | 2 | | | | | | 09/15/15 | | | | | | 193,291 | | | | | | 1,171 | | | ||||
Australia 3-Year Bond | | | | | 7 | | | | | | 09/15/15 | | | | | | 601,351 | | | | | | 991 | | | ||||
Canada 10-Year Bond | | | | | 6 | | | | | | 09/21/15 | | | | | | 672,538 | | | | | | 5,983 | | | ||||
Euro-Bobl 5-Year | | | | | 17 | | | | | | 09/08/15 | | | | | | 2,455,863 | | | | | | 9,879 | | | ||||
Euro-Schatz | | | | | 25 | | | | | | 09/08/15 | | | | | | 3,101,379 | | | | | | 2,188 | | | ||||
Japanese Government Bonds 10-Year Mini | | | | | 5 | | | | | | 09/09/15 | | | | | | 600,319 | | | | | | 1,115 | | | ||||
Long Gilt | | | | | 10 | | | | | | 09/28/15 | | | | | | 1,818,396 | | | | | | (20,149) | | | ||||
Long-Term Euro-BTP | | | | | 12 | | | | | | 09/08/15 | | | | | | 1,741,979 | | | | | | (17,824) | | | ||||
S&P 500 E-Mini | | | | | 249 | | | | | | 09/18/15 | | | | | | 25,577,280 | | | | | | (233,476) | | | ||||
U.S. Treasury 10-Year Note | | | | | 8 | | | | | | 09/21/15 | | | | | | 1,009,375 | | | | | | 7,534 | | | ||||
U.S. Treasury 2-Year Note | | | | | 81 | | | | | | 09/30/15 | | | | | | 17,733,938 | | | | | | 30,241 | | | ||||
U.S. Treasury Long Bond | | | | | 7 | | | | | | 09/21/15 | | | | | | 1,055,906 | | | | | | (23,955) | | | ||||
U.S. Treasury Ultra Long Bond | | | | | 22 | | | | | | 09/21/15 | | | | | | 3,389,375 | | | | | | (86,607) | | | ||||
| | | | | | | | | | | | | | | | $ | 61,276,683 | | | | | $ | (339,658) | | | ||||
Short Contracts | | | | | | ||||||||||||||||||||||||
Euro-Bund | | | | | (4) | | | | | | 09/08/15 | | | | | | (677,830) | | | | | | (454) | | | ||||
Short Gilt | | | | | (1) | | | | | | 09/28/15 | | | | | | (164,195) | | | | | | 155 | | | ||||
U.S. Treasury 5-Year Note | | | | | (144) | | | | | | 09/30/15 | | | | | | (17,173,125) | | | | | | (5,467) | | | ||||
| | | | | | | | | | | | | | | | $ | (18,015,150) | | | | | $ | (5,766) | | | ||||
|
See Accompanying Notes to Financial Statements
55
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
At June 30, 2015, the following centrally cleared interest rate swaps were outstanding for Voya Balanced Portfolio:
| | | Clearinghouse | | | Termination Date | | | Notional Amount | | | Fair Value | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||||
Receive a floating rate equal to the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 0.237% | | | Chicago Mercantile Exchange | | | | | 10/03/17 | | | | | | EUR | | | | | | 1,500,000 | | | | | $ | (3,166) | | | | | $ | (3,316) | | |
Receive a fixed rate equal to 0.754% and pay a floating rate based on the 6-month JPY-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 05/21/24 | | | | | | JPY | | | | | | 259,000,000 | | | | | | 36,555 | | | | | | 43,685 | | |
Receive a fixed rate equal to 1.289% and pay a floating rate based on the 6-month JPY-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 02/04/45 | | | | | | JPY | | | | | | 183,000,000 | | | | | | (73,275) | | | | | | (75,375) | | |
Receive a floating rate equal to the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 0.558% | | | Chicago Mercantile Exchange | | | | | 02/24/45 | | | | | | JPY | | | | | | 192,978,870 | | | | | | (8,205) | | | | | | (8,160) | | |
Receive a floating rate equal to the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 1.443% | | | Chicago Mercantile Exchange | | | | | 02/24/45 | | | | | | JPY | | | | | | 83,385,931 | | | | | | 6,735 | | | | | | 6,692 | | |
Receive a fixed rate equal to 0.347% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 10/09/15 | | | | | | USD | | | | | | 7,000,000 | | | | | | 928 | | | | | | 928 | | |
Receive a fixed rate equal to 0.771% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 10/09/16 | | | | | | USD | | | | | | 17,800,000 | | | | | | (36,970) | | | | | | (36,970) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.119% | | | Chicago Mercantile Exchange | | | | | 08/08/17 | | | | | | USD | | | | | | 5,000,000 | | | | | | (19,466) | | | | | | (19,466) | | |
Receive a fixed rate equal to 1.178% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 05/15/18 | | | | | | USD | | | | | | 10,400,000 | | | | | | (6,520) | | | | | | (6,520) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.166% | | | Chicago Mercantile Exchange | | | | | 05/20/18 | | | | | | USD | | | | | | 5,200,000 | | | | | | 5,901 | | �� | | | | 5,901 | | |
Receive a fixed rate equal to 1.208% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 05/21/18 | | | | | | USD | | | | | | 3,100,000 | | | | | | 235 | | | | | | 235 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.231% | | | Chicago Mercantile Exchange | | | | | 05/27/18 | | | | | | USD | | | | | | 6,100,000 | | | | | | (3,174) | | | | | | (3,174) | | |
Receive a fixed rate equal to 1.224% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 05/27/18 | | | | | | USD | | | | | | 4,300,000 | | | | | | 1,310 | | | | | | 1,310 | | |
Receive a fixed rate equal to 1.206% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/01/18 | | | | | | USD | | | | | | 3,100,000 | | | | | | (897) | | | | | | (897) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.257% | | | Chicago Mercantile Exchange | | | | | 06/04/18 | | | | | | USD | | | | | | 3,100,000 | | | | | | (3,482) | | | | | | (3,482) | | |
Receive a fixed rate equal to 1.323% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/10/18 | | | | | | USD | | | | | | 2,500,000 | | | | | | 7,175 | | | | | | 7,175 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.347% | | | Chicago Mercantile Exchange | | | | | 06/11/18 | | | | | | USD | | | | | | 3,100,000 | | | | | | (11,053) | | | | | | (11,053) | | |
See Accompanying Notes to Financial Statements
56
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| | | Clearinghouse | | | Termination Date | | | Notional Amount | | | Fair Value | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||||
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.374% | | | Chicago Mercantile Exchange | | | | | 06/12/18 | | | | | | USD | | | | | | 6,000,000 | | | | | | (25,886) | | | | | | (25,886) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.267% | | | Chicago Mercantile Exchange | | | | | 06/19/18 | | | | | | USD | | | | | | 6,384,000 | | | | | | (6,666) | | | | | | (6,666) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.283% | | | Chicago Mercantile Exchange | | | | | 06/26/18 | | | | | | USD | | | | | | 2,200,000 | | | | | | (3,023) | | | | | | (3,023) | | |
Receive a fixed rate equal to 1.525% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 05/11/19 | | | | | | USD | | | | | | 7,000,000 | | | | | | 7,605 | | | | | | 7,605 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.465% | | | Chicago Mercantile Exchange | | | | | 05/18/19 | | | | | | USD | | | | | | 4,000,000 | | | | | | 5,483 | | | | | | 5,483 | | |
Receive a fixed rate equal to 1.460% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/01/19 | | | | | | USD | | | | | | 6,100,000 | | | | | | (12,164) | | | | | | (12,164) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.659% | | | Chicago Mercantile Exchange | | | | | 06/09/19 | | | | | | USD | | | | | | 3,100,000 | | | | | | (17,088) | | | | | | (17,088) | | |
Receive a fixed rate equal to 1.640% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/09/19 | | | | | | USD | | | | | | 3,100,000 | | | | | | 14,814 | | | | | | 14,814 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.682% | | | Chicago Mercantile Exchange | | | | | 06/15/19 | | | | | | USD | | | | | | 3,100,000 | | | | | | (19,277) | | | | | | (19,277) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.686% | | | Chicago Mercantile Exchange | | | | | 06/15/19 | | | | | | USD | | | | | | 3,100,000 | | | | | | (19,818) | | | | | | (19,818) | | |
Receive a fixed rate equal to 1.609% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/17/19 | | | | | | USD | | | | | | 3,100,000 | | | | | | 10,554 | | | | | | 10,554 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.794% | | | Chicago Mercantile Exchange | | | | | 08/08/19 | | | | | | USD | | | | | | 3,500,000 | | | | | | (32,898) | | | | | | (32,898) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.668% | | | Chicago Mercantile Exchange | | | | | 10/30/19 | | | | | | USD | | | | | | 17,090,000 | | | | | | (37,626) | | | | | | (37,626) | | |
Receive a fixed rate equal to 2.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 11/05/19 | | | | | | USD | | | | | | 34,860,000 | | | | | | 557,608 | | | | | | 557,608 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.882% | | | Chicago Mercantile Exchange | | | | | 06/30/20 | | | | | | USD | | | | | | 5,230,000 | | | | | | (28,082) | | | | | | (28,082) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.507% | | | Chicago Mercantile Exchange | | | | | 10/09/24 | | | | | | USD | | | | | | 1,800,000 | | | | | | (17,402) | | | | | | (17,402) | | |
Receive a fixed rate equal to 2.408% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 10/30/24 | | | | | | USD | | | | | | 8,880,000 | | | | | | 8,084 | | | | | | 8,084 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.760% | | | Chicago Mercantile Exchange | | | | | 11/05/24 | | | | | | USD | | | | | | 18,480,000 | | | | | | (569,566) | | | | | | (569,566) | | |
See Accompanying Notes to Financial Statements
57
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| | | Clearinghouse | | | Termination Date | | | Notional Amount | | | Fair Value | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||||
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.189% | | | Chicago Mercantile Exchange | | | | | 05/05/25 | | | | | | USD | | | | | | 7,000,000 | | | | | | 160,490 | | | | | | 160,490 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.168% | | | Chicago Mercantile Exchange | | | | | 05/05/25 | | | | | | USD | | | | | | 7,000,000 | | | | | | (173,713) | | | | | | (173,713) | | |
Receive a fixed rate equal to 2.488% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/15/25 | | | | | | USD | | | | | | 3,800,000 | | | | | | 12,276 | | | | | | 12,276 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.460% | | | Chicago Mercantile Exchange | | | | | 06/15/25 | | | | | | USD | | | | | | 3,800,000 | | | | | | (3,992) | | | | | | (3,992) | | |
Receive a fixed rate equal to 2.455% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/17/25 | | | | | | USD | | | | | | 3,800,000 | | | | | | 990 | | | | | | 990 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.467% | | | Chicago Mercantile Exchange | | | | | 06/19/25 | | | | | | USD | | | | | | 692,000 | | | | | | (880) | | | | | | (880) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.382% | | | Chicago Mercantile Exchange | | | | | 06/23/25 | | | | | | USD | | | | | | 950,000 | | | | | | 6,191 | | | | | | 6,191 | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.294% | | | Chicago Mercantile Exchange | | | | | 06/10/35 | | | | | | USD | | | | | | 1,900,000 | | | | | | 9,591 | | | | | | 9,591 | | |
Receive a fixed rate equal to 3.285% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/15/35 | | | | | | USD | | | | | | 3,800,000 | | | | | | (21,469) | | | | | | (21,469) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.834% | | | Chicago Mercantile Exchange | | | | | 06/15/35 | | | | | | USD | | | | | | 3,800,000 | | | | | | 6,182 | | | | | | 6,182 | | |
Receive a fixed rate equal to 2.805% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/15/35 | | | | | | USD | | | | | | 3,800,000 | | | | | | (23,678) | | | | | | (23,678) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.810% | | | Chicago Mercantile Exchange | | | | | 06/17/35 | | | | | | USD | | | | | | 3,800,000 | | | | | | 20,170 | | | | | | 20,170 | | |
Receive a fixed rate equal to 2.815% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/19/35 | | | | | | USD | | | | | | 793,000 | | | | | | (3,619) | | | | | | (3,619) | | |
Receive a fixed rate equal to 2.753% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/23/35 | | | | | | USD | | | | | | 950,000 | | | | | | (13,766) | | | | | | (13,766) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.715% | | | Chicago Mercantile Exchange | | | | | 05/11/45 | | | | | | USD | | | | | | 1,300,000 | | | | | | 60,640 | | | | | | 60,640 | | |
Receive a fixed rate equal to 2.810% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 05/18/45 | | | | | | USD | | | | | | 700,000 | | | | | | (18,679) | | | | | | (18,679) | | |
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.659% | | | Chicago Mercantile Exchange | | | | | 06/01/45 | | | | | | USD | | | | | | 1,100,000 | | | | | | 64,095 | | | | | | 64,095 | | |
Receive a fixed rate equal to 2.905% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/09/45 | | | | | | USD | | | | | | 600,000 | | | | | | (4,177) | | | | | | (4,177) | | |
See Accompanying Notes to Financial Statements
58
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| | | Clearinghouse | | | Termination Date | | | Notional Amount | | | Fair Value | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||||
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.926% | | | Chicago Mercantile Exchange | | | | | 06/09/45 | | | | | | USD | | | | | | 600,000 | | | | | | 1,610 | | | | | | 1,610 | | | |||||
Receive a fixed rate equal to 2.959% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/15/45 | | | | | | USD | | | | | | 600,000 | | | | | | 2,580 | | | | | | 2,580 | | | |||||
Receive a fixed rate equal to 2.980% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 06/15/45 | | | | | | USD | | | | | | 600,000 | | | | | | 5,147 | | | | | | 5,148 | | | |||||
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.891% | | | Chicago Mercantile Exchange | | | | | 06/17/45 | | | | | | USD | | | | | | 600,000 | | | | | | 5,944 | | | | | | 5,944 | | | |||||
| | | | | | | | | | | | | | | | | | | | | | | | | $ | (200,784) | | | | | $ | (195,901) | | | |||||
|
At June 30, 2015, the following over-the-counter written options were outstanding for Voya Balanced Portfolio:
| Notional Amount | | | Counterparty | | | Description | | | Exercise Price | | | Expiration Date | | | Premiums Received | | | Fair Value | | ||||||||||||||
| Options on Currencies | | | | | | | | ||||||||||||||||||||||||||
| 2,780,000 | | | JPMorgan Chase & Co. | | | Put CNH vs Call USD | | | | | 6.690USD | | | | | | 08/03/15 | | | | | $ | 23,130 | | | | | $ | (64) | | | ||
| Total Written OTC Options | | | | $ | 23,130 | | | | | $ | (64) | | | ||||||||||||||||||||
|
At June 30, 2015, the following over-the-counter written interest rate swaptions were outstanding for Voya Balanced Portfolio:
Description | | | Counterparty | | | Floating Rate Index/Underlying Reference Entity | | | Pay/ Receive Floating | | | Exercise Rate | | | Expiration Date | | | Notional Amount | | | Premiums Received | | | Fair Value | ||||||||||||
Put OTC Swaption | | | Barclays Bank PLC | | | 6-month EUR- EURIBOR-Reuters | | | Pay | | | | | 1.157% | | | | | | 09/24/15 | | | | EUR18,862,000 | | | | $ | 29,303 | | | | | $ | (38,757) | |
Put OTC Swaption | | | BNP Paribas Bank | | | 6-month EUR- EURIBOR-Reuters | | | Pay | | | | | 1.170% | | | | | | 09/23/15 | | | | EUR31,436,000 | | | | | 49,576 | | | | | | (62,166) | |
Put OTC Swaption | | | BNP Paribas Bank | | | 3-month USD- LIBOR-BBA | | | Pay | | | | | 0.730% | | | | | | 01/09/17 | | | | USD59,319,000 | | | | | 257,148 | | | | | | (425,861) | |
Put OTC Swaption | | | Morgan Stanley | | | 3-month USD- LIBOR-BBA | | | Pay | | | | | 0.580% | | | | | | 12/12/16 | | | | USD14,746,000 | | | | | 42,954 | | | | | | (49,072) | |
Call OTC Swaption | | | Barclays Bank PLC | | | 6-month EUR- EURIBOR-Reuters | | | Receive | | | | | 1.157% | | | | | | 09/24/20 | | | | EUR18,862,000 | | | | | 29,303 | | | | | | (31,672) | |
Call OTC Swaption | | | BNP Paribas Bank | | | 6-month EUR- EURIBOR-Reuters | | | Receive | | | | | 1.170% | | | | | | 09/23/15 | | | | EUR31,436,000 | | | | | 49,576 | | | | | | (54,728) | |
Call OTC Swaption | | | BNP Paribas Bank | | | 3-month USD- LIBOR-BBA | | | Receive | | | | | 0.730% | | | | | | 01/09/17 | | | | USD59,319,000 | | | | | 261,004 | | | | | | (109,336) | |
Call OTC Swaption | | | Morgan Stanley | | | 3-month USD- LIBOR-BBA | | | Receive | | | | | 0.580% | | | | | | 12/12/16 | | | | USD14,746,000 | | | | | 42,954 | | | | | | (27,836) | |
Total Written Swaptions | | | | $ | 761,818 | | | | | $ | (799,428) | |||||||||||||||||||||||||
| | | | | | | | | |
See Accompanying Notes to Financial Statements
59
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of March 31, 2015 was as follows:
Derivatives not accounted for as hedging instruments | | | Location on Statement of Assets and Liabilities | | | Fair Value | | ||||
Asset Derivatives | | | | | | | | | | | |
Foreign exchange contracts | | | Investments in securities at value* | | | | $ | 41,862 | | | |
Interest rate contracts | | | Investments in securities at value* | | | | | 783,523 | | | |
Foreign exchange contracts | | | Unrealized appreciation on forward foreign currency contracts | | | | | 303,182 | | | |
Interest rate contracts | | | Net Assets — Unrealized appreciation** | | | | | 59,257 | | | |
Interest rate contracts | | | Net Assets — Unrealized appreciation*** | | | | | 1,025,981 | | | |
Total Asset Derivatives | | | | | | | $ | 2,213,805 | | | |
Liability Derivatives | | | | | | | | | | | |
Foreign exchange contracts | | | Unrealized depreciation on forward foreign currency contracts | | | | $ | 819,706 | | | |
Interest rate contracts | | | Net Assets — Unrealized depreciation** | | | | | 171,205 | | | |
Equity contracts | | | Net Assets — Unrealized depreciation** | | | | | 233,476 | | | |
Interest rate contracts | | | Net Assets — Unrealized depreciation*** | | | | | 1,221,882 | | | |
Foreign exchange contracts | | | Written Options, at fair value | | | | | 64 | | | |
Interest rate contracts | | | Written Options, at fair value | | | | | 799,428 | | | |
Total Liability Derivatives | | | | | | | $ | 3,245,761 | | | |
|
*
Includes purchased options.
**
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 days variation margin receivable/payable is included on the Statement of Assets and Liabilities.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2015 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments | | | Investments* | | | Foreign currency related transactions** | | | Futures | | | Swaps | | | Written options | | | Total | | ||||||||||||||||||||||||
Credit contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 89,102 | | | | | $ | — | | | | | $ | 89,102 | | | ||||||
Equity contract | | | | | — | | | | | | — | | | | | | 463,818 | | | | | | — | | | | | | — | | | | | | 463,818 | | | ||||||
Foreign exchange contracts | | | | | 26,430 | | | | | | (662,476) | | | | | | — | | | | | | — | | | | | | 33,877 | | | | | | (602,169) | | | ||||||
Interest rate contracts | | | | | (277,203) | | | | | | — | | | | | | 430,361 | | | | | | (1,395) | | | | | | 127,188 | | | | | | 278,951 | | | ||||||
Total | | | | $ | (250,773) | | | | | $ | (662,476) | | | | | $ | 894,179 | | | | | $ | 87,707 | | | | | $ | 161,066 | | | | | $ | 229,702 | | | ||||||
|
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 | | ||||||||||||||||||||||||
Credit contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (47,406) | | | | | $ | — | | | | | $ | (47,406) | | | ||||||
Equity contract | | | | | — | | | | | | — | | | | | | 105,732 | | | | | | — | | | | | | — | | | | | | 105,732 | | | ||||||
Foreign exchange contracts | | | | | (84,145) | | | | | | (42,691) | | | | | | — | | | | | | — | | | | | | 23,066 | | | | | | (103,770) | | | ||||||
Interest rate contracts | | | | | 31,567 | | | | | | — | | | | | | (250,418) | | | | | | (105,078) | | | | | | (41,057) | | | | | | (364,986) | | | ||||||
Total | | | | $ | (52,578) | | | | | $ | (42,691) | | | | | $ | (144,686) | | | | | $ | (152,484) | | | | | $ | (17,991) | | | | | $ | (410,430) | | | ||||||
|
*
Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments.
**
Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.
See Accompanying Notes to Financial Statements
60
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Balanced Portfolio | as of June 30, 2015 (Unaudited) (continued) |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2015:
| | | Bank of America | | | Barclays Bank PLC | | | BNP Paribas Bank | | | Citigroup, Inc. | | | Deutsche Bank AG | | | Goldman Sachs & Co. | | | HSBC Bank PLC | | | JPMorgan Chase & Co. | | | Morgan Stanley | | | Totals | | ||||||||||||||||||||||||||||||||||||||||
Assets: | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | | | | $ | 41,621 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 164,591 | | | | | $ | 619,173 | | | | | $ | 825,385 | | | ||||||||||
Forward foreign currency contracts | | | | | — | | | | | | 10,333 | | | | | | — | | | | | | 37,487 | | | | | | 6,504 | | | | | | 23,362 | | | | | | — | | | | | | 84,682 | | | | | | 140,814 | | | | | | 303,182 | | | ||||||||||
Total Assets | | | | $ | 41,621 | | | | | $ | 10,333 | | | | | $ | — | | | | | $ | 37,487 | | | | | $ | 6,504 | | | | | $ | 23,362 | | | | | $ | — | | | | | $ | 249,273 | | | | | $ | 759,987 | | | | | $ | 1,128,567 | | | ||||||||||
Liabilities: | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | | | | $ | — | | | | | $ | 44,959 | | | | | $ | — | | | | | $ | 131,949 | | | | | $ | 22,991 | | | | | $ | 36,354 | | | | | $ | 12,078 | | | | | $ | 110,727 | | | | | $ | 460,648 | | | | | $ | 819,706 | | �� | ||||||||||
Written options | | | | | — | | | | | | 70,429 | | | | | | 652,091 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 64 | | | | | | 76,908 | | | | | | 799,492 | | | ||||||||||
Total Liabilities | | | | $ | — | | | | | $ | 115,388 | | | | | $ | 652,091 | | | | | $ | 131,949 | | | | | $ | 22,991 | | | | | $ | 36,354 | | | | | $ | 12,078 | | | | | $ | 110,791 | | | | | $ | 537,556 | | | | | $ | 1,619,198 | | | ||||||||||
Net OTC derivative instruments by counterparty, at fair value | | | | $ | 41,621 | | | | | $ | (105,055) | | | | | $ | (652,091) | | | | | $ | (94,462) | | | | | $ | (16,487) | | | | | $ | (12,992) | | | | | $ | (12,078) | | | | | $ | 138,482 | | | | | $ | 222,431 | | | | | | (490,631) | | | ||||||||||
Total collateral pledged by the Portfolio/ (Received from counterparty) | | | | $ | — | | | | | $ | — | | | | | $ | 500,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (280,000) | | | | | $ | 220,000 | | | ||||||||||
Net Exposure(1) | | | | $ | 41,621 | | | | | $ | (105,055) | | | | | $ | (152,091) | | | | | $ | (94,462) | | | | | $ | (16,487) | | | | | $ | (12,992) | | | | | $ | (12,078) | | | | | $ | 138,482 | | | | | $ | (57,569) | | | | | $ | (270,631) | | | ||||||||||
|
(1)
Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features.
See Accompanying Notes to Financial Statements
61
Voya Global Value Advantage | SUMMARY PORTFOLIO OF INVESTMENTS |
Portfolio | as of June 30, 2015 (Unaudited) |
| Sector Diversification as of June 30, 2015 (as a percentage of net assets) | | |||
| | | | | |
| Financials | | | 20.9% | |
| Consumer Discretionary | | | 13.9% | |
| Health Care | | | 11.8% | |
| Industrials | | | 11.7% | |
| Information Technology | | | 10.7% | |
| Consumer Staples | | | 8.9% | |
| Energy | | | 7.2% | |
| Materials | | | 5.0% | |
| Telecommunication Services | | | 4.2% | |
| Utilities | | | 2.9% | |
| Assets in Excess of Other Liabilities* | | | 2.8% | |
| Net Assets | | | 100.0% | |
| * Includes short-term investments. | | |||
| Portfolio holdings are subject to change daily. | |
| Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COMMON STOCK: 96.0% | | ||||||||||||||||||
| | | | | | | Consumer Discretionary: 13.9% | | ||||||||||||
| | | 327,622 | | | | Coach, Inc. | | | | $ | 11,338,997 | | | | | | 1.5 | | |
| | | 160,900 | | | | Denso Corp. | | | | | 8,005,276 | | | | | | 1.0 | | |
| | | 97,945 | | | | Home Depot, Inc. | | | | | 10,884,628 | | | | | | 1.4 | | |
| | | 151,190 | | | ��� | Kohl’s Corp. | | | | | 9,466,006 | | | | | | 1.2 | | |
| | | 96,683 | | | | Nike, Inc. | | | | | 10,443,698 | | | | | | 1.4 | | |
| | | 78,366 | | | | Renault S.A. | | | | | 8,216,490 | | | | | | 1.1 | | |
| | | 199,200 | | | | Toyota Motor Corp. | | | | | 13,329,923 | | | | | | 1.7 | | |
| | | 147,564 | | | | Viacom - Class B | | | | | 9,538,537 | | | | | | 1.3 | | |
| | | 110,416 | | | | Walt Disney Co. | | | | | 12,602,882 | | | | | | 1.6 | | |
| | | 507,190 | | | | Other Securities | | | | | 13,060,929 | | | | | | 1.7 | | |
| | | | | | | | | | | | 106,887,366 | | | | | | 13.9 | | |
| | | | | | | Consumer Staples: 8.9% | | ||||||||||||
| | | 118,574 | | | | Casino Guichard Perrachon S.A. | | | | | 9,000,082 | | | | | | 1.2 | | |
| | | 205,921 | | | | ConAgra Foods, Inc. | | | | | 9,002,866 | | | | | | 1.2 | | |
| | | 129,450 | | | | Dr Pepper Snapple Group, Inc. | | | | | 9,436,905 | | | | | | 1.2 | | |
| | | 92,309 | | | | Kimberly-Clark Corp. | | | | | 9,781,985 | | | | | | 1.3 | | |
| | | 114,296 | | | | Kraft Foods Group, Inc. | | | | | 9,731,161 | | | | | | 1.2 | | |
| | | 97,871 | | | | Philip Morris International, Inc. | | | | | 7,846,318 | | | | | | 1.0 | | |
| | | 217,446 | | | | Unilever NV | | | | | 9,091,248 | | | | | | 1.2 | | |
| | | 57,533 | | | | Other Securities | | | | | 4,894,780 | | | | | | 0.6 | | |
| | | | | | | | | | | | 68,785,345 | | | | | | 8.9 | | |
| | | | | | | Energy: 7.2% | | ||||||||||||
| | | 127,601 | | | | Occidental Petroleum Corp. | | | | | 9,923,530 | | | | | | 1.3 | | |
| | | 167,141 @ | | | | Royal Dutch Shell PLC - Class A ADR | | | | | 9,528,708 | | | | | | 1.2 | | |
| | | 148,745 | | | | Schlumberger Ltd. | | | | | 12,820,332 | | | | | | 1.7 | | |
| | | 229,617 | | | | Total S.A. | | | | | 11,262,958 | | | | | | 1.5 | | |
| Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COMMON STOCK: (continued) | | ||||||||||||||||||
| | | | | | | Energy (continued) | | ||||||||||||
| | | 226,431 | | | | Other Securities | | | | $ | 11,579,225 | | | | | | 1.5 | | |
| | | | | | | | | | | | 55,114,753 | | | | | | 7.2 | | |
| | | | | | | Financials: 20.2% | | ||||||||||||
| | | 343,972 | | | | Admiral Group PLC | | | | | 7,495,209 | | | | | | 1.0 | | |
| | | 12,513,000 | | | | Bank of China Ltd. | | | | | 8,120,703 | | | | | | 1.1 | | |
| | | 205,800 | | | | Blackstone Group LP | | | | | 8,411,046 | | | | | | 1.1 | | |
| | | 1,512,770 | | | | Challenger Financial Services Group Ltd. | | | | | 7,841,598 | | | | | | 1.0 | | |
| | | 8,691,000 | | | | China Construction Bank | | | | | 7,927,548 | | | | | | 1.0 | | |
| | | 2,455,825 | | | | Intesa Sanpaolo S.p.A. | | | | | 8,918,310 | | | | | | 1.2 | | |
| | | 217,237 | | | | JPMorgan Chase & Co. | | | | | 14,719,979 | | | | | | 1.9 | | |
| | | 2,488,271 | | | | Legal & General Group PLC | | | | | 9,729,236 | | | | | | 1.3 | | |
| | | 173,101 | | | | Macquarie Group Ltd. | | | | | 10,845,731 | | | | | | 1.4 | | |
| | | 1,068,299 | | | | Natixis SA | | | | | 7,710,300 | | | | | | 1.0 | | |
| | | 253,600 | | | | NKSJ Holdings, Inc. | | | | | 9,285,877 | | | | | | 1.2 | | |
| | | 136,192 | | | | Prudential Financial, Inc. | | | | | 11,919,524 | | | | | | 1.6 | | |
| | | 2,255,000 | | | | Sumitomo Mitsui Trust Holdings, Inc. | | | | | 10,315,727 | | | | | | 1.3 | | |
| | | 106,679 | | | | Swiss Re Ltd. | | | | | 9,443,519 | | | | | | 1.2 | | |
| | | 258,308 | | | | Wells Fargo & Co. | | | | | 14,527,242 | | | | | | 1.9 | | |
| | | 393,149 | | | | Other Securities | | | | | 8,137,200 | | | | | | 1.0 | | |
| | | | | | | | | | | | 155,348,749 | | | | | | 20.2 | | |
| | | | | | | Health Care: 11.8% | | ||||||||||||
| | | 171,817 | | | | AstraZeneca PLC | | | | | 10,874,273 | | | | | | 1.4 | | |
| | | 241,510 | | | | Bristol-Myers Squibb Co. | | | | | 16,070,076 | | | | | | 2.1 | | |
| | | 99,252 | | | | Gilead Sciences, Inc. | | | | | 11,620,424 | | | | | | 1.5 | | |
| | | 147,732 | | | | Medtronic PLC | | | | | 10,946,941 | | | | | | 1.4 | | |
| | | 156,444 | | | | Novartis AG | | | | | 15,387,904 | | | | | | 2.0 | | |
| | | 50,498 | | | | Roche Holding AG | | | | | 14,159,210 | | | | | | 1.8 | | |
| | | 98,146 | | | | UnitedHealth Group, Inc. | | | | | 11,973,812 | | | | | | 1.6 | | |
| | | | | | | | | | | | 91,032,640 | | | | | | 11.8 | | |
| | | | | | | Industrials: 11.7% | | ||||||||||||
| | | 3,962 | | | | AP Moller - Maersk A/S - Class B | | | | | 7,163,462 | | | | | | 1.0 | | |
| | | 83,623 | | | | Boeing Co. | | | | | 11,600,183 | | | | | | 1.5 | | |
| | | 385,592 | | | | General Electric Co. | | | | | 10,245,179 | | | | | | 1.3 | | |
| | | 498,000 | | | | LIXIL Group Corp. | | | | | 9,878,152 | | | | | | 1.3 | | |
| | | 392,574 | | | | Koninklijke Philips NV | | | | | 10,019,481 | | | | | | 1.3 | | |
| | | 514,900 | | | | Mitsubishi Corp. | | | | | 11,319,566 | | | | | | 1.5 | | |
| | | 98,596 | | | | Siemens AG | | | | | 9,975,117 | | | | | | 1.3 | | |
| | | 68,791 | | | | United Technologies Corp. | | | | | 7,630,986 | | | | | | 1.0 | | |
| | | 3,203,761 | | | | Other Securities | | | | | 11,876,347 | | | | | | 1.5 | | |
| | | | | | | | | | | | 89,708,473 | | | | | | 11.7 | | |
| | | | | | | Information Technology: 10.7% | | ||||||||||||
| | | 189,882 | | | | Apple, Inc. | | | | | 23,815,950 | | | | | | 3.1 | | |
| | | 386,754 | | | | Cisco Systems, Inc. | | | | | 10,620,265 | | | | | | 1.4 | | |
| | | 346,621 | | | | Intel Corp. | | | | | 10,542,478 | | | | | | 1.4 | | |
See Accompanying Notes to Financial Statements
62
Voya Global Value Advantage | SUMMARY PORTFOLIO OF INVESTMENTS |
Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| COMMON STOCK: (continued) | | |||||||||||||||||||||
| | | | | | | Information Technology (continued) | | |||||||||||||||
| | | 174,298 L | | | | Microchip Technology, Inc. | | | | $ | 8,266,082 | | | | | | 1.1 | | | |||
| | | 338,212 | | | | Microsoft Corp. | | | | | 14,932,060 | | | | | | 1.9 | | | |||
| | | 329,951 @ | | | | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | | | | | 7,493,187 | | | | | | 1.0 | | | |||
| | | 461,000 | | | | Other Securities | | | | | 6,301,680 | | | | | | 0.8 | | | |||
| | | | | | | | | | | | 81,971,702 | | | | | | 10.7 | | | |||
| | | | | | | Materials: 5.0% | | |||||||||||||||
| | | 115,337 | | | | BASF SE | | | | | 10,148,863 | | | | | | 1.3 | | | |||
| | | 565,643 | | | | BHP Billiton Ltd. | | | | | 11,538,469 | | | | | | 1.5 | | | |||
| | | 155,907 | | | | Dow Chemical Co. | | | | | 7,977,761 | | | | | | 1.0 | | | |||
| | | 151,629 | | | | Koninklijke DSM NV | | | | | 8,803,632 | | | | | | 1.2 | | | |||
| | | | | | | | | | | | 38,468,725 | | | | | | 5.0 | | | |||
| | | | | | | Telecommunication Services: 4.2% | | |||||||||||||||
| | | 221,044 | | | | AT&T, Inc. | | | | | 7,851,483 | | | | | | 1.0 | | | |||
| | | 4,967,197 | | | | Bezeq Israeli Telecommunication Corp., Ltd. | | | | | 8,459,002 | | | | | | 1.1 | | | |||
| | | 745,000 | | | | China Mobile Ltd. | | | | | 9,531,467 | | | | | | 1.3 | | | |||
| | | 334,253 | | | | Other Securities | | | | | 6,278,665 | | | | | | 0.8 | | | |||
| | | | | | | | | | | | 32,120,617 | | | | | | 4.2 | | | |||
| | | | | | | Utilities: 2.4% | | |||||||||||||||
| | | 344,381 L | | | | Gas Natural SDG S.A. | | | | | 7,819,964 | | | | | | 1.0 | | | |||
| | | 257,715 | | | | Southern Co. | | | | | 10,798,259 | | | | | | 1.4 | | | |||
| | | | | | | | | | | | 18,618,223 | | | | | | 2.4 | | | |||
| | | | | | | Total Common Stock (Cost $749,892,598) | | | | | 738,056,593 | | | | | | 96.0 | | | |||
| PREFERRED STOCK: 1.2% | | |||||||||||||||||||||
| | | | | | | Financials: 0.7% | | |||||||||||||||
| | | 474,660 | | | | Other Securities | | | | | 5,228,878 | | | | | | 0.7 | | | |||
| | | | | | | Utilities: 0.5% | | |||||||||||||||
| | | 1,023,408 | | | | Other Securities | | | | | 3,880,860 | | | | | | 0.5 | | | |||
| | | | | | | Total Preferred Stock (Cost $10,086,647) | | | | | 9,109,738 | | | | | | 1.2 | | | |||
| | | | | | | Total Long-Term Investments (Cost $759,979,245) | | | | | 747,166,331 | | | | | | 97.2 | | | |||
|
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
SHORT-TERM INVESTMENTS: 2.7% | | ||||||||||||||||||
| | | | | | Securities Lending Collateralcc: 1.5% | | ||||||||||||
| | 2,862,620 | | | | Cantor Fitzgerald, Repurchase Agreement dated 06/30/15, 0.15%, due 07/01/15 (Repurchase Amount $2,862,632, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-8.500%, Market Value plus accrued interest $2,919,873, due 07/15/15-05/20/65) | | | | $ | 2,862,620 | | | | | | 0.3 | | |
| | 2,862,620 | | | | Citigroup, Inc., Repurchase Agreement dated 06/30/15, 0.14%, due 07/01/15 (Repurchase Amount $2,862,631, collateralized by various U.S. Government/ U.S. Government Agency Obligations, 0.625%-6.500%, Market Value plus accrued interest $2,919,873, due 11/15/16-07/01/45) | | | | | 2,862,620 | | | | | | 0.4 | | |
| | 2,862,620 | | | | Daiwa Capital Markets, Repurchase Agreement dated 06/30/15, 0.18%, due 07/01/15 (Repurchase Amount $2,862,634, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.250%, Market Value plus accrued interest $2,919,858, due 11/15/15-03/01/48) | | | | | 2,862,620 | | | | | | 0.3 | | |
| | 2,108,249 | | | | Royal Bank of Canada, Repurchase Agreement dated 06/30/15, 0.10%, due 07/01/15 (Repurchase Amount $2,108,255, collateralized by various U.S. Government Agency Obligations, 2.375%-6.500%, Market Value plus accrued interest $2,150,414, due 03/01/19-02/20/65) | | | | | 2,108,249 | | | | | | 0.3 | | |
See Accompanying Notes to Financial Statements
63
Voya Global Value Advantage | SUMMARY PORTFOLIO OF INVESTMENTS |
Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
SHORT-TERM INVESTMENTS: (continued) | | ||||||||||||||||||
| | | | | | Securities Lending Collateralcc (continued) | | ||||||||||||
| | 1,357,008 | | | | State of Wisconsin Investment Board, Repurchase Agreement dated 06/30/15, 0.20%, due 07/01/15 (Repurchase Amount $1,357,015, collateralized by various U.S. Government Securities, 0.125%-2.500%, Market Value plus accrued interest $1,384,668, due 01/15/17-01/15/29) | | | | $ | 1,357,008 | | | | | | 0.2 | | |
| | | | | | | | | | | 12,053,117 | | | | | | 1.5 | | |
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| | | | | | Mutual Funds: 1.2% | | |||||||||||||||
| | 8,999,000 | | | | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† (Cost $8,999,000) | | | | $ | 8,999,000 | | | | | | 1.2 | | | |||
| | | | | | Total Short-Term Investments (Cost $21,052,117) | | | | | 21,052,117 | | | | | | 2.7 | | | |||
| | | | | | Total Investments in Securities (Cost $781,031,362) | | | | $ | 768,218,448 | | | | | | 99.9 | | | |||
| | | | | | Assets in Excess of Other Liabilities | | | | | 1,103,790 | | | | | | 0.1 | | | |||
| | | | | | Net Assets | | | | $ | 769,322,238 | | | | | | 100.0 | | | |||
|
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2015.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
††
Rate shown is the 7-day yield as of June 30, 2015.
@
Non-income producing security.
ADR
American Depositary Receipt
cc
Represents securities purchased with cash collateral received for securities on loan.
L
Loaned security, a portion or all of the security is on loan at June 30, 2015.
Cost for federal income tax purposes is $782,655,721.
Net unrealized depreciation consists of:
| Gross Unrealized Appreciation | | | | $ | 24,265,898 | | | |
| Gross Unrealized Depreciation | | | | | (38,703,171) | | | |
| Net Unrealized Depreciation | | | | $ | (14,437,273) | | | |
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2015 in valuing the assets and liabilities:
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs# (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||
Asset Table | | | | | | ||||||||||||||||||||
Investments, at fair value | | | | | | ||||||||||||||||||||
Common Stock | | | | | | ||||||||||||||||||||
Consumer Discretionary | | | | $ | 71,571,916 | | | | | $ | 35,315,450 | | | | | $ | — | | | | | $ | 106,887,366 | | |
Consumer Staples | | | | | 50,694,015 | | | | | | 18,091,330 | | | | | | — | | | | | | 68,785,345 | | |
Energy | | | | | 39,430,001 | | | | | | 15,684,752 | | | | | | — | | | | | | 55,114,753 | | |
Financials | | | | | 57,714,991 | | | | | | 97,633,758 | | | | | | — | | | | | | 155,348,749 | | |
Health Care | | | | | 50,611,253 | | | | | | 40,421,387 | | | | | | — | | | | | | 91,032,640 | | |
Industrials | | | | | 36,520,471 | | | | | | 53,188,002 | | | | | | — | | | | | | 89,708,473 | | |
Information Technology | | | | | 75,670,022 | | | | | | 6,301,680 | | | | | | — | | | | | | 81,971,702 | | |
See Accompanying Notes to Financial Statements
64
Voya Global Value Advantage | SUMMARY PORTFOLIO OF INVESTMENTS |
Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs# (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Materials | | | | | 7,977,761 | | | | | | 30,490,964 | | | | | | — | | | | | | 38,468,725 | | | ||||
Telecommunication Services | | | | | 7,851,483 | | | | | | 24,269,134 | | | | | | — | | | | | | 32,120,617 | | | ||||
Utilities | | | | | 10,798,259 | | | | | | 7,819,964 | | | | | | — | | | | | | 18,618,223 | | | ||||
Total Common Stock | | | | | 408,840,172 | | | | | | 329,216,421 | | | | | | — | | | | | | 738,056,593 | | | ||||
Preferred Stock | | | | | 9,109,738 | | | | | | — | | | | | | — | | | | | | 9,109,738 | | | ||||
Short-Term Investments | | | | | 8,999,000 | | | | | | 12,053,117 | | | | | | — | | | | | | 21,052,117 | | | ||||
Total Investments, at fair value | | | | $ | 426,948,910 | | | | | $ | 341,269,538 | | | | | $ | — | | | | | $ | 768,218,448 | | | ||||
|
^
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
#
The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments.
See Accompanying Notes to Financial Statements
65
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Growth and Income Portfolio | as of June 30, 2015 (Unaudited) |
| Sector Diversification as of June 30, 2015 (as a percentage of net assets) | | |||
| | | | | |
| Information Technology | | | 17.8% | |
| Health Care | | | 15.2% | |
| Financials | | | 15.1% | |
| Consumer Discretionary | | | 13.8% | |
| Industrials | | | 10.5% | |
| Consumer Staples | | | 8.7% | |
| Energy | | | 8.4% | |
| Materials | | | 3.4% | |
| Utilities | | | 2.5% | |
| Telecommunication Services | | | 1.8% | |
| Assets in Excess of Other Liabilities* | | | 2.8% | |
| Net Assets | | | 100.0% | |
| * Includes short-term investments. | | |||
| Portfolio holdings are subject to change daily. | |
Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
COMMON STOCK: 97.2% | | ||||||||||||||||||
| | | | | | Consumer Discretionary: 13.8% | | ||||||||||||
| | 1,715,932 | | | | Coach, Inc. | | | | $ | 59,388,407 | | | | | | 1.5 | | |
| | 1,064,211 | | | | Comcast Corp. - Class A | | | | | 64,001,650 | | | | | | 1.6 | | |
| | 643,817 @ | | | | Delphi Automotive PLC | | | | | 54,782,389 | | | | | | 1.4 | | |
| | 689,342 @ | | | | Dish Network Corp. - Class A | | | | | 46,675,347 | | | | | | 1.2 | | |
| | 562,034 | | | | Home Depot, Inc. | | | | | 62,458,838 | | | | | | 1.5 | | |
| | 936,015 | | | | Kohl’s Corp. | | | | | 58,603,899 | | | | | | 1.4 | | |
| | 416,369 | | | | Nike, Inc. | | | | | 44,976,179 | | | | | | 1.1 | | |
| | 841,321 | | | | Viacom - Class B | | | | | 54,382,989 | | | | | | 1.3 | | |
| | 690,830 | | | | Walt Disney Co. | | | | | 78,851,336 | | | | | | 1.9 | | |
| | 1,376,161 | | | | Other Securities | | | | | 37,913,236 | | | | | | 0.9 | | |
| | | | | | | | | | | 562,034,270 | | | | | | 13.8 | | |
| | | | | | Consumer Staples: 8.7% | | ||||||||||||
| | 1,026,820 | | | | Coca-Cola Co. | | | | | 40,282,148 | | | | | | 1.0 | | |
| | 1,351,395 | | | | ConAgra Foods, Inc. | | | | | 59,082,989 | | | | | | 1.5 | | |
| | 759,128 | | | | CVS Health | | | | | 79,617,345 | | | | | | 2.0 | | |
| | 484,638 | | | | Kimberly-Clark Corp. | | | | | 51,357,089 | | | | | | 1.3 | | |
| | 475,070 | | | | Kraft Foods Group, Inc. | | | | | 40,447,460 | | | | | | 1.0 | | |
| | 635,281 | | | | Philip Morris International, Inc. | | | | | 50,930,478 | | | | | | 1.2 | | |
| | 403,252 | | | | Other Securities | | | | | 29,397,071 | | | | | | 0.7 | | |
| | | | | | | | | | | 351,114,580 | | | | | | 8.7 | | |
| | | | | | Energy: 8.4% | | ||||||||||||
| | 621,505 | | | | Anadarko Petroleum Corp. | | | | | 48,514,680 | | | | | | 1.2 | | |
| | 593,197 | | | | EOG Resources, Inc. | | | | | 51,934,397 | | | | | | 1.3 | | |
| | 804,660 | | | | Occidental Petroleum Corp. | | | | | 62,578,408 | | | | | | 1.5 | | |
| | 885,287 @ | | | | Royal Dutch Shell PLC - Class A ADR | | | | | 50,470,212 | | | | | | 1.3 | | |
Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
COMMON STOCK: (continued) | | ||||||||||||||||||
| | | | | | Energy (continued) | | ||||||||||||
| | 950,297 | | | | Schlumberger Ltd. | | | | $ | 81,906,099 | | | | | | 2.0 | | |
| | 716,251 | | | | Valero Energy Corp. | | | | | 44,837,313 | | | | | | 1.1 | | |
| | | | | | | | | | | 340,241,109 | | | | | | 8.4 | | |
| | | | | | Financials: 15.1% | | ||||||||||||
| | 886,917 | | | | Arthur J. Gallagher & Co. | | | | | 41,951,174 | | | | | | 1.0 | | |
| | 1,034,946 | | | | Blackstone Group LP | | | | | 42,298,243 | | | | | | 1.0 | | |
| | 1,152,656 | | | | Citigroup, Inc. | | | | | 63,672,717 | | | | | | 1.6 | | |
| | 913,071 | | | | Discover Financial Services | | | | | 52,611,151 | | | | | | 1.3 | | |
| | 1,100,532 | | | | Gaming and Leisure Properties, Inc. | | | | | 40,345,503 | | | | | | 1.0 | | |
| | 1,464,228 | | | | Invesco Ltd. | | | | | 54,893,908 | | | | | | 1.4 | | |
| | 1,123,015 | | | | JPMorgan Chase & Co. | | | | | 76,095,496 | | | | | | 1.9 | | |
| | 666,385 | | | | Prudential Financial, Inc. | | | | | 58,322,015 | | | | | | 1.4 | | |
| | 1,687,865 | | | | Wells Fargo & Co. | | | | | 94,925,528 | | | | | | 2.3 | | |
| | 1,560,429 @ | | | | XL Group PLC | | | | | 58,047,959 | | | | | | 1.4 | | |
| | 1,461,850 | | | | Other Securities | | | | | 31,532,105 | | | | | | 0.8 | | |
| | | | | | | | | | | 614,695,799 | | | | | | 15.1 | | |
| | | | | | Health Care: 15.2% | | ||||||||||||
| | 461,107 | | | | Amgen, Inc. | | | | | 70,789,146 | | | | | | 1.8 | | |
| | 1,167,239 | | | | Bristol-Myers Squibb Co. | | | | | 77,668,083 | | | | | | 1.9 | | |
| | 786,883 | | | | Gilead Sciences, Inc. | | | | | 92,128,262 | | | | | | 2.3 | | |
| | 963,630 | | | | Medtronic PLC | | | | | 71,404,983 | | | | | | 1.8 | | |
| | 1,949,017 | | | | Merck & Co., Inc. | | | | | 110,957,538 | | | | | | 2.7 | | |
| | 3,421,213 | | | | Pfizer, Inc. | | | | | 114,713,272 | | | | | | 2.8 | | |
| | 643,615 | | | | UnitedHealth Group, Inc. | | | | | 78,521,030 | | | | | | 1.9 | | |
| | | | | | | | | | | 616,182,314 | | | | | | 15.2 | | |
| | | | | | Industrials: 10.5% | | ||||||||||||
| | 480,815 | | | | Boeing Co. | | | | | 66,698,657 | | | | | | 1.6 | | |
| | 548,052 | | | | Deere & Co. | | | | | 53,188,446 | | | | | | 1.3 | | |
| | 392,598 | | | | General Dynamics Corp. | | | | | 55,627,210 | | | | | | 1.4 | | |
| | 3,276,517 | | | | General Electric Co. | | | | | 87,057,057 | | | | | | 2.1 | | |
| | 181,716 @ | | | | TransDigm Group, Inc. | | | | | 40,826,134 | | | | | | 1.0 | | |
| | 663,021 | | | | Union Pacific Corp. | | | | | 63,232,313 | | | | | | 1.6 | | |
| | 536,381 | | | | United Technologies Corp. | | | | | 59,500,744 | | | | | | 1.5 | | |
| | | | | | | | | | | 426,130,561 | | | | | | 10.5 | | |
| | | | | | Information Technology: 17.8% | | ||||||||||||
| | 1,644,177 | | | | Apple, Inc. | | | | | 206,220,900 | | | | | | 5.1 | | |
| | 2,048,069 | | | | Applied Materials, Inc. | | | | | 39,363,886 | | | | | | 1.0 | | |
| | 690,329 | | | | Automatic Data Processing, Inc. | | | | | 55,385,096 | | | | | | 1.4 | | |
| | 2,579,338 | | | | Cisco Systems, Inc. | | | | | 70,828,621 | | | | | | 1.7 | | |
| | 1,049,436 | | | | Fidelity National Information Services, Inc. | | | | | 64,855,145 | | | | | | 1.6 | | |
| | 2,374,558 | | | | Intel Corp. | | | | | 72,222,182 | | | | | | 1.8 | | |
| | 859,692 | | | | Microchip Technology, Inc. | | | | | 40,770,893 | | | | | | 1.0 | | |
| | 2,761,860 | | | | Microsoft Corp. | | | | | 121,936,119 | | | | | | 3.0 | | |
See Accompanying Notes to Financial Statements
66
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Growth and Income Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
COMMON STOCK: (continued) | | |||||||||||||||||||||
| | | | | | Information Technology (continued) | | |||||||||||||||
| | 794,058 @ | | | | TE Connectivity Ltd. | | | | $ | 51,057,929 | | | | | | 1.2 | | | |||
| | | | | | | | | | | 722,640,771 | | | | | | 17.8 | | | |||
| | | | | | Materials: 3.4% | | |||||||||||||||
| | 861,563 | | | | Dow Chemical Co. | | | | | 44,086,179 | | | | | | 1.1 | | | |||
| | 1,189,997 | | | | Mosaic Co. | | | | | 55,751,359 | | | | | | 1.4 | | | |||
| | 827,891 | | | | Other Securities | | | | | 39,399,333 | | | | | | 0.9 | | | |||
| | | | | | | | | | | 139,236,871 | | | | | | 3.4 | | | |||
| | | | | | Telecommunication Services: 1.8% | | |||||||||||||||
| | 2,027,961 | | | | AT&T, Inc. | | | | | 72,033,175 | | | | | | 1.8 | | | |||
| | | | | | Utilities: 2.5% | | |||||||||||||||
| | 545,739 | | | | DTE Energy Co. | | | | | 40,733,959 | | | | | | 1.0 | | | |||
| | 1,455,537 | | | | Southern Co. | | | | | 60,987,000 | | | | | | 1.5 | | | |||
| | | | | | | | | | | 101,720,959 | | | | | | 2.5 | | | |||
| | | | | | Total Common Stock (Cost $3,129,688,859) | | | | | 3,946,030,409 | | | | | | 97.2 | | | |||
|
Principal Amount† | | | Value | | | Percentage of Net Assets | | |||||||||||||||
CORPORATE BONDS/NOTES: —% | | |||||||||||||||||||||
| | | | | | Utilities: —% | | |||||||||||||||
| | 30,000,000 | | | | Other Securities | | | | | — | | | | | | — | | | |||
| | | | | | Total Corporate Bonds/Notes (Cost $ —) | | | | | — | | | | | | — | | | |||
| | | | | | Total Long-Term Investments (Cost $3,129,688,859) | | | | | 3,946,030,409 | | | | | | 97.2 | | | |||
|
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
SHORT-TERM INVESTMENTS: 0.4% | | |||||||||||||||||||||
| | | | | | Mutual Funds: 0.4% | | |||||||||||||||
| | 17,960,186 | | | | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† (Cost $17,960,186) | | | | $ | 17,960,186 | | | | | | 0.4 | | | |||
| | | | | | Total Short-Term Investments (Cost $17,960,186) | | | | | 17,960,186 | | | | | | 0.4 | | | |||
| | | | | | Total Investments in Securities (Cost $3,147,649,045) | | | | $ | 3,963,990,595 | | | | | | 97.6 | | | |||
| | | | | | Assets in Excess of Other Liabilities | | | | | 97,462,999 | | | | | | 2.4 | | | |||
| | | | | | Net Assets | | | | $ | 4,061,453,594 | | | | | | 100.0 | | | |||
|
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2015.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
††
Rate shown is the 7-day yield as of June 30, 2015.
@
Non-income producing security.
ADR
American Depositary Receipt
Cost for federal income tax purposes is $3,165,057,907.
Net unrealized appreciation consists of:
| Gross Unrealized Appreciation | | | | $ | 895,241,377 | | | |
| Gross Unrealized Depreciation | | | | | (96,308,689) | | | |
| Net Unrealized Appreciation | | | | $ | 798,932,688 | | | |
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2015 in valuing the assets and liabilities:
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Asset Table | | | | | | ||||||||||||||||||||||||
Investments, at fair value | | | | | | ||||||||||||||||||||||||
Common Stock* | | | | $ | 3,946,030,409 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,946,030,409 | | | ||||
Corporate Bonds/Notes | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | ||||
Short-Term Investments | | | | | 17,960,186 | | | | | | — | | | | | | — | | | | | | 17,960,186 | | | ||||
Total Investments, at fair value | | | | $ | 3,963,990,595 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,963,990,595 | | | ||||
|
See Accompanying Notes to Financial Statements
67
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Growth and Income Portfolio | as of June 30, 2015 (Unaudited) (continued) |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2015 was as follows:
| | | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Derivatives not accounted for as hedging instruments | | | Futures | |
Equity contracts | | | $963,331 | |
Total | | | $963,331 | |
|
| | | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Derivatives not accounted for as hedging instruments | | | Futures | |
Equity contracts | | | $(726,481) | |
Total | | | $(726,481) | |
|
See Accompanying Notes to Financial Statements
68
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) |
| Investment Type Allocation as of June 30, 2015 (as a percentage of net assets) | | |||
| | | | | |
| U.S. Government Agency Obligations | | | 34.6% | |
| Corporate Bonds/Notes | | | 30.9% | |
| Mutual Funds | | | 12.6% | |
| Collateralized Mortgage Obligations | | | 10.5% | |
| U.S. Treasury Obligations | | | 10.2% | |
| Asset-Backed Securities | | | 9.2% | |
| Foreign Government Bonds | | | 0.5% | |
| Preferred Stock | | | 0.0% | |
| Liabilities in Excess of Other Assets* | | | (8.5)% | |
| Net Assets | | | 100.0% | |
| * Includes short-term investments. | | |||
| Portfolio holdings are subject to change daily. | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: 30.9% | | ||||||||||||||||||
| | | | | | | Basic Materials: 1.9% | | ||||||||||||
| | | 2,587,000 # | | | | Anglo American Capital PLC, 2.625%, 09/27/17 | | | | $ | 2,602,157 | | | | | | 0.1 | | |
| | | 1,135,000# | | | | FMG Resources August 2006 Pty Ltd., 6.875%, 04/01/22 | | | | | 800,175 | | | | | | 0.0 | | |
| | | 4,300,000 | | | | Freeport-McMoRan, Inc., 4.000%, 11/14/21 | | | | | 4,223,752 | | | | | | 0.1 | | |
| | | 10,768,000 | | | | Freeport-McMoRan Copper & Gold, Inc., 2.375%-3.550%, 03/15/18-03/01/22 | | | | | 10,562,448 | | | | | | 0.2 | | |
| | | 4,500,000 # | | | | Georgia-Pacific LLC, 2.539%, 11/15/19 | | | | | 4,496,729 | | | | | | 0.1 | | |
| | | 4,490,000 # | | | | Georgia-Pacific LLC, 3.600%, 03/01/25 | | | | | 4,448,144 | | | | | | 0.1 | | |
| | | 5,349,000 # | | | | Glencore Funding LLC, 2.875%, 04/16/20 | | | | | 5,244,186 | | | | | | 0.1 | | |
| | | 2,368,000 # | | | | Glencore Funding LLC, 4.125%, 05/30/23 | | | | | 2,291,765 | | | | | | 0.1 | | |
| | | 3,517,000 # | | | | Xstrata Finance Canada Ltd., 4.250%, 10/25/22 | | | | | 3,457,140 | | | | | | 0.1 | | |
| | | 1,733,000 # | | | | Xstrata Finance Canada Ltd., 4.950%, 11/15/21 | | | | | 1,820,444 | | | | | | 0.0 | | |
| | | 47,141,000 | | | | Other Securities | | | | | 47,259,398 | | | | | | 1.0 | | |
| | | | | | | | | | | | 87,206,338 | | | | | | 1.9 | | |
| | | | | | | Communications: 3.6% | | ||||||||||||
| | | 6,026,000 # | | | | Alibaba Group Holding Ltd., 3.600%, 11/28/24 | | | | | 5,813,216 | | | | | | 0.1 | | |
| | | 14,261,000 L | | | | AT&T, Inc., 3.400%-5.350%, 03/11/24-06/15/44 | | | | | 13,837,068 | | | | | | 0.3 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Communications (continued) | | ||||||||||||
| | | 6,316,000 # | | | | Cox Communications, Inc., 3.850%, 02/01/25 | | | | $ | 6,072,897 | | | | | | 0.1 | | |
| | | 2,350,000 # | | | | Sable International Finance Ltd., 8.750%, 02/01/20 | | | | | 2,526,250 | | | | | | 0.1 | | |
| | | 2,500,000 # | | | | Sirius XM Radio, Inc., 5.875%, 10/01/20 | | | | | 2,568,750 | | | | | | 0.1 | | |
| | | 17,666,000 | | | | Time Warner Cable, Inc., 4.050%-6.500%, 12/15/23-12/15/43 | | | | | 18,032,797 | | | | | | 0.4 | | |
| | | 12,707,000 | | | | Verizon Communications, Inc., 5.150%, 09/15/23 | | | | | 13,946,009 | | | | | | 0.3 | | |
| | | 25,545,000 | | | | Verizon Communications, Inc., 3.000%-6.550%, 11/01/21-08/21/54 | | | | | 25,168,319 | | | | | | 0.6 | | |
| | | 73,425,000 | | | | Other Securities | | | | | 72,891,737 | | | | | | 1.6 | | |
| | | | | | | | | | | | 160,857,043 | | | | | | 3.6 | | |
| | | | | | | Consumer, Cyclical: 1.1% | | ||||||||||||
| | | 2,105,000 # | | | | Carlson Wagonlit BV, 6.875%, 06/15/19 | | | | | 2,223,932 | | | | | | 0.1 | | |
| | | 46,072,000 | | | | Other Securities | | | | | 45,690,969 | | | | | | 1.0 | | |
| | | | | | | | | | | | 47,914,901 | | | | | | 1.1 | | |
| | | | | | | Consumer, Non-cyclical: 6.2% | | ||||||||||||
| | | 14,330,000 | | | | AbbVie, Inc., 2.500%-4.700%, 05/14/20-05/14/45 | | | | | 14,187,064 | | | | | | 0.3 | | |
| | | 22,553,000 | | | | Actavis Funding SCS, 3.450%-4.850%, 03/15/22-06/15/44 | | | | | 22,123,040 | | | | | | 0.5 | | |
| | | 3,650,000 # | | | | BAT International Finance PLC, 3.500%, 06/15/22 | | | | | 3,698,220 | | | | | | 0.1 | | |
| | | 2,606,000 # | | | | Baxalta, Inc., 3.600%, 06/23/22 | | | | | 2,607,436 | | | | | | 0.1 | | |
| | | 6,552,000 # | | | | Baxalta, Inc., 4.000%, 06/23/25 | | | | | 6,522,418 | | | | | | 0.1 | | |
| | | 2,494,000 # | | | | Bayer US Finance LLC, 3.000%, 10/08/21 | | | | | 2,511,488 | | | | | | 0.0 | | |
| | | 3,146,000 | | | | Becton Dickinson & Co., 3.734%, 12/15/24 | | | | | 3,136,924 | | | | | | 0.0 | | |
| | | 7,948,000 | | | | Becton Dickinson and Co., 1.800%-2.675%, 12/15/17-12/15/19 | | | | | 7,950,686 | | | | | | 0.2 | | |
| | | 3,000,000 | | | | HJ Heinz Co., 4.250%, 10/15/20 | | | | | 3,063,750 | | | | | | 0.1 | | |
| | | 5,210,000 # | | | | HJ Heinz Co., 2.800%, 07/02/20 | | | | | 5,215,351 | | | | | | 0.1 | | |
| | | 9,070,000 # | | | | HJ Heinz Co., 3.950%, 07/15/25 | | | | | 9,139,476 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
69
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | Consumer, Non-cyclical (continued) | | ||||||||||||
| | 3,802,000 # | | | | JM Smucker Co, 3.500%, 03/15/25 | | | | $ | 3,720,569 | | | | | | 0.1 | | |
| | 16,976,000 | | | | Laboratory Corp. of America Holdings, 2.200%-3.200%, 08/23/17-02/01/22 | | | | | 16,893,203 | | | | | | 0.4 | | |
| | 5,843,000 # | | | | Medtronic, Inc., 3.150%, 03/15/22 | | | | | 5,868,955 | | | | | | 0.1 | | |
| | 6,119,000 # | | | | Medtronic, Inc., 3.500%, 03/15/25 | | | | | 6,106,126 | | | | | | 0.1 | | |
| | 4,439,000 # | | | | Medtronic, Inc., 4.375%, 03/15/35 | | | | | 4,400,065 | | | | | | 0.1 | | |
| | 3,387,000 # | | | | Medtronic, Inc., 4.625%, 03/15/45 | | | | | 3,424,152 | | | | | | 0.1 | | |
| | 10,070,000 | �� | | | Merck & Co., Inc., 2.350%, 02/10/22 | | | | | 9,739,261 | | | | | | 0.2 | | |
| | 8,260,000 | | | | Merck & Co., Inc., 1.850%-2.750%, 02/10/20-02/10/25 | | | | | 8,047,810 | | | | | | 0.2 | | |
| | 21,500,000 # | | | | President and Fellows of Harvard College, 6.500%, 01/15/39 | | | | | 29,515,071 | | | | | | 0.6 | | |
| | 7,076,000 | | | | Synchrony Financial, 3.000%-3.750%, 08/15/19-08/15/21 | | | | | 7,129,756 | | | | | | 0.2 | | |
| | 4,000,000 # | | | | Valeant Pharmaceuticals International, 5.625%, 12/01/21 | | | | | 4,120,400 | | | | | | 0.1 | | |
| | 3,222,000 # | | | | WM Wrigley Jr Co., 2.400%, 10/21/18 | | | | | 3,268,397 | | | | | | 0.1 | | |
| | 97,437,000 | | | | Other Securities | | | | | 97,283,080 | | | | | | 2.2 | | |
| | | | | | | | | | | 279,672,698 | | | | | | 6.2 | | |
| | | | | | Diversified: 0.1% | | ||||||||||||
| | 5,460,000 | | | | Other Securities | | | | | 5,396,069 | | | | | | 0.1 | | |
| | | | | | Energy: 3.7% | | ||||||||||||
| | 3,700,000 # | | | | Columbia Pipeline Group, Inc., 3.300%, 06/01/20 | | | | | 3,715,318 | | | | | | 0.1 | | |
| | 3,700,000 # | | | | Columbia Pipeline Group, Inc., 4.500%, 06/01/25 | | | | | 3,651,689 | | | | | | 0.1 | | |
| | 4,760,000 # | | | | Enable Midstream Partners L.P., 3.900%, 05/15/24 | | | | | 4,422,511 | | | | | | 0.1 | | |
| | 159,205,000 | | | | Other Securities(a) | | | | | 154,149,963 | | | | | | 3.4 | | |
| | | | | | | | | | | 165,939,481 | | | | | | 3.7 | | |
| | | | | | Financial: 10.4% | | ||||||||||||
| | 12,060,000 | | | | Air Lease Corp., 3.750%-4.250%, 04/01/21-09/15/24 | | | | | 12,070,188 | | | | | | 0.3 | | |
| | 30,315,000 | | | | Bank of America Corp., 3.950%-5.000%, 01/22/24-04/21/45 | | | | | 30,298,428 | | | | | | 0.7 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Financial (continued) | | ||||||||||||
| | | 5,493,000 # | | | | Barclays Bank PLC, 6.050%, 12/04/17 | | | | $ | 5,982,294 | | | | | | 0.1 | | |
| | | 5,766,000 # | | | | BPCE SA, 5.150%, 07/21/24 | | | | | 5,851,043 | | | | | | 0.1 | | |
| | | 21,638,000 | | | | Citigroup, Inc., 1.800%-6.675%, 02/05/18-09/13/43 | | | | | 22,783,005 | | | | | | 0.5 | | |
| | | 12,047,000 | | | | Citizens Bank NA/Providence RI, 2.450%, 12/04/19 | | | | | 11,971,393 | | | | | | 0.3 | | |
| | | 1,778,000 # | | | | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | | | | | 2,260,283 | | | | | | 0.0 | | |
| | | 7,376,000 # | | | | Credit Agricole SA, 4.375%, 03/17/25 | | | | | 7,080,370 | | | | | | 0.1 | | |
| | | 13,581,000 # | | | | Credit Suisse AG, 6.500%, 08/08/23 | | | | | 14,886,283 | | | | | | 0.3 | | |
| | | 5,029,000 # | | | | Credit Suisse Group Funding Guernsey Ltd., 3.750%, 03/26/25 | | | | | 4,843,651 | | | | | | 0.1 | | |
| | | 8,150,000 | | | | Credit Suisse/New York NY, 1.750%, 01/29/18 | �� | | | | 8,117,547 | | | | | | 0.2 | | |
| | | 11,823,000 | | | | Deutsche Bank AG/London, 1.875%, 02/13/18 | | | | | 11,788,678 | | | | | | 0.3 | | |
| | | 4,483,000 # | | | | Five Corners Funding Trust, 4.419%, 11/15/23 | | | | | 4,632,737 | | | | | | 0.1 | | |
| | | 10,500,000 | | | | General Electric Capital Corp., 6.250%-7.125%, 12/15/49 | | | | | 11,995,500 | | | | | | 0.3 | | |
| | | 23,745,000 | | | | Goldman Sachs Group, Inc., 2.600%-6.750%, 07/19/ 18-05/22/45 | | | | | 24,815,604 | | | | | | 0.5 | | |
| | | 5,994,000 # | | | | HBOS PLC, 6.750%, 05/21/18 | | | | | 6,657,560 | | | | | | 0.1 | | |
| | | 2,300,000 # | | | | International Lease Finance Corp., 6.750%, 09/01/16 | | | | | 2,423,625 | | | | | | 0.0 | | |
| | | 3,437,000 # | | | | International Lease Finance Corp., 7.125%, 09/01/18 | | | | | 3,840,848 | | | | | | 0.1 | | |
| | | 22,790,000 | | | | JPMorgan Chase & Co., 3.875%-6.125%, 09/10/24-12/29/49 | | | | | 22,615,599 | | | | | | 0.5 | | |
| | | 3,607,000 # | | | | Mizuho Bank Ltd., 3.200%, 03/26/25 | | | | | 3,540,137 | | | | | | 0.1 | | |
| | | 11,494,000 | | | | Morgan Stanley, 3.875%, 04/29/24 | | | | | 11,613,101 | | | | | | 0.2 | | |
| | | 13,778,000 | | | | Morgan Stanley, 2.800%-4.300%, 06/16/20-01/27/45 | | | | | 13,423,943 | | | | | | 0.3 | | |
See Accompanying Notes to Financial Statements
70
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | Financial (continued) | | ||||||||||||
| | 3,455,000 # | | | | Nordea Bank AB, 6.125%, 12/29/49 | | | | $ | 3,419,369 | | | | | | 0.1 | | |
| | 2,757,000 # | | | | RBS Citizens Financial Group, Inc., 4.150%, 09/28/ 22 | | | | | 2,816,413 | | | | | | 0.1 | | |
| | 7,787,000 | | | | Santander Bank NA, 2.000%, 01/12/18 | | | | | 7,787,047 | | | | | | 0.2 | | |
| | 4,370,000 # | | | | Scentre Group Trust 1 / Scentre Group Trust 2, 3.250%, 10/28/25 | | | | | 4,168,040 | | | | | | 0.1 | | |
| | 3,698,000 # | | | | Scentre Group Trust 1 / Scentre Group Trust 2, 3.500%, 02/12/25 | | | | | 3,631,155 | | | | | | 0.1 | | |
| | 4,487,000 # | | | | Societe Generale SA, 4.250%, 04/14/25 | | | | | 4,220,961 | | | | | | 0.1 | | |
| | 3,787,000 | | | | Synchrony Financial, 2.700%, 02/03/20 | | | | | 3,741,715 | | | | | | 0.1 | | |
| | 4,072,000 # | | | | WEA Finance LLC / Westfield UK & Europe Finance PLC, 2.700%, 09/17/19 | | | | | 4,078,849 | | | | | | 0.1 | | |
| | 5,719,000 # | | | | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | | | | | 5,654,999 | | | | | | 0.1 | | |
| | 21,713,000 | | | | Wells Fargo & Co., 2.150%-5.900%, 01/30/20-12/29/49 | | | | | 21,834,983 | | | | | | 0.5 | | |
| | 163,658,400 | | | | Other Securities | | | | | 165,275,078 | | | | | | 3.7 | | |
| | | | | | | | | | | 470,120,426 | | | | | | 10.4 | | |
| | | | | | Industrial: 1.0% | | ||||||||||||
| | 4,853,000 # | | | | AP Moeller - Maersk A/S, 2.550%, 09/22/19 | | | | | 4,887,481 | | | | | | 0.1 | | |
| | 3,940,000 # | | | | Siemens Financieringsmaatschappij NV, 3.250%, 05/27/25 | | | | | 3,872,598 | | | | | | 0.1 | | |
| | 36,483,000 | | | | Other Securities | | | | | 36,307,597 | | | | | | 0.8 | | |
| | | | | | | | | | | 45,067,676 | | | | | | 1.0 | | |
| | | | | | Technology: 1.6% | | ||||||||||||
| | 12,040,000 | | | | Apple, Inc., 1.550%, 02/07/20 | | | | | 11,792,614 | | | | | | 0.3 | | |
| | 7,590,000 | | | | Apple, Inc., 2.150%-2.500%, 02/09/22-02/09/25 | | | | | 7,218,732 | | | | | | 0.1 | | |
| | 14,506,000 | | | | Oracle Corp., 2.950%-4.125%, 07/15/23-05/15/45 | | | | | 14,089,513 | | | | | | 0.3 | | |
| | 3,690,000 # | | | | Seagate HDD Cayman, 4.875%, 06/01/27 | | | | | 3,588,868 | | | | | | 0.1 | | |
| | 35,898,000 | | | | Other Securities | | | | | 35,337,816 | | | | | | 0.8 | | |
| | | | | | | | | | | 72,027,543 | | | | | | 1.6 | | |
| | | | | | Utilities: 1.3% | | ||||||||||||
| | 4,390,000 # | | | | Calpine Corp., 6.000%, 01/15/22 | | | | | 4,664,375 | | | | | | 0.1 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| CORPORATE BONDS/NOTES: (continued) | | ||||||||||||||||||
| | | | | | | Utilities (continued) | | ||||||||||||
| | | 2,192,000 # | | | | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | | | | $ | 2,540,309 | | | | | | 0.1 | | |
| | | 48,551,000 | | | | Other Securities | | | | | 49,845,063 | | | | | | 1.1 | | |
| | | | | | | | | | | | 57,049,747 | | | | | | 1.3 | | |
| | | | | | | Total Corporate Bonds/Notes (Cost $1,388,293,218) | | | | | 1,391,251,922 | | | | | | 30.9 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS: 10.5% | | ||||||||||||||||||
| | | 11,021,907 | | | | Alternative Loan Trust 2005-10CB, 0.687%, 05/25/35 | | | | | 9,323,243 | | | | | | 0.2 | | |
| | | 5,054,434 | | | | Alternative Loan Trust 2005-6CB, 5.250%, 04/25/35 | | | | | 4,735,131 | | | | | | 0.1 | | |
| | | 3,330,348 | | | | Alternative Loan Trust 2006-18CB A11, 0.687%, 07/25/36 | | | | | 2,374,948 | | | | | | 0.1 | | |
| | | 3,315,000 # | | | | American General Mortgage Loan Trust, 5.650%, 03/25/58 | | | | | 3,383,327 | | | | | | 0.1 | | |
| | | 4,760,000 # | | | | BAMLL Re-REMIC Trust 2015-FRR11, 1.903%, 09/27/44 | | | | | 4,348,741 | | | | | | 0.1 | | |
| | | 3,050,000 | | | | Banc of America Commercial Mortgage Trust 2007-3 AJ, 5.749%, 06/10/49 | | | | | 3,167,021 | | | | | | 0.1 | | |
| | | 4,190,000 | | | | Banc of America Commercial Mortgage Trust 2007-3 B, 5.749%, 06/10/49 | | | | | 4,261,779 | | | | | | 0.1 | | |
| | | 2,510,000 | | | | Banc of America Commercial Mortgage Trust 2007-4 AJ, 6.003%, 02/10/51 | | | | | 2,617,226 | | | | | | 0.1 | | |
| | | 5,040,243 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc. 2004-4 G, 5.582%, 07/10/42 | | | | | 5,149,878 | | | | | | 0.1 | | |
| | | 2,550,000 | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc. 2005-6 C, 5.328%, 09/10/47 | | | | | 2,577,743 | | | | | | 0.0 | | |
| | | 3,130,000 | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.328%, 09/10/47 | | | | | 3,155,162 | | | | | | 0.1 | | |
| | | 3,590,000 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.582%, 07/10/42 | | | | | 3,557,310 | | | | | | 0.1 | | |
| | | 2,219,000 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.952%, 03/11/41 | | | | | 2,454,389 | | | | | | 0.0 | | |
| | | 101,496 # | | | | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.952%, 03/11/41 | | | | | 101,727 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
71
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 1,303,464 | | | | Banc of America Mortgage 2005-J Trust 2A4, 2.712%, 11/25/35 | | | | $ | 1,207,816 | | | | | | 0.0 | | |
| | | 96,345 | | | | Banc of America Mortgage Securities, Inc., 2.689%, 07/25/33 | | | | | 96,970 | | | | | | 0.0 | | |
| | | 315,358 # | | | | Bank of America Merrill Lynch Commercial Mortgage, Inc., 5.291%, 07/10/43 | | | | | 315,168 | | | | | | 0.0 | | |
| | | 3,150,000 # | | | | Bank of America Merrill Lynch Commercial Mortgage, Inc., 6.234%, 11/10/38 | | | | | 3,190,008 | | | | | | 0.1 | | |
| | | 1,402,992 | | | | Banc of America Funding Corp., 2.699%-6.000%, 05/25/35-08/25/37 | | | | | 1,351,063 | | | | | | 0.0 | | |
| | | 5,000,000 # | | | | Bear Stearns Commercial Mortgage Securities Trust 2004-PWR4, 6.078%, 06/11/41 | | | | | 5,341,262 | | | | | | 0.1 | | |
| | | 1,353,000 | | | | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.858%, 06/11/41 | | | | | 1,352,872 | | | | | | 0.1 | | |
| | | 3,950,000 | | | | Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, 5.256%, 10/12/42 | | | | | 3,978,203 | | | | | | 0.1 | | |
| | | 5,741,449 | | | | Bear Stearns Adjustable Rate Mortgage Trust, 2.410%-2.752%, 01/25/34-07/25/36 | | | | | 5,243,777 | | | | | | 0.1 | | |
| | | 5,981,414 | | | | Bear Stearns Alternative-A Trust, 2.584%-2.720%, 05/25/35-11/25/36 | | | | | 4,813,019 | | | | | | 0.1 | | |
| | | 3,985,870 # | | | | Beckman Coulter, Inc. 2000-A A, 7.498%, 12/15/18 | | | | | 4,382,464 | | | | | | 0.1 | | |
| | | 920,280 | | | | Citicorp Mortgage Securities, Inc., 5.500%, 08/25/36 | | | | | 953,244 | | | | | | 0.0 | | |
| | | 8,285,000 # | | | | Citigroup Commercial Mortgage Trust 2012-GC8, 4.877%, 09/10/45 | | | | | 8,284,834 | | | | | | 0.2 | | |
| | | 719,919 | | | | Citimortgage Alternative Loan Trust, 6.000%, 02/25/37 | | | | | 640,988 | | | | | | 0.0 | | |
| | | 17,770,896 | | | | Citigroup Mortgage Loan Trust, Inc., 2.570%-5.500%, 09/25/35-09/25/37 | | | | | 17,290,689 | | | | | | 0.4 | | |
| | | 5,000,000 # | | | | COMM 2007-C9 Mortgage Trust, 0.879%, 12/10/49 | | | | | 4,865,138 | | | | | | 0.1 | | |
| | | 28,294,475 ^ | | | | COMM 2012-CCRE4 XA Mortgage Trust, 2.103%, 10/15/45 | | | | | 2,714,538 | | | | | | 0.1 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 49,131,009 ^ | | | | COMM 2012-CCRE5 XA Mortgage Trust, 2.024%, 12/10/45 | | | | $ | 4,272,413 | | | | | | 0.1 | | |
| | | 55,991,461 ^ | | | | Commercial Mortgage Pass Through Certificates, 1.590%, 03/10/47 | | | | | 4,609,844 | | | | | | 0.1 | | |
| | | 3,454,000 | | | | Commercial Mortgage Trust 2007-GG11 AJ, 6.254%, 12/10/49 | | | | | 3,599,859 | | | | | | 0.1 | | |
| | | 61,076,905 ^ | | | | Commercial Mortgage Trust, 1.418%, 08/10/46 | | | | | 4,119,185 | | | | | | 0.1 | | |
| | | 88,252,279 ^ | | | | Commercial Mortgage Trust, 1.575%, 10/10/46 | | | | | 6,998,953 | | | | | | 0.1 | | |
| | | 65,166,000 #,^ | | | | Commercial Mortgage Trust, 0.748%, 10/15/45 | | | | | 2,641,041 | | | | | | 0.0 | | |
| | | 2,730,000 | | | | Commercial Mortgage Trust, 5.380%, 07/15/44 | | | | | 2,746,108 | | | | | | 0.1 | | |
| | | 1,579,471 ^ | | | | Countrywide Alternative Loan Trust, 4.813%, 05/25/35 | | | | | 173,359 | | | | | | 0.0 | | |
| | | 2,497,909 # | | | | Countrywide Commercial Mortgage Trust 2007-MF1, 6.274%, 11/12/43 | | | | | 2,605,069 | | | | | | 0.1 | | |
| | | 6,649,809 | | | | Countrywide Home Loan Mortgage Pass-through Trust, 2.429%, 11/25/34 | | | | | 6,329,894 | | | | | | 0.1 | | |
| | | 11,961,384 | | | | Countrywide Alternative Loan Trust, 0.307%-5.500%, 12/25/35-06/25/36 | | | | | 10,665,841 | | | | | | 0.2 | | |
| | | 3,270,000 | | | | Credit Suisse Commercial Mortgage Trust Series 2007-C4, 6.147%, 09/15/39 | | | | | 3,398,697 | | | | | | 0.1 | | |
| | | 202,994# | | | | Credit Suisse First Boston Mortgage Securities Corp. 2003-C4 J, 5.322%, 08/15/36 | | | | | 203,195 | | | | | | 0.0 | | |
| | | 1,222,540# | | | | Credit Suisse First Boston Mortgage Securities Corp., 5.861%, 04/12/49 | | | | | 1,221,137 | | | | | | 0.0 | | |
| | | 3,450,000# | | | | DBUBS 2011-LC2 Mortgage Trust, 5.640%, 07/10/44 | | | | | 3,615,398 | | | | | | 0.1 | | |
| | | 4,177,661# | | | | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates Series 2007-WM1, 4.345%, 06/27/37 | | | | | 4,188,176 | | | | | | 0.1 | | |
| | | 12,995,817 | | | | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.307%-0.377%, 08/25/36-10/25/36 | | | | | 8,813,492 | | | | | | 0.2 | | |
| | | 5,063,000 | | | | Fannie Mae Connecticut Avenue Securities 2013-CO1 M2, 4.737%, 02/25/25 | | | | | 5,119,921 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
72
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | 3,810,000 | | | | Fannie Mae Connecticut Avenue Securities 2014-C03 2M2, 3.087%, 07/25/24 | | | | $ | 3,530,195 | | | | | | 0.1 | | |
| | 4,260,000 | | | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.187%, 05/25/25 | | | | | 4,168,546 | | | | | | 0.1 | | |
| | 2,660,000 | | | | Fannie Mae Connecticut Avenue Securities 2015-C02 2M2, 4.187%, 05/25/25 | | | | | 2,597,925 | | | | | | 0.1 | | |
| | 4,122,000 | | | | Fannie Mae Connecticut Avenue Securities 2015-CO1 M2, 4.487%, 02/25/25 | | | | | 4,127,381 | | | | | | 0.1 | | |
| | 6,110,000 | | | | Fannie Mae Connecticut Avenue Securities, 5.087%, 11/25/24 | | | | | 6,311,447 | | | | | | 0.1 | | |
| | 120,052,612 ^ | | | | Fannie Mae Series 2011-M3 X, 0.154%, 07/25/21 | | | | | 1,811,018 | | | | | | 0.0 | | |
| | 24,271,450 ^ | | | | First Horizon Alternative Mortgage Securities, 4.513%, 01/25/36 | | | | | 2,794,190 | | | | | | 0.1 | | |
| | 3,490,017 ^ | | | | First Horizon Alternative Mortgage Securities, 6.513%, 12/25/36 | | | | | 880,386 | | | | | | 0.0 | | |
| | 17,841,405 ^ | | | | Freddie Mac Series K015 X3, 2.886%, 08/25/39 | | | | | 2,609,341 | | | | | | 0.0 | | |
| | 3,320,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-HQ3 M3, 4.937%, 10/25/24 | | | | | 3,449,211 | | | | | | 0.1 | | |
| | 3,300,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M2, 2.387%, 03/25/25 | | | | | 3,279,408 | | | | | | 0.1 | | |
| | 3,700,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M3, 3.987%, 03/25/25 | | | | | 3,652,910 | | | | | | 0.1 | | |
| | 7,650,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes, 4.337%, 01/25/25 | | | | | 7,783,531 | | | | | | 0.2 | | |
| | 652,102,659 #,^ | | | | FREMF Mortgage Trust, 0.100%, 12/25/44 | | | | | 3,344,634 | | | | | | 0.1 | | |
| | 215,739 # | | | | GMAC Commercial Mortgage Securities, Inc. Series 2003-C1 Trust, 5.000%, 05/10/36 | | | | | 216,304 | | | | | | 0.0 | | |
| | 99,912,494 ^ | | | | GS Mortgage Securities Corp. II 2012-GCJ9 XA, 2.507%, 11/10/45 | | | | | 10,917,618 | | | | | | 0.2 | | |
| | 15,115,552 ^ | | | | GS Mortgage Securities Corp. II, 1.710%, 11/10/46 | | | | | 1,094,466 | | | | | | 0.0 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 20,618,102 ^ | | | | GS Mortgage Securities Corp. II, 2.724%, 05/10/45 | | | | $ | 2,100,873 | | | | | | 0.1 | | |
| | | 6,410,000 # | | | | GS Mortgage Securities Trust 2010-C2, 5.396%, 12/10/43 | | | | | 6,711,174 | | | | | | 0.2 | | |
| | | 4,768,863 | | | | HomeBanc Mortgage Trust 2005-3, 0.497%, 07/25/35 | | | | | 4,433,503 | | | | | | 0.1 | | |
| | | 3,985,154 | | | | HomeBanc Mortgage Trust 2006-2 A2, 0.407%, 12/25/36 | | | | | 3,486,344 | | | | | | 0.1 | | |
| | | 12,988,419 | | | | Homebanc Mortgage Trust, 0.427%, 07/25/35 | | | | | 12,018,807 | | | | | | 0.3 | | |
| | | 788,962 | | | | Homebanc Mortgage Trust, 1.047%, 08/25/29 | | | | | 742,903 | | | | | | 0.0 | | |
| | | 19,880,000 #,^ | | | | JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 XB, 0.443%, 12/15/47 | | | | | 467,051 | | | | | | 0.0 | | |
| | | 1,270,000 # | | | | JP Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass-Thr, 5.740%, 05/15/41 | | | | | 1,324,939 | | | | | | 0.0 | | |
| | | 91,061,897 ^ | | | | JP Morgan Chase Commercial Mortgage Securities Corp., 0.762%, 01/15/46 | | | | | 1,893,423 | | | | | | 0.0 | | |
| | | 2,832,956 # | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2003-LN1 H, 5.623%, 10/15/37 | | | | | 2,846,027 | | | | | | 0.1 | | |
| | | 2,740,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2004-CIBC10, 5.097%, 01/12/37 | | | | | 2,734,727 | | | | | | 0.1 | | |
| | | 3,809,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2004-CIBC9 E, 5.847%, 06/12/41 | | | | | 3,720,942 | | | | | | 0.1 | | |
| | | 2,260,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8, 5.618%, 05/15/45 | | | | | 2,268,931 | | | | | | 0.1 | | |
| | | 5,993,123 | | | | JP Morgan Mortgage Trust 2005-S3, 6.000%, 01/25/36 | | | | | 5,386,685 | | | | | | 0.1 | | |
| | | 61,985 | | | | JP Morgan Mortgage Trust, 5.750%, 01/25/36 | | | | | 55,400 | | | | | | 0.0 | | |
| | | 39,375,113 #,^ | | | | LB-UBS Commercial Mortgage Trust 2004-C1, 1.000%, 01/15/36 | | | | | 475,242 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
73
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | 1,310,000 # | | | | LB-UBS Commercial Mortgage Trust 2005-C1 G, 5.454%, 02/15/40 | | | | $ | 1,308,855 | | | | | | 0.0 | | |
| | 4,290,000 | | | | LB-UBS Commercial Mortgage Trust 2005-C3 E, 4.983%, 07/15/40 | | | | | 4,318,507 | | | | | | 0.1 | | |
| | 2,550,000 # | | | | LB-UBS Commercial Mortgage Trust 2005-C5, 5.350%, 09/15/40 | | | | | 2,543,306 | | | | | | 0.1 | | |
| | 2,100,000 | | | | LB-UBS Commercial Mortgage Trust 2006-C4 D, 6.048%, 06/15/38 | | | | | 2,143,983 | | | | | | 0.1 | | |
| | 5,977,000 | | | | LB-UBS Commercial Mortgage Trust 2006-C4 E, 6.048%, 06/15/38 | | | | | 6,071,467 | | | | | | 0.1 | | |
| | 1,820,000 | | | | LB-UBS Commercial Mortgage Trust, 4.954%, 07/15/40 | | | | | 1,820,374 | | | | | | 0.0 | | |
| | 31,330,321 #,^ | | | | LB-UBS Commercial Mortgage Trust, 0.854%, 11/15/38 | | | | | 243,430 | | | | | | 0.0 | | |
| | 159,981,119 #,^ | | | | LB-UBS Commercial Mortgage Trust, 0.854%, 11/15/38 | | | | | 1,249,565 | | | | | | 0.0 | | |
| | 1,500,000 # | | | | LB-UBS Commercial Mortgage Trust, 5.175%, 10/15/36 | | | | | 1,560,106 | | | | | | 0.0 | | |
| | 3,390,000 # | | | | LB-UBS Commercial Mortgage Trust, 5.328%, 10/15/36 | | | | | 3,572,802 | | | | | | 0.1 | | |
| | 4,450,000 # | | | | LB-UBS Commercial Mortgage Trust, 6.096%, 09/15/39 | | | | | 4,608,843 | | | | | | 0.1 | | |
| | 4,210,000 # | | | | LB-UBS Commercial Mortgage Trust, 6.096%, 09/15/39 | | | | | 4,341,668 | | | | | | 0.1 | | |
| | 2,421,496 # | | | | LB-UBS Commercial Mortgage Trust, 6.890%, 07/15/32 | | | | | 2,430,039 | | | | | | 0.1 | | |
| | 3,850,000 # | | | | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5, 4.845%, 08/15/45 | | | | | 3,955,975 | | | | | | 0.1 | | |
| | 65,540,779 ^ | | | | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, 1.823%, 02/15/46 | | | | | 5,219,720 | | | | | | 0.1 | | |
| | 2,590,000 # | | | | Morgan Stanley Capital I Trust 2005-HQ6, 5.379%, 08/13/42 | | | | | 2,584,913 | | | | | | 0.1 | | |
| | 1,160,000 # | | | | Morgan Stanley Capital I Trust 2008-TOP29, 6.460%, 01/11/43 | | | | | 1,205,374 | | | | | | 0.0 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 3,305,000 # | | | | Morgan Stanley Capital I Trust 2011-C1 D, 5.418%, 09/15/47 | | | | $ | 3,568,582 | | | | | | 0.1 | | |
| | | 3,325,000 # | | | | Morgan Stanley Capital I Trust 2011-C1 E, 5.418%, 09/15/47 | | | | | 3,535,972 | | | | | | 0.1 | | |
| | | 718,400 # | | | | Morgan Stanley Capital I, Inc., 5.910%, 11/15/31 | | | | | 730,186 | | | | | | 0.0 | | |
| | | 25,263 # | | | | Morgan Stanley Capital I, 7.350%, 07/15/32 | | | | | 25,319 | | | | | | 0.0 | | |
| | | 1,160,000 # | | | | Morgan Stanley Dean Witter Capital I, 7.762%, 07/15/33 | | | | | 1,308,967 | | | | | | 0.0 | | |
| | | 2,409,659 | | | | Morgan Stanley Mortgage Loan Trust 2006-3AR 2A1, 2.798%, 03/25/36 | | | | | 1,992,220 | | | | | | 0.0 | | |
| | | 475,585 # | | | | Morgan Stanley Re-REMIC Trust 2010-C30 A3B, 5.246%, 12/17/43 | | | | | 475,313 | | | | | | 0.0 | | |
| | | 4,300,000 # | | | | Morgan Stanley Re-REMIC Trust, 0.250%, 07/27/49 | | | | | 3,840,330 | | | | | | 0.1 | | |
| | | 37,526 # | | | | Nomura Asset Acceptance Corp., 6.842%, 02/19/30 | | | | | 37,174 | | | | | | 0.0 | | |
| | | 3,390,963 # | | | | N-Star Real Estate CDO Ltd. 2013-1A A, 2.037%, 08/25/29 | | | | | 3,389,268 | | | | | | 0.1 | | |
| | | 2,775,151 # | | | | RBSSP Resecuritization Trust, 0.435%, 02/26/37 | | | | | 2,618,055 | | | | | | 0.0 | | |
| | | 33,654,663 #,^ | | | | UBS-Barclays Commercial Mortgage Trust 2012-C3 XA, 2.276%, 08/10/49 | | | | | 3,436,976 | | | | | | 0.1 | | |
| | | 9,554,000 | | | | Wachovia Bank Commercial Mortgage Trust 2005-C21 AM, 5.432%, 10/15/44 | | | | | 9,591,605 | | | | | | 0.2 | | |
| | | 2,100,000 # | | | | Wachovia Bank Commercial Mortgage Trust Series 2005-C17 G, 5.703%, 03/15/42 | | | | | 2,095,346 | | | | | | 0.0 | | |
| | | 2,662,000 | | | | Wachovia Bank Commercial Mortgage Trust Series 2006-C25, 5.897%, 05/15/43 | | | | | 2,684,079 | | | | | | 0.1 | | |
| | | 6,192,000 | | | | Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AJ, 6.150%, 02/15/51 | | | | | 6,413,646 | | | | | | 0.1 | | |
| | | 11,872,000 | | | | Wachovia Bank Commercial Mortgage Trust Series, 5.897%-6.150%, 05/15/43-02/15/51 | | | | | 12,016,800 | | | | | | 0.3 | | |
| | | 638,958 | | | | WaMu Alternative Mortgage Pass-Through Certificates, 5.500%, 10/25/35 | | | | | 600,576 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
74
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | 3,004,712 | | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust, 2.021%, 12/25/36 | | | | $ | 2,655,291 | | | | | | 0.1 | | |
| | | 2,577,683 | | | | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust, 1.943%, 04/25/37 | | | | | 2,249,392 | | | | | | 0.0 | | |
| | | 4,537,670 | | | | WaMu Mortgage Pass-Through Certificates, 2.156%, 07/25/37 | | | | | 3,884,204 | | | | | | 0.1 | | |
| | | 2,016,585 | | | | WaMu Mortgage Pass Through Certificates, 1.558%-1.740%, 10/25/36-06/25/42 | | | | | 1,701,814 | | | | | | 0.0 | | |
| | | 2,721,946 | | | | Wells Fargo Mortgage Backed Securities 2005-AR15 Trust, 2.613%, 09/25/35 | | | | | 2,596,981 | | | | | | 0.1 | | |
| | | 2,533,137 | | | | Wells Fargo Mortgage Backed Securities 2006-AR6 Trust 3A1, 2.581%, 03/25/36 | | | | | 2,466,091 | | | | | | 0.0 | | |
| | | 2,785,594 #,^ | | | | Wells Fargo Mortgage Backed Securities Trust, 1.717%, 06/15/45 | | | | | 219,867 | | | | | | 0.0 | | |
| | | 85,338 | | | | Wells Fargo Mortgage-Backed Securities Trust, 2.613%, 10/25/33 | | | | | 86,127 | | | | | | 0.0 | | |
| | | 37,722,625 #,^ | | | | WFRBS Commercial Mortgage Trust 2012-C8 XA, 2.346%, 08/15/45 | | | | | 3,558,153 | | | | | | 0.1 | | |
| | | 6,353,746 | | | | Wells Fargo Mortgage Backed Securities Trust, 2.621%-5.676%, 05/25/35-04/25/36 | | | | | 6,200,646 | | | | | | 0.1 | | |
| | | 37,136,696 | | | | Other Securities | | | | | 32,874,511 | | | | | | 0.7 | | |
| | | | | | | Total Collateralized Mortgage Obligations (Cost $460,494,906) | | | | | 471,819,160 | | | | | | 10.5 | | |
| ASSET-BACKED SECURITIES: 9.2% | | ||||||||||||||||||
| | | | | | | Automobile Asset-Backed Securities: 1.8% | | ||||||||||||
| | | 2,410,000 # | | | | AmeriCredit Automobile Receivables Trust 2011-3, 5.760%, 12/10/18 | | | | | 2,449,234 | | | | | | 0.1 | | |
| | | 2,680,000 | | | | AmeriCredit Automobile Receivables Trust 2012-5, 2.350%, 12/10/18 | | | | | 2,719,447 | | | | | | 0.1 | | |
| | | 4,855,000 | | | | AmeriCredit Automobile Receivables Trust 2013-1, 2.090%, 02/08/19 | | | | | 4,844,982 | | | | | | 0.1 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| ASSET-BACKED SECURITIES: (continued) | | ||||||||||||||||||
| | | | | | | Automobile Asset-Backed Securities (continued) | | ||||||||||||
| | | 4,270,000 | | | | AmeriCredit Automobile Receivables Trust 2013-4, 3.310%, 10/08/19 | | | | $ | 4,384,071 | | | | | | 0.1 | | |
| | | 5,470,000 | | | | AmeriCredit Automobile Receivables Trust 2013-5, 2.860%, 12/08/19 | | | | | 5,532,664 | | | | | | 0.1 | | |
| | | 5,640,000 # | | | | AmeriCredit Automobile Receivables Trust, 3.290%, 05/08/20 | | | | | 5,734,619 | | | | | | 0.1 | | |
| | | 2,570,000 # | | | | MMCA Automobile Trust, 1.920%, 12/16/19 | | | | | 2,600,186 | | | | | | 0.1 | | |
| | | 2,360,000 # | | | | MMCA Automobile Trust, 2.260%, 10/15/20 | | | | | 2,379,586 | | | | | | 0.0 | | |
| | | 4,670,000 | | | | Santander Drive Auto Receivables Trust 2013-1, 2.270%, 01/15/19 | | | | | 4,656,298 | | | | | | 0.1 | | |
| | | 3,135,000 | | | | Santander Drive Auto Receivables Trust 2013-2, 2.570%, 03/15/19 | | | | | 3,180,296 | | | | | | 0.1 | | |
| | | 2,775,000 | | | | Santander Drive Auto Receivables Trust 2013-4, 3.920%, 01/15/20 | | | | | 2,875,970 | | | | | | 0.1 | | |
| | | 10,500,000 # | | | | Santander Drive Auto Receivables Trust 2013-A, 3.780%, 10/15/19 | | | | | 10,925,633 | | | | | | 0.2 | | |
| | | 7,030,000 # | | | | Santander Drive Auto Receivables Trust 2013-A, 4.710%, 01/15/21 | | | | | 7,447,565 | | | | | | 0.2 | | |
| | | 4,650,000 | | | | Santander Drive Auto Receivables Trust 2014-3, 2.650%, 08/17/20 | | | | | 4,622,560 | | | | | | 0.1 | | |
| | | 1,630,000 # | | | | SunTrust Auto Receivables Trust 2015-1, 2.200%, 02/15/21 | | | | | 1,629,511 | | | | | | 0.0 | | |
| | | 15,330,000 | | | | Other Securities | | | | | 15,377,068 | | | | | | 0.3 | | |
| | | | | | | | | | | | 81,359,690 | | | | | | 1.8 | | |
| | | | | | | Home Equity Asset-Backed Securities: 0.3% | | ||||||||||||
| | | 2,400,000 | | | | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2, 1.102%, 03/25/35 | | | | | 2,041,512 | | | | | | 0.0 | | |
| | | 12,265,523 | | | | Other Securities | | | | | 11,537,338 | | | | | | 0.3 | | |
| | | | | | | | | | | | 13,578,850 | | | | | | 0.3 | | |
| | | | | | | Other Asset-Backed Securities: 7.1% | | ||||||||||||
| | | 7,500,000 # | | | | 1776 CLO Ltd. 2006-1A D, 2.026%, 05/08/20 | | | | | 7,451,663 | | | | | | 0.2 | | |
| | | 2,000,000 # | | | | American Homes 4 Rent 2015-SFR1, 5.639%, 04/17/45 | | | | | 2,082,684 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
75
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| ASSET-BACKED SECURITIES: (continued) | | ||||||||||||||||||
| | | | | | | Other Asset-Backed Securities (continued) | | ||||||||||||
| | | 5,150,000 # | | | | Ares XII CLO Ltd. 2007-12A C, 2.282%, 11/25/20 | | | | $ | 5,096,965 | | | | | | 0.1 | | |
| | | 1,500,000 # | | | | Ares XII CLO Ltd., 3.532%, 11/25/20 | | | | | 1,486,218 | | | | | | 0.0 | | |
| | | 6,750,000 # | | | | Atrium V, 0.966%, 07/20/20 | | | | | 6,525,090 | | | | | | 0.2 | | |
| | | 1,750,000 # | | | | Atrium V, 3.976%, 07/20/20 | | | | | 1,725,580 | | | | | | 0.0 | | |
| | | 625,000 # | | | | Babson CLO, Inc. 2005-III, 0.679%, 11/10/19 | | | | | 618,897 | | | | | | 0.0 | | |
| | | 2,600,000 # | | | | Babson CLO, Inc. 2005-III, 0.979%, 11/10/19 | | | | | 2,545,408 | | | | | | 0.1 | | |
| | | 2,000,000 # | | | | Babson CLO, Inc. 2005-III, 1.979%, 11/10/19 | | | | | 1,977,324 | | | | | | 0.0 | | |
| | | 1,500,000 | | | | Babson Mid-Market CLO, Inc. 2007-II, 3.925%, 04/15/21 | | | | | 1,473,783 | | | | | | 0.0 | | |
| | | 1,000,000 # | | | | Babson Mid-Market CLO, Inc. 2007-II, 1.125%, 04/15/21 | | | | | 981,448 | | | | | | 0.0 | | |
| | | 7,350,000 # | | | | Babson Mid-Market CLO, Inc. 2007-II, 1.975%, 04/15/21 | | | | | 7,141,238 | | | | | | 0.2 | | |
| | | 1,549,061 # | | | | Black Diamond CLO 2005-1 Delaware Corp., 0.701%, 06/20/17 | | | | | 1,542,640 | | | | | | 0.0 | | |
| | | 270,818 # | | | | Black Diamond CLO Ltd., 0.631%, 06/20/17 | | | | | 270,503 | | | | | | 0.0 | | |
| | | 1,250,000 # | | | | BlackRock Senior Income Series V Ltd. 2007-5A D, 2.527%, 08/13/19 | | | | | 1,212,150 | | | | | | 0.0 | | |
| | | 10,000,000 # | | | | Bluemountain CLO III Ltd. 2007-3A C, 0.973%, 03/17/ 21 | | | | | 9,680,280 | | | | | | 0.2 | | |
| | | 7,101,818 # | | | | Callidus Debt Partners CLO Fund VI Ltd. 6A A1T, 0.537%, 10/23/21 | | | | | 6,985,745 | | | | | | 0.2 | | |
| | | 1,750,000 # | | | | Callidus Debt Partners CLO Fund VI Ltd., 3.277%, 10/23/21 | | | | | 1,716,992 | | | | | | 0.0 | | |
| | | 3,000,000 # | | | | Canaras Summit CLO Ltd., 0.766%, 06/19/21 | | | | | 2,918,427 | | | | | | 0.1 | | |
| | | 7,000,000 # | | | | Canaras Summit CLO Ltd., 1.086%, 06/19/21 | | | | | 6,739,838 | | | | | | 0.1 | | |
| | | 4,250,000 # | | | | Carlyle High Yield Partners IX Ltd., 0.688%, 08/01/21 | | | | | 4,080,153 | | | | | | 0.1 | | |
| | | 5,800,000 # | | | | Carlyle High Yield Partners IX Ltd., 1.888%, 08/01/21 | | | | | 5,595,376 | | | | | | 0.1 | | |
| | | 3,100,000 # | | | | Castle Garden Funding, 1.034%, 10/27/20 | | | | | 3,047,018 | | | | | | 0.1 | | |
| | | 3,550,000 # | | | | Castle Garden Funding, 5.034%, 10/27/20 | | | | | 3,548,797 | | | | | | 0.1 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| ASSET-BACKED SECURITIES: (continued) | | ||||||||||||||||||
| | | | | | | Other Asset-Backed Securities (continued) | | ||||||||||||
| | | 2,500,000 # | | | | Castle Garden Funding, 6.560%, 10/27/20 | | | | $ | 2,666,292 | | | | | | 0.0 | | |
| | | 4,450,000 # | | | | CIFC Funding 2006-I Ltd., 1.875%, 10/20/20 | | | | | 4,389,155 | | | | | | 0.1 | | |
| | | 2,101,184 # | | | | CIFC Funding 2006-I Ltd., 4.275%, 10/20/20 | | | | | 2,096,532 | | | | | | 0.1 | | |
| | | 10,400,000 # | | | | CIFC Funding 2006-II Ltd., 1.884%, 03/01/21 | | | | | 10,135,694 | | | | | | 0.2 | | |
| | | 5,344,486 # | | | | CIFC Funding 2006-II Ltd., 4.284%, 03/01/21 | | | | | 5,270,604 | | | | | | 0.1 | | |
| | | 3,000,000 # | | | | Clydesdale CLO 2006 Ltd, 0.954%, 12/19/18 | | | | | 2,903,745 | | | | | | 0.1 | | |
| | | 4,700,000 # | | | | ColumbusNova CLO IV Ltd 2007-2A C, 2.525%, 10/15/ 21 | | | | | 4,583,520 | | | | | | 0.1 | | |
| | | 2,500,000 # | | | | ColumbusNova CLO Ltd 2006-2A E, 4.029%, 04/04/18 | | | | | 2,470,840 | | | | | | 0.0 | | |
| | | 2,500,000 # | | | | ColumbusNova CLO Ltd 2006-II, 1.029%, 04/04/18 | | | | | 2,475,042 | | | | | | 0.1 | | |
| | | 1,000,000 # | | | | ColumbusNova CLO Ltd 2006-II, 1.779%, 04/04/18 | | | | | 981,708 | | | | | | 0.0 | | |
| | | 3,100,000 # | | | | Diamond Lake CLO Ltd., 1.883%, 12/01/19 | | | | | 3,032,280 | | | | | | 0.1 | | |
| | | 6,500,000 # | | | | Duane Street CLO II Ltd., 1.926%, 08/20/18 | | | | | 6,360,445 | | | | | | 0.1 | | |
| | | 7,500,000 # | | | | Eaton Vance CDO IX Ltd. 2007-9A D, 1.775%, 04/20/19 | | | | | 7,444,462 | | | | | | 0.2 | | |
| | | 10,500,000 # | | | | Eaton Vance CDO IX Ltd., 0.925%, 04/20/19 | | | | | 10,370,619 | | | | | | 0.2 | | |
| | | 5,645,000 # | | | | Fraser Sullivan CLO I Ltd., 2.086%, 03/15/20 | | | | | 5,530,694 | | | | | | 0.1 | | |
| | | 5,100,000 # | | | | Fraser Sullivan CLO II Ltd., 0.681%, 12/20/20 | | | | | 5,010,097 | | | | | | 0.1 | | |
| | | 6,500,000 # | | | | Fraser Sullivan CLO II Ltd., 1.001%, 12/20/20 | | | | | 6,357,949 | | | | | | 0.1 | | |
| | | 3,250,000 # | | | | Fraser Sullivan CLO II Ltd., 1.781%, 12/20/20 | | | | | 3,166,196 | | | | | | 0.1 | | |
| | | 521,235 # | | | | FRASR 2006-1A B 3/20, 0.756%, 03/15/20 | | | | | 520,054 | | | | | | 0.0 | | |
| | | 1,600,000 # | | | | Gale Force 3 CLO Ltd. 2007-3A D, 1.675%, 04/19/21 | | | | | 1,519,072 | | | | | | 0.0 | | |
| | | 6,600,000 # | | | | Gallatin CLO III 2007-1 Ltd., 1.524%, 05/15/21 | | | | | 6,591,743 | | | | | | 0.2 | | |
| | | 2,875,000 # | | | | GoldenTree Loan Opportunities III Ltd., 1.528%, 05/01/22 | | | | | 2,758,499 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
76
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| ASSET-BACKED SECURITIES: (continued) | | ||||||||||||||||||
| | | | | | | Other Asset-Backed Securities (continued) | | ||||||||||||
| | | 4,125,000 # | | | | Goldentree Loan Opportunities V Ltd., 3.525%, 10/18/21 | | | | $ | 4,124,827 | | | | | | 0.1 | | |
| | | 2,500,000 # | | | | Greens Creek Funding Ltd., 2.525%, 04/18/21 | | | | | 2,488,797 | | | | | | 0.1 | | |
| | | 2,150,000 # | | | | GSC Group CDO Fund VIII Ltd, 1.024%, 04/17/21 | | | | | 2,127,610 | | | | | | 0.1 | | |
| | | 5,050,000 # | | | | Gulf Stream - Compass CLO 2007-1A D Ltd., 3.729%, 10/28/19 | | | | | 5,052,914 | | | | | | 0.1 | | |
| | | 3,825,000 # | | | | Gulf Stream - Compass CLO, 2.279%, 10/28/19 | | | | | 3,825,161 | | | | | | 0.1 | | |
| | | 1,900,000 # | | | | Gulf Stream-Rashinban CLO 2006-1A C Ltd., 0.962%, 11/26/20 | | | | | 1,850,630 | | | | | | 0.0 | | |
| | | 2,600,000 # | | | | Invitation Homes Trust 2014-SFR2 E, 3.335%, 06/17/32 | | | | | 2,543,085 | | | | | | 0.1 | | |
| | | 1,200,000 # | | | | Katonah IX CLO Ltd., 0.997%, 01/25/19 | | | | | 1,168,876 | | | | | | 0.0 | | |
| | | 2,975,711 # | | | | Kennecott Funding Ltd., 2.076%, 01/13/18 | | | | | 2,965,103 | | | | | | 0.1 | | |
| | | 4,250,000 # | | | | Kingsland III Ltd., 0.932%, 08/24/21 | | | | | 4,072,099 | | | | | | 0.1 | | |
| | | 1,500,000 # | | | | Landmark IX CDO Ltd., 1.725%, 04/15/21 | | | | | 1,435,226 | | | | | | 0.0 | | |
| | | 1,250,000 # | | | | LCM V Ltd., 3.681%, 03/21/19 | | | | | 1,222,823 | | | | | | 0.0 | | |
| | | 1,500,000 # | | | | LCM V Ltd, 1.631%, 03/21/19 | | | | | 1,446,463 | | | | | | 0.1 | | |
| | | 1,800,000 # | | | | LightPoint CLO V, 0.989%, 08/05/19 | | | | | 1,771,825 | | | | | | 0.0 | | |
| | | 2,000,000 # | | | | LightPoint CLO V, 1.859%, 08/05/19 | | | | | 1,968,180 | | | | | | 0.1 | | |
| | | 5,500,000 # | | | | Madison Park Funding II Ltd. 2006-2A D, 5.031%, 03/25/20 | | | | | 5,411,406 | | | | | | 0.1 | | |
| | | 1,500,000 # | | | | Madison Park Funding III Ltd. 2006-3A D, 3.727%, 10/25/20 | | | | | 1,503,281 | | | | | | 0.1 | | |
| | | 1,000,000 # | | | | Madison Park Funding Ltd., 2.081%, 03/25/20 | | | | | 983,860 | | | | | | 0.0 | | |
| | | 3,500,000 # | | | | Madison Park Funding Ltd., 5.527%, 07/26/21 | | | | | 3,500,969 | | | | | | 0.1 | | |
| | | 2,900,000 # | | | | Momentum Capital Fund Ltd., 1.675%, 09/18/21 | | | | | 2,859,765 | | | | | | 0.1 | | |
| | | 7,170,000 # | | | | MSIM Peconic Bay Ltd., 2.275%, 07/20/19 | | | | | 7,131,820 | | | | | | 0.2 | | |
| | | 416,881 # | | | | Mountain Capital CLO V Ltd, 1.836%, 09/15/18 | | | | | 415,272 | | | | | | 0.0 | | |
| | | 12,750,000 # | | | | Muir Grove CLO Ltd. 2007-1A B, 2.277%, 03/25/20 | | | | | 12,742,388 | | | | | | 0.3 | | |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
ASSET-BACKED SECURITIES: (continued) | | ||||||||||||||||||
| | | | | | Other Asset-Backed Securities (continued) | | ||||||||||||
| | 4,650,000 # | | | | Muir Grove CLO Ltd., 3.277%, 03/25/20 | | | | $ | 4,603,556 | | | | | | 0.1 | | |
| | 2,500,000 # | | | | Ocean Trails CLO I, 1.026%, 10/12/20 | | | | | 2,393,953 | | | | | | 0.1 | | |
| | 6,500,000 # | | | | Progress Residential 2015-SFR2 Trust, 4.427%, 06/12/32 | | | | | 6,508,824 | | | | | | 0.1 | | |
| | 3,500,000 # | | | | Race Point IV CLO Ltd., 1.028%, 08/01/21 | | | | | 3,491,289 | | | | | | 0.1 | | |
| | 1,600,000 # | | | | Regatta Funding Ltd, 1.586%, 06/15/20 | | | | | 1,534,792 | | | | | | 0.0 | | |
| | 1,750,000 # | | | | Sierra CLO II Ltd., 1.676%, 01/22/21 | | | | | 1,700,032 | | | | | | 0.0 | | |
| | 4,630,000 # | | | | Springleaf Funding Trust 2015-A, 3.160%, 11/15/24 | | | | | 4,688,664 | | | | | | 0.1 | | |
| | 2,500,000 # | | | | St James River CLO Ltd. 2007-1A D, 2.586%, 06/11/21 | | | | | 2,462,503 | | | | | | 0.1 | | |
| | 2,000,000 # | | | | Telos CLO 2006-1A D Ltd., 1.976%, 10/11/21 | | | | | 1,960,556 | | | | | | 0.0 | | |
| | 1,400,000 # | | | | Telos CLO 2006-1A E Ltd., 4.526%, 10/11/21 | | | | | 1,404,137 | | | | | | 0.0 | | |
| | 2,010,000 # | | | | Trade MAPS 1 Ltd., 2.439%, 12/10/18 | | | | | 1,996,935 | | | | | | 0.0 | | |
| | 32,259,805 | | | | Other Securities | | | | | 30,285,870 | | | | | | 0.7 | | |
| | | | | | | | | | | 318,722,950 | | | | | | 7.1 | | |
| | | | | | Total Asset-Backed Securities (Cost $410,280,909) | | | | | 413,661,490 | | | | | | 9.2 | | |
U.S. TREASURY OBLIGATIONS: 10.2% | | ||||||||||||||||||
| | | | | | U.S. Treasury Bonds: 4.8% | | ||||||||||||
| | 172,000,000 | | | | 2.125%, due 05/15/25 | | | | | 168,613,664 | | | | | | 3.7 | | |
| | 54,010,000 | | | | 2.500%, due 02/15/45 | | | | | 47,317,837 | | | | | | 1.1 | | |
| | | | | | | | | | | 215,931,501 | | | | | | 4.8 | | |
| | | | | | U.S. Treasury Notes: 5.4% | | ||||||||||||
| | 40,306,000 | | | | 0.625%, due 06/30/17 | | | | | 40,287,097 | | | | | | 0.9 | | |
| | 58,816,000 | | | | 1.125%, due 06/15/18 | | | | | 59,008,975 | | | | | | 1.3 | | |
| | 44,471,000 | | | | 1.500%, due 07/31/16 | | | | | 45,009,499 | | | | | | 1.0 | | |
| | 66,437,000 | | | | 1.625%, due 06/30/20 | | | | | 66,374,682 | | | | | | 1.5 | | |
| | 17,882,000 | | | | 1.875%, due 05/31/22 | | | | | 17,666,862 | | | | | | 0.4 | | |
| | 14,202,000 | | | | 2.125%, due 06/30/22 | | | | | 14,248,597 | | | | | | 0.3 | | |
| | | | | | | | | | | 242,595,712 | | | | | | 5.4 | | |
| | | | | | Total U.S. Treasury Obligations (Cost $459,114,634) | | | | | 458,527,213 | | | | | | 10.2 | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 34.6% | | ||||||||||||||||||
| | | | | | Agency Collat CMO: 0.0% | | ||||||||||||
| | 5,460,926 ^ | | | | 6.413%, due 09/25/40 | | | | | 1,061,148 | | | | | | 0.0 | | |
See Accompanying Notes to Financial Statements
77
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | | | | Federal Home Loan Bank: 0.0% | | ||||||||||||
| | 1,915,000 | | | | Other Securities | | | | $ | 1,854,666 | | | | | | 0.0 | | |
| | | | | | Federal Home Loan Mortgage Corporation: 11.2%## | | ||||||||||||
| | 13,600,000 | | | | 1.000%, due 07/28/17 | | | | | 13,665,321 | | | | | | 0.3 | | |
| | 94,212,000 W | | | | 3.000%, due 07/01/43 | | | | | 93,656,293 | | | | | | 2.1 | | |
| | 152,057,000 W | | | | 3.500%, due 08/01/45 | | | | | 156,033,648 | | | | | | 3.5 | | |
| | 5,000,000 ^ | | | | 4.000%, due 11/15/38 | | | | | 1,353,372 | | | | | | 0.0 | | |
| | 1,896,542 ^ | | | | 4.000%, due 04/15/43 | | | | | 362,213 | | | | | | 0.0 | | |
| | 6,311,930 ^ | | | | 4.500%, due 12/15/40 | | | | | 1,073,028 | | | | | | 0.0 | | |
| | 6,938,818 ^ | | | | 4.500%, due 08/15/42 | | | | | 1,225,361 | | | | | | 0.0 | | |
| | 860,333 ^ | | | | 4.954%, due 03/15/33 | | | | | 907,975 | | | | | | 0.0 | | |
| | 3,272,027 ^ | | | | 5.000%, due 02/15/40 | | | | | 632,414 | | | | | | 0.0 | | |
| | 4,131,954 ^ | | | | 5.000%, due 12/15/43 | | | | | 848,521 | | | | | | 0.0 | | |
| | 3,884,193 ^ | | | | 5.500%, due 12/15/18 | | | | | 188,642 | | | | | | 0.0 | | |
| | 9,144,969 | | | | 5.500%, due 02/15/36 | | | | | 10,256,504 | | | | | | 0.2 | | |
| | 21,252,975 ^ | | | | 5.765%, due 08/15/43 | | | | | 4,715,504 | | | | | | 0.1 | | |
| | 4,097,373 ^ | | | | 5.815%, due 05/15/36 | | | | | 430,224 | | | | | | 0.0 | | |
| | 5,572,930 ^ | | | | 5.865%, due 07/15/40 | | | | | 876,488 | | | | | | 0.0 | | |
| | 27,717,603 ^ | | | | 5.865%, due 01/15/41 | | | | | 4,511,591 | | | | | | 0.1 | | |
| | 13,413,828 ^ | | | | 5.915%, due 09/15/44 | | | | | 2,674,382 | | | | | | 0.1 | | |
| | 41,921,080 ^ | | | | 5.965%, due 03/15/44 | | | | | 6,784,688 | | | | | | 0.2 | | |
| | 27,447,312 ^ | | | | 5.965%, due 03/15/44 | | | | | 4,576,507 | | | | | | 0.1 | | |
| | 957,233 ^ | | | | 6.000%, due 04/15/33 | | | | | 241,656 | | | | | | 0.0 | | |
| | 16,624,234 ^ | | | | 6.015%, due 07/15/39 | | | | | 2,472,855 | | | | | | 0.1 | | |
| | 18,386,588 ^ | | | | 6.015%, due 10/15/39 | | | | | 3,085,109 | | | | | | 0.1 | | |
| | 3,636,669 ^ | | | | 6.300%, due 06/15/36 | | | | | 591,457 | | | | | | 0.0 | | |
| | 12,665,929 ^ | | | | 6.365%, due 05/15/41 | | | | | 2,779,418 | | | | | | 0.1 | | |
| | 30,105,269 ^ | | | | 6.365%, due 11/15/41 | | | | | 6,735,660 | | | | | | 0.2 | | |
| | 4,400,855 ^ | | | | 6.415%, due 09/15/33 | | | | | 841,352 | | | | | | 0.0 | | |
| | 10,413,915 ^ | | | | 6.415%, due 03/15/35 | | | | | 1,544,389 | | | | | | 0.0 | | |
| | 6,543,250 ^ | | | | 6.415%, due 12/15/39 | | | | | 834,296 | | | | | | 0.0 | | |
| | 16,484,188 ^ | | | | 6.415%, due 01/15/40 | | | | | 2,761,101 | | | | | | 0.1 | | |
| | 23,060,678 ^ | | | | 6.415%, due 09/15/42 | | | | | 5,316,155 | | | | | | 0.1 | | |
| | 15,866,020 ^ | | | | 6.515%, due 11/15/25 | | | | | 2,202,457 | | | | | | 0.0 | | |
| | 13,149,859 ^ | | | | 6.515%, due 04/15/40 | | | | | 2,392,742 | | | | | | 0.1 | | |
| | 3,142,533 ^ | | | | 23.887%, due 01/15/36 | | | | | 1,712,681 | | | | | | 0.0 | | |
| | 155,642,097 | | | | 0.536%-19.304%, due 08/23/17-06/01/45 | | | | | 166,836,608 | | | | | | 3.7 | | |
| | | | | | | | | | | 505,120,612 | | | | | | 11.2 | | |
| | | | | | Federal National Mortgage Association: 17.5%## | | ||||||||||||
| | 82,414,000 W | | | | 0.300%, due 08/01/44 | | | | | 81,894,081 | | | | | | 1.8 | | |
| | 13,462,308 | | | | 0.387%, due 10/27/37 | | | | | 13,306,515 | | | | | | 0.3 | | |
| | 137,068,000 W | | | | 0.400%, due 08/01/45 | | | | | 144,899,606 | | | | | | 3.2 | | |
| | 11,700,000 | | | | 0.875%, due 08/28/17 | | | | | 11,729,519 | | | | | | 0.3 | | |
| | 21,000,000 | | | | 0.875%, due 12/20/17 | | | | | 20,982,591 | | | | | | 0.5 | | |
| | 49,148,000 W | | | | 2.500%, due 08/01/29 | | | | | 49,643,542 | | | | | | 1.1 | | |
| | 9,745,954 ^ | | | | 3.000%, due 10/25/32 | | | | | 1,151,221 | | | | | | 0.0 | | |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | | ||||||||||||||||||
| | | | | | Federal National Mortgage Association (continued) | | ||||||||||||
| | 10,682,969 | | | | 3.000%, due 05/01/43 | | | | $ | 10,695,625 | | | | | | 0.2 | | |
| | 22,738,567 | | | | 3.000%, due 07/01/43 | | | | | 22,758,537 | | | | | | 0.5 | | |
| | 16,627,181 | | | | 3.000%, due 04/01/45 | | | | | 16,597,931 | | | | | | 0.4 | | |
| | 748,166 ^ | | | | 3.500%, due 08/25/43 | | | | | 139,778 | | | | | | 0.0 | | |
| | 987,934 ^ | | | | 4.000%, due 11/01/18 | | | | | 46,700 | | | | | | 0.0 | | |
| | 22,914,986 | | | | 4.000%, due 12/01/39 | | | | | 24,302,682 | | | | | | 0.5 | | |
| | 8,313,556 ^ | | | | 4.000%, due 09/25/41 | | | | | 1,189,427 | | | | | | 0.0 | | |
| | 1,119,995 ^ | | | | 4.000%, due 08/25/43 | | | | | 221,959 | | | | | | 0.0 | | |
| | 13,378,000 W | | | | 4.500%, due 07/01/44 | | | | | 14,464,963 | | | | | | 0.3 | | |
| | 2,659,624 ^ | | | | 5.000%, due 05/25/18 | | | | | 125,269 | | | | | | 0.0 | | |
| | 26,995,337 ^ | | | | 5.000%, due 01/25/41 | | | | | 3,750,316 | | | | | | 0.1 | | |
| | 8,961,321 ^ | | | | 5.000%, due 04/25/42 | | | | | 1,907,764 | | | | | | 0.0 | | |
| | 10,069,704 | | | | 5.500%, due 06/01/38 | | | | | 11,298,380 | | | | | | 0.3 | | |
| | 9,081,229 ^ | | | | 5.500%, due 11/25/40 | | | | | 1,974,720 | | | | | | 0.0 | | |
| | 31,871,517 ^ | | | | 5.883%, due 11/25/40 | | | | | 4,336,601 | | | | | | 0.1 | | |
| | 26,861,294 ^ | | | | 5.913%, due 10/25/42 | | | | | 5,633,351 | | | | | | 0.1 | | |
| | 34,561,154 ^ | | | | 5.913%, due 12/25/42 | | | | | 6,946,792 | | | | | | 0.2 | | |
| | 701,549 ^ | | | | 5.963%, due 03/25/42 | | | | | 116,549 | | | | | | 0.0 | | |
| | 16,566,080 ^ | | | | 5.963%, due 11/25/42 | | | | | 3,874,818 | | | | | | 0.1 | | |
| | 15,459,644 ^ | | | | 5.963%, due 02/25/43 | | | | | 3,768,288 | | | | | | 0.1 | | |
| | 1,687,994 ^ | | | | 6.000%, due 08/25/33 | | | | | 415,745 | | | | | | 0.0 | | |
| | 20,131,781 ^ | | | | 6.013%, due 06/25/33 | | | | | 4,456,363 | | | | | | 0.1 | | |
| | 12,403,742 ^ | | | | 6.233%, due 06/25/40 | | | | | 2,130,132 | | | | | | 0.1 | | |
| | 6,022,582 ^ | | | | 6.263%, due 02/25/42 | | | | | 1,042,659 | | | | | | 0.0 | | |
| | 7,469,929 ^ | | | | 6.413%, due 10/25/40 | | | | | 1,433,283 | | | | | | 0.0 | | |
| | 13,711,530 ^ | | | | 6.433%, due 06/25/40 | | | | | 2,387,893 | | | | | | 0.1 | | |
| | 13,455,182 ^ | | | | 6.493%, due 10/25/35 | | | | | 2,590,123 | | | | | | 0.1 | | |
| | 2,080,151 ^ | | | | 6.513%, due 08/25/26 | | | | | 281,884 | | | | | | 0.0 | | |
| | 7,268,952 ^ | | | | 6.553%, due 01/25/37 | | | | | 1,520,767 | | | | | | 0.0 | | |
| | 17,260,687 ^ | | | | 6.563%, due 10/25/35 | | | | | 3,171,651 | | | | | | 0.1 | | |
| | 271,849,694 | | | | 0.687%-32.515%, due 06/01/16-07/01/45 | | | | | 297,485,477 | | | | | | 6.6 | | |
| | 14,128,000 W | | | | 3.000%, due 07/01/29 | | | | | 14,637,822 | | | | | | 0.3 | | |
| | | | | | | | | | | 789,311,324 | | | | | | 17.5 | | |
| | | | | | Government National Mortgage Association: 5.9% | | ||||||||||||
| | 123,677,000 | | | | 3.500%, due 01/20/45 | | | | | 128,034,700 | | | | | | 2.9 | | |
| | 11,564,555 ^ | | | | 4.000%, due 08/16/26 | | | | | 1,486,371 | | | | | | 0.0 | | |
| | 17,758,498 | | | | 4.000%, due 03/20/45 | | | | | 18,939,646 | | | | | | 0.4 | | |
| | 7,350,903 ^ | | | | 4.500%, due 12/20/37 | | | | | 532,940 | | | | | | 0.0 | | |
| | 4,647,459 ^ | | | | 4.500%, due 05/20/40 | | | | | 679,250 | | | | | | 0.0 | | |
| | 3,334,075 ^ | | | | 5.000%, due 11/20/39 | | | | | 551,530 | | | | | | 0.0 | | |
| | 11,445,174 ^ | | | | 5.000%, due 01/20/40 | | | | | 2,906,061 | | | | | | 0.1 | | |
| | 7,525,611 ^ | | | | 5.000%, due 03/20/40 | | | | | 1,245,178 | | | | | | 0.0 | | |
| | 4,037,531 ^ | | | | 5.000%, due 10/20/40 | | | | | 686,380 | | | | | | 0.0 | | |
| | 10,697,243 ^ | | | | 5.413%, due 06/20/44 | | | | | 2,219,880 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
78
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | | |||||||||||||||||||||
| | | | | | | Government National Mortgage Association (continued) | | |||||||||||||||
| | | 24,604,924 ^ | | | | 5.415%, due 04/16/44 | | | | $ | 3,900,835 | | | | | | 0.1 | | | |||
| | | 31,379,851 ^ | | | | 5.500%, due 11/20/43 | | | | | 6,928,363 | | | | | | 0.2 | | | |||
| | | 7,507,398 ^ | | | | 5.663%, due 06/20/40 | | | | | 1,163,382 | | | | | | 0.0 | | | |||
| | | 27,674,658 ^ | | | | 5.863%, due 07/20/39 | | | | | 4,341,099 | | | | | | 0.1 | | | |||
| | | 31,682,887 ^ | | | | 5.915%, due 05/16/40 | | | | | 4,475,208 | | | | | | 0.1 | | | |||
| | | 28,807,913 ^ | | | | 6.000%, due 05/16/44 | | | | | 7,908,224 | | | | | | 0.2 | | | |||
| | | 26,882,172 ^ | | | | 6.013%, due 05/20/37 | | | | | 4,660,995 | | | | | | 0.1 | | | |||
| | | 5,069,379 ^ | | | | 6.013%, due 06/20/38 | | | | | 617,211 | | | | | | 0.0 | | | |||
| | | 9,541,263 ^ | | | | 6.013%, due 04/20/39 | | | | | 1,639,905 | | | | | | 0.1 | | | |||
| | | 34,027,563 ^ | | | | 6.015%, due 12/16/39 | | | | | 5,465,677 | | | | | | 0.1 | | | |||
| | | 34,330,078 ^ | | | | 6.015%, due 04/16/44 | | | | | 5,568,239 | | | | | | 0.1 | | | |||
| | | 5,798,703 ^ | | | | 6.113%, due 05/20/39 | | | | | 669,998 | | | | | | 0.0 | | | |||
| | | 4,480,567 ^ | | | | 6.213%, due 04/20/38 | | | | | 736,541 | | | | | | 0.0 | | | |||
| | | 3,441,280 ^ | | | | 6.315%, due 05/16/38 | | | | | 639,869 | | | | | | 0.0 | | | |||
| | | 9,770,996 ^ | | | | 6.315%, due 01/16/39 | | | | | 1,624,428 | | | | | | 0.0 | | | |||
| | | 13,966,011 ^ | | | | 6.433%, due 08/20/40 | | | | | 2,951,313 | | | | | | 0.1 | | | |||
| | | 6,213,491 ^ | | | | 6.465%, due 09/16/40 | | | | | 1,115,382 | | | | | | 0.0 | | | |||
| | | 14,037,381 ^ | | | | 6.483%, due 06/20/41 | | | | | 2,675,876 | | | | | | 0.1 | | | |||
| | | 2,609,463 ^ | | | | 6.585%, due 02/16/35 | | | | | 461,875 | | | | | | 0.0 | | | |||
| | | 4,793,626 ^ | | | | 6.813%, due 04/20/36 | | | | | 414,927 | | | | | | 0.0 | | | |||
| | | 43,571,163 | | | | 1.625%-24.623%, due 01/20/27-10/20/60 | | | | | 48,160,836 | | | | | | 1.1 | | | |||
| | | | | | | | | | | | 263,402,119 | | | | | | 5.9 | | | |||
| | | | | | | Total U.S. Government Agency Obligations (Cost $1,531,512,193) | | | | | 1,560,749,869 | | | | | | 34.6 | | | |||
| FOREIGN GOVERNMENT BONDS: 0.5% | | |||||||||||||||||||||
| | | 13,848,000 | | | | European Investment Bank, 1.000%, 03/15/18 | | | | | 13,820,955 | | | | | | 0.3 | | | |||
| | | 10,705,000 | | | | Other Securities | | | | | 10,661,810 | | | | | | 0.2 | | | |||
| | | | | | | Total Foreign Government Bonds (Cost $24,311,761) | | | | | 24,482,765 | | | | | | 0.5 | | | |||
|
Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
MUTUAL FUNDS: 12.6% | | ||||||||||||||||||
| | | | | | Affiliated Investment Companies: 12.6% | | ||||||||||||
| | 7,099,238 | | | | Voya Emerging Markets Corporate Debt Fund - Class P | | | | | 69,430,552 | | | | | | 1.5 | | |
| | 10,882,452 | | | | Voya Emerging Markets Hard Currency Debt Fund - Class P | | | | | 101,424,450 | | | | | | 2.3 | | |
| | 7,042,918 | | | | Voya Emerging Markets Local Currency Debt Fund - Class P | | | | | 53,174,033 | | | | | | 1.2 | | |
| | 2,148,924 | | | | Voya Floating Rate Fund - Class P | | | | | 21,618,171 | | | | | | 0.5 | | |
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
MUTUAL FUNDS: (continued) | | |||||||||||||||||||||
| | | | | | Affiliated Investment Companies (continued) | | |||||||||||||||
| | 13,078,888 | | | | Voya High Yield Bond Fund - Class P | | | | $ | 105,415,840 | | | | | | 2.3 | | | |||
| | 10,503,823 | | | | Voya Investment Grade Credit Fund - Class P | | | | | 111,445,557 | | | | | | 2.5 | | | |||
| | 10,267,980 | | | | Voya Securitized Credit Fund - Class P | | | | | 104,938,756 | | | | | | 2.3 | | | |||
| | | | | | Total Mutual Funds (Cost $593,382,834) | | | | | 567,447,359 | | | | | | 12.6 | | | |||
PREFERRED STOCK: 0.0% | | |||||||||||||||||||||
| | | | | | Financials: 0.0% | | |||||||||||||||
| | 751 #,P | | | | Ally Financial, Inc. | | | | | 762,617 | | | | | | 0.0 | | | |||
| | | | | | Total Preferred Stock (Cost $722,838) | | | | | 762,617 | | | | | | 0.0 | | | |||
| | | | | | Total Long-Term Investments (Cost $4,868,113,293) | | | | | 4,888,702,395 | | | | | | 108.5 | | | |||
|
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
SHORT-TERM INVESTMENTS: 7.6% | | ||||||||||||||||||
| | | | | | Commercial Paper: 6.9% | | ||||||||||||
| | 5,000,000 | | | | American Elec Power, 0.220%, 07/15/15 | | | | | 4,999,550 | | | | | | 0.1 | | |
| | 15,000,000 | | | | American Elec Power, 0.250%, 07/13/15 | | | | | 14,998,650 | | | | | | 0.4 | | |
| | 5,000,000 | | | | Autozone Inc., 0.240%, 07/06/15 | | | | | 4,999,800 | | | | | | 0.1 | | |
| | 5,000,000 | | | | Autozone Inc., 0.260%, 07/20/15 | | | | | 4,999,300 | | | | | | 0.1 | | |
| | 4,000,000 | | | | Autozone Inc., 0.260%, 07/21/15 | | | | | 3,999,400 | | | | | | 0.1 | | |
| | 10,000,000 | | | | Campbell Soup Co., 0.300%, 09/17/15 | | | | | 9,993,600 | | | | | | 0.2 | | |
| | 5,000,000 | | | | Campbell Soup Co., 0.450%, 12/07/15 | | | | | 4,990,200 | | | | | | 0.1 | | |
| | 22,500,000 | | | | Consolidated Edison Inc., 0.180%, 07/06/15 | | | | | 22,499,325 | | | | | | 0.5 | | |
| | 61,558,000 | | | | Crown PT, 07/01/15 | | | | | 61,558,000 | | | | | | 1.4 | | |
| | 5,000,000 | | | | CVS Health, 0.270%, 07/31/15 | | | | | 4,998,850 | | | | | | 0.1 | | |
| | 10,000,000 | | | | CVS Health, 0.260%, 07/24/15 | | | | | 9,998,300 | | | | | | 0.2 | | |
| | 12,500,000 | | | | Duke Energy, 0.240%, 07/06/15 | | | | | 12,499,500 | | | | | | 0.3 | | |
| | 7,500,000 | | | | Duke Energy, 0.280%, 08/03/15 | | | | | 7,498,050 | | | | | | 0.1 | | |
| | 17,000,000 | | | | Kellogg Co., 0.260%, 07/10/15 | | | | | 16,998,810 | | | | | | 0.4 | | |
| | 10,000,000 | | | | Kroger, 0.260%, 07/20/15 | | | | | 9,998,600 | | | | | | 0.2 | | |
| | 34,500,000 | | | | Kroger, 0.240%, 07/01/15 | | | | | 34,499,770 | | | | | | 0.8 | | |
See Accompanying Notes to Financial Statements
79
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
SHORT-TERM INVESTMENTS: (continued) | | ||||||||||||||||||
| | | | | | Commercial Paper (continued) | | ||||||||||||
| | 6,000,000 | | | | McDonalds Corp., 0.180%, 07/14/15 | | | | $ | 5,999,580 | | | | | | 0.1 | | |
| | 4,500,000 | | | | Mondelez Intl., 0.270%, 07/28/15 | | | | | 4,499,055 | | | | | | 0.1 | | |
| | 13,000,000 | | | | Mondelez Intl., 0.320%, 09/09/15 | | | | | 12,991,940 | | | | | | 0.3 | | |
| | 3,000,000 | | | | Mondelez Intl., 0.230%, 07/14/15 | | | | | 2,999,730 | | | | | | 0.1 | | |
| | 10,000,000 | | | | Monsanto Co., 0.290%, 08/10/15 | | | | | 9,996,800 | | | | | | 0.2 | | |
| | 5,000,000 | | | | Monsanto Co., 0.290%, 08/17/15 | | | | | 4,998,100 | | | | | | 0.1 | | |
| | 5,000,000 | | | | Monsanto Co., 0.300%, 08/24/15 | | | | | 4,997,750 | | | | | | 0.1 | | |
| | 20,000,000 | | | | NBC Universal Enterprise, 0.250%, 07/13/15 | | | | | 19,998,200 | | | | | | 0.5 | | |
| | 5,000,000 | | | | Virginia Electric & Power Co., 0.260%, 08/17/15 | | | | | 4,998,300 | | | | | | 0.1 | | |
| | 10,000,000 | | | | Virginia Electric & Power Co., 0.290%, 09/08/15 | | | | | 9,994,500 | | | | | | 0.2 | | |
| | | | | | | | | | | 311,003,660 | | | | | | 6.9 | | |
| | | | | | Securities Lending Collateralcc: 0.3% | | ||||||||||||
| | 3,333,273 | | | | Cantor Fitzgerald, Repurchase Agreement dated 06/30/15, 0.15%, due 07/01/15 (Repurchase Amount $3,333,287, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-8.500%, Market Value plus accrued interest $3,399,938, due 07/15/15-05/20/65) | | | | | 3,333,273 | | | | | | 0.1 | | |
| | 2,454,811 | | | | Daiwa Capital Markets, Repurchase Agreement dated 06/30/15, 0.18%, due 07/01/15 (Repurchase Amount $2,454,823, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.250%, Market Value plus accrued interest $2,503,895, due 11/15/15-03/01/48) | | | | | 2,454,811 | | | | | | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| SHORT-TERM INVESTMENTS: (continued) | | ||||||||||||||||||
| | | | | | | Securities Lending Collateralcc (continued) | | ||||||||||||
| | | 3,333,300 | | | | Millenium Fixed Income Ltd., Repurchase Agreement dated 06/30/15, 0.17%, due 07/01/15 (Repurchase Amount $3,333,316, collateralized by various U.S. Government Securities, 0.750%-2.750%, Market Value plus accrued interest $3,399,966, due 01/15/17- 08/15/42) | | | | $ | 3,333,300 | | | | | | 0.1 | | |
| | | 3,333,273 | | | | Nomura Securities, Repurchase Agreement dated 06/30/15, 0.14%, due 07/01/15 (Repurchase Amount $3,333,286, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $3,399,939, due 07/31/15-05/20/65) | | | | | 3,333,273 | | | | | | 0.1 | | |
| | | 1,580,131 | | | | State of Wisconsin Investment Board, Repurchase Agreement dated 06/30/15, 0.20%, due 07/01/15 (Repurchase Amount $1,580,140, collateralized by various U.S. Government Securities, 0.125%-2.500%, Market Value plus accrued interest $1,612,339, due 01/15/17- 01/15/29) | | | | | 1,580,131 | | | | | | 0.0 | | |
| | | | | | | | | | | | 14,034,788 | | | | | | 0.3 | | |
See Accompanying Notes to Financial Statements
80
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| | | | | | Mutual Funds: 0.4% | | |||||||||||||||
| | 18,386,000 | | | | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† (Cost $18,386,000) | | | | $ | 18,386,000 | | | | | | 0.4 | | | |||
| | | | | | Total Short-Term Investments (Cost $343,390,679) | | | | | 343,424,448 | | | | | | 7.6 | | | |||
| | | | | | Total Investments in Securities (Cost $5,211,503,972) | | | | $ | 5,232,126,843 | | | | | | 116.1 | | | |||
| | | | | | Liabilities in Excess of Other Assets | | | | | (724,023,764) | | | | | | (16.1) | | | |||
| | | | | | Net Assets | | | | $ | 4,508,103,079 | | | | | | 100.0 | | | |||
|
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2015.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
††
Rate shown is the 7-day yield as of June 30, 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.
P
Preferred Stock may be called prior to convertible date.
cc
Represents securities purchased with cash collateral received for securities on loan.
W
Settlement is on a when-issued or delayed-delivery basis.
L
Loaned security, a portion or all of the security is on loan at June 30, 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.
(a)
This grouping contains securities on loan.
Cost for federal income tax purposes is $5,214,949,560.
Net unrealized appreciation consists of:
| Gross Unrealized Appreciation | | | | $ | 80,496,831 | | | |
| Gross Unrealized Depreciation | | | | | (63,319,548) | | | |
| Net Unrealized Appreciation | | | | $ | 17,177,283 | | | |
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2015 in valuing the assets and liabilities:
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Asset Table | | | | | | ||||||||||||||||||||||||
Investments, at fair value | | | | | | ||||||||||||||||||||||||
Mutual Funds | | | | $ | 567,447,359 | | | | | $ | — | | | | | $ | — | | | | | $ | 567,447,359 | | | ||||
Preferred Stock | | | | | — | | | | | | 762,617 | | | | | | — | | | | | | 762,617 | | | ||||
Corporate Bonds/Notes | | | | | — | | | | | | 1,391,251,922 | | | | | | — | | | | | | 1,391,251,922 | | | ||||
Collateralized Mortgage Obligations | | | | | — | | | | | | 471,819,160 | | | | | | — | | | | | | 471,819,160 | | | ||||
Short-Term Investments | | | | | 18,386,000 | | | | | | 325,038,448 | | | | | | — | | | | | | 343,424,448 | | | ||||
U.S. Treasury Obligations | | | | | — | | | | | | 458,527,213 | | | | | | — | | | | | | 458,527,213 | | | ||||
U.S. Government Agency Obligations | | | | | — | | | | | | 1,560,749,869 | | | | | | — | | | | | | 1,560,749,869 | | | ||||
Asset-Backed Securities | | | | | — | | | | | | 413,661,490 | | | | | | — | | | | | | 413,661,490 | | | ||||
Foreign Government Bonds | | | | | — | | | | | | 24,482,765 | | | | | | — | | | | | | 24,482,765 | | | ||||
Total Investments, at fair value | | | | $ | 585,833,359 | | | | | $ | 4,646,293,484 | | | | | $ | — | | | | | $ | 5,232,126,843 | | | ||||
Other Financial Instruments+ | | | | | | ||||||||||||||||||||||||
Centrally Cleared Swaps | | | | | — | | | | | | 14,700,651 | | | | | | — | | | | | | 14,700,651 | | | ||||
Forward Foreign Currency Contracts | | | | | — | | | | | | 947,562 | | | | | | — | | | | | | 947,562 | | | ||||
Futures | | | | | 627,498 | | | | | | — | | | | | | — | | | | | | 627,498 | | | ||||
Total Assets | | | | $ | 586,460,857 | | | | | $ | 4,661,941,697 | | | | | $ | — | | | | | $ | 5,248,402,554 | | | ||||
|
See Accompanying Notes to Financial Statements
81
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Liabilities Table | | | | | | ||||||||||||||||||||||||
Other Financial Instruments+ | | | | | | ||||||||||||||||||||||||
Centrally Cleared Swaps | | | | $ | — | | | | | $ | (15,775,785) | | | | | $ | — | | | | | $ | (15,775,785) | | | ||||
Forward Foreign Currency Contracts | | | | | — | | | | | | (2,024,444) | | | | | | — | | | | | | (2,024,444) | | | ||||
Futures | | | | | (5,614,222) | | | | | | — | | | | | | — | | | | | | (5,614,222) | | | ||||
Total Liabilities | | | | $ | (5,614,222) | | | | | $ | (17,800,229) | | | | | $ | — | | | | | $ | (23,414,451) | | | ||||
|
^
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.
Transactions with Affiliates
An investment of at least 5% of the voting securities of an issuer, or a company which is under common control results in that issuer becoming an affiliated person as defined by the 1940 Act.
The following table provides transactions during the period ended June 30, 2015, where the following issuers were considered an affiliate:
Issuer | | | Beginning Fair Value at 12/31/14 | | | Purchases at Cost | | | Sales at Cost | | | Change in Unrealized Appreciation/ (Depreciation) | | | Ending Fair Value at 6/30/2015 | | | Investment Income | | | Realized Gains/ (Losses) | | | Net Capital Gain Distributions | | ||||||||||||||||||||||||||||||||
Voya Emerging Markets Corporate Debt Fund – Class P | | | | $ | 67,321,662 | | | | | $ | 1,699,148 | | | | | $ | — | | | | | $ | 409,742 | | | | | $ | 69,430,552 | | | | | $ | 1,699,147 | | | | | $ | — | | | | | $ | — | | | ||||||||
Voya Emerging Markets Hard Currency Debt Fund – Class P | | | | | 127,656,962 | | | | | | 3,231,026 | | | | | | (30,545,122) | | | | | | 1,081,584 | | | | | | 101,424,450 | | | | | | 3,231,026 | | | | | | (2,019,122) | | | | | | — | | | ||||||||
Voya Emerging Markets Local Currency Debt Fund – Class P | | | | | 55,850,342 | | | | | | — | | | | | | — | | | | | | (2,676,309) | | | | | | 53,174,033 | | | | | | — | | | | | | — | | | | | | — | | | ||||||||
Voya Floating Rate Fund – Class P | | | | | 21,006,226 | | | | | | 487,034 | | | | | | — | | | | | | 124,911 | | | | | | 21,618,171 | | | | | | 487,034 | | | | | | — | | | | | | — | | | ||||||||
Voya High Yield Bond Fund – Class P | | | | | 97,142,654 | | | | | | 8,126,359 | | | | | | — | | | | | | 146,827 | | | | | | 105,415,840 | | | | | | 3,126,164 | | | | | | — | | | | | | — | | | ||||||||
Voya Investment Grade Credit Fund – Class P | | | | | 111,937,388 | | | | | | 2,150,098 | | | | | | — | | | | | | (2,641,929) | | | | | | 111,445,557 | | | | | | 2,150,117 | | | | | | — | | | | | | — | | | ||||||||
Voya Securitized Credit Fund – Class P | | | | | 102,238,782 | | | | | | 2,299,840 | | | | | | — | | | | | | 400,134 | | | | | | 104,938,756 | | | | | | 2,299,840 | | | | | | — | | | | | | — | | | ||||||||
| | | | $ | 583,154,016 | | | | | $ | 17,993,505 | | | | | $ | (30,545,122) | | | | | $ | (3,155,040) | | | | | $ | 567,447,359 | | | | | $ | 12,993,328 | | | | | $ | (2,019,122) | | | | | $ | — | | | ||||||||
|
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At June 30, 2015, the following forward foreign currency contracts were outstanding for Voya Intermediate Bond Portfolio:
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Barclays Bank PLC | | | EU Euro | | | | | 19,957,775 | | | | | | Buy | | | | | | 08/14/15 | | | | | $ | 22,641,750 | | | | | $ | 22,263,345 | | | | | $ | (378,405) | | |
Barclays Bank PLC | | | Singapore Dollar | | | | | 1,301,141 | | | | | | Buy | | | | | | 08/14/15 | | | | | | 981,172 | | | | | | 965,406 | | | | | | (15,766) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 19,960,164 | | | | | | Buy | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,266,011 | | | | | | (375,739) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 20,143,904 | | | | | | Buy | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,470,977 | | | | | | (170,773) | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 20,141,933 | | | | | | Buy | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,468,778 | | | | | | (172,972) | | |
Morgan Stanley | | | Czech Koruna | | | | | 19,403,537 | | | | | | Buy | | | | | | 09/11/15 | | | | | | 811,396 | | | | | | 794,048 | | | | | | (17,348) | | |
Morgan Stanley | | | EU Euro | | | | | 3,402,925 | | | | | | Buy | | | | | | 08/14/15 | | | | | | 3,861,729 | | | | | | 3,796,039 | | | | | | (65,690) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,196,693) | | |
Barclays Bank PLC | | | Japanese Yen | | | | | 2,792,709,295 | | | | | | Sell | | | | | | 08/14/15 | | | | | $ | 22,641,750 | | | | | $ | 22,830,943 | | | | | $ | (189,193) | | |
Barclays Bank PLC | | | Turkish Lira | | | | | 11,701,978 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 4,220,190 | | | | | | 4,276,971 | | | | | | (56,781) | | |
Citigroup, Inc. | | | Mexican Peso | | | | | 78,679,027 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 5,145,295 | | | | | | 4,980,266 | | | | | | 165,029 | | |
Citigroup, Inc. | | | Philippine Peso | | | | | 30,666,070 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 685,888 | | | | | | 678,885 | | | | | | 7,003 | | |
Deutsche Bank AG | | | EU Euro | | | | | 20,300,476 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,645,636 | | | | | | (3,886) | | |
Deutsche Bank AG | | | Japanese Yen | | | | | 2,792,651,785 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,830,473 | | | | | | (188,723) | | |
Deutsche Bank AG | | | Japanese Yen | | | | | 2,792,742,352 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,831,213 | | | | | | (189,463) | | |
Deutsche Bank AG | | | Romanian New Leu | | | | | 2,063,414 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 523,778 | | | | | | 513,522 | | | | | | 10,256 | | |
Deutsche Bank AG | | | Malaysian Ringgit | | | | | 20,214,909 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 5,629,796 | | | | | | 5,365,973 | | | | | | 263,823 | | |
See Accompanying Notes to Financial Statements
82
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Counterparty | | | Currency | | | Contract Amount | | | Buy/Sell | | | Settlement Date | | | In Exchange For | | | Fair Value | | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Goldman Sachs & Co. | | | EU Euro | | | | | 20,291,243 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,635,337 | | | | | | 6,413 | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 20,290,866 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,634,917 | | | | | | 6,833 | | |
Goldman Sachs & Co. | | | EU Euro | | | | | 20,292,692 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,636,953 | | | | | | 4,797 | | |
Goldman Sachs & Co. | | | Japanese Yen | | | | | 2,792,404,763 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 22,641,750 | | | | | | 22,828,453 | | | | | | (186,703) | | |
HSBC Bank PLC | | | Peruvian Nuevo Sol | | | | | 6,689,361 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 2,085,212 | | | | | | 2,081,890 | | | | | | 3,322 | | |
JPMorgan Chase & Co. | | | Brazilian Real | | | | | 10,946,559 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 3,488,387 | | | | | | 3,429,908 | | | | | | 58,479 | | |
JPMorgan Chase & Co. | | | Indonesian Rupiah | | | | | 50,194,746,125 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 3,716,202 | | | | | | 3,721,990 | | | | | | (5,788) | | |
Morgan Stanley | | | Colombian Peso | | | | | 6,651,495,118 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 2,603,325 | | | | | | 2,533,016 | | | | | | 70,309 | | |
Morgan Stanley | | | Chilean Peso | | | | | 200,391,584 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 315,279 | | | | | | 311,350 | | | | | | 3,929 | | |
Morgan Stanley | | | South African Rand | | | | | 56,586,342 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 4,585,356 | | | | | | 4,592,570 | | | | | | (7,214) | | |
Morgan Stanley | | | Hungarian Forint | | | | | 884,306,740 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 3,233,860 | | | | | | 3,121,629 | | | | | | 112,231 | | |
Morgan Stanley | | | Polish Zloty | | | | | 13,782,743 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 3,762,759 | | | | | | 3,658,548 | | | | | | 104,211 | | |
Morgan Stanley | | | Russian Ruble | | | | | 225,086,922 | | | | | | Sell | | | | | | 09/11/15 | | | | | | 4,079,140 | | | | | | 3,975,945 | | | | | | 103,195 | | |
Morgan Stanley | | | Thai Baht | | | | | 142,019,697 | | | | | | Sell | | | | | | 08/14/15 | | | | | | 4,226,148 | | | | | | 4,198,416 | | | | | | 27,732 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 119,811 | | |
| | | | | | | | |
At June 30, 2015, the following futures contracts were outstanding for Voya Intermediate Bond Portfolio:
Contract Description | | | Number of Contracts | | | Expiration Date | | | Notional Value | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Long Contracts | | | | | | ||||||||||||||||||||
U.S. Treasury 10-Year Note | | | | | 437 | | | | | | 09/21/15 | | | | | $ | 55,137,112 | | | | | $ | 411,542 | | |
U.S. Treasury 2-Year Note | | | | | 570 | | | | | | 09/30/15 | | | | | | 124,794,375 | | | | | | 215,956 | | |
U.S. Treasury Long Bond | | | | | 137 | | | | | | 09/21/15 | | | | | | 20,665,594 | | | | | | (478,916) | | |
U.S. Treasury Ultra Long Bond | | | | | 917 | | | | | | 09/21/15 | | | | | | 141,275,312 | | | | | | (4,822,700) | | |
| | | | | | | | | | | | | | | | $ | 341,872,393 | | | | | $ | (4,674,118) | | |
Short Contracts | | | | | | ||||||||||||||||||||
U.S. Treasury 5-Year Note | | | | | (5,792) | | | | | | 09/30/15 | | | | | | (690,741,236) | | | | | | (312,606) | | |
| | | | | | | | | | | | | | | | $ | (690,741,236) | | | | | $ | (312,606) | | |
| | | | | |
At June 30, 2015, the following centrally cleared interest rate swaps were outstanding for Voya Intermediate Bond Portfolio:
| | | Clearinghouse | | | Termination Date | | | Notional Amount | | | Fair Value | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||||
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.668% | | | Chicago Mercantile Exchange | | | | | 10/30/19 | | | | | | USD | | | | | | 444,148,000 | | | | | $ | (977,861) | | | | | $ | (977,861) | | | |||||
Receive a fixed rate equal to 2.000% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 11/05/19 | | | | | | USD | | | | | | 905,910,000 | | | | | | 14,490,621 | | | | | | 14,490,621 | | | |||||
Receive a fixed rate equal to 2.408% and pay a floating rate based on the 3-month USD-LIBOR-BBA | | | Chicago Mercantile Exchange | | | | | 10/30/24 | | | | | | USD | | | | | | 230,707,000 | | | | | | 210,030 | | | | | | 210,030 | | | |||||
Receive a floating rate equal to the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.760% | | | Chicago Mercantile Exchange | | | | | 11/05/24 | | | | | | USD | | | | | | 480,130,000 | | | | | | (14,797,924) | | | | | | (14,797,924) | | | |||||
| | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,075,134) | | | | | $ | (1,075,134) | | | |||||
|
See Accompanying Notes to Financial Statements
83
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of March 31, 2015 was as follows:
Derivatives not accounted for as hedging instruments | | | Location on Statement of Assets and Liabilities | | | Fair Value | | ||||
Asset Derivatives | | | | | | | | | | | |
Foreign exchange contracts | | | Unrealized appreciation on forward foreign currency contracts | | | | $ | 947,562 | | | |
Interest rate contracts | | | Net Assets — Unrealized appreciation* | | | | | 627,498 | | | |
Interest rate contracts | | | Net Assets — Unrealized appreciation** | | | | | 14,700,651 | | | |
Total Asset Derivatives | | | | | | | $ | 16,275,711 | | | |
Liability Derivatives | | | | | | | | | | | |
Foreign exchange contracts | | | Unrealized depreciation on forward foreign currency contracts | | | | $ | 2,024,444 | | | |
Interest rate contracts | | | Net Assets — Unrealized depreciation* | | | | | 5,614,222 | | | |
Interest rate contracts | | | Net Assets — Unrealized depreciation** | | | | | 15,775,785 | | | |
Total Liability Derivatives | | | | | | | $ | 23,414,451 | | | |
|
*
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 days variation margin receivable/payable is included on the Statement of Assets and Liabilities.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2015 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments | | | Investments* | | | Foreign currency related transactions** | | | Futures | | | Swaps | | | Written options | | | Total | | ||||||||||||||||||||||||
Credit contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,476,621 | | | | | $ | — | | | | | $ | 2,476,621 | | | ||||||
Foreign exchange contracts | | | | | — | | | | | | 455,350 | | | | | | — | | | | | | — | | | | | | — | | | | | | 455,350 | | | ||||||
Interest rate contracts | | | | | (4,404,986) | | | | | | — | | | | | | (14,955,841) | | | | | | 1,232,291 | | | | | | (1,886,618) | | | | | | (20,015,154) | | | ||||||
Total | | | | $ | (4,404,986) | | | | | $ | 455,350 | | | | | $ | (14,955,841) | | | | | $ | 3,708,912 | | | | | $ | (1,886,618) | | | | | $ | (17,083,183) | | | ||||||
|
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 | | | Total | | ||||||||||||||||||||
Credit contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (2,438,471) | | | | | $ | (2,438,471) | | | |||||
Foreign exchange contracts | | | | | — | | | | | | (798,760) | | | | | | — | | | | | | — | | | | | | (798,760) | | | |||||
Interest rate contracts | | | | | 4,856,184 | | | | | | — | | | | | | (7,929,475) | | | | | | 4,714,138 | | | | | | 1,640,847 | | | |||||
Total | | | | $ | 4,856,184 | | | | | $ | (798,760) | | | | | $ | (7,929,475) | | | | | $ | 2,275,667 | | | | | $ | (1,596,384) | | | |||||
|
*
Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments.
**
Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.
See Accompanying Notes to Financial Statements
84
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Intermediate Bond Portfolio | as of June 30, 2015 (Unaudited) (continued) |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2015:
| | | Barclays Bank PLC | | | Citigroup, Inc. | | | Deutsche Bank AG | | | Goldman Sachs & Co. | | | HSBC Bank PLC | | | JPMorgan Chase & Co. | | | Morgan Stanley | | | Totals | | ||||||||||||||||||||||||||||||||
Assets: | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | | | | $ | — | | | | | $ | 172,032 | | | | | $ | 274,079 | | | | | $ | 18,043 | | | | | $ | 3,322 | | | | | $ | 58,479 | | | | | $ | 421,607 | | | | | $ | 947,562 | | | ||||||||
Total Assets | | | | $ | — | | | | | $ | 172,032 | | | | | $ | 274,079 | | | | | $ | 18,043 | | | | | $ | 3,322 | | | | | $ | 58,479 | | | | | $ | 421,607 | | | | | $ | 947,562 | | | ||||||||
Liabilities: | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | | | | $ | 640,145 | | | | | $ | — | | | | | $ | 382,072 | | | | | $ | 906,187 | | | | | $ | — | | | | | $ | 5,788 | | | | | $ | 90,252 | | | | | $ | 2,024,444 | | | ||||||||
Total Liabilities | | | | $ | 640,145 | | | | | $ | — | | | | | $ | 382,072 | | | | | $ | 906,187 | | | | | $ | — | | | | | $ | 5,788 | | | | | $ | 90,252 | | | | | $ | 2,024,444 | | | ||||||||
Net OTC derivative instruments by counterparty, at fair value | | | | $ | (640,145) | | | | | $ | 172,032 | | | | | $ | (107,993) | | | | | $ | (888,144) | | | | | $ | 3,322 | | | | | $ | 52,691 | | | | | $ | 331,355 | | | | | | (1,076,882) | | | ||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | ||||||||
Net Exposure(1) | | | | $ | (640,145) | | | | | $ | 172,032 | | | | | $ | (107,993) | | | | | $ | (888,144) | | | | | $ | 3,322 | | | | | $ | 52,691 | | | | | $ | 331,355 | | | | | $ | (1,076,882) | | | ||||||||
|
(1)
Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features.
See Accompanying Notes to Financial Statements
85
PORTFOLIO OF INVESTMENTS
Voya Money Market Portfolio | as of June 30, 2015 (Unaudited) |
| Investment Type Allocation as of June 30, 2015 (as a percentage of net assets) | | |||
| | | | | |
| Certificates of Deposit | | | 21.7% | |
| Asset Backed Commercial Paper | | | 18.7% | |
| Other Note | | | 17.9% | |
| Financial Company Commercial Paper | | | 13.5% | |
| Government Agency Debt | | | 9.4% | |
| Investment Companies | | | 8.0% | |
| Treasury Debt | | | 7.7% | |
| Other Commercial Paper | | | 1.7% | |
| Government Agency Repurchase Agreement | | | 1.3% | |
| Assets in Excess of Other Liabilities | | | 0.1% | |
| Net Assets | | | 100.0% | |
| Portfolio holdings are subject to change daily. | |
Principal Amount† | | | Value | | | Percentage of Net Assets | | |||||||||||||||
Asset Backed Commercial Paper: 18.7% | | |||||||||||||||||||||
| | 5,200,000 | | | | Barton Capital LLC, 0.132%, due 07/02/15 | | | | $ | 5,199,981 | | | | | | 0.9 | | | |||
| | 250,000 | | | | Barton Capital LLC, 0.203%, due 08/03/15 | | | | | 249,954 | | | | | | 0.0 | | | |||
| | 600,000 | | | | Barton Capital LLC, 0.216%, due 08/06/15 | | | | | 599,880 | | | | | | 0.1 | | | |||
| | 11,900,000 # | | | | Barton Capital LLC, 0.265%, due 07/16/15 | | | | | 11,900,000 | | | | | | 2.1 | | | |||
| | 12,750,000 | | | | Concord Minutemen Capital Co., 0.238%, due 07/06/15 | | | | | 12,749,584 | | | | | | 2.2 | | | |||
| | 10,450,000 | | | | Concord Minutemen Capital Co., 0.325%, due 07/01/15 | | | | | 10,450,000 | | | | | | 1.8 | | | |||
| | 7,100,000 | | | | Crown Point Capital Co., 0.184%, due 07/06/15 | | | | | 7,099,825 | | | | | | 1.2 | | | |||
| | 16,500,000 | | | | Crown Point Capital Co., 0.325%, due 07/01/15 | | | | | 16,500,000 | | | | | | 2.9 | | | |||
| | 7,850,000 | | | | Jupiter Securitization Company LLC, 0.183%, due 07/06/15 | | | | | 7,849,804 | | | | | | 1.4 | | | |||
| | 9,200,000 | | | | Jupiter Securitization Company LLC, 0.284%, due 09/24/15 | | | | | 9,193,918 | | | | | | 1.6 | | | |||
| | 15,500,000 | | | | Old Line Funding LLC, 0.264%, due 07/07/15 | | | | | 15,499,328 | | | | | | 2.7 | | | |||
| | 7,700,000 # | | | | Old Line Funding LLC, 0.305%, due 07/20/15 | | | | | 7,700,000 | | | | | | 1.4 | | | |||
| | 2,000,000 | | | | Thunder Bay Funding LLC, 0.162%, due 07/01/15 | | | | | 2,000,000 | | | | | | 0.4 | | | |||
| | | | | | Total Asset Backed Commercial Paper (Cost $106,992,274) | | | | | 106,992,274 | | | | | | 18.7 | | | |||
|
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
Certificates of Deposit: 21.7% | | ||||||||||||||||||
| | 10,150,000 | | | | Bank of Tokyo - Mitsubishi UFJ NY, 0.250%, due 08/05/ 15 | | | | $ | 10,150,492 | | | | | | 1.8 | | |
| | 5,050,000 # | | | | Barton Capital LLC, 0.214%, due 07/15/15 | | | | | 5,050,000 | | | | | | 0.9 | | |
| | 7,400,000 | | | | Credit Suisse New York, 0.230%, due 08/03/15 | | | | | 7,400,000 | | | | | | 1.3 | | |
| | 10,250,000 | | | | Mizuho Bank Ltd./NY, 0.250%, due 08/03/15 | | | | | 10,250,469 | | | | | | 1.8 | | |
| | 350,000 | | | | Mizuho Bank Ltd./NY, 0.260%, due 07/13/15 | | | | | 350,007 | | | | | | 0.1 | | |
| | 6,900,000 | | | | Mizuho Bank Ltd./NY, 0.260%, due 08/07/15 | | | | | 6,900,212 | | | | | | 1.2 | | |
| | 5,250,000 | | | | Mizuho Bank Ltd./NY, 0.270%, due 07/31/15 | | | | | 5,250,262 | | | | | | 0.9 | | |
| | 6,850,000 | | | | Nordea Bank Finland NY, 0.185%, due 07/07/15 | | | | | 6,850,040 | | | | | | 1.2 | | |
| | 16,250,000 | | | | Nordea Bank Finland NY, 0.214%, due 07/15/15 | | | | | 16,250,000 | | | | | | 2.8 | | |
| | 7,450,000 | | | | Skandinav Enskilda Bank NY, 0.250%, due 07/02/15 | | | | | 7,450,019 | | | | | | 1.3 | | |
| | 2,000,000 | | | | Skandinaviska Enskilda Banken AB, 0.122%, due 07/07/15 | | | | | 1,999,960 | | | | | | 0.4 | | |
| | 10,800,000 | | | | Sumitomo Mitsui Bank NY, 0.160%, due 07/06/15 | | | | | 10,800,000 | | | | | | 1.9 | | |
| | 12,000,000 | | | | Sumitomo Mitsui Bank NY, 0.180%, due 07/06/15 | | | | | 12,000,000 | | | | | | 2.1 | | |
| | 1,200,000 | | | | Svenska Handelsbanken NY, 0.190%, due 07/01/15 | | | | | 1,200,000 | | | | | | 0.2 | | |
| | 750,000 | | | | Svenska Handelsbanken NY, 0.205%, due 08/06/15 | | | | | 750,034 | | | | | | 0.1 | | |
| | 21,250,000 # | | | | Thunder Bay Funding LLC, 0.288%, due 07/13/15 | | | | | 21,250,000 | | | | | | 3.7 | | |
| | | | | | Total Certificates of Deposit (Cost $123,901,495) | | | | | 123,901,495 | | | | | | 21.7 | | |
Financial Company Commercial Paper: 13.5% | | ||||||||||||||||||
| | 14,500,000 # | | | | Australia & New Zealand Banking Group Ltd., 0.338%, due 07/20/15 | | | | | 14,500,000 | | | | | | 2.5 | | |
| | 13,000,000 | | | | Bank of Tokyo - Mitsubishi UFJ NY, 0.167%, due 07/01/ 15 | | | | | 13,000,000 | | | | | | 2.3 | | |
| | 15,500,000 | | | | Credit Suisse New York, 0.260%, due 07/02/15 | | | | | 15,499,890 | | | | | | 2.7 | | |
| | 500,000 | | | | Nordea Bank AB, 0.203%, due 07/06/15 | | | | | 499,986 | | | | | | 0.1 | | |
| | 5,000,000 | | | | PNC Bank NA, 0.203%, due 07/01/15 | | | | | 5,000,000 | | | | | | 0.9 | | |
See Accompanying Notes to Financial Statements
86
PORTFOLIO OF INVESTMENTS
Voya Money Market Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | |||||||||||||||
Financial Company Commercial Paper: (continued) | | |||||||||||||||||||||
| | 4,500,000 | | | | Skandinaviska Enskilda Banken AB, 0.152%, due 07/06/15 | | | | $ | 4,499,906 | | | | | | 0.8 | | | |||
| | 22,400,000 | | | | Societe Generale, 0.204%, due 08/03/15 | | | | | 22,395,876 | | | | | | 3.9 | | | |||
| | 1,235,000 | | | | Societe Generale, 0.234%, due 07/02/15 | | | | | 1,234,992 | | | | | | 0.2 | | | |||
| | 600,000 | | | | UBS Finance Delaware LLC, 0.203%, due 08/03/15 | | | | | 599,890 | | | | | | 0.1 | | | |||
| | | | | | Total Financial Company Commercial Paper (Cost $77,230,540) | | | | | 77,230,540 | | | | | | 13.5 | | | |||
Government Agency Debt: 9.4% | | |||||||||||||||||||||
| | 7,620,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.066%, due 08/14/15 | | | | | 7,619,398 | | | | | | 1.3 | | | |||
| | 2,000,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.066%, due 08/19/15 | | | | | 1,999,823 | | | | | | 0.4 | | | |||
| | 6,000,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.067%, due 08/21/15 | | | | | 5,999,439 | | | | | | 1.0 | | | |||
| | 12,170,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.071%, due 08/12/15 | | | | | 12,168,998 | | | | | | 2.1 | | | |||
| | 4,000,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.071%, due 08/05/15 | | | | | 3,999,728 | | | | | | 0.7 | | | |||
| | 750,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.081%, due 08/26/15 | | | | | 749,906 | | | | | | 0.1 | | | |||
| | 2,000,000 Z | | | | Federal Home Loan Bank Discount Notes, 0.091%, due 09/15/15 | | | | | 1,999,620 | | | | | | 0.3 | | | |||
| | 500,000 Z | | | | Freddie Mac Discount Notes, 0.056%, due 08/28/15 | | | | | 499,952 | | | | | | 0.1 | | | |||
| | 1,560,000 Z | | | | Freddie Mac Discount Notes, 0.071%, due 07/24/15 | | | | | 1,559,930 | | | | | | 0.3 | | | |||
| | 2,000,000 Z | | | | Freddie Mac Discount Notes, 0.071%, due 07/27/15 | | | | | 1,999,899 | | | | | | 0.4 | | | |||
| | 12,100,000 Z | | | | Freddie Mac Discount Notes, 0.071%, due 09/17/15 | | | | | 12,098,165 | | | | | | 2.1 | | | |||
| | 3,250,000 Z | | | | Freddie Mac Discount Notes, 0.117%, due 08/14/15 | | | | | 3,249,543 | | | | | | 0.6 | | | |||
| | | | | | Total Government Agency Debt (Cost $53,944,401) | | | | | 53,944,401 | | | | | | 9.4 | | | |||
|
Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
Government Agency Repurchase Agreement: 1.3% | | ||||||||||||||||||
| | 7,204,000 | | | | Morgan Stanley Repurchase Agreement dated 6/30/2015, 0.07%, due 7/01/15, $7,204,014 to be received upon repurchase (Collateralized by $7,499,470, Various US Gov Agency Oblig, 0.0-2.83%, Market Value plus accrued interest $7,348,082 due 7/23/15-4/15/ 30) | | | | $ | 7,204,000 | | | | | | 1.3 | | |
| | | | | | Total Government Agency Repurchase Agreement (Cost $7,204,000) | | | | | 7,204,000 | | | | | | 1.3 | | |
Investment Companies: 8.0% | | ||||||||||||||||||
| | 23,000,000 | | | | BlackRock Liquidity Funds, TempCash, Institutional, 0.088%, due 07/01/15 | | | | | 23,000,000 | | | | | | 4.0 | | |
| | 23,000,000 | | | | BlackRock Liquidity Funds, TempFund, Institutional, 0.084%, due 07/01/15 | | | | | 23,000,000 | | | | | | 4.0 | | |
| | | | | | Total Investment Companies (Cost $46,000,000) | | | | | 46,000,000 | | | | | | 8.0 | | |
Other Commercial Paper: 1.7% | | ||||||||||||||||||
| | 3,000,000 | | | | Cargill, Inc., 0.081%, due 07/08/15 | | | | | 2,999,953 | | | | | | 0.5 | | |
| | 6,772,000 | | | | Cargill, Inc., 0.112%, due 07/06/15 | | | | | 6,771,897 | | | | | | 1.2 | | |
| | | | | | Total Other Commercial Paper (Cost $9,771,850) | | | | | 9,771,850 | | | | | | 1.7 | | |
Other Note: 17.9% | | ||||||||||||||||||
| | 1,250,000 | | | | General Electric Capital Corp., 0.474%, due 07/10/15 | | | | | 1,251,365 | | | | | | 0.2 | | |
| | 11,600,000 | | | | JPMorgan Chase Bank NA, 0.356%, due 07/22/15 | | | | | 11,600,192 | | | | | | 2.0 | | |
| | 15,250,000 # | | | | Royal Bank of Canada, 0.408%, due 07/01/15 | | | | | 15,250,000 | | | | | | 2.7 | | |
| | 12,000,000 | | | | Svenska Handelsbanken AB, 0.386%, due 07/07/15 | | | | | 12,000,000 | | | | | | 2.1 | | |
| | 3,000,000 # | | | | Svenska Handelsbanken AB, 0.456%, due 07/06/15 | | | | | 3,000,000 | | | | | | 0.5 | | |
| | 11,350,000 # | | | | Toronto-Dominion Bank, 2.200%, due 07/29/15 | | | | | 11,366,700 | | | | | | 2.0 | | |
| | 8,500,000 | | | | Toyota Motor Credit Corp., 0.302%, due 09/14/15 | | | | | 8,500,000 | | | | | | 1.5 | | |
See Accompanying Notes to Financial Statements
87
PORTFOLIO OF INVESTMENTS
Voya Money Market Portfolio | as of June 30, 2015 (Unaudited) (continued) |
Principal Amount† | | | Value | | | Percentage of Net Assets | | |||||||||||||||
Other Note: (continued) | | |||||||||||||||||||||
| | 16,750,000 | | | | Wells Fargo Bank NA, 0.380%, due 09/24/15 | | | | $ | 16,750,000 | | | | | | 2.9 | | | |||
| | 7,825,000 # | | | | Westpac Banking Corp., 1.375%, due 07/17/15 | | | | | 7,828,823 | | | | | | 1.4 | | | |||
| | 14,750,000 | | | | Westpac Banking Corp, 0.533%, due 07/28/15 | | | | | 14,750,000 | | | | | | 2.6 | | | |||
| | | | | | Total Other Note (Cost $102,297,080) | | | | | 102,297,080 | | | | | | 17.9 | | | |||
Treasury Debt: 7.7% | | |||||||||||||||||||||
| | 43,911,000 | | | | United States Treasury Bill, 0.065%, due 12/24/15 | | | | | 43,897,168 | | | | | | 7.7 | | | |||
| | | | | | Total Treasury Debt (Cost $43,897,168) | | | | | 43,897,168 | | | | | | 7.7 | | | |||
| | | | | | Total Investments in Securities (Cost $571,238,808) | | | | $ | 571,238,808 | | | | | | 99.9 | | | |||
| | | | | | Assets in Excess of Other Liabilities | | | | | 286,380 | | | | | | 0.1 | | | |||
| | | | | | Net Assets | | | | $ | 571,525,188 | | | | | | 100.0 | | | |||
|
†
Unless otherwise indicated, principal amount is shown in USD.
#
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.
Z
Indicates Zero Coupon Bond; rate shown reflects current effective yield.
Cost for federal income tax purposes is the same as for financial statement purposes.
Net unrealized depreciation consists of:
| Gross Unrealized Appreciation | | | | $ | — | | | |
| Gross Unrealized Depreciation | | | | | — | | | |
| Net Unrealized Depreciation | | | | $ | — | | | |
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2015 in valuing the assets and liabilities:
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Asset Table | | | | | | ||||||||||||||||||||||||
Investments, at fair value | | | | | | ||||||||||||||||||||||||
Other Note | | | | $ | — | | | | | $ | 102,297,080 | | | | | $ | — | | | | | $ | 102,297,080 | | | ||||
Government Agency Debt | | | | | — | | | | | | 53,944,401 | | | | | | — | | | | | | 53,944,401 | | | ||||
Government Agency Repurchase Agreement | | | | | — | | | | | | 7,204,000 | | | | | | — | | | | | | 7,204,000 | | | ||||
Treasury Debt | | | | | — | | | | | | 43,897,168 | | | | | | — | | | | | | 43,897,168 | | | ||||
Other Commercial Paper | | | | | — | | | | | | 9,771,850 | | | | | | — | | | | | | 9,771,850 | | | ||||
Certificates of Deposit | | | | | — | | | | | | 123,901,495 | | | | | | — | | | | | | 123,901,495 | | | ||||
Financial Company Commercial Paper | | | | | — | | | | | | 77,230,540 | | | | | | — | | | | | | 77,230,540 | | | ||||
Investment Companies | | | | | 46,000,000 | | | | | | — | | | | | | — | | | | | | 46,000,000 | | | ||||
Asset Backed Commercial Paper | | | | | — | | | | | | 106,992,274 | | | | | | — | | | | | | 106,992,274 | | | ||||
Total Investments, at fair value | | | | $ | 46,000,000 | | | | | $ | 525,238,808 | | | | | $ | — | | | | | $ | 571,238,808 | | | ||||
|
^
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
See Accompanying Notes to Financial Statements
88
PORTFOLIO OF INVESTMENTS
Voya Money Market Portfolio | as of June 30, 2015 (Unaudited) (continued) |
The following table is a summary of the Portfolio’s repurchase agreements by counterparty which are subject to offset under a MRA as of June 30, 2015.
Counterparty | | | Repurchase Agreement, at fair value | | | Fair Value of Non-Cash Collateral Received Including Accrued Interest(1) | | | Net Amount | | ||||||||||||
Morgan Stanley | | | | $ | 7,204,000 | | | | | $ | (7,204,000) | | | | | $ | — | | | |||
Totals | | | | $ | 7,204,000 | | | | | $ | (7,204,000) | | | | | $ | — | | | |||
|
(1)
Collateral with a fair value of $7,499,470 has been pledged in connection with the above repurchase agreement.
Excess collateral received from the individual counterparty is not shown for financial reporting purposes.
See Accompanying Notes to Financial Statements
89
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Small Company Portfolio | as of June 30, 2015 (Unaudited) |
| Sector Diversification as of June 30, 2015 (as a percentage of net assets) | | |||
| | | | | |
| Financials | | | 23.8% | |
| Information Technology | | | 17.0% | |
| Industrials | | | 16.6% | |
| Consumer Discretionary | | | 13.6% | |
| Health Care | | | 13.4% | |
| Materials | | | 4.4% | |
| Energy | | | 3.0% | |
| Utilities | | | 2.0% | |
| Consumer Staples | | | 2.0% | |
| Exchange-Traded Funds | | | 0.6% | |
| Assets in Excess of Other Liabilities* | | | 3.6% | |
| Net Assets | | | 100.0% | |
| * Includes short-term investments. | | |||
| Portfolio holdings are subject to change daily. | |
| Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COMMON STOCK: 95.8% | | ||||||||||||||||||
| | | | | | | Consumer Discretionary: 13.6% | | ||||||||||||
| | | 407,901 @ | | | | Belmond Ltd | | | | $ | 5,094,684 | | | | | | 0.8 | | |
| | | 91,800 | | | | Cheesecake Factory | | | | | 5,006,313 | | | | | | 0.8 | | |
| | | 74,800 | | | | Childrens Place Retail Stores, Inc. | | | | | 4,892,668 | | | | | | 0.7 | | |
| | | 178,600 | | | | Finish Line, Inc. | | | | | 4,968,652 | | | | | | 0.8 | | |
| | | 60,400 | | | | Jack in the Box, Inc. | | | | | 5,324,864 | | | | | | 0.8 | | |
| | | 89,950 | | | | Monro Muffler Brake, Inc. | | | | | 5,591,292 | | | | | | 0.9 | | |
| | | 67,900 | | | | Papa John’s International, Inc. | | | | | 5,133,919 | | | | | | 0.8 | | |
| | | 48,300 | | | | Vail Resorts, Inc. | | | | | 5,274,360 | | | | | | 0.8 | | |
| | | 192,200 | | | | Wolverine World Wide, Inc. | | | | | 5,473,856 | | | | | | 0.8 | | |
| | | 1,279,430 | | | | Other Securities(a) | | | | | 41,345,784 | | | | | | 6.4 | | |
| | | | | | | | | | | | 88,106,392 | | | | | | 13.6 | | |
| | | | | | | Consumer Staples: 2.0% | | ||||||||||||
| | | 333,810 | | | | Other Securities | | | | | 12,667,438 | | | | | | 2.0 | | |
| | | | | | | Energy: 3.0% | | ||||||||||||
| | | 106,300 @ | | | | Carrizo Oil & Gas, Inc. | | | | | 5,234,212 | | | | | | 0.8 | | |
| | | 2,495,742 | | | | Other Securities(a) | | | | | 14,526,052 | | | | | | 2.2 | | |
| | | | | | | | | | | | 19,760,264 | | | | | | 3.0 | | |
| | | | | | | Financials: 23.8% | | ||||||||||||
| | | 124,535 @ | | | | Encore Capital Group, Inc. | | | | | 5,322,626 | | | | | | 0.8 | | |
| | | 98,603 | | | | Evercore Partners, Inc. | | | | | 5,320,618 | | | | | | 0.8 | | |
| | | 161,979 | | | | First American Financial Corp. | | | | | 6,027,239 | | | | | | 0.9 | | |
| | | 153,518 | | | | LaSalle Hotel Properties | | | | | 5,443,748 | | | | | | 0.9 | | |
| | | 185,300 | | | | MB Financial, Inc. | | | | | 6,381,732 | | | | | | 1.0 | | |
| | | 111,100 | | | | PacWest Bancorp | | | | | 5,195,036 | | | | | | 0.8 | | |
| | | 349,700 | | | | Radian Group, Inc. | | | | | 6,560,372 | | | | | | 1.0 | | |
| | | 33,533 @ | | | | Signature Bank | | | | | 4,908,896 | | | | | | 0.8 | | |
| | | 78,200 | | | | South State Corp. | | | | | 5,942,418 | | | | | | 0.9 | | |
| | | 100,785 @ | | | | Stifel Financial Corp. | | | | | 5,819,326 | | | | | | 0.9 | | |
| Shares | | | Value | | | Percentage of Net Assets | | ||||||||||||
| COMMON STOCK: (continued) | | ||||||||||||||||||
| | | | | | | Financials (continued) | | ||||||||||||
| | | 34,624 @ | | | | SVB Financial Group | | | | $ | 4,985,163 | | | | | | 0.8 | | |
| | | 124,700 | | | | Webster Financial Corp. | | | | | 4,931,885 | | | | | | 0.8 | | |
| | | 3,329,388 | | | | Other Securities | | | | | 86,740,588 | | | | | | 13.4 | | |
| | | | | | | | | | | | 153,579,647 | | | | | | 23.8 | | |
| | | | | | | Health Care: 13.4% | | ||||||||||||
| | | 82,249 @ | | | | Amsurg Corp. | | | | | 5,753,317 | | | | | | 0.9 | | |
| | | 98,100 @ | | | | Greatbatch, Inc. | | | | | 5,289,552 | | | | | | 0.8 | | |
| | | 151,949 | | | | Healthsouth Corp. | | | | | 6,998,771 | | | | | | 1.1 | | |
| | | 94,800 | | | | Hill-Rom Holdings, Inc. | | | | | 5,150,484 | | | | | | 0.8 | | |
| | | 80,480 | | | | Steris Corp. | | | | | 5,186,131 | | | | | | 0.8 | | |
| | | 61,700 @ | | | | WellCare Health Plans, Inc. | | | | | 5,234,011 | | | | | | 0.8 | | |
| | | 1,448,839 | | | | Other Securities(a) | | | | | 52,902,282 | | | | | | 8.2 | | |
| | | | | | | | | | | | 86,514,548 | | | | | | 13.4 | | |
| | | | | | | Industrials: 16.6% | | ||||||||||||
| | | 140,700 | | | | Barnes Group, Inc. | | | | | 5,485,893 | | | | | | 0.8 | | |
| | | 205,600 | | | | Brady Corp. | | | | | 5,086,544 | | | | | | 0.8 | | |
| | | 89,000 | | | | Clarcor, Inc. | | | | | 5,539,360 | | | | | | 0.9 | | |
| | | 151,517 | | | | Healthcare Services Group, Inc. | | | | | 5,007,637 | | | | | | 0.8 | | |
| | | 73,700 | | | | Orbital ATK, Inc. | | | | | 5,406,632 | | | | | | 0.8 | | |
| | | 86,900 | | | | Toro Co. | | | | | 5,890,082 | | | | | | 0.9 | | |
| | | 106,100 | | | | Watts Water Technologies, Inc. | | | | | 5,501,285 | | | | | | 0.9 | | |
| | | 93,200 | | | | Woodward, Inc. | | | | | 5,125,068 | | | | | | 0.8 | | |
| | | 1,967,630 | | | | Other Securities | | | | | 64,005,631 | | | | | | 9.9 | | |
| | | | | | | | | | | | 107,048,132 | | | | | | 16.6 | | |
| | | | | | | Information Technology: 17.0% | | ||||||||||||
| | | 127,012 @ | | | | Blackhawk Network Holdings, Inc. | | | | | 5,232,895 | | | | | | 0.8 | | |
| | | 162,866 @ | | | | Cardtronics, Inc. | | | | | 6,034,185 | | | | | | 0.9 | | |
| | | 118,500 @ | | | | Commvault Systems, Inc. | | | | | 5,025,585 | | | | | | 0.8 | | |
| | | 185,100 @ | | | | Cornerstone OnDemand, Inc. | | | | | 6,441,480 | | | | | | 1.0 | | |
| | | 84,700 | | | | j2 Global, Inc. | | | | | 5,754,518 | | | | | | 0.9 | | |
| | | 63,200 | | | | Littelfuse, Inc. | | | | | 5,997,048 | | | | | | 0.9 | | |
| | | 184,800 @ | | | | Microsemi Corp. | | | | | 6,458,760 | | | | | | 1.0 | | |
| | | 87,600 | | | | Plantronics, Inc. | | | | | 4,932,756 | | | | | | 0.8 | | |
| | | 165,900 @ | | | | QLIK Technologies, Inc. | | | | | 5,799,864 | | | | | | 0.9 | | |
| | | 33,100 @ | | | | Ultimate Software Group, Inc. | | | | | 5,439,654 | | | | | | 0.8 | | |
| | | 45,300 @ | | | | WEX, Inc. | | | | | 5,162,841 | | | | | | 0.8 | | |
| | | 1,761,745 | | | | Other Securities | | | | | 47,543,687 | | | | | | 7.4 | | |
| | | | | | | | | | | | 109,823,273 | | | | | | 17.0 | | |
| | | | | | | Materials: 4.4% | | ||||||||||||
| | | 327,100 | | | | Commercial Metals Co. | | | | | 5,259,768 | | | | | | 0.8 | | |
| | | 151,800 | | | | HB Fuller Co. | | | | | 6,166,116 | | | | | | 0.9 | | |
| | | 82,300 | | | | Minerals Technologies, Inc. | | | | | 5,607,099 | | | | | | 0.9 | | |
| | | 1,402,900 | | | | Other Securities | | | | | 11,526,756 | | | | | | 1.8 | | |
| | | | | | | | | | | | 28,559,739 | | | | | | 4.4 | | |
See Accompanying Notes to Financial Statements
90
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Small Company Portfolio | as of June 30, 2015 (Unaudited) (continued) |
| Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| COMMON STOCK: (continued) | | |||||||||||||||||||||
| | | | | | | Utilities: 2.0% | | |||||||||||||||
| | | 342,468 | | | | Other Securities | | | | $ | 12,991,226 | | | | | | 2.0 | | | |||
| | | | | | | Total Common Stock (Cost $495,898,924) | | | | | 619,050,659 | | | | | | 95.8 | | | |||
| EXCHANGE-TRADED FUNDS: 0.6% | | |||||||||||||||||||||
| | | 26,900 | | | | Other Securities | | | | | 3,358,734 | | | | | | 0.6 | | | |||
| | | | | | | Total Exchange- Traded Funds (Cost $3,071,821) | | | | | 3,358,734 | | | | | | 0.6 | | | |||
| | | | | | | Total Long-Term Investments (Cost $498,970,745) | | | | | 622,409,393 | | | | | | 96.4 | | | |||
|
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| SHORT-TERM INVESTMENTS: 5.8% | | ||||||||||||||||||
| | | | | | | Securities Lending Collateralcc: 1.8% | | ||||||||||||
| | | 2,764,674 | | | | Cantor Fitzgerald, Repurchase Agreement dated 06/30/15, 0.15%, due 07/01/15 (Repurchase Amount $2,764,685, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-8.500%, Market Value plus accrued interest $2,819,967, due 07/15/15-05/20/65) | | | | | 2,764,674 | | | | | | 0.4 | | |
| | | 2,243,337 | | | | Daiwa Capital Markets, Repurchase Agreement dated 06/30/15, 0.18%, due 07/01/15 (Repurchase Amount $2,243,348, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.250%, Market Value plus accrued interest $2,288,193, due 11/15/15-03/01/48) | | | | | 2,243,337 | | | | | | 0.4 | | |
| | | 2,764,700 | | | | Millenium Fixed Income Ltd., Repurchase Agreement dated 06/30/15, 0.17%, due 07/01/15 (Repurchase Amount $2,764,713, collateralized by various U.S. Government Securities, 0.750%-2.750%, Market Value plus accrued interest $2,819,994, due 01/15/17-08/15/42) | | | | | 2,764,700 | | | | | | 0.4 | | |
| Principal Amount† | | | Value | | | Percentage of Net Assets | | ||||||||||||
| SHORT-TERM INVESTMENTS: (continued) | | ||||||||||||||||||
| | | | | | | Securities Lending Collateralcc (continued) | | ||||||||||||
| | | 2,764,674 | | | | Nomura Securities, Repurchase Agreement dated 06/30/15, 0.14%, due 07/01/15 (Repurchase Amount $2,764,685, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $2,819,968, due 07/31/15-05/20/65) | | | | $ | 2,764,674 | | | | | | 0.4 | | |
| | | 1,103,323 | | | | State of Wisconsin Investment Board, Repurchase Agreement dated 06/30/15, 0.20%, due 07/01/15 (Repurchase Amount $1,103,329, collateralized by various U.S. Government Securities, 0.125%-2.500%, Market Value plus accrued interest $1,125,812, due 01/15/17-01/15/29) | | | | | 1,103,323 | | | | | | 0.2 | | |
| | | | | | | | | | | | 11,640,708 | | | | | | 1.8 | | |
Shares | | | Value | | | Percentage of Net Assets | | |||||||||||||||
| | | | | | Mutual Funds: 4.0% | | |||||||||||||||
| | 26,134,000 | | | | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† (Cost $26,134,000) | | | | | 26,134,000 | | | | | | 4.0 | | | |||
| | | | | | Total Short-Term Investments (Cost $37,774,708) | | | | | 37,774,708 | | | | | | 5.8 | | | |||
| | | | | | Total Investments in Securities (Cost $536,745,453) | | | | $ | 660,184,101 | | | | | | 102.2 | | | |||
| | | | | | Liabilities in Excess of Other Assets | | | | | (13,904,862) | | | | | | (2.2) | | | |||
| | | | | | Net Assets | | | | $ | 646,279,239 | | | | | | 100.0 | | | |||
|
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2015.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
See Accompanying Notes to Financial Statements
91
SUMMARY PORTFOLIO OF INVESTMENTS
Voya Small Company Portfolio | as of June 30, 2015 (Unaudited) (continued) |
†
Unless otherwise indicated, principal amount is shown in USD.
††
Rate shown is the 7-day yield as of June 30, 2015.
@
Non-income producing security.
cc
Represents securities purchased with cash collateral received for securities on loan.
(a)
This grouping contains securities on loan.
Cost for federal income tax purposes is $539,803,744.
Net unrealized appreciation consists of:
| Gross Unrealized Appreciation | | | | $ | 151,756,724 | | | |
| Gross Unrealized Depreciation | | | | | (31,376,367) | | | |
| Net Unrealized Appreciation | | | | $ | 120,380,357 | | | |
|
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2015 in valuing the assets and liabilities:
| | | Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | | Fair Value at June 30, 2015 | | ||||||||||||||||
Asset Table | | | | | | ||||||||||||||||||||||||
Investments, at fair value | | | | | | ||||||||||||||||||||||||
Common Stock* | | | | $ | 619,050,659 | | | | | $ | — | | | | | $ | — | | | | | $ | 619,050,659 | | | ||||
Exchange-Traded Funds | | | | | 3,358,734 | | | | | | — | | | | | | — | | | | | | 3,358,734 | | | ||||
Short-Term Investments | | | | | 26,134,000 | | | | | | 11,640,708 | | | | | | — | | | | | | 37,774,708 | | | ||||
Total Investments, at fair value | | | | $ | 648,543,393 | | | | | $ | 11,640,708 | | | | | $ | — | | | | | $ | 660,184,101 | | | ||||
|
^
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
*
For further breakdown of Common Stock by sector, please refer to the Summary Portfolio of Investments.
See Accompanying Notes to Financial Statements
92
ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited)
APPROVAL OF AMENDED AND RESTATED INVESTMENT MANAGEMENT AGREEMENTS
At a meeting held on March 12, 2015, the Boards of Directors/Trustees (the “Board”) of Voya Balanced Portfolio, Inc., Voya Intermediate Bond Portfolio, Voya Money Market Portfolio, Voya Variable Funds, and Voya Variable Portfolios, Inc. (each a “Registrant” and collectively, the “Registrants”), including a majority of Board members who have no direct or indirect interest in the advisory agreements (“Independent Directors/Trustees”) of Voya Balanced Portfolio, Voya Global Value Advantage Portfolio, Voya Growth and Income Portfolio, Voya Intermediate Bond Portfolio, Voya Money Market Portfolio, and Voya Small Company Portfolio (each a “Portfolio” and collectively, the “Portfolios”), each a Registrant or a series of a Registrant, approved amending and restating the Investment Management Agreements on behalf of the Portfolios with Voya Investments, LLC (the “Adviser”) so that, effective May 1, 2015, the terms of each Portfolio’s Investment Management Agreement and its Administration Agreement are combined under a single Amended and Restated Investment Management Agreement with a single management fee. The single management fee rate under each Portfolio’s Amended and Restated Investment Management Agreement does not exceed the former combined investment management and administrative services fee rates for the Portfolio and, under each Portfolio’s Amended and Restated Investment Management Agreement, there was no change to the investment management or administrative services provided or the fees charged to the Portfolio.
In connection with its review, the Board determined that it did not need to consider certain factors it typically considers during its review of the Portfolios’ advisory agreements because it had reviewed, among other matters, the nature, extent and quality of services being provided and, as applicable, actions taken in certain instances to improve the relationship between the costs and the quality of services being provided, on September 12, 2014, when it renewed the Agreements. On September 12, 2014, the Board concluded, in light of all factors it considered, to renew the Agreements and that the fee rates set forth in the Agreements were fair and reasonable. Among other factors considered at that meeting, the Board considered: (1) the nature, extent and quality of services provided under the Agreements; (2) the
extent to which economies of scale are reflected in fee rate schedules under the Agreements; (3) the existence of any “fall-out” benefits to the Adviser and its affiliates; (4) a comparison of fee rates, expense ratios, and investment performance to those of similar funds; and (5) the costs incurred and profits realized by the Adviser and its affiliates with respect to their services to the Portfolios. A further description of the process followed by the Board in approving the Agreements on September 12, 2014, including the information reviewed, certain material factors considered and certain related conclusions reached, is set forth in the Portfolios’ annual report to shareholders for the period ended December 31, 2014.
On March 12, 2015, the Board, including the Independent Directors/Trustees, approved the Amended and Restated Investment Management Agreements. In analyzing whether to approve the Amended and Restated Investment Management Agreements, the Board did consider, among other things: (1) a memorandum and related materials outlining the terms of these Agreements and Management’s rationale for proposing the amendments that combine the terms of each Portfolio’s investment management and administrative services arrangements under a single agreement; (2) Management’s representations that, under the Amended and Restated Investment Management Agreements, there would be no change in the fees payable for the combination of advisory and administrative services provided to the Portfolios; (3) Management’s confirmation that the implementation of the Amended and Restated Investment Management Agreements would result in no change in the scope of services that the Adviser provides to the Portfolios and that the personnel who have provided administrative and advisory services to the Portfolios previously would continue to do so after the Amended and Restated Investment Management Agreements become effective; and (4) representations from Management that the combination of the Agreements better aligns the Portfolios’ contracts with the manner in which the Adviser and its affiliates provide such services to the Portfolios. In approving the amendments to the Portfolios’ Investment Management Agreements, different Board members may have given different weight to different individual factors and related conclusions.
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Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
One Wall Street
New York, New York 10286
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable universal life insurance policy or variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable universal life policy or variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
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VPSAR-CAPAPALL (0615-082515)
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not required for semi-annual filing.
Item 6. Schedule of Investments.
Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
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.
The Board has a Nominating Committee for the purpose of considering and presenting to the Board candidates it proposes for nomination to fill Independent Trustee vacancies on the Board. The Committee currently consists of all Independent Trustees of the Board (6 individuals). The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider and present to the Board the candidates it proposes for nomination to fill vacancies on the Board. In evaluating candidates, the Nominating Committee may consider a variety of factors, but it has not at this time set any specific minimum qualifications that must be met. Specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews its own nominees. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include at a minimum the following information as to each individual proposed for nomination as trustee: such individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a trustee (if elected), and all information relating to such individual that is required to be disclosed in the solicitation of proxies for election of trustees, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The Secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90th day prior to such meeting and not later than the close of business on the later of the 60th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the Securities and Exchange Commission.
Item 11. Controls and Procedures.
(a)
Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR.
(b)
There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1)
The Code of Ethics is not required for the semi-annual filing.
(a)(2)
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT.
(a)(3)
Not required for semi-annual filing.
(b)
The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Money Market Portfolio
| By | | | /s/ Shaun P. Mathews Shaun P. Mathews President and Chief Executive Officer | |
Date: September 4, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By | | | /s/ Shaun P. Mathews Shaun P. Mathews President and Chief Executive Officer | |
Date: September 4, 2015
| By | | | /s/ Todd Modic Todd Modic Senior Vice President and Chief Financial Officer | |
Date: September 4, 2015