Name, Address and Age
| | | | Position(s) Held
With the Trust
| | Term of Office and Length
of Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| |
Micheline S. Faver
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 40 | | | | Vice President | | September 2016–Present | | Vice President, Head of Fund Compliance, Voya Investments LLC, and Chief Compliance Officer for Voya Investments, LLC and Directed Services, LLC (June 2016–Present). Formerly, Vice President, Mutual Fund Compliance (March 2014–June 2016); Assistant Vice President, Mutual Fund Compliance (May 2013–March 2014); Assistant Vice President, Senior Project Manager (May 2008–May 2013). |
| |
Robyn L. Ichilov
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Vice President | | November 1999–Present | | Vice President, Voya Funds Services, LLC (November 1995–Present) and Voya Investments, LLC (August 1997–Present). |
| |
Jason Kadavy
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 41 | | | | Vice President | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). |
| |
Kimberly K. Springer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Vice President | | March 2006–Present | | Vice President — Mutual Fund Product Development, Voya Investments, LLC (July 2012–Present); Vice President, Voya Family of Funds (March 2010–Present) and Vice President, Voya Funds Services, LLC (March 2006–Present). |
| |
Craig Wheeler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 48 | | | | Vice President | | May 2013–Present | | Vice President — Director of Tax, Voya Investments, LLC (October 2015–Present). Formerly, Vice President — Director of Tax, Voya Funds Services, LLC (March 2013–October 2015). Formerly, Assistant Vice President — Director of Tax, Voya Funds Services, LLC (March 2008–February 2013). |
| |
Huey P. Falgout, Jr.
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 54 | | | | Secretary | | August 2003–Present | | Senior Vice President and Chief Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| |
Paul A. Caldarelli
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 66 | | | | Assistant Secretary | | June 2010–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| |
Theresa K. Kelety
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 55 | | | | Assistant Secretary | | August 2003–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATION AND APPROVAL OF INVESTMENT MANAGEMENT CONTRACTS AND SUB-ADVISORY CONTRACTS
At a meeting held on November 16, 2017, the Board, including a majority of the Independent Trustees, considered and approved the renewal of the investment management contracts (the “Management Contracts”) between Voya Investments, LLC (the “Manager”) and Voya Investors Trust (the “Trust”), on behalf of Voya Government Liquid Assets Portfolio, VY® Clarion Global Real Estate Portfolio, VY® Invesco Growth and Income Portfolio, VY® JPMorgan Emerging Markets Equity Portfolio, VY® Morgan Stanley Global Franchise Portfolio, VY® T. Rowe Price Capital Appreciation Portfolio, VY® T. Rowe Price Equity Income Portfolio, and VY® T. Rowe Price International Stock Portfolio, each a series of the Trust (the “Portfolios”), and the sub-advisory contracts (the “Sub-Advisory Contracts”) with the sub-adviser to each Portfolio (the “Sub-Adviser”), and the sub-sub-advisory contracts (the “Sub-Sub-Advisory Contracts”) with the sub-sub-adviser to VY® Morgan Stanley Global Franchise Portfolio and VY® T. Rowe Price International Stock Portfolio (each a “Sub-Sub-Adviser” and together, the “Sub-Sub-Advisers”), for an additional one year period ending November 30, 2018. In determining to renew such contracts, the Board took into account information furnished to it throughout the year at meetings of the Board and its committees, including regarding performance, expenses, and other matters.
In addition to the Board meeting on November 16, 2017, the Independent Trustees also held meetings outside the presence of personnel representing the Manager, Sub-Advisers, or Sub-Sub-Advisers (collectively, such persons are referred to herein as “Management”) on October 12, 2017, and November 14, 2017, specifically to review and consider materials related to the proposed continuance of each Management Contract, Sub-Advisory Contract, and Sub-Sub-Advisory Contract that they believed to be relevant to the renewal of the Management Contracts, Sub-Advisory Contracts, and Sub-Sub-Advisory Contracts in light of the legal advice furnished to them by K&L Gates LLP, their independent legal counsel, and their own business judgment. Subsequent references herein to factors considered and determinations made by the Independent Trustees and/or the Board include, as applicable, factors considered and determinations made at those meetings by the Independent Trustees. While the Board considered the renewal of the management contracts, sub-advisory contracts, and sub-sub-advisory contracts for all of the applicable investment companies in the Voya family of funds at the same meetings, the Board considered each Voya fund’s investment management, sub-advisory and sub-sub-advisory relationships separately.
The Board follows a structured process pursuant to which it seeks and considers relevant information when it evaluates whether to renew existing investment management, sub-advisory, and sub-sub-advisory contracts for the Voya funds. The Board has established a Contracts Committee and three Investment Review Committees (the “IRCs”), each of which includes only Independent Trustees as members. The Contracts Committee provides oversight with respect to the management, sub-advisory, and sub-sub-advisory contracts approval and renewal process, and each IRC provides oversight throughout the year regarding the investment performance of the sub-advisers and sub-sub-advisers, as well as the Manager’s role in monitoring the sub-advisers and sub-sub-advisers, with respect to each Voya fund that is assigned to that IRC.
The Contracts Committee oversees, and annually recommends Board approval of updates to, a methodology guide for the Voya funds (“Methodology Guide”). The Methodology Guide sets out a framework pursuant to which the Independent Trustees request, and Management provides, certain information that the Independent Trustees deem to be important or potentially relevant. The Independent Trustees retain the services of an independent consultant with experience in the mutual fund industry to assist the Contracts Committee in developing and recommending to the Board: (1) a selected peer group of investment companies for each Portfolio (“Selected Peer Group”) based on that Portfolio’s particular attributes, such as fund type and size, fund category (as determined by Morningstar, Inc., an independent provider of mutual fund data (“Morningstar”)), sales channels and structure and the Portfolio share class being compared to the Selected Peer Group, and (2) updates to the Methodology Guide with respect to the content and format of various data including, but not limited to, investment performance, fee structure, and expense information prepared in connection with the renewal process.
Provided below is an overview of certain material factors that the Board considered at its meetings regarding the renewal of the Management Contracts, Sub-Advisory Contracts and Sub-Sub-Advisory Contracts and the compensation to be paid thereunder. Board members did not identify any particular information or factor that was overarching, and each Board member may have accorded different weight to the various factors in reaching his or her conclusions with respect to each Portfolio’s investment management, sub-advisory, and sub-sub-advisory arrangements.
Nature, Extent and Quality of Services
The Manager oversees, subject to the authority of the Board, the provision of all investment advisory and portfolio management services for the Portfolios, but may delegate
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certain of these responsibilities to one or more sub-advisers or sub-sub-advisers. In addition, the Manager provides administrative services reasonably necessary for the operation of the Portfolios as set forth in the Management Contracts, including oversight of the Portfolios’ operations and risk management and the oversight of their various other service providers.
The Board considered the “manager-of-managers” platform of the Voya funds that has been developed by the Manager pursuant to which the Manager selects, subject to the Board’s approval, experienced sub-advisers or sub-sub-advisers to provide day-to-day management services to all or a portion of each Voya fund. The Board recognized that the Manager is responsible for monitoring the investment program, performance, developments, ongoing operations, and regulatory compliance of the Sub-Advisers and Sub-Sub-Advisers with respect to the Portfolios under this manager-of-managers arrangement. The Board also considered the techniques and resources that the Manager has developed to provide this ongoing oversight and due diligence with respect to the sub-advisers and sub-sub-advisers and to advocate or recommend, when it believes appropriate, changes in investment strategies or investment sub-advisers and sub-sub-advisers designed to assist in improving a Voya fund’s performance. The Board was advised that, in connection with the Manager’s performance of these duties, the Manager has developed an oversight process formulated by its Manager Research & Selection Group which reviews, among other matters, performance data, each Sub-Adviser’s and Sub-Sub-Adviser’s management team, portfolio data and attribution analysis related to each Sub-Adviser and Sub-Sub-Adviser through various means, including, but not limited to, in-person meetings, on-site visits, and telephonic meetings with the Sub-Adviser and Sub-Sub-Adviser.
Further, the Board considered periodic compliance reports it receives from the Trust’s Chief Compliance Officer evaluating whether the regulatory compliance systems and procedures of the Manager, Sub-Advisers and Sub-Sub-Advisers are reasonably designed to ensure compliance with the federal securities laws and whether the investment policies and restrictions for each Portfolio are consistently complied with, and other periodic reports covering related matters.
The Board considered the portfolio management team assigned by the Sub-Advisers and Sub-Sub-Advisers to the Portfolios and the level of resources committed to the Portfolios (and other relevant funds in the Voya funds) by the Manager, Sub-Advisers and/or Sub-Sub-Advisers, and whether those resources are sufficient to provide high-quality services to the Portfolios.
Based on their deliberations and the materials presented to them, the Board concluded that the nature, extent and quality of the overall services provided by the Manager and each Sub-Adviser and Sub-Sub-Adviser under the Management Contracts, Sub-Advisory Contracts and Sub-Sub-Advisory Contracts were appropriate.
Portfolio Performance
In assessing investment management, sub-advisory and sub-sub-advisory relationships, the Board placed emphasis on the investment returns of each Portfolio, including its investment performance over certain time periods compared to the Portfolio’s Morningstar category, Selected Peer Group and primary benchmark. The Board also considered information from the Manager Research & Selection Group and received reports summarizing a separate analysis of each Portfolio’s performance and risk, including risk-adjusted investment return information, by the Trust’s Chief Investment Risk Officer.
Economies of Scale
When evaluating the reasonableness of management fee schedules, the Board considered whether economies of scale have been or likely will be realized by the Manager and each Sub-Adviser and Sub-Sub-Adviser, as applicable, as a Portfolio grows larger and the extent to which any such economies are reflected in contractual fee schedules. In this regard, the Board noted any breakpoints in management fee schedules that will result in a lower management fee rate when a Portfolio achieves sufficient asset levels to receive a breakpoint discount. The Board also considered that the Portfolios may have fee waiver and/or expense reimbursement arrangements. The Board considered the extent to which economies of scale realized by the Manager and each Sub-Adviser and Sub-Sub-Adviser, as applicable, could be shared with each Portfolio through such fee waivers, expense reimbursements or other expense reductions. In evaluating these matters, the Independent Trustees also considered periodic management reports, Selected Peer Group comparisons, and industry information regarding economies of scale. In the case of sub-advisory and sub-sub-advisory fee rates, the Board considered that any breakpoints would inure to the benefit of the Manager and applicable Sub-Adviser, respectively.
Information Regarding Services to Other Clients
The Board considered information regarding the nature of services, performance, and fee schedules offered by the Manager and each Sub-Adviser, and Sub-Sub-Adviser, as applicable, to other clients with similar investment objectives, if applicable, including other registered investment companies and relevant institutional accounts. When the fee schedules offered to or the performance of other clients differed materially from a Portfolio, the Board
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took into account the underlying rationale provided by the Manager, the Sub-Adviser or Sub-Sub Adviser, as applicable, for these differences. For the non-Voya-affiliated Sub-Advisers and Sub-Sub-Advisers, the Board viewed the information related to any material differences in the fee schedules as not being a key factor in its deliberations because of the arm’s-length nature of negotiations between the Manager and non-Voya-affiliated Sub-Advisers with respect to sub-advisory fee schedules and that each applicable Sub-Adviser is responsible for paying the fees of the Sub-Sub-Adviser. The Board also considered that the fee schedules charged to the Portfolios and other institutional clients of the Manager or the Sub-Advisers and Sub-Sub-Advisers (including other investment companies) and the performance of the Portfolios and the other accounts, as applicable, may differ materially due to, among other reasons: differences in services; different regulatory requirements associated with registered investment companies; market differences in fee schedules that existed when a Portfolio first was organized; differences in the original sponsors; investment capacity constraints that existed when certain contracts were first agreed upon or that might exist at present; and different pricing structures that are necessary to be competitive in different marketing channels.
Fee Schedules, Profitability, and Fall-out Benefits
The Board reviewed and considered the contractual management fee schedule payable by each Portfolio to the Manager compared to the Portfolio’s Selected Peer Group and which additional services the Manager pays for on behalf of each applicable Portfolio under the “bundled fee” arrangement in return for a single management fee (“Unified Fee Structure”). The Board also considered the contractual sub-advisory fee schedule payable by the Manager to each Sub-Adviser for sub-advisory services for each Portfolio, including the portion of the contractual management fee rates that are paid to each Sub-Adviser, as compared to the portion retained by the Manager, and the contractual sub-advisory fee schedule payable to the Sub-Sub-Adviser by the respective Sub-Sub-Adviser. In addition, the Board considered any fee waivers, expense limitations, and/or recoupment arrangements that apply to the fees payable by the Portfolios, including whether the Manager intends to propose any changes thereto. For each Portfolio, the Board separately determined that the fees payable to the Manager and the fee schedule payable to each Sub-Adviser and Sub-Sub-Adviser are reasonable for the services that each performs, which were considered in light of the nature, extent and quality of the services that each has performed and is expected to perform.
For each Portfolio, the Board considered information on revenues, costs and profits or losses realized by the Manager and the Voya-affiliated Sub-Adviser. In analyzing the profitability of the Manager and its affiliated service providers in connection with services they render to a Portfolio, the Board took into account the sub-advisory fee rate payable by the Manager to each Sub-Adviser. The Board also considered the profitability of the Manager and its affiliated Sub- Adviser attributable to servicing each Portfolio both with and without taking into account the profitability of the distributor of the Portfolios and both before and after giving effect to any expenses incurred by the Manager or the affiliated Sub- Adviser in making payments to affiliated insurance companies. The Board did not request profitability data from the Sub-Advisers and Sub-Sub-Advisers that were not affiliated with the Manager because the Board did not view this data as being a key factor to its deliberations given the arm’s-length nature of the relationship between the Manager and these non-Voya-affiliated Sub-Advisers and Sub-Sub-Advisers with respect to the negotiation of sub-advisory and sub- sub-advisory fee schedules. In addition, the Board noted that non-Voya-affiliated sub-advisers and sub-sub-advisers may not account for their profits on an account-by-account basis and those that do typically employ different methodologies in connection with these calculations.
Although the Methodology Guide establishes a framework for profit calculation, the Board recognized that there is no uniform methodology within the asset management industry for determining profitability for this purpose. The Board also recognized that the use of different reasonable methodologies can give rise to dramatically different reported profit and loss results with respect to the Manager and the Voya-affiliated Sub-Adviser, as well as other industry participants with whom the profits of the Manager and its affiliated Sub-Adviser could be compared. In addition, the Board recognized that Management’s calculations regarding its costs incurred in establishing the infrastructure necessary for the Portfolios’ operations may not be fully reflected in the expenses allocated to each Portfolio in determining profitability, and that the information presented may not portray all of the costs borne by the Manager or reflect all risks, including entrepreneurial, regulatory, legal and operational risks, associated with offering and managing a mutual fund complex in the current regulatory and market environment.
The Board also considered that the Manager is entitled to earn a reasonable level of profits for the services that it provides to the Portfolios. The Board also received information regarding the potential fall-out benefits to the Manager and each Sub-Adviser and Sub-Sub-Adviser, as applicable, and its affiliates from its association with the applicable Portfolio(s), including its ability to engage in soft-dollar transactions on behalf of the Portfolio(s). Following its reviews, the Board determined that the Manager’s and the Voya-affiliated Sub-Adviser’s profitability with respect to their services to the Portfolios and the Manager’s and
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each Sub-Adviser’s and Sub-Sub-Adviser’s potential fall-out benefits, as applicable, were not unreasonable.
Portfolio-by-Portfolio Analysis
Set forth below are certain of the specific factors that the Board considered, and the conclusions reached, at its October 12, 2017, November 14, 2017, and/or November 16, 2017 meetings in relation to approving each Portfolio’s Management Contracts, Sub-Advisory Contracts and Sub-Sub-Advisory Contracts. These specific factors are in addition to those considerations discussed above. In each case, the Portfolio’s performance was compared to its Morningstar category, as well as its primary benchmark, a broad-based securities market index that appears in the Portfolio’s prospectus. With respect to Morningstar quintile rankings, the first quintile represents the highest (best) performance and the fifth quintile represents the lowest performance. The performance data provided to the Board primarily was for various periods ended March 31, 2017. In addition, the Board also considered at its October 12, 2017, November 14, 2017, and November 16, 2017 meetings certain additional data regarding performance and Portfolio asset levels and flows as of August 31, 2017, and September 30, 2017. Each Portfolio’s management fee and expense ratio were compared to the fees and expense ratios of the funds in its Selected Peer Group.
Voya Government Liquid Assets Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya Government Liquid Assets Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category median for all periods presented, with the exception of the year- to-date period, during which it underperformed, and the three-year period, during which it was equal to the performance of this Morningstar category median; and (2) the Portfolio underperformed its primary benchmark for all periods presented, with the exception of the year-to-date and ten-year periods, during which it outperformed.
In analyzing this performance data, the Board took into account Management’s representations that the Portfolio is meeting its investment objective.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is below the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding the expense borne by the Manager for the provision of services, such as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Portfolio’s Unified Fee Structure.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Clarion Global Real Estate Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® Clarion Global Real Estate Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented, with the exception of the ten-year period, during which it outperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented, with the exception of the ten-year period, during which it outperformed; and (3) the Portfolio is ranked in the second quintile of its Morningstar category for the ten-year period, the fourth quintile for the three-year and five-year periods, and the fifth (lowest) quintile for the year-to-date and one-year periods.
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of security selection on the Portfolio’s performance; (2) Management’s representations regarding the Portfolio’s favorable performance during certain periods; (3) Management’s discussion of investment process changes recently implemented by the Sub-Adviser that are designed to enhance performance; (4) Management’s confidence in the ability of the Sub-Adviser to execute the
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Portfolio’s investment objective; and (5) that Management will continue to monitor, and the Board or its IRC will periodically review, the Portfolio’s performance.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is above the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and equal to the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account: (1) Management’s discussion of fee waivers and/or expense reimbursements, which lower the Portfolio’s net effective management fee; and (2) Management’s representations regarding the competitiveness of the Portfolio’s expense ratio.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Invesco Growth and Income Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® Invesco Growth and Income Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented, with the exception of the year- to-date period, during which it underperformed; (2) the Portfolio outperformed its primary benchmark for all periods presented, with the exception of the year-to-date period, during which it underperformed, and the five-year period, during which its performance was equal to that of its primary benchmark; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the one-year, three-year, five-year and ten-year periods, and the fifth (lowest) quintile for the year-to-date period.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is below the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® JPMorgan Emerging Markets Equity Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® JPMorgan Emerging Markets Equity Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented; (2) the Portfolio outperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the second quintile of its Morningstar category for all periods presented.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a level fee rate that does not include breakpoints; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the
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Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is above the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and above the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding: (1) the expense borne by the Manager for the provision of services, such as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Portfolio’s Unified Fee Structure; and (2) the competitiveness of the Portfolio’s net expense ratio.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Morgan Stanley Global Franchise Portfolio
In considering whether to approve the renewal of the Management, Sub-Advisory and Sub-Sub-Advisory Contracts for VY® Morgan Stanley Global Franchise Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented, with the exception of the one-year period, during which it underperformed; (2) the Portfolio outperformed its primary benchmark for all periods presented, with the exception of the one-year period, during which it underperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the year-to-date, three-year, five-year and ten-year periods, and the fourth quintile for the one-year period.
In considering the fees payable under the Management, Sub-Advisory and Sub-Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is above the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is above the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding: (1) the expense borne by the Manager for the provision of services, such as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Portfolio’s Unified Fee Structure; and (2) the competitiveness of the Portfolio’s management fee and net expense ratio.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser and the Sub-Sub-Advisory fee rate payable by the Sub-Adviser to the Sub-Sub-Adviser are reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management, Sub-Advisory and Sub-Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® T. Rowe Price Capital Appreciation Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® T. Rowe Price Capital Appreciation Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented; (2) the Portfolio underperformed its primary benchmark all periods presented, with the exception of the ten-year period, during which it outperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for all periods presented.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing
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structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is below the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® T. Rowe Price Equity Income Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® T. Rowe Price Equity Income Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented, with the exception of the one-year and ten-year periods, during which it outperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented, with the exception of the one-year period, during which it outperformed; and (3) the Portfolio is ranked in the second quintile of its Morningstar category for the one-year period, the third quintile for the year-to-date and ten-year periods, and the fourth quintile for the three-year and five-year periods.
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of security selection and sector allocation on the Portfolio’s performance; (2) Management’s discussion of the changes implemented to the Portfolio’s portfolio management team in November 2015, which Management represented had improved the Portfolio’s performance since that time; (3) Management’s confidence in the Sub- Adviser’s ability to execute the Portfolio’s investment objective; and (4) Management’s discussion of the Portfolio’s favorable performance during certain periods.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is below the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding the expense borne by the Manager for the provision of services, such as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Portfolio’s Unified Fee Structure.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® T. Rowe Price International Stock Portfolio
In considering whether to approve the renewal of the Management, Sub-Advisory and Sub-Sub-Advisory Contracts for VY® T. Rowe Price International Stock Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented; (2) the Portfolio outperformed its primary benchmark for all periods presented, with the exception of the one-year period, during which it underperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the one-year and three-year periods, the second quintile for the year-to-date period, and the third quintile for the five-year and ten-year periods.
In considering the fees payable under the Management, Sub-Advisory and Sub-Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described
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ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
above and also considered: (1) the fairness of the compensation under a Management Contract with a breakpoint fee schedule where the asset level necessary to achieve a breakpoint discount had not been reached by the Portfolio; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is below the median and the average management fees of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser and the Sub-Sub-Advisory fee rate payable by the Sub-Adviser to the Sub-Sub-Adviser are reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management, Sub-Advisory and Sub-Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
99
Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Independent Registered Public Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
voyainvestments.com
| 
VPAR-VIT1AISS2 (1217-022118) |
Annual Report
December 31, 2017
Classes ADV, I, P2, R6, S and S2
Voya Investors Trust
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Voya High Yield Portfolio
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Voya Large Cap Growth Portfolio
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Voya Large Cap Value Portfolio
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Voya Limited Maturity Bond Portfolio
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Voya Multi-Manager Large Cap Core Portfolio
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Voya U.S. Stock Index Portfolio
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VY® Clarion Real Estate Portfolio
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VY® Franklin Income Portfolio
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VY® JPMorgan Small Cap Core Equity Portfolio
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VY® Templeton Global Growth Portfolio
| | | 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. | | |
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, D.C., 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.
[This Page Intentionally Left Blank]
After a Strong Year, Positive Expectations
Dear Shareholder,
The U.S. equity market proved resilient throughout 2017, posting a “perfect pitch” year with not one single month of negative returns. A lot of chatter in the markets has focused on the low levels of volatility that prevailed in 2017, and whether 2018 will be the year that volatility returns (witness early February markets). As usual there are also any number of geopolitical or other risks that could cause a sell-off, but we are heartened by the reality of macroeconomic fundamentals, which include strong and synchronous global growth; we believe these would likely be a governor on a rise in volatility.
We believe the United States, Europe and China will continue to dominate the world economy in 2018. Combined, the three account for about $48 trillion of GDP, more than 60% of the $79 trillion global GDP produced each year. And the rest of the world still has its own positive backdrop: The International Monetary Fund projects that 185 of 190 national economies will grow in 2018.
While economic growth may be synchronous across the globe, it is not likely to be uniform — thus, broad global diversification across continents and asset classes remains important for positioning your portfolio to benefit from potential opportunities. Regardless of where individual markets are in their business cycles, we believe investors are best served by following their asset allocation plan and avoiding the temptation to time entry or exit points.
If your goals have changed, thoroughly discuss them with your investment advisor before making any changes to your investment strategy. We seek to remain 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,
Shaun Mathews
President and Chief Executive Officer
Voya Family of Funds
January 19, 2018
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.
Market Perspective: Year Ended December 31, 2017
In our semi-annual report we described how global equities, in the form of the MSCI World IndexSM (the “Index”), measured in local currencies, including net reinvested dividends, rose 8.25%, carried higher in what seemed to be the path of least resistance. Investor sentiment was still trying to come to terms with the unexpected result of the U.S. presidential election. For this and perhaps more importantly, other reasons, the Index continued its advance, rising in every month, to end up 18.48% for the fiscal year. (The Index returned 22.40% for the year ended December 31, 2017, measured in U.S. dollars.)
By mid-year most commentators had largely discounted a reflation trade driven by U.S. legislative initiatives. But this did not mean that such initiatives were dead; just that the credibility of anything market friendly coming out of them had fallen very low. The President had said on February 9 that he would announce his pro-growth tax reform plan in the coming weeks. Nothing solid had emerged and by early July the Senate was still pre-occupied with the Affordable Care Act (“ACA”), desperately trying to pass any version of a repeal and replace bill. Such attempts finally foundered in the early hours of July 28.
But investors could still take comfort in a narrative of improving global growth and corporate earnings, with monetary conditions still historically easy, to underpin the prices of risk assets. The evidence was there to see. In August the Wall Street Journal observed that the prices of base metals had recently hit multi-year highs, inferring that investors were increasingly bullish on global growth, and later noted that every country tracked by the Organization for Economic Cooperation and Development was set to grow in 2017.
In the euro zone, unemployment ended November at 8.8%, the lowest since January 2009. Gross domestic product (“GDP”) grew 2.5% year-over-year in the third quarter of 2017, slightly higher than the U.S. (2.3%). The European Central Bank finally confirmed that monthly bond purchases would be halved to €30 billion in 2018. The region’s Economic Sentiment Indicator ended the period at the highest since 2000.
China’s GDP growth in the second quarter of 2017 was a healthy 6.9% year-over-year and 6.8% in the third. Imports were continuing to grow at double-digit year-over-year rates, supporting global demand. Excessive debt remained a problem in financial markets, however. In November the authorities announced curbs on leverage in asset management products and promises of guaranteed returns.
Even Japan contributed some good news with GDP rising in the third quarter of 2017 for the seventh straight quarter.
In the U.S., the Federal Reserve (“Fed”) added 25bp (0.25%) to the federal funds rate in March and did so again in June. But areas of sluggishness, like low core consumer price inflation and wage growth persisted into September, which started with devastating hurricanes and rising geo-political tensions with North Korea. Some commentators suggested that the Fed might be done for the year.
However, the hurricanes subsided, geo-political tensions cooled and yet another forlorn attempt to replace the ACA was shrugged off. The December employment report showed the unemployment rate barely above 4%, near the lowest since February 2001. Third quarter GDP growth was reported at 3.2% (annualized) after 3.1% in the second. The outline of a long-awaited pro-growth tax reform program was finally announced, although moving day by day to bring recalcitrant
senators on board. For investors, its key feature was a reduction in the corporate tax rate to 21%, which many believed would be used to increase share buy-backs and dividends. The Fed duly raised the federal funds rate by another 25bp (0.25%) in December and the tax bill was signed into law on December 22.
In U.S. fixed income markets, the Bloomberg Barclays U.S. Aggregate Bond Index (“Barclays Aggregate”) added 3.54% in the fiscal year. The Treasury yield curve became flatter, with yields on maturities up to about nine years rising and those on longer maturities falling. Thus the Bloomberg Barclays U.S. Treasury Bond Index rose 2.31% while the Bloomberg Barclays Long-Term U.S. Treasury sub-index gained 8.53%. Indices of riskier classes generally outperformed Treasuries: the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index climbed 6.42%, the Bloomberg Barclays High-Yield Bond — 2% Issuer Constrained Composite Index (not a part of the Barclays Aggregate) rose 7.50%.
U.S. equities, represented by the S&P 500® Index including dividends, surged 21.83% in 2017. The earnings per share of its constituent companies grew 6.4% year-over-year in the third quarter of 2017, after two quarters of double-digit gains. Technology was the leader, soaring 38.83%. Telecommunications and energy were the laggards, falling 1.25% and 1.01% respectively. Index companies thought to offer comparatively good earnings growth outperformed those considered to offer comparatively good value by more than 12%.
In currencies, the dollar fell 12.37% against the euro, 8.63% against the pound, reflecting some dissipation of the post-election reflation euphoria. In the meantime, the euro zone’s prospects had improved, while some of the panic over Brexit had faded. The dollar slipped 3.65% against the yen, moving within a narrow trading range for most of the year.
In international markets, the MSCI Japan® Index jumped 19.75% over the year, in an environment of improving corporate governance and profitability, with little competition from fixed income investments. The MSCI Europe ex UK® Index rose 13.59%. Aside from the positive developments noted above, corporate earnings were improving and political fears were assuaged by the election of a centrist President in France. But gains were muted by the strengthening euro. The MSCI UK® Index rose 11.94%. GDP growth was down to 0.4% in each of the middle two quarters, Brexit negotiations were slow and inconclusive and we believe by year end it was abundantly clear that the UK’s position was very weak.
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) 366-0066 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.
| | | Index | | | | Description | | |
| | | Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index | | | | An 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. | | |
| | | Bloomberg Barclays U.S. 1-3 Year
Government/Credit Bond Index | | | | A widely recognized index of publicly issued fixed rate, investment grade debt securities, including Treasuries, Agencies and credit securities with a maturity of one to three years. | | |
| | | Bloomberg Barclays U.S. Aggregate Bond Index | | | | An index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | | |
| | | Bloomberg Barclays U.S. Corporate Investment Grade Bond Index | | | | An index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | | |
| | | Bloomberg Barclays Long-Term U.S. Treasury Index | | | | This index measures the performance of U.S. Treasury bills with long-term maturity. The credit level for this index is investment grade. The rebalance scheme is monthly. | | |
| | | Bloomberg 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 U.S. REIT® Index | | | | A free float-adjusted market capitalization weighted index that is comprised of equity real estate investment trusts that are included in the MSCI U.S. Investable Market 2500 Index (with the exception of specialty REITs that do not generate a majority of their revenue and income from real estate rental and leasing obligations). The index represents approximately 85% of the U.S. REIT market. | | |
| | | 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 index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | | |
| | | Russell 1000® Index | | | | A comprehensive large-cap index measuring the performance of the largest 1,000 U.S. incorporated companies. | | |
| | | Russell 1000® Growth Index | | | | Measures the performance of the 1,000 largest companies in the Russell 3000® Index with higher price-to-book ratios and higher forecasted growth. | | |
| | | Russell 1000® Value Index | | | | An index that measures the performance of those Russell 1000® securities with lower price-to-book ratios and lower forecasted growth values. | | |
| | | Russell 2000® Index | | | | An index that measures the performance of securities of small U.S. companies. | | |
| | | S&P 500® Index | | | | An index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | | |
| Voya High Yield Portfolio | Portfolio Managers’ Report |
| | Investment Type Allocation
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Corporate Bonds/Notes | | | 96.7% | |
| | Bank Loans | | | 0.6% | |
| | Convertible Bonds/Notes | | | 0.0% | |
| | Assets in Excess of Other Liabilities* | | | 2.7% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
Voya High Yield Portfolio (the “Portfolio”) seeks to provide investors with a high level of current income and total return. The Portfolio is managed by Rick Cumberledge, CFA, Matthew Toms, CFA, and Randall Parrish, CFA, Portfolio Managers of Voya Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 6.20% compared to the Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index, which returned 7.50% for the same period.
Portfolio Specifics: After two years of a market dominated by commodity-related sectors, the high yield market experienced greater dispersion of returns in 2017 — both within and across sectors. While pharmaceuticals, chemicals and utilities posted double-digit returns, wireline telecom, retailers and supermarkets sector returns were all sub-2%. There were both winners and losers within the energy space, as the march toward $60 a barrel for oil at year-end was not a straight line through the year and did not benefit all companies equally.
Much of the Portfolio’s underperformance during the reporting period was driven by our holdings in retailers and supermarkets that underperformed the market as investors adopted a view that Amazon.com would end retail as we know it — a view we do not share. Encouraging holiday sales reports lifted the retail sector a bit at year-end. However, the damage was done earlier in the year and holdings such as PetSmart, Inc. Neiman Marcus Group Ltd. and Tops Markets did not recoup all their losses. We added selectively to our exposure late in the year as we gained confidence in holiday sales trends.
The largest positive contributor to performance was the energy sector, where we continued to focus on exploration and production companies operating high quality assets and those with manageable balance sheets. As we gained confidence that OPEC’s rebalancing plan was drawing down inventories and supporting oil prices, we added to oil-focused producers such as California Resources Corp. during the second half of the year.
Current Strategy and Outlook: The backdrop for corporate credit has continued to improve with strong global growth, the
| | Top Ten Holdings
as of December 31, 2017*
(as a percentage of net assets) | |
| | | | | | |
| | Sprint Communications, Inc., 6.000%, 11/15/22 | | | 0.9% | |
| | HCA, Inc., 7.500%, 02/15/22 | | | 0.7% | |
| | First Data Corp., 7.000%, 12/01/23 | | | 0.7% | |
| | Hot Topic, Inc., 9.250%, 06/15/21 | | | 0.6% | |
| | WPX Energy, Inc., 6.000%, 01/15/22 | | | 0.6% | |
| | Sprint Corp., 7.125%, 06/15/24 | | | 0.6% | |
| | Valeant Pharmaceuticals International, Inc., 6.750%, 08/15/21 | | | 0.6% | |
| | Vizient, Inc., 10.375%, 03/01/24 | | | 0.6% | |
| | SFR Group SA, 6.250%, 05/15/24 | | | 0.5% | |
| | Telecom Italia Capital SA, 6.375%, 11/15/33 | | | 0.5% | |
| | *
Excludes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
passage of corporate tax reform in the United States and still accommodative monetary policy. With stock prices higher and earnings estimates being revised upward, we believe that risk assets (including high yield bonds) should remain well supported even as the U.S. Federal Reserve Board gradually pulls back its monetary policy support. Spreads are near their post-crisis tights, which we believe leaves little room for negative geopolitical events or the prospect of the European Central Bank and/or Bank of Japan pulling back on monetary accommodation as we move through the back half of 2018. In our opinion, we are likely to see continued volatility in the retail, health care and energy sectors, which we believe will present opportunities for outperformance in the coming year.
In keeping with our view of solid U.S. growth, we maintain a slight cyclical bias and an overweight to B-rated and CCC-rated bonds. In our view, there will continue to be winners and losers within retail and we believe we will have an opportunity to buy the winners at attractive levels. We have become more positive on energy as oil inventories have declined. That being said, we believe credit selection will be key as we do not expect outcomes to be uniform across the sector. Health care is more difficult to gauge given the impact of changes in laws and regulations, but we continue to monitor developments in search of opportunities.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| Portfolio Managers’ Report | Voya High Yield Portfolio |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 5.83% | | | | | | 4.60% | | | | 6.84% | | |
| | | Class I | | | | | 6.58% | | | | | | 5.23% | | | | 7.49% | | |
| | | Class S | | | | | 6.20% | | | | | | 4.97% | | | | 7.21% | | |
| | | Class S2 | | | | | 6.04% | | | | | | 4.79% | | | | 7.05% | | |
| | | Bloomberg Barclays High Yield Bond - 2% Issuer Constrained Composite Index | | | | | 7.50% | | | | | | 5.78% | | | | 8.09% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of Voya High Yield Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable
annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Prior to February 5, 2014, the Portfolio was managed by a different sub-adviser.
| Voya Large Cap Growth Portfolio | Portfolio Managers’ Report |
| | Sector Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Information Technology | | | 37.9% | |
| | Consumer Discretionary | | | 18.3% | |
| | Industrials | | | 12.9% | |
| | Health Care | | | 12.9% | |
| | Consumer Staples | | | 6.7% | |
| | Financials | | | 4.0% | |
| | Materials | | | 3.3% | |
| | Real Estate | | | 2.5% | |
| | Energy | | | 0.8% | |
| | Assets in Excess of Other Liabilities* | | | 0.7% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
Voya Large Cap Growth Portfolio (the “Portfolio”) seeks long-term capital growth. The Portfolio is managed by Christopher F. Corapi, Jeffrey Bianchi, CFA, and Michael Pytosh, Portfolio Managers of Voya Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares, provided a total return of 29.42% compared to the Russell 1000® Growth Index, which returned 30.21% for the same period.
Portfolio Specifics: The Portfolio outperformed the Russell 1000® Growth Index before the deduction of fees and expenses, but underperformed net of fees and expense during the reporting period. Security selection in the health care and materials sectors detracted the most from results. An allocation to cash, while within the typical range, was also a headwind during the period. The most significant contributors for the period included stock selection within the consumer staples and real estate sectors.
The biggest detractors included O’Reilly Automotive, Inc., Boeing Company and Foot Locker, Inc.
An overweight position in O’Reilly Automotive, Inc. generated unfavorable results. The stock sold off significantly after pre-announcing negative quarterly results which included weaker than expected same store sales growth. The disappointing sales growth, combined with little visibility on when trends would improve, fueled concerns about online encroachment on the space and an eventual structural decline in margins.
Not owning aerospace company Boeing Company detracted from performance during the period. The company’s shares advanced following strong second quarter 2017 results and an increase in full year guidance. Investors have been skeptical on the company’s ability to generate strong free cash flow. However, Boeing Company showed strong upside to estimates in the second quarter and raised full year cash generation on the heels of good order flow and better execution on its 787 program.
Our overweight in specialty retailer Foot Locker, Inc. detracted from results. Despite reporting better than expected comps in March and April, the
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Microsoft Corp. | | | 6.4% | |
| | Apple, Inc. | | | 5.8% | |
| | Amazon.com, Inc. | | | 3.6% | |
| | UnitedHealth Group, Inc. | | | 3.1% | |
| | Home Depot, Inc. | | | 3.0% | |
| | Comcast Corp. – Class A | | | 2.9% | |
| | Facebook, Inc. | | | 2.9% | |
| | Alphabet, Inc. - Class A | | | 2.6% | |
| | Texas Instruments, Inc. | | | 2.5% | |
| | Johnson & Johnson | | | 2.2% | |
| | Portfolio holdings are subject to change daily. | |
company lowered second quarter 2017 sales and earnings growth guidance due to a shift in the athletic cycle. The multiple contracted significantly on a 4% reduction to consensus estimates and we believe investors were skeptical that growth would reaccelerate in the second half of the year.
The top contributors during the reporting period included an overweight in VMware, Inc., coupled with underweights in Walt Disney Company and General Electric Company.
An overweight position in VMware, Inc. contributed to results during the period. Its shares outperformed following strong quarterly results and a raise 2018 guidance as momentum continues in the company’s hybrid cloud business.
Within the consumer services sector, not owning Walt Disney Company was beneficial during the period. The stock was negatively impacted by weak first quarter 2017 results which saw accelerating subscriber declines at ESPN and decelerating advertising growth, reigniting concerns over the impact of online competition on the cable space.
Not owning shares of General Electric Company contributed to performance during the year. The company’s shares sharply declined following a substantial third quarter 2017 earnings shortfall and lowered guidance, which led to investor uncertainty as to the timing of a turnaround.
Current Strategy and Outlook: We believe that the U.S. economy is continuing its trend of self-sustaining, if modest, economic recovery. Amidst improving economic conditions in the U.S. and increased optimism about the outlook for economic growth, the U.S. Federal Reserve Board is expected to move toward a normalized interest rate environment. We believe, the health of U.S. corporations remains intact, as evidenced by significant amounts of free cash flow and record high incremental margins. U.S. corporations are also actively returning capital to shareholders via dividend increases and share buybacks.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| Portfolio Managers’ Report | Voya Large Cap Growth Portfolio |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 29.01% | | | | | | 15.73% | | | | 11.20% | | |
| | | Class I | | | | | 29.74% | | | | | | 16.38% | | | | 11.87% | | |
| | | Class R6(1) | | | | | 29.80% | | | | | | 16.39% | | | | 11.88% | | |
| | | Class S | | | | | 29.42% | | | | | | 16.09% | | | | 11.59% | | |
| | | Class S2 | | | | | 29.22% | | | | | | 15.92% | | | | 11.43% | | |
| | | Russell 1000® Growth Index | | | | | 30.21% | | | | | | 17.33% | | | | 10.00% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of Voya Large Cap Growth Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is
not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Prior to June 11, 2010, the Portfolio was managed by a different sub-adviser.
(1)
Class R6 incepted on November 24, 2015. The Class R6 shares performance shown for the period prior to their inception date is the performance of Class I shares without adjustment for any differences in the expenses between the two classes. If adjusted for such differences, returns would be different.
| Voya Large Cap Value Portfolio | Portfolio Managers’ Report |
| | Sector Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Financials | | | 27.1% | |
| | Health Care | | | 13.2% | |
| | Energy | | | 11.0% | |
| | Consumer Staples | | | 9.3% | |
| | Information Technology | | | 8.5% | |
| | Industrials | | | 8.0% | |
| | Consumer Discretionary | | | 6.3% | |
| | Utilities | | | 6.0% | |
| | Real Estate | | | 4.4% | |
| | Telecommunication Services | | | 3.0% | |
| | Materials | | | 2.8% | |
| | Communications | | | 0.0% | |
| | Assets in Excess of Other Liabilities* | | | 0.4% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
Voya Large Cap Value Portfolio (the “Portfolio”) seeks long-term growth of capital and current income. The Portfolio is managed by Vincent Costa, CFA, Christopher F. Corapi, James Dorment, CFA, and Kristy Finnegan, CFA, Portfolio Managers of Voya Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 13.23% compared to the Russell 1000® Value Index (the “Index” or “Russell 1000® Value”), which returned 13.66% for the same period.
Portfolio Specifics: For the period ended December 31, 2017, the Portfolio outperformed the Index before deducting fees and expenses, but lagged the Index net of those costs. Performance results were due to strong security selection. On the sector level, security selection within the industrials and real estate sectors had the largest positive impact on performance, while security selection within the healthcare and financials sectors detracted the most value. The Portfolio’s allocation to cash, although within typical range, also detracted from relative results.
On an individual security basis, key contributors for the period included an underweight to General Electric Company, coupled with overweights to Deere & Company and Activision Blizzard, Inc.
An underweight position in General Electric positively impacted the Portfolio. Its shares sold off following an underwhelming second quarter 2017 earnings report, driven by an industrial EBIT (earnings before interest and taxes) shortfall, weak cash flow and challenging forward-looking commentary. At the long-awaited investor day on November 13, the company’s new chief executive officer, John Flannery, issued initial 2018 framework, suggesting a difficult road ahead and underwhelming free cash flow through at least 2018. Furthermore, ahead of the meeting, the company cut its quarterly dividend.
Within the industrials sector, an overweight position in Deere & Company, a manufacturer of equipment used in agriculture, construction, forestry and turf care, contributed to performance. The company reported strong fourth quarter 2017 earnings per share (EPS) results that were well
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | JPMorgan Chase & Co. | | | 4.8% | |
| | Johnson & Johnson | | | 4.2% | |
| | Pfizer, Inc. | | | 3.7% | |
| | Wells Fargo & Co. | | | 3.7% | |
| | Exxon Mobil Corp. | | | 3.6% | |
| | Procter & Gamble Co. | | | 2.8% | |
| | Wal-Mart Stores, Inc. | | | 2.7% | |
| | Cisco Systems, Inc. | | | 2.5% | |
| | Allstate Corp. | | | 2.3% | |
| | Intercontinental Exchange, Inc. | | | 2.3% | |
| | Portfolio holdings are subject to change daily. | |
above consensus estimates. Furthermore, we believe 2018 guidance looks stronger than expected as equipment revenue from the Wirtgen deal will expand Deere & Company in the global construction market and is expected to contribute the company’s net sales and (EBIT).
Within the information technology sector, owning Activision Blizzard, Inc., an interactive entertainment company, contributed to performance. The company benefited from a string of strong quarterly earnings, driven by better digital and online sales. Moreover, the shift in video game distribution from physical console games to digital downloads is leading to a more profitable and recurring earnings stream.
Among the key detractors were Plains GP Holdings LP, Discover Financial Services, and Schlumberger NV.
An overweight position in Plains GP Holdings LP, an oil and gas pipeline, processing and storage company, detracted from performance. The company reported second quarter 2017 earnings that fell short of expectations and lowered guidance for 2017 as a whole. This occurred as the company’s supply and logistics business is expected to continue to be much weaker than planned. We subsequently sold out of the stock.
Within the financial sector, an overweight position in Discover Financial Services, a direct banking and payment services company, was a headwind for performance. The company’s shares sold off following a modest first quarter 2017 shortfall due to higher credit costs. We exited the position in June 2017, as we saw additional signs of credit deterioration beyond normal portfolio seasoning also putting pressure on the stock. We subsequently repurchased the stock in late December, as we believe the impact of the tax reform bill should boost consumer cash flow and improve overall credit quality.
Within the energy sector, an overweight position in Schlumberger NV, a provider of integrated project management solutions to the international oil and gas exploration and production industries, detracted from results. Shares of Schlumberger underperformed due to lackluster performance in key international markets and weakness offshore drilling activity.
Current Strategy and Outlook: We continue to see what we believe are attractive valuations in companies in a variety of sectors. Going forward we believe that dividends will continue to be in demand by investors, who are searching for income and for funds with good downside capture such as the Portfolio has sought to provide.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| Portfolio Managers’ Report | Voya Large Cap Value Portfolio |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | | Since Inception
of Class S2
September 9, 2013 | | |
| | | Class ADV | | | | | 12.84% | | | | | | 11.54% | | | | | | 6.49% | | | | | | — | | | |
| | | Class I | | | | | 13.55% | | | | | | 12.22% | | | | | | 7.10% | | | | | | — | | | |
| | | Class R6(1) | | | | | 13.47% | | | | | | 12.19% | | | | | | 7.09% | | | | | | — | | | |
| | | Class S | | | | | 13.23% | | | | | | 11.94% | | | | | | 6.84% | | | | | | — | | | |
| | | Class S2 | | | | | 13.10% | | | | | | — | | | | | | | | | | | | 9.18% | | | |
| | | Russell 1000® Value | | | | | 13.66% | | | | | | 14.04% | | | | | | 7.10% | | | | | | 11.58% | | ��� | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of Voya Large Cap Value Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is
not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking”statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Prior to January 21, 2011, the Portfolio was managed by a different sub-adviser.
(1)
Class R6 incepted on November 24, 2015. The Class R6 shares performance shown for the period prior to their inception date is the performance of Class I shares without adjustment for any differences in the expenses between the two classes. If adjusted for such differences, returns would be different.
| Voya Limited Maturity Bond Portfolio | Portfolio Managers’ Report |
| | Investment Type Allocation
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Corporate Bonds/Notes | | | 46.7% | |
| | U.S. Treasury Obligations | | | 26.1% | |
| | Asset-Backed Securities | | | 18.6% | |
| | Commercial Mortgage-Backed Securities | | | 8.1% | |
| | Collateralized Mortgage Obligations | | | 0.1% | |
| | Foreign Government Bonds | | | 0.1% | |
| | U.S. Government Agency Obligations | | | 0.0% | |
| | Assets in Excess of Other Liabilities* | | | 0.3% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | | |
| | Portfolio holdings are subject to change daily. | |
Voya Limited Maturity Bond Portfolio (the “Portfolio”) seeks highest current income consistent with low risk to principal and liquidity. As a secondary objective, the Portfolio seeks to enhance its total return through capital appreciation when market factors, such as falling interest rates and rising bond prices, indicate that capital appreciation may be available without significant risk to principal. The Portfolio is managed by David Goodson, Randall Parrish, CFA, and Matthew Toms, CFA, Portfolio Managers of Voya Investment Management Co. LLC — the Sub-Adviser.*
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 1.20% compared to the Bloomberg Barclays U.S. 1-3 Year Government/Credit Bond Index, which returned 0.84% for the same period.
Portfolio Specifics: The Portfolio holds overweights in spread sectors, including investment grade (“IG”) corporate bonds, asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”), which were all additive to results as their spreads tightened. In addition, our Treasury bond underweight was beneficial as higher quality bonds lagged. Overall, favorable asset allocation and security selection added to results.
The year closed with the Federal Open Markets Committee (“FOMC”) raising the federal funds rate by a quarter percentage point (0.25%) at its final meeting of the year. The FOMC left its forecast for inflation and interest rates unchanged for 2018, while raising its estimate of U.S. gross domestic product from 2.1% to 2.5%. This was perceived as a dovish hike which anchored the long end of the Treasury curve and pushed short-term Treasury yields higher, thus continuing to flatten the yield curve. Two-year Treasuries moved higher in yield (lower in price) from a 1.20% at the beginning of the year, ending at 1.89%. In contrast, 10-year Treasury yields fell from 2.45% to 2.40% in 2017.
Our decision to place greater emphasis on allocating to IG credit versus Treasuries helped performance. Despite less attractive spreads, we feel that our disciplined security selection approach aided past performance and will help us to identify pockets of opportunities moving forward. In
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | United States Treasury Note, 0.625%, 06/30/18 | | | 20.3% | |
| | United States Treasury Note, 1.875%, 12/15/20 | | | 2.5% | |
| | United States Treasury Note, 1.250%, 03/31/19 | | | 1.4% | |
| | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 B, 5.408%, 08/15/46 | | | 1.0% | |
| | United States Treasury Note, 1.875%, 03/31/22 | | | 0.8% | |
| | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 C, 5.055%, 09/11/42 | | | 0.7% | |
| | United States Treasury Note, 1.250%, 04/30/19 | | | 0.7% | |
| | Goldman Sachs Group, Inc., 2.550%, 10/23/19 | | | 0.7% | |
| | Benefit Street Partners CLO X Ltd. 2016-10AA1, 2.849%, 01/15/29 | | | 0.6% | |
| | Cabela’s Credit Card Master Note Trust 2015-1A A1, 2.260%, 03/15/23 | | | 0.5% | |
| | Portfolio holdings are subject to change daily. | |
addition to thinking that tax cuts will act as a tailwind to credit fundamentals, we like the valuation gap of the financial sector and also think the communication and energy sectors offer upside. We favor a slight overweight to BBB-rated credits as we believe the yields are beneficial when the market grinds tighter. With the global economy remaining supportive to credit investing from a macro perspective, there is little evidence of aggressive balance sheet tactics that are common in the late stages of the credit cycle that could degrade corporate balance sheets. While leverage is slowly rising, we believe it is supportable and interest coverage remains elevated.
Across the securitized sector, we were overweight high quality ABS, as we thought that the sector would remain well bid and offer solid return versus Treasuries. This positioning proved to be additive, driven by the well positioned consumer and supportive labor markets. ABS spreads finished the year tighter across most subsectors. We were also overweight CMBS, but remained up-in-quality in the sector as we felt that fundamentals were slightly stretched. Nevertheless, we maintained our overweight based on the high quality yield advantage versus other high quality sectors. This positioning contributed to performance during the year.
Swaps and futures were used in conjunction with cash bonds for duration and yield curve management. These investment decisions in total (derivative instruments and cash securities) detracted from the Portfolio’s performance over the reporting period.
Current Strategy and Outlook: Looking ahead, we expect the macro environment to remain supportive for the fixed income markets. Inflation, while below the Federal Reserve’s (“Fed”) target, is expected to trend higher, as pressure from demographic shifts and labor skill shortages increase. However, we believe this will be largely offset by disinflationary benefits of globalization of goods and technology improvements. Corporate tax cuts within the U.S. will provide a tailwind to corporate earnings, which should lead to stronger nominal growth. That said, fuller valuations, coupled with diminished monetary support as the Fed winds down its balance sheet, could act as a headwind moving into the first half of 2018, in our opinion. Therefore, we favor the strategy of selling into strength as opposed to buying on weakness.
*
Effective April 1, 2017, David Goodson and Randall Parrish were added as portfolio managers of the Portfolio.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| Portfolio Managers’ Report | Voya Limited Maturity Bond Portfolio |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 0.94% | | | | | | 0.53% | | | | | | 1.32% | | | |
| | | Class I | | | | | 1.45% | | | | | | 1.12% | | | | | | 1.95% | | | |
| | | Class S | | | | | 1.20% | | | | | | 0.89% | | | | | | 1.70% | | | |
| | | Bloomberg Barclays U.S. 1-3 Year Government/Credit Bond Index | | | | | 0.84% | | | | | | 0.84% | | | | | | 1.85% | | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of Voya Limited Maturity Bond Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
| Voya Multi-Manager Large Cap Core Portfolio | Portfolio Managers’ Report |
| | Sector Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Financials | | | 21.1% | |
| | Information Technology | | | 19.8% | |
| | Consumer Discretionary | | | 16.9% | |
| | Industrials | | | 12.0% | |
| | Health Care | | | 10.8% | |
| | Consumer Staples | | | 6.6% | |
| | Energy | | | 4.8% | |
| | Materials | | | 3.0% | |
| | Telecommunication Services | | | 2.3% | |
| | Real Estate | | | 0.6% | |
| | Utilities | | | 0.3% | |
| | Assets in Excess of Other Liabilities* | | | 1.8% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
Voya Multi-Manager Large Cap Core Portfolio (the “Portfolio”) seeks reasonable income and capital growth. The Portfolio is managed by two sub-advisers — Columbia Management Investment Advisers, LLC (“CMIA”) and The London Company of Virginia, LLC (“TLC”) (each a “Sub-Adviser” and collectively, the “Sub-Advisers”). Each manages a portion (“Sleeve”) of the Portfolio’s assets that is allocated to the Sub-Adviser. The following individuals are primarily responsible for the day-to-day management of their respective Sleeve: Guy W. Pope, CFA, Head of Contrarian Core Strategy and Portfolio Manager of the Sleeve that is managed by CMIA, and Stephen M. Goddard, CFA, President, CIO and Lead Portfolio Manager, J. Brian Campbell, CFA, Jonathan T. Moody, CFA, Principal, and Mark E. DeVaul, CFA, Portfolio Managers of the Sleeve that is managed by TLC.
Performance: For the year ended December 31, 2017, the Portfolio’s Class I shares provided a total return of 21.73% compared to the S&P 500® Index and the Russell 1000® Index, which returned 21.83% and 21.69%, respectively, for the same period.
Portfolio Specifics: CMIA — The Sleeve underperformed the Russell 1000
® Index by approximately 1 basis point (0.01%) for the year ended December 31, 2017. Before the deduction of fees and expenses, the Sleeve outperformed the Russell 1000
® Index. Strong stock selection in the information technology, consumer discretionary and real estate sectors contributed most to Sleeve performance relative to the benchmark for the year. Stock selection was weakest in the industrials, consumer staples and health care sectors for the period. Sector
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Berkshire Hathaway, Inc. – Class B | | | 5.3% | |
| | Apple, Inc. | | | 4.5% | |
| | Alphabet, Inc. - Class C | | | 3.3% | |
| | Wells Fargo & Co. | | | 3.2% | |
| | Dollar Tree, Inc. | | | 2.6% | |
| | FedEx Corp. | | | 2.5% | |
| | Lowe’s Cos, Inc. | | | 2.5% | |
| | Progressive Corp. | | | 2.5% | |
| | Blackrock, Inc. | | | 2.4% | |
| | Carnival Corp. | | | 2.3% | |
| | Portfolio holdings are subject to change daily. | |
allocation contributed to overall performance for the year. An underweight to utilities was a positive for the strategy during the year.
Top contributors included MasterCard (“MA”), Facebook (“FB”), and Electronic Arts Inc. (“EA”). In our opinion, MA is well positioned to benefit from the ongoing global secular shift away from traditional cash and checks and towards electronic payments. FB was another strong performer for the Sleeve, with profits and revenues up double digits. Advertisers continue to embrace the core Facebook platform as well as its subsidiary Instagram. EA generated record net sales and operating cash flow in fiscal 2017 (announced on 9 May for the fiscal year ended 31 March); the company continues to successfully navigate its ongoing transition to digital, as well as increasing success with live services.
Top detractors included Cardinal Health, Inc. (“CAH”), the Kroger Co. (“KR”), and Allergan PLC (“AGN”). Generic drug pricing deflation as well as company spending initiatives hurt CAH’s growth outlook resulting in investor disappointment. KR, which operates retail food and drug stores across the U.S., reported a mediocre earnings report, mostly explained by grocery price deflation that has troubled the entire industry. Additionally, news broke that Walmart, one of KR’s competitors, may be kicking off a price war in the space. AGN detracted from Sleeve performance despite reporting strong results in early August, including a 9% increase in revenues. Investors’ remain concerned on the patent integrity of AGN’s leading product, Restatis.
TLC — The Sleeve outperformed the Russell 1000® Index by approximately 6 basis points (0.06%) for the year ended December 31, 2017. U.S. stocks posted very strong gains during 2017. Shares of large cap companies led the market. Other factors that drove the market included a preference for growth over value as well as cyclical over more defensive sectors. Tax cuts announced late in the year also helped drive the market higher. Information technology was the strongest sector. Volatility was extremely low during the year and the broader market, measured by the S&P 500® Index, traded higher every month.
| Portfolio Managers’ Report | Voya Multi-Manager Large Cap Core Portfolio |
Both sector allocation and stock selection were additive to the Sleeve’s relative performance. At the sector level, an underweight in energy and real estate had a positive impact on relative performance, partially offset by the negative impact of an underweight in information technology and health care. Strong stock selection in financials and industrials aided performance.
The best performing stocks relative to the Russell 1000® Index were Progressive Corp., Deere, and Visa. Progressive Corp. outperformed as the company gained market share in the auto insurance market. In our opinion, the company’s attractive pricing helped drive share gains, while its conservative underwriting kept losses minimal. Deere shares were strong reflecting growth in the global economy and optimism that we are near the bottom of the agriculture cycle. Visa shares moved steadily higher throughout the year, along with the information technology sector. In our opinion, Visa generates copious cash flow and enjoys significant barriers to entry, a duopoly with MasterCard, and an attractive long term growth profile.
The worst performing stocks relative to the Russell 1000® Index were O’Reilly Automotive, Alleghany, and NewMarket. Shares of O’Reilly Automotive declined driven by weaker than expected same store sales. The threat of Amazon taking share in the DIY retail business also led to concern among investors. We believe those concerns may be overblown due to the immediate need for products, attractive pricing at ORLY reflecting 45% private label penetration, and parts/vehicle complexity. In our view, fundamental industry factors are still very healthy so demand should remain positive going forward. After a very strong 2016, Alleghany shares were flat in 2017 mainly on the impact of the massive hurricane losses during the third quarter. We maintain our position reflecting the company’s excellent record of book value growth over time despite the vagaries of the insurance underwriting cycle. Shares of NewMarket declined reflecting higher raw material costs and lower pricing. We remain attracted to the stable revenue outlook in the market for fuel additives and lubricants, pricing power in a consolidated industry, and excellent history of capital allocation.
Current Strategy and Outlook: CMIA — The team has been anticipating that the Tax Cuts and Jobs Act would eventually be passed and has been working to reposition the Sleeve to take advantage of this dynamic for much of the past year. We expect the “tax trade” to continue to be a tailwind to performance in 2018 as we continue to adhere to our contrarian process, using pessimism as a starting point to select potential investment candidates where we see the ability for long-term value creation for the Sleeve.
TLC — We remain optimistic about the U.S. economy and believe there are a number of positives that should support growth including a strong labor market, solid housing, and lower tax rates beginning in 2018. On the inflation front, overall price increases continue to come in below 2%.
In our opinion, the combination of solid economic growth, low inflation, and relatively low interest rates creates a positive environment for stocks. Potential risks include relatively high valuations for stocks using traditional metrics, geopolitical turmoil, excessive government stimulus, rising inflation, or the U.S. Federal Reserve Board getting more aggressive. We believe the risks and rewards are somewhat balanced as they relate to stocks overall.
We believe the Sleeve is well positioned based on the strength of the companies owned and the overall valuation. In our view, the market is not cheap and we could certainly see a pullback and/or greater volatility in the near future. In an environment of potentially lower expected returns and greater volatility, we believe the Sleeve offers a defensive option for equity investors.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| Voya Multi-Manager Large Cap Core Portfolio | Portfolio Managers’ Report |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 21.04% | | | | | | 14.04% | | | | 6.48% | | |
| | | Class I | | | | | 21.73% | | | | | | 14.74% | | | | 7.12% | | |
| | | Class R6(1) | | | | | 21.66% | | | | | | 14.74% | | | | 7.12% | | |
| | | Class S | | | | | 21.39% | | | | | | 14.44% | | | | 6.85% | | |
| | | S&P 500® Index | | | | | 21.83% | | | | | | 15.79% | | | | 8.50% | | |
| | | Russell 1000® Index | | | | | 21.69% | | | | | | 15.71% | | | | 8.59% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of Voya Multi-Manager Large Cap Core Portfolio against the indices indicated. An index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is
not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Prior to May 1, 2013, the Portfolio was managed by a different sub-adviser.
(1)
Class R6 incepted on May 3, 2016. The Class R6 shares performance shown for the period prior to their inception date is the performance of Class I shares without adjustment for any differences in the expenses between the two classes. If adjusted for such differences, returns would be different.
| Portfolio Managers’ Report | Voya U.S. Stock Index Portfolio |
| | Sector Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Information Technology | | | 23.6% | |
| | Financials | | | 14.7% | |
| | Health Care | | | 13.7% | |
| | Consumer Discretionary | | | 12.1% | |
| | Industrials | | | 10.2% | |
| | Consumer Staples | | | 8.1% | |
| | Energy | | | 6.0% | |
| | Materials | | | 3.0% | |
| | Utilities | | | 2.9% | |
| | Real Estate | | | 2.9% | |
| | Telecommunication Services | | | 2.1% | |
| | Assets in Excess of Other Liabilities* | | | 0.7% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
Voya U.S. Stock Index Portfolio (the “Portfolio”) seeks total return. The Portfolio is managed by Steve Wetter and Kai Yee Wong, Portfolio Managers of Voya Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class I shares provided a total return of 21.46% compared to the S&P 500® Index, which returned 21.83% for the same period.
Portfolio Specifics*: The Portfolio employs a “passive management” approach designed to track the performance of the S&P 500® Index. The Portfolio attempts to track the S&P 500® Index by principally investing in stocks that make up the S&P 500® Index. The Portfolio may not always hold all of the same securities as the S&P 500® Index.
On the sector level, and on an absolute basis, information technology, materials, and consumer discretionary were the best performing sectors. By contrast, the telecommunication services and energy sectors underperformed.
Current Strategy and Outlook: The Portfolio currently invests principally in common stocks and employs a “passive
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Apple, Inc. | | | 3.8% | |
| | Microsoft Corp. | | | 2.9% | |
| | Amazon.com, Inc. | | | 2.0% | |
| | Facebook, Inc. | | | 1.8% | |
| | Berkshire Hathaway, Inc. – Class B | | | 1.7% | |
| | Johnson & Johnson | | | 1.6% | |
| | JPMorgan Chase & Co. | | | 1.6% | |
| | Exxon Mobil Corp. | | | 1.5% | |
| | Alphabet, Inc. - Class C | | | 1.4% | |
| | Alphabet, Inc. - Class A | | | 1.4% | |
| | Portfolio holdings are subject to change daily. | |
management” approach designed to track the performance of the S&P 500
® Index.
*
Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. Returns presented in the preceding paragraph refer to the Portfolio’s performance net of expenses. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| Voya U.S. Stock Index Portfolio | Portfolio Managers’ Report |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | | Since Inception
of Class ADV
May 28, 2009 | | |
| | | Class ADV | | | | | 20.82% | | | | | | 14.87% | | | | | | — | | | | | | 14.91% | | | |
| | | Class I | | | | | 21.46% | | | | | | 15.47% | | | | | | 8.22% | | | | | | — | | | |
| | | Class P2(1) | | | | | 21.61% | | | | | | 15.50% | | | | | | 8.23% | | | | | | — | | | |
| | | Class S | | | | | 21.22% | | | | | | 15.21% | | | | | | 7.96% | | | | | | — | | | |
| | | Class S2 | | | | | 21.03% | | | | | | 15.02% | | | | | | 7.79% | | | | | | — | | | |
| | | S&P 500® Index | | | | | 21.83% | | | | | | 15.79% | | | | | | 8.50% | | | | | | 15.82% | | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of Voya U.S. Stock Index Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The
performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)
Class P2 incepted on May 3, 2017. The Class P2 shares performance shown for the period prior to their inception date is the performance of Class I shares without adjustment for any differences in the expenses between the two classes. If adjusted for such differences, returns would be different.
| Portfolio Managers’ Report | VY® Clarion Real Estate Portfolio |
| | Sector Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | REITS - Apartments | | | 11.9% | |
| | Real Estate | | | 11.4% | |
| | REITS - Office Property | | | 10.8% | |
| | REITS - Regional Malls | | | 10.4% | |
| | REITS - Warehouse/Industrial | | | 10.3% | |
| | REITS - Diversified | | | 8.7% | |
| | Web Hosting/Design | | | 7.2% | |
| | REITS - Health Care | | | 6.3% | |
| | REITS - Shopping Centers | | | 6.3% | |
| | REITS - Storage | | | 5.6% | |
| | REITS - Hotels | | | 5.2% | |
| | REITS - Manufactured Homes | | | 1.9% | |
| | Consumer Discretionary | | | 1.7% | |
| | REITS - Single Tenant | | | 1.4% | |
| | Assets in Excess of Other Liabilities* | | | 0.9% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | Portfolio holdings are subject to change daily. | |
VY
® Clarion Real Estate Portfolio (the “Portfolio”) seeks total return including capital appreciation and current income. The Portfolio is managed by T. Ritson Ferguson, CFA, Chief Executive Officer and Global Chief Investment Officer, and Joseph P. Smith, CFA, Managing Director and Co-Chief Investment Officer, of CBRE Clarion Securities LLC (“CBRE”) — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 5.18% compared to the MSCI U.S. REIT® Index, which returned 5.07% for the same period.
Portfolio Specifics: During the period, the Portfolio outperformed the benchmark as the result of positive stock selection and sector allocation decisions. Approximately two-thirds of the relative outperformance for the year came from sector allocation, driven by an overweight to the outperforming technology, residential and industrial sectors as well as from an underweight to the underperforming shopping center sector. The relative outperformance of the Portfolio’s holdings in the healthcare, mall, hotel and industrial sectors accounted for most of the value added from stock selection. Relative underperformance of the Portfolio’s holdings in the shopping center and net lease sectors detracted from relative performance.
U.S. real estate stocks finished the year with a positive mid-single digit total return. While surging equity markets got all the attention, real estate stocks also had a positive year. Performance was consistent, with a modest positive total return for each of the four calendar quarters. Favorable performance of real estate stocks was underpinned by improving fundamentals, broad economic recovery, a strong private bid for real estate as an asset class, and attractive valuations versus the private market. U.S. REITs underperformed a global real estate strategy for the first time in four years, likely the result of short-term negative sentiment from higher policy rates in the U.S. despite the U.S. 10-year Treasury bond finishing 2017 about where it started at 2.41% (down only 3 basis points versus 2.44% at year-end 2016).
We believe the economic outlook is improving and this should have a positive impact on commercial real estate and listed real estate companies. We also believe that global economic growth is improving in a more synchronized manner than previously expected which is reflected in generally robust property fundamentals. We believe economic growth is gaining momentum in an economic expansion which continues to have “legs” at this point of an extended cycle.
In our view, monetary policy should tighten in the U.S. but remain relatively more accommodative elsewhere. We believe total return among
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Equinix, Inc. | | | 7.2% | |
| | Simon Property Group, Inc. | | | 6.8% | |
| | ProLogis, Inc. | | | 6.6% | |
| | Alexandria Real Estate Equities, Inc. | | | 4.3% | |
| | Extra Space Storage, Inc. | | | 3.8% | |
| | AvalonBay Communities, Inc. | | | 3.6% | |
| | Regency Centers Corp. | | | 3.6% | |
| | Equity Residential | | | 3.4% | |
| | GGP, Inc. | | | 3.4% | |
| | Iron Mountain, Inc. | | | 3.3% | |
| | Portfolio holdings are subject to change daily. | |
property companies should be generated by 5% earnings growth and 4% dividend yield with stable multiples. In our opinion, we do not believe that multiples will contract, an out-of-consensus view, given attractive valuations, a strong M&A bid for listed real estate companies, a year of underperformance versus equities and an earnings multiple (funds from operation) that is now in-line to lower than that of the S&P 500
®. With real estate companies trading at a discount to our estimate of inherent real estate value (or NAV), and an implied capitalization rate approaching 6%, we believe real estate stocks remain attractively priced relative to private real estate and competing asset classes.
Current Strategy and Outlook: We are positive on property types and markets with above average growth and valuations that are attractive relative to this growth. We favor Class-A mall companies, technology, storage and select residential companies. We also are positive on hotel companies, particularly C-corps which stand to benefit from tax reform that lowers the corporate tax rates for these companies. Within residential, we like manufactured housing, single family home-for-rent companies and select coastal apartment REITs.
We are cautious and selective in markets and property types with headwinds to earnings growth, either for secular or cyclical reasons. We remain cautious on the more bond-like sectors that offer modest growth and trade less attractively relative to our estimate of underlying private market real estate value. This includes the net lease and healthcare sectors in the U.S., as well as suburban office companies and Sunbelt apartment REITs. Industrial companies have materially outperformed and now reflect valuations which cause us to be more selective, despite underlying demand drivers which remain intact.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| VY® Clarion Real Estate Portfolio | Portfolio Managers’ Report |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 4.82% | | | | | | 8.01% | | | | 6.93% | | |
| | | Class I | | | | | 5.47% | | | | | | 8.66% | | | | 7.58% | | |
| | | Class S | | | | | 5.18% | | | | | | 8.39% | | | | 7.30% | | |
| | | Class S2 | | | | | 5.02% | | | | | | 8.23% | | | | 7.14% | | |
| | | MSCI U.S. REIT® Index | | | | | 5.07% | | | | | | 9.34% | | | | 7.44% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® Clarion Real Estate Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
| Portfolio Managers’ Report | VY® Franklin Income Portfolio |
| | Investment Type Allocation
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Common Stock | | | 50.3% | |
| | Corporate Bonds/Notes | | | 36.3% | |
| | Equity-Linked Securities | | | 4.3% | |
| | Bank Loans | | | 4.2% | |
| | Preferred Stock | | | 1.9% | |
| | Convertible Bonds/Notes | | | 1.4% | |
| | Assets in Excess of Other Liabilities* | | | 1.6% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | | |
| | Portfolio holdings are subject to change daily. | |
VY
® Franklin Income Portfolio (the “Portfolio”) seeks to maximize income while maintaining prospects for capital appreciation. The Portfolio is managed by Edward D. Perks, CFA, and Matt Quinlan, Portfolio Managers of Franklin Advisers, Inc. — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 10.33% compared to the S&P 500® Index and the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 21.83% and 3.54%, respectively, for the same period.
Portfolio Specifics: All equity sectors contributed to Portfolio returns during the year, led by information technology (“IT”), financials and materials. IT positions, including Apple, Microsoft and Intel, benefited from product innovation and increasing semiconductor demand. Apple saw record earnings and cash flow generation as new iPhone features were well received by customers, and Microsoft became a leader in cloud-based computing. Investments in areas outside its core personal computer segment helped Intel’s shares.
Within financials, Wells Fargo, JPMorgan and Bank of America were large contributors to Portfolio performance. All three companies saw accelerated earnings from an improving economy and higher interest rates. The materials sector, led by DowDuPont and Rio Tinto, benefited from improving commodity prices and strong underlying demand from growing global economies. DowDuPont benefited from its plan to split into three business segments. Shares of Rio Tinto benefited from higher iron ore, copper and aluminum prices, while cost reductions and reduced working capital demands significantly improved cash flow.
Conversely, the Portfolio’s primary equity detractors included General Electric in industrials and generic drug manufacturer Teva Pharmaceutical Industries in health care. Shares of General Electric fell amid the company’s weaker-than-expected free cash flow profile. Teva was hurt by softer volume and pricing, and its heavy debt load. Other holdings that detracted from performance included Baker Hughes and Anadarko Petroleum in energy, due to low oil prices for most of 2017, and PG&E in utilities.
On the fixed income side, several energy sector holdings performed well. Exploration and production holdings — Bill Barrett, Weatherford International and Chesapeake Energy — all benefited from their ability to access the capital markets and refinance debt. Banking benefited from strong credit quality and excess capital, led by Citigroup. Within consumer non-cyclicals, the strong performance from
| | Top Ten Holdings
as of December 31, 2017*
(as a percentage of net assets) | |
| | | | | | |
| | Royal Dutch Shell PLC - Class A ADR | | | 3.1% | |
| | Wells Fargo & Co. | | | 2.2% | |
| | General Electric Co. | | | 1.9% | |
| | Chesapeake Energy Corp., 8.000%, 06/15/27 | | | 1.8% | |
| | BP PLC ADR | | | 1.8% | |
| | Ford Motor Co. | | | 1.7% | |
| | Chevron Corp. | | | 1.7% | |
| | BASF SE | | | 1.6% | |
| | DowDuPont, Inc. | | | 1.5% | |
| | JPMorgan Chase & Co. | | | 1.5% | |
| | *
Excludes short-term investments. | | |
| | Portfolio holdings are subject to change daily. | |
Valeant Pharmaceuticals International and Tenet Healthcare was offset by the Portfolio’s biggest detractor, Community Health Systems.
The Portfolio made moderate use of derivative instruments during the period, such as equity options and equity-linked notes. The goal of these instruments is to enhance Portfolio returns and yield and, in some cases, broaden the investment universe. These positions had a modest impact on performance.
Current Strategy and Outlook: Our optimism about the global economy continues to encourage our search for attractive total return investments (those providing a combination of income generation and capital appreciation) in both equity and fixed income markets. Equities continued to represent a larger weighting in the Portfolio than fixed income. We regard equities as relatively attractive compared to more interest rate-sensitive asset classes, given the potential for eventual higher interest rates and the risk this entails for fixed income markets. Ultimately, we continue to look across companies’ individual capital structures in search of what we believe are the most compelling investments among dividend-paying equities and many different types of fixed income securities.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| VY® Franklin Income Portfolio | Portfolio Managers’ Report |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 10.03% | | | | | | 7.17% | | | | 5.34% | | |
| | | Class I | | | | | 10.56% | | | | | | 7.73% | | | | 6.00% | | |
| | | Class S | | | | | 10.33% | | | | | | 7.54% | | | | 5.77% | | |
| | | Class S2 | | | | | 10.16% | | | | | | 7.36% | | | | 5.60% | | |
| | | S&P 500® Index | | | | | 21.83% | | | | | | 15.79% | | | | 8.50% | | |
| | | Bloomberg Barclays U.S. Aggregate Bond Index | | | | | 3.54% | | | | | | 2.10% | | | | 4.01% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® Franklin Income Portfolio against the indices indicated. An index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
| Portfolio Managers’ Report | VY® JPMorgan Small Cap Core Equity Portfolio |
| | Sector Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Industrials | | | 19.0% | |
| | Financials | | | 17.3% | |
| | Information Technology | | | 14.6% | |
| | Health Care | | | 13.4% | |
| | Consumer Discretionary | | | 12.2% | |
| | Real Estate | | | 6.5% | |
| | Materials | | | 5.7% | |
| | Energy | | | 3.6% | |
| | Utilities | | | 3.0% | |
| | Consumer Staples | | | 2.9% | |
| | Telecommunication Services | | | 0.0% | |
| | Assets in Excess of Other Liabilities* | | | 1.8% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | | |
| | Portfolio holdings are subject to change daily. | |
VY
® JPMorgan Small Cap Core Equity Portfolio (the “Portfolio”) seeks capital growth over the long-term. The Portfolio is managed using two investment styles — quantitative and fundamental analysis. The Portfolio is managed in two sleeves — the quantitative sleeve managed by Dennis S. Ruhl, CFA, Managing Director, and Phillip D. Hart, CFA, Managing Director, and the fundamental sleeve managed by Daniel J. Percella, CFA, Executive Director and Don San Jose, CFA, Managing Director, Portfolio Managers of J.P. Morgan Investment Management Inc. — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 15.56% compared to the Russell 2000® Index, which returned 14.65% for the same period.
Portfolio Specifics: The quantitative sleeve outperformed the Russell 2000® Index, which returned 14.65% for the year ended December 31, 2017.
Stock selection in the pharmaceutical and systems hardware sectors aided performance. At the individual stock level, Extreme Networks and Take-Two Interactive were the top contributors. Within the semiconductors sector, our position in Extreme Networks helped results. Shares rose after the company announced it would acquire Avaya’s networking business assets for $100 million in cash, which is expected to generate over $200 million in annual revenues, and Brocade Communications Systems' datacenter business for $55 million in cash, which is expected to generate over $230 million in annual revenue. Shares also spiked after management unveiled a fiscal year 2018 model at the company’s analyst day, which incorporated the acquisitions of Avaya and Brocade into its financial projections. The model increased investor confidence as it highlighted future revenues north of $1 billion and projected that the company will be the third-largest enterprise networking vendor behind only Cisco and HP Enterprise. Additionally, within the media sector, our position in Take-Two Interactive contributed to performance. Shares of the stock have continued to rise steadily throughout the year following a series of strong earnings results, driven by higher revenue from digitally delivered content from the company’s Grand Theft Auto and NBA 2K franchises.
Alternatively, stock selection in the basic materials and consumer cyclical sectors hurt the Portfolio’s relative return. At the stock level, Unisys Corp. and TiVo were the top detractors. Within the software and services sector, our overweight position in Unisys Corp. held back results after the company reported weaker-than-expected second-quarter top-line and bottom-line results. In addition, the company reported disappointing operating margins, driven by lower operational leverage in its technology segment, hiring of 1,200 employees related to a recent contract win, and greater investment spend in new products. Additionally, also within the software and services sector, our position in TiVo detracted from performance. Shares declined during the period due to continued uncertainty surrounding the settlement of the company’s patent-infringement case against Comcast. Although the International Trade Commission ruled in favor of TiVo, the timing of the settlement remains unclear, which could delay over $40 million in licensing revenue in 2018 that the company expected to generate from Comcast.
The fundamental sleeve outperformed the Russell 2000
® Index during the year. Stock selection in the financial services and materials and processing sectors
| | Top Ten Holdings
as of December 31, 2017*
(as a percentage of net assets) | |
| | | | | | |
| | Toro Co. | | | 1.2% | |
| | Aptargroup, Inc. | | | 1.1% | |
| | Performance Food Group Co. | | | 1.1% | |
| | Pool Corp. | | | 1.1% | |
| | Portland General Electric Co. | | | 1.0% | |
| | Wintrust Financial Corp. | | | 1.0% | |
| | Catalent, Inc. | | | 0.9% | |
| | Healthsouth Corp. | | | 0.9% | |
| | Patterson-UTI Energy, Inc. | | | 0.9% | |
| | West Pharmaceutical Services, Inc. | | | 0.9% | |
| | *
Excludes short-term investments. | | |
| | Portfolio holdings are subject to change daily. | |
contributed the most to performance. Stock selection in consumer discretionary and heath care detracted from performance.
Overweight positions in Grubhub and Catalent were contributors to performance in the year. Grubhub is a leading platform for restaurant delivery. The company has executed well throughout the year, as positive momentum in the business drove earnings and revenue ahead of expectations throughout the year. The company also made a few acquisitions, which were well-received by investors. Catalent is a leading global provider of advanced delivery technologies and development solutions to the pharmaceutical, biotechnology and consumer health products industry. Shares outperformed as the company consistently beat earnings and revenue expectations throughout the year.
Papa John’s International and Brinker International were top detractors. Papa John’s is a global operator and franchisor of pizza restaurants. Much of the stock’s underperformance for the year came in the fourth quarter, when management lowered 2017 guidance and the CEO and founder of the company decided to step down. Brinker International is the owner and operator of the Chili’s and Maggiano’s restaurant chains. The stock had a challenging 2017 as same store sales and restaurant traffic declines weighed on the business and the restaurant industry in general.
Current Strategy and Outlook: Despite U.S. equity markets continuing to make new highs, we think the current above average market multiples are supported by underlying earnings growth expectations and the low-yield environment. The passage of the tax reform act — which, in our opinion, should benefit small caps given their domestic orientation and higher effective tax rates — removed one risk to the market. As such, within the quantitative sleeve we maintain conviction in our investment process, which aims to exploit irrational human behavior by investing in undervalued stocks with improving business trends and market sentiment.
Within the fundamental sleeve, we seek to own high-quality businesses, run by management teams with a proven track record of creating shareholder value. From a positioning perspective, our materials and processing overweight widened throughout the year, ending 2017 as the largest overweight exposure in the portfolio followed by energy. Health care, which started the year as a neutral weight, ended the year as the largest underweight in the portfolio as we eliminated some positions and pared back others. The technology sector also remains a significant underweight.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| VY® JPMorgan Small Cap Core Equity Portfolio | Portfolio Managers’ Report |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 15.17% | | | | | | 14.49% | | | | 10.05% | | |
| | | Class I | | | | | 15.86% | | | | | | 15.60% | | | | 10.72% | | |
| | | Class R6(1) | | | | | 15.87% | | | | | | 15.59% | | | | 10.71% | | |
| | | Class S | | | | | 15.56% | | | | | | 15.30% | | | | 10.43% | | |
| | | Class S2 | | | | | 15.42% | | | | | | 15.13% | | | | 10.27% | | |
| | | Russell 2000® Index | | | | | 14.65% | | | | | | 14.12% | | | | 8.71% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® JPMorgan Small Cap Core Equity Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The
performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1)
Class R6 incepted on May 3, 2016. The Class R6 shares performance shown for the period prior to their inception date is the performance of Class I shares without adjustment for any differences in the expenses between the two classes. If adjusted for such differences, returns would be different.
| Portfolio Managers’ Report | VY® Templeton Global Growth Portfolio |
| | Geographic Diversification
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | United States | | | 39.0% | |
| | United Kingdom | | | 11.1% | |
| | France | | | 5.7% | |
| | Netherlands | | | 5.2% | |
| | China | | | 5.1% | |
| | Japan | | | 4.8% | |
| | South Korea | | | 4.6% | |
| | Germany | | �� | 3.7% | |
| | Canada | | | 2.9% | |
| | Switzerland | | | 2.8% | |
| | Countries between 0.2% – 2.3%^ | | | 14.3% | |
| | Assets in Excess of Other Liabilities* | | | 0.8% | |
| | Net Assets | | | 100.0% | |
| | *
Includes short-term investments. | |
| | ^
Includes 12 countries, which each represents 0.2% – 2.3% of net assets. | |
| | Portfolio holdings are subject to change daily. | |
VY
® Templeton Global Growth Portfolio (the “Portfolio”) seeks capital appreciation. Current income is only an incidental consideration. The Portfolio is managed by Norman J. Boersma, CFA, Chief Investment Officer and President, Tucker Scott, CFA and Executive Vice President, Heather Arnold, CFA and Director of Research for the Templeton Global Equity Group, and James Harper, CFA, Portfolio Managers of Templeton Global Advisors Limited — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 18.22% compared to the MSCI World IndexSM, which returned 22.40% for the same period.
Portfolio Specifics: International equities rallied in 2017 as investors looked beyond political turmoil and nascent monetary policy tightening and focused instead on global growth and earnings-accretive fiscal stimulus. International and emerging markets outperformed the U.S., the U.S. dollar slumped, and commodities rallied during the year. In this environment, the Portfolio delivered absolute gains, but trailed the MSCI World IndexSM as a still-challenging backdrop for value investors contributed to stock-specific setbacks.
Health care was the biggest sector detractor on a relative basis, pressured by stock selection and an overweighting. Israeli generic drug-maker Teva Pharmaceuticals Industries declined after reducing its guidance, leading to concerns about its debt profile. Our analysis indicates to us that Teva should be able to deliver on a more conservative outlook. The health care sector remains subject to concerns about generic competition, regulatory scrutiny and a consolidating payor industry, all of which we believe are overstated and addressable.
Stock selection in the consumer discretionary and materials sectors also hindered relative results. In consumer discretionary, shares of SES, a Luxembourg-based satellite and network services provider, declined after a string of disappointing results. We believe the stock is now trading at replacement cost for a business with very high barriers to entry, featuring high dividend and free cash flow yields and a large contract backlog. In materials, shares of Canadian gold miner Barrick Gold declined following problems with a subsidiary in Africa.
Turning to relative contributors, stock selection in financials was beneficial, led by Asian and European lenders. Select European and Asian markets are benefiting from an economic upturn and the potential for incrementally tighter monetary policy, which we believe can improve earnings prospects for the Portfolio’s financials holdings. Security selection in the information technology sector also contributed, buoyed by a
| | Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) | |
| | | | | | |
| | Samsung Electronics Co., Ltd. | | | 2.4% | |
| | Royal Dutch Shell PLC - Class B | | | 2.3% | |
| | Citigroup, Inc. | | | 2.2% | |
| | Oracle Corp. | | | 2.1% | |
| | Twenty-First Century Fox, Inc. - Class A | | | 2.1% | |
| | Teva Pharmaceutical Industries Ltd. ADR | | | 1.9% | |
| | Amgen, Inc. | | | 1.9% | |
| | Standard Chartered PLC | | | 1.9% | |
| | BP PLC | | | 1.9% | |
| | Kingfisher PLC | | | 1.8% | |
| | | | | | |
| | Portfolio holdings are subject to change daily. | |
stake in South Korean semiconductor and consumer electronics manufacturer Samsung Electronics, the Portfolio’s largest contributor. Shares rallied on strong earnings, the successful launch of a new smartphone model and prospects for improving shareholder returns following the announcement of a major stock repurchase plan. In our opinion, the stock remains undervalued.
Stock selection also benefited relative results in the industrials, telecommunication services, utilities and energy sectors. Rising oil prices and improving sector momentum affirmed our decision to remain overweighted in energy despite fears of a supply glut in the first half of the year.
Regionally, stock-specific weakness offset favorable allocations in Europe (overweighted) and the U.S. (underweighted), while stock selection and overweighting in Asia contributed to results.
During the period, the U.S. dollar declined in value against most foreign currencies, which helped the Portfolio’s performance because investments in securities with non-U.S. currency exposure appreciated as the dollar declined. However, one cannot expect the same result in future periods.
Current Strategy and Outlook:After outperforming growth in 2016, value lagged growth in 2017 by the most in two decades, marking the tenth year out of the past eleven that global value has underperformed global growth. We believe value’s headwinds stem largely from unconventional monetary policy, which, since the global financial crisis, has depressed interest rates and sent investors out of the risk curve in search of growth and yield. We believe these policies are unsustainable for several reasons, including that they inflate asset prices, which creates stability risks. As policies transition, we believe the mature cycle could eventually change, and with it the conditions hostile to value. We would not want to own the leaders of the last cycle during this transition: the growth stocks and bond proxies trading at valuations we consider expensive. However, we believe stocks of companies whose long-term fundamentals have been overlooked and undervalued are well positioned over a long-term investment horizon we believe is likely to include an inflection point in this mature cycle.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
| VY® Templeton Global Growth Portfolio | Portfolio Managers’ Report |
| | | Average Annual Total Returns for the Periods Ended December 31, 2017 | | |
| | | | | | 1 Year | | | 5 Year | | | 10 Year | | |
| | | Class ADV | | | | | 17.76% | | | | | | 8.60% | | | | 3.82% | | |
| | | Class I | | | | | 18.46% | | | | | | 9.27% | | | | 4.52% | | |
| | | Class S | | | | | 18.22% | | | | | | 9.01% | | | | 4.27% | | |
| | | Class S2 | | | | | 18.05% | | | | | | 8.83% | | | | 4.11% | | |
| | | MSCI World IndexSM | | | | | 22.40% | | | | | | 11.64% | | | | 5.03% | | |
| | | | | |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® Templeton Global Growth Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
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 July 1, 2017 to December 31, 2017. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension, or retirement plan. 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
July 1,
2017 | | | Ending
Account
Value
December 31,
2017 | | | Annualized
Expense
Ratio | | | Expenses Paid
During the
Period Ended
December 31,
2017* | | | Beginning
Account
Value
July 1,
2017 | | | Ending
Account
Value
December 31,
2017 | | | Annualized
Expense
Ratio | | | Expenses Paid
During the
Period Ended
December 31,
2017* | |
| Voya High Yield Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,017.20 | | | | | | 1.08% | | | | | $ | 5.49 | | | | | $ | 1,000.00 | | | | | $ | 1,019.76 | | | | | | 1.08% | | | | | $ | 5.50 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,021.30 | | | | | | 0.48 | | | | | | 2.45 | | | | | | 1,000.00 | | | | | | 1,022.79 | | | | | | 0.48 | | | | | | 2.45 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,019.00 | | | | | | 0.73 | | | | | | 3.71 | | | | | | 1,000.00 | | | | | | 1,021.53 | | | | | | 0.73 | | | | | | 3.72 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,018.20 | | | | | | 0.88 | | | | | | 4.48 | | | | | | 1,000.00 | | | | | | 1,020.77 | | | | | | 0.88 | | | | | | 4.48 | | |
| Voya Large Cap Growth Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,132.30 | | | | | | 1.27% | | | | | $ | 6.83 | | | | | $ | 1,000.00 | | | | | $ | 1,018.80 | | | | | | 1.27% | | | | | $ | 6.46 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,135.70 | | | | | | 0.67 | | | | | | 3.61 | | | | | | 1,000.00 | | | | | | 1,021.83 | | | | | | 0.67 | | | | | | 3.41 | | |
| Class R6 | | | | | 1,000.00 | | | | | | 1,135.60 | | | | | | 0.67 | | | | | | 3.61 | | | | | | 1,000.00 | | | | | | 1,021.83 | | | | | | 0.67 | | | | | | 3.41 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,133.80 | | | | | | 0.92 | | | | | | 4.95 | | | | | | 1,000.00 | | | | | | 1,020.57 | | | | | | 0.92 | | | | | | 4.69 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,133.50 | | | | | | 1.07 | | | | | | 5.75 | | | | | | 1,000.00 | | | | | | 1,019.81 | | | | | | 1.07 | | | | | | 5.45 | | |
| Voya Large Cap Value Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,064.30 | | | | | | 1.24% | | | | | $ | 6.45 | | | | | $ | 1,000.00 | | | | | $ | 1,018.95 | | | | | | 1.24% | | | | | $ | 6.31 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,067.80 | | | | | | 0.64 | | | | | | 3.34 | | | | | | 1,000.00 | | | | | | 1,021.98 | | | | | | 0.64 | | | | | | 3.26 | | |
| Class R6 | | | | | 1,000.00 | | | | | | 1,067.10 | | | | | | 0.64 | | | | | | 3.33 | | | | | | 1,000.00 | | | | | | 1,021.98 | | | | | | 0.64 | | | | | | 3.26 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,065.80 | | | | | | 0.89 | | | | | | 4.63 | | | | | | 1,000.00 | | | | | | 1,020.72 | | | | | | 0.89 | | | | | | 4.53 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,065.40 | | | | | | 1.04 | | | | | | 5.41 | | | | | | 1,000.00 | | | | | | 1,019.96 | | | | | | 1.04 | | | | | | 5.30 | | |
SHAREHOLDER EXPENSE EXAMPLES (Unaudited) (continued)
| | | | Actual Portfolio Return | | | Hypothetical (5% return before expenses) | |
| | | | Beginning
Account
Value
July 1,
2017 | | | Ending
Account
Value
December 31,
2017 | | | Annualized
Expense
Ratio | | | Expenses Paid
During the
Period Ended
December 31,
2017* | | | Beginning
Account
Value
July 1,
2017 | | | Ending
Account
Value
December 31,
2017 | | | Annualized
Expense
Ratio | | | Expenses Paid
During the
Period Ended
December 31,
2017* | |
| Voya Limited Maturity Bond Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,002.10 | | | | | | 0.89% | | | | | $ | 4.49 | | | | | $ | 1,000.00 | | | | | $ | 1,020.72 | | | | | | 0.89% | | | | | $ | 4.53 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,004.20 | | | | | | 0.29 | | | | | | 1.46 | | | | | | 1,000.00 | | | | | | 1,023.74 | | | | | | 0.29 | | | | | | 1.48 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,003.90 | | | | | | 0.54 | | | | | | 2.73 | | | | | | 1,000.00 | | | | | | 1,022.48 | | | | | | 0.54 | | | | | | 2.75 | | |
| Voya Multi-Manager Large Cap Core Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,109.10 | | | | | | 1.32% | | | | | $ | 7.02 | | | | | $ | 1,000.00 | | | | | $ | 1,018.55 | | | | | | 1.32% | | | | | $ | 6.72 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,112.70 | | | | | | 0.72 | | | | | | 3.83 | | | | | | 1,000.00 | | | | | | 1,021.58 | | | | | | 0.72 | | | | | | 3.67 | | |
| Class R6 | | | | | 1,000.00 | | | | | | 1,112.00 | | | | | | 0.72 | | | | | | 3.83 | | | | | | 1,000.00 | | | | | | 1,021.58 | | | | | | 0.72 | | | | | | 3.67 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,111.10 | | | | | | 0.97 | | | | | | 5.16 | | | | | | 1,000.00 | | | | | | 1,020.32 | | | | | | 0.97 | | | | | | 4.94 | | |
| Voya U.S. Stock Index Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,109.50 | | | | | | 0.80% | | | | | $ | 4.25 | | | | | $ | 1,000.00 | | | | | $ | 1,021.17 | | | | | | 0.80% | | | | | $ | 4.08 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,112.90 | | | | | | 0.27 | | | | | | 1.44 | | | | | | 1,000.00 | | | | | | 1,023.84 | | | | | | 0.27 | | | | | | 1.38 | | |
| Class P2 | | | | | 1,000.00 | | | | | | 1,113.60 | | | | | | 0.15 | | | | | | 0.75 | | | | | | 1,000.00 | | | | | | 1,024.05 | | | | | | 0.15 | | | | | | 0.75 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,111.50 | | | | | | 0.51 | | | | | | 2.71 | | | | | | 1,000.00 | | | | | | 1,022.63 | | | | | | 0.51 | | | | | | 2.60 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,111.00 | | | | | | 0.67 | | | | | | 3.56 | | | | | | 1,000.00 | | | | | | 1,021.83 | | | | | | 0.67 | | | | | | 3.41 | | |
| VY® Clarion Real Estate Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,027.60 | | | | | | 1.31% | | | | | $ | 6.69 | | | | | $ | 1,000.00 | | | | | $ | 1,018.60 | | | | | | 1.31% | | | | | $ | 6.67 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,031.10 | | | | | | 0.71 | | | | | | 3.63 | | | | | | 1,000.00 | | | | | | 1,021.63 | | | | | | 0.71 | | | | | | 3.62 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,029.50 | | | | | | 0.96 | | | | | | 4.91 | | | | | | 1,000.00 | | | | | | 1,020.37 | | | | | | 0.96 | | | | | | 4.89 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,028.70 | | | | | | 1.11 | | | | | | 5.68 | | | | | | 1,000.00 | | | | | | 1,019.61 | | | | | | 1.11 | | | | | | 5.65 | | |
| VY® Franklin Income Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,051.80 | | | | | | 1.26% | | | | | $ | 6.52 | | | | | $ | 1,000.00 | | | | | $ | 1,018.85 | | | | | | 1.26% | | | | | $ | 6.41 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,055.00 | | | | | | 0.66 | | | | | | 3.42 | | | | | | 1,000.00 | | | | | | 1,021.88 | | | | | | 0.66 | | | | | | 3.36 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,053.40 | | | | | | 0.91 | | | | | | 4.71 | | | | | | 1,000.00 | | | | | | 1,020.62 | | | | | | 0.91 | | | | | | 4.63 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,052.60 | | | | | | 1.06 | | | | | | 5.48 | | | | | | 1,000.00 | | | | | | 1,019.86 | | | | | | 1.06 | | | | | | 5.40 | | |
| VY® JPMorgan Small Cap Core Equity Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,091.10 | | | | | | 1.45% | | | | | $ | 7.64 | | | | | $ | 1,000.00 | | | | | $ | 1,017.90 | | | | | | 1.45% | | | | | $ | 7.37 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,094.90 | | | | | | 0.85 | | | | | | 4.49 | | | | | | 1,000.00 | | | | | | 1,020.92 | | | | | | 0.85 | | | | | | 4.33 | | |
| Class R6 | | | | | 1,000.00 | | | | | | 1,094.90 | | | | | | 0.85 | | | | | | 4.49 | | | | | | 1,000.00 | | | | | | 1,020.92 | | | | | | 0.85 | | | | | | 4.33 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,092.90 | | | | | | 1.10 | | | | | | 5.80 | | | | | | 1,000.00 | | | | | | 1,019.66 | | | | | | 1.10 | | | | | | 5.60 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,092.60 | | | | | | 1.25 | | | | | | 6.59 | | | | | | 1,000.00 | | | | | | 1,018.90 | | | | | | 1.25 | | | | | | 6.36 | | |
| VY® Templeton Global Growth Portfolio | |
| Class ADV | | | | $ | 1,000.00 | | | | | $ | 1,063.40 | | | | | | 1.43% | | | | | $ | 7.44 | | | | | $ | 1,000.00 | | | | | $ | 1,018.00 | | | | | | 1.43% | | | | | $ | 7.27 | | |
| Class I | | | | | 1,000.00 | | | | | | 1,067.20 | | | | | | 0.83 | | | | | | 4.32 | | | | | | 1,000.00 | | | | | | 1,021.02 | | | | | | 0.83 | | | | | | 4.23 | | |
| Class S | | | | | 1,000.00 | | | | | | 1,066.90 | | | | | | 1.08 | | | | | | 5.63 | | | | | | 1,000.00 | | | | | | 1,019.76 | | | | | | 1.08 | | | | | | 5.50 | | |
| Class S2 | | | | | 1,000.00 | | | | | | 1,065.30 | | | | | | 1.23 | | | | | | 6.40 | | | | | | 1,000.00 | | | | | | 1,019.00 | | | | | | 1.23 | | | | | | 6.26 | | |
*
Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Shareholders and Board of Trustees
Voya Investors Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Voya High Yield Portfolio, Voya Large Cap Growth Portfolio, Voya Large Cap Value Portfolio, Voya Limited Maturity Bond Portfolio, Voya Multi-Manager Large Cap Core Portfolio, Voya U.S. Stock Index Portfolio, VY® Clarion Real Estate Portfolio, VY® Franklin Income Portfolio, VY® JPMorgan Small Cap Core Equity Portfolio, and VY® Templeton Global Growth Portfolio (“the Funds”), each a series of Voya Investors Trust, including the summary portfolios of investments, as of December 31, 2017, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
![[MISSING IMAGE: sg_kpmgllp.jpg]](https://capedge.com/proxy/N-CSR/0001144204-18-013812/sg_kpmgllp.jpg)
We have served as the auditor of one or more Voya investment companies since 1975.
Boston, Massachusetts
February 21, 2018
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 2017
| | | | Voya High Yield
Portfolio | | | Voya Large Cap
Growth Portfolio | | | Voya Large Cap
Value Portfolio | | | Voya Limited
Maturity Bond
Portfolio | |
| ASSETS: | |
| Investments in securities at fair value+* | | | | $ | 551,394,913 | | | | | $ | 6,235,056,926 | | | | | $ | 1,285,097,310 | | | | | $ | 291,050,020 | | |
| Short-term investments at fair value** | | | | | 42,479,846 | | | | | | 172,214,363 | | | | | | 24,850,128 | | | | | | 228,993 | | |
| Cash | | | | | 9,220,383 | | | | | | 202 | | | | | | 160 | | | | | | 16,496 | | |
| Cash collateral for futures | | | | | — | | | | | | — | | | | | | — | | | | | | 228,820 | | |
| Receivables: | | | | | |
| Investment securities sold | | | | | — | | | | | | — | | | | | | — | | | | | | 168,872 | | |
| Fund shares sold | | | | | 680,110 | | | | | | 563,772 | | | | | | 34,604 | | | | | | 467,626 | | |
| Dividends | | | | | — | | | | | | 2,246,427 | | | | | | 1,331,237 | | | | | | 1,011 | | |
| Interest | | | | | 8,670,993 | | | | | | — | | | | | | — | | | | | | 1,403,658 | | |
| Foreign tax reclaims | | | | | — | | | | | | 90,845 | | | | | | 262,869 | | | | | | — | | |
| Prepaid expenses | | | | | — | | | | | | 24,728 | | | | | | 6,471 | | | | | | — | | |
| Reimbursement due from manager | | | | | — | | | | | | 382 | | | | | | 156,395 | | | | | | — | | |
| Other assets | | | | | 29,643 | | | | | | 239,816 | | | | | | 78,762 | | | | | | 14,512 | | |
| Total assets | | | | | 612,475,888 | | | | | | 6,410,437,461 | | | | | | 1,311,817,936 | | | | | | 293,580,008 | | |
| LIABILITIES: | | | | | |
| Payable for investment securities purchased | | | | | 991,539 | | | | | | — | | | | | | — | | | | | | 1,300,000 | | |
| Payable for fund shares redeemed | | | | | 788,862 | | | | | | 8,773,902 | | | | | | 1,998,249 | | | | | | 228,887 | | |
| Payable upon receipt of securities loaned | | | | | 42,479,846 | | | | | | 115,784,363 | | | | | | 17,713,128 | | | | | | 158,993 | | |
| Payable for unified fees | | | | | 236,728 | | | | | | — | | | | | | — | | | | | | 70,586 | | |
| Payable for investment management fees | | | | | — | | | | | | 3,462,967 | | | | | | 793,974 | | | | | | — | | |
| Payable for distribution and shareholder service fees | | | | | 136,957 | | | | | | 1,499,835 | | | | | | 203,441 | | | | | | 27,955 | | |
| Payable to trustees under the deferred compensation plan (Note 6) | | | | | 29,643 | | | | | | 239,816 | | | | | | 78,762 | | | | | | 14,512 | | |
| Payable for trustee fees | | | | | — | | | | | | 30,954 | | | | | | 7,094 | | | | | | — | | |
| Other accrued expenses and liabilities | | | | | — | | | | | | 775,338 | | | | | | 225,723 | | | | | | — | | |
| Total liabilities | | | | | 44,663,575 | | | | | | 130,567,175 | | | | | | 21,020,371 | | | | | | 1,800,933 | | |
| NET ASSETS | | | | $ | 567,812,313 | | | | | $ | 6,279,870,286 | | | | | $ | 1,290,797,565 | | | | | $ | 291,779,075 | | |
| NET ASSETS WERE COMPRISED OF: | | | | | |
| Paid-in capital | | | | $ | 585,698,510 | | | | | $ | 4,148,827,221 | | | | | $ | 989,308,842 | | | | | $ | 295,403,091 | | |
Undistributed (distributions in excess of) net investment income
or accumulated net investment loss | | | | | (22,884) | | | | | | 21,383,734 | | | | | | 3,180,688 | | | | | | (11,549) | | |
| Accumulated net realized gain (loss) | | | | | (26,011,212) | | | | | | 804,044,872 | | | | | | 125,611,853 | | | | | | (2,871,241) | | |
| Net unrealized appreciation (depreciation) | | | | | 8,147,899 | | | | | | 1,305,614,459 | | | | | | 172,696,182 | | | | | | (741,226) | | |
| NET ASSETS | | | | $ | 567,812,313 | | | | | $ | 6,279,870,286 | | | | | $ | 1,290,797,565 | | | | | $ | 291,779,075 | | |
+
Including securities loaned at value | | | | $ | 41,429,561 | | | | | $ | 113,320,109 | | | | | $ | 17,350,120 | | | | | $ | 154,781 | | |
*
Cost of investments in securities | | | | $ | 543,247,014 | | | | | $ | 4,929,433,119 | | | | | $ | 1,112,400,515 | | | | | $ | 291,678,214 | | |
**
Cost of short-term investments | | | | $ | 42,479,846 | | | | | $ | 172,214,363 | | | | | $ | 24,850,128 | | | | | $ | 228,993 | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 2017 (continued)
| | | | Voya High Yield
Portfolio | | | Voya Large Cap
Growth Portfolio | | | Voya Large Cap
Value Portfolio | | | Voya Limited
Maturity Bond
Portfolio | |
| Class ADV | | | | | |
| Net assets | | | | $ | 96,010,715 | | | | | $ | 2,015,842,538 | | | | | $ | 61,243,661 | | | | | $ | 19,694,936 | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | 9,659,743 | | | | | | 104,139,060 | | | | | | 4,687,995 | | | | | | 2,027,030 | | |
| Net asset value and redemption price per share | | | | $ | 9.94 | | | | | $ | 19.36 | | | | | $ | 13.06 | | | | | $ | 9.72 | | |
| Class I | | | | | |
| Net assets | | | | $ | 62,380,121 | | | | | $ | 2,124,109,273 | | | | | $ | 428,068,059 | | | | | $ | 188,672,033 | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | 6,272,414 | | | | | | 102,123,863 | | | | | | 32,190,127 | | | | | | 19,034,281 | | |
| Net asset value and redemption price per share | | | | $ | 9.95 | | | | | $ | 20.80 | | | | | $ | 13.30 | | | | | $ | 9.91 | | |
| Class R6 | | | | | |
| Net assets | | | | | n/a | | | | | $ | 33,735,736 | | | | | $ | 836,134 | | | | | | n/a | | |
| Shares authorized | | | | | n/a | | | | | | unlimited | | | | | | unlimited | | | | | | n/a | | |
| Par value | | | | | n/a | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | | n/a | | |
| Shares outstanding | | | | | n/a | | | | | | 1,621,362 | | | | | | 62,940 | | | | | | n/a | | |
| Net asset value and redemption price per share | | | | | n/a | | | | | $ | 20.81 | | | | | $ | 13.28 | | | | | | n/a | | |
| Class S | | | | | |
| Net assets | | | | $ | 403,629,545 | | | | | $ | 2,040,159,215 | | | | | $ | 800,420,849 | | | | | $ | 83,412,106 | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | 40,614,067 | | | | | | 100,383,039 | | | | | | 60,914,051 | | | | | | 8,350,264 | | |
| Net asset value and redemption price per share | | | | $ | 9.94 | | | | | $ | 20.32 | | | | | $ | 13.14 | | | | | $ | 9.99 | | |
| Class S2 | | | | | |
| Net assets | | | | $ | 5,791,932 | | | | | $ | 66,023,524 | | | | | $ | 228,862 | | | | | | n/a | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | n/a | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | | n/a | | |
| Shares outstanding | | | | | 581,972 | | | | | | 3,271,743 | | | | | | 17,398 | | | | | | n/a | | |
| Net asset value and redemption price per share | | | | $ | 9.95 | | | | | $ | 20.18 | | | | | $ | 13.15 | | | | | | n/a | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 2017
| | | | Voya Multi-
Manager Large
Cap Core Portfolio | | | Voya U.S. Stock
Index Portfolio | | | VY® Clarion Real
Estate Portfolio | | | VY® Franklin
Income Portfolio | |
| ASSETS: | | | | | |
| Investments in securities at fair value+* | | | | $ | 331,097,845 | | | | | $ | 5,042,082,606 | | | | | $ | 480,049,173 | | | | | $ | 450,815,820 | | |
| Short-term investments at fair value** | | | | | 5,093,568 | | | | | | 43,099,395 | | | | | | 9,859,416 | | | | | | 48,819,034 | | |
| Cash collateral for futures | | | | | — | | | | | | 1,129,043 | | | | | | — | | | | | | — | | |
| Receivables: | | | | | |
| Investment securities sold | | | | | 1,684,610 | | | | | | 22,477,054 | | | | | | 1,310,483 | | | | | | 196,471 | | |
| Fund shares sold | | | | | 142,463 | | | | | | 1,467,783 | | | | | | 129,337 | | | | | | 1,986 | | |
| Dividends | | | | | 288,381 | | | | | | 5,149,005 | | | | | | 2,541,829 | | | | | | 328,021 | | |
| Interest | | | | | — | | | | | | — | | | | | | — | | | | | | 2,802,114 | | |
| Foreign tax reclaims | | | | | — | | | | | | — | | | | | | — | | | | | | 277,608 | | |
| Prepaid expenses | | | | | — | | | | | | — | | | | | | 2,399 | | | | | | 2,058 | | |
| Reimbursement due from manager | | | | | — | | | | | | 130,649 | | | | | | 45,390 | | | | | | 41,023 | | |
| Other assets | | | | | 10,252 | | | | | | 133,171 | | | | | | 29,726 | | | | | | 25,037 | | |
| Total assets | | | | | 338,317,119 | | | | | | 5,115,668,706 | | | | | | 493,967,753 | | | | | | 503,309,172 | | |
| LIABILITIES: | | | | | |
| Payable for investment securities purchased | | | | | 861,480 | | | | | | — | | | | | | 2,632,248 | | | | | | — | | |
| Payable for fund shares redeemed | | | | | 105,663 | | | | | | 23,176,313 | | | | | | 344,674 | | | | | | 239,609 | | |
| Payable upon receipt of securities loaned | | | | | — | | | | | | 11,899,395 | | | | | | 5,789,103 | | | | | | 44,642,842 | | |
| Payable for unified fees | | | | | 209,187 | | | | | | 1,125,138 | | | | | | — | | | | | | — | | |
| Payable for investment management fees | | | | | — | | | | | | — | | | | | | 340,100 | | | | | | 291,632 | | |
| Payable for distribution and shareholder service fees | | | | | 12,692 | | | | | | 133,260 | | | | | | 107,241 | | | | | | 120,153 | | |
Payable to trustees under the deferred compensation plan
(Note 6) | | | | | 10,252 | | | | | | 133,171 | | | | | | 29,726 | | | | | | 25,037 | | |
| Payable for trustee fees | | | | | — | | | | | | — | | | | | | 2,699 | | | | | | 2,404 | | |
| Other accrued expenses and liabilities | | | | | — | | | | | | — | | | | | | 71,097 | | | | | | 102,590 | | |
| Total liabilities | | | | | 1,199,274 | | | | | | 36,467,277 | | | | | | 9,316,888 | | | | | | 45,424,267 | | |
| NET ASSETS | | | | $ | 337,117,845 | | | | | $ | 5,079,201,429 | | | | | $ | 484,650,865 | | | | | $ | 457,884,905 | | |
| NET ASSETS WERE COMPRISED OF: | | | | | |
| Paid-in capital | | | | $ | 232,937,982 | | | | | $ | 2,681,063,923 | | | | | $ | 418,121,139 | | | | | $ | 387,808,587 | | |
| Undistributed net investment income | | | | | 508,101 | | | | | | 12,663,916 | | | | | | 9,873,465 | | | | | | 21,368,844 | | |
| Accumulated net realized gain (loss) | | | | | 24,622,260 | | | | | | 262,074,305 | | | | | | 31,345,495 | | | | | | (6) | | |
| Net unrealized appreciation | | | | | 79,049,502 | | | | | | 2,123,399,285 | | | | | | 25,310,766 | | | | | | 48,707,480 | | |
| NET ASSETS | | | | $ | 337,117,845 | | | | | $ | 5,079,201,429 | | | | | $ | 484,650,865 | | | | | $ | 457,884,905 | | |
+
Including securities loaned at value | | | | $ | — | | | | | $ | 11,566,517 | | | | | $ | 5,654,964 | | | | | $ | 43,508,569 | | |
*
Cost of investments in securities | | | | $ | 252,048,343 | | | | | $ | 2,918,943,971 | | | | | $ | 454,738,407 | | | | | $ | 402,107,981 | | |
**
Cost of short-term investments | | | | $ | 5,093,568 | | | | | $ | 43,099,395 | | | | | $ | 9,859,416 | | | | | $ | 48,818,957 | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 2017 (continued)
| | | | Voya Multi-
Manager Large
Cap Core Portfolio | | | Voya U.S. Stock
Index Portfolio | | | VY® Clarion Real
Estate Portfolio | | | VY® Franklin
Income Portfolio | |
| Class ADV | | | | | |
| Net assets | | | | $ | 1,109,774 | | | | | $ | 116,090,678 | | | | | $ | 75,574,896 | | | | | $ | 81,766,541 | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | 66,232 | | | | | | 7,641,228 | | | | | | 2,098,655 | | | | | | 7,316,368 | | |
| Net asset value and redemption price per share | | | | $ | 16.76 | | | | | $ | 15.19 | | | | | $ | 36.01 | | | | | $ | 11.18 | | |
| Class I | | | | | |
| Net assets | | | | $ | 281,959,252 | | | | | $ | 3,469,720,899 | | | | | $ | 100,422,978 | | | | | $ | 9,393,241 | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | 16,706,526 | | | | | | 221,099,870 | | | | | | 2,659,691 | | | | | | 805,998 | | |
| Net asset value and redemption price per share | | | | $ | 16.88 | | | | | $ | 15.69 | | | | | $ | 37.76 | | | | | $ | 11.65 | | |
| Class P2 | | | | | |
| Net assets | | | | | n/a | | | | | $ | 1,225,482,806 | | | | | | n/a | | | | | | n/a | | |
| Shares authorized | | | | | n/a | | | | | | unlimited | | | | | | n/a | | | | | | n/a | | |
| Par value | | | | | n/a | | | | | $ | 0.001 | | | | | | n/a | | | | | | n/a | | |
| Shares outstanding | | | | | n/a | | | | | | 78,017,358 | | | | | | n/a | | | | | | n/a | | |
| Net asset value and redemption price per share | | | | | n/a | | | | | $ | 15.71 | | | | | | n/a | | | | | | n/a | | |
| Class R6 | | | | | |
| Net assets | | | | $ | 3,897 | | | | | | n/a | | | | | | n/a | | | | | | n/a | | |
| Shares authorized | | | | | unlimited | | | | | | n/a | | | | | | n/a | | | | | | n/a | | |
| Par value | | | | $ | 0.001 | | | | | | n/a | | | | | | n/a | | | | | | n/a | | |
| Shares outstanding | | | | | 231 | | | | | | n/a | | | | | | n/a | | | | | | n/a | | |
| Net asset value and redemption price per share | | | | $ | 16.87 | | | | | | n/a | | | | | | n/a | | | | | | n/a | | |
| Class S | | | | | |
| Net assets | | | | $ | 54,044,922 | | | | | $ | 78,576,939 | | | | | $ | 290,715,895 | | | | | $ | 361,335,974 | | |
| Shares authorized | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | 3,197,064 | | | | | | 5,045,595 | | | | | | 7,716,905 | | | | | | 31,178,335 | | |
| Net asset value and redemption price per share | | | | $ | 16.90 | | | | | $ | 15.57 | | | | | $ | 37.67 | | | | | $ | 11.59 | | |
| Class S2 | | | | | |
| Net assets | | | | | n/a | | | | | $ | 189,330,107 | | | | | $ | 17,937,096 | | | | | $ | 5,389,149 | | |
| Shares authorized | | | | | n/a | | | | | | unlimited | | | | | | unlimited | | | | | | unlimited | | |
| Par value | | | | | n/a | | | | | $ | 0.001 | | | | | $ | 0.001 | | | | | $ | 0.001 | | |
| Shares outstanding | | | | | n/a | | | | | | 12,304,221 | | | | | | 479,044 | | | | | | 466,093 | | |
| Net asset value and redemption price per share | | | | | n/a | | | | | $ | 15.39 | | | | | $ | 37.44 | | | | | $ | 11.56 | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 2017
| | | | VY® JPMorgan
Small Cap Core
Equity Portfolio | | | VY® Templeton
Global Growth
Portfolio |
| ASSETS: | | | |
| Investments in securities at fair value+* | | | | $ | 744,185,155 | | | | | $ | 179,324,212 |
| Short-term investments at fair value** | | | | | 41,944,753 | | | | | | 5,213,432 |
| Cash | | | | | 6,563 | | | | | | — |
| Cash collateral for futures | | | | | 370,000 | | | | | | — |
| Receivables: | | | |
| Investment securities sold | | | | | 920,788 | | | | | | 590,564 |
| Fund shares sold | | | | | 308,569 | | | | | | 2,800 |
| Dividends | | | | | 999,847 | | | | | | 203,332 |
| Interest | | | | | — | | | | | | 3,646 |
| Foreign tax reclaims | | | | | — | | | | | | 326,508 |
| Reimbursement due from manager | | | | | — | | | | | | 18,996 |
| Other assets | | | | | 23,442 | | | | | | 17,426 |
| Total assets | | | | | 788,759,117 | | | | | | 185,700,916 |
| LIABILITIES: | | | |
| Payable for investment securities purchased | | | | | 1,161,143 | | | | | | 16,424 |
| Payable for fund shares redeemed | | | | | 1,136,662 | | | | | | 175,933 |
| Payable upon receipt of securities loaned | | | | | 27,918,081 | | | | | | 4,570,215 |
| Payable for unified fees | | | | | 548,830 | | | | | | 148,506 |
| Payable for distribution and shareholder service fees | | | | | 162,482 | | | | | | 38,578 |
| Payable to custodian due to foreign currency overdraft*** | | | | | — | | | | | | 20,839 |
| Payable to trustees under the deferred compensation plan (Note 6) | | | | | 23,442 | | | | | | 17,426 |
| Payable for cash collateral for futures | | | | | 22,925 | | | | | | — |
| Total liabilities | | | | | 30,973,565 | | | | | | 4,987,921 |
| NET ASSETS | | | | $ | 757,785,552 | | | | | $ | 180,712,995 |
| NET ASSETS WERE COMPRISED OF: | | | |
| Paid-in capital | | | | $ | 473,753,444 | | | | | $ | 136,764,936 |
| Undistributed net investment income | | | | | 2,874,294 | | | | | | 4,276,174 |
| Accumulated net realized gain | | | | | 89,401,115 | | | | | | 14,016,646 |
| Net unrealized appreciation | | | | | 191,756,699 | | | | | | 25,655,239 |
| NET ASSETS | | | | $ | 757,785,552 | | | | | $ | 180,712,995 |
+
Including securities loaned at value | | | | $ | 27,118,944 | | | | | $ | 4,460,869 |
*
Cost of investments in securities | | | | $ | 552,397,986 | | | | | $ | 153,665,611 |
**
Cost of short-term investments | | | | $ | 41,944,753 | | | | | $ | 5,213,432 |
***
Cost of foreign currency overdraft | | | | $ | — | | | | | $ | 20,839 |
See Accompanying Notes to Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 2017 (continued)
| | | | VY® JPMorgan
Small Cap Core
Equity Portfolio | | | VY® Templeton
Global Growth
Portfolio |
| Class ADV | | | |
| Net assets | | | | $ | 131,487,920 | | | | | $ | 7,388 |
| Shares authorized | | | | | unlimited | | | | | | unlimited |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 |
| Shares outstanding | | | | | 6,534,533 | | | | | | 674 |
| Net asset value and redemption price per share | | | | $ | 20.12 | | | | | $ | 10.96 |
| Class I | | | |
| Net assets | | | | $ | 188,212,904 | | | | | $ | 2,236,084 |
| Shares authorized | | | | | unlimited | | | | | | unlimited |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 |
| Shares outstanding | | | | | 8,816,065 | | | | | | 196,943 |
| Net asset value and redemption price per share | | | | $ | 21.35 | | | | | $ | 11.35 |
| Class R6 | | | |
| Net assets | | | | $ | 17,009,260 | | | | | | n/a |
| Shares authorized | | | | | unlimited | | | | | | n/a |
| Par value | | | | $ | 0.001 | | | | | | n/a |
| Shares outstanding | | | | | 797,155 | | | | | | n/a |
| Net asset value and redemption price per share | | | | $ | 21.34 | | | | | | n/a |
| Class S | | | |
| Net assets | | | | $ | 385,635,729 | | | | | $ | 175,462,222 |
| Shares authorized | | | | | unlimited | | | | | | unlimited |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 |
| Shares outstanding | | | | | 18,298,797 | | | | | | 15,330,157 |
| Net asset value and redemption price per share | | | | $ | 21.07 | | | | | $ | 11.45 |
| Class S2 | | | |
| Net assets | | | | $ | 35,439,739 | | | | | $ | 3,007,301 |
| Shares authorized | | | | | unlimited | | | | | | unlimited |
| Par value | | | | $ | 0.001 | | | | | $ | 0.001 |
| Shares outstanding | | | | | 1,699,633 | | | | | | 265,456 |
| Net asset value and redemption price per share | | | | $ | 20.85 | | | | | $ | 11.33 |
See Accompanying Notes to Financial Statements
STATEMENTS OF OPERATIONS for the year ended December 31, 2017
| | | | Voya High Yield
Portfolio | | | Voya Large Cap
Growth Portfolio | | | Voya Large Cap
Value Portfolio | | | Voya Limited
Maturity Bond
Portfolio | |
| INVESTMENT INCOME: | | | | | |
| Dividends, net of foreign taxes withheld* | | | | $ | — | | | | | $ | 80,209,106 | | | | | $ | 37,960,398 | | | | | $ | 52,373 | | |
| Interest | | | | | 39,070,085 | | | | | | — | | | | | | — | | | | | | 5,372,740 | | |
| Securities lending income, net | | | | | 532,325 | | | | | | 684,515 | | | | | | 258,279 | | | | | | 63,985 | | |
| Total investment income | | | | | 39,602,410 | | | | | | 80,893,621 | | | | | | 38,218,677 | | | | | | 5,489,098 | | |
| EXPENSES: | | | | | |
| Investment management fees | | | | | — | | | | | | 40,032,412 | | | | | | 10,181,228 | | | | | | — | | |
| Unified fees | | | | | 3,013,044 | | | | | | — | | | | | | — | | | | | | 802,433 | | |
| Distribution and shareholder service fees: | | | | | |
| Class ADV | | | | | 591,101 | | | | | | 12,252,757 | | | | | | 377,295 | | | | | | 127,317 | | |
| Class S | | | | | 1,126,864 | | | | | | 5,187,422 | | | | | | 2,173,897 | | | | | | 221,086 | | |
| Class S2 | | | | | 23,931 | | | | | | 276,887 | | | | | | 1,053 | | | | | | — | | |
| Transfer agent fees | | | | | — | | | | | | 8,010 | | | | | | 2,444 | | | | | | — | | |
| Shareholder reporting expense | | | | | — | | | | | | 275,210 | | | | | | 70,900 | | | | | | — | | |
| Professional fees | | | | | — | | | | | | 243,250 | | | | | | 52,205 | | | | | | — | | |
| Custody and accounting expense | | | | | — | | | | | | 627,150 | | | | | | 151,175 | | | | | | — | | |
| Trustee fees | | | | | — | | | | | | 247,629 | | | | | | 56,750 | | | | | | — | | |
| Trustee fees and expenses | | | | | 46,107 | | | | | | — | | | | | | — | | | | | | 22,107 | | |
| Miscellaneous expense | | | | | — | | | | | | 236,914 | | | | | | 67,576 | | | | | | — | | |
| Interest expense | | | | | — | | | | | | 6,807 | | | | | | 777 | | | | | | 212 | | |
| Total expenses | | | | | 4,801,047 | | | | | | 59,394,448 | | | | | | 13,135,300 | | | | | | 1,173,155 | | |
| Waived and reimbursed fees | | | | | (93,221) | | | | | | (62,740) | | | | | | (1,490,714) | | | | | | — | | |
| Net expenses | | | | | 4,707,826 | | | | | | 59,331,708 | | | | | | 11,644,586 | | | | | | 1,173,155 | | |
| Net investment income | | | | | 34,894,584 | | | | | | 21,561,913 | | | | | | 26,574,091 | | | | | | 4,315,943 | | |
| REALIZED AND UNREALIZED GAIN (LOSS): | | | | | |
| Net realized gain (loss) on: | | | | | |
| Investments | | | | | 1,868,972 | | | | | | 811,840,553 | | | | | | 148,978,622 | | | | | | (20,486) | | |
| Foreign currency related transactions | | | | | 137 | | | | | | (1,732) | | | | | | 29,229 | | | | | | — | | |
| Futures | | | | | — | | | | | | — | | | | | | 53,529 | | | | | | (384,367) | | |
| Swaps | | | | | — | | | | | | — | | | | | | 57,297 | | | | | | 13,764 | | |
| Net realized gain (loss) | | | | | 1,869,109 | | | | | | 811,838,821 | | | | | | 149,118,677 | | | | | | (391,089) | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | |
| Investments | | | | | 590,374 | | | | | | 752,273,429 | | | | | | 2,132,319 | | | | | | (31,391) | | |
| Foreign currency related transactions | | | | | — | | | | | | 14,409 | | | | | | 32,767 | | | | | | — | | |
| Futures | | | | | — | | | | | | — | | | | | | (8,010) | | | | | | (137,681) | | |
| Swaps | | | | | — | | | | | | — | | | | | | — | | | | | | (13,562) | | |
| Net change in unrealized appreciation (depreciation) | | | | | 590,374 | | | | | | 752,287,838 | | | | | | 2,157,076 | | | | | | (182,634) | | |
| Net realized and unrealized gain (loss) | | | | | 2,459,483 | | | | | | 1,564,126,659 | | | | | | 151,275,753 | | | | | | (573,723) | | |
| Increase in net assets resulting from operations | | | | $ | 37,354,067 | | | | | $ | 1,585,688,572 | | | | | $ | 177,849,844 | | | | | $ | 3,742,220 | | |
*
Foreign taxes withheld | | | | $ | — | | | | | $ | — | | | | | $ | 250,243 | | | | | $ | — | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF OPERATIONS for the year ended December 31, 2017
| | | | Voya Multi-
Manager Large
Cap Core Portfolio | | | Voya U.S. Stock
Index Portfolio | | | VY® Clarion Real
Estate Portfolio | | | VY® Franklin
Income Portfolio | |
| INVESTMENT INCOME: | | | | | |
| Dividends, net of foreign taxes withheld* | | | | $ | 5,735,252 | | | | | $ | 98,818,494 | | | | | $ | 15,145,424 | | | | | $ | 9,648,749 | | |
| Interest | | | | | — | | | | | | 167,573 | | | | | | — | | | | | | 15,972,283 | | |
| Securities lending income, net | | | | | 4,011 | | | | | | 137,859 | | | | | | 7,663 | | | | | | 474,884 | | |
| Total investment income | | | | | 5,739,263 | | | | | | 99,123,926 | | | | | | 15,153,087 | | | | | | 26,095,916 | | |
| EXPENSES: | | | | | |
| Investment management fees | | | | | — | | | | | | — | | | | | | 4,418,807 | | | | | | 3,605,667 | | |
| Unified fees | | | | | 2,477,704 | | | | | | 12,736,383 | | | | | | — | | | | | | — | | |
| Distribution and shareholder service fees: | | | | | |
| Class ADV | | | | | 6,728 | | | | | | 624,019 | | | | | | 497,336 | | | | | | 466,990 | | |
| Class S | | | | | 143,717 | | | | | | 179,924 | | | | | | 837,245 | | | | | | 967,285 | | |
| Class S2 | | | | | — | | | | | | 744,333 | | | | | | 82,774 | | | | | | 27,041 | | |
| Transfer agent fees | | | | | — | | | | | | — | | | | | | 1,030 | | | | | | 524 | | |
| Shareholder reporting expense | | | | | — | | | | | | — | | | | | | 34,675 | | | | | | 29,930 | | |
| Professional fees | | | | | — | | | | | | — | | | | | | 27,740 | | | | | | 26,910 | | |
| Custody and accounting expense | | | | | — | | | | | | — | | | | | | 66,228 | | | | | | 64,696 | | |
| Trustee fees | | | | | — | | | | | | — | | | | | | 21,594 | | | | | | 19,233 | | |
| Trustee fees and expenses | | | | | 27,345 | | | | | | 332,129 | | | | | | — | | | | | | — | | |
| Miscellaneous expense | | | | | — | | | | | | — | | | | | | 37,183 | | | | | | 27,902 | | |
| Interest expense | | | | | 441 | | | | | | 12,418 | | | | | | 63 | | | | | | 125 | | |
| Total expenses | | | | | 2,655,935 | | | | | | 14,629,206 | | | | | | 6,024,675 | | | | | | 5,236,303 | | |
| Waived and reimbursed fees | | | | | (23,246) | | | | | | (844,918) | | | | | | (767,153) | | | | | | (587,776) | | |
| Brokerage commission recapture | | | | | (12,498) | | | | | | — | | | | | | — | | | | | | (3,177) | | |
| Net expenses | | | | | 2,620,191 | | | | | | 13,784,288 | | | | | | 5,257,522 | | | | | | 4,645,350 | | |
| Net investment income | | | | | 3,119,072 | | | | | | 85,339,638 | | | | | | 9,895,565 | | | | | | 21,450,566 | | |
| REALIZED AND UNREALIZED GAIN (LOSS): | | | | | |
| Net realized gain (loss) on: | | | | | |
| Investments | | | | | 26,614,188 | | | | | | 293,551,712 | | | | | | 37,609,998 | | | | | | 23,316,297 | | |
| Foreign currency related transactions | | | | | 430 | | | | | | — | | | | | | 887 | | | | | | 10,983 | | |
| Futures | | | | | — | | | | | | 7,395,135 | | | | | | — | | | | | | — | | |
| Net realized gain | | | | | 26,614,618 | | | | | | 300,946,847 | | | | | | 37,610,885 | | | | | | 23,327,280 | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | |
| Investments | | | | | 37,639,817 | | | | | | 565,448,753 | | | | | | (20,676,753) | | | | | | 2,688,887 | | |
| Foreign currency related transactions | | | | | — | | | | | | — | | | | | | — | | | | | | 16,494 | | |
| Futures | | | | | — | | | | | | 455,847 | | | | | | — | | | | | | — | | |
| Net change in unrealized appreciation (depreciation) | | | | | 37,639,817 | | | | | | 565,904,600 | | | | | | (20,676,753) | | | | | | 2,705,381 | | |
| Net realized and unrealized gain | | | | | 64,254,435 | | | | | | 866,851,447 | | | | | | 16,934,132 | | | | | | 26,032,661 | | |
| Increase in net assets resulting from operations | | | | $ | 67,373,507 | | | | | $ | 952,191,085 | | | | | $ | 26,829,697 | | | | | $ | 47,483,227 | | |
*
Foreign taxes withheld | | | | $ | 7,167 | | | | | $ | — | | | | | $ | — | | | | | $ | 299,127 | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF OPERATIONS for the year ended December 31, 2017
| | | | VY® JPMorgan
Small Cap Core
Equity Portfolio | | | VY® Templeton
Global Growth
Portfolio | |
| INVESTMENT INCOME: | | | |
| Dividends, net of foreign taxes withheld* | | | | $ | 10,196,344 | | | | | $ | 4,729,478 | | |
| Interest | | | | | — | | | | | | 219,827 | | |
| Securities lending income, net | | | | | 1,039,524 | | | | | | 77,606 | | |
| Total investment income | | | | | 11,235,868 | | | | | | 5,026,911 | | |
| EXPENSES: | | | |
| Unified fees | | | | | 6,457,161 | | | | | | 1,849,605 | | |
| Distribution and shareholder service fees: | | | |
| Class ADV | | | | | 743,842 | | | | | | 42 | | |
| Class S | | | | | 1,025,841 | | | | | | 468,064 | | |
| Class S2 | | | | | 151,569 | | | | | | 13,093 | | |
| Trustee fees and expenses | | | | | 54,917 | | | | | | 15,729 | | |
| Interest expense | | | | | — | | | | | | 423 | | |
| Total expenses | | | | | 8,433,330 | | | | | | 2,346,956 | | |
| Waived and reimbursed fees | | | | | (2,011) | | | | | | (263,997) | | |
| Brokerage commission recapture | | | | | (23,861) | | | | | | (4,025) | | |
| Net expenses | | | | | 8,407,458 | | | | | | 2,078,934 | | |
| Net investment income | | | | | 2,828,410 | | | | | | 2,947,977 | | |
| REALIZED AND UNREALIZED GAIN (LOSS): | | | |
| Net realized gain (loss) on: | | | |
| Investments | | | | | 90,673,709 | | | | | | 16,269,721 | | |
| Forward foreign currency contracts | | | | | — | | | | | | (24,975) | | |
| Foreign currency related transactions | | | | | 206 | | | | | | 17,864 | | |
| Futures | | | | | 971,660 | | | | | | — | | |
| Net realized gain | | | | | 91,645,575 | | | | | | 16,262,610 | | |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments | | | | | 16,227,531 | | | | | | 12,916,840 | | |
| Foreign currency related transactions | | | | | — | | | | | | 22,777 | | |
| Futures | | | | | 97,503 | | | | | | — | | |
| Net change in unrealized appreciation (depreciation) | | | | | 16,325,034 | | | | | | 12,939,617 | | |
| Net realized and unrealized gain | | | | | 107,970,609 | | | | | | 29,202,227 | | |
| Increase in net assets resulting from operations | | | | $ | 110,799,019 | | | | | $ | 32,150,204 | | |
*
Foreign taxes withheld | | | | $ | 19,891 | | | | | $ | 355,131 | | |
See Accompanying Notes to Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
| | | | Voya High Yield Portfolio | | | Voya Large Cap Growth Portfolio | |
| | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
| FROM OPERATIONS: | | | | | |
| Net investment income | | | | $ | 34,894,584 | | | | | $ | 38,060,059 | | | | | $ | 21,561,913 | | | | | $ | 22,955,802 | | |
| Net realized gain (loss) | | | | | 1,869,109 | | | | | | (18,338,585) | | | | | | 811,838,821 | | | | | | 456,729,663 | | |
| Net change in unrealized appreciation (depreciation) | | | | | 590,374 | | | | | | 67,756,236 | | | | | | 752,287,838 | | | | | | (275,685,170) | | |
| Increase in net assets resulting from operations | | | | | 37,354,067 | | | | | | 87,477,710 | | | | | | 1,585,688,572 | | | | | | 204,000,295 | | |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | |
| Net investment income: | | | | | |
| Class ADV | | | | | (6,079,554) | | | | | | (6,014,357) | | | | | | (1,371,282) | | | | | | — | | |
| Class I | | | | | (4,034,103) | | | | | | (4,565,788) | | | | | | (12,873,568) | | | | | | (10,150,685) | | |
| Class R6 | | | | | — | | | | | | — | | | | | | (113,905) | | | | | | (8,761) | | |
| Class S | | | | | (29,437,507) | | | | | | (31,752,793) | | | | | | (8,451,584) | | | | | | (5,968,265) | | |
| Class S2 | | | | | (381,401) | | | | | | (362,229) | | | | | | (173,627) | | | | | | (79,319) | | |
| Net realized gains: | | | | | |
| Class ADV | | | | | — | | | | | | — | | | | | | (152,451,775) | | | | | | (287,609,320) | | |
| Class I | | | | | — | | | | | | — | | | | | | (141,326,755) | | | | | | (233,935,266) | | |
| Class R6 | | | | | — | | | | | | — | | | | | | (1,250,451) | | | | | | (201,908) | | |
| Class S | | | | | — | | | | | | — | | | | | | (147,987,229) | | | | | | (259,037,272) | | |
| Class S2 | | | | | — | | | | | | — | | | | | | (4,983,941) | | | | | | (9,064,499) | | |
| Return of capital: | | | | | |
| Class ADV | | | | | (221,577) | | | | | | — | | | | | | — | | | | | | — | | |
| Class I | | | | | (134,020) | | | | | | — | | | | | | — | | | | | | — | | |
| Class S | | | | | (1,009,642) | | | | | | — | | | | | | — | | | | | | — | | |
| Class S2 | | | | | (13,403) | | | | | | — | | | | | | — | | | | | | — | | |
| Total distributions | | | | | (41,311,207) | | | | | | (42,695,167) | | | | | | (470,984,117) | | | | | | (806,055,295) | | |
| FROM CAPITAL SHARE TRANSACTIONS: | | | | | |
| Net proceeds from sale of shares | | | | | 40,672,297 | | | | | | 63,893,800 | | | | | | 418,057,983 | | | | | | 272,064,269 | | |
| Proceeds from shares issued in merger (Note 11) | | | | | — | | | | | | — | | | | | | — | | | | | | 186,912,298 | | |
| Reinvestment of distributions | | | | | 41,311,207 | | | | | | 42,695,167 | | | | | | 470,984,117 | | | | | | 806,054,895 | | |
| | | | | | 81,983,504 | | | | | | 106,588,967 | | | | | | 889,042,100 | | | | | | 1,265,031,462 | | |
| Cost of shares redeemed | | | | | (157,654,925) | | | | | | (139,438,606) | | | | | | (1,567,987,046) | | | | | | (1,095,121,802) | | |
| Net increase (decrease) in net assets resulting from capital share transactions | | | | | (75,671,421) | | | | | | (32,849,639) | | | | | | (678,944,946) | | | | | | 169,909,660 | | |
| Net increase (decrease) in net assets | | | | | (79,628,561) | | | | | | 11,932,904 | | | | | | 435,759,509 | | | | | | (432,145,340) | | |
| NET ASSETS: | | | | | |
| Beginning of year or period | | | | | 647,440,874 | | | | | | 635,507,970 | | | | | | 5,844,110,777 | | | | | | 6,276,256,117 | | |
| End of year or period | | | | $ | 567,812,313 | | | | | $ | 647,440,874 | | | | | $ | 6,279,870,286 | | | | | $ | 5,844,110,777 | | |
Undistributed (distributions in excess of) net investment
income or accumulated net investment loss at end of year
or period | | | | $ | (22,884) | | | | | $ | 5,014,562 | | | | | $ | 21,383,734 | | | | | $ | 22,843,819 | | |
| |
See Accompanying Notes to Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
| | | | Voya Large Cap Value Portfolio | | | Voya Limited Maturity Bond Portfolio | |
| | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
| FROM OPERATIONS: | | | | | |
| Net investment income | | | | $ | 26,574,091 | | | | | $ | 34,360,449 | | | | | $ | 4,315,943 | | | | | $ | 3,768,395 | | |
| Net realized gain (loss) | | | | | 149,118,677 | | | | | | (7,057,585) | | | | | | (391,089) | | | | | | (831,728) | | |
| Net change in unrealized appreciation (depreciation) | | | | | 2,157,076 | | | | | | 169,006,083 | | | | | | (182,634) | | | | | | 733,211 | | |
| Increase in net assets resulting from operations | | | | | 177,849,844 | | | | | | 196,308,947 | | | | | | 3,742,220 | | | | | | 3,669,878 | | |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | |
| Net investment income: | | | | | |
| Class ADV | | | | | (1,141,716) | | | | | | (1,168,861) | | | | | | (274,103) | | | | | | (387,210) | | |
| Class I | | | | | (10,255,856) | | | | | | (13,344,348) | | | | | | (3,315,834) | | | | | | (4,822,555) | | |
| Class R6 | | | | | (31,778) | | | | | | (10,704) | | | | | | — | | | | | | — | | |
| Class S | | | | | (17,711,662) | | | | | | (19,928,505) | | | | | | (1,451,783) | | | | | | (2,257,293) | | |
| Class S2 | | | | | (3,922) | | | | | | (10,717) | | | | | | — | | | | | | — | | |
| Net realized gains: | | | | | |
| Class ADV | | | | | — | | | | | | (1,935,899) | | | | | | — | | | | | | — | | |
| Class I | | | | | — | | | | | | (16,734,440) | | | | | | — | | | | | | — | | |
| Class R6 | | | | | — | | | | | | (91) | | | | | | — | | | | | | — | | |
| Class S | | | | | — | | | | | | (29,132,837) | | | | | | — | | | | | | — | | |
| Class S2 | | | | | — | | | | | | (17,814) | | | | | | — | | | | | | — | | |
| Return of capital: | | | | | |
| Class ADV | | | | | — | | | | | | — | | | | | | (12,533) | | | | | | — | | |
| Class I | | | | | — | | | | | | — | | | | | | (101,848) | | | | | | — | | |
| Class S | | | | | — | | | | | | — | | | | | | (50,640) | | | | | | — | | |
| Total distributions | | | | | (29,144,934) | | | | | | (82,284,216) | | | | | | (5,206,741) | | | | | | (7,467,058) | | |
| FROM CAPITAL SHARE TRANSACTIONS: | | | | | |
| Net proceeds from sale of shares | | | | | 40,714,618 | | | | | | 46,200,337 | | | | | | 78,890,640 | | | | | | 92,459,275 | | |
| Reinvestment of distributions | | | | | 29,144,850 | | | | | | 82,284,052 | | | | | | 5,184,033 | | | | | | 7,467,058 | | |
| | | | | | 69,859,468 | | | | | | 128,484,389 | | | | | | 84,074,673 | | | | | | 99,926,333 | | |
| Cost of shares redeemed | | | | | (500,955,133) | | | | | | (296,157,936) | | | | | | (83,335,964) | | | | | | (93,239,952) | | |
Net increase (decrease) in net assets resulting from capital
share transactions | | | | | (431,095,665) | | | | | | (167,673,547) | | | | | | 738,709 | | | | | | 6,686,381 | | |
| Net increase (decrease) in net assets | | | | | (282,390,755) | | | | | | (53,648,816) | | | | | | (725,812) | | | | | | 2,889,201 | | |
| NET ASSETS: | | | | | |
| Beginning of year or period | | | | | 1,573,188,320 | | | | | | 1,626,837,136 | | | | | | 292,504,887 | | | | | | 289,615,686 | | |
| End of year or period | | | | $ | 1,290,797,565 | | | | | $ | 1,573,188,320 | | | | | $ | 291,779,075 | | | | | $ | 292,504,887 | | |
| Undistributed (distributions in excess of) net investment income or accumulated net investment loss at end of year or period | | | | $ | 3,180,688 | | | | | $ | 5,719,095 | | | | | $ | (11,549) | | | | | $ | 304,285 | | |
| |
See Accompanying Notes to Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
| | | | Voya Multi-Manager Large
Cap Core Portfolio | | | Voya U.S. Stock Index Portfolio | |
| | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
| FROM OPERATIONS: | | | | | |
| Net investment income | | | | $ | 3,119,072 | | | | | $ | 4,339,545 | | | | | $ | 85,339,638 | | | | | $ | 82,920,881 | | |
| Net realized gain | | | | | 26,614,618 | | | | | | 18,739,315 | | | | | | 300,946,847 | | | | | | 251,349,371 | | |
| Net change in unrealized appreciation (depreciation) | | | | | 37,639,817 | | | | | | 8,508,481 | | | | | | 565,904,600 | | | | | | 153,412,086 | | |
| Increase in net assets resulting from operations | | | | | 67,373,507 | | | | | | 31,587,341 | | | | | | 952,191,085 | | | | | | 487,682,338 | | |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | |
| Net investment income: | | | | | |
| Class ADV | | | | | (5,015) | | | | | | (17,468) | | | | | | (1,400,754) | | | | | | (1,752,401) | | |
| Class I | | | | | (2,900,578) | | | | | | (7,020,673) | | | | | | (58,458,287) | | | | | | (82,318,524) | | |
| Class P2 | | | | | — | | | | | | — | | | | | | (20,283,127) | | | | | | — | | |
| Class R6 | | | | | (40) | | | | | | (67) | | | | | | — | | | | | | — | | |
| Class S | | | | | (427,840) | | | | | | (1,115,605) | | | | | | (1,155,454) | | | | | | (1,104,226) | | |
| Class S2 | | | | | — | | | | | | — | | | | | | (2,501,263) | | | | | | (2,883,758) | | |
| Net realized gains: | | | | | |
| Class ADV | | | | | (66,913) | | | | | | (40,328) | | | | | | (5,845,829) | | | | | | (6,874,628) | | |
| Class I | | | | | (15,618,205) | | | | | | (12,302,917) | | | | | | (169,584,697) | | | | | | (232,818,552) | | |
| Class P2 | | | | | — | | | | | | — | | | | | | (49,550,116) | | | | | | — | | |
| Class R6 | | | | | (209) | | | | | | (110) | | | | | | — | | | | | | — | | |
| Class S | | | | | (3,373,368) | | | | | | (2,129,626) | | | | | | (3,382,656) | | | | | | (2,978,860) | | |
| Class S2 | | | | | — | | | | | | — | | | | | | (9,069,001) | | | | | | (10,777,471) | | |
| Total distributions | | | | | (22,392,168) | | | | | | (22,626,794) | | | | | | (321,231,184) | | | | | | (341,508,420) | | |
| FROM CAPITAL SHARE TRANSACTIONS: | | | | | |
| Net proceeds from sale of shares | | | | | 40,480,700 | | | | | | 83,689,811 | | | | | | 1,893,642,057 | | | | | | 785,450,256 | | |
| Reinvestment of distributions | | | | | 22,392,168 | | | | | | 22,626,794 | | | | | | 321,231,184 | | | | | | 341,508,420 | | |
| | | | | | 62,872,868 | | | | | | 106,316,605 | | | | | | 2,214,873,241 | | | | | | 1,126,958,676 | | |
| Cost of shares redeemed | | | | | (133,708,875) | | | | | | (152,866,082) | | | | | | (2,315,728,469) | | | | | | (1,225,931,880) | | |
| Net decrease in net assets resulting from capital share transactions | | | | | (70,836,007) | | | | | | (46,549,477) | | | | | | (100,855,228) | | | | | | (98,973,204) | | |
| Net increase (decrease) in net assets | | | | | (25,854,668) | | | | | | (37,588,930) | | | | | | 530,104,673 | | | | | | 47,200,714 | | |
| NET ASSETS: | | | | | |
| Beginning of year or period | | | | | 362,972,513 | | | | | | 400,561,443 | | | | | | 4,549,096,756 | | | | | | 4,501,896,042 | | |
| End of year or period | | | | $ | 337,117,845 | | | | | $ | 362,972,513 | | | | | $ | 5,079,201,429 | | | | | $ | 4,549,096,756 | | |
| Undistributed net investment income at end of year or period | | | | $ | 508,101 | | | | | $ | 747,109 | | | | | $ | 12,663,916 | | | | | $ | 12,133,244 | | |
| |
See Accompanying Notes to Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
| | | | VY® Clarion Real Estate Portfolio | | | VY® Franklin Income Portfolio | |
| | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
| FROM OPERATIONS: | | | | | |
| Net investment income | | | | $ | 9,895,565 | | | | | $ | 10,841,328 | | | | | $ | 21,450,566 | | | | | $ | 21,742,914 | | |
| Net realized gain | | | | | 37,610,885 | | | | | | 68,855,170 | | | | | | 23,327,280 | | | | | | 23,347,941 | | |
| Net change in unrealized appreciation (depreciation) | | | | | (20,676,753) | | | | | | (53,204,298) | | | | | | 2,705,381 | | | | | | 25,198,179 | | |
| Increase in net assets resulting from operations | | | | | 26,829,697 | | | | | | 26,492,200 | | | | | | 47,483,227 | | | | | | 70,289,034 | | |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | |
| Net investment income: | | | | | |
| Class ADV | | | | | (1,510,825) | | | | | | (1,198,205) | | | | | | (3,351,186) | | | | | | (4,263,768) | | |
| Class I | | | | | (2,404,709) | | | | | | (1,971,015) | | | | | | (426,583) | | | | | | (618,851) | | |
| Class S | | | | | (6,917,341) | | | | | | (6,488,209) | | | | | | (16,952,728) | | | | | | (26,249,211) | | |
| Class S2 | | | | | (393,072) | | | | | | (355,778) | | | | | | (297,659) | | | | | | (493,831) | | |
| Total distributions | | | | | (11,225,947) | | | | | | (10,013,207) | | | | | | (21,028,156) | | | | | | (31,625,661) | | |
| FROM CAPITAL SHARE TRANSACTIONS: | | | | | |
| Net proceeds from sale of shares | | | | | 26,370,073 | | | | | | 62,918,567 | | | | | | 17,103,597 | | | | | | 17,786,918 | | |
| Reinvestment of distributions | | | | | 11,225,947 | | | | | | 10,013,207 | | | | | | 21,028,156 | | | | | | 31,625,661 | | |
| | | | | | 37,596,020 | | | | | | 72,931,774 | | | | | | 38,131,753 | | | | | | 49,412,579 | | |
| Cost of shares redeemed | | | | | (163,059,211) | | | | | | (170,200,255) | | | | | | (107,242,238) | | | | | | (87,585,053) | | |
| Net decrease in net assets resulting from capital share transactions | | | | | (125,463,191) | | | | | | (97,268,481) | | | | | | (69,110,485) | | | | | | (38,172,474) | | |
| Net increase (decrease) in net assets | | | | | (109,859,441) | | | | | | (80,789,488) | | | | | | (42,655,414) | | | | | | 490,899 | | |
| NET ASSETS: | | | | | |
| Beginning of year or period | | | | | 594,510,306 | | | | | | 675,299,794 | | | | | | 500,540,319 | | | | | | 500,049,420 | | |
| End of year or period | | | | $ | 484,650,865 | | | | | $ | 594,510,306 | | | | | $ | 457,884,905 | | | | | $ | 500,540,319 | | |
| Undistributed net investment income at end of year or period | | | | $ | 9,873,465 | | | | | $ | 11,202,960 | | | | | $ | 21,368,844 | | | | | $ | 20,965,551 | | |
| |
See Accompanying Notes to Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
| | | | VY® JPMorgan Small
Cap Core Equity Portfolio | | | VY® Templeton
Global Growth Portfolio | |
| | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
| FROM OPERATIONS: | | | | | |
| Net investment income | | | | $ | 2,828,410 | | | | | $ | 3,608,803 | | | | | $ | 2,947,977 | | | | | $ | 3,097,987 | | |
| Net realized gain | | | | | 91,645,575 | | | | | | 41,896,170 | | | | | | 16,262,610 | | | | | | 2,491,625 | | |
| Net change in unrealized appreciation (depreciation) | | | | | 16,325,034 | | | | | | 93,467,637 | | | | | | 12,939,617 | | | | | | 13,656,884 | | |
| Increase in net assets resulting from operations | | | | | 110,799,019 | | | | | | 138,972,610 | | | | | | 32,150,204 | | | | | | 19,246,496 | | |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | |
| Net investment income: | | | | | |
| Class ADV | | | | | (278,200) | | | | | | (237,737) | | | | | | (96) | | | | | | (200) | | |
| Class I | | | | | (1,285,448) | | | | | | (1,247,160) | | | | | | (39,653) | | | | | | (74,537) | | |
| Class R6 | | | | | (107,532) | | | | | | (24) | | | | | | — | | | | | | — | | |
| Class S | | | | | (1,859,584) | | | | | | (1,985,091) | | | | | | (2,967,750) | | | | | | (7,004,127) | | |
| Class S2 | | | | | (116,301) | | | | | | (123,040) | | | | | | (48,715) | | | | | | (115,208) | | |
| Net realized gains: | | | | | |
| Class ADV | | | | | (6,899,117) | | | | | | (9,678,682) | | | | | | (47) | | | | | | (1,797) | | |
| Class I | | | | | (9,685,823) | | | | | | (13,726,503) | | | | | | (14,216) | | | | | | (568,227) | | |
| Class R6 | | | | | (810,255) | | | | | | (265) | | | | | | — | | | | | | — | | |
| Class S | | | | | (21,436,925) | | | | | | (34,211,734) | | | | | | (1,232,811) | | | | | | (57,886,519) | | |
| Class S2 | | | | | (2,041,022) | | | | | | (3,373,867) | | | | | | (22,107) | | | | | | (1,007,512) | | |
| Total distributions | | | | | (44,520,207) | | | | | | (64,584,103) | | | | | | (4,325,395) | | | | | | (66,658,127) | | |
| FROM CAPITAL SHARE TRANSACTIONS: | | | | | |
| Net proceeds from sale of shares | | | | | 68,196,224 | | | | | | 54,122,220 | | | | | | 5,323,455 | | | | | | 4,159,153 | | |
| Reinvestment of distributions | | | | | 44,520,207 | | | | | | 64,584,103 | | | | | | 4,325,395 | | | | | | 66,658,127 | | |
| | | | | | 112,716,431 | | | | | | 118,706,323 | | | | | | 9,648,850 | | | | | | 70,817,280 | | |
| Cost of shares redeemed | | | | | (196,506,523) | | | | | | (127,425,505) | | | | | | (50,176,969) | | | | | | (39,189,601) | | |
| Net increase (decrease) in net assets resulting from capital share transactions | | | | | (83,790,092) | | | | | | (8,719,182) | | | | | | (40,528,119) | | | | | | 31,627,679 | | |
| Net increase (decrease) in net assets | | | | | (17,511,280) | | | | | | 65,669,325 | | | | | | (12,703,310) | | | | | | (15,783,952) | | |
| NET ASSETS: | | | | | |
| Beginning of year or period | | | | | 775,296,832 | | | | | | 709,627,507 | | | | | | 193,416,305 | | | | | | 209,200,257 | | |
| End of year or period | | | | $ | 757,785,552 | | | | | $ | 775,296,832 | | | | | $ | 180,712,995 | | | | | $ | 193,416,305 | | |
| Undistributed net investment income at end of year or period | | | | $ | 2,874,294 | | | | | $ | 3,630,608 | | | | | $ | 4,276,174 | | | | | $ | 3,057,596 | | |
| |
See Accompanying Notes to Financial Statements
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) | | | Expenses 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 High Yield Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.01 | | | | | | 0.54 | | | | | | 0.03 | | | | | | 0.57 | | | | | | 0.62 | | | | | | — | | | | | | 0.02 | | | | | | 0.64 | | | | | | — | | | | | | 9.94 | | | | | | 5.83 | | | | | | 1.10 | | | | 1.08 | | | 1.08 | | | 5.36 | | | | | 96,011 | | | | | | 37 | | |
| 12-31-16 | | | | | 9.33 | | | | | | 0.55 | | | | | | 0.74 | | | | | | 1.29 | | | | | | 0.61 | | | | | | — | | | | | | — | | | | | | 0.61 | | | | | | — | | | | | | 1.01 | | | | | | 14.21 | | | | | | 1.14 | | | | 1.08 | | | 1.08 | | | 5.56 | | | | | 98,835 | | | | | | 31 | | |
| 12-31-15 | | | | | 10.10 | | | | | | 0.56• | | | | | | (0.78) | | | | | | (0.22) | | | | | | 0.55 | | | | | | — | | | | | | — | | | | | | 0.55 | | | | | | — | | | | | | 9.33 | | | | | | (2.35) | | | | | | 1.24 | | | | 1.08 | | | 1.08 | | | 5.57 | | | | | 94,398 | | | | | | 33 | | |
| 12-31-14 | | | | | 10.60 | | | | | | 0.57• | | | | | | (0.47) | | | | | | 0.10 | | | | | | 0.60 | | | | | | — | | | | | | — | | | | | | 0.60 | | | | | | — | | | | | | 10.10 | | | | | | 0.81 | | | | | | 1.25 | | | | 1.08 | | | 1.08 | | | 5.44 | | | | | 111,226 | | | | | | 78 | | |
| 12-31-13 | | | | | 10.63 | | | | | | 0.58• | | | | | | (0.04) | | | | | | 0.54 | | | | | | 0.57 | | | | | | — | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 10.60 | | | | | | 5.25 | | | | | | 1.25 | | | | 1.10 | | | 1.10 | | | 5.44 | | | | | 117,539 | | | | | | 26 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.01 | | | | | | 0.60 | | | | | | 0.04 | | | | | | 0.64 | | | | | | 0.68 | | | | | | — | | | | | | 0.02 | | | | | | 0.70 | | | | | | — | | | | | | 9.95 | | | | | | 6.58 | | | | | | 0.50 | | | | 0.48 | | | 0.48 | | | 5.96 | | | | | 62,380 | | | | | | 37 | | |
| 12-31-16 | | | | | 9.33 | | | | | | 0.60• | | | | | | 0.75 | | | | | | 1.35 | | | | | | 0.67 | | | | | | — | | | | | | — | | | | | | 0.67 | | | | | | — | | | | | | 10.01 | | | | | | 14.89 | | | | | | 0.49 | | | | 0.48 | | | 0.48 | | | 6.16 | | | | | 57,828 | | | | | | 31 | | |
| 12-31-15 | | | | | 10.11 | | | | | | 0.60 | | | | | | (0.77) | | | | | | (0.17) | | | | | | 0.61 | | | | | | — | | | | | | — | | | | | | 0.61 | | | | | | — | | | | | | 9.33 | | | | | | (1.86) | | | | | | 0.49 | | | | 0.48 | | | 0.48 | | | 6.18 | | | | | 63,622 | | | | | | 33 | | |
| 12-31-14 | | | | | 10.61 | | | | | | 0.64• | | | | | | (0.48) | | | | | | 0.16 | | | | | | 0.66 | | | | | | — | | | | | | — | | | | | | 0.66 | | | | | | — | | | | | | 10.11 | | | | | | 1.41 | | | | | | 0.50 | | | | 0.48 | | | 0.48 | | | 6.03 | | | | | 61,136 | | | | | | 78 | | |
| 12-31-13 | | | | | 10.64 | | | | | | 0.64• | | | | | | (0.03) | | | | | | 0.61 | | | | | | 0.64 | | | | | | — | | | | | | — | | | | | | 0.64 | | | | | | — | | | | | | 10.61 | | | | | | 5.89 | | | | | | 0.50 | | | | 0.50 | | | 0.50 | | | 6.01 | | | | | 86,289 | | | | | | 26 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.01 | | | | | | 0.58 | | | | | | 0.02 | | | | | | 0.60 | | | | | | 0.65 | | | | | | — | | | | | | 0.02 | | | | | | 0.67 | | | | | | — | | | | | | 9.94 | | | | | | 6.20 | | | | | | 0.75 | | | | 0.73 | | | 0.73 | | | 5.71 | | | | | 403,630 | | | | | | 37 | | |
| 12-31-16 | | | | | 9.33 | | | | | | 0.58 | | | | | | 0.75 | | | | | | 1.33 | | | | | | 0.65 | | | | | | — | | | | | | — | | | | | | 0.65 | | | | | | — | | | | | | 10.01 | | | | | | 14.61 | | | | | | 0.74 | | | | 0.73 | | | 0.73 | | | 5.91 | | | | | 484,963 | | | | | | 31 | | |
| 12-31-15 | | | | | 10.10 | | | | | | 0.59• | | | | | | (0.77) | | | | | | (0.18) | | | | | | 0.59 | | | | | | — | | | | | | — | | | | | | 0.59 | | | | | | — | | | | | | 9.33 | | | | | | (2.01) | | | | | | 0.74 | | | | 0.73 | | | 0.73 | | | 5.91 | | | | | 472,161 | | | | | | 33 | | |
| 12-31-14 | | | | | 10.60 | | | | | | 0.61• | | | | | | (0.48) | | | | | | 0.13 | | | | | | 0.63 | | | | | | — | | | | | | — | | | | | | 0.63 | | | | | | — | | | | | | 10.10 | | | | | | 1.16 | | | | | | 0.75 | | | | 0.73 | | | 0.73 | | | 5.79 | | | | | 590,463 | | | | | | 78 | | |
| 12-31-13 | | | | | 10.63 | | | | | | 0.62 | | | | | | (0.04) | | | | | | 0.58 | | | | | | 0.61 | | | | | | — | | | | | | — | | | | | | 0.61 | | | | | | — | | | | | | 10.60 | | | | | | 5.62 | | | | | | 0.75 | | | | 0.75 | | | 0.75 | | | 5.78 | | | | | 691,275 | | | | | | 26 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.02 | | | | | | 0.56 | | | | | | 0.03 | | | | | | 0.59 | | | | | | 0.64 | | | | | | — | | | | | | 0.02 | | | | | | 0.66 | | | | | | — | | | | | | 9.95 | | | | | | 6.04 | | | | | | 0.90 | | | | 0.88 | | | 0.88 | | | 5.56 | | | | | 5,792 | | | | | | 37 | | |
| 12-31-16 | | | | | 9.34 | | | | | | 0.56 | | | | | | 0.75 | | | | | | 1.31 | | | | | | 0.63 | | | | | | — | | | | | | — | | | | | | 0.63 | | | | | | — | | | | | | 10.02 | | | | | | 14.43 | | | | | | 0.92 | | | | 0.88 | | | 0.88 | | | 5.76 | | | | | 5,815 | | | | | | 31 | | |
| 12-31-15 | | | | | 10.11 | | | | | | 0.58• | | | | | | (0.77) | | | | | | (0.19) | | | | | | 0.58 | | | | | | — | | | | | | — | | | | | | 0.58 | | | | | | — | | | | | | 9.34 | | | | | | (2.15) | | | | | | 0.99 | | | | 0.88 | | | 0.88 | | | 5.76 | | | | | 5,327 | | | | | | 33 | | |
| 12-31-14 | | | | | 10.62 | | | | | | 0.59 | | | | | | (0.48) | | | | | | 0.11 | | | | | | 0.62 | | | | | | — | | | | | | — | | | | | | 0.62 | | | | | | — | | | | | | 10.11 | | | | | | 0.92 | | | | | | 1.00 | | | | 0.88 | | | 0.88 | | | 5.64 | | | | | 6,863 | | | | | | 78 | | |
| 12-31-13 | | | | | 10.65 | | | | | | 0.60• | | | | | | (0.03) | | | | | | 0.57 | | | | | | 0.60 | | | | | | — | | | | | | — | | | | | | 0.60 | | | | | | — | | | | | | 10.62 | | | | | | 5.47 | | | | | | 1.00 | | | | 0.90 | | | 0.90 | | | 5.63 | | | | | 6,722 | | | | | | 26 | | |
| Voya Large Cap Growth Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 16.22 | | | | | | 0.02 | | | | | | 4.53 | | | | | | 4.55 | | | | | | 0.01 | | | | | | 1.40 | | | | | | — | | | | | | 1.41 | | | | | | — | | | | | | 19.36 | | | | | | 29.01 | | | | | | 1.27 | | | | 1.27 | | | 1.27 | | | 0.04 | | | | | 2,015,843 | | | | | | 65 | | |
| 12-31-16 | | | | | 18.13 | | | | | | 0.01 | | | | | | 0.57 | | | | | | 0.58 | | | | | | — | | | | | | 2.49 | | | | | | — | | | | | | 2.49 | | | | | | — | | | | | | 16.22 | | | | | | 3.33 | | | | | | 1.32 | | | | 1.27 | | | 1.27 | | | 0.08 | | | | | 1,986,387 | | | | | | 74 | | |
| 12-31-15 | | | | | 19.04 | | | | | | (0.01) | | | | | | 1.12 | | | | | | 1.11 | | | | | | 0.00* | | | | | | 2.02 | | | | | | — | | | | | | 2.02 | | | | | | — | | | | | | 18.13 | | | | | | 5.72 | | | | | | 1.42 | | | | 1.24 | | | 1.24 | | | (0.05) | | | | | 2,244,745 | | | | | | 70 | | |
| 12-31-14 | | | | | 18.22 | | | | | | 0.02 | | | | | | 2.26 | | | | | | 2.28 | | | | | | 0.01 | | | | | | 1.45 | | | | | | — | | | | | | 1.46 | | | | | | — | | | | | | 19.04 | | | | | | 13.03 | | | | | | 1.43 | | | | 1.16 | | | 1.16 | | | 0.07 | | | | | 2,454,572 | | | | | | 65 | | |
| 12-31-13 | | | | | 14.17 | | | | | | 0.03 | | | | | | 4.24 | | | | | | 4.27 | | | | | | 0.06 | | | | | | 0.16 | | | | | | — | | | | | | 0.22 | | | | | | — | | | | | | 18.22 | | | | | | 30.29 | | | | | | 1.43 | | | | 1.07 | | | 1.07 | | | 0.14 | | | | | 2,519,145 | | | | | | 77 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 17.34 | | | | | | 0.12 | | | | | | 4.87 | | | | | | 4.99 | | | | | | 0.13 | | | | | | 1.40 | | | | | | — | | | | | | 1.53 | | | | | | — | | | | | | 20.80 | | | | | | 29.74 | | | | | | 0.67 | | | | 0.67 | | | 0.67 | | | 0.63 | | | | | 2,124,109 | | | | | | 65 | | |
| 12-31-16 | | | | | 19.21 | | | | | | 0.13 | | | | | | 0.60 | | | | | | 0.73 | | | | | | 0.11 | | | | | | 2.49 | | | | | | — | | | | | | 2.60 | | | | | | — | | | | | | 17.34 | | | | | | 3.96 | | | | | | 0.67 | | | | 0.67 | | | 0.67 | | | 0.68 | | | | | 1,769,295 | | | | | | 74 | | |
| 12-31-15 | | | | | 20.05 | | | | | | 0.11 | | | | | | 1.19 | | | | | | 1.30 | | | | | | 0.12 | | | | | | 2.02 | | | | | | — | | | | | | 2.14 | | | | | | — | | | | | | 19.21 | | | | | | 6.38 | | | | | | 0.67 | | | | 0.64 | | | 0.64 | | | 0.55 | | | | | 1,876,362 | | | | | | 70 | | |
| 12-31-14 | | | | | 19.10 | | | | | | 0.12 | | | | | | 2.38 | | | | | | 2.50 | | | | | | 0.10 | | | | | | 1.45 | | | | | | — | | | | | | 1.55 | | | | | | — | | | | | | 20.05 | | | | | | 13.62 | | | | | | 0.68 | | | | 0.60 | | | 0.60 | | | 0.63 | | | | | 1,837,186 | | | | | | 65 | | |
| 12-31-13 | | | | | 14.80 | | | | | | 0.09 | | | | | | 4.46 | | | | | | 4.55 | | | | | | 0.09 | | | | | | 0.16 | | | | | | — | | | | | | 0.25 | | | | | | — | | | | | | 19.10 | | | | | | 30.95 | | | | | | 0.68 | | | | 0.60 | | | 0.60 | | | 0.61 | | | | | 1,469,089 | | | | | | 77 | | |
See Accompanying Notes to Financial Statements
Financial Highlights (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) | | | Expenses 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 Large Cap Growth Portfolio (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 17.34 | | | | | | 0.13• | | | | | | 4.87 | | | | | | 5.00 | | | | | | 0.13 | | | | | | 1.40 | | | | | | — | | | | | | 1.53 | | | | | | — | | | | | | 20.81 | | | | | | 29.80 | | | | | | 0.67 | | | | 0.67 | | | 0.67 | | | 0.65 | | | | | 33,736 | | | | | | 65 | | |
| 12-31-16 | | | | | 19.21 | | | | | | 0.13• | | | | | | 0.60 | | | | | | 0.73 | | | | | | 0.11 | | | | | | 2.49 | | | | | | — | | | | | | 2.60 | | | | | | — | | | | | | 17.34 | | | | | | 3.95 | | | | | | 0.67 | | | | 0.67 | | | 0.67 | | | 0.77 | | | | | 6,970 | | | | | | 74 | | |
11-24-15(5) - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-15 | | | | | 19.47 | | | | | | 0.02• | | | | | | (0.28) | | | | | | (0.26) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 19.21 | | | | | | (1.34) | | | | | | 0.67 | | | | 0.67 | | | 0.67 | | | 1.02 | | | | | 3 | | | | | | 70 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 16.97 | | | | | | 0.07• | | | | | | 4.76 | | | | | | 4.83 | | | | | | 0.08 | | | | | | 1.40 | | | | | | — | | | | | | 1.48 | | | | | | — | | | | | | 20.32 | | | | | | 29.42 | | | | | | 0.92 | | | | 0.92 | | | 0.92 | | | 0.39 | | | | | 2,040,159 | | | | | | 65 | | |
| 12-31-16 | | | | | 18.85 | | | | | | 0.08 | | | | | | 0.59 | | | | | | 0.67 | | | | | | 0.06 | | | | | | 2.49 | | | | | | — | | | | | | 2.55 | | | | | | — | | | | | | 16.97 | | | | | | 3.69 | | | | | | 0.92 | | | | 0.92 | | | 0.92 | | | 0.43 | | | | | 2,014,562 | | | | | | 74 | | |
| 12-31-15 | | | | | 19.72 | | | | | | 0.06• | | | | | | 1.16 | | | | | | 1.22 | | | | | | 0.07 | | | | | | 2.02 | | | | | | — | | | | | | 2.09 | | | | | | — | | | | | | 18.85 | | | | | | 6.11 | | | | | | 0.92 | | | | 0.89 | | | 0.89 | | | 0.30 | | | | | 2,077,008 | | | | | | 70 | | |
| 12-31-14 | | | | | 18.82 | | | | | | 0.07 | | | | | | 2.35 | | | | | | 2.42 | | | | | | 0.07 | | | | | | 1.45 | | | | | | — | | | | | | 1.52 | | | | | | — | | | | | | 19.72 | | | | | | 13.35 | | | | | | 0.93 | | | | 0.85 | | | 0.85 | | | 0.38 | | | | | 2,349,585 | | | | | | 65 | | |
| 12-31-13 | | | | | 14.61 | | | | | | 0.06• | | | | | | 4.39 | | | | | | 4.45 | | | | | | 0.08 | | | | | | 0.16 | | | | | | — | | | | | | 0.24 | | | | | | — | | | | | | 18.82 | | | | | | 30.62 | | | | | | 0.93 | | | | 0.85 | | | 0.85 | | | 0.34 | | | | | 1,408,087 | | | | | | 77 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 16.86 | | | | | | 0.04• | | | | | | 4.73 | | | | | | 4.77 | | | | | | 0.05 | | | | | | 1.40 | | | | | | — | | | | | | 1.45 | | | | | | — | | | | | | 20.18 | | | | | | 29.22 | | | | | | 1.07 | | | | 1.07 | | | 1.07 | | | 0.24 | | | | | 66,024 | | | | | | 65 | | |
| 12-31-16 | | | | | 18.73 | | | | | | 0.05 | | | | | | 0.59 | | | | | | 0.64 | | | | | | 0.02 | | | | | | 2.49 | | | | | | — | | | | | | 2.51 | | | | | | — | | | | | | 16.86 | | | | | | 3.57 | | | | | | 1.10 | | | | 1.07 | | | 1.07 | | | 0.28 | | | | | 66,897 | | | | | | 74 | | |
| 12-31-15 | | | | | 19.62 | | | | | | 0.03• | | | | | | 1.15 | | | | | | 1.18 | | | | | | 0.05 | | | | | | 2.02 | | | | | | — | | | | | | 2.07 | | | | | | — | | | | | | 18.73 | | | | | | 5.90 | | | | | | 1.17 | | | | 1.04 | | | 1.04 | | | 0.15 | | | | | 78,138 | | | | | | 70 | | |
| 12-31-14 | | | | | 18.72 | | | | | | 0.03 | | | | | | 2.36 | | | | | | 2.39 | | | | | | 0.04 | | | | | | 1.45 | | | | | | — | | | | | | 1.49 | | | | | | — | | | | | | 19.62 | | | | | | 13.24 | | | | | | 1.18 | | | | 1.00 | | | 1.00 | | | 0.23 | | | | | 87,242 | | | | | | 65 | | |
| 12-31-13 | | | | | 14.54 | | | | | | 0.02 | | | | | | 4.37 | | | | | | 4.39 | | | | | | 0.05 | | | | | | 0.16 | | | | | | — | | | | | | 0.21 | | | | | | — | | | | | | 18.72 | | | | | | 30.39 | | | | | | 1.18 | | | | 1.00 | | | 1.00 | | | 0.21 | | | | | 53,802 | | | | | | 77 | | |
| Voya Large Cap Value Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 11.79 | | | | | | 0.18• | | | | | | 1.33 | | | | | | 1.51 | | | | | | 0.24 | | | | | | — | | | | | | — | | | | | | 0.24 | | | | | | — | | | | | | 13.06 | | | | | | 12.84 | | | | | | 1.35 | | | | 1.24 | | | 1.24 | | | 1.44 | | | | | 61,244 | | | | | | 79 | | |
| 12-31-16 | | | | | 10.94 | | | | | | 0.21 | | | | | | 1.21 | | | | | | 1.42 | | | | | | 0.22 | | | | | | 0.35 | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 11.79 | | | | | | 13.20 | | | | | | 1.40 | | | | 1.24 | | | 1.24 | | | 1.79 | | | | | 64,578 | | | | | | 118 | | |
| 12-31-15 | | | | | 12.32 | | | | | | 0.16 | | | | | | (0.74) | | | | | | (0.58) | | | | | | 0.16 | | | | | | 0.64 | | | | | | — | | | | | | 0.80 | | | | | | — | | | | | | 10.94 | | | | | | (5.06) | | | | | | 1.50 | | | | 1.24 | | | 1.24 | | | 1.50 | | | | | 67,001 | | | | | | 83 | | |
| 12-31-14 | | | | | 11.67 | | | | | | 0.17• | | | | | | 0.92 | | | | | | 1.09 | | | | | | 0.22 | | | | | | 0.22 | | | | | | — | | | | | | 0.44 | | | | | | — | | | | | | 12.32 | | | | | | 9.42 | | | | | | 1.50 | | | | 1.24 | | | 1.24 | | | 1.40 | | | | | 65,989 | | | | | | 111 | | |
| 12-31-13 | | | | | 9.13 | | | | | | 0.13• | | | | | | 2.60 | | | | | | 2.73 | | | | | | 0.19 | | | | | | — | | | | | | — | | | | | | 0.19 | | | | | | — | | | | | | 11.67 | | | | | | 30.12 | | | | | | 1.51 | | | | 1.26 | | | 1.26 | | | 1.17 | | | | | 12,730 | | | | | | 104 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 12.00 | | | | | | 0.26• | | | | | | 1.36 | | | | | | 1.62 | | | | | | 0.32 | | | | | | — | | | | | | — | | | | | | 0.32 | | | | | | — | | | | | | 13.30 | | | | | | 13.55 | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 2.06 | | | | | 428,068 | | | | | | 79 | | |
| 12-31-16 | | | | | 11.12 | | | | | | 0.28 | | | | | | 1.23 | | | | | | 1.51 | | | | | | 0.28 | | | | | | 0.35 | | | | | | — | | | | | | 0.63 | | | | | | — | | | | | | 12.00 | | | | | | 13.89 | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 2.39 | | | | | 572,744 | | | | | | 118 | | |
| 12-31-15 | | | | | 12.50 | | | | | | 0.25• | | | | | | (0.76) | | | | | | (0.51) | | | | | | 0.23 | | | | | | 0.64 | | | | | | — | | | | | | 0.87 | | | | | | — | | | | | | 11.12 | | | | | | (4.46) | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 2.09 | | | | | 560,041 | | | | | | 83 | | |
| 12-31-14 | | | | | 11.80 | | | | | | 0.23 | | | | | | 0.95 | | | | | | 1.18 | | | | | | 0.26 | | | | | | 0.22 | | | | | | — | | | | | | 0.48 | | | | | | — | | | | | | 12.50 | | | | | | 10.09 | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 1.98 | | | | | 643,803 | | | | | | 111 | | |
| 12-31-13 | | | | | 9.23 | | | | | | 0.19• | | | | | | 2.64 | | | | | | 2.83 | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 11.80 | | | | | | 30.86 | | | | | | 0.76 | | | | 0.66 | | | 0.66 | | | 1.78 | | | | | 558,826 | | | | | | 104 | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 11.99 | | | | | | 0.26• | | | | | | 1.35 | | | | | | 1.61 | | | | | | 0.32 | | | | | | — | | | | | | — | | | | | | 0.32 | | | | | | — | | | | | | 13.28 | | | | | | 13.47 | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 2.06 | | | | | 836 | | | | | | 79 | | |
| 12-31-16 | | | | | 11.12 | | | | | | 0.23• | | | | | | 1.27 | | | | | | 1.50 | | | | | | 0.28 | | | | | | 0.35 | | | | | | — | | | | | | 0.63 | | | | | | — | | | | | | 11.99 | | | | | | 13.80 | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 2.01 | | | | | 550 | | | | | | 118 | | |
11-24-15(5) - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-15 | | | | | 11.59 | | | | | | 0.03• | | | | | | (0.30) | | | | | | (0.27) | | | | | | 0.20 | | | | | | — | | | | | | — | | | | | | 0.20 | | | | | | — | | | | | | 11.12 | | | | | | (2.37) | | | | | | 0.75 | | | | 0.64 | | | 0.64 | | | 2.71 | | | | | 3 | | | | | | 83 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 11.86 | | | | | | 0.23• | | | | | | 1.34 | | | | | | 1.57 | | | | | | 0.29 | | | | | | — | | | | | | — | | | | | | 0.29 | | | | | | — | | | | | | 13.14 | | | | | | 13.23 | | | | | | 1.00 | | | | 0.89 | | | 0.89 | | | 1.80 | | | | | 800,421 | | | | | | 79 | | |
| 12-31-16 | | | | | 11.00 | | | | | | 0.24• | | | | | | 1.22 | | | | | | 1.46 | | | | | | 0.25 | | | | | | 0.35 | | | | | | — | | | | | | 0.60 | | | | | | — | | | | | | 11.86 | | | | | | 13.58 | | | | | | 1.00 | | | | 0.89 | | | 0.89 | | | 2.14 | | | | | 934,779 | | | | | | 118 | | |
| 12-31-15 | | | | | 12.37 | | | | | | 0.21 | | | | | | (0.74) | | | | | | (0.53) | | | | | | 0.20 | | | | | | 0.64 | | | | | | — | | | | | | 0.84 | | | | | | — | | | | | | 11.00 | | | | | | (4.66) | | | | | | 1.00 | | | | 0.89 | | | 0.89 | | | 1.84 | | | | | 999,196 | | | | | | 83 | | |
| 12-31-14 | | | | | 11.70 | | | | | | 0.21• | | | | | | 0.92 | | | | | | 1.13 | | | | | | 0.24 | | | | | | 0.22 | | | | | | — | | | | | | 0.46 | | | | | | — | | | | | | 12.37 | | | | | | 9.71 | | | | | | 1.00 | | | | 0.89 | | | 0.89 | | | 1.73 | | | | | 1,069,662 | | | | | | 111 | | |
| 12-31-13 | | | | | 9.14 | | | | | | 0.17• | | | | | | 2.61 | | | | | | 2.78 | | | | | | 0.22 | | | | | | — | | | | | | — | | | | | | 0.22 | | | | | | — | | | | | | 11.70 | | | | | | 30.66 | | | | | | 1.01 | | | | 0.91 | | | 0.91 | | | 1.53 | | | | | 608,298 | | | | | | 104 | | |
See Accompanying Notes to Financial Statements
Financial Highlights (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) | | | Expenses 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 Large Cap Value Portfolio (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 11.86 | | | | | | 0.20• | | | | | | 1.35 | | | | | | 1.55 | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 13.15 | | | | | | 13.10 | | | | | | 1.15 | | | | 1.04 | | | 1.04 | | | 1.64 | | | | | 229 | | | | | | 79 | | |
| 12-31-16 | | | | | 11.00 | | | | | | 0.22• | | | | | | 1.22 | | | | | | 1.44 | | | | | | 0.23 | | | | | | 0.35 | | | | | | — | | | | | | 0.58 | | | | | | — | | | | | | 11.86 | | | | | | 13.40 | | | | | | 1.18 | | | | 1.04 | | | 1.04 | | | 2.00 | | | | | 537 | | | | | | 118 | | |
| 12-31-15 | | | | | 12.36 | | | | | | 0.20• | | | | | | (0.75) | | | | | | (0.55) | | | | | | 0.17 | | | | | | 0.64 | | | | | | — | | | | | | 0.81 | | | | | | — | | | | | | 11.00 | | | | | | (4.82) | | | | | | 1.25 | | | | 1.04 | | | 1.04 | | | 1.68 | | | | | 596 | | | | | | 83 | | |
| 12-31-14 | | | | | 11.69 | | | | | | 0.20• | | | | | | 0.92 | | | | | | 1.12 | | | | | | 0.23 | | | | | | 0.22 | | | | | | — | | | | | | 0.45 | | | | | | — | | | | | | 12.36 | | | | | | 9.67 | | | | | | 1.25 | | | | 1.04 | | | 1.04 | | | 1.66 | | | | | 798 | | | | | | 111 | | |
09-09-13(5) - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-13 | | | | | 10.74 | | | | | | 0.05• | | | | | | 0.92 | | | | | | 0.97 | | | | | | 0.02 | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | — | | | | | | 11.69 | | | | | | 9.06 | | | | | | 1.26 | | | | 1.06 | | | 1.06 | | | 1.33 | | | | | 3 | | | | | | 104 | | |
| Voya Limited Maturity Bond Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.76 | | | | | | 0.10 | | | | | | 0.00* | | | | | | 0.10 | | | | | | 0.13 | | | | | | — | | | | | | 0.01 | | | | | | 0.14 | | | | | | — | | | | | | 9.72 | | | | | | 0.94 | | | | | | 0.89 | | | | 0.89 | | | 0.89 | | | 1.03 | | | | | 19,695 | | | | | | 305 | | |
| 12-31-16 | | | | | 9.83 | | | | | | 0.09• | | | | | | 0.00* | | | | | | 0.09 | | | | | | 0.16 | | | | | | — | | | | | | — | | | | | | 0.16 | | | | | | — | | | | | | 9.76 | | | | | | 0.91 | | | | | | 0.93 | | | | 0.88 | | | 0.88 | | | 0.87 | | | | | 22,864 | | | | | | 174 | | |
| 12-31-15 | | | | | 9.87 | | | | | | 0.06• | | | | | | (0.05) | | | | | | 0.01 | | | | | | 0.05 | | | | | | — | | | | | | — | | | | | | 0.05 | | | | | | — | | | | | | 9.83 | | | | | | 0.15 | | | | | | 1.03 | | | | 0.88 | | | 0.88 | | | 0.59 | | | | | 28,178 | | | | | | 325 | | |
| 12-31-14 | | | | | 9.88 | | | | | | 0.07 | | | | | | (0.04) | | | | | | 0.03 | | | | | | 0.04 | | | | | | — | | | | | | — | | | | | | 0.04 | | | | | | — | | | | | | 9.87 | | | | | | 0.31 | | | | | | 1.03 | | | | 0.88 | | | 0.88 | | | 0.57 | | | | | 36,335 | | | | | | 433 | | |
| 12-31-13 | | | | | 9.92 | | | | | | 0.03 | | | | | | 0.01 | | | | | | 0.04 | | | | | | 0.08 | | | | | | — | | | | | | — | | | | | | 0.08 | | | | | | — | | | | | | 9.88 | | | | | | 0.36 | | | | | | 1.03 | | | | 0.88 | | | 0.88 | | | 0.35 | | | | | 40,656 | | | | | | 527 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.96 | | | | | | 0.16 | | | | | | (0.01) | | | | | | 0.15 | | | | | | 0.19 | | | | | | — | | | | | | 0.01 | | | | | | 0.20 | | | | | | — | | | | | | 9.91 | | | | | | 1.45 | | | | | | 0.29 | | | | 0.29 | | | 0.29 | | | 1.63 | | | | | 188,672 | | | | | | 305 | | |
| 12-31-16 | | | | | 10.09 | | | | | | 0.15• | | | | | | 0.00* | | | | | | 0.15 | | | | | | 0.28 | | | | | | — | | | | | | — | | | | | | 0.28 | | | | | | — | | | | | | 9.96 | | | | | | 1.53 | | | | | | 0.28 | | | | 0.28 | | | 0.28 | | | 1.46 | | | | | 170,578 | | | | | | 174 | | |
| 12-31-15 | | | | | 10.13 | | | | | | 0.12• | | | | | | (0.04) | | | | | | 0.08 | | | | | | 0.12 | | | | | | — | | | | | | — | | | | | | 0.12 | | | | | | — | | | | | | 10.09 | | | | | | 0.82 | | | | | | 0.28 | | | | 0.28 | | | 0.28 | | | 1.20 | | | | | 162,082 | | | | | | 325 | | |
| 12-31-14 | | | | | 10.14 | | | | | | 0.12• | | | | | | (0.03) | | | | | | 0.09 | | | | | | 0.10 | | | | | | — | | | | | | — | | | | | | 0.10 | | | | | | — | | | | | | 10.13 | | | | | | 0.88 | | | | | | 0.28 | | | | 0.28 | | | 0.28 | | | 1.17 | | | | | 143,860 | | | | | | 433 | | |
| 12-31-13 | | | | | 10.17 | | | | | | 0.10• | | | | | | (0.01) | | | | | | 0.09 | | | | | | 0.12 | | | | | | — | | | | | | — | | | | | | 0.12 | | | | | | — | | | | | | 10.14 | | | | | | 0.90 | | | | | | 0.28 | | | | 0.28 | | | 0.28 | | | 0.94 | | | | | 110,389 | | | | | | 527 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.04 | | | | | | 0.14 | | | | | | (0.02) | | | | | | 0.12 | | | | | | 0.16 | | | | | | — | | | | | | 0.01 | | | | | | 0.17 | | | | | | — | | | | | | 9.99 | | | | | | 1.20 | | | | | | 0.54 | | | | 0.54 | | | 0.54 | | | 1.38 | | | | | 83,412 | | | | | | 305 | | |
| 12-31-16 | | | | | 10.15 | | | | | | 0.13 | | | | | | 0.00* | | | | | | 0.13 | | | | | | 0.24 | | | | | | — | | | | | | — | | | | | | 0.24 | | | | | | — | | | | | | 10.04 | | | | | | 1.28 | | | | | | 0.53 | | | | 0.53 | | ��� | 0.53 | | | 1.21 | | | | | 99,063 | | | | | | 174 | | |
| 12-31-15 | | | | | 10.19 | | | | | | 0.10 | | | | | | (0.04) | | | | | | 0.06 | | | | | | 0.10 | | | | | | — | | | | | | — | | | | | | 0.10 | | | | | | — | | | | | | 10.15 | | | | | | 0.55 | | | | | | 0.53 | | | | 0.53 | | | 0.53 | | | 0.94 | | | | | 99,356 | | | | | | 325 | | |
| 12-31-14 | | | | | 10.19 | | | | | | 0.10 | | | | | | (0.03) | | | | | | 0.07 | | | | | | 0.07 | | | | | | — | | | | | | — | | | | | | 0.07 | | | | | | — | | | | | | 10.19 | | | | | | 0.69 | | | | | | 0.53 | | | | 0.53 | | | 0.53 | | | 0.92 | | | | | 105,215 | | | | | | 433 | | |
| 12-31-13 | | | | | 10.21 | | | | | | 0.08 | | | | | | (0.01) | | | | | | 0.07 | | | | | | 0.09 | | | | | | — | | | | | | — | | | | | | 0.09 | | | | | | — | | | | | | 10.19 | | | | | | 0.71 | | | | | | 0.53 | | | | 0.53 | | | 0.53 | | | 0.69 | | | | | 117,451 | | | | | | 527 | | |
| Voya Multi-Manager Large Cap Core Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 14.79 | | | | | | 0.06 | | | | | | 2.95 | | | | | | 3.01 | | | | | | 0.07 | | | | | | 0.97 | | | | | | — | | | | | | 1.04 | | | | | | — | | | | | | 16.76 | | | | | | 21.04 | | | | | | 1.33 | | | | 1.32 | | | 1.31 | | | 0.37 | | | | | 1,110 | | | | | | 28 | | |
| 12-31-16 | | | | | 14.42 | | | | | | 0.08• | | | | | | 1.06 | | | | | | 1.14 | | | | | | 0.23 | | | | | | 0.54 | | | | | | — | | | | | | 0.77 | | | | | | — | | | | | | 14.79 | | | | | | 8.09 | | | | | | 1.38 | | | | 1.32 | | | 1.32 | | | 0.56 | | | | | 1,103 | | | | | | 41 | | |
| 12-31-15 | | | | | 15.54 | | | | | | 0.08• | | | | | | (0.19) | | | | | | (0.11) | | | | | | 0.05 | | | | | | 0.96 | | | | | | — | | | | | | 1.01 | | | | | | — | | | | | | 14.42 | | | | | | (0.93) | | | | | | 1.48 | | | | 1.32 | | | 1.32 | | | 0.50 | | | | | 1,245 | | | | | | 55 | | |
| 12-31-14 | | | | | 14.72 | | | | | | 0.09 | | | | | | 1.99 | | | | | | 2.08 | | | | | | 0.11 | | | | | | 1.15 | | | | | | — | | | | | | 1.26 | | | | | | — | | | | | | 15.54 | | | | | | 14.66 | | | | | | 1.48 | | | | 1.32 | | | 1.32 | | | 0.60 | | | | | 1,690 | | | | | | 44 | | |
| 12-31-13 | | | | | 11.38 | | | | | | 0.09• | | | | | | 3.30 | | | | | | 3.39 | | | | | | 0.05 | | | | | | — | | | | | | — | | | | | | 0.05 | | | | | | — | | | | | | 14.72 | | | | | | 29.80 | | | | | | 1.50 | | | | 1.33 | | | 1.33 | | | 0.67 | | | | | 1,541 | | | | | | 105 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 14.89 | | | | | | 0.15• | | | | | | 2.99 | | | | | | 3.14 | | | | | | 0.18 | | | | | | 0.97 | | | | | | — | | | | | | 1.15 | | | | | | — | | | | | | 16.88 | | | | | | 21.73 | | | | | | 0.73 | | | | 0.72 | | | 0.71 | | | 0.96 | | | | | 281,959 | | | | | | 28 | | |
| 12-31-16 | | | | | 14.50 | | | | | | 0.17• | | | | | | 1.08 | | | | | | 1.25 | | | | | | 0.32 | | | | | | 0.54 | | | | | | — | | | | | | 0.86 | | | | | | — | | | | | | 14.89 | | | | | | 8.81 | | | | | | 0.73 | | | | 0.72 | | | 0.72 | | | 1.16 | | | | | 304,474 | | | | | | 41 | | |
| 12-31-15 | | | | | 15.63 | | | | | | 0.17• | | | | | | (0.19) | | | | | | (0.02) | | | | | | 0.15 | | | | | | 0.96 | | | | | | — | | | | | | 1.11 | | | | | | — | | | | | | 14.50 | | | | | | (0.35) | | | | | | 0.73 | | | | 0.72 | | | 0.72 | | | 1.13 | | | | | 337,886 | | | | | | 55 | | |
| 12-31-14 | | | | | 14.79 | | | | | | 0.18• | | | | | | 2.00 | | | | | | 2.18 | | | | | | 0.19 | | | | | | 1.15 | | | | | | — | | | | | | 1.34 | | | | | | — | | | | | | 15.63 | | | | | | 15.31 | | | | | | 0.73 | | | | 0.72 | | | 0.72 | | | 1.20 | | | | | 262,017 | | | | | | 44 | | |
| 12-31-13 | | | | | 11.42 | | | | | | 0.17• | | | | | | 3.33 | | | | | | 3.50 | | | | | | 0.13 | | | | | | — | | | | | | — | | | | | | 0.13 | | | | | | — | | | | | | 14.79 | | | | | | 30.66 | | | | | | 0.75 | | | | 0.73 | | | 0.73 | | | 1.28 | | | | | 316,869 | | | | | | 105 | | |
See Accompanying Notes to Financial Statements
Financial Highlights (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) | | | Expenses 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 Multi-Manager Large Cap Core Portfolio (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 14.89 | | | | | | 0.15 | | | | | | 2.98 | | | | | | 3.13 | | | | | | 0.18 | | | | | | 0.97 | | | | | | — | | | | | | 1.15 | | | | | | — | | | | | | 16.87 | | | | | | 21.66 | | | | | | 0.73 | | | | 0.72 | | | 0.71 | | | 0.96 | | | | | 4 | | | | | | 28 | | |
05-03-16(5) -
12-31-16 | | | | | 14.65 | | | | | | 0.12• | | | | | | 0.98 | | | | | | 1.10 | | | | | | 0.32 | | | | | | 0.54 | | | | | | — | | | | | | 0.86 | | | | | | — | | | | | | 14.89 | | | | | | 7.70 | | | | | | 0.73 | | | | 0.72 | | | 0.72 | | | 1.21 | | | | | 3 | | | | | | 41 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 14.91 | | | | | | 0.11• | | | | | | 2.98 | | | | | | 3.09 | | | | | | 0.13 | | | | | | 0.97 | | | | | | — | | | | | | 1.10 | | | | | | — | | | | | | 16.90 | | | | | | 21.39 | | | | | | 0.98 | | | | 0.97 | | | 0.96 | | | 0.72 | | | | | 54,045 | | | | | | 28 | | |
| 12-31-16 | | | | | 14.52 | | | | | | 0.13• | | | | | | 1.09 | | | | | | 1.22 | | | | | | 0.29 | | | | | | 0.54 | | | | | | — | | | | | | 0.83 | | | | | | — | | | | | | 14.91 | | | | | | 8.52 | | | | | | 0.98 | | | | 0.97 | | | 0.97 | | | 0.91 | | | | | 57,393 | | | | | | 41 | | |
| 12-31-15 | | | | | 15.64 | | | | | | 0.13• | | | | | | (0.18) | | | | | | (0.05) | | | | | | 0.11 | | | | | | 0.96 | | | | | | — | | | | | �� | 1.07 | | | | | | — | | | | | | 14.52 | | | | | | (0.56) | | | | | | 0.98 | | | | 0.97 | | | 0.97 | | | 0.85 | | | | | 61,430 | | | | | | 55 | | |
| 12-31-14 | | | | | 14.81 | | | | | | 0.13 | | | | | | 2.01 | | | | | | 2.14 | | | | | | 0.16 | | | | | | 1.15 | | | | | | — | | | | | | 1.31 | | | | | | — | | | | | | 15.64 | | | | | | 14.99 | | | | | | 0.98 | | | | 0.97 | | | 0.97 | | | 0.95 | | | | | 68,942 | | | | | | 44 | | |
| 12-31-13 | | | | | 11.44 | | | | | | 0.14• | | | | | | 3.32 | | �� | | | | 3.46 | | | | | | 0.09 | | | | | | — | | | | | | — | | | | | | 0.09 | | | | | | — | | | | | | 14.81 | | | | | | 30.29 | | | | | | 1.00 | | | | 0.98 | | | 0.98 | | | 1.02 | | | | | 56,868 | | | | | | 105 | | |
| Voya U.S. Stock Index Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 13.38 | | | | | | 0.18• | | | | | | 2.53 | | | | | | 2.71 | | | | | | 0.18 | | | | | | 0.72 | | | | | | — | | | | | | 0.90 | | | | | | — | | | | | | 15.19 | | | | | | 20.82 | | | | | | 0.80 | | | | 0.80 | | | 0.80 | | | 1.23 | | | | | 116,091 | | | | | | 6 | | |
| 12-31-16 | | | | | 12.97 | | | | | | 0.19 | | | | | | 1.21 | | | | | | 1.40 | | | | | | 0.20 | | | | | | 0.79 | | | | | | — | | | | | | 0.99 | | | | | | — | | | | | | 13.38 | | | | | | 11.11 | | | | | | 0.87 | | | | 0.80 | | | 0.80 | | | 1.37 | | | | | 116,242 | | | | | | 5 | | |
| 12-31-15 | | | | | 14.32 | | | | | | 0.18 | | | | | | (0.07) | | | | | | 0.11 | | | | | | 0.18 | | | | | | 1.28 | | | | | | — | | | | | | 1.46 | | | | | | — | | | | | | 12.97 | | | | | | 0.54 | | | | | | 1.01 | | | | 0.79 | | | 0.79 | | | 1.33 | | | | | 119,692 | | | | | | 12 | | |
| 12-31-14 | | | | | 14.26 | | | | | | 0.17 | | | | | | 1.58 | | | | | | 1.75 | | | | | | 0.20 | | | | | | 1.49 | | | | | | — | | | | | | 1.69 | | | | | | — | | | | | | 14.32 | | | | | | 12.77 | | | | | | 1.02 | | | | 0.80 | | | 0.80 | | | 1.26 | | | | | 122,012 | | | | | | 7 | | |
| 12-31-13 | | | | | 11.27 | | | | | | 0.16 | | | | | | 3.34 | | | | | | 3.50 | | | | | | 0.20 | | | | | | 0.31 | | | | | | — | | | | | | 0.51 | | | | | | — | | | | | | 14.26 | | | | | | 31.40 | | | | | | 1.02 | | | | 0.80 | | | 0.80 | | | 1.32 | | | | | 105,584 | | | | | | 9 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 13.79 | | | | | | 0.26• | | | | | | 2.63 | | | | | | 2.89 | | | | | | 0.27 | | | | | | 0.72 | | | | | | — | | | | | | 0.99 | | | | | | — | | | | | | 15.69 | | | | | | 21.46 | | | | | | 0.27 | | | | 0.27 | | | 0.27 | | | 1.75 | | | | | 3,469,721 | | | | | | 6 | | |
| 12-31-16 | | | | | 13.34 | | | | | | 0.26 | | | | | | 1.25 | | | | | | 1.51 | | | | | | 0.27 | | | | | | 0.79 | | | | | | — | | | | | | 1.06 | | | | | | — | | | | | | 13.79 | | | | | | 11.65 | | | | | | 0.27 | | | | 0.27 | | | 0.27 | | | 1.90 | | | | | 4,195,761 | | | | | | 5 | | |
| 12-31-15 | | | | | 14.68 | | | | | | 0.26• | | | | | | (0.06) | | | | | | 0.20 | | | | | | 0.26 | | | | | | 1.28 | | | | | | — | | | | | | 1.54 | | | | | | — | | | | | | 13.34 | | | | | | 1.11 | | | | | | 0.26 | | | | 0.26 | | | 0.26 | | | 1.86 | | | | | 4,149,051 | | | | | | 12 | | |
| 12-31-14 | | | | | 14.57 | | | | | | 0.26• | | | | | | 1.61 | | | | | | 1.87 | | | | | | 0.27 | | | | | | 1.49 | | | | | | — | | | | | | 1.76 | | | | | | — | | | | | | 14.68 | | | | | | 13.37 | | | | | | 0.27 | | | | 0.27 | | | 0.27 | | | 1.79 | | | | | 4,186,235 | | | | | | 7 | | |
| 12-31-13 | | | | | 11.50 | | | | | | 0.24• | | | | | | 3.40 | | | | | | 3.64 | | | | | | 0.26 | | | | | | 0.31 | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 14.57 | | | | | | 32.04 | | | | | | 0.27 | | | | 0.27 | | | 0.27 | | | 1.85 | | | | | 4,322,478 | | | | | | 9 | | |
| Class P2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
05-03-17(5) -
12-31-17 | | | | | 14.79 | | | | | | 0.19• | | | | | | 1.72 | | | | | | 1.91 | | | | | | 0.27 | | | | | | 0.72 | | | | | | — | | | | | | 0.99 | | | | | | — | | | | | | 15.71 | | | | | | 13.39 | | | | | | 0.27 | | | | 0.15 | | | 0.15 | | | 1.92 | | | | | 1,225,483 | | | | | | 6 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 13.69 | | | | | | 0.21 | | | | | | 2.62 | | | | | | 2.83 | | | | | | 0.23 | | | | | | 0.72 | | | | | | — | | | | | | 0.95 | | | | | | — | | | | | | 15.57 | | | | | | 21.22 | | | | | | 0.52 | | | | 0.51 | | | 0.51 | | | 1.52 | | | | | 78,577 | | | | | �� | 6 | | |
| 12-31-16 | | | | | 13.26 | | | | | | 0.22• | | | | | | 1.25 | | | | | | 1.47 | | | | | | 0.25 | | | | | | 0.79 | | | | | | — | | | | | | 1.04 | | | | | | — | | | | | | 13.69 | | | | | | 11.35 | | | | | | 0.52 | | | | 0.51 | | | 0.51 | | | 1.66 | | | | | 61,754 | | | | | | 5 | | |
| 12-31-15 | | | | | 14.59 | | | | | | 0.23• | | | | | | (0.07) | | | | | | 0.16 | | | | | | 0.21 | | | | | | 1.28 | | | | | | — | | | | | | 1.49 | | | | | | — | | | | | | 13.26 | | | | | | 0.89 | | | | | | 0.51 | | | | 0.50 | | | 0.50 | | | 1.62 | | | | | 50,470 | | | | | | 12 | | |
| 12-31-14 | | | | | 14.49 | | | | | | 0.23• | | | | | | 1.60 | | | | | | 1.83 | | | | | | 0.24 | | | | | | 1.49 | | | | | | — | | | | | | 1.73 | | | | | | — | | | | | | 14.59 | | | | | | 13.11 | | | | | | 0.52 | | | | 0.51 | | | 0.51 | | | 1.55 | | | | | 57,095 | | | | | | 7 | | |
| 12-31-13 | | | | | 11.44 | | | | | | 0.20 | | | | | | 3.39 | | | | | | 3.59 | | | | | | 0.23 | | | | | | 0.31 | | | | | | — | | | | | | 0.54 | | | | | | — | | | | | | 14.49 | | | | | | 31.75 | | | | | | 0.52 | | | | 0.51 | | | 0.51 | | | 1.61 | | | | | 37,259 | | | | | | 9 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 13.54 | | | | | | 0.21 | | | | | | 2.56 | | | | | | 2.77 | | | | | | 0.20 | | | | | | 0.72 | | | | | | — | | | | | | 0.92 | | | | | | — | | | | | | 15.39 | | | | | | 21.03 | | | | | | 0.67 | | | | 0.67 | | | 0.67 | | | 1.35 | | | | | 189,330 | | | | | | 6 | | |
| 12-31-16 | | | | | 13.12 | | | | | | 0.21 | | | | | | 1.22 | | | | | | 1.43 | | | | | | 0.22 | | | | | | 0.79 | | | | | | — | | | | | | 1.01 | | | | | | — | | | | | | 13.54 | | | | | | 11.19 | | | | | | 0.70 | | | | 0.67 | | | 0.67 | | | 1.50 | | | | | 175,340 | | | | | | 5 | | |
| 12-31-15 | | | | | 14.46 | | | | | | 0.20• | | | | | | (0.06) | | | | | | 0.14 | | | | | | 0.20 | | | | | | 1.28 | | | | | | — | | | | | | 1.48 | | | | | | — | | | | | | 13.12 | | | | | | 0.75 | | | | | | 0.76 | | | | 0.66 | | | 0.66 | | | 1.46 | | | | | 182,682 | | | | | | 12 | | |
| 12-31-14 | | | | | 14.38 | | | | | | 0.19 | | | | | | 1.60 | | | | | | 1.79 | | | | | | 0.22 | | | | | | 1.49 | | | | | | — | | | | | | 1.71 | | | | | | — | | | | | | 14.46 | | | | | | 12.94 | | | | | | 0.77 | | | | 0.67 | | | 0.67 | | | 1.39 | | | | | 177,899 | | | | | | 7 | | |
| 12-31-13 | | | | | 11.37 | | | | | | 0.19• | | | | | | 3.35 | | | | | | 3.54 | | | | | | 0.22 | | | | | | 0.31 | | | | | | — | | | | | | 0.53 | | | | | | — | | | | | | 14.38 | | | | | | 31.46 | | | | | | 0.77 | | | | 0.67 | | | 0.67 | | | 1.46 | | | | | 157,313 | | | | | | 9 | | |
See Accompanying Notes to Financial Statements
Financial Highlights (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) | | | Expenses net of all
reductions/additions(2)(3)(4) | | | Net investment income (loss)(2)(3) | | | Net assets, end of year or period | | | Portfolio turnover rate | |
Year or
period ended | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | (%) | | | (%) | | | (%) | | | (%) | | | (%) | | | ($000’s) | | | (%) | |
VY® Clarion Real Estate Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 35.00 | | | | | | 0.53• | | | | | | 1.14 | | | | | | 1.67 | | | | | | 0.66 | | | | | | — | | | | | | — | | | | | | 0.66 | | | | | | — | | | | | | 36.01 | | | | | | 4.82 | | | | | | 1.45 | | | | 1.31 | | | 1.31 | | | 1.50 | | | | | 75,575 | | | | | | 82 | | |
| 12-31-16 | | | | | 34.11 | | | | | | 0.47• | | | | | | 0.88 | | | | | | 1.35 | | | | | | 0.46 | | | | | | — | | | | | | — | | | | | | 0.46 | | | | | | — | | | | | | 35.00 | | | | | | 3.86 | | | | | | 1.49 | | | | 1.31 | | | 1.31 | | | 1.33 | | | | | 90,084 | | | | | | 43 | | |
| 12-31-15 | | | | | 33.65 | | | | | | 0.36• | | | | | | 0.49 | | | | | | 0.85 | | | | | | 0.39 | | | | | | — | | | | | | — | | | | | | 0.39 | | | | | | — | | | | | | 34.11 | | | | | | 2.58 | | | | | | 1.59 | | | | 1.31 | | | 1.31 | | | 1.08 | | | | | 90,056 | | | | | | 41 | | |
| 12-31-14 | | | | | 26.29 | | | | | | 0.33• | | | | | | 7.39 | | | | | | 7.72 | | | | | | 0.36 | | | | | | — | | | | | | — | | | | | | 0.36 | | | | | | — | | | | | | 33.65 | | | | | | 29.48 | | | | | | 1.59 | | | | 1.28 | | | 1.28 | | | 1.08 | | | | | 89,699 | | | | | | 30 | | |
| 12-31-13 | | | | | 26.18 | | | | | | 0.30• | | | | | | 0.15 | | | | | | 0.45 | | | | | | 0.34 | | | | | | — | | | | | | — | | | | | | 0.34 | | | | | | — | | | | | | 26.29 | | | | | | 1.65 | | | | | | 1.61 | | | | 1.21 | | | 1.21 | | | 1.11 | | | | | 62,462 | | | | | | 52 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | �� | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 36.68 | | | | | | 0.79• | | | | | | 1.19 | | | | | | 1.98 | | | | | | 0.90 | | | | | | — | | | | | | — | | | | | | 0.90 | | | | | | — | | | | | | 37.76 | | | | | | 5.47 | | | | | | 0.85 | | | | 0.71 | | | 0.71 | | | 2.14 | | | | | 100,423 | | | | | | 82 | | |
| 12-31-16 | | | | | 35.71 | | | | | | 0.72• | | | | | | 0.92 | | | | | | 1.64 | | | | | | 0.67 | | | | | | — | | | | | | — | | | | | | 0.67 | | | | | | — | | | | | | 36.68 | | | | | | 4.47 | | | | | | 0.84 | | | | 0.71 | | | 0.71 | | | 1.96 | | | | | 105,754 | | | | | | 43 | | |
| 12-31-15 | | | | | 35.17 | | | | | | 0.58• | | | | | | 0.52 | | | | | | 1.10 | | | | | | 0.56 | | | | | | — | | | | | | — | | | | | | 0.56 | | | | | | — | | | | | | 35.71 | | | | | | 3.20 | | | | | | 0.84 | | | | 0.71 | | | 0.71 | | | 1.65 | | | | | 128,447 | | | | | | 41 | | |
| 12-31-14 | | | | | 27.42 | | | | | | 0.52• | | | | | | 7.73 | | | | | | 8.25 | | | | | | 0.50 | | | | | | — | | | | | | — | | | | | | 0.50 | | | | | | — | | | | | | 35.17 | | | | | | 30.27 | | | | | | 0.84 | | | | 0.68 | | | 0.68 | | | 1.64 | | | | | 142,041 | | | | | | 30 | | |
| 12-31-13 | | | | | 27.22 | | | | | | 0.48• | | | | | | 0.17 | | | | | | 0.65 | | | | | | 0.45 | | | | | | — | | | | | | — | | | | | | 0.45 | | | | | | — | | | | | | 27.42 | | | | | | 2.27 | | | | | | 0.86 | | | | 0.61 | | | 0.61 | | | 1.67 | | | | | 116,778 | | | | | | 52 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 36.58 | | | | | | 0.68• | | | | | | 1.19 | | | | | | 1.87 | | | | | | 0.78 | | | | | | — | | | | | | — | | | | | | 0.78 | | | | | | — | | | | | | 37.67 | | | | | | 5.18 | | | | | | 1.10 | | | | 0.96 | | | 0.96 | | | 1.83 | | | | | 290,716 | | | | | | 82 | | |
| 12-31-16 | | | | | 35.60 | | | | | | 0.61• | | | | | | 0.94 | | | | | | 1.55 | | | | | | 0.57 | | | | | | — | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 36.58 | | | | | | 4.24 | | | | | | 1.09 | | | | 0.96 | | | 0.96 | | | 1.66 | | | | | 375,761 | | | | | | 43 | | |
| 12-31-15 | | | | | 35.06 | | | | | | 0.48• | | | | | | 0.53 | | | | | | 1.01 | | | | | | 0.47 | | | | | | — | | | | | | — | | | | | | 0.47 | | | | | | — | | | | | | 35.60 | | | | | | 2.95 | | | | | | 1.09 | | | | 0.96 | | | 0.96 | | | 1.38 | | | | | 430,712 | | | | | | 41 | | |
| 12-31-14 | | | | | 27.35 | | | | | | 0.43• | | | | | | 7.70 | | | | | | 8.13 | | | | | | 0.42 | | | | | | — | | | | | | — | | | | | | 0.42 | | | | | | — | | | | | | 35.06 | | | | | | 29.87 | | | | | | 1.09 | | | | 0.93 | | | 0.93 | | | 1.37 | | | | | 489,653 | | | | | | 30 | | |
| 12-31-13 | | | | | 27.14 | | | | | | 0.39• | | | | | | 0.19 | | | | | | 0.58 | | | | | | 0.37 | | | | | | — | | | | | | — | | | | | | 0.37 | | | | | | — | | | | | | 27.35 | | | | | | 2.06 | | | | | | 1.11 | | | | 0.86 | | | 0.86 | | | 1.38 | | | | | 420,035 | | | | | | 52 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 36.35 | | | | | | 0.62• | | | | | | 1.18 | | | | | | 1.80 | | | | | | 0.71 | | | | | | — | | | | | | — | | | | | | 0.71 | | | | | | — | | | | | | 37.44 | | | | | | 5.02 | | | | | | 1.25 | | | | 1.11 | | | 1.11 | | | 1.68 | | | | | 17,937 | | | | | | 82 | | |
| 12-31-16 | | | | | 35.39 | | | | | | 0.55• | | | | | | 0.93 | | | | | | 1.48 | | | | | | 0.52 | | | | | | — | | | | | | — | | | | | | 0.52 | | | | | | — | | | | | | 36.35 | | | | | | 4.07 | | | | | | 1.27 | | | | 1.11 | | | 1.11 | | | 1.52 | | | | | 22,911 | | | | | | 43 | | |
| 12-31-15 | | | | | 34.85 | | | | | | 0.44• | | | | | | 0.51 | | | | | | 0.95 | | | | | | 0.41 | | | | | | — | | | | | | — | | | | | | 0.41 | | | | | | — | | | | | | 35.39 | | | | | | 2.79 | | | | | | 1.34 | | | | 1.11 | | | 1.11 | | | 1.26 | | | | | 26,084 | | | | | | 41 | | |
| 12-31-14 | | | | | 27.18 | | | | | | 0.38• | | | | | | 7.76 | | | | | | 8.05 | | | | | | 0.38 | | | | | | — | | | | | | — | | | | | | 0.38 | | | | | | — | | | | | | 34.85 | | | | | | 29.74 | | | | | | 1.34 | | | | 1.08 | | | 1.08 | | | 1.21 | | | | | 28,313 | | | | | | 30 | | |
| 12-31-13 | | | | | 26.99 | | | | | | 0.35• | | | | | | 0.18 | | | | | | 0.53 | | | | | | 0.34 | | | | | | — | | | | | | — | | | | | | 0.34 | | | | | | — | | | | | | 27.18 | | | | | | 1.87 | | | | | | 1.36 | | | | 1.01 | | | 1.01 | | | 1.25 | | | | | 25,796 | | | | | | 52 | | |
VY® Franklin Income Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.62 | | | | | | 0.46• | | | | | | 0.58 | | | | | | 1.04 | | | | | | 0.48 | | | | | | — | | | | | | — | | | | | | 0.48 | | | | | | — | | | | | | 11.18 | | | | | | 10.03 | | | | | | 1.39 | | | | 1.26 | | | 1.26 | | | 4.16 | | | | | 81,767 | | | | | | 22 | | |
| 12-31-16 | | | | | 9.82 | | | | | | 0.42• | | | | | | 1.05 | | | | | | 1.47 | | | | | | 0.67 | | | | | | — | | | | | | — | | | | | | 0.67 | | | | | | — | | | | | | 10.62 | | | | | | 15.26 | | | | | | 1.43 | | | | 1.36 | | | 1.36 | | | 4.14 | | | | | 72,064 | | | | | | 42 | | |
| 12-31-15 | | | | | 11.03 | | | | | | 0.40• | | | | | | (1.11) | | | | | | (0.71) | | | | | | 0.50 | | | | | | — | | | | | | — | | | | | | 0.50 | | | | | | — | | | | | | 9.82 | | | | | | (6.72) | | | | | | 1.52 | | | | 1.37 | | | 1.37 | | | 3.80 | | | | | 68,152 | | | | | | 18 | | |
| 12-31-14 | | | | | 10.94 | | | | | | 0.41• | | | | | | 0.12 | | | | | | 0.53 | | | | | | 0.44 | | | | | | — | | | | | | — | | | | | | 0.44 | | | | | | — | | | | | | 11.03 | | | | | | 4.69 | | | | | | 1.51 | | | | 1.36 | | | 1.36 | | | 3.66 | | | | | 78,155 | | | | | | 26 | | |
| 12-31-13 | | | | | 10.09 | | | | | | 0.41• | | | | | | 0.98 | | | | | | 1.39 | | | | | | 0.54 | | | | | | — | | | | | | — | | | | | | 0.54 | | | | | | — | | | | | | 10.94 | | | | | | 14.14 | | | | | | 1.51 | | | | 1.36 | | | 1.36 | | | 3.91 | | | | | 53,031 | | | | | | 23 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 11.05 | | | | | | 0.54• | | | | | | 0.60 | | | | | | 1.14 | | | | | | 0.54 | | | | | | — | | | | | | — | | | | | | 0.54 | | | | | | — | | | | | | 11.65 | | | | | | 10.56 | | | | | | 0.79 | | | | 0.66 | | | 0.66 | | | 4.76 | | | | | 9,393 | | | | | | 22 | | |
| 12-31-16 | | | | | 10.18 | | | | | | 0.50• | | | | | | 1.09 | | | | | | 1.59 | | | | | | 0.72 | | | | | | — | | | | | | — | | | | | | 0.72 | | | | | | — | | | | | | 11.05 | | | | | | 16.02 | | | | | | 0.78 | | | | 0.76 | | | 0.76 | | | 4.74 | | | | | 9,478 | | | | | | 42 | | |
| 12-31-15 | | | | | 11.43 | | | | | | 0.47• | | | | | | (1.16) | | | | | | (0.69) | | | | | | 0.56 | | | | | | — | | | | | | — | | | | | | 0.56 | | | | | | — | | | | | | 10.18 | | | | | | (6.34) | | | | | | 0.77 | | | | 0.77 | | | 0.77 | | | 4.11 | | | | | 9,222 | | | | | | 18 | | |
| 12-31-14 | | | | | 11.30 | | | | | | 0.51• | | | | | | 0.09 | | | | | | 0.60 | | | | | | 0.47 | | | | | | — | | | | | | — | | | | | | 0.47 | | | | | | — | | | | | | 11.43 | | | | | | 5.21 | | | | | | 0.76 | | | | 0.76 | | | 0.76 | | | 4.31 | | | | | 311,844 | | | | | | 26 | | |
| 12-31-13 | | | | | 10.38 | | | | | | 0.46 | | | | | | 1.04 | | | | | | 1.50 | | | | | | 0.58 | | | | | | — | | | | | | — | | | | | | 0.58 | | | | | | — | | | | | | 11.30 | | | | | | 14.81 | | | | | | 0.76 | | | | 0.76 | | | 0.76 | | | 4.53 | | | | | 326,510 | | | | | | 23 | | |
See Accompanying Notes to Financial Statements
Financial Highlights (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) | | | Expenses net of all
reductions/additions(2)(3)(4) | | | Net investment income (loss)(2)(3) | | | Net assets, end of year or period | | | Portfolio turnover rate | |
Year or
period ended | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | (%) | | | (%) | | | (%) | | | (%) | | | (%) | | | ($000’s) | | | (%) | |
VY® Franklin Income Portfolio (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.99 | | | | | | 0.51• | | | | | | 0.60 | | | | | | 1.11 | | | | | | 0.51 | | | | | | — | | | | | | — | | | | | | 0.51 | | | | | | — | | | | | | 11.59 | | | | | | 10.33 | | | | | | 1.04 | | | | 0.91 | | | 0.91 | | | 4.52 | | | | | 361,336 | | | | | | 22 | | |
| 12-31-16 | | | | | 10.14 | | | | | | 0.47• | | | | | | 1.09 | | | | | | 1.56 | | | | | | 0.71 | | | | | | — | | | | | | — | | | | | | 0.71 | | | | | | — | | | | | | 10.99 | | | | | | 15.68 | | | | | | 1.03 | | | | 1.01 | | | 1.01 | | | 4.49 | | | | | 411,297 | | | | | | 42 | | |
| 12-31-15 | | | | | 11.35 | | | | | | 0.45• | | | | | | (1.13) | | | | | | (0.68) | | | | | | 0.53 | | | | | | — | | | | | | — | | | | | | 0.53 | | | | | | — | | | | | | 10.14 | | | | | | (6.31) | | | | | | 1.02 | | | | 1.02 | | | 1.02 | | | 4.14 | | | | | 414,907 | | | | | | 18 | | |
| 12-31-14 | | | | | 11.23 | | | | | | 0.47• | | | | | | 0.10 | | | | | | 0.57 | | | | | | 0.45 | | | | | | — | | | | | | — | | | | | | 0.45 | | | | | | — | | | | | | 11.35 | | | | | | 4.91 | | | | | | 1.01 | | | �� | 1.01 | | | 1.01 | | | 4.05 | | | | | 554,146 | | | | | | 26 | | |
| 12-31-13 | | | | | 10.31 | | | | | | 0.46• | | | | | | 1.02 | | | | | | 1.48 | | | | | | 0.56 | | | | | | — | | | | | | — | | | | | | 0.56 | | | | | | — | | | | | | 11.23 | | | | | | 14.64 | | | | | | 1.01 | | | | 1.01 | | | 1.01 | | | 4.28 | | | | | 556,255 | | | | | | 23 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.96 | | | | | | 0.50• | | | | | | 0.59 | | | | | | 1.09 | | | | | | 0.49 | | | | | | — | | | | | | — | | | | | | 0.49 | | | | | | — | | | | | | 11.56 | | | | | | 10.16 | | | | | | 1.19 | | | | 1.06 | | | 1.06 | | | 4.38 | | | | | 5,389 | | | | | | 22 | | |
| 12-31-16 | | | | | 10.11 | | | | | | 0.45• | | | | | | 1.09 | | | | | | 1.54 | | | | | | 0.69 | | | | | | — | | | | | | — | | | | | | 0.69 | | | | | | — | | | | | | 10.96 | | | | | | 15.52 | | | | | | 1.21 | | | | 1.16 | | | 1.16 | | | 4.34 | | | | | 7,701 | | | | | | 42 | | |
| 12-31-15 | | | | | 11.32 | | | | | | 0.44• | | | | | | (1.15) | | | | | | (0.71) | | | | | | 0.50 | | | | | | — | | | | | | — | | | | | | 0.50 | | | | | | — | | | | | | 10.11 | | | | | | (6.51) | | | | | | 1.27 | | | | 1.17 | | | 1.17 | | | 3.99 | | | | | 7,770 | | | | | | 18 | | |
| 12-31-14 | | | | | 11.20 | | | | | | 0.45 | | | | | | 0.10 | | | | | | 0.55 | | | | | | 0.43 | | | | | | — | | | | | | — | | | | | | 0.43 | | | | | | — | | | | | | 11.32 | | | | | | 4.79 | | | | | | 1.26 | | | | 1.16 | | | 1.16 | | | 3.91 | | | | | 10,975 | | | | | | 26 | | |
| 12-31-13 | | | | | 10.29 | | | | | | 0.45• | | | | | | 1.00 | | | | | | 1.45 | | | | | | 0.54 | | | | | | — | | | | | | — | | | | | | 0.54 | | | | | | — | | | | | | 11.20 | | | | | | 14.40 | | | | | | 1.26 | | | | 1.16 | | | 1.16 | | | 4.14 | | | | | 10,543 | | | | | | 23 | | |
VY® JPMorgan Small Cap Core Equity Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 18.54 | | | | | | 0.01 | | | | | | 2.71 | | | | | | 2.72 | | | | | | 0.04 | | | | | | 1.10 | | | | | | — | | | | | | 1.14 | | | | | | — | | | | | | 20.12 | | | | | | 15.17 | | | | | | 1.45 | | | | 1.45 | | | 1.45 | | | 0.03 | | | | | 131,488 | | | | | | 36 | | |
| 12-31-16 | | | | | 16.82 | | | | | | 0.03 | | | | | | 3.33 | | | | | | 3.36 | | | | | | 0.04 | | | | | | 1.60 | | | | | | — | | | | | | 1.64 | | | | | | — | | | | | | 18.54 | | | | | | 21.17 | | | | | | 1.50 | | | | 1.45 | | | 1.45 | | | 0.17 | | | | | 120,442 | | | | | | 40 | | |
| 12-31-15 | | | | | 19.83 | | | | | | 0.01 | | | | | | (0.58) | | | | | | (0.57) | | | | | | — | | | | | | 2.44 | | | | | | — | | | | | | 2.44 | | | | | | — | | | | | | 16.82 | | | | | | (4.02) | | | | | | 1.60 | | | | 1.45 | | | 1.45 | | | 0.12 | | | | | 105,259 | | | | | | 38 | | |
| 12-31-14 | | | | | 20.05 | | | | | | (0.03) | | | | | | 1.55 | | | | | | 1.52 | | | | | | 0.04 | | | | | | 1.70 | | | | | | — | | | | | | 1.74 | | | | | | — | | | | | | 19.83 | | | | | | 7.94 | | | | | | 1.60 | | | | 1.45 | | | 1.45 | | | (0.11) | | | | | 101,728 | | | | | | 42 | | |
| 12-31-13 | | | | | 14.94 | | | | | | 0.02• | | | | | | 5.66 | | | | | | 5.68 | | | | | | 0.13 | | | | | | 0.44 | | | | | | — | | | | | | 0.57 | | | | | | — | | | | | | 20.05 | | | | | | 38.52 | | | | | | 1.61 | | | | 1.46 | | | 1.46 | | | 0.13 | | | | | 85,366 | | | | | | 41 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 19.59 | | | | | | 0.13 | | | | | | 2.88 | | | | | | 3.01 | | | | | | 0.15 | | | | | | 1.10 | | | | | | — | | | | | | 1.25 | | | | | | — | | | | | | 21.35 | | | | | | 15.86 | | | | | | 0.85 | | | | 0.85 | | | 0.85 | | | 0.62 | | | | | 188,213 | | | | | | 36 | | |
| 12-31-16 | | | | | 17.68 | | | | | | 0.14 | | | | | | 3.52 | | | | | | 3.66 | | | | | | 0.15 | | | | | | 1.60 | | | | | | — | | | | | | 1.75 | | | | | | — | | | | | | 19.59 | | | | | | 21.92 | | | | | | 0.85 | | | | 0.85 | | | 0.85 | | | 0.77 | | | | | 178,586 | | | | | | 40 | | |
| 12-31-15 | | | | | 20.70 | | | | | | 0.14 | | | | | | (0.62) | | | | | | (0.48) | | | | | | 0.10 | | | | | | 2.44 | | | | | | — | | | | | | 2.54 | | | | | | — | | | | | | 17.68 | | | | | | (3.45) | | | | | | 0.85 | | | | 0.85 | | | 0.85 | | | 0.72 | | | | | 159,243 | | | | | | 38 | | |
| 12-31-14 | | | | | 20.81 | | | | | | 0.09 | | | | | | 1.62 | | | | | | 1.71 | | | | | | 0.12 | | | | | | 1.70 | | | | | | — | | | | | | 1.82 | | | | | | — | | | | | | 20.70 | | | | | | 8.61 | | | | | | 0.85 | | | | 0.85 | | | 0.85 | | | 0.48 | | | | | 160,190 | | | | | | 42 | | |
| 12-31-13 | | | | | 15.43 | | | | | | 0.12 | | | | | | 5.87 | | | | | | 5.99 | | | | | | 0.17 | | | | | | 0.44 | | | | | | — | | | | | | 0.61 | | | | | | — | | | | | | 20.81 | | | | | | 39.36 | | | | | | 0.86 | | | | 0.86 | | | 0.86 | | | 0.70 | | | | | 136,611 | | | | | | 41 | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 19.58 | | | | | | 0.15• | | | | | | 2.86 | | | | | | 3.01 | | | | | | 0.15 | | | | | | 1.10 | | | | | | — | | | | | | 1.25 | | | | | | — | | | | | | 21.34 | | | | | | 15.87 | | | | | | 0.85 | | | | 0.85 | | | 0.85 | | | 0.73 | | | | | 17,009 | | | | | | 36 | | |
05-03-16(5) -
12-31-16 | | | | | 17.80 | | | | | | 0.15• | | | | | | 3.38 | | | | | | 3.53 | | | | | | 0.15 | | | | | | 1.60 | | | | | | — | | | | | | 1.75 | | | | | | — | | | | | | 19.58 | | | | | | 21.04 | | | | | | 0.85 | | | | 0.85 | | | 0.85 | | | 1.22 | | | | | 30 | | | | | | 40 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 19.35 | | | | | | 0.07• | | | | | | 2.85 | | | | | | 2.92 | | | | | | 0.10 | | | | | | 1.10 | | | | | | — | | | | | | 1.20 | | | | | | — | | | | | | 21.07 | | | | | | 15.56 | | | | | | 1.10 | | | | 1.10 | | | 1.10 | | | 0.37 | | | | | 385,636 | | | | | | 36 | | |
| 12-31-16 | | | | | 17.48 | | | | | | 0.10 | | | | | | 3.46 | | | | | | 3.56 | | | | | | 0.09 | | | | | | 1.60 | | | | | | — | | | | | | 1.69 | | | | | | — | | | | | | 19.35 | | | | | | 21.59 | | | | | | 1.10 | | | | 1.10 | | | 1.10 | | | 0.52 | | | | | 436,518 | | | | | | 40 | | |
| 12-31-15 | | | | | 20.49 | | | | | | 0.09 | | | | | | (0.62) | | | | | | (0.53) | | | | | | 0.04 | | | | | | 2.44 | | | | | | — | | | | | | 2.48 | | | | | | — | | | | | | 17.48 | | | | | | (3.68) | | | | | | 1.10 | | | | 1.10 | | | 1.10 | | | 0.47 | | | | | 404,369 | | | | | | 38 | | |
| 12-31-14 | | | | | 20.62 | | | | | | 0.05 | | | | | | 1.59 | | | | | | 1.64 | | | | | | 0.07 | | | | | | 1.70 | | | | | | — | | | | | | 1.77 | | | | | | — | | | | | | 20.49 | | | | | | 8.35 | | | | | | 1.10 | | | | 1.10 | | | 1.10 | | | 0.22 | | | | | 459,361 | | | | | | 42 | | |
| 12-31-13 | | | | | 15.31 | | | | | | 0.06 | | | | | | 5.83 | | | | | | 5.89 | | | | | | 0.14 | | | | | | 0.44 | | | | | | — | | | | | | 0.58 | | | | | | — | | | | | | 20.62 | | | | | | 38.95 | | | | | | 1.11 | | | | 1.11 | | | 1.11 | | | 0.46 | | | | | 482,759 | | | | | | 41 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 19.15 | | | | | | 0.04• | | | | | | 2.82 | | | | | | 2.86 | | | | | | 0.06 | | | | | | 1.10 | | | | | | — | | | | | | 1.16 | | | | | | — | | | | | | 20.85 | | | | | | 15.42 | | | | | | 1.25 | | | | 1.25 | | | 1.25 | | | 0.22 | | | | | 35,440 | | | | | | 36 | | |
| 12-31-16 | | | | | 17.31 | | | | | | 0.06• | | | | | | 3.44 | | | | | | 3.50 | | | | | | 0.06 | | | | | | 1.60 | | | | | | — | | | | | | 1.66 | | | | | | — | | | | | | 19.15 | | | | | | 21.39 | | | | | | 1.28 | | | | 1.25 | | | 1.25 | | | 0.37 | | | | | 39,721 | | | | | | 40 | | |
| 12-31-15 | | | | | 20.32 | | | | | | 0.06 | | | | | | (0.62) | | | | | | (0.56) | | | | | | 0.01 | | | | | | 2.44 | | | | | | — | | | | | | 2.45 | | | | | | — | | | | | | 17.31 | | | | | | (3.87) | | | | | | 1.35 | | | | 1.25 | | | 1.25 | | | 0.33 | | | | | 40,756 | | | | | | 38 | | |
| 12-31-14 | | | | | 20.45 | | | | | | 0.02 | | | | | | 1.59 | | | | | | 1.61 | | | | | | 0.04 | | | | | | 1.70 | | | | | | — | | | | | | 1.74 | | | | | | — | | | | | | 20.32 | | | | | | 8.24 | | | | | | 1.35 | | | | 1.25 | | | 1.25 | | | 0.07 | | | | | 48,220 | | | | | | 42 | | |
| 12-31-13 | | | | | 15.19 | | | | | | 0.05• | | | | | | 5.76 | | | | | | 5.81 | | | | | | 0.11 | | | | | | 0.44 | | | | | | — | | | | | | 0.55 | | | | | | — | | | | | | 20.45 | | | | | | 38.73 | | | | | | 1.36 | | | | 1.26 | | | 1.26 | | | 0.29 | | | | | 51,463 | | | | | | 41 | | |
See Accompanying Notes to Financial Statements
Financial Highlights (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) | | | Expenses net of all
reductions/additions(2)(3)(4) | | | Net investment income (loss)(2)(3) | | | Net assets, end of year or period | | | Portfolio turnover rate | |
Year or
period ended | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | | | (%) | | | (%) | | | (%) | | | (%) | | | (%) | | | ($000’s) | | | (%) | |
VY® Templeton Global Growth Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.50 | | | | | | 0.12 | | | | | | 1.56 | | | | | | 1.68 | | | | | | 0.15 | | | | | | 0.07 | | | | | | — | | | | | | 0.22 | | | | | | — | | | | | | 10.96 | | | | | | 17.76 | | | | | | 1.57 | | | | 1.43 | | | 1.43 | | | 1.17 | | | | | 7 | | | | | | 26 | | |
| 12-31-16 | | | | | 13.16 | | | | | | 0.13• | | | | | | 0.84 | | | | | | 0.97 | | | | | | 0.46 | | | | | | 4.17 | | | | | | — | | | | | | 4.63 | | | | | | — | | | | | | 9.50 | | | | | | 10.47 | | | | | | 1.62 | | | | 1.55 | | | 1.55 | | | 1.22 | | | | | 6 | | | | | | 23 | | |
| 12-31-15 | | | | | 15.08 | | | | | | 0.17 | | | | | | (1.27) | | | | | | (1.10) | | | | | | 0.37 | | | | | | 0.45 | | | | | | — | | | | | | 0.82 | | | | | | — | | | | | | 13.16 | | | | | | (7.89) | | | | | | 1.68 | | | | 1.53 | | | 1.53 | | | 1.20 | | | | | 6 | | | | | | 21 | | |
| 12-31-14 | | | | | 15.70 | | | | | | 0.30 | | | | | | (0.78) | | | | | | (0.48) | | | | | | 0.14 | | | | | | — | | | | | | — | | | | | | 0.14 | | | | | | — | | | | | | 15.08 | | | | | | (3.11) | | | | | | 1.64 | | | | 1.49 | | | 1.49 | | | 1.89 | | | | | 6 | | | | | | 18 | | |
| 12-31-13 | | | | | 12.23 | | | | | | 0.12 | | | | | | 3.54 | | | | | | 3.66 | | | | | | 0.19 | | | | | | — | | | | | | — | | | | | | 0.19 | | | | | | — | | | | | | 15.70 | | | | | | 30.13 | | | | | | 1.64 | | | | 1.49 | | | 1.49 | | | 0.89 | | | | | 6 | | | | | | 12 | | |
| Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.82 | | | | | | 0.19 | | | | | | 1.61 | | | | | | 1.80 | | | | | | 0.20 | | | | | | 0.07 | | | | | | — | | | | | | 0.27 | | | | | | — | | | | | | 11.35 | | | | | | 18.46 | | | | | | 0.97 | | | | 0.83 | | | 0.83 | | | 1.77 | | | | | 2,236 | | | | | | 26 | | |
| 12-31-16 | | | | | 13.46 | | | | | | 0.20• | | | | | | 0.88 | | | | | | 1.08 | | | | | | 0.55 | | | | | | 4.17 | | | | | | — | | | | | | 4.72 | | | | | | — | | | | | | 9.82 | | | | | | 11.16 | | | | | | 0.97 | | | | 0.95 | | | 0.95 | | | 1.85 | | | | | 1,916 | | | | | | 23 | | |
| 12-31-15 | | | | | 15.40 | | | | | | 0.33• | | | | | | (1.36) | | | | | | (1.03) | | | | | | 0.46 | | | | | | 0.45 | | | | | | — | | | | | | 0.91 | | | | | | — | | | | | | 13.46 | | | | | | (7.31) | | | | | | 0.90 | | | | 0.90 | | | 0.90 | | | 2.07 | | | | | 1,837 | | | | | | 21 | | |
| 12-31-14 | | | | | 16.02 | | | | | | 0.40• | | | | | | (0.79) | | | | | | (0.39) | | | | | | 0.23 | | | | | | — | | | | | | — | | | | | | 0.23 | | | | | | — | | | | | | 15.40 | | | | | | (2.56) | | | | | | 0.89 | | | | 0.89 | | | 0.89 | | | 2.47 | | | | | 298,762 | | | | | | 18 | | |
| 12-31-13 | | | | | 12.46 | | | | | | 0.21• | | | | | | 3.61 | | | | | | 3.82 | | | | | | 0.26 | | | | | | — | | | | | | — | | | | | | 0.26 | | | | | | — | | | | | | 16.02 | | | | | | 30.96 | | | | | | 0.89 | | | | 0.89 | | | 0.89 | | | 1.50 | | | | | 319,415 | | | | | | 12 | | |
| Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.90 | | | | | | 0.16• | | | | | | 1.63 | | | | | | 1.79 | �� | | | | | 0.17 | | | | | | 0.07 | | | | | | — | | | | | | 0.24 | | | | | | — | | | | | | 11.45 | | | | | | 18.22 | | | | | | 1.22 | | | | 1.08 | | | 1.08 | | | 1.53 | | | | | 175,462 | | | | | | 26 | | |
| 12-31-16 | | | | | 13.52 | | | | | | 0.20 | | | | | | 0.85 | | | | | | 1.05 | | | | | | 0.50 | | | | | | 4.17 | | | | | | — | | | | | | 4.67 | | | | | | — | | | | | | 9.90 | | | | | | 10.89 | | | | | | 1.22 | | | | 1.20 | | | 1.20 | | | 1.59 | | | | | 188,514 | | | | | | 23 | | |
| 12-31-15 | | | | | 15.46 | | | | | | 0.24• | | | | | | (1.32) | | | | | | (1.08) | | | | | | 0.41 | | | | | | 0.45 | | | | | | — | | | | | | 0.86 | | | | | | — | | | | | | 13.52 | | | | | | (7.56) | | | | | | 1.18 | | | | 1.18 | | | 1.18 | | | 1.57 | | | | | 203,957 | | | | | | 21 | | |
| 12-31-14 | | | | | 16.08 | | | | | | 0.36• | | | | | | (0.79) | | | | | | (0.43) | | | | | | 0.19 | | | | | | — | | | | | | — | | | | | | 0.19 | | | | | | — | | | | | | 15.46 | | | | | | (2.77) | | | | | | 1.14 | | | | 1.14 | | | 1.14 | | | 2.25 | | | | | 257,772 | | | | | | 18 | | |
| 12-31-13 | | | | | 12.51 | | | | | | 0.18• | | | | | | 3.62 | | | | | | 3.80 | | | | | | 0.23 | | | | | | — | | | | | | — | | | | | | 0.23 | | | | | | — | | | | | | 16.08 | | | | | | 30.62 | | | | | | 1.14 | | | | 1.14 | | | 1.14 | | | 1.25 | | | | | 307,054 | | | | | | 12 | | |
| Class S2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.80 | | | | | | 0.15• | | | | | | 1.61 | | | | | | 1.76 | | | | | | 0.16 | | | | | | 0.07 | | | | | | — | | | | | | 0.23 | | | | | | — | | | | | | 11.33 | | | | | | 18.05 | | | | | | 1.37 | | | | 1.23 | | | 1.23 | | | 1.39 | | | | | 3,007 | | | | | | 26 | | |
| 12-31-16 | | | | | 13.42 | | | | | | 0.18 | | | | | | 0.85 | | | | | | 1.03 | | | | | | 0.48 | | | | | | 4.17 | | | | | | — | | | | | | 4.65 | | | | | | — | | | | | | 9.80 | | | | | | 10.69 | | | | | | 1.40 | | | | 1.35 | | | 1.35 | | | 1.45 | | | | | 2,980 | | | | | | 23 | | |
| 12-31-15 | | | | | 15.34 | | | | | | 0.21• | | | | | | (1.30) | | | | | | (1.09) | | | | | | 0.38 | | | | | | 0.45 | | | | | | — | | | | | | 0.83 | | | | | | — | | | | | | 13.42 | | | | | | (7.69) | | | | | | 1.43 | | | | 1.33 | | | 1.33 | | | 1.42 | | | | | 3,401 | | | | | | 21 | | |
| 12-31-14 | | | | | 15.97 | | | | | | 0.34• | | | | | | (0.80) | | | | | | (0.46) | | | | | | 0.17 | | | | | | — | | | | | | — | | | | | | 0.17 | | | | | | — | | | | | | 15.34 | | | | | | (2.98) | | | | | | 1.39 | | | | 1.29 | | | 1.29 | | | 2.12 | | | | | 4,879 | | | | | | 18 | | |
| 12-31-13 | | | | | 12.43 | | | | | | 0.16• | | | | | | 3.59 | | | | | | 3.75 | | | | | | 0.21 | | | | | | — | | | | | | — | | | | | | 0.21 | | | | | | — | | | | | | 15.97 | | | | | | 30.46 | | | | | | 1.39 | | | | 1.29 | | | 1.29 | | | 1.10 | | | | | 5,901 | | | | | | 12 | | |
(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 year or period.
*
Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%.
See Accompanying Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017
NOTE 1 — ORGANIZATION
Voya Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act” or the “Act”), as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust consists of twenty-four active separate investment series. The ten series (each a “Portfolio” and collectively the “Portfolios”) included in this report are: Voya High Yield Portfolio (“High Yield”), Voya Large Cap Growth Portfolio (“Large Cap Growth”), Voya Large Cap Value Portfolio (“Large Cap Value”), Voya Limited Maturity Bond Portfolio (“Limited Maturity Bond”), Voya Multi-Manager Large Cap Core Portfolio (“Multi-Manager Large Cap Core”), Voya U.S. Stock Index Portfolio (“U.S. Stock Index”), VY® Clarion Real Estate Portfolio (“Clarion Real Estate”), VY® Franklin Income Portfolio (“Franklin Income”), VY® JPMorgan Small Cap Core Equity Portfolio (“JPMorgan Small Cap Core Equity”), and VY® Templeton Global Growth Portfolio (“Templeton Global Growth”), each a diversified series of the Trust. The investment objective of the Portfolios is described in the respective Portfolio’s Prospectus.
The classes of shares included in this report are: Adviser (“Class ADV”), Institutional (“Class I”), Class P2, Class R6, Service (“Class S”) and Service 2 (“Class S2”); however, each Portfolio may not offer all share classes. With the exception of class specific matters, each class has equal voting rights as to voting privileges. For class specific proposals, only the applicable class would have 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 are allocated 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. Prior to
May 1, 2017, Directed Services LLC, a Delaware limited liability company, served as the investment adviser to the Portfolios. There were no changes to the services provided or the fees charged to the Portfolios upon the replacement of Directed Services LLC with Voya Investments. Voya Investment Management Co. LLC (“Voya IM”), a Delaware limited liability company, serves as the sub-adviser to High Yield, Large Cap Growth, Large Cap Value, Limited Maturity Bond, and U.S. Stock Index. Voya Investments Distributor, LLC (“VID” or the “Distributor”), a Delaware limited liability company, serves as the principal underwriter to the Portfolios.
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 investmentaa companies.
A. Security Valuation. Each Portfolio is open for business every day the New York Stock Exchange (“NYSE”) opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per share for each class of each Portfolio is determined each Business Day as of the close of the regular trading session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The data reflected on the consolidated tape provided by the CTA is generated by various market centers, including all securities exchanges, electronic communications networks, and third-market broker-dealers. 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. On days when a Portfolio is closed for business, Portfolio shares will not be priced and a Portfolio does not transact purchase and redemption orders. To the extent a Portfolio’s assets are traded in other markets on days when a Portfolio does not price its shares, the value of a Portfolio’s assets will likely change and you will not be able to purchase or redeem shares of a Portfolio.
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 regular trading session on the exchange where the security is principally traded or, if such price is not available, at the last sale price as of the
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Market Close for such security provided by the CTA. Bank loans are valued at the average of the averages of 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 NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
When a market quotation is not readily available or is deemed unreliable, each Portfolio will determine a fair value for the relevant asset in accordance with procedures adopted by the Portfolios’ Board of Trustees (“Board”). Such procedures provide, for example, that: (a) Exchange-traded securities are valued at the mean of the closing bid and ask; (b) 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; (c) Securities traded in the over-the-counter (“OTC”) market are valued based on prices provided by independent pricing services or market makers; (d) Options not listed on an exchange are valued by an independent source using an industry accepted model, such as Black-Scholes; (e) Centrally cleared swap agreements are valued using a price provided by the central counterparty clearinghouse; (f) OTC swap agreements are valued using a price provided by an independent pricing service; (g) Forward foreign currency exchange 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 exchange contracts are valued at an interpolated rate between the closest preceding and subsequent period reported by the independent pricing service; and (h) 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 each 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 forward foreign currency exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of Market Close. 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 Market Close, 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 Market Close. 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 Market Close. 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 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 each Portfolio’s NAV may materially differ from the value received upon actual sale of
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
those investments. Thus, fair valuation may have an unintended dilutive or accretive effect on the value of shareholders’ investments in each Portfolio.
Each investment asset or liability of the Portfolios is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the sub-advisers’ or Pricing Committee’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Portfolios’ investments under these levels of classification is included following the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between levels of the Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when a Portfolio has a significant amount of Level 3 investments.
B. Securities 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. Clarion Real Estate estimates components of distributions from real estate investment trusts (“REITs”). Distributions received in excess of income are recorded as a reduction of cost of the related investments. If Clarion Real Estate no longer owns the applicable securities, any distributions received in excess of income are recorded as realized gains.
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 Market Close.
(2)
Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the market values are presented at the foreign exchange rates at Market Close, the Portfolios do not isolate the portion of 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 the Portfolios’ books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. The foregoing risks are even greater with respect to securities of issuers in emerging markets.
D. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Dividends from net investment income, if any, are declared daily and paid monthly and net capital gains distributions, if any, are declared and paid annually by High Yield and Limited Maturity Bond. For all other Portfolios, dividends from net investment income and net capital gain distributions, if any, are declared and paid annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from GAAP for investment companies.
E. 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 its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expired.
The Portfolios may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Risk Exposures and the Use of Derivative Instruments. The Portfolios’ investment strategies permit the Portfolios to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to risk factors. This may allow a Portfolio to pursue its objectives more quickly, and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market or credit factors.
In pursuit of its investment objectives, a Portfolio may seek to increase or decrease its exposure to the following market or credit risk factors:
Credit Risk. The price of a bond or other debt instrument is likely to fall if the issuer’s actual or perceived financial health deteriorates, whether because of broad economic or issuer-specific reasons. In certain cases, the issuer
could be late in paying interest or principal, or could fail to pay its financial obligations altogether.
Equity Risk. Stock prices may be volatile or have reduced liquidity in response to real or perceived impacts of factors including, but not limited to, economic conditions, changes in market interest rates, and political events. Stock markets tend to be cyclical, with periods when stock prices generally rise and periods when stock prices generally decline. Any given stock market segment may remain out of favor with investors for a short or long period of time, and stocks as an asset class may underperform bonds or other asset classes during some periods. Additionally, legislative, regulatory or tax policies or developments in these areas may adversely impact the investment techniques available to a manager, add to costs and impair the ability of a Portfolio to achieve its investment objectives.
Foreign Exchange Rate Risk. To the extent that a Portfolio invests directly in foreign (non-U.S.) currencies or in securities denominated in, or that trade in, foreign (non-U.S.) currencies, it is subject to the risk that those foreign (non-U.S.) currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged by a Portfolio through foreign currency exchange transactions.
Currency rates may fluctuate significantly over short periods of time. Currency rates may be affected by changes in market interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, by the imposition of currency controls, or other political or economic developments in the United States or abroad.
Interest Rate Risk. With bonds and other fixed rate debt instruments, a rise in market interest rates generally causes values to fall; conversely, values generally rise as market interest rates fall. The higher the credit quality of the instrument, and the longer its maturity or duration, the more sensitive it is likely to be to interest rate risk. In the case of inverse securities, the interest rate paid by the securities is a floating rate, which generally will decrease when the market rate of interest to which the inverse security is indexed increases and will increase when the market rate of interest to which the inverse security is indexed decreases. As of the date of this report, market interest rates in the United States are at or near historic lows, which may increase a Portfolio’s exposure to risks associated with rising market interest rates. Rising market interest rates could have unpredictable effects on the markets and may expose fixed-income and related markets
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
to heightened volatility. For a fund that invests in fixed-income securities, an increase in market interest rates may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain investments, adversely affect values, and increase costs. If dealer capacity in fixed-income markets is insufficient for market conditions, it may further inhibit liquidity and increase volatility in the fixed-income markets. Further, recent and potential changes in government policy may affect interest rates.
Risks of Investing in Derivatives. A Portfolio’s use of derivatives can result in losses due to unanticipated changes in the market or credit risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market or credit risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Derivative instruments are subject to a number of risks, including the risk of changes in the market price of the underlying securities, credit risk with respect to the counterparty, risk of loss due to changes in market interest rates and liquidity and volatility risk. The amounts required to purchase certain derivatives may be small relative to the magnitude of exposure assumed by a Portfolio. Therefore, the purchase of certain derivatives may have an economic leveraging effect on a Portfolio and exaggerate any increase or decrease in the NAV. Derivatives may not perform as expected, so a Portfolio may not realize the intended benefits. When used for hedging purposes, the change in value of a derivative may not correlate as expected with the currency, security or other risk being hedged. When used as an alternative or substitute for direct cash investments, the return provided by the derivative may not provide the same return as direct cash investment. In addition, given their complexity, derivatives expose a Portfolio to the risk of improper valuation.
Generally, derivatives are sophisticated financial instruments whose performance is derived, at least in part, from the performance of an underlying asset or assets. Derivatives include, among other things, swap agreements, options, forwards and futures. Investments in derivatives are generally negotiated OTC with a single counterparty and as a result are subject to credit risks related to the counterparty’s ability or willingness to perform its obligations; any deterioration in the counterparty’s creditworthiness could adversely affect the value of the derivative. In addition, derivatives and their underlying securities may experience periods of illiquidity which could cause a Portfolio to hold a security it might
otherwise sell, or to sell a security it otherwise might hold at inopportune times or at an unanticipated price. A manager might imperfectly judge the direction of the market. For instance, if a derivative is used as a hedge to offset investment risk in another security, the hedge might not correlate to the market’s movements and may have unexpected or undesired results such as a loss or a reduction in gains.
The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union is (and other countries outside of the European Union are) implementing similar requirements, which will affect a Portfolio when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear. Central clearing is expected to reduce counterparty risk and increase liquidity, however, there is no assurance that it will achieve that result, and in the meantime, central clearing and related requirements expose a Portfolio to new kinds of costs and risks.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that it believes to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio’s International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”). These Master Agreements are with select counterparties and they govern transactions, including certain 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
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
Certain Portfolios have entered into derivative contracts that contain 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 its derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio’s net assets and/or a percentage decrease in a Portfolio’s NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio’s Master Agreements. At December 31, 2017, there were no open OTC derivative instruments in any Portfolio.
H. Forward Foreign Currency Contracts. Certain Portfolios may enter into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risks on their non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and a Portfolio’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented following the respective Portfolio of Investments.
During the year ended December 31, 2017, Templeton Global Growth had an average contract amount on forward foreign currency contracts purchased and sold of $68,665 and $519,810, respectively. The Portfolio used forward foreign currency contracts primarily to protect its non-U.S. dollar-denominated holdings from adverse currency
movements. At December 31, 2017, there were no open forward currency contracts in any Portfolio.
I. Futures Contracts. Each Portfolio may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. Each Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Portfolio’s assets are valued.
Upon entering into a futures contract, each Portfolio is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the 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 Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Portfolio of Investments. Cash collateral held by the broker to cover initial margin requirements on open futures contracts are noted in each Portfolio’s Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in each Portfolio’s Statement of Operations. Realized gains (losses) are reported in each Portfolio’s Statement 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 year ended December 31, 2017, Large Cap Value, U.S. Stock Index and JPMorgan Small Cap Core Equity have purchased futures contracts on various equity indexes to “equitize” cash. Futures contracts are purchased to provide immediate market exposure proportionate to the size of the Portfolio’s respective cash flows and residual cash balances in order to decrease potential tracking error if the cash remained uninvested in the market. In addition, Limited Maturity Bond has purchased and sold futures contracts on treasury futures to manage the duration and yield curve of the Portfolio. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where each 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 each Portfolio’s securities. With futures, there is
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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 counterparty default.
During the year ended December 31, 2017, the following Portfolios had average notional values on futures contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open futures contracts at December 31, 2017. There were no open futures contracts for Large Cap Value at December 31, 2017.
| | | | Purchased | | | Sold | |
| Large Cap Value | | | | $ | 3,801,540 | | | | | $ | — | | |
| Limited Maturity Bond | | | | | 50,136,500 | | | | | | 24,323,458 | | |
| U.S. Stock Index | | | | | 42,287,843 | | | | | | — | | |
| JPMorgan Small Cap Core Equity | | | | | 5,734,252 | | | | | | — | | |
J. Options Contracts. Certain Portfolios may purchase put and call options and may write (sell) put options and covered call options on futures, swaps (“swaptions”), securities, commodities or foreign currencies it owns or in which it may invest. The Portfolios may engage in option transactions as a hedge against adverse movements in the value of portfolio holdings or to increase market exposure. Option contracts are valued daily and unrealized gains or losses are recorded based upon the last sales price on the principal exchange on which the options are traded. An amount equal to the premium received by the Portfolios upon the writing of a put or call option is included in the Statements of Assets and Liabilities as a liability which is subsequently marked-to-market until it is exercised or closed, or it expires. The Portfolios will realize a gain or loss upon the expiration or closing of the option contract. When an option is exercised, the proceeds on sales of the underlying security for a written call option, the purchase cost of the security for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Realized and unrealized gains or losses on option contracts are reflected in the accompanying financial statements. The risk in writing a covered call option is that the Portfolios give up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Portfolios may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Portfolios pay a premium whether or not the option is exercised. Risks may also arise from an illiquid secondary market or from the inability of counterparties to meet the terms of the contract.
During the year ended December 31, 2017, there were no option contracts entered into by any Portfolio.
K. Swap Agreements. The Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. Subsequent changes in market value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. The Portfolios may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported following the Portfolios of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on the Statements of Assets and Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statements of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statements of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statements of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statements of Operations.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and a Portfolio’s counterparty on the swap agreement becomes the CCP. A Portfolio is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
particular swap. Securities deposited as initial margin are footnoted as pledged on the Portfolios of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) on the Statements of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on the Statements of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer’s credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
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 following the Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. 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
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (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.
During the year ended December 31, 2017, the Portfolios did not enter into any credit default swaps to buy or sell protection.
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.
During the year ended December 31, 2017, Limited Maturity 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 for Limited Maturity Bond were $7,584,000.
Limited Maturity Bond enters into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. There were no open interest rate swaps for any Portfolio at December 31, 2017.
L. Equity-Linked Securities. Franklin Income invests in equity-linked securities. Equity-linked securities are hybrid financial instruments that generally combine both debt and equity characteristics into a single note form. Income earned from equity-linked securities is recorded as Interest income in the Statement of Operations and may be based on the performance of an underlying equity security, an equity index, or an option position. The Portfolio records the net change in the fair value of the equity-linked security on the accompanying Statement of Operations as a change in unrealized appreciation or depreciation on investments. The Portfolio records a realized gain or loss on the Statements of Operations upon the sale or maturity of the equity-linked security. The risks of investing in equity-linked securities include unfavorable price movements in the underlying security and the credit risk of the issuing financial institution. There may be no guarantee of a return of principal with equity linked securities and the appreciation potential may be limited. Equity-linked securities may be more volatile and less liquid than other investments held by the Portfolio. Please refer to the Portfolio of Investments for open equity-linked securities at December 31, 2017.
M. 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 agreement, plus accrued interest, being invested by a 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. If the seller defaults, a Portfolio might incur a loss or delay in the realization of proceeds if the value of the security collateralizing the repurchase agreement declines, and may 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. There were no open repurchase agreements for any Portfolio at December 31, 2017.
N. Securities Lending. Each Portfolio may loan up to 33 1∕3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender’s fee. Securities lending involves two primary risks: “investment risk” and “borrower default risk.” When lending securities, the Portfolios will receive cash or U.S. government securities as collateral. Investment risk is the risk that the Portfolios will lose money from the investment of the cash collateral received from the borrower. Borrower default risk is the risk that the Portfolios will lose money due to the failure of a borrower to return a borrowed security. Loans are subject to termination at the option of the borrower or the Portfolios. Securities lending may result in leverage. The use of leverage may exaggerate any increase or decrease in the NAV, causing the Portfolios to be more volatile. The use of leverage may increase expenses and increase the impact of the Portfolios’ other risks.
O. Restricted Securities. The Portfolios may invest in restricted securities, which include those sold under
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Rule 144A of the Securities Act of 1933, as amended (“1933 Act”) or securities offered pursuant to Section 4(a)(2) of the 1933 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.
Securities that are not registered for sale to the public under the Securities Act are referred to as “restricted securities.” These securities may be sold in private placement transactions between issuers and their purchasers and may be neither listed on an exchange nor traded in other established markets. Many times these securities are subject to legal or contractual restrictions on resale. As a result of the absence of a public trading market, the prices of these securities may be more volatile, less liquid and more difficult to value than publicly traded securities. The price realized from the sale of these securities could be less than the amount originally paid or less than their fair value if they are resold in privately negotiated transactions. In addition, these securities may not be subject to disclosure and other investment protection requirements that are afforded to publicly traded securities. Certain investments may include investment in smaller, less seasoned issuers, which may involve greater risk.
P. 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 securities is identified in each Portfolio’s 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 identify liquid assets sufficient to cover the purchase price.
Q. Indemnifications. In the normal course of business, the Trust may enter into contracts that provide certain indemnifications. The Trust’s 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 year ended December 31, 2017, the cost of purchases and the proceeds from the sales of securities, excluding U.S. government and short-term securities, were as follows:
| | | | Purchases | | | Sales | |
| High Yield | | | | $ | 221,968,222 | | | | | $ | 299,543,912 | | |
| Large Cap Growth | | | | | 3,992,155,419 | | | | | | 5,098,477,188 | | |
| Large Cap Value | | | | | 1,099,748,038 | | | | | | 1,509,147,244 | | |
| Limited Maturity Bond | | | | | 146,042,061 | | | | | | 130,895,364 | | |
| Multi-Manager Large Cap Core | | | | | 95,282,483 | | | | | | 189,785,269 | | |
| U.S. Stock Index | | | | | 306,314,017 | | | | | | 633,252,066 | | |
| Clarion Real Estate | | | | | 438,112,929 | | | | | | 559,369,085 | | |
| Franklin Income | | | | | 101,014,282 | | | | | | 155,537,459 | | |
| JPMorgan Small Cap Core Equity | | | | | 265,276,002 | ��� | | | | | 388,307,156 | | |
| Templeton Global Growth | | | | | 49,075,522 | | | | | | 82,827,234 | | |
U.S. government securities not included above were as follows:
| | | | Purchases | | | Sales | |
| Limited Maturity Bond | | | | $ | 699,356,422 | | | | | $ | 769,467,641 | | |
NOTE 4 — INVESTMENT MANAGEMENT FEES
Large Cap Growth, Large Cap Value, Clarion Real Estate and Franklin Income have entered into an investment management agreement (“Management Agreement”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolios. The Investment Adviser oversees all investment management and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. This Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
| Portfolio | | | Fee | |
| Large Cap Growth | | | 0.65% on the first $5.5 billion;
0.62% on the next $1.5 billion;
0.60% on the next $3 billion; and
0.59% on the amount in excess of $10 billion | |
| Large Cap Value | | | 0.75% on the first $500 million;
0.70% on the next $1.5 billion; and
0.65% on the amount in excess of $2 billion | |
| Clarion Real Estate | | | 0.85% on the first $200 million;
0.80% on the next $550 million; and
0.75% on the amount in excess of $750 million | |
| Franklin Income | | | 0.75% on the first $500 million; and
0.70% on the amount in excess of $500 million | |
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 4 — INVESTMENT MANAGEMENT FEES (continued)
With the exception of the Portfolios in the table above, the Investment Adviser provides the below Portfolios with advisory and administrative services under a management agreement (the “Unified Agreement”). Under the Unified Agreement, the Investment Adviser has overall responsibility for engaging sub-advisers and for monitoring and evaluating the management of the assets of each Portfolio. Sub-advisers have full investment discretion and make all determinations with respect to the investment of a Portfolio’s assets and the purchase and sale of portfolio securities and other investments. Effective May 1, 2017, Voya Investments, the Investment Adviser to Multi-Manager Large Cap Core, may, from time to time, directly manage a portion of the Portfolio’s investment portfolio. Pursuant to the Unified Agreement, the Investment Adviser also is responsible for providing or procuring, at the Investment Adviser’s expense, the services reasonably necessary for the ordinary operation of a Portfolio, including, among other things, custodial, administrative, transfer agency, portfolio accounting, auditing and ordinary legal expenses. As compensation for its services under the Unified Agreement, the Trust pays the Investment Adviser a monthly fee (a “Unified Fee”) based on the following annual rates of the average daily net assets of each Portfolio:
| Portfolio | | | Fee | |
| High Yield | | | 0.490% on the first $1 billion;
0.480% on the next $1 billion;
0.470% on the amount in excess of $2 billion | |
Limited Maturity Bond(1) | | | 0.350% on the first $200 million;
0.300% on the next $300 million;
0.250% on the amount in excess of $500 million | |
| Multi-Manager Large Cap Core | | | 0.725% on the first $500 million;
0.675% on the next $500 million;
0.625% on the amount in excess of $1 billion | |
| U.S. Stock Index | | | 0.260% | |
| JPMorgan Small Cap Core Equity | | | 0.900% on the first $200 million;
0.850% on the next $300 million;
0.800% on the next $250 million;
0.750% on the amount in excess of $750 million | |
| Templeton Global Growth | | | 0.960% on the first $250 million;
0.860% on the next $250 million;
0.760% on the amount in excess of $500 million | |
(1)
The assets of Limited Maturity Bond are aggregated with those of Voya Government Liquid Assets Portfolio, which is not included in this report, to determine the Unified Fee applicable to the Portfolio.
The Investment Adviser has contractually agreed to waive a portion of the management fee for High Yield, Large Cap Value, Multi-Manager Large Cap Core, Clarion Real Estate, Franklin Income and Templeton Global Growth in
connection with sub-advisory fee reductions for these Portfolios. The waiver is calculated as follows: Waiver = 50% x (former sub-advisory fee rate minus new sub-advisory fee rate) x average daily net assets as of the calculation date. For the period ended April 30, 2017, Directed Services LLC waived $31,956, $59,967, $8,549, $76,239, $31,315 and $12,224 for High Yield, Large Cap Value, Multi-Manager Large Cap Core, Clarion Real Estate, Franklin Income and Templeton Global Growth, respectively. From May 1, 2017 to December 31, 2017, Voya Investments waived $61,266, $100,162, $14,697, $141,151, $59,581 and $24,137 for High Yield, Large Cap Value, Multi-Manager Large Cap Core, Clarion Real Estate, Franklin Income and Templeton Global Growth, respectively. Termination or modification of these obligations requires approval by the Board.
At the July 13, 2017 Board meeting, the Board ratified and approved a sub-advisory fee waiver agreement for JPMorgan Small Cap Core Equity effective June 1, 2017. In connection with this sub-advisory fee waiver, the Board ratified and approved a management fee waiver whereby the management fee for JPMorgan Small Cap Core Equity is reduced by the same amount as the reduction in sub-advisory fees also effective June 1, 2017. For the year ended December 31, 2017, Voya Investments waived $2,011 in management fees for the Portfolio. Termination or modification of these obligations requires approval by the Board.
The Investment Adviser has entered into a sub-advisory agreement with each respective sub-adviser. These sub-advisers provide investment advice for certain Portfolios and are paid by the Investment Adviser based on the average daily net assets of the respective Portfolios. Subject to such policies as the Board or the Investment Adviser may determine, the sub-advisers manage each respective Portfolio’s assets in accordance with the Portfolio’s investment objectives, policies, and limitations. The sub-advisers of the Portfolios are as follows (*denotes an affiliated sub-adviser):
| Portfolio | | | Sub-Adviser | |
| High Yield | | | Voya Investment Management Co. LLC* | |
| Large Cap Growth | | | Voya Investment Management Co. LLC* | |
| Large Cap Value | | | Voya Investment Management Co. LLC* | |
| Limited Maturity Bond | | | Voya Investment Management Co. LLC* | |
| Multi-Manager Large Cap Core | | | Columbia Management Investment Advisers, LLC and The London Company of Virginia, LLC | |
| U.S. Stock Index | | | Voya Investment Management Co. LLC* | |
| Clarion Real Estate | | | CBRE Clarion Securities LLC | |
| Franklin Income | | | Franklin Advisers, Inc. | |
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 4 — INVESTMENT MANAGEMENT FEES (continued)
| Portfolio | | | Sub-Adviser | |
| JPMorgan Small Cap Core Equity | | | J.P. Morgan Investment Management Inc. | |
| Templeton Global Growth | | | Templeton Global Advisors Limited | |
NOTE 5 — DISTRIBUTION AND SERVICE FEES
The Trust has entered into a shareholder service plan (the “Plan”) for each Portfolio that offers Class S and Class S2 shares. The Plan compensates the Distributor for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S and Class S2 shares. Under the Plan, each respective Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S and Class S2, respectively. Each respective Portfolio that offers Class S2 shares has entered into a distribution plan (the “Class S2 Plan”) with the Distributor on behalf of the Class S2 shares of the Portfolio. The Class S2 Plan provides that the Class S2 shares shall pay a distribution fee, for distribution services including payments to the Distributor at an annual rate of 0.15% of the average daily net assets. The Distributor has contractually agreed to waive 0.01% of the shareholder service fee for Class S shares of U.S. Stock Index. Termination or modification of this obligation requires approval by the Board.
Class ADV shares of the respective Portfolios have a shareholder service and distribution plan. The respective Portfolios pay the Distributor a service fee of 0.25% and a distribution fee of 0.35% of each Portfolio’s average daily net assets attributable to Class ADV shares, except for U.S. Stock Index, which pays a distribution fee of 0.28%.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At December 31, 2017, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. or affiliated investment companies owned more than 5% of the following Portfolios:
Subsidiary/Affiliated
Investment Company | | | Portfolio | | | Percentage | |
| ReliaStar Life Insurance Company | | | Limited Maturity Bond | | | | | 7.02% | | |
| | | | JPMorgan Small Cap
Core Equity | | | | | 8.13 | | |
Security Life of Denver Insurance
Company | | | Limited Maturity Bond | | | | | 8.80 | | |
| Voya Index Solution 2035 Portfolio | | | U.S. Stock Index | | | | | 5.92 | | |
| Voya Institutional Trust Company | | | High Yield | | | | | 14.77 | | |
| | | | Large Cap Growth | | | | | 15.25 | | |
| | | | Large Cap Value | | | | | 5.04 | | |
Subsidiary/Affiliated
Investment Company | | | Portfolio | | | Percentage | |
| | | | Limited Maturity Bond | | | | | 6.96 | | |
| | | | U.S. Stock Index | | | | | 5.39 | | |
| | | | Clarion Real Estate | | | | | 22.31 | | |
| | | | Franklin Income | | | | | 17.92 | | |
| | | | JPMorgan Small Cap
Core Equity | | | | | 23.13 | | |
| Voya Insurance and Annuity Company | | | High Yield | | | | | 54.11 | | |
| | | | Large Cap Growth | | | | | 48.29 | | |
| | | | Large Cap Value | | | | | 59.31 | | |
| | | | Limited Maturity Bond | | | | | 9.27 | | |
| | | | Multi-Manager Large
Cap Core | | | | | 15.45 | | |
| | | | Clarion Real Estate | | | | | 31.46 | | |
| | | | Franklin Income | | | | | 75.68 | | |
| | | | JPMorgan Small Cap
Core Equity | | | | | 34.19 | | |
| | | | Templeton Global
Growth | | | | | 93.67 | | |
| Voya Retirement Growth Portfolio | | | U.S. Stock Index | | | | | 19.60 | | |
Voya Retirement Insurance and
Annuity Company | | | High Yield | | | | | 27.30 | | |
| | | | Large Cap Growth | | | | | 25.93 | | |
| | | | Large Cap Value | | | | | 28.62 | | |
| | | | Multi-Manager Large
Cap Core | | | | | 6.58 | | |
| | | | U.S. Stock Index | | | | | 16.81 | | |
| | | | Clarion Real Estate | | | | | 34.43 | | |
| | | | JPMorgan Small Cap
Core Equity | | | | | 28.71 | | |
Voya Retirement Moderate Growth
Portfolio | | | U.S. Stock Index | | | | | 12.39 | | |
| Voya Retirement Moderate Portfolio | | | U.S. Stock Index | | | | | 5.26 | | |
| Voya Solution 2025 Portfolio | | | Multi-Manager Large
Cap Core | | | | | 11.05 | | |
| Voya Solution 2035 Portfolio | | | Multi-Manager Large
Cap Core | | | | | 21.75 | | |
| Voya Solution 2045 Portfolio | | | Multi-Manager Large
Cap Core | | | | | 20.72 | | |
| Voya Solution 2055 Portfolio | | | Multi-Manager Large
Cap Core | | | | | 6.61 | | |
Voya Solution Moderately Aggressive
Portfolio | | | Multi-Manager Large
Cap Core | | | | | 10.70 | | |
Under the 1940 Act, the direct or indirect beneficial owner of more than 25% of the voting securities of a company (including a fund) is presumed to control such company. Companies under common control (e.g., companies with a common owner of greater than 25% of their respective voting securities) are affiliates under the 1940 Act.
The Investment Adviser may direct the Portfolios’ sub-advisers to use their 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.
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (continued)
The Portfolios have adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the trustee under the DC Plan, the amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). The Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statements of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of 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 DC Plan.
The Portfolio(s) may engage in purchase and sale transactions with funds that have a common investment adviser (or affiliated investment advisers) and/or have a common sub-adviser. These interfund transactions are made pursuant to Rule 17a-7 of the 1940 Act. For the year ended December 31, 2017, Large Cap Growth engaged in such sales transactions totaling $114,522,252.
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has entered into written expense limitation agreements (“Expense Limitation Agreements”) 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:
| Portfolio | | | Class ADV | | | Class I | | | Class P2 | | | Class R6 | | | Class S | | | Class S2 | |
| Large Cap Growth(1) | | | | | 1.27% | | | | | | 0.67% | | | | | | N/A | | | | | | 0.67% | | | | | | 0.92% | | | | | | 1.07% | | |
| Large Cap Value(2) | | | | | 1.29% | | | | | | 0.69% | | | | | | N/A | | | | | | 0.69% | | | | | | 0.94% | | | | | | 1.09% | | |
| U.S. Stock Index(3) | | | | | N/A | | | | | | N/A | | | | | | 0.15% | | | | | | N/A | | | | | | N/A | | | | | | N/A | | |
| Clarion Real Estate | | | | | 1.35% | | | | | | 0.75% | | | | | | N/A | | | | | | N/A | | | | | | 1.00% | | | | | | 1.15% | | |
| Franklin Income(4) | | | | | 1.28% | | | | | | 0.68% | | | | | | N/A | | | | | | N/A | | | | | | 0.93% | | | | | | 1.08% | | |
Templeton Global Growth(5) | | | | | 1.45% | | | | | | 0.85% | | | | | | N/A | | | | | | N/A | | | | | | 1.10% | | | | | | 1.25% | | |
(1)
Any fees waived pursuant to the Expense Limitation Agreement shall not be eligible for recoupment.
(2)
Pursuant to a side letter agreement, through May 1, 2018, the Investment Adviser has further lowered the expense limits for Large Cap Value to 1.25%, 0.65%, 0.65%, 0.90%, and 1.05% for Class ADV, Class I, Class R6, Class S, and Class S2, 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.
(3)
Expense limit was implemented on May 1, 2017.
(4)
Prior to January 1, 2017, the expense limits for Franklin Income were 1.39%, 0.79%, 1.04% and 1.19% for Classes ADV, I, S and S2, respectively.
(5)
Expense limit was implemented on January 1, 2017.
Unless otherwise specified above, the Investment Adviser may, at a later date, recoup from a Portfolio for fees waived and/or other expenses reimbursed by each Investment Adviser during the previous 36 months, but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
As of December 31, 2017 the amounts of waived and/or reimbursed fees that are subject to possible recoupment by the Investment Adviser, and the related expiration dates are as follows:
| | | | December 31, | | | | | | | |
| | | | 2018 | | | 2019 | | | 2020 | | | Total | |
| Clarion Real Estate | | | | $ | 639,262 | | | | | $ | 606,237 | | | | | $ | 549,763 | | | | | $ | 1,795,262 | | |
| Franklin Income | | | | | — | | | | | | — | | | | | | 496,880 | | | | | | 496,880 | | |
| Templeton Global Growth | | | | | — | | | | | | — | | | | | | 227,636 | | | | | | 227,636 | | |
| US Stock Index Portfolio | | | | | — | | | | | | — | | | | | | 837,720 | | | | | | 837,720 | | |
The Expense Limitation Agreements are contractual through May 1, 2018 and shall renew automatically for one-year terms. Termination or modification of this obligation requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective May 19, 2017, each Portfolio, in addition to certain other funds managed by the Investment Adviser, has entered into a 364-day unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000 through May 18, 2018. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of a Portfolio or certain other funds managed by the Investment Adviser. The funds to which the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 8 — LINE OF CREDIT (continued)
The below Portfolios utilized the line of credit during the year ended December 31, 2017 as follows:
| Portfolio | | | Days
Utilized | | | Approximate
Average Daily
Balance
For Days
Utilized | | | Approximate
Weighted
Average
Interest Rate
For Days
Utilized | |
| Large Cap Growth | | | | | 6 | | | | | $ | 22,022,163 | | | | | | 1.88% | | |
| Large Cap Value | ��� | | | | 2 | | | | | | 4,553,000 | | | | | | 2.16 | | |
| Portfolio | | | Days
Utilized | | | Approximate
Average Daily
Balance
For Days
Utilized | | | Approximate
Weighted
Average
Interest Rate
For Days
Utilized | |
| Limited Maturity Bond | | | | | 4 | | | | | | 894,750 | | | | | | 2.16 | | |
| Multi-Manager Large Cap Core | | | | | 11 | | | | | | 831,545 | | | | | | 1.76 | | |
| U.S. Stock Index | | | | | 16 | | | | | | 14,910,063 | | | | | | 1.90 | | |
| Clarion Real Estate | | | | | 1 | | | | | | 526,000 | | | | | | 2.16 | | |
| Franklin Income | | | | | 1 | | | | | | 737,000 | | | | | | 2.42 | | |
| Templeton Global Growth | | | | | 2 | | | | | | 3,574,500 | | | | | | 2.16 | | |
NOTE 9 — 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 | | | # | | | # | | | # | | | # | | | # | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | |
| High Yield | |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 682,403 | | | | | | — | | | | | | 626,401 | | | | | | (1,524,161) | | | | | | (215,357) | | | | | | 6,857,171 | | | | | | — | | | | | | 6,301,131 | | | | | | (15,301,907) | | | | | | (2,143,605) | | |
| 12/31/2016 | | | | | 850,870 | | | | | | — | | | | | | 616,991 | | | | | | (1,712,989) | | | | | | (245,128) | | | | | | 8,310,154 | | | | | | — | | | | | | 6,014,357 | | | | | | (16,513,032) | | | | | | (2,188,521) | | |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 1,385,457 | | | | | | — | | | | | | 414,179 | | | | | | (1,301,555) | | | | | | 498,081 | | | | | | 13,955,224 | | | | | | — | | | | | | 4,168,123 | | | | | | (13,077,664) | | | | | | 5,045,683 | | |
| 12/31/2016 | | | | | 1,034,432 | | | | | | — | | | | | | 468,006 | | | | | | (2,545,243) | | | | | | (1,042,805) | | | | | | 10,089,057 | | | | | | — | | | | | | 4,565,788 | | | | | | (25,032,046) | | | | | | (10,377,201) | | |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 1,848,170 | | | | | | — | | | | | | 3,026,790 | | | | | | (12,721,146) | | | | | | (7,846,186) | | | | | | 18,566,307 | | | | | | — | | | | | | 30,447,149 | | | | | | (127,613,131) | | | | | | (78,599,675) | | |
| 12/31/2016 | | | | | 4,552,861 | | | | | | — | | | | | | 3,257,856 | | | | | | (9,976,559) | | | | | | (2,165,842) | | | | | | 44,278,451 | | | | | | — | | | | | | 31,752,793 | | | | | | (96,410,742) | | | | | | (20,379,498) | | |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 127,978 | | | | | | — | | | | | | 39,198 | | | | | | (165,441) | | | | | | 1,735 | | | | | | 1,293,595 | | | | | | — | | | | | | 394,804 | | | | | | (1,662,223) | | | | | | 26,176 | | |
| 12/31/2016 | | | | | 124,961 | | | | | | — | | | | | | 37,095 | | | | | | (152,200) | | | | | | 9,856 | | | | | | 1,216,138 | | | | | | — | | | | | | 362,229 | | | | | | (1,482,786) | | | | | | 95,581 | | |
| Large Cap Growth | |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 762,244 | | | | | | — | | | | | | 8,799,946 | | | | | | (27,880,409) | | | | | | (18,318,219) | | | | | | 13,700,659 | | | | | | — | | | | | | 153,823,057 | | | | | | (502,958,258) | | | | | | (335,434,542) | | |
| 12/31/2016 | | | | | 1,498,650 | | | | | | 357,144 | | | | | | 17,897,282 | | | | | | (21,116,825) | | | | | | (1,363,749) | | | | | | 25,626,749 | | | | | | 5,776,869 | | | | | | 287,609,320 | | | | | | (354,261,318) | | | | | | (35,248,380) | | |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 16,881,990 | | | | | | — | | | | | | 8,232,799 | | | | | | (25,040,982) | | | | | | 73,807 | | | | | | 330,077,515 | | | | | | — | | | | | | 154,200,323 | | | | | | (485,173,231) | | | | | | (895,393) | | |
| 12/31/2016 | | | | | 8,796,583 | | | | | | — | | | | | | 14,249,034 | | | | | | (18,692,963) | | | | | | 4,352,654 | | | | | | 159,284,184 | | | | | | — | | | | | | 244,085,951 | | | | | | (335,744,226) | | | | | | 67,625,909 | | |
| Class R6 | | | | | | | | | | | |
| 12/31/2017 | | | | | 1,384,056 | | | | | | — | | | | | | 72,804 | | | | | | (237,390) | | | | | | 1,219,470 | | | | | | 26,797,806 | | | | | | — | | | | | | 1,364,356 | | | | | | (4,845,284) | | | | | | 23,316,877 | | |
| 12/31/2016 | | | | | 415,072 | | | | | | — | | | | | | 12,268 | | | | | | (25,602) | | | | | | 401,738 | | | | | | 7,273,103 | | | | | | — | | | | | | 210,269 | | | | | | (443,271) | | | | | | 7,040,101 | | |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 2,346,413 | | | | | | — | | | | | | 8,534,578 | | | | | | (29,208,624) | | | | | | (18,327,633) | | | | | | 42,425,220 | | | | | | — | | | | | | 156,438,813 | | | | | | (551,393,152) | | | | | | (352,529,118) | | |
| 12/31/2016 | | | | | 4,155,539 | | | | | | 10,716,789 | | | | | | 15,783,534 | | | | | | (22,145,792) | | | | | | 8,510,070 | | | | | | 76,039,523 | | | | | | 181,135,429 | | | | | | 265,005,537 | | | | | | (387,454,863) | | | | | | 134,725,626 | | |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 270,351 | | | | | | — | | | | | | 283,227 | | | | | | (1,250,276) | | | | | | (696,698) | | | | | | 5,056,783 | | | | | | — | | | | | | 5,157,568 | | | | | | (23,617,121) | | | | | | (13,402,770) | | |
| 12/31/2016 | | | | | 221,141 | | | | | | — | | | | | | 547,862 | | | | | | (972,350) | | | | | | (203,347) | | | | | | 3,840,710 | | | | | | — | | | | | | 9,143,818 | | | | | | (17,218,124) | | | | | | (4,233,596) | | |
| Large Cap Value | |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 230,950 | | | | | | — | | | | | | 88,013 | | | | | | (1,108,527) | | | | | | (789,564) | | | | | | 2,879,615 | | | | | | — | | | | | | 1,141,716 | | | | | | (13,765,419) | | | | | | (9,744,088) | | |
| 12/31/2016 | | | | | 300,212 | | | | | | — | | | | | | 273,613 | | | | | | (1,219,746) | | | | | | (645,921) | | | | | | 3,303,279 | | | | | | — | | | | | | 3,104,760 | | | | | | (13,323,008) | | | | | | (6,914,969) | | |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 2,492,055 | | | | | | — | | | | | | 774,261 | | | | | | (18,824,590) | | | | | | (15,558,274) | | | | | | 31,240,020 | | | | | | — | | | | | | 10,255,856 | | | | | | (237,772,738) | | | | | | (196,276,862) | | |
| 12/31/2016 | | | | | 3,159,559 | | | | | | — | | | | | | 2,590,308 | | | | | | (8,372,666) | | | | | | (2,622,799) | | | | | | 35,122,233 | | | | | | — | | | | | | 30,078,789 | | | | | | (93,952,025) | | | | | | (28,751,003) | | |
| Class R6 | | | | | | | | | | | |
| 12/31/2017 | | | | | 63,248 | | | | | | — | | | | | | 2,393 | | | | | | (48,544) | | | | | | 17,097 | | | | | | 780,153 | | | | | | — | | | | | | 31,694 | | | | | | (641,820) | | | | | | 170,027 | | |
| 12/31/2016 | | | | | 45,476 | | | | | | — | | | | | | 885 | | | | | | (778) | | | | | | 45,583 | | | | | | 524,482 | | | | | | — | | | | | | 10,630 | | | | | | (9,521) | | | | | | 525,591 | | |
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 9 — 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 | | | # | | | # | | | # | | | # | | | # | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) |
| Large Cap Value (continued) |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 451,452 | | | | | | — | | | | | | 1,354,870 | | | | | | (19,740,352) | | | | | | (17,934,030) | | | | | | 5,663,011 | | | | | | — | | | | | | 17,711,662 | | | | | | (248,278,638) | | | | | | (224,903,965) |
| 12/31/2016 | | | | | 646,818 | | | | | | — | | | | | | 4,286,533 | | | | | | (16,953,353) | | | | | | (12,020,002) | | | | | | 7,185,616 | | | | | | — | | | | | | 49,061,342 | | | | | | (188,683,627) | | | | | | (132,436,669) |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 11,670 | | | | | | — | | | | | | 298 | | | | | | (39,893) | | | | | | (27,925) | | | | | | 151,819 | | | | | | — | | | | | | 3,922 | | | | | | (496,518) | | | | | | (340,777) |
| 12/31/2016 | | | | | 5,767 | | | | | | — | | | | | | 2,499 | | | | | | (17,175) | | | | | | (8,909) | | | | | | 64,727 | | | | | | — | | | | | | 28,531 | | | | | | (189,755) | | | | | | (96,497) |
| Limited Maturity Bond |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 127,085 | | | | | | — | | | | | | 29,370 | | | | | | (471,129) | | | | | | (314,674) | | | | | | 1,240,401 | | | | | | — | | | | | | 286,636 | | | | | | (4,599,109) | | | | | | (3,072,072) |
| 12/31/2016 | | | | | 150,928 | | | | | | — | | | | | | 39,278 | | | | | | (713,809) | | | | | | (523,603) | | | | | | 1,485,475 | | | | | | — | | | | | | 387,210 | | | | | | (7,045,156) | | | | | | (5,172,471) |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 7,336,144 | | | | | | — | | | | | | 341,000 | | | | | | (5,769,120) | | | | | | 1,908,024 | | | | | | 73,128,357 | | | | | | — | | | | | | 3,394,974 | | | | | | (57,471,718) | | | | | | 19,051,613 |
| 12/31/2016 | | | | | 7,261,118 | | | | | | — | | | | | | 478,826 | | | | | | (6,675,696) | | | | | | 1,064,248 | | | | | | 73,852,484 | | | | | | — | | | | | | 4,822,555 | | | | | | (67,594,902) | | | | | | 11,080,137 |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 450,761 | | | | | | — | | | | | | 149,717 | | | | | | (2,119,211) | | | | | | (1,518,733) | | | | | | 4,521,882 | | | | | | — | | | | | | 1,502,423 | | | | | | (21,265,137) | | | | | | (15,240,832) |
| 12/31/2016 | | | | | 1,687,779 | | | | | | — | | | | | | 222,455 | | | | | | (1,829,211) | | | | | | 81,023 | | | | | | 17,121,316 | | | | | | — | | | | | | 2,257,293 | | | | | | (18,599,894) | | | | | | 778,715 |
| Multi-Manager Large Cap Core |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 127 | | | | | | — | | | | | | 4,681 | | | | | | (13,123) | | | | | | (8,315) | | | | | | 1,967 | | | | | | — | | | | | | 71,928 | | | | | | (208,244) | | | | | | (134,350) |
| 12/31/2016 | | | | | 645 | | | | | | — | | | | | | 3,996 | | | | | | (16,453) | | | | | | (11,812) | | | | | | 9,422 | | | | | | — | | | | | | 57,796 | | | | | | (231,662) | | | | | | (164,444) |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 2,321,213 | | | | | | — | | | | | | 1,183,437 | | | | | | (7,247,033) | | | | | | (3,742,383) | | | | | | 36,722,639 | | | | | | — | | | | | | 18,518,783 | | | | | | (115,161,562) | | | | | | (59,920,139) |
| 12/31/2016 | | | | | 5,337,135 | | | | | | — | | | | | | 1,320,916 | | | | | | (9,504,799) | | | | | | (2,846,748) | | | | | | 77,187,417 | | | | | | — | | | | | | 19,323,590 | | | | | | (137,492,778) | | | | | | (40,981,771) |
| Class R6 | | | | | | | | | | | |
| 12/31/2017 | | | | | — | | | | | | — | | | | | | 16 | | | | | | — | | | | | | 16 | | | | | | — | | | | | | — | | | | | | 249 | | | | | | — | | | | | | 248 |
| 5/3/2016(1) - 12/31/2016 | | | | | 203 | | | | | | — | | | | | | 12 | | | | | | — | | | | | | 215 | | | | | | 3,000 | | | | | | — | | | | | | 177 | | | | | | — | | | | | | 3,177 |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 240,687 | | | | | | — | | | | | | 243,866 | | | | | | (1,136,261) | | | | | | (651,708) | | | | | | 3,756,094 | | | | | | — | | | | | | 3,801,208 | | | | | | (18,339,069) | | | | | | (10,781,766) |
| 12/31/2016 | | | | | 441,694 | | | | | | — | | | | | | 221,787 | | | | | | (1,044,088) | | | | | | (380,607) | | | | | | 6,489,972 | | | | | | — | | | | | | 3,245,231 | | | | | | (15,141,642) | | | | | | (5,406,439) |
| U.S. Stock Index |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 792,344 | | | | | | — | | | | | | 510,149 | | | | | | (2,351,202) | | | | | | (1,048,709) | | | | | | 11,320,248 | | | | | | — | | | | | | 7,246,583 | | | | | | (33,712,405) | | | | | | (15,145,574) |
| 12/31/2016 | | | | | 718,865 | | | | | | — | | | | | | 660,798 | | | | | | (1,916,748) | | | | | | (537,085) | | | | | | 9,353,787 | | | | | | — | | | | | | 8,627,029 | | | | | | (24,907,668) | | | | | | (6,926,852) |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 38,015,935 | | | | | | — | | | | | | 15,425,745 | | | | | | (136,660,523) | | | | | | (83,218,843) | | | | | | 557,164,994 | | | | | | — | | | | | | 228,042,984 | | | | | | (2,025,247,993) | | | | | | (1,240,040,015) |
| 12/31/2016 | | | | | 54,281,875 | | | | | | — | | | | | | 23,328,263 | | | | | | (84,376,576) | | | | | | (6,766,438) | | | | | | 730,936,136 | | | | | | — | | | | | | 315,137,076 | | | | | | (1,134,837,010) | | | | | | (88,763,798) |
| Class P2 | | | | | | | | | | | |
| 5/3/2017(1) - 12/31/2017 | | | | | 86,543,843 | | | | | | — | | | | | | 4,708,824 | | | | | | (13,235,309) | | | | | | 78,017,358 | | | | | | 1,286,487,822 | | | | | | — | | | | | | 69,833,243 | | | | | | (199,702,935) | | | | | | 1,156,618,130 |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 1,249,596 | | | | | | — | | | | | | 309,708 | | | | | | (1,023,431) | | | | | | 535,873 | | | | | | 18,187,355 | | | | | | — | | | | | | 4,538,110 | | | | | | (15,132,075) | | | | | | 7,593,389 |
| 12/31/2016 | | | | | 1,446,519 | | | | | | — | | | | | | 304,366 | | | | | | (1,047,535) | | | | | | 703,350 | | | | | | 19,276,606 | | | | | | — | | | | | | 4,083,086 | | | | | | (13,882,409) | | | | | | 9,477,283 |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 1,418,658 | | | | | | — | | | | | | 802,114 | | | | | | (2,868,101) | | | | | | (647,329) | | | | | | 20,481,638 | | | | | | — | | | | | | 11,570,264 | | | | | | (41,933,061) | | | | | | (9,881,158) |
| 12/31/2016 | | | | | 1,968,609 | | | | | | — | | | | | | 1,033,436 | | | | | | (3,978,781) | | | | | | (976,736) | | | | | | 25,883,727 | | | | | | — | | | | | | 13,661,229 | | | | | | (52,304,793) | | | | | | (12,759,837) |
| Clarion Real Estate |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 108,143 | | | | | | — | | | | | | 43,278 | | | | | | (626,439) | | | | | | (475,018) | | | | | | 3,817,916 | | | | | | — | | | | | | 1,510,825 | | | | | | (22,157,086) | | | | | | (16,828,344) |
| 12/31/2016 | | | | | 350,508 | | | | | | — | | | | | | 31,657 | | | | | | (448,629) | | | | | | (66,464) | | | | | | 12,550,152 | | | | | | — | | | | | | 1,198,205 | | | | | | (15,709,711) | | | | | | (1,961,354) |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 428,797 | | | | | | — | | | | | | 65,882 | | | | | | (717,836) | | | | | | (223,157) | | | | | | 15,921,775 | | | | | | — | | | | | | 2,404,709 | | | | | | (26,657,727) | | | | | | (8,331,243) |
| 12/31/2016 | | | | | 797,599 | | | | | | — | | | | | | 49,823 | | | | | | (1,561,912) | | | | | | (714,490) | | | | | | 29,381,953 | | | | | | — | | | | | | 1,971,015 | | | | | | (57,264,030) | | | | | | (25,911,062) |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 141,616 | | | | | | — | | | | | | 189,724 | | | | | | (2,886,834) | | | | | | (2,555,494) | | | | | | 5,233,571 | | | | | | — | | | | | | 6,917,341 | | | | | | (106,881,263) | | | | | | (94,730,352) |
| 12/31/2016 | | | | | 510,737 | | | | | | — | | | | | | 164,259 | | | | | | (2,499,780) | | | | | | (1,824,784) | | | | | | 19,179,606 | | | | | | — | | | | | | 6,488,209 | | | | | | (91,212,627) | | | | | | (65,544,812) |
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 9 — 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 | | | # | | | # | | | # | | | # | | | # | | | ($) | | | ($) | | | ($) | | | ($) | | | ($) | |
| Clarion Real Estate (continued) | |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 38,140 | | | | | | — | | | | | | 10,841 | | | | | | (200,206) | | | | | | (151,225) | | | | | | 1,396,811 | | | | | | — | | | | | | 393,072 | | | | | | (7,363,135) | | | | | | (5,573,252) | | |
| 12/31/2016 | | | | | 49,658 | | | | | | — | | | | | | 9,058 | | | | | | (165,518) | | | | | | (106,802) | | | | | | 1,806,856 | | | | | | — | | | | | | 355,778 | | | | | | (6,013,887) | | | | | | (3,851,253) | | |
| Franklin Income | |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 946,194 | | | | | | — | | | | | | 312,611 | | | | | | (727,719) | | | | | | 531,086 | | | | | | 10,332,943 | | | | | | — | | | | | | 3,351,186 | | | | | | (7,988,746) | | | | | | 5,695,383 | | |
| 12/31/2016 | | | | | 564,589 | | | | | | — | | | | | | 419,662 | | | | | | (1,137,537) | | | | | | (153,286) | | | | | | 5,756,443 | | | | | | — | | | | | | 4,263,768 | | | | | | (11,399,627) | | | | | | (1,379,416) | | |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 11,482 | | | | | | — | | | | | | 38,258 | | | | | | (101,797) | | | | | | (52,057) | | | | | | 131,613 | | | | | | — | | | | | | 426,583 | | | | | | (1,163,503) | | | | | | (605,307) | | |
| 12/31/2016 | | | | | 1,959 | | | | | | — | | | | | | 58,770 | | | | | | (108,224) | | | | | | (47,495) | | | | | | 20,661 | | | | | | — | | | | | | 618,851 | | | | | | (1,136,173) | | | | | | (496,661) | | |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 575,093 | | | | | | — | | | | | | 1,527,273 | | | | | | (8,364,852) | | | | | | (6,262,486) | | | | | | 6,587,558 | | | | | | — | | | | | | 16,952,728 | | | | | | (95,057,992) | | | | | | (71,517,706) | | |
| 12/31/2016 | | | | | 1,098,003 | | | | | | — | | | | | | 2,502,308 | | | | | | (7,080,603) | | | | | | (3,480,292) | | | | | | 11,705,982 | | | | | | — | | | | | | 26,249,211 | | | | | | (73,576,051) | | | | | | (35,620,858) | | |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 4,599 | | | | | | — | | | | | | 26,865 | | | | | | (268,179) | | | | | | (236,715) | | | | | | 51,483 | | | | | | — | | | | | | 297,659 | | | | | | (3,031,997) | | | | | | (2,682,855) | | |
| 12/31/2016 | | | | | 28,793 | | | | | | — | | | | | | 47,166 | | | | | | (141,426) | | | | | | (65,467) | | | | | | 303,832 | | | | | | — | | | | | | 493,831 | | | | | | (1,473,202) | | | | | | (675,539) | | |
| JPMorgan Small Cap Core Equity | |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | 532,080 | | | | | | — | | | | | | 384,843 | | | | | | (878,639) | | | | | | 38,284 | | | | | | 10,134,724 | | | | | | — | | | | | | 7,177,317 | | | | | | (16,772,976) | | | | | | 539,065 | | |
| 12/31/2016 | | | | | 602,413 | | | | | | — | | | | | | 602,090 | | | | | | (964,865) | | | | | | 239,638 | | | | | | 10,254,340 | | | | | | — | | | | | | 9,916,419 | | | | | | (16,199,952) | | | | | | 3,970,807 | | |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 987,742 | | | | | | — | | | | | | 556,070 | | | | | | (1,845,773) | | | | | | (301,961) | | | | | | 20,074,202 | | | | | | — | | | | | | 10,971,271 | | | | | | (37,709,131) | | | | | | (6,663,657) | | |
| 12/31/2016 | | | | | 718,937 | | | | | | — | | | | | | 863,036 | | | | | | (1,469,200) | | | | | | 112,773 | | | | | | 12,821,563 | | | | | | — | | | | | | 14,973,663 | | | | | | (25,821,863) | | | | | | 1,973,363 | | |
| Class R6 | | | | | | | | | | | |
| 12/31/2017 | | | | | 864,975 | | | | | | — | | | | | | 46,541 | | | | | | (115,903) | | | | | | 795,613 | | | | | | 17,737,507 | | | | | | — | | | | | | 917,787 | | | | | | (2,339,739) | | | | | | 16,315,555 | | |
| 5/3/2016(1) - 12/31/2016 | | | | | 1,527 | | | | | | — | | | | | | 17 | | | | | | (1) | | | | | | 1,543 | | | | | | 29,375 | | | | | | — | | | | | | 289 | | | | | | (10) | | | | | | 29,654 | | |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 934,474 | | | | | | — | | | | | | 1,194,693 | | | | | | (6,390,546) | | | | | | (4,261,379) | | | | | | 18,407,694 | | | | | | — | | | | | | 23,296,509 | | | | | | (128,156,810) | | | | | | (86,452,608) | | |
| 12/31/2016 | | | | | 1,667,655 | | | | | | — | | | | | | 2,109,372 | | | | | | (4,347,025) | | | | | | (569,998) | | | | | | 29,519,257 | | | | | | — | | | | | | 36,196,825 | | | | | | (75,379,173) | | | | | | (9,663,091) | | |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 94,740 | | | | | | — | | | | | | 111,721 | | | | | | (580,672) | | | | | | (374,211) | | | | | | 1,842,097 | | | | | | — | | | | | | 2,157,323 | | | | | | (11,527,867) | | | | | | (7,528,447) | | |
| 12/31/2016 | | | | | 88,090 | | | | | | — | | | | | | 205,700 | | | | | | (573,836) | | | | | | (280,046) | | | | | | 1,497,685 | | | | | | — | | | | | | 3,496,907 | | | | | | (10,024,507) | | | | | | (5,029,915) | | |
| Templeton Global Growth | |
| Class ADV | | | | | | | | | | | |
| 12/31/2017 | | | | | — | | | | | | — | | | | | | 14 | | | | | | —* | | | | | | 14 | | | | | | — | | | | | | — | | | | | | 143 | | | | | | —* | | | | | | 143 | | |
| 12/31/2016 | | | | | — | | | | | | — | | | | | | 229 | | | | | | — | | | | | | 229 | | | | | | — | | | | | | — | | | | | | 1,997 | | | | | | — | | | | | | 1,997 | | |
| Class I | | | | | | | | | | | |
| 12/31/2017 | | | | | 18,047 | | | | | | — | | | | | | 4,974 | | | | | | (21,186) | | | | | | 1,835 | | | | | | 190,493 | | | | | | — | | | | | | 53,869 | | | | | | (232,654) | | | | | | 11,709 | | |
| 12/31/2016 | | | | | 19,497 | | | | | | — | | | | | | 71,418 | | | | | | (32,262) | | | | | | 58,653 | | | | | | 222,056 | | | | | | — | | | | | | 642,764 | | | | | | (341,335) | | | | | | 523,485 | | |
| Class S | | | | | | | | | | | |
| 12/31/2017 | | | | | 450,085 | | | | | | — | | | | | | 384,315 | | | | | | (4,550,135) | | | | | | (3,715,735) | | | | | | 4,785,816 | | | | | | — | | | | | | 4,200,561 | | | | | | (49,092,389) | | | | | | (40,106,012) | | |
| 12/31/2016 | | | | | 374,817 | | | | | | — | | | | | | 7,146,547 | | | | | | (3,558,651) | | | | | | 3,962,713 | | | | | | 3,896,593 | | | | | | — | | | | | | 64,890,646 | | | | | | (38,071,821) | | | | | | 30,715,418 | | |
| Class S2 | | | | | | | | | | | |
| 12/31/2017 | | | | | 33,517 | | | | | | — | | | | | | 6,545 | | | | | | (78,616) | | | | | | (38,554) | | | | | | 347,146 | | | | | | — | | | | | | 70,822 | | | | | | (851,926) | | | | | | (433,959) | | |
| 12/31/2016 | | | | | 3,396 | | | | | | — | | | | | | 124,747 | | | | | | (77,477) | | | | | | 50,666 | | | | | | 40,504 | | | | | | — | | | | | | 1,122,720 | | | | | | (776,445) | | | | | | 386,779 | | |
(1)
Commencement of operations.
*
Amount is less than 0.005 or $0.50.
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 10 — SECURITIES LENDING
Under a Master Securities Lending Agreement (the “Agreement”) with BNY the Portfolios 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 Market Close 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 U.S. Treasury; U.S. government or any agency, instrumentality or authority of the U.S. government. The securities purchased with cash collateral received are reflected in the Portfolio of Investments under Securities Lending Collateral.
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 its 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 tables represent a summary of each respective Portfolio’s securities lending agreements by counterparty which are subject to offset under the Agreement as of December 31, 2017:
High Yield
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Barclays Bank PLC | | | | $ | 730,265 | | | | | $ | (730,265) | | | | | $ | — | | |
| Barclays Capital Inc. | | | | | 1,667,483 | | | | | | (1,667,483) | | | | | | — | | |
| BMO Capital Markets Corp | | | | | 1,147,812 | | | | | | (1,147,812) | | | | | | — | | |
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
BNP Paribas Prime Brokerage Intl
Ltd | | | | | 992,680 | | | | | | (992,680) | | | | | | — | | |
| Citadel Clearing LLC | | | | | 803,666 | | | | | | (803,666) | | | | | | — | | |
| Citigroup Global Markets Inc. | | | | | 4,395,058 | | | | | | (4,395,058) | | | | | | — | | |
| Credit Suisse Securities (USA) LLC | | | | | 1,682,107 | | | | | | (1,682,107) | | | | | | — | | |
| Deutsche Bank Securities Inc. | | | | | 1,319,272 | | | | | | (1,319,272) | | | | | | — | | |
| Goldman, Sachs & Co. LLC | | | | | 9,013,577 | | | | | | (9,013,577) | | | | | | — | | |
| J.P. Morgan Securities LLC | | | | | 4,911,679 | | | | | | (4,911,679) | | | | | | — | | |
| Merrill Lynch, Pierce, Fenner & Smith Inc. | | | | | 3,731,963 | | | | | | (3,731,963) | | | | | | — | | |
| Morgan Stanley & Co. LLC | | | | | 1,555,886 | | | | | | (1,555,886) | | | | | | — | | |
| Nomura Securities International, Inc. | | | | | 2,141,136 | | | | | | (2,141,136) | | | | | | — | | |
| RBC Capital Markets, LLC | | | | | 4,078,731 | | | | | | (4,078,731) | | | | | | — | | |
| Scotia Capital (USA) INC | | | | | 367,743 | | | | | | (367,743) | | | | | | — | | |
| UBS Securities LLC. | | | | | 794,733 | | | | | | (794,733) | | | | | | — | | |
| Wells Fargo Securities LLC | | | | | 2,095,770 | | | | | | (2,095,770) | | | | | | — | | |
| Total | | | | $ | 41,429,561 | | | | | $ | (41,429,561) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $42,479,846 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.
Large Cap Growth
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Citigroup Global Markets Inc. | | | | $ | 20,394,086 | | | | | $ | (20,394,086) | | | | | $ | — | | |
| Deutsche Bank Securities Inc. | | | | | 6,786,802 | | | | | | (6,786,802) | | | | | | — | | |
| Goldman, Sachs & Co. LLC | | | | | 24,794,574 | | | | | | (24,794,574) | | | | | | — | | |
| J.P. Morgan Securities LLC | | | | | 4,382,844 | | | | | | (4,382,844) | | | | | | — | | |
| RBC Dominion Securities Inc | | | | | 692,036 | | | | | | (692,036) | | | | | | — | | |
| Scotia Capital (USA) INC | | | | | 210,151 | | | | | | (210,151) | | | | | | — | | |
| UBS AG | | | | | 1,085,301 | | | | | | (1,085,301) | | | | | | — | | |
| UBS Securities LLC. | | | | | 3,690,555 | | | | | | (3,690,555) | | | | | | — | | |
| Wells Fargo Securities LLC | | | | | 51,283,760 | | | | | | (51,283,760) | | | | | | — | | |
| Total | | | | $ | 113,320,109 | | | | | $ | (113,320,109) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $115,784,363 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.
Large Cap Value
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| J.P. Morgan Securities LLC | | | | $ | 17,350,120 | | | | | $ | (17,350,120) | | | | | $ | — | | |
| Total | | | | $ | 17,350,120 | | | | | $ | (17,350,120) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $17,713,128 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.
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 10 — SECURITIES LENDING (continued)
Limited Maturity Bond
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Citigroup Global Markets Inc. | | | | $ | 154,781 | | | | | $ | (154,781) | | | | | $ | — | | |
| Total | | | | $ | 154,781 | | | | | $ | (154,781) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $158,993 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.
U.S. Stock Index
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Barclays Bank PLC | | | | $ | 346,356 | | | | | $ | (346,356) | | | | | $ | — | | |
| Deutsche Bank Securities Inc. | | | | | 417,300 | | | | | | (417,300) | | | | | | — | | |
| Goldman, Sachs & Co. LLC | | | | | 1,861,451 | | | | | | (1,861,451) | | | | | | — | | |
| HSBC Bank PLC | | | | | 7,933 | | | | | | (7,933) | | | | | | — | | |
| J.P. Morgan Securities LLC | | | | | 2,396,872 | | | | | | (2,396,872) | | | | | | — | | |
| Merrill Lynch, Pierce, Fenner & Smith Inc. | | | | | 41,841 | | | | | | (41,841) | | | | | | — | | |
| Morgan Stanley & Co. LLC | | | | | 2,626,434 | | | | | | (2,626,434) | | | | | | — | | |
| NATIONAL BANK OF CANADA FINANCIAL INC | | | | | 107,123 | | | | | | (107,123) | | | | | | — | | |
| Nomura Securities International, Inc. | | | | | 714,737 | | | | | | (714,737) | | | | | | — | | |
| Scotia Capital (USA) INC | | | | | 2,150,841 | | | | | | (2,150,841) | | | | | | — | | |
| SG Americas Securities, LLC | | | | | 376,889 | | | | | | (376,889) | | | | | | — | | |
| UBS AG | | | | | 45,389 | | | | | | (45,389) | | | | | | — | | |
| UBS Securities LLC. | | | | | 473,351 | | | | | | (473,351) | | | | | | — | | |
| Total | | | | $ | 11,566,517 | | | | | $ | (11,566,517) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $11,899,395 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.
Clarion Real Estate
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Barclays Capital Inc. | | | | $ | 1,186 | | | | | $ | (1,186) | | | | | | — | | |
| Goldman, Sachs & Co. LLC | | | | | 3,731,324 | | | | | | (3,731,324) | | | | | | — | | |
Merrill Lynch, Pierce, Fenner & Smith
Inc. | | | | | 198,347 | | | | | | (198,347) | | | | | | — | | |
| RBC Dominion Securities Inc | | | | | 694,218 | | | | | | (694,218) | | | | | | — | | |
| UBS AG | | | | | 694,180 | | | | | | (694,180) | | | | | | — | | |
| Wells Fargo Securities LLC | | | | | 335,709 | | | | | | (335,709) | | | | | | — | | |
| Total | | | | $ | 5,654,964 | | | | | $ | (5,654,964) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $5,789,103 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.
Franklin Income
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Barclays Bank PLC | | | | $ | 1,018,544 | | | | | $ | (1,018,544) | | | | | $ | — | | |
| Barclays Capital Inc. | | | | | 5,964,528 | | | | | | (5,964,528) | | | | | | — | | |
| BMO Capital Markets Corp | | | | | 50,077 | | | | | | (50,077) | | | | | | — | | |
BNP Paribas Prime Brokerage Intl
Ltd | | | | | 697,118 | | | | | | (697,118) | | | | | | — | | |
| Citadel Clearing LLC | | | | | 628,262 | | | | | | (628,262) | | | | | | — | | |
| Citigroup Global Markets Inc. | | | | | 4,695,523 | | | | | | (4,695,523) | | | | | | — | | |
| Credit Suisse Securities (USA) LLC | | | | | 1,511,052 | | | | | | (1,511,052) | | | | | | — | | |
| Goldman, Sachs & Co. LLC | | | | | 5,480,583 | | | | | | (5,480,583) | | | | | | — | | |
| HSBC Bank PLC | | | | | 2,843,764 | | | | | | (2,843,764) | | | | | | — | | |
| J.P. Morgan Securities LLC | | | | | 12,835,548 | | | | | | (12,835,548) | | | | | | — | | |
| Jefferies LLC | | | | | 534,236 | | | | | | (534,236) | | | | | | — | | |
| Merrill Lynch, Pierce, Fenner & Smith Inc. | | | | | 1,671,693 | | | | | | (1,671,693) | | | | | | — | | |
| Morgan Stanley & Co. LLC | | | | | 749,064 | | | | | | (749,064) | | | | | | — | | |
| Nomura Securities International, Inc. | | | | | 1,257,404 | | | | | | (1,257,404) | | | | | | — | | |
| RBC Capital Markets, LLC | | | | | 2,866,489 | | | | | | (2,866,489) | | | | | | — | | |
| UBS Securities LLC. | | | | | 626,046 | | | | | | (626,046) | | | | | | — | | |
| Wells Fargo Securities LLC | | | | | 78,637 | | | | | | (78,637) | | | | | | — | | |
| Total | | | | $ | 43,508,568 | | | | | $ | (43,508,568) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $44,642,842 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.
JPMorgan Small Cap Core Equity
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Barclays Capital Inc. | | | | $ | 1,661,092 | | | | | $ | (1,661,092) | | | | | $ | — | | |
| BMO Capital Markets Corp | | | | | 179,674 | | | | | | (179,674) | | | | | | — | | |
| BNP Paribas | | | | | 249,003 | | | | | | (249,003) | | | | | | — | | |
| Citigroup Global Markets Inc. | | | | | 11,517 | | | | | | (11,517) | | | | | | — | | |
| Credit Suisse Securities (USA) LLC | | | | | 1,862,598 | | | | | | (1,862,598) | | | | | | — | | |
| Deutsche Bank Securities Inc. | | | | | 92,535 | | | | | | (92,535) | | | | | | — | | |
| Goldman, Sachs & Co. LLC | | | | | 3,735,879 | | | | | | (3,735,879) | | | | | | — | | |
| Industrial And Commercial Bank Of China | | | | | 4,939 | | | | | | (4,939) | | | | | | — | | |
| Jefferies LLC | | | | | 30,126 | | | | | | (30,126) | | | | | | — | | |
Merrill Lynch, Pierce, Fenner & Smith
Inc. | | | | | 447,512 | | | | | | (447,512) | | | | | | — | | |
| Mizuho Securities USA LLC. | | | | | 63,279 | | | | | | (63,279) | | | | | | — | | |
| Morgan Stanley & Co. LLC | | | | | 5,361,125 | | | | | | (5,361,125) | | | | | | — | | |
| National Financial Services LLC | | | | | 1,695,201 | | | | | | (1,695,201) | | | | | | — | | |
| Natixis Securities America LLC | | | | | 136,261 | | | | | | (136,261) | | | | | | — | | |
| Nomura Securities International, Inc. | | | | | 45,985 | | | | | | (45,985) | | | | | | — | | |
| RBC Dominion Securities Inc | | | | | 7,921,855 | | | | | | (7,921,855) | | | | | | — | | |
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 10 — SECURITIES LENDING (continued)
JPMorgan Small Cap Core Equity (continued)
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| Scotia Capital (USA) INC | | | | | 2,375,031 | | | | | | (2,375,031) | | | | | | — | | |
| SG Americas Securities, LLC | | | | | 224,927 | | | | | | (224,927) | | | | | | — | | |
| UBS AG | | | | | 28,637 | | | | | | (28,637) | | | | | | — | | |
| UBS Securities LLC. | | | | | 281,202 | | | | | | (281,202) | | | | | | — | | |
| Wells Fargo Securities LLC | | | | | 710,566 | | | | | | (710,566) | | | | | | — | | |
| Total | | | | $ | 27,118,944 | | | | | $ | (27,118,944) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $27,918,081 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.
Templeton Global Growth
| Counterparty | | | Securities
Loaned at
Value | | | Cash
Collateral
Received(1) | | | Net
Amount | |
| CIBC World Markets INC | | | | $ | 366,972 | | | | | $ | (366,972) | | | | | $ | — | | |
| Deutsche Bank Securities Inc. | | | | | 409,507 | | | | | | (409,507) | | | | | | — | | |
| Morgan Stanley & Co. LLC | | | | | 192,515 | | | | | | (192,515) | | | | | | — | | |
| Nomura Securities International, Inc. | | | | | 1,055,896 | | | | | | (1,055,896) | | | | | | — | | |
| SG Americas Securities, LLC | | | | | 18,872 | | | | | | (18,872) | | | | | | — | | |
| Societe Generale | | | | | 5,159 | | | | | | (5,159) | | | | | | — | | |
| UBS Securities LLC. | | | | | 724,229 | | | | | | (724,229) | | | | | | — | | |
| Wells Fargo Securities LLC | | | | | 1,687,719 | | | | | | (1,687,719) | | | | | | — | | |
| Total | | | | $ | 4,460,869 | | | | | $ | (4,460,869) | | | | | $ | — | | |
| |
(1)
Collateral with a fair value of $4,570,215 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 11 — REORGANIZATIONS
On August 26, 2016, Large Cap Growth (“Acquiring Portfolio”) acquired all of the assets of, and assumed all of the liabilities of VY® Fidelity® VIP Contrafund® Portfolio (“Acquired Portfolio”), an open-end investment company that is not included in this report, 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 August 9, 2016. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value.
Assuming the acquisition had been completed on January 1, 2016, 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, 2016, are as follows:
| | Net investment income | | | | $ | 22,444,371 | | |
| | Net realized and unrealized gain on investments | | | | $ | 190,980,994 | | |
| | Net increase in net assets resulting from operations | | | | $ | 213,425,365 | | |
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 26, 2016. Net assets and unrealized appreciation or depreciation as of the reorganization date were as follows:
| | Total Net
Assets of
Acquired
Portfolio’s
(000s) | | | Total Net
Assets of
Acquiring
Portfolio
(000s) | | | Acquired
Portfolio’s
Capital Loss
Carryforwards
(000s) | | | Acquired
Portfolio’s
Unrealized
Appreciation
(000s) | | | Portfolio’s
Conversion
Ratio | |
| | $186,912 | | | | $ | 5,988,034 | | | | | $ | 710 | | | | | $ | — | | | | | | 0.7275 | | |
The net assets of the Acquiring Portfolio after the acquisition were $6,174,946,294.
NOTE 12 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, paydowns, wash sale deferrals and the expiration of capital loss carryforwards. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
The following permanent tax differences have been reclassified as of December 31, 2017:
| | | | Paid-in
Capital | | | Undistributed
Net Investment
Income | | | Accumulated
Net Realized
Gains/(Losses) | |
| High Yield | | | | $ | (18,671,568)(1) | | | | | $ | 535 | | | | | $ | 18,671,033 | | |
| Large Cap Growth | | | | | — | | | | | | (38,032) | | | | | | 38,032 | | |
| Large Cap Value | | | | | — | | | | | | 32,436 | | | | | | (32,436) | | |
| Limited Maturity Bond | | | | | (5,567,325) | | | | | | 409,943 | | | | | | 5,157,382 | | |
Multi-Manager Large
Cap Core | | | | | — | | | | | | (24,607) | | | | | | 24,607 | | |
| U.S. Stock Index | | | | | (122,996) | | | | | | (1,010,081) | | | | | | 1,133,077 | | |
| Clarion Real Estate | | | | | — | | | | | | 887 | | | | | | (887) | | |
| Franklin Income | | | | | (18,534,148)(1) | | | | | | (19,117) | | | | | | 18,553,265 | | |
JPMorgan Small Cap
Core Equity | | | | | — | | | | | | 62,341 | | | | | | (62,341) | | |
| Templeton Global Growth | | | | | — | | | | | | 1,326,815 | | | | | | (1,326,815) | | |
(1)
Amount relates to the expiration of capital loss carryforwards.
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 12 — FEDERAL INCOME TAXES (continued)
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:
| | | | Year Ended
December 31, 2017 | | | Year Ended
December 31, 2016 | |
| | | | Ordinary
Income | | | Long-term
Capital
Gains | | | Return
of
Capital | | | Ordinary
Income | | | Long-term
Capital
Gains | |
| High Yield | | | | $ | 39,932,565 | | | | | $ | — | | | | | $ | 1,378,642 | | | | | $ | 42,695,167 | | | | | $ | — | | |
| Large Cap Growth | | | | | 58,675,583 | | | | | | 412,308,534 | | | | | | — | | | | | | 16,207,030 | | | | | | 789,848,265 | | |
| Large Cap Value | | | | | 29,144,934 | | | | | | — | | | | | | — | | | | | | 34,469,670 | | | | | | 47,814,546 | | |
| Limited Maturity Bond | | | | | 5,041,720 | | | | | | — | | | | | | 165,021 | | | | | | 7,467,058 | | | | | | — | | |
| Multi-Manager Large Cap Core | | | | | 3,333,122 | | | | | | 19,059,046 | | | | | | — | | | | | | 8,153,813 | | | | | | 14,472,981 | | |
| U.S. Stock Index | | | | | 88,067,479 | | | | | | 233,163,705 | | | | | | — | | | | | | 95,408,977 | | | | | | 246,099,443 | | |
| Clarion Real Estate | | | | | 11,225,947 | | | | | | — | | | | | | — | | | | | | 10,013,207 | | | | | | — | | |
| Franklin Income | | | | | 21,028,156 | | | | | | — | | | | | | — | | | | | | 31,625,661 | | | | | | — | | |
| JPMorgan Small Cap Core Equity | | | | | 3,647,065 | | | | | | 40,873,142 | | | | | | — | | | | | | 9,379,156 | | | | | | 55,204,947 | | |
| Templeton Global Growth | | | | | 3,876,191 | | | | | | 449,204 | | | | | | — | | | | | | 7,194,072 | | | | | | 59,464,055 | | |
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, 2017 were:
| | | | Undistributed
Ordinary Income | | | Undistributed
Long-term
Capital Gains | | | Unrealized
Appreciation/
(Depreciation) | | | Capital Loss Carryforwards | |
| | | | Amount | | | Character | | | Expiration | |
| High Yield | | | | $ | — | | | | | $ | — | | | | | $ | 8,065,099 | | | | | $ | (587,304) | | | | Short-term | | | | | None | | |
| | | | | | | | | | | | | | | | | | | | | | | | (25,341,108) | | | | Long-term | | | | | None | | |
| | | | | | | | | | | | | | | | | | | | | | | $ | (25,928,412) | | | | |
| Large Cap Growth | | | | | 100,587,845 | | | | | | 738,351,837 | | | | | | 1,292,298,933 | | | | | | — | | | | — | | | | | — | | |
| Large Cap Value | | | | | 18,538,759 | | | | | | 113,212,625 | | | | | | 169,801,982 | | | | | | — | | | | — | | | | | — | | |
| Limited Maturity Bond | | | | | — | | | | | | — | | | | | | (655,217) | | | | | | (1,509,253) | | | | Short-term | | | | | None | | |
| | | | | | | | | | | | | | | | | | | | | | | | (1,447,997) | | | | Long-term | | | | | None | | |
| | | | | | | | | | | | | | | | | | | | | | | $ | (2,957,250) | | | | |
| Multi-Manager Large Cap Core | | | | | 2,397,562 | | | | | | 24,145,369 | | | | | | 77,644,351 | | | | | | — | | | | — | | | | | — | | |
| U.S. Stock Index | | | | | 16,663,890 | | | | | | 284,355,126 | | | | | | 2,097,212,515 | | | | | | — | | | | — | | | | | — | | |
| Clarion Real Estate | | | | | 9,897,322 | | | | | | 35,832,485 | | | | | | 20,823,776 | | | | | | — | | | | — | | | | | — | | |
| Franklin Income | | | | | 21,387,624 | | | | | | — | | | | | | 48,707,474 | | | | | | — | | | | — | | | | | — | | |
| JPMorgan Small Cap Core Equity | | | | | 16,541,543 | | | | | | 78,708,038 | | | | | | 188,800,020 | | | | | | — | | | | — | | | | | — | | |
| Templeton Global Growth | | | | | 5,472,535 | | | | | | 13,886,377 | | | | | | 24,603,109 | | | | | | — | | | | — | | | | | — | | |
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state.
As of December 31, 2017, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. The earliest tax year that remains subject to examination by these jurisdictions is 2013.
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 13 — SUBSEQUENT EVENTS
Subsequent to December 31, 2017, the following Portfolios paid dividends from net investment income of:
| | | | Per Share
Amount | | | Payable
Date | | | Record
Date | |
| High Yield | | | | |
| Class ADV | | | | $ | 0.0500 | | | | February 1, 2018 | | | | | Daily | | |
| Class I | | | | $ | 0.0551 | | | | February 1, 2018 | | | | | Daily | | |
| Class S | | | | $ | 0.0529 | | | | February 1, 2018 | | | | | Daily | | |
| Class S2 | | | | $ | 0.0517 | | | | February 1, 2018 | | | | | Daily | | |
| | | | Per Share
Amount | | | Payable
Date | | | Record
Date | |
| | | | | | | | | | | | | | | | | |
| Limited Maturity Bond | | | | |
| Class ADV | | | | $ | 0.0092 | | | | February 1, 2018 | | | | | Daily | | |
| Class I | | | | $ | 0.0145 | | | | February 1, 2018 | | | | | Daily | | |
| Class S | | | | $ | 0.0125 | | | | February 1, 2018 | | | | | Daily | | |
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.
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES:96.5% | |
| | | | | | | | Basic Materials: 7.3% | |
| | | | 2,140,000 | (1)(2) | | Alpha 3 BV / Alpha US
Bidco, Inc., 6.250%,
02/01/25 | | | | $ | 2,204,200 | | | | | | 0.4 | | |
| | | | 2,910,000 (1) | | | | ArcelorMittal,
6.000%-7.500%,
03/01/21-10/15/39 | | | | | 3,412,750 | | | | | | 0.6 | | |
| | | | 1,500,000 (2) | | | | Aruba Investments, Inc.,
8.750%, 02/15/23 | | | | | 1,556,250 | | | | | | 0.3 | | |
| | | | 1,500,000 (2) | | | | Cascades, Inc.,
5.500%, 07/15/22 | | | | | 1,548,750 | | | | | | 0.3 | | |
| | | | 1,580,000 (2) | | | | Constellium NV, 5.750%,
05/15/24 | | | | | 1,619,500 | | | | | | 0.3 | | |
| | | | 250,000 (2) | | | | Constellium NV,
5.875%, 02/15/26 | | | | | 255,312 | | | | | | 0.0 | | |
| | | | 1,775,000 (2) | | | | Cornerstone Chemical Co.,
6.750%, 08/15/24 | | | | | 1,775,000 | | | | | | 0.3 | | |
| | | | 910,000 (2) | | | | Ferroglobe PLC / Globe
Specialty Metals, Inc.,
9.375%, 03/01/22 | | | | | 982,800 | | | | | | 0.2 | | |
| | | | 3,660,000 (1) | | | | Freeport-McMoRan, Inc.,
4.550%-5.450%,
11/14/24-03/15/43 | | | | | 3,703,522 | | | | | | 0.6 | | |
| | | | 935,000 (2) | | | | Hexion, Inc., 10.375%,
02/01/22 | | | | | 874,809 | | | | | | 0.2 | | |
| | | | 930,000 | (1)(2) | | Hexion, Inc., 13.750%,
02/01/22 | | | | | 767,250 | | | | | | 0.1 | | |
| | | | 1,850,000 (2) | | | | IAMGOLD Corp., 7.000%,
04/15/25 | | | | | 1,914,750 | | | | | | 0.3 | | |
| | | | 1,750,000 | (1)(2) | | INEOS Group Holdings SA,
5.625%, 08/01/24 | | | | | 1,828,750 | | | | | | 0.3 | | |
| | | | 2,075,000 (2) | | | | Kraton Polymers LLC /
Kraton Polymers Capital
Corp., 10.500%, 04/15/23 | | | | | 2,355,125 | | | | | | 0.4 | | |
| | | | 2,250,000 (2) | | | | Rayonier AM Products, Inc.,
5.500%, 06/01/24 | | | | | 2,252,813 | | | | | | 0.4 | | |
| | | | 690,000 (2) | | | | SPCM SA, 4.875%,
09/15/25 | | | | | 697,763 | | | | | | 0.1 | | |
| | | | 501,000 | | | | Teck Resources Ltd.,
4.750%, 01/15/22 | | | | | 525,449 | | | | | | 0.1 | | |
| | | | 2,350,000 | | | | Teck Resources Ltd.,
5.200%, 03/01/42 | | | | | 2,338,250 | | | | | | 0.4 | | |
| | | | 895,000 (2) | | | | Tronox Finance LLC,
7.500%, 03/15/22 | | | | | 937,512 | | | | | | 0.2 | | |
| | | | 580,000 | (1)(2) | | Tronox Finance PLC,
5.750%, 10/01/25 | | | | | 597,400 | | | | | | 0.1 | | |
| | | | 445,000 (2) | | | | WR Grace & Co-Conn,
5.125%, 10/01/21 | | | | | 468,919 | | | | | | 0.1 | | |
| | | | 945,000 (2) | | | | WR Grace & Co-Conn,
5.625%, 10/01/24 | | | | | 1,022,962 | | | | | | 0.2 | | |
| | | | 11,779,000 (3) | | | | Other Securities | | | | | 8,029,059 | | | | | | 1.4 | | |
| | | | | | | | | | | | | 41,668,895 | | | | | | 7.3 | | |
| | | | | | | | Communications: 16.1% | |
| | | | 1,890,000 (2) | | | | Acosta, Inc., 7.750%,
10/01/22 | | | | | 1,389,150 | | | | | | 0.2 | | |
| | | | 1,000,000 | (1)(2) | | Altice Finco SA, 8.125%,
01/15/24 | | | | | 1,050,000 | | | | | | 0.2 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Communications (continued) | |
| | | | 1,530,000 | (1)(2) | | Altice Luxembourg SA,
7.625%, 02/15/25 | | | | $ | 1,470,713 | | | | | | 0.3 | | |
| | | | 2,000,000 (2) | | | | Altice Luxembourg SA,
7.750%, 05/15/22 | | | | | 1,962,500 | | | | | | 0.3 | | |
| | | | 1,605,000 (2) | | | | Altice US Finance I Corp.,
5.500%, 05/15/26 | | | | | 1,639,106 | | | | | | 0.3 | | |
| | | | 1,115,000 | | | | AMC Networks, Inc.,
4.750%, 08/01/25 | | | | | 1,108,031 | | | | | | 0.2 | | |
| | | | 1,175,000 (2) | | | | Block Communications,
Inc., 6.875%, 02/15/25 | | | | | 1,236,687 | | | | | | 0.2 | | |
| | | | 1,470,000 (2) | | | | CCO Holdings LLC / CCO
Holdings Capital Corp.,
5.125%, 05/01/27 | | | | | 1,451,625 | | | | | | 0.3 | | |
| | | | 1,665,000 (2) | | | | CCO Holdings LLC / CCO
Holdings Capital Corp.,
5.000%, 02/01/28 | | | | | 1,627,537 | | | | | | 0.3 | | |
| | | | 1,130,000 (2) | | | | CCO Holdings LLC / CCO
Holdings Capital Corp.,
5.500%, 05/01/26 | | | | | 1,161,075 | | | | | | 0.2 | | |
| | | | 2,395,000 (2) | | | | CCO Holdings LLC / CCO
Holdings Capital Corp.,
5.750%, 02/15/26 | | | | | 2,493,794 | | | | | | 0.4 | | |
| | | | 1,000,000 | | | | CCO Holdings LLC / CCO
Holdings Capital Corp.,
5.250%, 09/30/22 | | | | | 1,026,875 | | | | | | 0.2 | | |
| | | | 950,000 (2) | | | | Cequel Communications
Holdings I LLC / Cequel
Capital Corp., 5.125%,
12/15/21 | | | | | 954,750 | | | | | | 0.2 | | |
| | | | 1,760,000 (2) | | | | CommScope Tech Finance
LLC, 6.000%, 06/15/25 | | | | | 1,878,800 | | | | | | 0.3 | | |
| | | | 2,600,000 | | | | CSC Holdings LLC,
5.250%, 06/01/24 | | | | | 2,554,500 | | | | | | 0.5 | | |
| | | | 1,125,000 (2) | | | | CSC Holdings LLC,
6.625%, 10/15/25 | | | | | 1,220,602 | | | | | | 0.2 | | |
| | | | 4,950,000 | | | | DISH DBS Corp.,
5.000%-6.750%,
06/01/21-11/15/24 | | | | | 4,988,750 | | | | | | 0.9 | | |
| | | | 1,650,000 (2) | | | | Gray Television, Inc.,
5.125%, 10/15/24 | | | | | 1,650,000 | | | | | | 0.3 | | |
| | | | 3,300,000 | | | | Intelsat Jackson Holdings
SA, 5.500%-7.250%,
10/15/20-08/01/23 | | | | | 2,831,000 | | | | | | 0.5 | | |
| | | | 2,205,000 | | | | Level 3 Financing, Inc.,
5.125%, 05/01/23 | | | | | 2,216,025 | | | | | | 0.4 | | |
| | | | 2,300,000 | | | | Level 3 Financing, Inc.,
5.250%-5.375%,
01/15/24-03/15/26 | | | | | 2,277,075 | | | | | | 0.4 | | |
| | | | 2,225,000 | | | | Mediacom Broadband
LLC / Mediacom
Broadband Corp.,
6.375%, 04/01/23 | | | | | 2,297,312 | | | | | | 0.4 | | |
| | | | 500,000 (2) | | | | Midcontinent
Communications /
Midcontinent Finance
Corp., 6.875%, 08/15/23 | | | | | 533,125 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Communications (continued) | |
| | | | 1,190,000 (2) | | | | Netflix, Inc., 4.875%,
04/15/28 | | | | $ | 1,167,687 | | | | | | 0.2 | | |
| | | | 900,000 (2) | | | | Nexstar Broadcasting, Inc.,
5.625%, 08/01/24 | | | | | 931,500 | | | | | | 0.2 | | |
| | | | 3,075,000 (2) | | | | SFR Group SA,
6.250%, 05/15/24 | | | | | 3,094,219 | | | | | | 0.5 | | |
| | | | 2,159,000 (2) | | | | Plantronics, Inc.,
5.500%, 05/31/23 | | | | | 2,248,059 | | | | | | 0.4 | | |
| | | | 2,070,000 (2) | | | | Salem Media Group, Inc.,
6.750%, 06/01/24 | | | | | 2,070,000 | | | | | | 0.4 | | |
| | | | 1,065,000 | (1)(2) | | Sinclair Television Group,
Inc., 5.125%, 02/15/27 | | | | | 1,061,006 | | | | | | 0.2 | | |
| | | | 2,280,000 (2) | | | | Sirius XM Radio, Inc.,
5.000%, 08/01/27 | | | | | 2,297,100 | | | | | | 0.4 | | |
| | | | 1,340,000 (2) | | | | Sirius XM Radio, Inc.,
6.000%, 07/15/24 | | | | | 1,420,400 | | | | | | 0.2 | | |
| | | | 5,000,000 | | | | Sprint Communications,
Inc., 6.000%, 11/15/22 | | | | | 5,012,500 | | | | | | 0.9 | | |
| | | | 3,235,000 | | | | Sprint Corp.,
7.125%, 06/15/24 | | | | | 3,299,700 | | | | | | 0.6 | | |
| | | | 1,750,000 | | | | Sprint Corp.,
7.250%, 09/15/21 | | | | | 1,857,188 | | | | | | 0.3 | | |
| | | | 1,000,000 | | | | Sprint Nextel Corp.,
8.750%, 03/15/32 | | | | | 1,137,500 | | | | | | 0.2 | | |
| | | | 2,589,000 | | | | Telecom Italia Capital SA,
6.375%, 11/15/33 | | | | | 3,022,658 | | | | | | 0.5 | | |
| | | | 1,590,000 | | | | Telecom Italia Capital SA,
6.000%-7.200%,
09/30/34-07/18/36 | | | | | 1,818,525 | | | | | | 0.3 | | |
| | | | 1,295,000 (2) | | | | Telesat Canada / Telesat
LLC, 8.875%, 11/15/24 | | | | | 1,453,638 | | | | | | 0.2 | | |
| | | | 2,700,000 | | | | T-Mobile USA, Inc.,
6.500%, 01/15/26 | | | | | 2,953,125 | | | | | | 0.5 | | |
| | | | 850,000 | | | | T-Mobile USA, Inc.,
5.125%-6.836%,
04/28/23-04/15/25 | | | | | 887,250 | | | | | | 0.2 | | |
| | | | 2,500,000 (2) | | | | Univision Communications,
Inc., 5.125%, 02/15/25 | | | | | 2,443,750 | | | | | | 0.4 | | |
| | | | 2,638,000 (2) | | | | Windstream Services LLC /
Windstream Finance Corp.,
6.375%, 08/01/23 | | | | | 1,595,990 | | | | | | 0.3 | | |
| | | | 1,255,000 (2) | | | | Zayo Group LLC / Zayo
Capital, Inc., 5.750%,
01/15/27 | | | | | 1,283,238 | | | | | | 0.2 | | |
| | | | 2,360,000 | | | | Zayo Group LLC / Zayo
Capital, Inc., 6.000%,
04/01/23 | | | | | 2,469,858 | | ��� | | | | 0.5 | | |
| | | | 6,660,000 | | | | Other Securities | | | | | 6,902,128 | | | | | | 1.2 | | |
| | | | | | | | | | | | | 91,446,051 | | | | | | 16.1 | | |
| | | | | | | | Consumer, Cyclical: 17.9% | |
| | | | 2,345,000 (2) | | | | 1011778 BC ULC / New
Red Finance, Inc., 5.000%,
10/15/25 | | | | | 2,374,313 | | | | | | 0.4 | | |
| | | | 1,580,000 (2) | | | | Adient Global Holdings
Ltd., 4.875%, 08/15/26 | | | | | 1,631,350 | | | | | | 0.3 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Consumer, Cyclical (continued) | |
| | | | 2,250,000 (1) | | | | AMC Entertainment
Holdings, Inc., 5.875%,
02/15/22-11/15/26 | | | | $ | 2,241,875 | | | | | | 0.4 | | |
| | | | 705,000 (2) | | | | American Greetings Corp.,
7.875%, 02/15/25 | | | | | 764,925 | | | | | | 0.1 | | |
| | | | 1,480,000 (2) | | | | American Tire Distributors,
Inc., 10.250%, 03/01/22 | | | | | 1,531,800 | | | | | | 0.3 | | |
| | | | 1,270,000 (2) | | | | Ashton Woods USA LLC /
Ashton Woods Finance Co.,
6.750%, 08/01/25 | | | | | 1,274,762 | | | | | | 0.2 | | |
| | | | 1,308,000 (2) | | | | Ashton Woods USA LLC /
Ashton Woods Finance Co.,
6.875%, 02/15/21 | | | | | 1,339,065 | | | | | | 0.3 | | |
| | | | 2,390,000 | | | | Caleres, Inc.,
6.250%, 08/15/23 | | | | | 2,530,412 | | | | | | 0.5 | | |
| | | | 460,000 | (1)(2) | | Carlson Travel, Inc.,
6.750%, 12/15/23 | | | | | 417,450 | | | | | | 0.1 | | |
| | | | 465,000 (2) | | | | Carlson Travel, Inc.,
9.500%, 12/15/24 | | | | | 375,487 | | | | | | 0.0 | | |
| | | | 1,170,000 (2) | | | | Carmike Cinemas, Inc.,
6.000%, 06/15/23 | | | | | 1,228,500 | | | | | | 0.2 | | |
| | | | 1,880,000 (2) | | | | CCM Merger, Inc., 6.000%,
03/15/22 | | | | | 1,934,050 | | | | | | 0.3 | | |
| | | | 2,135,000 | | | | Cedar Fair L.P. / Canada’s
Wonderland Co. / Magnum
Management Corp.,
5.375%, 06/01/24 | | | | | 2,241,750 | | | | | | 0.4 | | |
| | | | 2,900,000 | | | | Century Communities, Inc.,
5.875%, 07/15/25 | | | | | 2,921,750 | | | | | | 0.5 | | |
| | | | 1,875,000 (2) | | | | Cooper-Standard
Automotive, Inc., 5.625%,
11/15/26 | | | | | 1,940,625 | | | | | | 0.4 | | |
| | | | 2,895,000 (2) | | | | CRC Escrow Issuer LLC /
CRC Finco, Inc., 5.250%,
10/15/25 | | | | | 2,932,056 | | | | | | 0.5 | | |
| | | | 2,320,000 (2) | | | | DBP Holding Corp.,
7.750%, 10/15/20 | | | | | 1,299,200 | | | | | | 0.2 | | |
| | | | 1,715,000 (2) | | | | EMI Music Publishing
Group North America
Holdings, Inc., 7.625%,
06/15/24 | | | | | 1,890,787 | | | | | | 0.3 | | |
| | | | 2,275,000 (2) | | | | Golden Nugget, Inc.,
6.750%, 10/15/24 | | | | | 2,320,500 | | | | | | 0.4 | | |
| | | | 1,175,000 | (1)(2) | | Guitar Center, Inc., 6.500%,
04/15/19 | | | | | 1,092,750 | | | | | | 0.2 | | |
| | | | 805,000 (2) | | | | H&E Equipment Services,
Inc., 5.625%, 09/01/25 | | | | | 843,238 | | | | | | 0.2 | | |
| | | | 3,560,000 (2) | | | | Hot Topic, Inc., 9.250%,
06/15/21 | | | | | 3,399,800 | | | | | | 0.6 | | |
| | | | 980,000 (2) | | | | International Game
Technology PLC, 6.250%,
02/15/22 | | | | | 1,060,850 | | | | | | 0.2 | | |
| | | | 955,000 (2) | | | | International Game
Technology PLC, 6.500%,
02/15/25 | | | | | 1,071,988 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Consumer, Cyclical (continued) | |
| | | | 880,000 (2) | | | | KFC Holding Co/Pizza Hut
Holdings LLC/Taco Bell of
America LLC, 5.000%,
06/01/24 | | | | $ | 909,700 | | | | | | 0.1 | | |
| | | | 880,000 (2) | | | | KFC Holding Co/Pizza Hut
Holdings LLC/Taco Bell of
America LLC, 5.250%,
06/01/26 | | | | | 928,400 | | | | | | 0.2 | | |
| | | | 1,845,000 (2) | | | | Lions Gate Entertainment
Corp., 5.875%, 11/01/24 | | | | | 1,958,006 | | | | | | 0.4 | | |
| | | | 2,720,000 | | | | Meritage Homes Corp.,
5.125%-7.000%,
04/01/22-06/06/27 | | | | | 2,938,850 | | | | | | 0.5 | | |
| | | | 2,500,000 | | | | MGM Resorts International,
6.625%-6.750%,
10/01/20-12/15/21 | | | | | 2,740,650 | | | | | | 0.5 | | |
| | | | 1,600,000 (2) | | | | Navistar International
Corp., 6.625%, 11/01/25 | | | | | 1,673,408 | | | | | | 0.3 | | |
| | | | 680,000 (2) | | | | Neiman Marcus Group Ltd.,
Inc., 8.000%, 10/15/21 | | | | | 394,536 | | | | | | 0.1 | | |
| | | | 2,095,000 | (1)(2)(4) | | Neiman Marcus Group Ltd.,
Inc., 8.750% (PIK Rate
9.500%, Cash Rate
8.750%), 10/15/21 | | | | | 1,130,881 | | | | | | 0.2 | | |
| | | | 2,215,000 (2) | | | | Penn National Gaming,
Inc., 5.625%, 01/15/27 | | | | | 2,303,600 | | | | | | 0.4 | | |
| | | | 235,000 (2) | | | | PetSmart, Inc., 5.875%,
06/01/25 | | | | | 181,537 | | | | | | 0.0 | | |
| | | | 3,370,000 (2) | | | | PetSmart, Inc., 7.125%,
03/15/23 | | | | | 2,013,575 | | | | | | 0.4 | | |
| | | | 2,415,000 | (1)(2) | | Rite Aid Corp., 6.125%,
04/01/23 | | | | | 2,188,594 | | | | | | 0.4 | | |
| | | | 845,000 (2) | | | | Scientific Games
International, Inc., 5.000%,
10/15/25 | | | | | 849,225 | | | | | | 0.1 | | |
| | | | 810,000 (2) | | | | Scientific Games
International, Inc., 7.000%,
01/01/22 | | | | | 855,562 | | | | | | 0.2 | | |
| | | | 2,825,000 | | | | Scientific Games
International, Inc.,
6.625%-10.000%,
05/15/21-12/01/22 | | | | | 3,046,644 | | | | | | 0.5 | | |
| | | | 1,640,000 (2) | | | | Silversea Cruise Finance
Ltd., 7.250%, 02/01/25 | | | | | 1,775,300 | | | | | | 0.3 | | |
| | | | 775,000 (2) | | | | Six Flags Entertainment
Corp., 4.875%, 07/31/24 | | | | | 788,563 | | | | | | 0.1 | | |
| | | | 1,550,000 (2) | | | | Six Flags Entertainment
Corp., 5.500%, 04/15/27 | | | | | 1,608,125 | | | | | | 0.3 | | |
| | | | 1,995,000 (2) | | | | Station Casinos LLC,
5.000%, 10/01/25 | | | | | 2,009,963 | | | | | | 0.4 | | |
| | | | 2,050,000 (2) | | | | Tops Holding LLC / Tops
Markets II Corp., 8.000%,
06/15/22 | | | | | 1,117,250 | | | | | | 0.2 | | |
| | | | 1,330,000 (2) | | | | Viking Cruises Ltd.,
5.875%, 09/15/27 | | | | | 1,356,600 | | | | | | 0.2 | | |
| | | | 465,000 (2) | | | | WMG Acquisition Corp.,
5.625%, 04/15/22 | | | | | 480,694 | | | | | | 0.1 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Consumer, Cyclical (continued) | |
| | | | 2,140,000 (2) | | | | WMG Acquisition Corp.,
6.750%, 04/15/22 | | | | $ | 2,241,650 | | | | | | 0.4 | | |
| | | | 800,000 (2) | | | | Wolverine World Wide,
Inc., 5.000%, 09/01/26 | | | | | 800,000 | | | | | | 0.1 | | |
| | | | 23,490,000 (5) | | | | Other Securities | | | | | 24,523,813 | | | | | | 4.3 | | |
| | | | | | | | | | | | | 101,474,409 | | | | | | 17.9 | | |
| | | | | | | | Consumer, Non-cyclical: 17.4% | |
| | | | 1,235,313 | (2)(4) | | BI-LO LLC / BI-LO Finance
Corp., 8.625% (PIK Rate
9.375%, Cash Rate
8.625%), 09/15/18 | | | | | 401,477 | | | | | | 0.1 | | |
| | | | 1,165,000 | (1)(2) | | BI-LO LLC / BI-LO Finance
Corp., 9.250%, 02/15/19 | | | | | 1,115,487 | | | | | | 0.2 | | |
| | | | 1,190,000 (2) | | | | Cardtronics, Inc. /
Cardtronics USA, Inc.,
5.500%, 05/01/25 | | | | | 1,079,925 | | | | | | 0.2 | | |
| | | | 3,295,000 | | | | Centene Corp.,
4.750%-6.125%,
02/15/21-01/15/25 | | | | | 3,412,250 | | | | | | 0.6 | | |
| | | | 4,290,000 (1) | | | | CHS/Community Health
Systems, Inc.,
6.250%-8.000%,
11/15/19-03/31/23 | | | | | 3,622,175 | | | | | | 0.6 | | |
| | | | 1,410,000 (2) | | | | Cott Holdings, Inc., 5.500%,
04/01/25 | | | | | 1,454,062 | | | | | | 0.3 | | |
| | | | 1,750,000 (2) | | | | APTIM Corp., 7.750%,
06/15/25 | | | | | 1,680,000 | | | | | | 0.3 | | |
| | | | 1,245,000 | (2)(4) | | Eagle Holding CO II LLC,
7.625% (PIK Rate 8.375%,
Cash Rate 7.625%),
05/15/22 | | | | | 1,269,900 | | | | | | 0.2 | | |
| | | | 400,000 | (1)(2) | | Endo Dac / Endo Finance
LLC / Endo Finco, Inc.,
5.875%, 10/15/24 | | | | | 407,000 | | | | | | 0.1 | | |
| | | | 1,155,000 (2) | | | | Endo Finance LLC / Endo
Finco, Inc., 5.375%,
01/15/23 | | | | | 906,675 | | | | | | 0.1 | | |
| | | | 675,000 (2) | | | | Envision Healthcare Corp.,
5.125%, 07/01/22 | | | | | 658,125 | | | | | | 0.1 | | |
| | | | 2,000,000 | | | | Envision Healthcare Corp.,
5.625%, 07/15/22 | | | | | 2,030,000 | | | | | | 0.4 | | |
| | | | 2,000,000 | | | | HCA Healthcare, Inc.,
6.250%, 02/15/21 | | | | | 2,125,000 | | | | | | 0.4 | | |
| | | | 3,500,000 | | | | HCA, Inc., 7.500%,
02/15/22 | | | | | 3,946,250 | | | | | | 0.7 | | |
| | | | 4,535,000 | | | | HCA, Inc., 5.375%-5.875%,
05/01/23-06/15/47 | | | | | 4,719,437 | | | | | | 0.8 | | |
| | | | 354,000 (2) | | | | Herc Rentals, Inc., 7.500%,
06/01/22 | | | | | 383,205 | | | | | | 0.0 | | |
| | | | 434,000 | (1)(2) | | Herc Rentals, Inc., 7.750%,
06/01/24 | | | | | 478,485 | | | | | | 0.1 | | |
| | | | 560,000 | (1)(2) | | Hertz Corp./The, 7.625%,
06/01/22 | | | | | 588,000 | | | | | | 0.1 | | |
| | | | 1,365,000 | (1)(2) | | Hertz Corp., 5.500%,
10/15/24 | | | | | 1,238,737 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Consumer, Non-cyclical (continued) | |
| | | | 1,500,000 (1) | | | | Hertz Corp., 7.375%,
01/15/21 | | | | $ | 1,522,500 | | | | | | 0.3 | | |
| | | | 2,445,000 (2) | | | | Hill-Rom Holdings, Inc.,
5.750%, 09/01/23 | | | | | 2,570,306 | | | | | | 0.5 | | |
| | | | 2,405,000 (2) | | | | Jaguar Holding Co. II /
Pharmaceutical Product
Development LLC, 6.375%,
08/01/23 | | | | | 2,435,063 | | | | | | 0.4 | | |
| | | | 470,000 (2) | | | | JBS USA LUX SA / JBS
USA Finance, Inc., 5.750%,
06/15/25 | | | | | 454,725 | | | | | | 0.1 | | |
| | | | 2,250,000 (2) | | | | JBS USA LUX SA / JBS
USA Finance, Inc., 5.875%,
07/15/24 | | | | | 2,185,313 | | | | | | 0.4 | | |
| | | | 935,000 (2) | | | | Lamb Weston Holdings,
Inc., 4.625%, 11/01/24 | | | | | 967,725 | | | | | | 0.1 | | |
| | | | 935,000 (2) | | | | Lamb Weston Holdings,
Inc., 4.875%, 11/01/26 | | | | | 979,413 | | | | | | 0.2 | | |
| | | | 2,040,000 (2) | | | | Live Nation Entertainment,
Inc., 5.375%, 06/15/22 | | | | | 2,113,950 | | | | | | 0.4 | | |
| | | | 1,920,000 (2) | | | | Midas Intermediate Holdco
II LLC / Midas Intermediate
Holdco II Finance, Inc.,
7.875%, 10/01/22 | | | | | 1,944,000 | | | | | | 0.3 | | |
| | | | 2,570,000 (2) | | | | MPH Acquisition Holdings
LLC, 7.125%, 06/01/24 | | | | | 2,743,475 | | | | | | 0.5 | | |
| | | | 925,000 (2) | | | | Nielsen Finance LLC /
Nielsen Finance Co.,
5.000%, 04/15/22 | | | | | 953,906 | | | | | | 0.2 | | |
| | | | 380,000 (2) | | | | Pilgrim’s Pride Corp.,
5.750%, 03/15/25 | | | | | 392,350 | | | | | | 0.0 | | |
| | | | 380,000 (2) | | | | Pilgrim’s Pride Corp.,
5.875%, 09/30/27 | | | | | 392,350 | | | | | | 0.1 | | |
| | | | 545,000 | (2)(4) | | Polaris Intermediate Corp.,
8.500% (PIK Rate 8.500%,
Cash Rate 0.000%),
12/01/22 | | | | | 566,800 | | | | | | 0.1 | | |
| | | | 900,000 (2) | | | | Post Holdings, Inc.,
5.000%, 08/15/26 | | | | | 887,625 | | | | | | 0.2 | | |
| | | | 1,100,000 (2) | | | | Post Holdings, Inc.,
8.000%, 07/15/25 | | | | | 1,241,625 | | | | | | 0.2 | | |
| | | | 2,060,000 (2) | | | | Sterigenics-Nordion
Holdings LLC, 6.500%,
05/15/23 | | | | | 2,152,700 | | | | | | 0.4 | | |
| | | | 1,175,000 | (2)(4) | | Sterigenics-Nordion Topco
LLC, 8.125% (PIK Rate
8.875%, Cash Rate
8.125%), 11/01/21 | | | | | 1,189,688 | | | | | | 0.2 | | |
| | | | 1,105,000 (2) | | | | Tenet Healthcare Corp.,
5.125%, 05/01/25 | | | | | 1,081,519 | | | | | | 0.2 | | |
| | | | 4,615,000 (1) | | | | Tenet Healthcare Corp.,
6.750%-8.125%,
02/01/20-06/15/23 | | | | | 4,610,481 | | | | | | 0.8 | | |
| | | | 1,285,000 (2) | | | | US Foods, Inc., 5.875%,
06/15/24 | | | | | 1,355,675 | | | | | | 0.2 | | |
| | | | 1,000,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 5.500%,
03/01/23 | | | | | 920,000 | | | | | | 0.2 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Consumer, Non-cyclical (continued) | |
| | | | 1,350,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 5.500%,
11/01/25 | | | | $ | 1,380,375 | | | | | | 0.2 | | |
| | | | 1,080,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 6.125%,
04/15/25 | | | | | 992,250 | | | | | | 0.2 | | |
| | | | 355,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 6.500%,
03/15/22 | | | | | 373,637 | | | | | | 0.1 | | |
| | | | 3,055,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 6.750%,
08/15/21 | | | | | 3,089,369 | | | | | | 0.5 | | |
| | | | 720,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 7.000%,
03/15/24 | | | | | 772,200 | | | | | | 0.1 | | |
| | | | 2,480,000 | (1)(2) | | Valeant Pharmaceuticals
International, Inc., 7.250%,
07/15/22 | | | | | 2,517,200 | | | | | | 0.4 | | |
| | | | 280,000 (2) | | | | Valeant Pharmaceuticals
International, Inc., 9.000%,
12/15/25 | | | | | 292,516 | | | | | | 0.0 | | |
| | | | 2,800,000 (2) | | | | Vizient, Inc., 10.375%,
03/01/24 | | | | | 3,157,000 | | | | | | 0.5 | | |
| | | | 2,215,000 (2) | | | | West Street Merger Sub,
Inc., 6.375%, 09/01/25 | | | | | 2,231,613 | | | | | | 0.4 | | |
| | | | 18,733,000 (5) | | | | Other Securities | | | | | 18,584,144 | | | | | | 3.3 | | |
| | | | | | | | | | | | | 98,567,683 | | | | | | 17.4 | | |
| | | | | | | | Energy: 15.2% | |
| | | | 2,800,000 | (1)(2) | | California Resources Corp.,
8.000%, 12/15/22 | | | | | 2,320,500 | | | | | | 0.4 | | |
| | | | 1,520,000 (2) | | | | Centennial Resource
Production LLC, 5.375%,
01/15/26 | | | | | 1,552,300 | | | | | | 0.3 | | |
| | | | 2,140,000 | | | | Cheniere Corpus Christi
Holdings LLC, 5.125%,
06/30/27 | | | | | 2,218,966 | | | | | | 0.4 | | |
| | | | 1,155,000 | | | | Cheniere Corpus Christi
Holdings LLC, 5.875%,
03/31/25 | | | | | 1,253,897 | | | | | | 0.2 | | |
| | | | 1,480,000 (1) | | | | Chesapeake Energy Corp.,
6.125%, 02/15/21 | | | | | 1,505,900 | | | | | | 0.2 | | |
| | | | 2,140,000 | (1)(2) | | Chesapeake Energy Corp.,
8.000%, 01/15/25 | | | | | 2,164,075 | | | | | | 0.4 | | |
| | | | 1,000,000 (2) | | | | Continental Resources,
Inc./OK, 4.375%, 01/15/28 | | | | | 988,450 | | | | | | 0.2 | | |
| | | | 2,750,000 | | | | Continental Resources,
Inc./OK, 4.500%-5.000%,
09/15/22-04/15/23 | | | | | 2,806,250 | | | | | | 0.5 | | |
| | | | 1,885,000 (2) | | | | Covey Park Energy LLC /
Covey Park Finance Corp.,
7.500%, 05/15/25 | | | | | 1,969,259 | | | | | | 0.4 | | |
| | | | 2,245,000 (2) | | | | Delek Logistics Partners
L.P., 6.750%, 05/15/25 | | | | | 2,278,675 | | | | | | 0.4 | | |
| | | | 760,000 (2) | | | | Endeavor Energy
Resources L.P. / EER
Finance, Inc., 5.500%,
01/30/26 | | | | | 775,200 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Energy (continued) | |
| | | | 1,140,000 (2) | | | | Endeavor Energy
Resources L.P. / EER
Finance, Inc., 5.750%,
01/30/28 | | | | $ | 1,175,055 | | | | | | 0.2 | | |
| | | | 380,000 (2) | | | | Gulfport Energy Corp.,
6.375%, 01/15/26 | | | | | 383,800 | | | | | | 0.1 | | |
| | | | 945,000 (2) | | | | Hess Infrastructure
Partners L.P. / Hess
Infrastructure Partners
Finance Corp., 5.625%,
02/15/26 | | | | | 980,437 | | | | | | 0.2 | | |
| | | | 2,000,000 (2) | | | | Hilcorp Energy I L.P. /
Hilcorp Finance Co.,
5.000%, 12/01/24 | | | | | 1,990,000 | | | | | | 0.4 | | |
| | | | 1,900,000 (2) | | | | Jonah Energy LLC / Jonah
Energy Finance Corp.,
7.250%, 10/15/25 | | | | | 1,916,625 | | | | | | 0.3 | | |
| | | | 2,365,000 (2) | | | | Lonestar Resources
America, Inc., 8.750%,
04/15/19 | | | | | 2,487,980 | | | | | | 0.4 | | |
| | | | 990,000 (2) | | | | Lonestar Resources
America, Inc., 11.250%,
01/01/23 | | | | | 1,017,225 | | | | | | 0.2 | | |
| | | | 2,760,000 | | | | Murphy Oil Corp.,
4.450%-6.875%,
12/01/22-08/15/25 | | | | | 2,820,131 | | | | | | 0.5 | | |
| | | | 2,070,000 | | | | Murphy Oil USA, Inc.,
5.625%-6.000%,
08/15/23-05/01/27 | | | | | 2,168,777 | | | | | | 0.4 | | |
| | | | 1,415,000 | (1)(2) | | Murray Energy Corp.,
11.250%, 04/15/21 | | | | | 728,725 | | | | | | 0.1 | | |
| | | | 225,000 (2) | | | | NGPL PipeCo LLC,
4.375%, 08/15/22 | | | | | 229,641 | | | | | | 0.0 | | |
| | | | 850,000 (2) | | | | NGPL PipeCo LLC,
4.875%, 08/15/27 | | | | | 885,062 | | | | | | 0.2 | | |
| | | | 2,250,000 | | | | PBF Logistics L.P. / PBF
Logistics Finance Corp.,
6.875%, 05/15/23 | | | | | 2,328,750 | | | | | | 0.4 | | |
| | | | 315,000 (2) | | | | PBF Logistics L.P. / PBF
Logistics Finance Corp.,
6.875%, 05/15/23 | | | | | 326,025 | | | | | | 0.1 | | |
| | | | 2,000,000 (2) | | | | Rockies Express Pipeline
LLC, 5.625%, 04/15/20 | | | | | 2,105,000 | | | | | | 0.4 | | |
| | | | 1,900,000 (2) | | | | SRC Energy, Inc., 6.250%,
12/01/25 | | | | | 1,952,250 | | | | | | 0.3 | | |
| | | | 1,670,000 (2) | | | | Tallgrass Energy Partners
L.P. / Tallgrass Energy
Finance Corp., 5.500%,
01/15/28 | | | | | 1,692,462 | | | | | | 0.3 | | |
| | | | 1,940,000 (2) | | | | Vermilion Energy, Inc.,
5.625%, 03/15/25 | | | | | 1,937,575 | | | | | | 0.3 | | |
| | | | 3,237,000 | | | | WPX Energy, Inc., 6.000%,
01/15/22 | | | | | 3,398,850 | | | | | | 0.6 | | |
| | | | 37,688,000 (5) | | | | Other Securities | | | | | 35,701,896 | | | | | | 6.3 | | |
| | | | | | | | | | | | | 86,059,738 | | | | | | 15.2 | | |
| | | | | | | | Financial: 4.3% | |
| | | | 2,200,000 (1) | | | | Ally Financial, Inc., 5.750%,
11/20/25 | | | | | 2,406,250 | | | | | | 0.4 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Financial (continued) | |
| | | | 2,152,000 | | | | Ally Financial, Inc.,
7.500%-8.000%,
09/15/20-11/01/31 | | | | $ | 2,706,730 | | | | | | 0.5 | | |
| | | | 2,100,000 (2) | | | | ESH Hospitality, Inc.,
5.250%, 05/01/25 | | | | | 2,126,250 | | | | | | 0.4 | | |
| | | | 800,000 (2) | | | | FBM Finance, Inc., 8.250%,
08/15/21 | | | | | 854,000 | | | | | | 0.1 | | |
| | | | 2,535,000 | | | | Navient Corp., 5.875%,
10/25/24 | | | | | 2,528,662 | | | | | | 0.5 | | |
| | | | 2,750,000 | | | | Navient Corp.,
6.125%-7.250%,
09/25/23-03/25/24 | | | | | 2,903,125 | | | | | | 0.5 | | |
| | | | 1,065,000 (2) | | | | Quicken Loans, Inc.,
5.250%, 01/15/28 | | | | | 1,054,031 | | | | | | 0.2 | | |
| | | | 1,210,000 (2) | | | | Realogy Group LLC /
Realogy Co-Issuer Corp.,
5.250%, 12/01/21 | | | | | 1,256,888 | | | | | | 0.2 | | |
| | | | 1,755,000 (2) | | | | Tempo Acquisition LLC /
Tempo Acquisition Finance
Corp., 6.750%, 06/01/25 | | | | | 1,790,100 | | | | | | 0.3 | | |
| | | | 6,712,000 | | | | Other Securities | | | | | 7,071,601 | | | | | | 1.2 | | |
| | | | | | | | | | | | | 24,697,637 | | | | | | 4.3 | | |
| | | | | | | | Industrial: 10.4% | |
| | | | 1,875,000 (2) | | | | Advanced Disposal
Services, Inc., 5.625%,
11/15/24 | | | | | 1,921,875 | | | | | | 0.3 | | |
| | | | 2,510,000 | | | | AECOM, 5.750%-5.875%,
10/15/22-10/15/24 | | | | | 2,705,741 | | | | | | 0.5 | | |
| | | | 2,375,000 (4) | | | | ARD Finance SA, 7.125%
(PIK Rate 7.875%, Cash
Rate 0.000%), 09/15/23 | | | | | 2,487,812 | | | | | | 0.4 | | |
| | | | 492,000 (2) | | | | Ardagh Packaging Finance
PLC / Ardagh Holdings
USA, Inc., 6.000%,
02/15/25 | | | | | 519,060 | | | | | | 0.1 | | |
| | | | 1,000,000 (2) | | | | Ardagh Packaging Finance
PLC / Ardagh Holdings
USA, Inc., 7.250%,
05/15/24 | | | | | 1,092,500 | | | | | | 0.2 | | |
| | | | 1,670,000 (2) | | | | ATS Automation Tooling
Systems, Inc., 6.500%,
06/15/23 | | | | | 1,753,500 | | | | | | 0.3 | | |
| | | | 1,005,000 (2) | | | | BMC East LLC, 5.500%,
10/01/24 | | | | | 1,042,687 | | | | | | 0.2 | | |
| | | | 1,250,000 (2) | | | | Bombardier, Inc., 6.000%,
10/15/22 | | | | | 1,237,500 | | | | | | 0.2 | | |
| | | | 165,000 | (1)(2) | | Bombardier, Inc., 7.500%,
12/01/24 | | | | | 167,887 | | | | | | 0.0 | | |
| | | | 2,350,000 (2) | | | | Bombardier, Inc., 8.750%,
12/01/21 | | | | | 2,596,750 | | | | | | 0.5 | | |
| | | | 285,000 (2) | | | | Builders FirstSource, Inc.,
5.625%, 09/01/24 | | | | | 297,668 | | | | | | 0.1 | | |
| | | | 2,545,000 (2) | | | | BWAY Holding Co.,
7.250%, 04/15/25 | | | | | 2,634,075 | | | | | | 0.5 | | |
| | | | 1,520,000 (2) | | | | FXI Holdings, Inc., 7.875%,
11/01/24 | | | | | 1,520,456 | | | | | | 0.3 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Industrial (continued) | |
| | | | 1,750,000 (2) | | | | Gates Global LLC / Gates
Global Co., 6.000%,
07/15/22 | | | | $ | 1,798,125 | | | | | | 0.3 | | |
| | | | 1,600,000 (2) | | | | Itron, Inc., 5.000%,
01/15/26 | | | | | 1,610,000 | | | | | | 0.3 | | |
| | | | 960,000 (2) | | | | Jeld-Wen, Inc., 4.625%,
12/15/25 | | | | | 969,600 | | | | | | 0.1 | | |
| | | | 960,000 (2) | | | | Jeld-Wen, Inc., 4.875%,
12/15/27 | | | | | 972,000 | | | | | | 0.2 | | |
| | | | 1,300,000 (2) | | | | Koppers, Inc., 6.000%,
02/15/25 | | | | | 1,381,250 | | | | | | 0.2 | | |
| | | | 1,775,000 (2) | | | | Masonite International
Corp., 5.625%, 03/15/23 | | | | | 1,864,283 | | | | | | 0.3 | | |
| | | | 190,000 (2) | | | | Multi-Color Corp., 4.875%,
11/01/25 | | | | | 191,187 | | | | | | 0.0 | | |
| | | | 2,525,000 (2) | | | | Multi-Color Corp., 6.125%,
12/01/22 | | | | | 2,648,094 | | | | | | 0.5 | | |
| | | | 1,415,000 (2) | | | | Novelis Corp., 5.875%,
09/30/26 | | | | | 1,446,838 | | | | | | 0.2 | | |
| | | | 400,000 (2) | | | | Novelis Corp., 6.250%,
08/15/24 | | | | | 420,000 | | | | | | 0.1 | | |
| | | | 275,000 (2) | | | | Owens-Brockway Glass
Container, Inc., 5.875%,
08/15/23 | | | | | 296,828 | | | | | | 0.0 | | |
| | | | 2,000,000 (2) | | | | Owens-Brockway Glass
Container, Inc., 6.375%,
08/15/25 | | | | | 2,238,750 | | | | | | 0.4 | | |
| | | | 1,520,000 (2) | | | | Plastipak Holdings, Inc.,
6.250%, 10/15/25 | | | | | 1,569,400 | | | | | | 0.3 | | |
| | | | 870,000 (2) | | | | Reynolds Group Issuer,
Inc. / Reynolds Group
Issuer LLC / Reynolds
Group Issuer Lu,
5.125%, 07/15/23 | | | | | 901,537 | | | | | | 0.2 | | |
| | | | 115,000 (2) | | | | Reynolds Group Issuer,
Inc. / Reynolds Group
Issuer LLC / Reynolds
Group Issuer Lu, 7.000%,
07/15/24 | | | | | 123,381 | | | | | | 0.0 | | |
| | | | 2,000,000 (2) | | | | RSI Home Products, Inc.,
6.500%, 03/15/23 | | | | | 2,105,000 | | | | | | 0.4 | | |
| | | | 1,000,000 (2) | | | | Sealed Air Corp., 5.500%,
09/15/25 | | | | | 1,092,500 | | | | | | 0.2 | | |
| | | | 500,000 (2) | | | | Sealed Air Corp., 6.500%,
12/01/20 | | | | | 550,000 | | | | | | 0.1 | | |
| | | | 2,515,000 (2) | | | | Shape Technologies Group,
Inc., 7.625%, 02/01/20 | | | | | 2,577,875 | | | | | | 0.5 | | |
| | | | 2,295,000 (2) | | | | Standard Industries,
Inc./NJ, 6.000%, 10/15/25 | | | | | 2,461,388 | | | | | | 0.4 | | |
| | | | 510,000 | | | | Summit Materials LLC /
Summit Materials Finance
Corp., 6.125%, 07/15/23 | | | | | 532,950 | | | | | | 0.1 | | |
| | | | 2,000,000 | | | | Summit Materials LLC /
Summit Materials Finance
Corp., 8.500%, 04/15/22 | | | | | 2,225,000 | | | | | | 0.4 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Industrial (continued) | |
| | | | 2,030,000 (2) | | | | Wrangler Buyer Corp.,
6.000%, 10/01/25 | | | | $ | 2,101,050 | | | | | | 0.4 | | |
| | | | 1,260,000 (2) | | | | Zekelman Industries, Inc.,
9.875%, 06/15/23 | | | | | 1,420,650 | | | | | | 0.2 | | |
| | | | 5,309,554 | | | | Other Securities | | | | | 5,496,253 | | | | | | 1.0 | | |
| | | | | | | | | | | | | 58,971,450 | | | | | | 10.4 | | |
| | | | | | | | Technology: 6.3% | |
| | | | 1,575,000 (2) | | | | Ascend Learning LLC,
6.875%, 08/01/25 | | | | | 1,630,125 | | | | | | 0.3 | | |
| | | | 2,000,000 (2) | | | | BMC Software Finance,
Inc., 8.125%, 07/15/21 | | | | | 2,022,500 | | | | | | 0.3 | | |
| | | | 900,000 | (2)(4) | | Boxer Parent Co., Inc.,
9.000% (PIK Rate 9.750%,
Cash Rate 9.000%),
10/15/19 | | | | | 902,925 | | | | | | 0.1 | | |
| | | | 1,595,000 (2) | | | | CDK Global, Inc., 4.875%,
06/01/27 | | | | | 1,618,925 | | | | | | 0.3 | | |
| | | | 940,000 (2) | | | | Change Healthcare
Holdings LLC / Change
Healthcare Finance, Inc.,
5.750%, 03/01/25 | | | | | 943,525 | | | | | | 0.2 | | |
| | | | 1,200,000 (2) | | | | Dell International LLC /
EMC Corp., 5.450%,
06/15/23 | | | | | 1,298,077 | | | | | | 0.2 | | |
| | | | 445,000 (2) | | | | Dell International LLC /
EMC Corp., 5.875%,
06/15/21 | | | | | 462,800 | | | | | | 0.1 | | |
| | | | 1,200,000 (2) | | | | Dell International LLC /
EMC Corp., 6.020%,
06/15/26 | | | | | 1,324,987 | | | | | | 0.2 | | |
| | | | 445,000 (2) | | | | Dell International LLC /
EMC Corp., 7.125%,
06/15/24 | | | | | 487,383 | | | | | | 0.1 | | |
| | | | 1,000,000 (2) | | | | First Data Corp., 5.750%,
01/15/24 | | | | | 1,042,250 | | | | | | 0.2 | | |
| | | | 3,650,000 (2) | | | | First Data Corp., 7.000%,
12/01/23 | | | | | 3,869,000 | | | | | | 0.7 | | |
| | | | 2,000,000 | (2)(4) | | Infor Software Parent LLC /
Infor Software Parent, Inc.,
7.125% (PIK Rate 7.875%,
Cash Rate 7.125%),
05/01/21 | | | | | 2,055,000 | | | | | | 0.4 | | |
| | | | 1,895,000 (2) | | | | Micron Technology, Inc.,
5.250%, 01/15/24 | | | | | 1,977,906 | | | | | | 0.3 | | |
| | | | 910,000 (2) | | | | MSCI, Inc., 5.250%,
11/15/24 | | | | | 963,462 | | | | | | 0.2 | | |
| | | | 865,000 (2) | | | | MSCI, Inc., 5.750%,
08/15/25 | | | | | 933,119 | | | | | | 0.1 | | |
| | | | 1,780,000 (2) | | | | Open Text Corp., 5.625%,
01/15/23 | | | | | 1,862,325 | | | | | | 0.3 | | |
| | | | 535,000 (2) | | | | Open Text Corp., 5.875%,
06/01/26 | | | | | 577,800 | | | | | | 0.1 | | |
| | | | 1,000,000 (2) | | | | Quintiles IMS, Inc., 5.000%,
10/15/26 | | | | | 1,028,750 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Technology (continued) | |
| | | | 1,430,000 (2) | | | | RP Crown Parent LLC,
7.375%, 10/15/24 | | | | $ | 1,501,500 | | | | | | 0.3 | | |
| | | | 400,000 (2) | | | | Veritas US, Inc. / Veritas
Bermuda Ltd., 7.500%,
02/01/23 | | | | | 420,000 | | | | | | 0.1 | | |
| | | | 1,745,000 (2) | | | | Veritas US, Inc. / Veritas
Bermuda Ltd., 10.500%,
02/01/24 | | | | | 1,823,525 | | | | | | 0.3 | | |
| | | | 6,760,000 | | | | Other Securities | | | | | 7,186,175 | | | | | | 1.3 | | |
| | | | | | | | | | | | | 35,932,059 | | | | | | 6.3 | | |
| | | | | | | | Utilities: 1.6% | |
| | | | 2,000,000 (2) | | | | LBC Tank Terminals
Holding Netherlands BV,
6.875%, 05/15/23 | | | | | 2,092,500 | | | | | | 0.4 | | |
| | | | 760,000 (2) | | | | NRG Energy, Inc., 5.750%,
01/15/28 | | | | | 769,500 | | | | | | 0.1 | | |
| | | | 2,775,000 | | | | NRG Energy, Inc.,
6.250%-7.250%,
07/15/22-01/15/27 | | | | | 2,941,402 | | | | | | 0.5 | | |
| | | | 3,414,000 (5) | | | | Other Securities | | | | | 3,355,306 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 9,158,708 | | | | | | 1.6 | | |
| | | | | | | | Total Corporate
Bonds/Notes
(Cost $539,090,906) | | | | | 547,976,630 | | | | | | 96.5 | | |
| | CONVERTIBLE BONDS/NOTES: 0.0% | |
| | | | | | | | Financial: 0.0% | |
| | | | 499,200 | (2)(6) | | Lehman Brothers Holdings,
Inc., 8.160%, 05/30/09 | | | | | 12,012 | | | | | | 0.0 | | |
| | | | | | | | Total Convertible
Bonds/Notes
(Cost $451,666) | | | | | 12,012 | | | | | | 0.0 | | |
| | BANK LOANS: 0.6% | |
| | | | | | | | Communications: 0.3% | |
| | | | 2,250,000 | | | | iHeart Communications,
Inc. Term Loan D, 8.122%,
(US0003M + 6.750%),
01/30/19 | | | | | 1,697,812 | | | | | | 0.3 | | |
| | | | | | | | Healthcare - Services: 0.3% | |
| | | | 1,696,793 | | | | Kindred Healthcare, Inc.,
5.100%, (US0003M +
3.500%), 04/09/21 | | | | | 1,708,459 | | | | | | 0.3 | | |
| | | | | | | | Total Bank Loans
(Cost $3,704,442) | | | | | 3,406,271 | | | | | | 0.6 | | |
| | | | | | | | Total Long-Term
Investments
(Cost $543,247,014) | | | | | 551,394,913 | | | | | | 97.1 | | |
| |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: 7.5% | |
| | | | | | | | Securities Lending Collateral(7): 7.5% | |
| | | | 10,089,417 | | | | Bank of Nova Scotia/New
York, Repurchase
Agreement dated 12/29/17,
1.38%, due 01/02/18
(Repurchase Amount
$10,090,943, collateralized
by various U.S.
Government Agency
Obligations,
3.500%-4.000%, Market
Value plus accrued interest
$10,292,783, due
07/20/45-11/01/47) | | | | $ | 10,089,417 | | | | | | 1.8 | | |
| | | | 10,089,417 | | | | Jefferies LLC, Repurchase
Agreement dated 12/29/17,
1.65%, due 01/02/18
(Repurchase Amount
$10,091,241, collateralized
by various U.S.
Government Agency
Obligations,
2.336%-4.279%, Market
Value plus accrued interest
$10,291,205, due
03/01/29-11/20/67) | | | | | 10,089,417 | | | | | | 1.8 | | |
| | | | 2,122,178 | | | | JPMorgan Chase & Co.,
Repurchase Agreement
dated 12/29/17, 1.41%, due
01/02/18 (Repurchase
Amount $2,122,506,
collateralized by various
U.S. Government
Securities, 1.375%-2.125%,
Market Value plus accrued
interest $2,164,624, due
08/31/18-03/31/24) | | | | | 2,122,178 | | | | | | 0.3 | | |
| | | | 10,089,417 | | | | Merrill Lynch & Co., Inc.,
Repurchase Agreement
dated 12/29/17, 1.41%, due
01/02/18 (Repurchase
Amount $10,090,976,
collateralized by various
U.S. Government Agency
Obligations,
1.982%-10.500%, Market
Value plus accrued interest
$10,291,205, due
01/15/18-08/01/48) | | | | | 10,089,417 | | | | | | 1.8 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya High Yield Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending Collateral(7) (continued) | |
| | | | 10,089,417 | | | | Nomura Securities,
Repurchase Agreement
dated 12/29/17, 1.42%,
due 01/02/18 (Repurchase
Amount $10,090,987,
collateralized by various
U.S. Government Agency
Obligations,
0.000%-7.500%, Market
Value plus accrued
interest $10,291,205, due
04/05/18-11/20/67) | | | | $ | 10,089,417 | | | | | | 1.8 | | |
| | | | | | | | | | | | | 42,479,846 | | | | | | 7.5 | | |
| | | | | | | | Total Short-Term Investments | | | |
| | | | | | | | (Cost $42,479,846) | | | | | 42,479,846 | | | | | | 7.5 | | |
| | | | | | | | Total Investments in
Securities
(Cost $585,726,860) | | | | $ | 593,874,759 | | | | | | 104.6 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (26,062,446) | | | | | | (4.6) | | |
| | | | | | | | Net Assets | | | | $ | 567,812,313 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
(1)
Security, or a portion of the security, is on loan.
(2)
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.
(3)
The grouping contains securities in default.
(4)
All or a portion of this security is payment-in-kind (“PIK”) which may pay interest or additional principal at the issuer’s discretion. Rates shown are the current rate and possible payment rates.
(5)
The grouping contains securities on loan.
(6)
Defaulted security
(7)
Represents securities purchased with cash collateral received for securities on loan.
Reference Rate Abbreviations:
US0003M
3-month LIBOR
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Corporate Bonds/Notes | | | | $ | — | | | | | $ | 547,976,630 | | | | | $ | — | | | | | $ | 547,976,630 | | |
| Bank Loans | | | | | — | | | | | | 3,406,271 | | | | | | — | | | | | | 3,406,271 | | |
| Convertible Bonds/Notes | | | | | — | | | | | | 12,012 | | | | | | — | | | | | | 12,012 | | |
| Short-Term Investments | | | | | — | | | | | | 42,479,846 | | | | | | — | | | | | | 42,479,846 | | |
| Total Investments, at fair value | | | | $ | — | | | | | $ | 593,874,759 | | | | | $ | — | | | | | $ | 593,874,759 | | |
^
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $585,809,660. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 20,502,303 | | |
| | Gross Unrealized Depreciation | | | | | (12,437,204) | | |
| | Net Unrealized Appreciation | | | | $ | 8,065,099 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Growth Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 99.3% | |
| | | | | | | | Consumer Discretionary: 18.3% | |
| | | | 191,958 (1) | | | | Amazon.com, Inc. | | | | $ | 224,489,122 | | | | | | 3.6 | | |
| | | | 892,778 (1) | | | | Burlington Stores, Inc. | | | | | 109,838,477 | | | | | | 1.7 | | |
| | | | 4,594,753 | | | | Comcast Corp. – Class A | | | | | 184,019,858 | | | | | | 2.9 | | |
| | | | 1,041,028 (1) | | | | Dollar Tree, Inc. | | | | | 111,712,715 | | | | | | 1.8 | | |
| | | | 802,207 | | | | Hasbro, Inc. | | | | | 72,912,594 | | | | | | 1.2 | | |
| | | | 1,013,359 | | | | Home Depot, Inc. | | | | | 192,061,931 | | | | | | 3.0 | | |
| | | | 777,745 | | | | Marriott International, Inc. | | | | | 105,563,329 | | | | | | 1.7 | | |
| | | | 1,362,864 | | | | Tapestry, Inc. | | | | | 60,279,475 | | | | | | 1.0 | | |
| | | | 763,121 | | | | Other Securities | | | | | 88,937,030 | | | | | | 1.4 | | |
| | | | | | | | | | | | | 1,149,814,531 | | | | | | 18.3 | | |
| | | | | | | | Consumer Staples: 6.7% | |
| | | | 1,749,840 | | | | Church & Dwight Co., Inc. | | | | | 87,789,473 | | | | | | 1.4 | | |
| | | | 1,549,493 (1) | | | | Monster Beverage Corp. | | | | | 98,067,412 | | | | | | 1.6 | | |
| | | | 1,028,993 | | | | PepsiCo, Inc. | | | | | 123,396,840 | | | | | | 2.0 | | |
| | | | 1,819,062 | | | | Sysco Corp. | | | | | 110,471,635 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 419,725,360 | | | | | | 6.7 | | |
| | | | | | | | Energy: 0.8% | |
| | | | 398,803 (2) | | | | Other Securities | | | | | 50,348,879 | | | | | | 0.8 | | |
| | | | | | | | Financials: 4.0% | |
| | | | 530,800 | | | | Ameriprise Financial, Inc. | | | | | 89,954,676 | | | | | | 1.4 | | |
| | | | 866,906 | | | | Intercontinental Exchange,
Inc. | | | | | 61,168,887 | | | | | | 1.0 | | |
| | | | 1,819,657 | | | | Progressive Corp. | | | | | 102,483,082 | | | | | | 1.6 | | |
| | | | | | | | | | | | | 253,606,645 | | | | | | 4.0 | | |
| | | | | | | | Health Care: 12.9% | |
| | | | 237,770 (1) | | | | Biogen, Inc. | | | | | 75,746,389 | | | | | | 1.2 | | |
| | | | 4,111,055 (1) | | | | Boston Scientific Corp. | | | | | 101,913,053 | | | | | | 1.6 | | |
| | | | 1,047,845 (1) | | | | Celgene Corp. | | | | | 109,353,104 | | | | | | 1.7 | | |
| | | | 1,211,420 | | | | Gilead Sciences, Inc. | | | | | 86,786,129 | | | | | | 1.4 | | |
| | | | 989,522 | | | | Johnson & Johnson | | | | | 138,256,014 | | | | | | 2.2 | | |
| | | | 875,581 | | | | UnitedHealth Group, Inc. | | | | | 193,030,587 | | | | | | 3.1 | | |
| | | | 1,431,840 | | | | Zoetis, Inc. | | | | | 103,149,754 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 808,235,030 | | | | | | 12.9 | | |
| | | | | | | | Industrials: 12.9% | |
| | | | 874,371 | | | | Ametek, Inc. | | | | | 63,365,666 | | | | | | 1.0 | | |
| | | | 2,303,120 | | | | Delta Air Lines, Inc. | | | | | 128,974,720 | | | | | | 2.0 | | |
| | | | 742,646 | | | | Ingersoll-Rand PLC - Class A | | | | | 66,236,597 | | | | | | 1.1 | | |
| | | | 559,430 | | | | L3 Technologies, Inc. | | | | | 110,683,226 | | | | | | 1.8 | | |
| | | | 515,092 | | | | Parker Hannifin Corp. | | | | | 102,802,061 | | | | | | 1.6 | | |
| | | | 380,854 | | | | Stanley Black & Decker, Inc. | | | | | 64,627,115 | | | | | | 1.0 | | |
| | | | 886,174 | | | | Union Pacific Corp. | | | | | 118,835,934 | | | | | | 1.9 | | |
| | | | 1,304,978 | | | | Waste Management, Inc. | | | | | 112,619,601 | | | | | | 1.8 | | |
| | | | 490,396 | (2)(3) | | Other Securities | | | | | 44,915,370 | | | | | | 0.7 | | |
| | | | | | | | | | | | | 813,060,290 | | | | | | 12.9 | | |
| | | | | | | | Information Technology: 37.9% | |
| | | | 554,964 (1) | | | | Adobe Systems, Inc. | | | | | 97,251,891 | | | | | | 1.6 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | Information Technology (continued) | |
| | | | 157,021 (1) | | | | Alphabet, Inc. - Class A | | | | $ | 165,405,921 | | | | | | 2.6 | | |
| | | | 2,152,471 | | | | Apple, Inc. | | | | | 364,262,667 | | | | | | 5.8 | | |
| | | | 917,338 (1) | | | | Electronic Arts, Inc. | | | | | 96,375,530 | | | | | | 1.5 | | |
| | | | 1,039,221 (1) | | | | Facebook, Inc. | | | | | 183,380,938 | | | | | | 2.9 | | |
| | | | 986,763 | | | | Fidelity National
Information Services, Inc. | | | | | 92,844,531 | | | | | | 1.5 | | |
| | | | 595,491 | | | | Intuit, Inc. | | | | | 93,956,570 | | | | | | 1.5 | | |
| | | | 337,664 | | | | Lam Research Corp. | | | | | 62,153,812 | | | | | | 1.0 | | |
| | | | 760,716 | | | | Mastercard, Inc. - Class A | | | | | 115,141,974 | | | | | | 1.8 | | |
| | | | 726,451 | | | | Microchip Technology, Inc. | | | | | 63,840,514 | | | | | | 1.0 | | |
| | | | 4,658,556 | | | | Microsoft Corp. | | | | | 398,492,880 | | | | | | 6.4 | | |
| | | | 510,762 (1) | | | | Palo Alto Networks, Inc. | | | | | 74,029,844 | | | | | | 1.2 | | |
| | | | 1,157,721 | | | | Paychex, Inc. | | | | | 78,817,646 | | | | | | 1.3 | | |
| | | | 1,274,485 (1) | | | | Salesforce.com, Inc. | | | | | 130,290,602 | | | | | | 2.1 | | |
| | | | 1,514,063 | | | | Texas Instruments, Inc. | | | | | 158,128,740 | | | | | | 2.5 | | |
| | | | 870,584 | (1)(4) | | VMware, Inc. | | | | | 109,101,587 | | | | | | 1.7 | | |
| | | | 1,013,469 | (2)(3) | | Other Securities | | | | | 94,599,748 | | | | | | 1.5 | | |
| | | | | | | | | | | | | 2,378,075,395 | | | | | | 37.9 | | |
| | | | | | | | Materials: 3.3% | |
| | | | 1,073,093 (1) | | | | Crown Holdings, Inc. | | | | | 60,361,481 | | | | | | 1.0 | | |
| | | | 1,256,806 | | | | DowDuPont, Inc. | | | | | 89,509,724 | | | | | | 1.4 | | |
| | | | 972,512 (2) | | | | Other Securities | | | | | 57,057,279 | | | | | | 0.9 | | |
| | | | | | | | | | | | | 206,928,484 | | | | | | 3.3 | | |
| | | | | | | | Real Estate: 2.5% | |
| | | | 639,324 | | | | American Tower Corp. | | | | | 91,212,355 | | | | | | 1.5 | | |
| | | | 141,322 | | | | Equinix, Inc. | | | | | 64,049,957 | | | | | | 1.0 | | |
| | | | | | | | | | | | | 155,262,312 | | | | | | 2.5 | | |
| | | | | | | | Total Common Stock
(Cost $4,929,433,119) | | | | | 6,235,056,926 | | | | | | 99.3 | | |
| |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: 2.7% | |
| | | | | | | | Securities Lending Collateral(5): 1.8% | |
| | | | 27,499,891 | | | | Cantor Fitzgerald,
Repurchase Agreement
dated 12/29/17, 1.41%, due
01/02/18 (Repurchase
Amount $27,504,140,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-8.500%,
Market Value plus accrued
interest $28,049,889, due
01/31/18-06/20/63) | | | | | 27,499,891 | | | | | | 0.4 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Growth Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending Collateral(5) (continued) | |
| | | | 27,499,891 | | | | Daiwa Capital Markets,
Repurchase Agreement
dated 12/29/17, 1.43%, due
01/02/18 (Repurchase
Amount $27,504,201,
collateralized by various
U.S. Government/U.S.
Government Agency
Obligations, 0.000%-6.500%,
Market Value plus accrued
interest $28,049,890, due
01/11/18-12/01/51) | | | | $ | 27,499,891 | | | | | | 0.4 | | |
| | | | 27,499,891 | | | | Millenium Fixed Income Ltd.,
Repurchase Agreement
dated 12/29/17, 1.44%, due
01/02/18 (Repurchase
Amount $27,504,231,
collateralized by various
U.S. Government Securities,
2.875%-3.625%, Market
Value plus accrued interest
$28,049,890, due
02/15/43-02/15/44) | | | | | 27,499,891 | | | | | | 0.4 | | |
| | | | 5,784,799 | | | | RBC Dominion Securities
Inc., Repurchase Agreement
dated 12/29/17, 1.40%, due
01/02/18 (Repurchase
Amount $5,785,687,
collateralized by various
U.S. Government/U.S.
Government Agency
Obligations, 1.875%-8.875%,
Market Value plus accrued
interest $5,900,495, due
02/15/19-12/20/47) | | | | | 5,784,799 | | | | | | 0.1 | | |
| | | | 27,499,891 | | | | State of Wisconsin
Investment Board,
Repurchase Agreement
dated 12/29/17, 1.63%, due
01/02/18 (Repurchase
Amount $27,504,803,
collateralized by various
U.S. Government Securities,
0.125%-3.875%, Market
Value plus accrued interest
$28,263,551, due
01/15/19-02/15/46) | | | | | 27,499,891 | | | | | | 0.5 | | |
| | | | | | | | | | | | | 115,784,363 | | | | | | 1.8 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Mutual Funds: 0.9% | |
| | | | 56,430,000 (6) | | | | BlackRock Liquidity Funds,
FedFund, Institutional
Class, 1.170%
(Cost $56,430,000) | | | | $ | 56,430,000 | | | | | | 0.9 | | |
| | | | | | | | Total Short-Term
Investments
(Cost $172,214,363) | | | | | 172,214,363 | | | | | | 2.7 | | |
| | | | | | | | Total Investments in
Securities
(Cost $5,101,647,482) | | | | $ | 6,407,271,289 | | | | | | 102.0 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (127,401,003) | | | | | | (2.0) | | |
| | | | | | | | Net Assets | | | | $ | 6,279,870,286 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
(1)
Non-income producing security.
(2)
The grouping contains non-income producing securities.
(3)
The grouping contains securities on loan.
(4)
Security, or a portion of the security, is on loan.
(5)
Represents securities purchased with cash collateral received for securities on loan.
(6)
Rate shown is the 7-day yield as of December 31, 2017.
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Growth Portfolio | as of December 31, 2017 (continued) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock* | | | | $ | 6,235,056,926 | | | | | $ | — | | | | | $ | — | | | | | $ | 6,235,056,926 | | |
| Short-Term Investments | | | | | 56,430,000 | | | | | | 115,784,363 | | | | | | — | | | | | | 172,214,363 | | |
| Total Investments, at fair value | | | | $ | 6,291,486,926 | | | | | $ | 115,784,363 | | | | | $ | — | | | | | $ | 6,407,271,289 | | |
| |
^
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 Portfolio of Investments.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $5,114,963,008. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 1,345,039,838 | | |
| | Gross Unrealized Depreciation | | | | | (52,740,905) | | |
| | Net Unrealized Appreciation | | | | $ | 1,292,298,933 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Value Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 99.6% | |
| | | | | | | | Consumer Discretionary: 6.3% | |
| | | | 192,059 | | | | Lowe’s Cos, Inc. | | | | $ | 17,849,963 | | | | | | 1.4 | | |
| | | | 170,796 (1) | | | | Ralph Lauren Corp. | | | | | 17,709,837 | | | | | | 1.4 | | |
| | | | 280,091 | | | | Tapestry, Inc. | | | | | 12,388,425 | | | | | | 0.9 | | |
| | | | 575,193 | | | | Other Securities | | | | | 33,701,074 | | | | | | 2.6 | | |
| | | | | | | | | | | | | 81,649,299 | | | | | | 6.3 | | |
| | | | | | | | Consumer Staples: 9.3% | |
| | | | 440,762 | | | | Coca-Cola Co. | | | | | 20,222,161 | | | | | | 1.6 | | |
| | | | 275,486 | | | | Philip Morris International,
Inc. | | | | | 29,105,096 | | | | | | 2.2 | | |
| | | | 392,311 | | | | Procter & Gamble Co. | | | | | 36,045,535 | | | | | | 2.8 | | |
| | | | 353,986 | | | | Wal-Mart Stores, Inc. | | | | | 34,956,117 | | | | | | 2.7 | | |
| | | | | | | | | | | | | 120,328,909 | | | | | | 9.3 | | |
| | | | | | | | Energy: 11.0% | |
| | | | 482,856 | | | | Canadian Natural Resources
Ltd. | | | | | 17,247,616 | | | | | | 1.3 | | |
| | | | 214,858 | | | | EOG Resources, Inc. | | | | | 23,185,327 | | | | | | 1.8 | | |
| | | | 556,387 | | | | Exxon Mobil Corp. | | | | | 46,536,209 | | | | | | 3.6 | | |
| | | | 434,470 | | | | Halliburton Co. | | | | | 21,232,549 | | | | | | 1.6 | | |
| | | | 224,476 | | | | Occidental Petroleum Corp. | | | | | 16,534,902 | | | | | | 1.3 | | |
| | | | 260,996 | | | | Royal Dutch Shell PLC -
Class A ADR | | | | | 17,411,043 | | | | | | 1.4 | | |
| | | | | | | | | | | | | 142,147,646 | | | | | | 11.0 | | |
| | | | | | | | Financials: 27.1% | |
| | | | 285,465 | | | | Allstate Corp. | | | | | 29,891,040 | | | | | | 2.3 | | |
| | | | 77,703 | | | | Ameriprise Financial, Inc. | | | | | 13,168,327 | | | | | | 1.0 | | |
| | | | 548,724 | | | | Citizens Financial Group, Inc. | | | | | 23,035,434 | | | | | | 1.8 | | |
| | | | 191,695 | | | | Comerica, Inc. | | | | | 16,641,043 | | | | | | 1.3 | | |
| | | | 204,189 | | | | Discover Financial Services | | | | | 15,706,218 | | | | | | 1.2 | | |
| | | | 499,747 | | | | Hartford Financial Services
Group, Inc. | | | | | 28,125,761 | | | | | | 2.2 | | |
| | | | 416,775 | | | | Intercontinental Exchange,
Inc. | | | | | 29,407,644 | | | | | | 2.3 | | |
| | | | 579,190 | | | | JPMorgan Chase & Co. | | | | | 61,938,579 | | | | | | 4.8 | | |
| | | | 1,046,836 | | | | Keycorp | | | | | 21,114,682 | | | | | | 1.6 | | |
| | | | 504,007 | | | | Lazard Ltd. | | | | | 26,460,368 | | | | | | 2.1 | | |
| | | | 447,340 | | | | Morgan Stanley | | | | | 23,471,930 | | | | | | 1.8 | | |
| | | | 104,934 | | | | MSCI, Inc. - Class A | | | | | 13,278,348 | | | | | | 1.0 | | |
| | | | 775,875 | | | | Wells Fargo & Co. | | | | | 47,072,336 | | | | | | 3.7 | | |
| | | | | | | | | | | | | 349,311,710 | | | | | | 27.1 | | |
| | | | | | | | Health Care: 13.2% | |
| | | | 524,564 | | | | AstraZeneca PLC ADR | | | | | 18,202,371 | | | | | | 1.4 | | |
| | | | 236,802 | | | | Baxter International, Inc. | | | | | 15,306,881 | | | | | | 1.2 | | |
| | | | 258,031 | | | | Gilead Sciences, Inc. | | | | | 18,485,341 | | | | | | 1.4 | | |
| | | | 384,559 | | | | Johnson & Johnson | | | | | 53,730,584 | | | | | | 4.2 | | |
| | | | 1,304,005 | | | | Pfizer, Inc. | | | | | 47,231,061 | | | | | | 3.7 | | |
| | | | 76,720 | | | | UnitedHealth Group, Inc. | | | | | 16,913,691 | | | | | | 1.3 | | |
| | | | | | | | | | | | | 169,869,929 | | | | | | 13.2 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | Industrials: 8.0% | |
| | | | 106,847 | | | | Deere & Co. | | | | $ | 16,722,624 | | | | | | 1.3 | | |
| | | | 122,783 | | | | General Dynamics Corp. | | | | | 24,980,201 | | | | | | 2.0 | | |
| | | | 107,240 | | | | Hubbell, Inc. | | | | | 14,513,862 | | | | | | 1.1 | | |
| | | | 86,970 | | | | L3 Technologies, Inc. | | | | | 17,207,014 | | | | | | 1.3 | | |
| | | | 400,890 | | | | Timken Co. | | | | | 19,703,744 | | | | | | 1.5 | | |
| | | | 72,194 (2) | | | | Other Securities | | | | | 10,359,839 | | | | | | 0.8 | | |
| | | | | | | | | | | | | 103,487,284 | | | | | | 8.0 | | |
| | | | | | | | Information Technology: 8.5% | |
| | | | 856,451 | | | | Cisco Systems, Inc. | | | | | 32,802,073 | | | | | | 2.5 | | |
| | | | 172,741 | | | | Microsoft Corp. | | | | | 14,776,265 | | | | | | 1.2 | | |
| | | | 238,381 | | | | NetApp, Inc. | | | | | 13,187,237 | | | | | | 1.0 | | |
| | | | 568,829 | | | | Oracle Corp. | | | | | 26,894,235 | | | | | | 2.1 | | |
| | | | 157,825 | | | | Other Securities | | | | | 21,743,120 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 109,402,930 | | | | | | 8.5 | | |
| | | | | | | | Materials: 2.8% | |
| | | | 395,269 | | | | DowDuPont, Inc. | | | | | 28,151,058 | | | | | | 2.2 | | |
| | | | 133,931 | | | | Other Securities | | | | | 8,515,333 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 36,666,391 | | | | | | 2.8 | | |
| | | | | | | | Real Estate: 4.4% | |
| | | | 118,803 | | | | Crown Castle International
Corp. | | | | | 13,188,321 | | | | | | 1.0 | | |
| | | | 426,962 | | | | Gaming and Leisure
Properties, Inc. | | | | | 15,797,594 | | | | | | 1.3 | | |
| | | | 250,533 | | | | Highwoods Properties, Inc. | | | | | 12,754,635 | | | | | | 1.0 | | |
| | | | 143,798 | | | | Mid-America Apartment
Communities, Inc. | | | | | 14,460,327 | | | | | | 1.1 | | |
| | | | | | | | | | | | | 56,200,877 | | | | | | 4.4 | | |
| | | | | | | | Telecommunication Services: 3.0% | |
| | | | 706,361 | | | | AT&T, Inc. | | | | | 27,463,315 | | | | | | 2.1 | | |
| | | | 202,704 | | | | Other Securities | | | | | 10,729,123 | | | | | | 0.9 | | |
| | | | | | | | | | | | | 38,192,438 | | | | | | 3.0 | | |
| | | | | | | | Utilities: 6.0% | |
| | | | 353,096 | | | | Ameren Corp. | | | | | 20,829,133 | | | | | | 1.6 | | |
| | | | 734,870 | | | | Exelon Corp. | | | | | 28,961,227 | | | | | | 2.2 | | |
| | | | 179,586 | | | | NextEra Energy, Inc. | | | | | 28,049,537 | | | | | | 2.2 | | |
| | | | 440,822 | (2)(3) | | Other Securities | | | | | — | | | | | | — | | |
| | | | | | | | | | | | | 77,839,897 | | | | | | 6.0 | | |
| | | | | | | | Total Common Stock
(Cost $1,111,612,608) | | | | | 1,285,097,310 | | | | | | 99.6 | | |
| |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: —% | |
| | | | | | | | Communications: —% | |
| | | | 32,517 (3) | | | | Other Securities | | | | | — | | | | | | — | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Value Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Energy: —% | |
| | | | 1,685,000 (3) | | | | Other Securities | | | | $ | — | | | | | | — | | |
| | | | | | | | Financial: —% | |
| | | | 1,216,000 | (3)(4) | | Other Securities | | | | | — | | | | | | — | | |
| | | | | | | | Total Corporate
Bonds/Notes
(Cost $787,907) | | | | | — | | | | | | — | | |
| | | | | | | | Total Long-Term
Investments
(Cost $1,112,400,515) | | | | | 1,285,097,310 | | | | | | 99.6 | | |
| | SHORT-TERM INVESTMENTS: 1.9% | |
| | | | | | | | Securities Lending Collateral(5): 1.4% | |
| | | | 4,206,868 | | | | Bank of Nova Scotia/New
York, Repurchase
Agreement dated 12/29/17,
1.38%, due 01/02/18
(Repurchase Amount
$4,207,504, collateralized
by various U.S. Government
Agency Obligations,
3.500%-4.000%, Market
Value plus accrued interest
$4,291,663, due
07/20/45-11/01/47) | | | | | 4,206,868 | | | | | | 0.3 | | |
| | | | 4,206,868 | | | | Jefferies LLC, Repurchase
Agreement dated 12/29/17,
1.55%, due 01/02/18
(Repurchase Amount
$4,207,583, collateralized
by various U.S.
Government/U.S.
Government Agency
Obligations,
0.000%-6.250%, Market
Value plus accrued interest
$4,291,005, due
01/10/18-12/20/47) | | | | | 4,206,868 | | | | | | 0.3 | | |
| | | | 885,656 | | | | Merrill Lynch & Co., Inc.,
Repurchase Agreement
dated 12/29/17, 1.40%, due
01/02/18 (Repurchase
Amount $885,792,
collateralized by various
U.S. Government Securities,
1.875%-2.750%, Market
Value plus accrued interest
$903,369, due
07/31/22-08/15/42) | | | | | 885,656 | | | | | | 0.1 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending Collateral(5) (continued) | |
| | | | 4,206,868 | | | | Mizuho Securities USA
LLC, Repurchase
Agreement dated
12/29/17, 1.40%, due
01/02/18 (Repurchase
Amount $4,207,513,
collateralized by various
U.S. Government/U.S.
Government Agency
Obligations,
0.125%-3.500%, Market
Value plus accrued
interest $4,291,007, due
04/15/21-11/01/47) | | | | $ | 4,206,868 | | | | | | 0.3 | | |
| | | | 4,206,868 | | | | Nomura Securities,
Repurchase Agreement
dated 12/29/17, 1.42%,
due 01/02/18
(Repurchase Amount
$4,207,523,
collateralized by various
U.S. Government
Agency Obligations,
0.000%-7.500%, Market
Value plus accrued
interest $4,291,005,
due 04/05/18-11/20/67) | | | | | 4,206,868 | | | | | | 0.4 | | |
| | | | | | | | | | | | | 17,713,128 | | | | | | 1.4 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | | Mutual Funds: 0.5% | |
| | | | 7,137,000 (6) | | | | BlackRock Liquidity Funds,
FedFund, Institutional
Class, 1.170%
(Cost $7,137,000) | | | | | 7,137,000 | | | | | | 0.5 | | |
| | | | | | | | Total Short-Term
Investments | | | |
| | | | | | | | (Cost $24,850,128) | | | | | 24,850,128 | | | | | | 1.9 | | |
| | | | | | | | Total Investments in
Securities
(Cost $1,137,250,643) | | | | $ | 1,309,947,438 | | | | | | 101.5 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (19,149,873) | | | | | | (1.5) | | |
| | | | | | | | Net Assets | | | | $ | 1,290,797,565 | | | | | | 100.0 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Value Portfolio | as of December 31, 2017 (continued) |
“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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
ADR
American Depositary Receipt
(1)
Security, or a portion of the security, is on loan.
(2)
The grouping contains non-income producing securities.
(3)
The grouping contains Level 3 securities.
(4)
The grouping contains securities in default.
(5)
Represents securities purchased with cash collateral received for securities on loan.
(6)
Rate shown is the 7-day yield as of December 31, 2017.
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock | | | | | |
| Consumer Discretionary | | | | $ | 81,649,299 | | | | | $ | — | | | | | $ | — | | | | | $ | 81,649,299 | | |
| Consumer Staples | | | | | 120,328,909 | | | | | | — | | | | | | — | | | | | | 120,328,909 | | |
| Energy | | | | | 142,147,646 | | | | | | — | | | | | | — | | | | | | 142,147,646 | | |
| Financials | | | | | 349,311,710 | | | | | | — | | | | | | — | | | | | | 349,311,710 | | |
| Health Care | | | | | 169,869,929 | | | | | | — | | | | | | — | | | | | | 169,869,929 | | |
| Industrials | | | | | 103,487,284 | | | | | | — | | | | | | — | | | | | | 103,487,284 | | |
| Information Technology | | | | | 109,402,930 | | | | | | — | | | | | | — | | | | | | 109,402,930 | | |
| Materials | | | | | 36,666,391 | | | | | | — | | | | | | — | | | | | | 36,666,391 | | |
| Real Estate | | | | | 56,200,877 | | | | | | — | | | | | | — | | | | | | 56,200,877 | | |
| Telecommunication Services | | | | | 38,192,438 | | | | | | — | | | | | | — | | | | | | 38,192,438 | | |
| Utilities | | | | | 77,839,897 | | | | | | — | | | | | | — | | | | | | 77,839,897 | | |
| Total Common Stock | | | | | 1,285,097,310 | | | | | | — | | | | | | — | | | | | | 1,285,097,310 | | |
| Corporate Bonds/Notes | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| Short-Term Investments | | | | | 7,137,000 | | | | | | 17,713,128 | | | | | | — | | | | | | 24,850,128 | | |
| Total Investments, at fair value | | | | $ | 1,292,234,310 | | | | | $ | 17,713,128 | | | | | $ | — | | | | | $ | 1,309,947,438 | | |
| |
^
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss) on
Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Futures | |
| Equity contracts | | | | $ | 53,529 | | |
| Total | | | | $ | 53,529 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Large Cap Value Portfolio | as of December 31, 2017 (continued) |
| | | | Change in Unrealized Appreciation or (Depreciation)
on Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Futures | |
| Equity contracts | | | | $ | (8,010) | | |
| Total | | | | $ | (8,010) | | |
| |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $1,140,144,843. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 177,541,816 | | |
| | Gross Unrealized Depreciation | | | | | (7,739,834) | | |
| | Net Unrealized Appreciation | | | | $ | 169,801,982 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: 46.7% | |
| | | | | | | | Basic Materials: 0.5% | |
| | | | 1,400,000 | | | | Other Securities | | | | $ | 1,397,792 | | | | | | 0.5 | | |
| | | | | | | | Communications: 2.3% | |
| | | | 1,050,000 | | | | AT&T, Inc., 2.300%,
03/11/19 | | | | | 1,051,350 | | | | | | 0.4 | | |
| | | | 680,000 (1) | | | | Sky PLC, 2.625%,
09/16/19 | | | | | 681,534 | | | | | | 0.2 | | |
| | | | 4,971,000 | | | | Other Securities | | | | | 4,973,679 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 6,706,563 | | | | | | 2.3 | | |
| | | | | | | | Consumer, Cyclical: 3.2% | |
| | | | 445,000 (1) | | | | BMW US Capital LLC,
1.450%, 09/13/19 | | | | | 440,272 | | | | | | 0.1 | | |
| | | | 540,000 (1) | | | | Daimler Finance North
America LLC, 2.300%,
01/06/20 | | | | | 538,912 | | | | | | 0.2 | | |
| | | | 1,140,000 | | | | Ford Motor Credit Co. LLC,
3.157%, 08/04/20 | | | | | 1,154,558 | | | | | | 0.4 | | |
| | | | 1,210,000 | | | | General Motors Financial
Co., Inc., 3.950%, 04/13/24 | | | | | 1,247,111 | | | | | | 0.4 | | |
| | | | 530,000 (1) | | | | Nissan Motor Acceptance
Corp., 2.150%, 09/28/20 | | | | | 525,790 | | | | | | 0.2 | | |
| | | | 5,300,096 | | | | Other Securities | | | | | 5,417,641 | | | | | | 1.9 | | |
| | | | | | | | | | | | | 9,324,284 | | | | | | 3.2 | | |
| | | | | | | | Consumer, Non-cyclical: 7.4% | |
| | | | 1,380,000 | | | | Abbott Laboratories,
2.800%-2.900%,
09/15/20-11/30/21 | | | | | 1,394,689 | | | | | | 0.5 | | |
| | | | 1,380,000 | | | | Anheuser-Busch InBev
Finance, Inc., 2.650%,
02/01/21 | | | | | 1,387,796 | | | | | | 0.5 | | |
| | | | 1,220,000 | | | | AstraZeneca PLC,
1.750%-1.950%,
11/16/18-09/18/19 | | | | | 1,215,142 | | | | | | 0.4 | | |
| | | | 480,000 (1) | | | | BAT Capital Corp., 2.297%,
08/14/20 | | | | | 477,628 | | | | | | 0.2 | | |
| | | | 520,000 (1) | | | | BAT International Finance
PLC, 2.750%, 06/15/20 | | | | | 522,818 | | | | | | 0.2 | | |
| | | | 990,000 | | | | Becton Dickinson and Co.,
2.404%, 06/05/20 | | | | | 985,144 | | | | | | 0.3 | | |
| | | | 850,000 (1) | | | | Danone SA, 1.691%,
10/30/19 | | | | | 840,057 | | | | | | 0.3 | | |
| | | | 560,000 (1) | | | | Imperial Brands Finance
PLC, 2.950%, 07/21/20 | | | | | 565,714 | | | | | | 0.2 | | |
| | | | 1,060,000 | | | | Kraft Heinz Foods Co.,
2.000%, 07/02/18 | | | | | 1,060,095 | | | | | | 0.3 | | |
| | | | 520,000 | | | | Kraft Heinz Foods Co.,
2.800%, 07/02/20 | | | | | 523,268 | | | | | | 0.2 | | |
| | | | 12,752,000 | | | | Other Securities | | | | | 12,664,263 | | | | | | 4.3 | | |
| | | | | | | | | | | | | 21,636,614 | | | | | | 7.4 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Energy: 3.7% | |
| | | | 1,079,000 | | | | BP Capital Markets PLC,
2.315%, 02/13/20 | | | | $ | 1,081,896 | | | | | | 0.4 | | |
| | | | 470,000 (1) | | | | Schlumberger Finance
Canada Ltd, 2.200%,
11/20/20 | | | | | 467,413 | | | | | | 0.2 | | |
| | | | 2,193,000 | | | | Shell International Finance
BV, 1.375%-2.125%,
11/10/18-09/12/21 | | | | | 2,172,193 | | | | | | 0.7 | | |
| | | | 7,082,000 | | | | Other Securities | | | | | 7,103,631 | | | | | | 2.4 | | |
| | | | | | | | | | | | | 10,825,133 | | | | | | 3.7 | | |
| | | | | | | | Financial: 20.1% | |
| | | | 340,000 (1) | | | | ABN AMRO Bank NV,
2.450%, 06/04/20 | | | | | 340,145 | | | | | | 0.1 | | |
| | | | 420,000 (1) | | | | ANZ New Zealand Int’l
Ltd./London, 2.200%,
07/17/20 | | | | | 417,722 | | | | | | 0.1 | | |
| | | | 620,000 (1) | | | | Athene Global Funding,
2.750%, 04/20/20 | | | | | 620,481 | | | | | | 0.2 | | |
| | | | 916,000 (1) | | | | Bank of America Corp.,
3.004%, 12/20/23 | | | | | 918,854 | | | | | | 0.3 | | |
| | | | 1,703,000 | | | | Bank of America Corp.,
1.950%-2.650%,
05/12/18-11/09/20 | | | | | 1,705,290 | | | | | | 0.6 | | |
| | | | 810,000 (1) | | | | Bank of Tokyo-Mitsubishi
UFJ Ltd., 1.700%, 03/05/18 | | | | | 809,782 | | | | | | 0.3 | | |
| | | | 450,000 (1) | | | | Banque Federative du
Credit Mutuel SA, 2.200%,
07/20/20 | | | | | 447,248 | | | | | | 0.2 | | |
| | | | 650,000 (1) | | | | BNZ International Funding
Ltd./London, 2.350%,
03/04/19 | | | | | 650,691 | | | | | | 0.2 | | |
| | | | 400,000 | | | | Capital One NA/Mclean
VA, 2.350%, 08/17/18 | | | | | 400,676 | | | | | | 0.1 | | |
| | | | 1,203,000 | | | | Citigroup, Inc., 2.050%,
12/07/18 | | | | | 1,202,008 | | | | | | 0.4 | | |
| | | | 592,000 | | | | Citigroup, Inc., 2.500%,
07/29/19 | | | | | 593,986 | | | | | | 0.2 | | |
| | | | 460,000 (1) | | | | Commonwealth Bank of
Australia, 2.250%,
03/10/20 | | | | | 458,703 | | | | | | 0.2 | | |
| | | | 1,050,000 | | | | Cooperatieve Rabobank
UA/NY, 2.250%, 01/14/19 | | | | | 1,051,220 | | | | | | 0.4 | | |
| | | | 720,000 | | | | Credit Suisse AG, 5.300%,
08/13/19 | | | | | 754,107 | | | | | | 0.3 | | |
| | | | 950,000 | | | | Credit Suisse Group
Funding Guernsey Ltd.,
3.125%, 12/10/20 | | | | | 962,684 | | | | | | 0.3 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Financial (continued) | |
| | | | 1,050,000 | | | | Discover Bank, 2.600%,
11/13/18 | | | | $ | 1,053,759 | | | | | | 0.4 | | |
| | | | 490,000 | | | | Fifth Third Bank/Cincinnati
OH, 1.625%, 09/27/19 | | | | | 484,413 | | | | | | 0.2 | | |
| | | | 950,000 | | | | Fifth Third Bank/Cincinnati
OH, 2.150%, 08/20/18 | | | | | 951,186 | | | | | | 0.3 | | |
| | | | 1,935,000 | | | | Goldman Sachs Group,
Inc., 2.550%, 10/23/19 | | | | | 1,939,272 | | | | | | 0.7 | | |
| | | | 920,000 | | | | Hartford Financial Services
Group, Inc., 8.125%,
06/15/68 | | | | | 945,300 | | | | | | 0.3 | | |
| | | | 900,000 (1) | | | | ING Bank NV, 2.700%,
08/17/20 | | | | | 904,323 | | | | | | 0.3 | | |
| | | | 710,000 | | | | ING Bank NV, 4.125%,
11/21/23 | | | | | 718,525 | | | | | | 0.3 | | |
| | | | 820,000 (1) | | | | Intesa Sanpaolo SpA,
3.125%, 07/14/22 | | | | | 814,836 | | | | | | 0.3 | | |
| | | | 1,580,000 | | | | JPMorgan Chase & Co.,
1.850%-3.200%,
03/22/19-01/25/23 | | | | | 1,583,310 | | | | | | 0.5 | | |
| | | | 705,000 (1) | | | | Metropolitan Life Global
Funding I, 1.550%,
09/13/19 | | | | | 697,078 | | | | | | 0.2 | | |
| | | | 320,000 (1) | | | | Mizuho Financial Group,
Inc., 2.632%, 04/12/21 | | | | | 319,216 | | | | | | 0.1 | | |
| | | | 1,720,000 | | | | Morgan Stanley,
2.200%-2.750%,
12/07/18-05/19/22 | | | | | 1,719,529 | | | | | | 0.6 | | |
| | | | 200,000 (1) | | | | Nationwide Building
Society, 2.350%, 01/21/20 | | | | | 199,923 | | | | | | 0.1 | | |
| | | | 390,000 (1) | | | | Nuveen Finance LLC,
2.950%, 11/01/19 | | | | | 393,858 | | | | | | 0.1 | | |
| | | | 540,000 (1) | | | | Protective Life Global
Funding, 2.161%, 09/25/20 | | | | | 534,337 | | | | | | 0.2 | | |
| | | | 1,330,000 | | | | Royal Bank of Canada,
1.800%-2.125%,
07/30/18-03/02/20 | | | | | 1,327,520 | | | | | | 0.5 | | |
| | | | 1,386,000 | | | | Royal Bank of Scotland
Group PLC, 6.400%,
10/21/19 | | | | | 1,481,384 | | | | | | 0.5 | | |
| | | | 1,420,000 | | | | Santander Holdings USA,
Inc., 2.700%, 05/24/19 | | | | | 1,423,434 | | | | | | 0.5 | | |
| | | | 430,000 | | | | Santander UK PLC,
2.500%, 03/14/19 | | | | | 431,365 | | | | | | 0.1 | | |
| | | | 626,000 (1) | | | | Scentre Group Trust 1 /
Scentre Group Trust 2,
2.375%, 11/05/19 | | | | | 624,755 | | | | | | 0.2 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Financial (continued) | |
| | | | 610,000 (1) | | | | Standard Chartered PLC,
2.100%, 08/19/19 | | | | $ | 606,313 | | | | | | 0.2 | | |
| | | | 913,000 | | | | SunTrust Bank/Atlanta GA,
2.250%, 01/31/20 | | | | | 912,001 | | | | | | 0.3 | | |
| | | | 357,000 | | | | SunTrust Banks, Inc.,
2.500%, 05/01/19 | | | | | 358,420 | | | | | | 0.1 | | |
| | | | 800,000 | | | | Toronto-Dominion Bank/
The, 2.125%, 07/02/19 | | | | | 800,008 | | | | | | 0.3 | | |
| | | | 584,000 | | | | Toronto-Dominion Bank,
2.250%, 11/05/19 | | | | | 584,443 | | | | | | 0.2 | | |
| | | | 1,063,000 (1) | | | | UBS AG/London, 2.200%,
06/08/20 | | | | | 1,056,821 | | | | | | 0.4 | | |
| | | | 860,000 (1) | | | | UBS Group Funding
Switzerland AG, 2.950%,
09/24/20 | | | | | 869,466 | | | | | | 0.3 | | |
| | | | 438,000 (1) | | | | WEA Finance LLC /
Westfield UK & Europe
Finance PLC, 2.700%,
09/17/19 | | | | | 440,494 | | | | | | 0.1 | | |
| | | | 904,000 | | | | Wells Fargo & Co.,
2.550%, 12/07/20 | | | | | 907,975 | | | | | | 0.3 | | |
| | | | 1,330,000 | | | | Wells Fargo Bank NA,
2.150%, 12/06/19 | | | | | 1,328,162 | | | | | | 0.5 | | |
| | | | 20,693,000 | | | | Other Securities | | | | | 20,831,680 | | | | | | 7.1 | | |
| | | | | | | | | | | | | 58,576,703 | | | | | | 20.1 | | |
| | | | | | | | Industrial: 2.2% | |
| | | | 523,000 (1) | | | | Rolls-Royce PLC, 2.375%,
10/14/20 | | | | | 519,875 | | | | | | 0.2 | | |
| | | | 300,000 (1) | | | | Siemens
Financieringsmaatschappij
NV, 2.200%, 03/16/20 | | | | | 299,610 | | | | | | 0.1 | | |
| | | | 950,000 | | | | United Parcel Service, Inc.,
2.050%, 04/01/21 | | | | | 945,327 | | | | | | 0.3 | | |
| | | | 4,632,000 | | | | Other Securities | | | | | 4,624,417 | | | | | | 1.6 | | |
| | | | | | | | | | | | | 6,389,229 | | | | | | 2.2 | | |
| | | | | | | | Technology: 4.2% | |
| | | | 1,221,000 | | | | Apple, Inc., 1.900%,
02/07/20 | | | | | 1,217,633 | | | | | | 0.4 | | |
| | | | 850,000 | | | | Apple, Inc., 2.000%,
11/13/20 | | | | | 844,916 | | | | | | 0.3 | | |
| | | | 1,230,000 | | | | Applied Materials, Inc.,
2.625%, 10/01/20 | | | | | 1,243,867 | | | | | | 0.4 | | |
| | | | 545,000 (1) | | | | Broadcom Corp. /
Broadcom Cayman
Finance Ltd., 2.375%,
01/15/20 | | | | | 541,552 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Technology (continued) | |
| | | | 1,290,000 (1) | | | | Dell International LLC /
EMC Corp., 3.480%,
06/01/19 | | | | $ | 1,306,493 | | | | | | 0.4 | | |
| | | | 1,053,000 | | | | Intel Corp., 2.450%,
07/29/20 | | | | | 1,064,799 | | | | | | 0.4 | | |
| | | | 1,090,000 | | | | International Business
Machines Corp., 1.900%,
01/27/20 | | | | | 1,085,277 | | | | | | 0.4 | | |
| | | | 5,030,000 | | | | Other Securities | | | | | 5,034,226 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 12,338,763 | | | | | | 4.2 | | |
| | | | | | | | Utilities: 3.1% | |
| | | | 1,125,000 | | | | Duke Energy Corp.,
1.800%, 09/01/21 | | | | | 1,095,078 | | | | | | 0.4 | | |
| | | | 268,000 (1) | | | | Electricite de France SA,
2.350%, 10/13/20 | | | | | 267,751 | | | | | | 0.1 | | |
| | | | 7,793,000 | | | | Other Securities | | | | | 7,803,540 | | | | | | 2.6 | | |
| | | | | | | | | | | | | 9,166,369 | | | | | | 3.1 | | |
| | | | | | | | Total Corporate
Bonds/Notes | | | |
| | | | | | | | (Cost $136,728,339) | | | | | 136,361,450 | | | | | | 46.7 | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1% | |
| | | | 317,637 | | | | Wells Fargo Mortgage
Backed Securities
2005-AR16 2A1, 3.543%,
02/25/34 | | | | | 326,457 | | | | | | 0.1 | | |
| | | | | | | | Total Collateralized
Mortgage Obligations | | | |
| | | | | | | | (Cost $320,539) | | | | | 326,457 | | | | | | 0.1 | | |
| | U.S. GOVERNMENT AGENCY OBLIGATIONS(2): 0.0% | |
| | | | | | | | Federal Home Loan Mortgage
Corporation: 0.0% | |
| | | | 77 | | | | 3.153%, 07/01/24 | | | | | 78 | | | | | | 0.0 | | |
| | | | | | | | Federal National Mortgage
Association: 0.0% | |
| | | | 105,764 | | | | Other Securities | | | | | 115,797 | | | | | | 0.0 | | |
| | | | | | | | Total U.S. Government Agency Obligations | | | |
| | | | | | | | (Cost $107,856) | | | | | 115,875 | | | | | | 0.0 | | |
| | FOREIGN GOVERNMENT BONDS: 0.1% | |
| | | | 179,000 | | | | Other Securities | | | | | 177,663 | | | | | | 0.1 | | |
| | | | | | | | Total Foreign Government
Bonds | | | |
| | | | | | | | (Cost $178,474) | | | | | 177,663 | | | | | | 0.1 | | |
| | U.S. TREASURY OBLIGATIONS: 26.1% | |
| | | | | | | | U.S. Treasury Notes: 26.1% | |
| | | | 7,305,000 | | | | 1.875%, 12/15/20 | | | | | 7,284,033 | | | | | | 2.5 | | |
| | | | 96,000 | | | | 2.125%, 11/30/24 | | | | | 94,730 | | | | | | 0.0 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | U.S. TREASURY OBLIGATIONS: (continued) | |
| | | | | | | | U.S. Treasury Notes (continued) | |
| | | | 59,605,000 | | | | 0.625%, 06/30/18 | | | | $ | 59,360,544 | | | | | | 20.3 | | |
| | | | 4,138,000 | | | | 1.250%, 03/31/19 | | | | | 4,107,735 | | | | | | 1.4 | | |
| | | | 2,000,000 | | | | 1.250%, 04/30/19 | | | | | 1,984,302 | | | | | | 0.7 | | |
| | | | 2,290,000 | | | | 1.875%, 03/31/22 | | | | | 2,264,282 | | | | | | 0.8 | | |
| | | | 999,000 (3) | | | | 1.250%-1.750%,
05/31/19-11/30/19 | | | | | 991,680 | | | | | | 0.4 | | |
| | | | | | | | Total U.S. Treasury
Obligations
(Cost $76,179,545) | | | | | 76,087,306 | | | | | | 26.1 | | |
| | COMMERCIAL MORTGAGE-BACKED SECURITIES: 8.1% | |
| | | | 2,230,610 | | | | Bear Stearns Commercial
Mortgage Securities Trust
2005-PWR9 C, 5.055%,
09/11/42 | | | | | 2,236,847 | | | | | | 0.7 | | |
| | | | 1,060,000 (1) | | | | Bear Stearns Commercial
Mortgage Securities Trust
2006-TOP22 D, 5.720%,
04/12/38 | | | | | 1,119,096 | | | | | | 0.4 | | |
| | | | 1,500,000 (1) | | | | BXMT 2017-FL1 A Ltd.,
2.231%, (US0001M +
0.870%), 06/14/35 | | | | | 1,500,039 | | | | | | 0.5 | | |
| | | | 500,000 (1) | | | | Citigroup Commercial
Mortgage Trust
2016-SMPL A, 2.228%,
09/10/31 | | | | | 490,915 | | | | | | 0.1 | | |
| | | | 1,077,022 | | | | Citigroup/Deutsche Bank
Commercial Mortgage
Trust 2006-CD3 AM,
5.648%, 10/15/48 | | | | | 1,102,618 | | | | | | 0.4 | | |
| | | | 21,922,722 (4) | | | | Freddie Mac Multifamily
Structured Pass Through
Certificates K702 X1,
1.460%, 02/25/18 | | | | | 15,602 | | | | | | 0.0 | | |
| | | | 14,100,904 (4) | | | | Freddie Mac Multifamily
Structured Pass Through
Certificates K703 X1,
2.022%, 05/25/18 | | | | | 47,271 | | | | | | 0.0 | | |
| | | | 22,003,313 (4) | | | | Freddie Mac Multifamily
Structured Pass Through
Certificates K705 X1,
1.706%, 09/25/18 | | | | | 196,069 | | | | | | 0.1 | | |
| | | | 190,363 (1) | | | | GCCFC Commercial
Mortgage Trust 2004-GG1
F, 6.382%, 06/10/36 | | | | | 189,737 | | | | | | 0.1 | | |
| | | | 427,369 | | | | Ginnie Mae 2011-53 B,
4.397%, 05/16/51 | | | | | 446,232 | | | | | | 0.1 | | |
| | | | 762,974 | | | | Ginnie Mae 2014-168 DA,
2.400%, 06/16/46 | | | | | 755,467 | | | | | | 0.3 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | COMMERCIAL MORTGAGE-BACKED
SECURITIES: (continued) | |
| | | | 281,427 | | | | Ginnie Mae 2014-54 AC,
2.874%, 02/16/49 | | | | $ | 282,226 | | | | | | 0.1 | | |
| | | | 764,803 | | | | Ginnie Mae 2015-183 AC,
2.350%, 07/16/56 | | | | | 752,464 | | | | | | 0.3 | | |
| | | | 185,715 | | | | Ginnie Mae 2015-21 AF,
2.071%, 07/16/48 | | | | | 182,008 | | | | | | 0.1 | | |
| | | | 406,889 | | | | Ginnie Mae 2015-81 AC,
2.400%, 01/16/56 | | | | | 400,359 | | | | | | 0.1 | | |
| | | | 464,526 | | | | Ginnie Mae 2016-110 AB,
2.000%, 05/16/49 | | | | | 453,664 | | | | | | 0.1 | | |
| | | | 205,600 | | | | Ginnie Mae 2016-86 AB,
2.500%, 09/16/56 | | | | | 203,788 | | | | | | 0.1 | | |
| | | | 552,538 | | | | Ginnie Mae 2017-50 AB,
2.400%, 02/16/47 | | | | | 546,323 | | | | | | 0.2 | | |
| | | | 633,273 | | | | Ginnie Mae 2017-51 AB,
2.350%, 04/16/57 | | | | | 627,005 | | | | | | 0.2 | | |
| | | | 257,298 | | | | Ginnie Mae 2017-69 AB,
2.350%, 05/16/53 | | | | | 253,032 | | | | | | 0.1 | | |
| | | | 386,574 | | | | Ginnie Mae 2017-70 A,
2.500%, 10/16/57 | | | | | 381,925 | | | | | | 0.1 | | |
| | | | 922,211 | | | | Ginnie Mae 2017-86 AB,
2.300%, 11/16/51 | | | | | 908,355 | | | | | | 0.3 | | |
| | | | 892,827 | | | | Ginnie Mae 2017-89 A,
2.500%, 08/16/57 | | | | | 883,998 | | | | | | 0.3 | | |
| | | | 1,063,955 (1) | | | | JP Morgan Chase
Commercial Mortgage
Securities Trust 2011-C4
A3, 4.106%, 07/15/46 | | | | | 1,067,773 | | | | | | 0.3 | | |
| | | | 2,710,000 (1) | | | | JP Morgan Chase
Commercial Mortgage
Securities Trust 2011-C5 B,
5.408%, 08/15/46 | | | | | 2,912,308 | | | | | | 1.0 | | |
| | | | 498,142 | | | | JPMBB Commercial
Mortgage Securities Trust
2 2014-C19 A2, 3.046%,
04/15/47 | | | | | 503,118 | | | | | | 0.2 | | |
| | | | 495,525 | | | | JPMBB Commercial
Mortgage Securities Trust
2013-C15 A2, 2.977%,
11/15/45 | | | | | 498,043 | | | | | | 0.2 | | |
| | | | 760,000 (1) | | | | PFP 2015-2 C, 4.727%,
(US0001M + 3.250%),
07/14/34 | | | | | 760,942 | | | | | | 0.3 | | |
| | | | 3,952,497 | | | | Other Securities | | | | | 3,974,654 | | | | | | 1.4 | | |
| | | | | | | | Total Commercial
Mortgage-Backed
Securities
(Cost $23,839,378) | | | | | 23,691,878 | | | | | | 8.1 | | |
| |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | ASSET-BACKED SECURITIES: 18.6% | |
| | | | | | | | Automobile Asset-Backed Securities: 6.3% | |
| | | | 400,000 | | | | Ally Auto Receivables Trust
2017-2 A4, 2.100%,
03/15/22 | | | | $ | 398,544 | | | | | | 0.1 | | |
| | | | 900,000 | | | | Ally Auto Receivables Trust
2017-3 A4, 2.010%,
03/15/22 | | | | | 894,290 | | | | | | 0.3 | | |
| | | | 350,000 (1) | | | | Bank of The West Auto
Trust 2015-1 A4, 1.660%,
09/15/20 | | | | | 349,282 | | | | | | 0.1 | | |
| | | | 750,000 | | | | CarMax Auto Owner Trust
2017-1 A4, 2.270%,
09/15/22 | | | | | 747,289 | | | | | | 0.3 | | |
| | | | 750,000 | | | | CarMax Auto Owner Trust
2017-3 A4, 2.220%,
11/15/22 | | | | | 746,312 | | | | | | 0.2 | | |
| | | | 750,000 (1) | | | | Chrysler Capital Auto
Receivables Trust 2016-BA
A4, 1.870%, 02/15/22 | | | | | 743,310 | | | | | | 0.3 | | |
| | | | 1,300,000 | | | | Ford Credit Auto Owner
Trust 2016-C A4, 1.400%,
02/15/22 | | | | | 1,277,104 | | | | | | 0.4 | | |
| | | | 1,200,000 | | | | GM Financial Automobile
Leasing Trust 2016-3 A4,
1.780%, 05/20/20 | | | | | 1,195,774 | | | | | | 0.4 | | |
| | | | 350,000 | | | | GM Financial Automobile
Leasing Trust 2017-1 A4,
2.260%, 08/20/20 | | | | | 350,406 | | | | | | 0.1 | | |
| | | | 970,000 | | | | Harley-Davidson
Motorcycle Trust 2015-1
A4, 1.670%, 08/15/22 | | | | | 967,110 | | | | | | 0.3 | | |
| | | | 300,000 (1) | | | | Hyundai Auto Lease
Securitization Trust 2016-C
A4, 1.650%, 07/15/20 | | | | | 298,559 | | | | | | 0.1 | | |
| | | | 400,000 | | | | Hyundai Auto Receivables
Trust 2017-A A4, 2.090%,
04/17/23 | | | | | 397,585 | | | | | | 0.2 | | |
| | | | 950,000 | | | | Hyundai Auto Receivables
Trust 2017-B A4, 1.960%,
02/15/23 | | | | | 941,454 | | | | | | 0.3 | | |
| | | | 1,000,000 | | | | Mercedes-Benz Auto
Lease Trust 2016-B,
1.520%, 06/15/22 | | | | | 994,454 | | | | | | 0.3 | | |
| | | | 450,000 | | | | Mercedes-Benz Auto
Receivables Trust 2015-1
A4, 1.750%, 12/15/21 | | | | | 448,451 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | ASSET-BACKED SECURITIES: (continued) | |
| | | | | | | | Automobile Asset-Backed
Securities (continued) | |
| | | | 350,000 | | | | Nissan Auto Lease Trust
2016-B A4, 1.610%,
01/18/22 | | | | $ | 348,524 | | | | | | 0.1 | | |
| | | | 700,000 | | | | Nissan Auto Receivables
2017-B A4, 1.950%,
10/16/23 | | | | | 694,403 | | | | | | 0.3 | | |
| | | | 650,000 | | | | Nissan Auto Receivables
2017-C A4 Owner Trust,
2.280%, 02/15/24 | | | | | 648,734 | | | | | | 0.2 | | |
| | | | 550,000 (1) | | | | OSCAR US Funding Trust
VI LLC 2017-1A A3,
2.820%, 06/10/21 | | | | | 551,234 | | | | | | 0.2 | | |
| | | | 1,450,000 (1) | | | | OSCAR US Funding Trust
VII LLC 2017-2A A3,
2.450%, 12/10/21 | | | | | 1,439,934 | | | | | | 0.5 | | |
| | | | 900,000 (1) | | | | Santander Retail Auto
Lease Trust 2017-A A3,
2.220%, 01/20/21 | | | | | 897,775 | | | | | | 0.3 | | |
| | | | 650,000 (1) | | | | Santander Retail Auto
Lease Trust 2017-A A4,
2.370%, 01/20/22 | | | | | 647,585 | | | | | | 0.2 | | |
| | | | 670,000 | | | | Toyota Auto Receivables
2016-A Owner Trust A4,
1.470%, 09/15/21 | | | | | 663,797 | | | | | | 0.3 | | |
| | | | 650,000 | | | | Toyota Auto Receivables
2017-B Owner Trust A4,
2.050%, 09/15/22 | | | | | 647,030 | | | | | | 0.2 | | |
| | | | 650,000 | | | | Toyota Auto Receivables
2017-C A4 Owner Trust,
1.980%, 12/15/22 | | | | | 644,363 | | | | | | 0.2 | | |
| | | | 560,000 | | | | Other Securities | | | | | 558,397 | | | | | | 0.2 | | |
| | | | | | | | | | | | | 18,491,700 | | | | | | 6.3 | | |
| | | | | | | | Credit Card Asset-Backed Securities: 3.2% | |
| | | | 850,000 | | | | American Express Credit
Account Master Trust
2017-1 A, 1.930%,
09/15/22 | | | | | 846,341 | | | | | | 0.3 | | |
| | | | 650,000 | | | | American Express Credit
Account Master Trust
2017-1 B, 2.100%,
09/15/22 | | | | | 646,666 | | | | | | 0.2 | | |
| | | | 1,500,000 | | | | Cabela’s Credit Card
Master Note Trust 2015-1A
A1, 2.260%, 03/15/23 | | | | | 1,502,335 | | | | | | 0.5 | | |
| | | | 900,000 | | | | Cabela’s Credit Card
Master Note Trust 2016-1
A1, 1.780%, 06/15/22 | | | | | 895,025 | | | | | | 0.3 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | ASSET-BACKED SECURITIES: (continued) | |
| | | | | | | | Credit Card Asset-Backed
Securities (continued) | |
| | | | 650,000 | | | | Capital One Multi-Asset
Execution Trust 2016-A4
A4, 1.330%, 06/15/22 | | | | $ | 642,103 | | | | | | 0.2 | | |
| | | | 1,200,000 | | | | Capital One Multi-Asset
Execution Trust 2016-A6
A6, 1.820%, 09/15/22 | | | | | 1,193,851 | | | | | | 0.4 | | |
| | | | 420,000 | | | | Citibank Credit Card
Issuance Trust 2014-A6
A6, 2.150%, 07/15/21 | | | | | 420,532 | | | | | | 0.2 | | |
| | | | 900,000 | | | | Citibank Credit Card
Issuance Trust 2016-A1
A1, 1.750%, 11/19/21 | | | | | 894,145 | | | | | | 0.3 | | |
| | | | 1,200,000 | | | | Discover Card Execution
Note Trust 2016-A4 A4,
1.390%, 03/15/22 | | | | | 1,185,611 | | | | | | 0.4 | | |
| | | | 200,000 | | | | Discover Card Execution
Note Trust 2017-A6 A6,
1.880%, 02/15/23 | | | | | 198,499 | | | | | | 0.1 | | |
| | | | 950,000 | | | | Other Securities | | | | | 940,191 | | | | | | 0.3 | | |
| | | | | | | | | | | | | 9,365,299 | | | | | | 3.2 | | |
| | | | | | | | Home Equity Asset-Backed Securities: 0.0% | |
| | | | 41,058 | | | | Other Securities | | | | | 41,231 | | | | | | 0.0 | | |
| | | | | | | | Other Asset-Backed Securities: 8.8% | |
| | | | 500,000 (1) | | | | Ares XLIV CLO Ltd.
2017-44A A2, 2.664%,
(US0003M + 1.350%),
10/15/29 | | | | | 502,068 | | | | | | 0.2 | | |
| | | | 970,000 (1) | | | | Babson CLO Ltd. 2014-3A
AR, 2.679%, (US0003M +
1.320%), 01/15/26 | | | | | 971,257 | | | | | | 0.3 | | |
| | | | 250,000 (1) | | | | Bain Capital Credit CLO
2017-1A A2, 2.644%,
(US0003M + 1.350%),
07/20/30 | | | | | 250,958 | | | | | | 0.1 | | |
| | | | 250,000 (1) | | | | Barings CLO Ltd. 2017-1A
A2, 2.631%, (US0003M +
1.350%), 07/18/29 | | | | | 250,953 | | | | | | 0.1 | | |
| | | | 580,000 (1) | | | | Benefit Street Partners
CLO II Ltd. 2013-IIA A1R,
2.609%, (US0003M +
1.250%), 07/15/29 | | | | | 584,718 | | | | | | 0.2 | | |
| | | | 1,650,000 (1) | | | | Benefit Street Partners
CLO X Ltd. 2016-10A A1,
2.849%, (US0003M +
1.490%), 01/15/29 | | | | | 1,656,516 | | | | | | 0.6 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | ASSET-BACKED SECURITIES: (continued) | |
| | | | | | | | Other Asset-Backed Securities (continued) | |
| | | | 250,000 (1) | | | | Carbone CLO Ltd 2017-1A
A1, 2.809%, (US0003M +
1.140%), 01/20/31 | | | | $ | 250,097 | | | | | | 0.1 | | |
| | | | 1,210,000 (1) | | | | Carlyle Global Market
Strategies CLO Ltd.
2017-1A A1A, 2.663%,
(US0003M + 1.300%),
04/20/31 | | | | | 1,213,451 | | | | | | 0.4 | | |
| | | | 620,000 (1) | | | | Cedar Funding VIII Clo Ltd.
2017-8A A1, 2.618%,
(US0003M + 1.250%),
10/17/30 | | | | | 623,885 | | | | | | 0.2 | | |
| | | | 750,000 (1) | | | | CIFC Funding 2013-2A
A1LR, 2.564%, (US0003M
+ 1.210%), 10/18/30 | | | | | 755,461 | | | | | | 0.3 | | |
| | | | 630,000 (1) | | | | CIFC Funding 2016-1A A,
2.843%, (US0003M +
1.480%), 10/21/28 | | | | | 632,532 | | | | | | 0.2 | | |
| | | | 600,000 (1) | | | | CIFC Funding 2017-4 A1,
2.633%, (US0003M +
1.250%), 10/24/30 | | | | | 605,175 | | | | | | 0.2 | | |
| | | | 600,000 (1) | | | | Clear Creek CLO Ltd.
2015-1A AR, 2.563%,
(US0003M + 1.200%),
10/20/30 | | | | | 604,066 | | | | | | 0.2 | | |
| | | | 933,771 | | | | CWABS, Inc.
Asset-Backed Certificates
Trust 2004-5 1A, 2.052%,
(US0001M + 0.500%),
10/25/34 | | | | | 921,506 | | | | | | 0.3 | | |
| | | | 550,000 (1) | | | | Deer Creek Clo Ltd.
2017-1A A, 3.177%,
(US0003M + 1.180%),
10/20/30 | | | | | 551,213 | | | | | | 0.2 | | |
| | | | 680,000 (1) | | | | Dewolf Park Clo Ltd.
2017-1A A, 2.464%,
(US0003M + 1.210%),
10/15/30 | | | | | 685,104 | | | | | | 0.2 | | |
| | | | 480,000 (1) | | | | Dryden 33 Senior Loan
Fund 2014-33A AR,
2.789%, (US0003M +
1.430%), 10/15/28 | | | | | 483,819 | | | | | | 0.2 | | |
| | | | 1,120,000 (1) | | | | Dryden Senior Loan Fund
2017-47A A2, 2.709%,
(US0003M + 1.350%),
04/15/28 | | | | | 1,123,581 | | | | | | 0.4 | | |
| | | | 480,000 (1) | | | | Dryden XXVIII Senior Loan
Fund 2013-28A A1LR,
2.616%, (US0003M +
1.200%), 08/15/30 | | | | | 483,728 | | | | | | 0.1 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | ASSET-BACKED SECURITIES: (continued) | |
| | | | | | | | Other Asset-Backed Securities (continued) | |
| | | | 300,000 | (1)(5) | | Eaton Vance Clo 2015-1A
A2R Ltd., 2.727%,
(US0003M + 1.250%),
01/20/30 | | | | $ | 300,000 | | | | | | 0.1 | | |
| | | | 750,000 (1) | | | | Galaxy XIX CLO Ltd.
2015-19A A1R, 2.585%,
(US0003M + 1.220%),
07/24/30 | | | | | 755,535 | | | | | | 0.2 | | |
| | | | 500,000 (1) | | | | Galaxy XV CLO Ltd.
2013-15A AR, 2.559%,
(US0003M + 1.200%),
10/15/30 | | | | | 503,916 | | | | | | 0.2 | | |
| | | | 300,000 (1) | | | | Goldentree Loan
Management US Clo 2 Ltd.
2017-2A A, 2.724%,
(US0003M + 1.150%),
11/28/30 | | | | | 300,904 | | | | | | 0.1 | | |
| | | | 43,468 (1) | | | | GSAMP Trust 2005-SEA2
A1, 1.902%, (US0001M +
0.350%), 01/25/45 | | | | | 43,489 | | | | | | 0.0 | | |
| | | | 750,000 (1) | | | | KKR CLO 20 A Ltd.,
2.846%, (US0003M +
1.130%), 10/16/30 | | | | | 749,834 | | | | | | 0.3 | | |
| | | | 600,000 (1) | | | | LCM 26A A2 Ltd. 0.000%,
(US0003M + 1.250%),
01/20/31 | | | | | 600,000 | | | | | | 0.2 | | |
| | | | 950,000 (1) | | | | LCM XXIII Ltd. 23A A1,
2.763%, (US0003M +
1.400%), 10/20/29 | | | | | 962,056 | | | | | | 0.3 | | |
| | | | 520,000 (1) | | | | Octagon Investment
Partners 30 Ltd. 2017-1A
A1, 2.683%, (US0003M +
1.320%), 03/17/30 | | | | | 526,718 | | | | | | 0.2 | | |
| | | | 400,000 (1) | | | | Octagon Investment
Partners 33 Ltd. 2017-1A
A1, 2.591%, (US0003M +
1.190%), 01/20/31 | | | | | 400,234 | | | | | | 0.1 | | |
| | | | 500,000 (1) | | | | Octagon Investment
Partners Ltd. 2017-1A A2,
2.668%, (US0003M +
1.350%), 07/15/29 | | | | $ | 502,642 | | | | | | 0.2 | | |
| | | | 500,000 (1) | | | | Octagon Investment
Partners XIV Ltd. 2012-1A
A1BR, 2.734%, (US0003M
+ 1.375%), 07/15/29 | | | | | 505,092 | | | | | | 0.2 | | |
| | | | 400,000 (1) | | | | Octagon Investment
Partners XV Ltd. 2013-1A
A2R, 2.707%, (US0003M +
1.350%), 07/19/30 | | | | | 403,566 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | ASSET-BACKED SECURITIES: (continued) | |
| | | | | | | | Other Asset-Backed Securities (continued) | |
| | | | 750,000 (1) | | | | OHA Loan Funding Ltd.
2015-1A AR, 2.826%,
(US0003M + 1.410%),
08/15/29 | | | | $ | 762,713 | | | | | | 0.3 | | |
| | | | 700,000 (1) | | | | Palmer Square CLO
2015-2A A1AR Ltd.,
2.633%, (US0003M +
1.270%), 07/20/30 | | | | | 706,120 | | | | | | 0.2 | | |
| | | | 275,000 (1) | | | | Palmer Square CLO
2015-2A A1BR Ltd.,
2.713%, (US0003M +
1.350%), 07/20/30 | | | | | 277,649 | | | | | | 0.1 | | |
| | | | 500,000 (1) | | | | TCI-Symphony CLO
2017-1A A Ltd., 2.501%,
(US0003M + 1.230%),
07/15/30 | | | | | 503,848 | | | | | | 0.2 | | |
| | | | 400,000 (1) | | | | TCI-Flatiron CLO 2017-1A
A Ltd., 2.147%, (US0003M
+ 1.200%), 11/17/30 | | | | | 400,212 | | | | | | 0.1 | | |
| | | | 600,000 (1) | | | | THL Credit Wind River
2013-2A AR CLO Ltd.,
2.584%, (US0003M +
1.230%), 10/18/30 | | | | | 605,498 | | | | | | 0.2 | | |
| | | | 570,000 (1) | | | | THL Credit Wind River
2017-2A A CLO Ltd.,
2.544%, (US0003M +
1.230%), 07/20/30 | | | | | 571,041 | | | | | | 0.2 | | |
| | | | 450,000 (1) | | | | Volvo Financial Equipment
LLC Series 2017-1A A4,
2.210%, 11/15/21 | | | | | 447,623 | | | | | | 0.2 | | |
| | | | 1,720,000 (6) | | | | Other Securities | | | | | 1,715,678 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 25,694,456 | | | | | | 8.8 | | |
| | | | | | | | Student Loan Asset-Backed
Securities: 0.3% | |
| | | | 700,000 (1) | | | | DRB Prime Student Loan
Trust 2017-A A2B, 2.850%,
05/27/42 | | | | | 696,705 | | | | | | 0.3 | | |
| | | | | | | | Total Asset-Backed Securities | | | |
| | | | | | | | (Cost $54,324,083) | | | | | 54,289,391 | | | | | | 18.6 | | |
| | | | | | | | Total Long-Term
Investments
(Cost $291,678,214) | | | | | 291,050,020 | | | | | | 99.7 | | |
| |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: 0.1% | |
| | | | | | | | Securities Lending Collateral(7): 0.1% | |
| | | | 158,993 | | | | State of Wisconsin
Investment Board,
Repurchase Agreement
dated 12/29/17, 1.63%,
due 01/02/18 (Repurchase
Amount $159,021,
collateralized by various
U.S. Government
Securities,
0.125%-3.875%, Market
Value plus accrued
interest $163,408, due
01/15/19-02/15/46)
(Cost $158,993) | | | | $ | 158,993 | | | | | | 0.1 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | | Mutual Funds: 0.0% | |
| | | | 70,000 (8) | | | | BlackRock Liquidity Funds,
FedFund, Institutional
Class, 1.170%
(Cost $70,000) | | | | | 70,000 | | | | | | 0.0 | | |
| | | | | | | | Total Short-Term
Investments
(Cost $228,993) | | | | | 228,993 | | | | | | 0.1 | | |
| | | | | | | | Total Investments in
Securities
(Cost $291,907,207) | | | | $ | 291,279,013 | | | | | | 99.8 | | |
| | | | | | | | Assets in Excess of
Other Liabilities | | | | | 500,062 | | | | | | 0.2 | | |
| | | | | | | | Net Assets | | | | $ | 291,779,075 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
(1)
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
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
(2)
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.
(3)
Security, or a portion of the security, is on loan.
(4)
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.
(5)
For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs.
(6)
The grouping contains Level 3 securities.
(7)
Represents securities purchased with cash collateral received for securities on loan.
(8)
Rate shown is the 7-day yield as of December 31, 2017.
Reference Rate Abbreviations:
H15T1Y
U.S. Treasury 1-Year Constant Maturity
US0001M
1-month LIBOR
US0003M
3-month LIBOR
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Corporate Bonds/Notes | | | | $ | — | | | | | $ | 136,361,450 | | | | | $ | — | | | | | $ | 136,361,450 | | |
| Collateralized Mortgage Obligations | | | | | — | | | | | | 326,457 | | | | | | — | | | | | | 326,457 | | |
| U.S. Treasury Obligations | | | | | — | | | | | | 76,087,306 | | | | | | — | | | | | | 76,087,306 | | |
| Commercial Mortgage-Backed Securities | | | | | — | | | | | | 23,691,878 | | | | | | — | | | | | | 23,691,878 | | |
| U.S. Government Agency Obligations | | | | | — | | | | | | 115,875 | | | | | | — | | | | | | 115,875 | | |
| Asset-Backed Securities | | | | | — | | | | | | 53,289,391 | | | | | | 1,000,000 | | | | | | 54,289,391 | | |
| Foreign Government Bonds | | | | | — | | | | | | 177,663 | | | | | | — | | | | | | 177,663 | | |
| Short-Term Investments | | | | | 70,000 | | | | | | 158,993 | | | | | | — | | | | | | 228,993 | | |
| Total Investments, at fair value | | | | $ | 70,000 | | | | | $ | 290,209,013 | | | | | $ | 1,000,000 | | | | | $ | 291,279,013 | | |
| Other Financial Instruments+ | | | | | |
| Futures | | | | | 65,341 | | | | | | — | | | | | | — | | | | | | 65,341 | | |
| Total Assets | | | | $ | 135,341 | | | | | $ | 290,209,013 | | | | | $ | 1,000,000 | | | | | $ | 291,344,354 | | |
| Liabilities Table | | | | | |
| Other Financial Instruments+ | | | | | |
| Futures | | | | $ | (178,374) | | | | | $ | — | | | | | $ | — | | | | | $ | (178,374) | | |
| Total Liabilities | | | | $ | (178,374) | | | | | $ | — | | | | | $ | — | | | | | $ | (178,374) | | |
^
See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
+
Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument.
At December 31, 2017, the following futures contracts were outstanding for Voya Limited Maturity Bond Portfolio:
| Contract Description | | | Number of
Contracts | | | Expiration Date | | | Notional Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Long Contracts | | | | | |
| U.S. Treasury 2-Year Note | | | | | 410 | | | | | | 03/29/18 | | | | | $ | 87,784,844 | | | | | $ | (178,374) | | |
| | | | | | | | | | | | | | | | | $ | 87,784,844 | | | | | $ | (178,374) | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya Limited Maturity Bond Portfolio | as of December 31, 2017 (continued) |
| Contract Description | | | Number of
Contracts | | | Expiration Date | | | Notional Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Short Contracts | | | | | |
| U.S. Treasury 10-Year Note | | | | | (2) | | | | | | 03/20/18 | | | | | | (248,094) | | | | | | 1,324 | | |
| U.S. Treasury 5-Year Note | | | | | (126) | | | | | | 03/29/18 | | | | | | (14,636,672) | | | | | | 63,158 | | |
| U.S. Treasury Long Bond | | | | | (1) | | | | | | 03/20/18 | | | | | | (153,000) | | | | | | 248 | | |
| U.S. Treasury Ultra 10-Year Note | | | | | (1) | | | | | | 03/20/18 | | | | | | (133,562) | | | | | | 611 | | |
| | | | | | | | | | | | | | | | | $ | (15,171,328) | | | | | $ | 65,341 | | |
| |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2017 was as follows:
| Derivatives not accounted for as hedging instruments | | | Location on Statement
of Assets and Liabilities | | | Fair Value | |
| Asset Derivatives | | | |
| Interest rate contracts | | | Net Assets — Unrealized appreciation* | | | | $ | 65,341 | | |
| Total Asset Derivatives | | | | | | | $ | 65,341 | | |
| | | | |
| Liability Derivatives | | | |
| Interest rate contracts | | | Net Assets — Unrealized depreciation* | | | | $ | 178,374 | | |
| Total Liability Derivatives | | | | | | | $ | 178,374 | | |
| |
*
Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| Derivatives not accounted for as hedging instruments | | | Futures | | | Swaps | | | Total | |
| Interest rate contracts | | | | $ | (384,367) | | | | | $ | 13,764 | | | | | $ | (370,603) | | |
| Total | | | | $ | (384,367) | | | | | $ | 13,764 | | | | | $ | (370,603) | | |
| |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| Derivatives not accounted for as hedging instruments | | | Futures | | | Swaps | | | Total | |
| Interest rate contracts | | | | $ | (137,681) | | | | | $ | (13,562) | | | | | $ | (151,243) | | |
| Total | | | | $ | (137,681) | | | | | $ | (13,562) | | | | | $ | (151,243) | | |
| |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $291,821,198. | | |
| | Net unrealized depreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 504,854 | | |
| | Gross Unrealized Depreciation | | | | | (1,160,071) | | |
| | Net Unrealized Depreciation | | | | $ | (655,217) | | |
| |
See Accompanying Notes to Financial Statements
| Voya Multi-Manager Large Cap | SUMMARY PORTFOLIO OF INVESTMENTS |
| Core Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 98.2% | |
| | | | | | | | Consumer Discretionary: 16.9% | |
| | | | 98,674 (1) | | | | Carmax, Inc. | | | | $ | 6,327,963 | | | | | | 1.9 | | |
| | | | 119,479 | | | | Carnival Corp. | | | | | 7,929,821 | | | | | | 2.3 | | |
| | | | 106,301 | | | | Comcast Corp. – Class A | | | | | 4,257,355 | | | | | | 1.3 | | |
| | | | 81,661 (1) | | | | Dollar Tree, Inc. | | | | | 8,763,042 | | | | | | 2.6 | | |
| | | | 90,132 | | | | Lowe’s Cos, Inc. | | | | | 8,376,868 | | | | | | 2.5 | | |
| | | | 79,247 | | | | Nike, Inc. | | | | | 4,956,900 | | | | | | 1.5 | | |
| | | | 15,972 (1) | | | | O’Reilly Automotive, Inc. | | | | | 3,841,905 | | | | | | 1.1 | | |
| | | | 113,989 (2) | | | | Other Securities | | | | | 12,372,999 | | | | | | 3.7 | | |
| | | | | | | | | | | | | 56,826,853 | | | | | | 16.9 | | |
| | | | | | | | Consumer Staples: 6.6% | |
| | | | 85,770 | | | | Altria Group, Inc. | | | | | 6,124,836 | | | | | | 1.8 | | |
| | | | 67,936 | | | | Coca-Cola Co. | | | | | 3,116,904 | | | | | | 0.9 | | |
| | | | 19,982 | | | | PepsiCo, Inc. | | | | | 2,396,241 | | | | | | 0.7 | | |
| | | | 44,880 | | | | Philip Morris International,
Inc. | | | | | 4,741,572 | | | | | | 1.4 | | |
| | | | 105,755 | | | | Other Securities | | | | | 6,019,420 | | | | | | 1.8 | | |
| | | | | | | | | | | | | 22,398,973 | | | | | | 6.6 | | |
| | | | | | | | Energy: 4.8% | |
| | | | 66,618 | | | | Canadian Natural
Resources Ltd. | | | | | 2,379,595 | | | | | | 0.7 | | |
| | | | 54,560 | | | | Chevron Corp. | | | | | 6,830,366 | | | | | | 2.0 | | |
| | | | 38,780 | | | | Exxon Mobil Corp. | | | | | 3,243,559 | | | | | | 1.0 | | |
| | | | 54,825 | | | | Other Securities | | | | | 3,724,601 | | | | | | 1.1 | | |
| | | | | | | | | | | | | 16,178,121 | | | | | | 4.8 | | |
| | | | | | | | Financials: 21.1% | |
| | | | 8,970 (1) | | | | Alleghany Corp. | | | | | 5,346,927 | | | | | | 1.6 | | |
| | | | 101,375 | | | | Bank of America Corp. | | | | | 2,992,590 | | | | | | 0.9 | | |
| | | | 43,553 | | | | Bank of New York Mellon
Corp. | | | | | 2,345,765 | | | | | | 0.7 | | |
| | | | 89,717 (1) | | | | Berkshire Hathaway, Inc. –
Class B | | | | | 17,783,704 | | | | | | 5.3 | | |
| | | | 15,476 | | | | Blackrock, Inc. | | | | | 7,950,176 | | | | | | 2.4 | | |
| | | | 66,015 | | | | Citigroup, Inc. | | | | | 4,912,176 | | | | | | 1.4 | | |
| | | | 57,079 | | | | JPMorgan Chase & Co. | | | | | 6,104,028 | | | | | | 1.8 | | |
| | | | 53,855 | | | | Morgan Stanley | | | | | 2,825,772 | | | | | | 0.8 | | |
| | | | 147,392 | | | | Progressive Corp. | | | | | 8,301,118 | | | | | | 2.5 | | |
| | | | 178,200 | | | | Wells Fargo & Co. | | | | | 10,811,394 | | | | | | 3.2 | | |
| | | | 19,302 | | | | Other Securities | | | | | 1,669,445 | | | | | | 0.5 | | |
| | | | | | | | | | | | | 71,043,095 | | | | | | 21.1 | | |
| | | | | | | | Health Care: 10.8% | |
| | | | 46,666 (1) | | | | Alexion Pharmaceuticals, Inc. | | | | | 5,580,787 | | | | | | 1.7 | | |
| | | | 7,945 (1) | | | | Biogen, Inc. | | | | | 2,531,038 | | | | | | 0.7 | | |
| | | | 71,160 | | | | Bristol-Myers Squibb Co. | | | | | 4,360,685 | | | | | | 1.3 | | |
| | | | 10,120 | | | | Cigna Corp. | | | | | 2,055,271 | | | | | | 0.6 | | |
| | | | 67,249 | | | | Eli Lilly & Co. | | | | | 5,679,850 | | | | | | 1.7 | | |
| | | | 30,969 | | | | Johnson & Johnson | | | | | 4,326,989 | | | | | | 1.3 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | Health Care (continued) | |
| | | | 83,450 | | | | Pfizer, Inc. | | | | $ | 3,022,559 | | | | | | 0.9 | | |
| | | | 86,398 (2) | | | | Other Securities | | | | | 8,770,467 | | | | | | 2.6 | | |
| | | | | | | | | | | | | 36,327,646 | | | | | | 10.8 | | |
| | | | | | | | Industrials: 12.0% | |
| | | | 44,380 | | | | Deere & Co. | | | | | 6,945,914 | | | | | | 2.1 | | |
| | | | 34,360 | | | | FedEx Corp. | | | | | 8,574,194 | | | | | | 2.5 | | |
| | | | 34,115 | | | | General Dynamics Corp. | | | | | 6,940,697 | | | | | | 2.1 | | |
| | | | 26,023 | | | | Honeywell International, Inc. | | | | | 3,990,887 | | | | | | 1.2 | | |
| | | | 45,702 | | | | Norfolk Southern Corp. | | | | | 6,622,220 | | | | | | 2.0 | | |
| | | | 69,604 | | | | Southwest Airlines Co. | | | | | 4,555,582 | | | | | | 1.3 | | |
| | | | 99,505 | | | | Other Securities | | | | | 2,879,238 | | | | | | 0.8 | | |
| | | | | | | | | | | | | 40,508,732 | | | | | | 12.0 | | |
| | | | | | | | Information Technology: 19.8% | |
| | | | 2,238 (1) | | | | Alphabet, Inc. - Class A | | | | | 2,357,509 | | | | | | 0.7 | | |
| | | | 10,639 (1) | | | | Alphabet, Inc. - Class C | | | | | 11,132,650 | | | | | | 3.3 | | |
| | | | 90,617 | | | | Apple, Inc. | | | | | 15,335,115 | | | | | | 4.5 | | |
| | | | 12,088 | | | | Broadcom Ltd. | | | | | 3,105,407 | | | | | | 0.9 | | |
| | | | 189,539 | | | | Cisco Systems, Inc. | | | | | 7,259,344 | | | | | | 2.2 | | |
| | | | 29,960 (1) | | | | Facebook, Inc. | | | | | 5,286,742 | | | | | | 1.6 | | |
| | | | 19,986 | | | | Mastercard, Inc. - Class A | | | | | 3,025,081 | | | | | | 0.9 | | |
| | | | 60,165 | | | | Microsoft Corp. | | | | | 5,146,514 | | | | | | 1.5 | | |
| | | | 64,025 | | | | Visa, Inc. - Class A | | | | | 7,300,130 | | | | | | 2.2 | | |
| | | | 92,226 (2) | | | | Other Securities | | | | | 6,795,270 | | | | | | 2.0 | | |
| | | | | | | | | | | | | 66,743,762 | | | | | | 19.8 | | |
| | | | | | | | Materials: 3.0% | |
| | | | 12,155 | | | | NewMarket Corp. | | | | | 4,830,275 | | | | | | 1.4 | | |
| | | | 5,621 | | | | Sherwin-Williams Co. | | | | | 2,304,835 | | | | | | 0.7 | | |
| | | | 66,480 | | | | Other Securities | | | | | 2,987,666 | | | | | | 0.9 | | |
| | | | | | | | | | | | | 10,122,776 | | | | | | 3.0 | | |
| | | | | | | | Real Estate: 0.6% | |
| | | | 14,688 | | | | American Tower Corp. | | | | | 2,095,537 | | | | | | 0.6 | | |
| | | | | | | | Telecommunication Services: 2.3% | |
| | | | 75,870 | | | | AT&T, Inc. | | | | | 2,949,826 | | | | | | 0.9 | | |
| | | | 89,842 | | | | Verizon Communications, Inc. | | | | | 4,755,337 | | | | | | 1.4 | | |
| | | | | | | | | | | | | 7,705,163 | | | | | | 2.3 | | |
| | | | | | | | Utilities: 0.3% | |
| | | | 23,855 | | | | Other Securities | | | | | 1,147,187 | | | | | | 0.3 | | |
| | | | | | | | Total Common Stock | | | |
| | | | | | | | (Cost $252,048,343) | | | | | 331,097,845 | | | | | | 98.2 | | |
| | SHORT-TERM INVESTMENTS: 1.5% | |
| | | | | | | | Mutual Funds: 1.5% | |
| | | | 5,093,568 (3) | | | | BlackRock Liquidity Funds,
FedFund, Institutional Class,
1.170%
(Cost $5,093,568) | | | | | 5,093,568 | | | | | | 1.5 | | |
See Accompanying Notes to Financial Statements
| Voya Multi-Manager Large Cap | SUMMARY PORTFOLIO OF INVESTMENTS |
| Core Portfolio | as of December 31, 2017 (continued) |
| Shares | | | Value | | | Percentage
of Net
Assets | |
| SHORT-TERM INVESTMENTS: (continued) | |
| | | | Total Short-Term
Investments
(Cost $5,093,568) | | | | $ | 5,093,568 | | | | | | 1.5 | | |
| | | | Total Investments in Securities | | | |
| | | | (Cost $257,141,911) | | | | $ | 336,191,413 | | | | | | 99.7 | | |
| | | | Assets in Excess of
Other Liabilities | | | | | 926,432 | | | | | | 0.3 | | |
| | | | Net Assets | | | | $ | 337,117,845 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
(1)
Non-income producing security.
(2)
The grouping contains non-income producing securities.
(3)
Rate shown is the 7-day yield as of December 31, 2017.
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock* | | | | $ | 331,097,845 | | | | | $ | — | | | | | $ | — | | | | | $ | 331,097,845 | | |
| Short-Term Investments | | | | | 5,093,568 | | | | | | — | | | | | | — | | | | | | 5,093,568 | | |
| Total Investments, at fair value | | | | $ | 336,191,413 | | | | | $ | — | | | | | $ | — | | | | | $ | 336,191,413 | | |
^
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 Portfolio of Investments.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $258,547,062. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 80,862,244 | | |
| | Gross Unrealized Depreciation | | | | | (3,217,893) | | |
| | Net Unrealized Appreciation | | | | $ | 77,644,351 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya U.S. Stock Index Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 99.3% | |
| | | | | | | | Consumer Discretionary: 12.1% | |
| | | | 88,426 (1) | | | | Amazon.com, Inc. | | | | $ | 103,411,554 | | | | | | 2.0 | | |
| | | | 1,031,239 | | | | Comcast Corp. – Class A | | | | | 41,301,122 | | | | | | 0.8 | | |
| | | | 258,179 | | | | Home Depot, Inc. | | | | | 48,932,666 | | | | | | 1.0 | | |
| | | | 176,251 | | | | McDonald’s Corp. | | | | | 30,336,322 | | | | | | 0.6 | | |
| | | | 333,916 | | | | Walt Disney Co. | | | | | 35,899,309 | | | | | | 0.7 | | |
| | | | 5,842,313 | (2)(3) | | Other Securities | | | | | 355,851,340 | | | | | | 7.0 | | |
| | | | | | | | | | | | | 615,732,313 | | | | | | 12.1 | | |
| | | | | | | | Consumer Staples: 8.1% | |
| | | | 421,883 | | | | Altria Group, Inc. | | | | | 30,126,665 | | | | | | 0.6 | | |
| | | | 847,794 | | | | Coca-Cola Co. | | | | | 38,896,789 | | | | | | 0.8 | | |
| | | | 314,423 | | | | PepsiCo, Inc. | | | | | 37,705,606 | | | | | | 0.7 | | |
| | | | 343,386 | | | | Philip Morris International,
Inc. | | | | | 36,278,731 | | | | | | 0.7 | | |
| | | | 563,363 | | | | Procter & Gamble Co. | | | | | 51,761,792 | | | | | | 1.0 | | |
| | | | 323,617 | | | | Wal-Mart Stores, Inc. | | | | | 31,957,179 | | | | | | 0.6 | | |
| | | | 2,685,545 (3) | | | | Other Securities | | | | | 186,935,128 | | | | | | 3.7 | | |
| | | | | | | | | | | | | 413,661,890 | | | | | | 8.1 | | |
| | | | | | | | Energy: 6.0% | |
| | | | 419,934 | | | | Chevron Corp. | | | | | 52,571,537 | | | | | | 1.0 | | |
| | | | 936,820 | | | | Exxon Mobil Corp. | | | | | 78,355,625 | | | | | | 1.5 | | |
| | | | 3,604,094 | (2)(3) | | Other Securities | | | | | 175,537,248 | | | | | | 3.5 | | |
| | | | | | | | | | | | | 306,464,410 | | | | | | 6.0 | | |
| | | | | | | | Financials: 14.7% | |
| | | | 2,144,682 | | | | Bank of America Corp. | | | | | 63,311,013 | | | | | | 1.2 | | |
| | | | 425,468 (1) | | | | Berkshire Hathaway, Inc. –
Class B | | | | | 84,336,267 | | | | | | 1.7 | | |
| | | | 584,564 | | | | Citigroup, Inc. | | | | | 43,497,407 | | | | | | 0.9 | | |
| | | | 767,124 | | | | JPMorgan Chase & Co. | | | | | 82,036,241 | | | | | | 1.6 | | |
| | | | 979,837 | | | | Wells Fargo & Co. | | | | | 59,446,711 | | | | | | 1.2 | | |
| | | | 5,964,166 (3) | | | | Other Securities | | | | | 413,308,486 | | | | | | 8.1 | | |
| | | | | | | | | | | | | 745,936,125 | | | | | | 14.7 | | |
| | | | | | | | Health Care: 13.7% | |
| | | | 384,831 | | | | Abbott Laboratories | | | | | 21,962,305 | | | | | | 0.4 | | |
| | | | 352,440 | | | | AbbVie, Inc. | | | | | 34,084,472 | | | | | | 0.7 | | |
| | | | 160,493 | | | | Amgen, Inc. | | | | | 27,909,733 | | | | | | 0.6 | | |
| | | | 361,859 | | | | Bristol-Myers Squibb Co. | | | | | 22,174,720 | | | | | | 0.4 | | |
| | | | 593,965 | | | | Johnson & Johnson | | | | | 82,988,790 | | | | | | 1.6 | | |
| | | | 299,267 | | | | Medtronic PLC | | | | | 24,165,810 | | | | | | 0.5 | | |
| | | | 604,719 | | | | Merck & Co., Inc. | | | | | 34,027,538 | | | | | | 0.7 | | |
| | | | 1,317,856 | | | | Pfizer, Inc. | | | | | 47,732,744 | | | | | | 1.0 | | |
| | | | 214,252 | | | | UnitedHealth Group, Inc. | | | | | 47,233,996 | | | | | | 0.9 | | |
| | | | 3,338,272 | (2)(3) | | Other Securities | | | | | 352,319,149 | | | | | | 6.9 | | |
| | | | | | | | | | | | | 694,599,257 | | | | | | 13.7 | | |
| | | | | | | | Industrials: 10.2% | |
| | | | 131,940 | | | | 3M Co. | | | | | 31,054,718 | | | | | | 0.6 | | |
| | | | 123,777 | | | | Boeing Co. | | | | | 36,503,075 | | | | | | 0.7 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | Industrials (continued) | |
| | | | 1,917,316 | | | | General Electric Co. | | | | $ | 33,457,164 | | | | | | 0.7 | | |
| | | | 168,432 | | | | Honeywell International,
Inc. | | | | | 25,830,731 | | | | | | 0.5 | | |
| | | | 174,036 | | | | Union Pacific Corp. | | | | | 23,338,228 | | | | | | 0.5 | | |
| | | | 164,198 | | | | United Technologies Corp. | | | | | 20,946,739 | | | | | | 0.4 | | |
| | | | 3,521,472 (3) | | | | Other Securities | | | | | 346,396,441 | | | | | | 6.8 | | |
| | | | | | | | | | | | | 517,527,096 | | | | | | 10.2 | | |
| | | | | | | | Information Technology: 23.6% | |
| | | | 136,631 | | | | Accenture PLC | | | | | 20,916,840 | | | | | | 0.4 | | |
| | | | 65,895 (1) | | | | Alphabet, Inc. - Class A | | | | | 69,413,793 | | | | | | 1.4 | | |
| | | | 66,739 (1) | | | | Alphabet, Inc. - Class C | | | | | 69,835,690 | | | | | | 1.4 | | |
| | | | 1,135,148 | | | | Apple, Inc. | | | | | 192,101,096 | | | | | | 3.8 | | |
| | | | 89,894 | | | | Broadcom Ltd. | | | | | 23,093,769 | | | | | | 0.5 | | |
| | | | 1,092,988 | | | | Cisco Systems, Inc. | | | | | 41,861,440 | | | | | | 0.8 | | |
| | | | 527,257 (1) | | | | Facebook, Inc. | | | | | 93,039,770 | | | | | | 1.8 | | |
| | | | 1,034,704 | | | | Intel Corp. | | | | | 47,761,937 | | | | | | 0.9 | | |
| | | | 190,356 | | | | International Business
Machines Corp. | | | | | 29,204,417 | | | | | | 0.6 | | |
| | | | 205,351 | | | | Mastercard, Inc. - Class A | | | | | 31,081,927 | | | | | | 0.6 | | |
| | | | 1,705,623 | | | | Microsoft Corp. | | | | | 145,898,991 | | | | | | 2.9 | | |
| | | | 133,981 | | | | Nvidia Corp. | | | | | 25,925,323 | | | | | | 0.5 | | |
| | | | 673,585 | | | | Oracle Corp. | | | | | 31,847,099 | | | | | | 0.6 | | |
| | | | 217,899 | | | | Texas Instruments, Inc. | | | | | 22,757,372 | | | | | | 0.4 | | |
| | | | 400,940 | | | | Visa, Inc. - Class A | | | | | 45,715,179 | | | | | | 0.9 | | |
| | | | 5,017,901 | (2)(3) | | Other Securities | | | | | 308,440,742 | | | | | | 6.1 | | |
| | | | | | | | | | | | | 1,198,895,385 | | | | | | 23.6 | | |
| | | | | | | | Materials: 3.0% | |
| | | | 517,350 | | | | DowDuPont, Inc. | | | | | 36,845,667 | | | | | | 0.7 | | |
| | | | 1,478,867 (3) | | | | Other Securities | | | | | 114,270,999 | | | | | | 2.3 | | |
| | | | | | | | | | | | | 151,116,666 | | | | | | 3.0 | | |
| | | | | | | | Real Estate: 2.9% | |
| | | | 2,050,912 (3) | | | | Other Securities | | | | | 145,970,624 | | | | | | 2.9 | | |
| | | | | | | | Telecommunication Services: 2.1% | |
| | | | 1,357,496 | | | | AT&T, Inc. | | | | | 52,779,445 | | | | | | 1.0 | | |
| | | | 901,910 | | | | Verizon Communications, Inc. | | | | | 47,738,096 | | | | | | 1.0 | | |
| | | | 215,076 | | | | Other Securities | | | | | 3,587,468 | | | | | | 0.1 | | |
| | | | | | | | | | | | | 104,105,009 | | | | | | 2.1 | | |
| | | | | | | | Utilities: 2.9% | |
| | | | 2,591,463 | | | | Other Securities | | | | | 148,073,831 | | | | | | 2.9 | | |
| | | | | | | | Total Common Stock | | | |
| | | | | | | | (Cost $2,918,943,971) | | | | | 5,042,082,606 | | | | | | 99.3 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya U.S. Stock Index Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: 0.8% | |
| | | | | | | | Securities Lending Collateral(4): 0.2% | |
| | | | 594,519 | | | | Bank of Montreal,
Repurchase Agreement
dated 12/29/17, 1.35%, due
01/02/18 (Repurchase
Amount $594,607,
collateralized by various U.S.
Government Securities,
0.125%-5.250%, Market
Value plus accrued interest
$606,410, due
04/30/18-02/15/45) | | | | $ | 594,519 | | | | | | 0.0 | | |
| | | | 2,826,219 | | | | Bank of Nova Scotia/New
York, Repurchase Agreement
dated 12/29/17, 1.38%, due
01/02/18 (Repurchase
Amount $2,826,646,
collateralized by various U.S.
Government Agency
Obligations, 3.500%-4.000%,
Market Value plus accrued
interest $2,883,185, due
07/20/45-11/01/47) | | | | | 2,826,219 | | | | | | 0.0 | | |
| | | | 2,826,219 | | | | Cantor Fitzgerald,
Repurchase Agreement
dated 12/29/17, 1.41%, due
01/02/18 (Repurchase
Amount $2,826,656,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-8.500%,
Market Value plus accrued
interest $2,882,744, due
01/31/18-06/20/63) | | | | | 2,826,219 | | | | | | 0.1 | | |
| | | | 2,826,219 | | | | Daiwa Capital Markets,
Repurchase Agreement
dated 12/29/17, 1.43%, due
01/02/18 (Repurchase
Amount $2,826,662,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-6.500%,
Market Value plus accrued
interest $2,882,743, due
01/11/18-12/01/51) | | | | | 2,826,219 | | | | | | 0.0 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending Collateral(4) (continued) | |
| | | | 2,826,219 | | | | State of Wisconsin
Investment Board,
Repurchase Agreement
dated 12/29/17, 1.63%, due
01/02/18 (Repurchase
Amount $2,826,724,
collateralized by various U.S.
Government Securities,
0.125%-3.875%, Market
Value plus accrued interest
$2,904,702, due
01/15/19-02/15/46) | | | | $ | 2,826,219 | | | | | | 0.1 | | |
| | | | | | | | | | | | | 11,899,395 | | | | | | 0.2 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | | Mutual Funds: 0.6% | |
| | | | 31,200,000 (5) | | | | BlackRock Liquidity Funds,
FedFund, Institutional
Class, 1.170%
(Cost $31,200,000) | | | | | 31,200,000 | | | | | | 0.6 | | |
| | | | | | | | Total Short-Term
Investments
(Cost $43,099,395) | | | | | 43,099,395 | | | | | | 0.8 | | |
| | | | | | | | Total Investments in
Securities
(Cost $2,962,043,366) | | | | $ | 5,085,182,001 | | | | | | 100.1 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (5,980,572) | | | | | | (0.1) | | |
| | | | | | | | Net Assets | | | | $ | 5,079,201,429 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
(1)
Non-income producing security.
(2)
The grouping contains securities on loan.
(3)
The grouping contains non-income producing securities.
(4)
Represents securities purchased with cash collateral received for securities on loan.
(5)
Rate shown is the 7-day yield as of December 31, 2017.
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya U.S. Stock Index Portfolio | as of December 31, 2017 (continued) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock* | | | | $ | 5,042,082,606 | | | | | $ | — | | | | | $ | — | | | | | $ | 5,042,082,606 | | |
| Short-Term Investments | | | | | 31,200,000 | | | | | | 11,899,395 | | | | | | — | | | | | | 43,099,395 | | |
| Total Investments, at fair value | | | | $ | 5,073,282,606 | | | | | $ | 11,899,395 | | | | | $ | — | | | | | $ | 5,085,182,001 | | |
| Other Financial Instruments+ | | | | | |
| Futures | | | | | 260,650 | | | | | | — | | | | | | — | | | | | | 260,650 | | |
| Total Assets | | | | $ | 5,073,543,256 | | | | | $ | 11,899,395 | | | | | $ | — | | | | | $ | 5,085,442,651 | | |
^
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.
*
For further breakdown of Common Stock by sector, please refer to the Portfolio of Investments.
At December 31, 2017, the following futures contracts were outstanding for Voya U.S. Stock Index Portfolio:
| Contract Description | | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Long Contracts | | | | | |
| S&P 500 E-Mini | | | | | 276 | | | | | | 03/16/18 | | | | | $ | 36,928,800 | | | | | $ | 260,650 | | |
| | | | | | | | | | | | | | | | | $ | 36,928,800 | | | | | $ | 260,650 | | |
| |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2017 was as follows:
| Derivatives not accounted for as hedging instruments | | | Location on Statement
of Assets and Liabilities | | | Fair Value | |
| Asset Derivatives | | | |
| Equity contracts | | | Net Assets — Unrealized appreciation* | | | | $ | 260,650 | | |
| Total Asset Derivatives | | | | | | | $ | 260,650 | | |
| |
*
Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss) on
Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Futures | |
| Equity contracts | | | | $ | 7,395,135 | | |
| Total | | | | $ | 7,395,135 | | |
| |
| | | | Change in Unrealized Appreciation or (Depreciation)
on Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Futures | |
| Equity contracts | | | | $ | 455,847 | | |
| Total | | | | $ | 455,847 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| Voya U.S. Stock Index Portfolio | as of December 31, 2017 (continued) |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $2,988,230,136. Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 2,199,188,262 | | |
| | Gross Unrealized Depreciation | | | | | (101,975,747) | | |
| | Net Unrealized Appreciation | | | | $ | 2,097,212,515 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Clarion Real Estate Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 99.1% | |
| | | | | | | | Diversified REITs: 8.0% | |
| | | | 357,704 | | | | Forest City Realty Trust, Inc. | | | | $ | 8,620,666 | | | | | | 1.8 | | |
| | | | 218,010 | | | | Gramercy Property Trust | | | | | 5,812,147 | | | | | | 1.2 | | |
| | | | 757,841 | | | | Spirit Realty Capital, Inc. | | | | | 6,502,276 | | | | | | 1.4 | | |
| | | | 280,492 | | | | STORE Capital Corp. | | | | | 7,304,012 | | | | | | 1.5 | | |
| | | | 1,314,912 | | | | VEREIT, Inc. | | | | | 10,243,164 | | | | | | 2.1 | | |
| | | | | | | | | | | | | 38,482,265 | | | | | | 8.0 | | |
| | | | | | | | Health Care REITs: 6.3% | |
| | | | 346,213 | | | | Healthcare Trust of America,
Inc. | | | | | 10,400,238 | | | | | | 2.2 | | |
| | | | 300,338 | | | | Physicians Realty Trust | | | | | 5,403,081 | | | | | | 1.1 | | |
| | | | 89,379 | | | | Ventas, Inc. | | | | | 5,363,634 | | | | | | 1.1 | | |
| | | | 147,551 | | | | Welltower, Inc. | | | | | 9,409,327 | | | | | | 1.9 | | |
| | | | | | | | | | | | | 30,576,280 | | | | | | 6.3 | | |
| | | | | | | | Hotel & Resort REITs: 6.0% | |
| | | | 570,295 | | | | Host Hotels & Resorts, Inc. | | | | | 11,320,356 | | | | | | 2.3 | | |
| | | | 154,092 (1) | | | | MGM Growth Properties LLC | | | | | 4,491,782 | | | | | | 0.9 | | |
| | | | 218,868 | | | | Park Hotels & Resorts, Inc. | | | | | 6,292,455 | | | | | | 1.3 | | |
| | | | 195,777 | | | | Sunstone Hotel Investors, Inc. | | | | | 3,236,194 | | | | | | 0.7 | | |
| | | | 179,892 | | | | Xenia Hotels & Resorts, Inc. | | | | | 3,883,868 | | | | | | 0.8 | | |
| | | | | | | | | | | | | 29,224,655 | | | | | | 6.0 | | |
| | | | | | | | Hotels, Resorts & Cruise Lines: 1.7% | |
| | | | 51,404 | | | | Hilton Worldwide Holdings,
Inc. | | | | | 4,105,123 | | | | | | 0.8 | | |
| | | | 30,665 | | | | Marriott International, Inc. | | | | | 4,162,161 | | | | | | 0.9 | | |
| | | | | | | | | | | | | 8,267,284 | | | | | | 1.7 | | |
| | | | | | | | Industrial REITs: 8.2% | |
| | | | 136,045 | | | | DCT Industrial Trust, Inc. | | | | | 7,996,725 | | | | | | 1.6 | | |
| | | | 493,701 | | | | ProLogis, Inc. | | | | | 31,848,651 | | | | | | 6.6 | | |
| | | | | | | | | | | | | 39,845,376 | | | | | | 8.2 | | |
| | | | | | | | Office REITs: 14.4% | |
| | | | 158,299 | | | | Alexandria Real Estate
Equities, Inc. | | | | | 20,672,266 | | | | | | 4.3 | | |
| | | | 30,498 | | | | Boston Properties, Inc. | | | | | 3,965,655 | | | | | | 0.8 | | |
| | | | 271,136 | | | | Brandywine Realty Trust | | | | | 4,931,964 | | | | | | 1.0 | | |
| | | | 215,130 | | | | Columbia Property Trust, Inc. | | | | | 4,937,233 | | | | | | 1.0 | | |
| | | | 128,828 | | | | Douglas Emmett, Inc. | | | | | 5,289,678 | | | | | | 1.1 | | |
| | | | 272,474 | | | | Hudson Pacific Properties, Inc. | | | | | 9,332,235 | | | | | | 1.9 | | |
| | | | 32,505 | | | | Kilroy Realty Corp. | | | | | 2,426,498 | | | | | | 0.5 | | |
| | | | 221,494 | | | | Paramount Group, Inc. | | | | | 3,510,680 | | | | | | 0.7 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) 99.1% | |
| | | | | | | | Office REITs (continued) | |
| | | | 22,269 | | | | SL Green Realty Corp. | | | | $ | 2,247,610 | | | | | | 0.5 | | |
| | | | 158,253 | | | | Vornado Realty Trust | | | | | 12,372,220 | | | | | | 2.6 | | |
| | | | | | | | | | | | | 69,686,039 | | | | | | 14.4 | | |
| | | | | | | | Residential REITs: 13.8% | |
| | | | 97,838 | | | | AvalonBay Communities, Inc. | | | | | 17,455,277 | | | | | | 3.6 | | |
| | | | 259,480 | | | | Equity Residential | | | | | 16,547,040 | | | | | | 3.4 | | |
| | | | 53,178 | | | | Essex Property Trust, Inc. | | | | | 12,835,574 | | | | | | 2.6 | | |
| | | | 476,828 (1) | | | | Invitation Homes, Inc. | | | | | 11,238,836 | | | | | | 2.3 | | |
| | | | 96,823 | | | | Sun Communities, Inc. | | | | | 8,983,238 | | | | | | 1.9 | | |
| | | | | | | | | | | | | 67,059,965 | | | | | | 13.8 | | |
| | | | | | | | Retail REITs: 20.4% | |
| | | | 497,635 | | | | Brixmor Property Group, Inc. | | | | | 9,285,869 | | | | | | 1.9 | | |
| | | | 707,400 | | | | GGP, Inc. | | | | | 16,546,086 | | | | | | 3.4 | | |
| | | | 118,638 | | | | Kimco Realty Corp. | | | | | 2,153,280 | | | | | | 0.5 | | |
| | | | 138,403 | | | | Kite Realty Group Trust | | | | | 2,712,699 | | | | | | 0.6 | | |
| | | | 97,954 | | | | Macerich Co. | | | | | 6,433,619 | | | | | | 1.3 | | |
| | | | 251,009 | | | | Regency Centers Corp. | | | | | 17,364,802 | | | | | | 3.6 | | |
| | | | 133,784 | | | | Retail Opportunity Investments
Corp. | | | | | 2,668,991 | | | | | | 0.6 | | |
| | | | 192,479 | | | | Simon Property Group, Inc. | | | | | 33,056,343 | | | | | | 6.8 | | |
| | | | 91,370 | | | | Taubman Centers, Inc. | | | | | 5,978,339 | | | | | | 1.2 | | |
| | | | 265,951 (2) | | | | Other Securities | | | | | 2,622,419 | | | | | | 0.5 | | |
| | | | | | | | | | | | | 98,822,447 | | | | | | 20.4 | | |
| | | | | | | | Specialized REITs: 20.3% | |
| | | | 26,473 | | | | Crown Castle International
Corp. | | | | | 2,938,768 | | | | | | 0.6 | | |
| | | | 300,835 | | | | CubeSmart | | | | | 8,700,148 | | | | | | 1.8 | | |
| | | | 172,489 | | | | CyrusOne, Inc. | | | | | 10,268,270 | | | | | | 2.1 | | |
| | | | 76,513 | | | | Equinix, Inc. | | | | | 34,677,222 | | | | | | 7.2 | | |
| | | | 210,376 | | | | Extra Space Storage, Inc. | | | | | 18,397,381 | | | | | | 3.8 | | |
| | | | 100,150 | | | | Four Corners Property Trust,
Inc. | | | | | 2,573,855 | | | | | | 0.5 | | |
| | | | 199,922 | | | | Geo Group, Inc./The | | | | | 4,718,159 | | | | | | 1.0 | | |
| | | | 419,058 | | | | Iron Mountain, Inc. | | | | | 15,811,059 | | | | | | 3.3 | | |
| | | | | | | | | | | | | 98,084,862 | | | | | | 20.3 | | |
| | | | | | | | Total Common Stock
(Cost $454,738,407) | | | | | 480,049,173 | | | | | | 99.1 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Clarion Real Estate Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: 2.0% | |
| | | | | | | | Securities Lending Collateral(3): 1.2% | |
| | | | 289,247 | | | | Bank of Montreal,
Repurchase Agreement
dated 12/29/17, 1.35%, due
01/02/18 (Repurchase
Amount $289,290,
collateralized by various U.S.
Government Securities,
0.125%-5.250%, Market
Value plus accrued interest
$295,032, due
04/30/18-02/15/45) | | | | $ | 289,247 | | | | | | 0.0 | | |
| | | | 1,374,964 | | | | Cantor Fitzgerald,
Repurchase Agreement
dated 12/29/17, 1.41%, due
01/02/18 (Repurchase
Amount $1,375,176,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-8.500%,
Market Value plus accrued
interest $1,402,463, due
01/31/18-06/20/63) | | | | | 1,374,964 | | | | | | 0.3 | | |
| | | | 1,374,964 | | | | Daiwa Capital Markets,
Repurchase Agreement
dated 12/29/17, 1.43%, due
01/02/18 (Repurchase
Amount $1,375,179,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-6.500%,
Market Value plus accrued
interest $1,402,463, due
01/11/18-12/01/51) | | | | | 1,374,964 | | | | | | 0.3 | | |
| | | | 1,374,964 | | | | HSBC Securities USA,
Repurchase Agreement
dated 12/29/17, 1.38%, due
01/02/18 (Repurchase
Amount $1,375,172,
collateralized by various U.S.
Government Securities,
0.000%-0.375%, Market
Value plus accrued interest
$1,402,475, due 05/15/
18-08/15/46) | | | | | 1,374,964 | | | | | | 0.3 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending Collateral(3) (continued) | |
| | | | 1,374,964 | | | | State of Wisconsin
Investment Board,
Repurchase Agreement
dated 12/29/17, 1.63%, due
01/02/18 (Repurchase
Amount $1,375,210,
collateralized by various U.S.
Government Securities,
0.125%-3.875%, Market
Value plus accrued interest
$1,413,146, due
01/15/19-02/15/46) | | | | $ | 1,374,964 | | | | | | 0.3 | | |
| | | | | | | | | | | | | 5,789,103 | | | | | | 1.2 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | | Mutual Funds: 0.8% | |
| | | | 4,070,313 (4) | | | | BlackRock Liquidity Funds,
FedFund, Institutional Class,
1.170%
(Cost $4,070,313) | | | | | 4,070,313 | | | | | | 0.8 | | |
| | | | | | | | Total Short-Term
Investments
(Cost $9,859,416) | | | | | 9,859,416 | | | | | | 2.0 | | |
| | | | | | | | Total Investments in
Securities
(Cost $464,597,823) | | | | $ | 489,908,589 | | | | | | 101.1 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (5,257,724) | | | | | | (1.1) | | |
| | | | | | | | Net Assets | | | | $ | 484,650,865 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
(1)
Security, or a portion of the security, is on loan.
(2)
The grouping contains securities on loan.
(3)
Represents securities purchased with cash collateral received for securities on loan.
(4)
Rate shown is the 7-day yield as of December 31, 2017.
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Clarion Real Estate Portfolio | as of December 31, 2017 (continued) |
| REIT Diversification | | | Percentage
of Net
Assets | |
| Retail REITs | | | | | 20.4% | | |
| Specialized REITs | | | | | 20.3 | | |
| Office REITs | | | | | 14.4 | | |
| Residential REITs | | | | | 13.8 | | |
| Industrial REITs | | | | | 8.2 | | |
| Diversified REITs | | | | | 8.0 | | |
| REIT Diversification | | | Percentage
of Net
Assets | |
| Health Care REITs | | | | | 6.3 | | |
| Hotel & Resort REITs | | | | | 6.0 | | |
| Hotels, Resorts & Cruise Lines | | | | | 1.7 | | |
| Assets in Excess of Other Liabilities* | | | | | 0.9 | | |
| Net Assets | | | | | 100.0% | | |
| |
*
Includes short-term investments.
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock* | | | | $ | 480,049,173 | | | | | $ | — | | | | | $ | — | | | | | $ | 480,049,173 | | |
| Short-Term Investments | | | | | 4,070,313 | | | | | | 5,789,103 | | | | | | — | | | | | | 9,859,416 | | |
| Total Investments, at fair value | | | | $ | 484,119,486 | | | | | $ | 5,789,103 | | | | | $ | — | | | | | $ | 489,908,589 | | |
| |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $469,084,813. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 35,073,947 | | |
| | Gross Unrealized Depreciation | | | | | (14,250,171) | | |
| | Net Unrealized Appreciation | | | | $ | 20,823,776 | | |
| |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Franklin Income Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 50.3% | |
| | | | | | | | Consumer Discretionary: 4.6% | |
| | | | 40,000 | | | | Daimler AG | | | | $ | 3,382,410 | | | | | | 0.7 | | |
| | | | 613,404 | | | | Ford Motor Co. | | | | | 7,661,416 | | | | | | 1.7 | | |
| | | | 91,000 | | | | Target Corp. | | | | | 5,937,750 | | | | | | 1.3 | | |
| | | | 105,000 | | | | Other Securities | | | | | 4,051,700 | | | | | | 0.9 | | |
| | | | | | | | | | | | | 21,033,276 | | | | | | 4.6 | | |
| | | | | | | | Consumer Staples: 3.8% | |
| | | | 42,000 (1) | | | | Anheuser-Busch InBev
NV ADR | | | | | 4,685,520 | | | | | | 1.0 | | |
| | | | 110,000 | | | | Coca-Cola Co. | | | | | 5,046,800 | | | | | | 1.1 | | |
| | | | 40,000 | | | | PepsiCo, Inc. | | | | | 4,796,800 | | | | | | 1.1 | | |
| | | | 27,000 | | | | Other Securities | | | | | 2,852,550 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 17,381,670 | | | | | | 3.8 | | |
| | | | | | | | Energy: 9.7% | |
| | | | 200,000 | | | | BP PLC ADR | | | | | 8,406,000 | | | | | | 1.8 | | |
| | | | 60,000 | | | | Chevron Corp. | | | | | 7,511,400 | | | | | | 1.7 | | |
| | | | 84,965 | | | | Halliburton Co. | | | | | 4,152,247 | | | | | | 0.9 | | |
| | | | 50,000 | | | | Occidental Petroleum
Corp. | | | | | 3,683,000 | | | | | | 0.8 | | |
| | | | 215,000 | | | | Royal Dutch Shell
PLC - Class A ADR | | | | | 14,342,650 | | | | | | 3.1 | | |
| | | | 319,000 (2) | | | | Other Securities | | | | | 6,557,160 | | | | | | 1.4 | | |
| | | | | | | | | | | | | 44,652,457 | | | | | | 9.7 | | |
| | | | | | | | Financials: 6.6% | |
| | | | 180,000 | | | | Bank of America Corp. | | | | | 5,313,600 | | | | | | 1.2 | | |
| | | | 64,300 | | | | JPMorgan Chase
& Co. | | | | | 6,876,242 | | | | | | 1.5 | | |
| | | | 72,908 | | | | Metlife, Inc. | | | | | 3,686,228 | | | | | | 0.8 | | |
| | | | 80,000 | | | | US Bancorp | | | | | 4,286,400 | | | | | | 0.9 | | |
| | | | 165,000 | | | | Wells Fargo & Co. | | | | | 10,010,550 | | | | | | 2.2 | | |
| | | | | | | | | | | | | 30,173,020 | | | | | | 6.6 | | |
| | | | | | | | Health Care: 6.3% | |
| | | | 65,000 | | | | AstraZeneca PLC | | | | | 4,485,355 | | | | | | 1.0 | | |
| | | | 60,600 | | | | Merck & Co., Inc. | | | | | 3,409,962 | | | | | | 0.8 | | |
| | | | 150,000 | | | | Pfizer, Inc. | | | | | 5,433,000 | | | | | | 1.2 | | |
| | | | 131,000 | | | | Sanofi ADR | | | | | 5,633,000 | | | | | | 1.2 | | |
| | | | 122,700 (2) | | | | Other Securities | | | | | 9,810,690 | | | | | | 2.1 | | |
| | | | | | | | | | | | | 28,772,007 | | | | | | 6.3 | | |
| | | | | | | | Industrials: 4.4% | |
| | | | 500,000 | | | | General Electric Co. | | | | | 8,725,000 | | | | | | 1.9 | | |
| | | | 50,000 | | | | Republic Services, Inc. | | | | | 3,380,500 | | | | | | 0.8 | | |
| | | | 51,222 | (2)(3) | | Other Securities | | | | | 7,955,993 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 20,061,493 | | | | | | 4.4 | | |
| | | | | | | | Information Technology: 4.2% | |
| | | | 29,042 | | | | Apple, Inc. | | | | | 4,914,778 | | | | | | 1.1 | | |
| | | | 100,000 | | | | Intel Corp. | | | | | 4,616,000 | | | | | | 1.0 | | |
| | | | 80,000 | | | | Microsoft Corp. | | | | | 6,843,200 | | | | | | 1.5 | | |
| | | | 58,052 | | | | Other Securities | | | | | 2,744,698 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 19,118,676 | | | | | | 4.2 | | |
| | | | | | | | Materials: 4.3% | |
| | | | 65,000 | | | | BASF SE | | | | | 7,126,024 | | | | | | 1.6 | | |
| | | | 100,000 | | | | DowDuPont, Inc. | | | | | 7,122,000 | | | | | | 1.5 | | |
| | | | 100,000 (1) | | | | Rio Tinto PLC ADR | | | | | 5,293,000 | | | | | | 1.2 | | |
| | | | | | | | | | | | | 19,541,024 | | | | | | 4.3 | | |
| | | | | | | | Real Estate: 0.6% | |
| | | | 130,000 | | | | Other Securities | | | | | 2,580,500 | | | | | | 0.6 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | Telecommunication Services: 1.0% | |
| | | | 90,000 | | | | Verizon
Communications, Inc. | | | | $ | 4,763,700 | | | | | | 1.0 | | |
| | | | | | | | Utilities: 4.8% | |
| | | | 74,048 | | | | Dominion Energy, Inc. | | | | | 6,002,331 | | | | | | 1.3 | | |
| | | | 42,965 | | | | Duke Energy Corp. | | | | | 3,613,786 | | | | | | 0.8 | | |
| | | | 45,600 | | | | Sempra Energy | | | | | 4,875,552 | | | | | | 1.0 | | |
| | | | 198,000 | | | | Other Securities | | | | | 7,773,820 | | | | | | 1.7 | | |
| | | | | | | | | | | | | 22,265,489 | | | | | | 4.8 | | |
| | | | | | | | Total Common Stock
(Cost $182,038,778) | | | | | 230,343,312 | | | | | | 50.3 | | |
| | PREFERRED STOCK: 1.9% | |
| | | | | | | | Financials: 0.9% | |
| | | | 2,000 (4) | | | | Wells Fargo & Co. | | | | | 2,619,980 | | | | | | 0.6 | | |
| | | | 50 (2) | | | | Other Securities | | | | | 1,437,500 | | | | | | 0.3 | | |
| | | | | | | | | | | | | 4,057,480 | | | | | | 0.9 | | |
| | | | | | | | Health Care: 0.3% | |
| | | | 2,500 | | | | Other Securities | | | | | 1,465,625 | | | | | | 0.3 | | |
| | | | | | | | Industrials: 0.2% | |
| | | | 1,789 | (2)(3) | | Other Securities | | | | | 811,534 | | | | | | 0.2 | | |
| | | | | | | | Utilities: 0.5% | |
| | | | 35,000 (2) | | | | Other Securities | | | | | 2,435,300 | | | | | | 0.5 | | |
| | | | | | | | Total Preferred Stock
(Cost $11,812,876) | | | | | 8,769,939 | | | | | | 1.9 | | |
| | EQUITY-LINKED SECURITIES: 4.3% | |
| | | | | | | | Industrials: 1.1% | |
| | | | 42,000 | | | | Morgan Stanley into
Deere & Co., 6.000% | | | | | 5,340,636 | | | | | | 1.1 | | |
| | | | | | | | Information Technology: 3.2% | |
| | | | 32,000 (5) | | | | Deutsche Bank AG into
Apple, Inc., 6.000% | | | | | 5,254,144 | | | | | | 1.2 | | |
| | | | 48,000 | | | | Goldman Sachs & Co.
into Analog Devices,
Inc., 6.500% | | | | | 4,132,656 | | | | | | 0.9 | | |
| | | | 130,000 | | | | Goldman Sachs & Co.
into Intel Corp., 6.000% | | | | | 5,175,820 | | | | | | 1.1 | | |
| | | | | | | | | | | | | 14,562,620 | | | | | | 3.2 | | |
| | | | | | | | Total Equity-Linked
Securities
(Cost $18,126,250) | | | | | 19,903,256 | | | | | | 4.3 | | |
| |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: 36.3% | |
| | | | | | | | Basic Materials: 1.2% | |
| | | | 5,200,000 (5) | | | | FMG Resources
August 2006
Pty Ltd.,
5.125%-9.750%,
03/01/22-05/15/24 | | | | | 5,562,750 | | | | | | 1.2 | | |
| | | | | | | | Communications: 5.7% | |
| | | | 1,853,000 | | | | iHeartCommunications,
Inc., 9.000%, 12/15/19 | | | | | 1,385,117 | | | | | | 0.3 | | |
| | | | 1,000,000 (5) | | | | CommScope, Inc.,
5.500%, 06/15/24 | | | | | 1,043,750 | | | | | | 0.2 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Franklin Income Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Communications (continued) | |
| | | | 4,109,000 | | | | DISH DBS Corp.,
5.000%-5.875%,
03/15/23-11/15/24 | | | | $ | 3,968,459 | | | | | | 0.9 | | |
| | | | 2,400,000 (5) | | | | Sirius XM Radio, Inc.,
6.000%, 07/15/24 | | | | | 2,544,000 | | | | | | 0.6 | | |
| | | | 1,400,000 | | | | Sprint Communications,
Inc., 6.000%, 11/15/22 | | | | | 1,403,500 | | | | | | 0.3 | | |
| | | | 500,000 | | | | Sprint Corp., 7.125%,
06/15/24 | | | | | 510,000 | | | | | | 0.1 | | |
| | | | 4,700,000 | | | | Sprint Corp., 7.875%,
09/15/23 | | | | | 5,017,250 | | | | | | 1.1 | | |
| | | | 4,000,000 (5) | | | | Univision
Communications, Inc.,
5.125%, 05/15/23 | | | | | 4,000,000 | | | | | | 0.9 | | |
| | | | 2,000,000 (5) | | | | Virgin Media Secured
Finance PLC, 5.500%,
01/15/25 | | | | | 2,057,500 | | | | | | 0.4 | | |
| | | | 1,500,000 (5) | | | | Ziggo Secured Finance
BV, 5.500%, 01/15/27 | | | | | 1,501,875 | | | | | | 0.3 | | |
| | | | 2,650,000 | | | | Other Securities | | | | | 2,759,350 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 26,190,801 | | | | | | 5.7 | | |
| | | | | | | | Consumer, Cyclical: 1.6% | |
| | | | 1,000,000 (5) | | | | Shea Homes L.P. / Shea
Homes Funding Corp.,
5.875%, 04/01/23 | | | | | 1,042,500 | | | | | | 0.2 | | |
| | | | 1,000,000 (5) | | | | Shea Homes L.P. / Shea
Homes Funding Corp.,
6.125%, 04/01/25 | | | | | 1,045,000 | | | | | | 0.3 | | |
| | | | 1,500,000 | (1)(5) | | Tesla, Inc., 5.300%,
08/15/25 | | | | | 1,438,125 | | | | | | 0.3 | | |
| | | | 3,700,000 | | | | Other Securities | | | | | 3,902,000 | | | | | | 0.8 | | |
| | | | | | | | | | | | | 7,427,625 | | | | | | 1.6 | | |
| | | | | | | | Consumer, Non-cyclical: 9.0% | |
| | | | 4,000,000 | | | | CHS/Community Health
Systems, Inc., 6.250%,
03/31/23 | | | | | 3,620,000 | | | | | | 0.8 | | |
| | | | 7,500,000 (1) | | | | CHS/Community Health
Systems, Inc., 6.875%,
02/01/22 | | | | | 4,350,000 | | | | | | 0.9 | | |
| | | | 1,000,000 (1) | | | | CHS/Community Health
Systems, Inc., 7.125%,
07/15/20 | | | | | 752,500 | | | | | | 0.2 | | |
| | | | 5,000,000 (1) | | | | CHS/Community Health
Systems, Inc., 8.000%,
11/15/19 | | | | | 4,262,500 | | | | | | 0.9 | | |
| | | | 2,000,000 (5) | | | | Endo Finance LLC / Endo
Ltd. / Endo Finco, Inc.,
6.000%, 07/15/23 | | | | | 1,580,000 | | | | | | 0.3 | | |
| | | | 2,000,000 (5) | | | | Endo Finance LLC,
5.750%, 01/15/22 | | | | | 1,675,000 | | | | | | 0.4 | | |
| | | | 4,200,000 | | | | HCA, Inc.,
5.875%-7.500%,
02/15/22-05/01/23 | | | | | 4,620,500 | | | | | | 1.0 | | |
| | | | 1,000,000 | (1)(5) | | Mallinckrodt International
Finance SA / Mallinckrodt
CB LLC, 5.625%,
10/15/23 | | | | | 855,000 | | | | | | 0.2 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Consumer, Non-cyclical (continued) | |
| | | | 4,000,000 | (1)(5) | | Mallinckrodt International
Finance SA / Mallinckrodt
CB LLC, 5.750%,
08/01/22 | | | | $ | 3,650,000 | | | | | | 0.8 | | |
| | | | 500,000 (5) | | | | Tenet Healthcare Corp.,
5.125%, 05/01/25 | | | | | 489,375 | | | | | | 0.1 | | |
| | | | 3,425,000 (1) | | | | Tenet Healthcare Corp.,
6.750%, 06/15/23 | | | | | 3,335,094 | ��� | | | | | 0.7 | | |
| | | | 4,000,000 | | | | Tenet Healthcare Corp.,
8.125%, 04/01/22 | | | | | 4,085,000 | | | | | | 0.9 | | |
| | | | 1,416,000 | (1)(5) | | Valeant Pharmaceuticals
International, Inc.,
5.375%, 03/15/20 | | | | | 1,424,850 | | | | | | 0.3 | | |
| | | | 1,700,000 (5) | | | | Valeant Pharmaceuticals
International, Inc.,
5.875%, 05/15/23 | | | | | 1,578,875 | | | | | | 0.4 | | |
| | | | 1,300,000 (5) | | | | Valeant Pharmaceuticals
International, Inc.,
6.125%, 04/15/25 | | | | | 1,194,375 | | | | | | 0.3 | | |
| | | | 600,000 (5) | | | | Valeant Pharmaceuticals
International, Inc.,
6.500%, 03/15/22 | | | | | 631,500 | | | | | | 0.1 | | |
| | | | 900,000 (5) | | | | Valeant Pharmaceuticals
International, Inc.,
7.000%, 03/15/24 | | | | | 965,250 | | | | | | 0.2 | | |
| | | | 2,000,000 | | | | Other Securities | | | | | 2,112,500 | | | | | | 0.5 | | |
| | | | | | | | | | | | | 41,182,319 | | | | | | 9.0 | | |
| | | | | | | | Energy: 6.1% | |
| | | | 2,000,000 (5) | | | | Ascent Resources Utica
Holdings LLC / ARU
Finance Corp., 10.000%,
04/01/22 | | | | | 2,155,000 | | | | | | 0.5 | | |
| | | | 1,174,000 | (1)(5) | | Chesapeake Energy
Corp., 8.000%,
12/15/22 | | | | | 1,270,855 | | | | | | 0.3 | | |
| | | | 1,000,000 | (1)(5) | | Chesapeake Energy
Corp., 8.000%,
01/15/25 | | | | | 1,011,250 | | | | | | 0.2 | | |
| | | | 8,800,000 | (1)(5) | | Chesapeake Energy
Corp., 8.000%,
06/15/27 | | | | | 8,470,000 | | | | | | 1.8 | | |
| | | | 1,600,000 (5) | | | | Kinder Morgan, Inc./DE,
5.625%, 11/15/23 | | | | | 1,768,448 | | | | | | 0.4 | | |
| | | | 647,149 | (5)(6) | | W&T Offshore, Inc.,
8.500% (PIK Rate
10.000%, Cash Rate
8.500%), 06/15/21 | | | | | 504,776 | | | | | | 0.1 | | |
| | | | 725,723 | (5)(6) | | W&T Offshore, Inc.,
9.000% (PIK Rate
10.750%, Cash Rate
9.000%), 05/15/20 | | | | | 694,880 | | | | | | 0.2 | | |
| | | | 5,939,000 (1) | | | | Weatherford International
Ltd., 4.500%-8.250%,
06/15/21-06/15/23 | | | | | 5,907,865 | | | | | | 1.3 | | |
| | | | 5,800,000 (7) | | | | Other Securities | | | | | 5,889,750 | | | | | | 1.3 | | |
| | | | | | | | | | | | | 27,672,824 | | | | | | 6.1 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Franklin Income Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | | Financial: 4.6% | |
| | | | 3,500,000 | | | | Bank of America Corp.,
6.100%-8.125%,
12/31/99 | | | | $ | 3,718,125 | | | | | | 0.8 | | |
| | | | 6,000,000 | | | | Citigroup, Inc., 6.300%,
12/31/99 | | | | | 6,435,000 | | | | | | 1.4 | | |
| | | | 4,000,000 | | | | JPMorgan Chase & Co.,
5.000%-5.150%,
12/31/99 | | | | | 4,109,860 | | | | | | 0.9 | | |
| | | | 1,500,000 | | | | Morgan Stanley, 5.550%,
12/31/99 | | | | | 1,560,000 | | | | | | 0.3 | | |
| | | | 2,500,000 (5) | | | | OneMain Financial
Holdings LLC, 6.750%,
12/15/19 | | | | | 2,583,250 | | | | | | 0.6 | | |
| | | | 2,500,000 | | | | Other Securities | | | | | 2,678,925 | | | | | | 0.6 | | |
| | | | | | | | | | | | | 21,085,160 | | | | | | 4.6 | | |
| | | | | | | | Industrial: 2.2% | |
| | | | 1,500,000 (5) | | | | Ardagh Packaging
Finance PLC / Ardagh
Holdings USA, Inc.,
7.250%, 05/15/24 | | | | | 1,638,750 | | | | | | 0.4 | | |
| | | | 1,500,000 (5) | | | | BWAY Holding Co.,
5.500%, 04/15/24 | | | | | 1,563,750 | | | | | | 0.3 | | |
| | | | 1,700,000 (5) | | | | BWAY Holding Co.,
7.250%, 04/15/25 | | | | | 1,759,500 | | | | | | 0.4 | | |
| | | | 1,500,000 (5) | | | | Cemex SAB de CV,
7.250%, 01/15/21 | | | | | 1,556,250 | | | | | | 0.3 | | |
| | | | 2,000,000 (5) | | | | XPO Logistics, Inc.,
6.500%, 06/15/22 | | | | | 2,095,000 | | | | | | 0.5 | | |
| | | | 1,200,000 | | | | Other Securities | | | | | 1,230,000 | | | | | | 0.3 | | |
| | | | | | | | | | | | | 9,843,250 | | | | | | 2.2 | | |
| | | | | | | | Technology: 2.3% | |
| | | | 2,500,000 (5) | | | | BMC Software Finance,
Inc., 8.125%, 07/15/21 | | | | | 2,528,125 | | | | | | 0.5 | | |
| | | | 800,000 (5) | | | | Dell International LLC /
EMC Corp., 4.420%,
06/15/21 | | | | | 834,187 | | | | | | 0.2 | | |
| | | | 1,400,000 (5) | | | | Dell International LLC /
EMC Corp., 5.450%,
06/15/23 | | | | | 1,514,423 | | | | | | 0.3 | | |
| | | | 2,400,000 (5) | | | | First Data Corp., 7.000%,
12/01/23 | | | | | 2,544,000 | | | | | | 0.6 | | |
| | | | 1,000,000 (5) | | | | West Corp., 8.500%,
10/15/25 | | | | | 992,500 | | | | | | 0.2 | | |
| | | | 1,000,000 (5) | | | | Western Digital Corp.,
7.375%, 04/01/23 | | | | | 1,081,250 | | | | | | 0.2 | | |
| | | | 1,000,000 | | | | Other Securities | | | | | 1,161,250 | | | | | | 0.3 | | |
| | | | | | | | | | | | | 10,655,735 | | | | | | 2.3 | | |
| | | | | | | | Utilities: 3.6% | |
| | | | 5,660,000 (1) | | | | Calpine Corp.,
5.375%-5.750%,
01/15/23-01/15/25 | | | | | 5,429,225 | | | | | | 1.2 | | |
| | | | 6,000,000 (1) | | | | Dynegy, Inc., 7.375%,
11/01/22 | | | | | 6,345,000 | | | | | | 1.4 | | |
| | | | 5,000,000 (5) | | | | InterGen NV, 7.000%,
06/30/23 | | | | | 4,850,000 | | | | | | 1.0 | | |
| | | | | | | | | | | | | 16,624,225 | | | | | | 3.6 | | |
Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| CORPORATE BONDS/NOTES: (continued) | |
| | | | | | | Total Corporate
Bonds/Notes
(Cost $163,309,399) | | | | $ | 166,244,689 | | | | | | 36.3 | | |
| CONVERTIBLE BONDS/NOTES: 1.4% | |
| | | | | | | Consumer, Non-cyclical: 0.9% | |
| | | EUR3,000,000 (5) | | | | Bayer Capital Corp. BV,
5.625%, 11/22/19 | | | | | 4,054,197 | | | | | | 0.9 | | |
| | | | | | | Energy: 0.5% | |
| | | 2,325,000 | | | | Other Securities | | | | | 2,525,531 | | | | | | 0.5 | | |
| | | | | | | Total Convertible
Bonds/Notes
(Cost $5,529,614) | | | | | 6,579,728 | | | | | | 1.4 | | |
| BANK LOANS: 4.2% | |
| | | | | | | Auto Manufacturers: 0.2% | |
| | | 700,000 | | | | Navistar Inc. 1st Lien
Term Loan B, 4.900%,
(US0003M + 3.500%),
11/06/24 | | | | | 704,157 | | | | | | 0.2 | | |
| | | | | | | Communications: 1.3% | |
| | | 7,617,472 | | | | iHeart Communications,
Inc. Term Loan D,
8.122%, (US0003M +
6.750%), 01/30/19 | | | | | 5,748,015 | | | | | | 1.3 | | |
| | | | | | | Electric: 0.2% | |
| | | 994,000 | | | | Talen Energy Supply LLC
Term Loan B2, 5.350%,
(US0003M + 4.000%),
04/13/24 | | | | | 999,902 | | | | | | 0.2 | | |
| | | | | | | Health Care: 0.7% | |
| | | 3,284,118 | | | | Vizient, Inc. 1st Lien
Term Loan B, 5.069%,
(US0003M + 3.500%),
02/13/23 | | | | | 3,300,880 | | | | | | 0.7 | | |
| | | | | | | Internet: 0.1% | |
| | | 500,000 | | | | Internet Brands TL 2L,
9.089%, (US0003M +
7.750%), 09/15/25 | | | | | 503,437 | | | | | | 0.1 | | |
| | | | | | | Machinery - Construction & Mining: 0.2% | |
| | | 676,940 | | | | Cortes NP Acquisition
Corp. - TL B 1L, 5.350%,
(US0003M + 4.000%),
11/30/23 | | | | | 677,997 | | | | | | 0.2 | | |
| | | | | | | Media: 0.2% | |
| | | 1,485,057 | | | | iHeart Communications,
Inc. Term Loan E,
9.193%, (US0003M +
7.500%), 07/30/19 | | | | | 1,116,886 | | | | | | 0.2 | | |
| | | | | | | Retail: 0.9% | |
| | | 4,909,155 | | | | Belk, Inc. TL B 1L,
6.099%, (US0003M +
4.750%), 12/12/ 22 | | | | | 4,030,622 | | | | | | 0.9 | | |
| | | | | | | Software: 0.1% | |
| | | 498,750 | | | | Almonde, Inc. - TL B 1L,
4.979%, (US0003M +
3.500%), 06/13/24 | | | | | 500,726 | | | | | | 0.1 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Franklin Income Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | BANK LOANS: (continued) | |
| | | | | | | | Telecommunications: 0.3% | |
| | | | 500,000 | | | | Securus Technologies
Holdings, Inc. - TL 2L,
9.874%, (US0003M +
8.250%), 11/01/25 | | | | $ | 506,042 | | | | | | 0.1 | | |
| | | | 881,883 | | | | West Corp. - TL 1L,
5.350%, (US0003M +
4.000%), 10/10/24 | | | | | 886,232 | | | | | | 0.2 | | |
| | | | | | | | | | | | | 1,392,274 | | | | | | 0.3 | | |
| | | | | | | | Total Bank Loans
(Cost $21,291,064) | | | | | 18,974,896 | | | | | | 4.2 | | |
| | | | | | | | Total Long-Term
Investments
(Cost $402,107,981) | | | | | 450,815,820 | | | | | | 98.4 | | |
| | SHORT-TERM INVESTMENTS: 10.7% | |
| | | | | | | | U.S. Government Agency
Obligations: 0.7% | |
| | | | 2,845,000 | | | | Federal Home Loan Bank
Discount Notes, 01/02/18
(Cost $2,844,923) | | | | | 2,845,000 | | | | | | 0.7 | | |
| | | | | | | | Securities Lending Collateral(8): 9.7% | |
| | | | 10,603,150 | | | | Bank of Nova Scotia/New
York, Repurchase
Agreement dated
12/29/17, 1.38%, due
01/02/18 (Repurchase
Amount $10,604,754,
collateralized by various
U.S. Government Agency
Obligations,
3.500%-4.000%, Market
Value plus accrued
interest $10,816,871, due
07/20/45-11/01/47) | | | | | 10,603,150 | | | | | | 2.3 | | |
| | | | 10,603,150 | | | | Jefferies LLC,
Repurchase Agreement
dated 12/29/17, 1.65%,
due 01/02/18
(Repurchase Amount
$10,605,067,
collateralized by various
U.S. Government Agency
Obligations,
2.336%-4.279%, Market
Value plus accrued
interest $10,815,213, due
03/01/29-11/20/67) | | | | | 10,603,150 | | | | | | 2.3 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending
Collateral(8) (continued) | |
| | | | 2,230,242 | | | | JPMorgan Chase & Co.,
Repurchase Agreement
dated 12/29/17, 1.41%,
due 01/02/18
(Repurchase Amount
$2,230,587, collateralized
by various U.S.
Government Securities,
1.375%-2.125%, Market
Value plus accrued
interest $2,274,850, due
08/31/18-03/31/24) | | | | $ | 2,230,242 | | | | | | 0.5 | | |
| | | | 10,603,150 | | | | Merrill Lynch & Co., Inc.,
Repurchase Agreement
dated 12/29/17, 1.41%,
due 01/02/18
(Repurchase Amount
$10,604,788,
collateralized by various
U.S. Government Agency
Obligations,
1.982%-10.500%, Market
Value plus accrued
interest $10,815,213, due
01/15/18-08/01/48) | | | | | 10,603,150 | | | | | | 2.3 | | |
| | | | 10,603,150 | | | | Nomura Securities,
Repurchase Agreement
dated 12/29/17, 1.42%,
due 01/02/18
(Repurchase Amount
$10,604,800,
collateralized by various
U.S. Government Agency
Obligations,
0.000%-7.500%, Market
Value plus accrued
interest $10,815,213, due
04/05/18-11/20/67) | | | | | 10,603,150 | | | | | | 2.3 | | |
| | | | | | | | | | | | | 44,642,842 | | | | | | 9.7 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Franklin Income Portfolio | as of December 31, 2017 (continued) |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Mutual Funds: 0.3% | |
| | | | 1,331,192 (9) | | | | BlackRock Liquidity
Funds, FedFund,
Institutional Class,
1.170%
(Cost $1,331,192) | | | | $ | 1,331,192 | | | | | | 0.3 | | |
| | | | | | | | Total Short-Term
Investments
(Cost $48,818,957) | | | | | 48,819,034 | | | | | | 10.7 | | |
| | | | | | | | Total Investments in
Securities
(Cost $450,926,938) | | | | $ | 499,634,854 | | | | | | 109.1 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (41,749,949) | | | | | | (9.1) | | |
| | | | | | | | Net Assets | | | | $ | 457,884,905 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
ADR
American Depositary Receipt
(1)
Security, or a portion of the security, is on loan.
(2)
The grouping contains non-income producing securities.
(3)
The grouping contains Level 3 securities.
(4)
Non-income producing security.
(5)
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.
(6)
All or a portion of this security is payment-in-kind (“PIK”) which may pay interest or additional principal at the issuer’s discretion. Rates shown are the current rate and possible payment rates.
(7)
The grouping contains securities on loan.
(8)
Represents securities purchased with cash collateral received for securities on loan.
(9)
Rate shown is the 7-day yield as of December 31, 2017.
EUR
EU Euro
Reference Rate Abbreviations:
US0003M
3-month LIBOR
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs#
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock | | | | | |
| Consumer Discretionary | | | | $ | 17,650,866 | | | | | $ | 3,382,410 | | | | | $ | — | | | | | $ | 21,033,276 | | |
| Consumer Staples | | | | | 17,381,670 | | | | | | — | | | | | | — | | | | | | 17,381,670 | | |
| Energy | | | | | 44,652,457 | | | | | | — | | | | | | — | | | | | | 44,652,457 | | |
| Financials | | | | | 30,173,020 | | | | | | — | | | | | | — | | | | | | 30,173,020 | | |
| Health Care | | | | | 21,758,099 | | | | | | 7,013,908 | | | | | | — | | | | | | 28,772,007 | | |
| Industrials | | | | | 19,511,660 | | | | | | — | | | | | | 549,833 | | | | | | 20,061,493 | | |
| Information Technology | | | | | 19,118,676 | | | | | | — | | | | | | — | | | | | | 19,118,676 | | |
| Materials | | | | $ | 12,415,000 | | | | | $ | 7,126,024 | | | | | $ | — | | | | | $ | 19,541,024 | | |
| Real Estate | | | | | 2,580,500 | | | | | | — | | | | | | — | | | | | | 2,580,500 | | |
| Telecommunication Services | | | | | 4,763,700 | | | | | | — | | | | | | — | | | | | | 4,763,700 | | |
| Utilities | | | | | 22,265,489 | | | | | | — | | | | | | — | | | | | | 22,265,489 | | |
| Total Common Stock | | | | | 212,271,137 | | | | | | 17,522,342 | | | | | | 549,833 | | | | | | 230,343,312 | | |
| Preferred Stock | | | | | 6,520,905 | | | | | | 1,437,500 | | | | | | 811,534 | | | | | | 8,769,939 | | |
| Equity-Linked Securities | | | | | — | | | | | | 19,903,256 | | | | | | — | | | | | | 19,903,256 | | |
| Corporate Bonds/Notes | | | | | — | | | | | | 166,244,689 | | | | | | — | | | | | | 166,244,689 | | |
| Convertible Bonds/Notes | | | | | — | | | | | | 6,579,728 | | | | | | — | | | | | | 6,579,728 | | |
See Accompanying Notes to Financial Statements
SUMMARY PORTFOLIO OF INVESTMENTS
| VY® Franklin Income Portfolio | as of December 31, 2017 (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
December 31, 2017 | |
| Bank Loans | | | | | — | | | | | | 18,974,896 | | | | | | — | | | | | | 18,974,896 | | |
| Short-Term Investments | | | | | 1,331,192 | | | | | | 47,487,842 | | | | | | — | | | | | | 48,819,034 | | |
| Total Investments, at fair value | | | | $ | 220,123,234 | | | | | $ | 278,150,253 | | | | | $ | 1,361,367 | | | | | $ | 499,634,854 | | |
| |
^
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.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $450,926,944. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 67,557,926 | | |
| | Gross Unrealized Depreciation | | | | | (18,850,452) | | |
| | Net Unrealized Appreciation | | | | $ | 48,707,474 | | |
| |
See Accompanying Notes to Financial Statements
| VY® JPMorgan Small Cap | SUMMARY PORTFOLIO OF INVESTMENTS |
| Core Equity Portfolio | as of December 31, 2017 |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: 98.2% | |
| | | | | | | | Consumer Discretionary: 12.2% | |
| | | | 94,127 | | | | Brunswick Corp. | | | | $ | 5,197,693 | | | | | | 0.7 | | |
| | | | 34,809 | | | | Carter’s, Inc. | | | | | 4,089,709 | | | | | | 0.5 | | |
| | | | 145,073 | | | | Cinemark Holdings, Inc. | | | | | 5,051,442 | | | | | | 0.7 | | |
| | | | 31,434 | | | | LCI Industries | | | | | 4,086,420 | | | | | | 0.5 | | |
| | | | 65,353 (1) | | | | Papa John’s International,
Inc. | | | | | 3,666,957 | | | | | | 0.5 | | |
| | | | 60,890 | | | | Pool Corp. | | | | | 7,894,389 | | | | | | 1.1 | | |
| | | | 153,800 (2) | | | | Taylor Morrison Home Corp. | | | | | 3,763,486 | | | | | | 0.5 | | |
| | | | 3,292,550 | (3)(4) | | Other Securities | | | | | 58,286,601 | | | | | | 7.7 | | |
| | | | | | | | | | | | | 92,036,697 | | | | | | 12.2 | | |
| | | | | | | | Consumer Staples: 2.9% | |
| | | | 248,696 (2) | | | | Performance Food Group
Co. | | | | | 8,231,837 | | | | | | 1.1 | | |
| | | | 55,734 | | | | Spectrum Brands Holdings,
Inc. | | | | | 6,264,502 | | | | | | 0.8 | | |
| | | | 240,063 (4) | | | | Other Securities | | | | | 7,290,401 | | | | | | 1.0 | | |
| | | | | | | | | | | | | 21,786,740 | | | | | | 2.9 | | |
| | | | | | | | Energy: 3.6% | |
| | | | 43,787 | | | | Core Laboratories NV | | | | | 4,796,866 | | | | | | 0.6 | | |
| | | | 290,003 | | | | Patterson-UTI Energy, Inc. | | | | | 6,672,969 | | | | | | 0.9 | | |
| | | | 490,870 (2) | | | | SRC Energy, Inc. | | | | | 4,187,121 | | | | | | 0.5 | | |
| | | | 1,308,700 | (3)(4) | | Other Securities | | | | | 11,924,022 | | | | | | 1.6 | | |
| | | | | | | | | | | | | 27,580,978 | | | | | | 3.6 | | |
| | | | | | | | Financials: 17.3% | |
| | | | 171,383 | | | | Associated Banc-Corp. | | | | | 4,353,128 | | | | | | 0.6 | | |
| | | | 130,645 | | | | BankUnited, Inc. | | | | | 5,319,864 | | | | | | 0.7 | | |
| | | | 124,536 | | | | First Hawaiian, Inc. | | | | | 3,633,961 | | | | | | 0.5 | | |
| | | | 232,097 | | | | First Horizon National Corp. | | | | | 4,639,619 | | | | | | 0.6 | | |
| | | | 64,343 | | | | Iberiabank Corp. | | | | | 4,986,583 | | | | | | 0.6 | | |
| | | | 103,100 | | | | Popular, Inc. | | | | | 3,659,019 | | | | | | 0.5 | | |
| | | | 67,389 | | | | ProAssurance Corp. | | | | | 3,851,281 | | | | | | 0.5 | | |
| | | | 88,381 | | | | Wintrust Financial Corp. | | | | | 7,279,943 | | | | | | 1.0 | | |
| | | | 2,868,560 (4) | | | | Other Securities | | | | | 93,558,434 | | | | | | 12.3 | | |
| | | | | | | | | | | | | 131,281,832 | | | | | | 17.3 | | |
| | | | | | | | Health Care: 13.4% | |
| | | | 175,267 (2) | | | | Catalent, Inc. | | | | | 7,199,968 | | | | | | 0.9 | | |
| | | | 139,125 | | | | Healthsouth Corp. | | | | | 6,874,166 | | | | | | 0.9 | | |
| | | | 17,714 (2) | | | | ICU Medical, Inc. | | | | | 3,826,224 | | | | | | 0.5 | | |
| | | | 22,651 (2) | | | | WellCare Health Plans, Inc. | | | | | 4,555,343 | | | | | | 0.6 | | |
| | | | 65,909 | | | | West Pharmaceutical
Services, Inc. | | | | | 6,503,241 | | | | | | 0.9 | | |
| | | | 3,648,104 | (3)(4) | | Other Securities | | | | | 72,674,405 | | | | | | 9.6 | | |
| | | | | | | | | | | | | 101,633,347 | | | | | | 13.4 | | |
| | | | | | | | Industrials: 19.0% | |
| | | | 72,669 | | | | Applied Industrial
Technologies, Inc. | | | | | 4,948,759 | | | | | | 0.7 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | Industrials (continued) | |
| | | | 109,200 | | | | ArcBest Corp. | | | | $ | 3,903,900 | | | | | | 0.5 | | |
| | | | 137,217 | | | | Brady Corp. | | | | | 5,200,524 | | | | | | 0.7 | | |
| | | | 100,772 | | | | Douglas Dynamics, Inc. | | | | | 3,809,182 | | | | | | 0.5 | | |
| | | | 85,583 | | | | KAR Auction Services, Inc. | | | | | 4,322,797 | | | | | | 0.6 | | |
| | | | 178,600 (2) | | | | Meritor, Inc. | | | | | 4,189,956 | | | | | | 0.5 | | |
| | | | 43,367 (2) | | | | RBC Bearings, Inc. | | | | | 5,481,589 | | | | | | 0.7 | | |
| | | | 140,766 | | | | Toro Co. | | | | | 9,182,166 | | | | | | 1.2 | | |
| | | | 3,106,630 | (3)(4) | | Other Securities | | | | | 103,046,805 | | | | | | 13.6 | | |
| | | | | | | | | | | | | 144,085,678 | | | | | | 19.0 | | |
| | | | | | | | Information Technology: 14.6% | |
| | | | 59,676 (2) | | | | Aspen Technology, Inc. | | | | | 3,950,551 | | | | | | 0.5 | | |
| | | | 64,343 | | | | Cabot Microelectronics
Corp. | | | | | 6,053,389 | | | | | | 0.8 | | |
| | | | 291,400 (2) | | | | Extreme Networks, Inc. | | | | | 3,648,328 | | | | | | 0.5 | | |
| | | | 70,063 | (1)(2) | | GrubHub, Inc. | | | | | 5,030,523 | | | | | | 0.6 | | |
| | | | 48,475 (2) | | | | Guidewire Software, Inc. | | | | | 3,599,754 | | | | | | 0.5 | | |
| | | | 100,850 (2) | | | | Q2 Holdings, Inc. | | | | | 3,716,323 | | | | | | 0.5 | | |
| | | | 20,690 (2) | | | | Tyler Technologies, Inc. | | | | | 3,663,165 | | | | | | 0.5 | | |
| | | | 2,997,716 | (3)(4) | | Other Securities | | | | | 80,938,987 | | | | | | 10.7 | | |
| | | | | | | | | | | | | 110,601,020 | | | | | | 14.6 | | |
| | | | | | | | Materials: 5.7% | |
| | | | 97,272 | | | | Aptargroup, Inc. | | | | | 8,392,628 | | | | | | 1.1 | | |
| | | | 121,032 (2) | | | | GCP Applied Technologies,
Inc. | | | | | 3,860,921 | | | | | | 0.5 | | |
| | | | 60,300 | | | | Trinseo SA | | | | | 4,377,780 | | | | | | 0.6 | | |
| | | | 152,992 | | | | Valvoline, Inc. | | | | | 3,833,980 | | | | | | 0.5 | | |
| | | | 856,950 | (3)(4) | | Other Securities | | | | | 22,741,710 | | | | | | 3.0 | | |
| | | | | | | | | | | | | 43,207,019 | | | | | | 5.7 | | |
| | | | | | | | Real Estate: 6.5% | |
| | | | 49,916 | | | | EastGroup Properties, Inc. | | | | | 4,411,576 | | | | | | 0.6 | | |
| | | | 135,730 | | | | National Retail Properties,
Inc. | | | | | 5,854,035 | | | | | | 0.8 | | |
| | | | 158,191 | | | | Outfront Media, Inc. | | | | | 3,670,031 | | | | | | 0.5 | | |
| | | | 196,815 | | | | RLJ Lodging Trust | | | | | 4,324,026 | | | | | | 0.5 | | |
| | | | 1,459,963 | (3)(4) | | Other Securities | | | | | 31,055,335 | | | | | | 4.1 | | |
| | | | | | | | | | | | | 49,315,003 | | | | | | 6.5 | | |
| | | | | | | | Telecommunication Services: 0.0% | |
| | | | 11,800 | | | | Other Securities | | | | | 125,080 | | | | | | 0.0 | | |
| | | | | | | | Utilities: 3.0% | |
| | | | 77,583 | | | | NorthWestern Corp. | | | | | 4,631,705 | | | | | | 0.6 | | |
| | | | 170,045 | | | | Portland General Electric Co. | | | | | 7,750,651 | | | | | | 1.0 | | |
| | | | 408,975 | (3)(4) | | Other Securities | | | | | 10,149,405 | | | | | | 1.4 | | |
| | | | | | | | | | | | | 22,531,761 | | | | | | 3.0 | | |
| | | | | | | | Total Common Stock | | | |
| | | | | | | | (Cost $552,397,986) | | | | | 744,185,155 | | | | | | 98.2 | | |
| |
See Accompanying Notes to Financial Statements
| VY® JPMorgan Small Cap | SUMMARY PORTFOLIO OF INVESTMENTS |
| Core Equity Portfolio | as of December 31, 2017 (continued) |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: 5.5% | |
| | | | | | | | Securities Lending Collateral(5): 3.7% | |
| | | | 1,394,825 | | | | Bank of Nova Scotia/New
York, Repurchase
Agreement dated 12/29/17,
1.36%, due 01/02/18
(Repurchase Amount
$1,395,033, collateralized by
various U.S. Government
Securities, 0.125%-3.625%,
Market Value plus accrued
interest $1,422,937, due
01/31/19-09/09/49) | | | | $ | 1,394,825 | | | | | | 0.2 | | |
| | | | 6,630,814 | | | | Cantor Fitzgerald,
Repurchase Agreement
dated 12/29/17, 1.41%, due
01/02/18 (Repurchase
Amount $6,631,839,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-8.500%,
Market Value plus accrued
interest $6,763,430, due
01/31/18-06/20/63) | | | | | 6,630,814 | | | | | | 0.9 | | |
| | | | 6,630,814 | | | | Daiwa Capital Markets,
Repurchase Agreement
dated 12/29/17, 1.43%, due
01/02/18 (Repurchase
Amount $6,631,853,
collateralized by various U.S.
Government/U.S.
Government Agency
Obligations, 0.000%-6.500%,
Market Value plus accrued
interest $6,763,431, due
01/11/18-12/01/51) | | | | | 6,630,814 | | | | | | 0.9 | | |
| | | | 6,630,814 | | | | Millenium Fixed Income Ltd.,
Repurchase Agreement
dated 12/29/17, 1.44%, due
01/02/18 (Repurchase
Amount $6,631,860,
collateralized by various U.S.
Government Securities,
2.875%-3.625%, Market
Value plus accrued interest
$6,763,431, due
02/15/43-02/15/44) | | | | | 6,630,814 | | | | | | 0.8 | | |
| | Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| | SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | | Securities Lending Collateral(5) (continued) | |
| | | | 6,630,814 | | | | State of Wisconsin
Investment Board,
Repurchase Agreement
dated 12/29/17, 1.63%, due
01/02/18 (Repurchase
Amount $6,631,998,
collateralized by various U.S.
Government Securities,
0.125%-3.875%, Market
Value plus accrued interest
$6,814,949, due
01/15/19-02/15/46) | | | | $ | 6,630,814 | | | | | | 0.9 | | |
| | | | | | | | | | | | | 27,918,081 | | | | | | 3.7 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | | Mutual Funds: 1.8% | |
| | | | 14,026,672 (6) | | | | BlackRock Liquidity Funds,
FedFund, Institutional
Class, 1.170%
(Cost $14,026,672) | | | | | 14,026,672 | | | | | | 1.8 | | |
| | | | | | | | Total Short-Term
Investments
(Cost $41,944,753) | | | | | 41,944,753 | | | | | | 5.5 | | |
| | | | | | | | Total Investments in
Securities
(Cost $594,342,739) | | | | $ | 786,129,908 | | | | | | 103.7 | | |
| | | | | | | | Liabilities in Excess of
Other Assets | | | | | (28,344,356) | | | | | | (3.7) | | |
| | | | | | | | Net Assets | | | | $ | 757,785,552 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
(1)
Security, or a portion of the security, is on loan.
(2)
Non-income producing security.
(3)
The grouping contains securities on loan.
(4)
The grouping contains non-income producing securities.
(5)
Represents securities purchased with cash collateral received for securities on loan.
(6)
Rate shown is the 7-day yield as of December 31, 2017.
See Accompanying Notes to Financial Statements
| VY® JPMorgan Small Cap | SUMMARY PORTFOLIO OF INVESTMENTS |
| Core Equity Portfolio | as of December 31, 2017 (continued) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock* | | | | $ | 744,185,155 | | | | | $ | — | | | | | $ | — | | | | | $ | 744,185,155 | | |
| Short-Term Investments | | | | | 14,026,672 | | | | | | 27,918,081 | | | | | | — | | | | | | 41,944,753 | | |
| Total Investments, at fair value | | | | $ | 758,211,827 | | | | | $ | 27,918,081 | | | | | $ | — | | | | | $ | 786,129,908 | | |
| Liabilities Table | | | | | |
| Other Financial Instruments | | | | | |
| Futures | | | | $ | (30,470) | | | | | $ | — | | | | | $ | — | | | | | $ | (30,470) | | |
| Total Liabilities | | | | $ | (30,470) | | | | | $ | — | | | | | $ | — | | | | | $ | (30,470) | | |
| |
^
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.
*
For further breakdown of Common Stock by sector, please refer to the Portfolio of Investments.
At December 31, 2017, the following futures contracts were outstanding for VY® JPMorgan Small Cap Core Equity Portfolio:
| Contract Description | | | Number of
Contracts | | | Expiration
Date | | | Notional
Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Long Contracts | | | | | |
| Russell 2000® Mini Index | | | | | 35 | | | | | | 03/16/18 | | | | | $ | 2,688,875 | | | | | $ | (30,470) | | |
| | | | | | | | | | | | | | | | | $ | 2,688,875 | | | | | $ | (30,470) | | |
| |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2017 was as follows:
| Derivatives not accounted for as hedging instruments | | | Location on Statement
of Assets and Liabilities | | | Fair Value | |
| Liability Derivatives | | | |
| Equity contracts | | | Net Assets — Unrealized depreciation* | | | | $ | 30,470 | | |
| | | | | | | | $ | 30,470 | | |
| |
*
Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss)
on Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Futures | |
| Equity contracts | | | | $ | 971,660 | | |
| Total | | | | $ | 971,660 | | |
| |
See Accompanying Notes to Financial Statements
| VY® JPMorgan Small Cap | SUMMARY PORTFOLIO OF INVESTMENTS |
| Core Equity Portfolio | as of December 31, 2017 (continued) |
| | | | Change in Unrealized Appreciation or (Depreciation)
on Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Futures | |
| Equity contracts | | | | $ | 97,503 | | |
| Total | | | | $ | 97,503 | | |
| |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $597,299,418. | |
| | Net unrealized appreciation consisted of: | | | |
| | Gross Unrealized Appreciation | | | | $ | 213,399,809 | | | |
| | Gross Unrealized Depreciation | | | | | (24,599,789) | | | |
| | Net Unrealized Appreciation | | | | $ | 188,800,020 | | | |
| |
See Accompanying Notes to Financial Statements
| VY® Templeton Global Growth | SUMMARY PORTFOLIO OF INVESTMENTS |
| Portfolio | as of December 31, 2017 |
| Shares | | | Value | | | Percentage
of Net
Assets | |
| COMMON STOCK: 98.6% | |
| | | | | | | Canada: 2.9% | |
| | | 95,482 | | | | Wheaton Precious Metals
Corp. | | | | $ | 2,110,935 | | | | | | 1.2 | | |
| | | 218,650 (1) | | | | Other Securities | | | | | 3,129,272 | | | | | | 1.7 | | |
| | | | | | | | | | | | 5,240,207 | | | | | | 2.9 | | |
| | | | | | | China: 5.1% | |
| | | 12,560 (2) | | | | Baidu, Inc. ADR | | | | | 2,941,678 | | | | | | 1.6 | | |
| | | 791,000 | | | | China Life Insurance Co.,
Ltd. | | | | | 2,466,744 | | | | | | 1.4 | | |
| | | 3,369,744 (3) | | | | Other Securities | | | | | 3,831,603 | | | | | | 2.1 | | |
| | | | | | | | | | | | 9,240,025 | | | | | | 5.1 | | |
| | | | | | | France: 5.7% | |
| | | 93,382 | | | | AXA S.A. | | | | | 2,767,203 | | | | | | 1.6 | | |
| | | 34,260 | | | | BNP Paribas | | | | | 2,548,547 | | | | | | 1.4 | | |
| | | 20,366 | | | | Sanofi | | | | | 1,753,344 | | | | | | 1.0 | | |
| | | 155,078 | | | | Other Securities | | | | | 3,168,311 | | | | | | 1.7 | | |
| | | | | | | | | | | | 10,237,405 | | | | | | 5.7 | | |
| | | | | | | Germany: 3.7% | |
| | | 59,200 (4) | | | | Innogy SE | | | | | 2,316,887 | | | | | | 1.3 | | |
| | | 18,320 | | | | Merck KGaA | | | | | 1,966,405 | | | | | | 1.1 | | |
| | | 16,905 | | | | Siemens AG | | | | | 2,340,621 | | | | | | 1.3 | | |
| | | | | | | | | | | | 6,623,913 | | | | | | 3.7 | | |
| | | | | | | Hong Kong: 0.2% | |
| | | 398,000 | | | | Other Securities | | | | | 421,872 | | | | | | 0.2 | | |
| | | | | | | Indonesia: 0.5% | |
| | | 1,312,500 | | | | Other Securities | | | | | 964,207 | | | | | | 0.5 | | |
| | | | | | | Ireland: 0.8% | |
| | | 54,840 (1) | | | | Other Securities | | | | | 1,358,254 | | | | | | 0.8 | | |
| | | | | | | Israel: 1.9% | |
| | | 184,301 (5) | | | | Teva Pharmaceutical
Industries Ltd. ADR | | | | | 3,492,504 | | | | | | 1.9 | | |
| | | | | | | Italy: 1.8% | |
| | | 190,871 | | | | ENI S.p.A. | | | | | 3,158,514 | | | | | | 1.8 | | |
| | | | | | | Japan: 4.8% | |
| | | 176,300 | | | | Panasonic Corp. | | | | | 2,572,907 | | | | | | 1.4 | | |
| | | 32,100 | | | | SoftBank Group Corp. | | | | | 2,541,376 | | | | | | 1.4 | | |
| | | 174,100 | | | | Other Securities | | | | | 3,585,987 | | | | | | 2.0 | | |
| | | | | | | | | | | | 8,700,270 | | | | | | 4.8 | | |
| | | | | | | Luxembourg: 1.5% | |
| | | 172,349 (2) | | | | SES S.A. - Luxembourg | | | | | 2,690,368 | | | | | | 1.5 | | |
| | | | | | | Netherlands: 5.2% | |
| | | 409,139 | | | | Aegon NV | | | | | 2,599,649 | | | | | | 1.4 | | |
| | | 21,412 | | | | Akzo Nobel NV | | | | | 1,878,794 | | | | | | 1.0 | | |
| | | 120,420 | | | | Royal Dutch Shell PLC -
Class B | | | | | 4,055,018 | | | | | | 2.3 | | |
| | | 28,524 (1) | | | | Other Securities | | | | | 889,676 | | | | | | 0.5 | | |
| | | | | | | | | | | | 9,423,137 | | | | | | 5.2 | | |
| | | | | | | Portugal: 1.0% | |
| | | 98,520 | | | | Galp Energia SGPS SA | | | | | 1,810,078 | | | | | | 1.0 | | |
| | | | | | | Russia: 0.8% | |
| | | 75,573 | | | | Other Securities | | | | | 1,429,085 | | | | | | 0.8 | | |
| | | | | | | Singapore: 1.6% | |
| | | 1,090,300 | | | | Singapore
Telecommunications Ltd. | | | | | 2,906,878 | | | | | | 1.6 | | |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | South Korea: 4.6% | |
| | | ��� | 45,907 | | | | KB Financial Group, Inc. | | | | $ | 2,716,919 | | | | | | 1.5 | | |
| | | | 1,871 | | | | Samsung Electronics Co.,
Ltd. | | | | | 4,445,330 | | | | | | 2.4 | | |
| | | | 8,356 | | | | Other Securities | | | | | 1,216,104 | | | | | | 0.7 | | |
| | | | | | | | | | | | | 8,378,353 | | | | | | 4.6 | | |
| | | | | | | | Spain: 0.6% | |
| | | | 113,117 | | | | Other Securities | | | | | 1,101,502 | | | | | | 0.6 | | |
| | | | | | | | Sweden: 2.3% | |
| | | | 140,262 | | | | Getinge AB | | | | | 2,033,901 | | | | | | 1.1 | | |
| | | | 270,096 | | | | Telefonaktiebolaget LM
Ericsson | | | | | 1,782,561 | | | | | | 1.0 | | |
| | | | 140,262 | (1)(3) | | Other Securities | | | | | 400,279 | | | | | | 0.2 | | |
| | | | | | | | | | | | | 4,216,741 | | | | | | 2.3 | | |
| | | | | | | | Switzerland: 2.8% | |
| | | | 9,160 | | | | Roche Holding AG | | | | | 2,316,155 | | | | | | 1.3 | | |
| | | | 151,970 | | | | UBS Group AG | | | | | 2,792,108 | | | | | | 1.5 | | |
| | | | | | | | | | | | | 5,108,263 | | | | | | 2.8 | | |
| | | | | | | | Thailand: 1.3% | |
| | | | 276,600 | | | | Bangkok Bank PCL | | | | | 1,714,428 | | | | | | 1.0 | | |
| | | | 92,400 | | | | Bangkok Bank PCL -
Foreign Reg | | | | | 620,914 | | | | | | 0.3 | | |
| | | | | | | | | | | | | 2,335,342 | | | | | | 1.3 | | |
| | | | | | | | United Kingdom: 11.1% | |
| | | | 376,891 | | | | BAE Systems PLC | | | | | 2,911,977 | | | | | | 1.6 | | |
| | | | 482,898 | | | | BP PLC | | | | | 3,387,661 | | | | | | 1.9 | | |
| | | | 317,510 | | | | HSBC Holdings PLC
(HKD) | | | | | 3,264,421 | | | | | | 1.8 | | |
| | | | 718,051 | | | | Kingfisher PLC | | | | | 3,273,915 | | | | | | 1.8 | | |
| | | | 325,000 (2) | | | | Standard Chartered PLC | | | | | 3,413,008 | | | | | | 1.9 | | |
| | | | 602,072 | | | | Vodafone Group PLC | | | | | 1,903,143 | | | | | | 1.1 | | |
| | | | 685,976 | | | | Other Securities | | | | | 1,892,783 | | | | | | 1.0 | | |
| | | | | | | | | | | | | 20,046,908 | | | | | | 11.1 | | |
| | | | | | | | United States: 38.4% | |
| | | | 17,551 | | | | Allergan plc | | | | | 2,870,992 | | | | | | 1.6 | | |
| | | | 2,540 (2) | | | | Alphabet, Inc. - Class A | | | | | 2,675,636 | | | | | | 1.5 | | |
| | | | 24,130 | | | | AmerisourceBergen Corp. | | | | | 2,215,617 | | | | | | 1.2 | | |
| | | | 19,970 | | | | Amgen, Inc. | | | | | 3,472,783 | | | | | | 1.9 | | |
| | | | 45,410 | | | | Apache Corp. | | | | | 1,917,210 | | | | | | 1.1 | | |
| | | | 15,200 | | | | Apple, Inc. | | | | | 2,572,296 | | | | | | 1.4 | | |
| | | | 27,060 | | | | Capital One Financial
Corp. | | | | | 2,694,635 | | | | | | 1.5 | | |
| | | | 29,210 | | | | Cardinal Health, Inc. | | | | | 1,789,697 | | | | | | 1.0 | | |
| | | | 53,690 | | | | Citigroup, Inc. | | | | | 3,995,073 | | | | | | 2.2 | | |
| | | | 63,720 | | | | Comcast Corp. – Class A | | | | | 2,551,986 | | | | | | 1.4 | | |
| | | | 50,190 | | | | ConocoPhillips | | | | | 2,754,929 | | | | | | 1.5 | | |
| | | | 119,900 | | | | Coty, Inc - Class A | | | | | 2,384,811 | | | | | | 1.3 | | |
| | | | 33,630 | | | | Eli Lilly & Co. | | | | | 2,840,390 | | | | | | 1.6 | | |
| | | | 39,750 | | | | Gilead Sciences, Inc. | | | | | 2,847,690 | | | | | | 1.6 | | |
| | | | 29,300 (5) | | | | Helmerich & Payne, Inc. | | | | | 1,893,952 | | | | | | 1.1 | | |
| | | | 20,710 | | | | JPMorgan Chase & Co. | | | | | 2,214,727 | | | | | | 1.2 | | |
| | | | 33,810 | | | | Microsoft Corp. | | | | | 2,892,107 | | | | | | 1.6 | | |
See Accompanying Notes to Financial Statements
| VY® Templeton Global Growth | SUMMARY PORTFOLIO OF INVESTMENTS |
| Portfolio | as of December 31, 2017 (continued) |
| | Shares | | | Value | | | Percentage
of Net
Assets | |
| | COMMON STOCK: (continued) | |
| | | | | | | | United States (continued) | |
| | | | 64,170 (2) | | | | Navistar International
Corp. | | | | $ | 2,751,610 | | | | | | 1.5 | | |
| | | | 81,270 | | | | Oracle Corp. | | | | | 3,842,446 | | | | | | 2.1 | | |
| | | | 26,740 | | | | Perrigo Co. PLC | | | | | 2,330,658 | | | | | | 1.3 | | |
| | | | 109,430 | | | | Twenty-First Century
Fox, Inc. - Class A | | | | | 3,778,618 | | | | | | 2.1 | | |
| | | | 17,840 | | | | United Parcel Service,
Inc. - Class B | | | | | 2,125,636 | | | | | | 1.2 | | |
| | | | 32,200 | | | | Walgreens Boots
Alliance, Inc. | | | | | 2,338,364 | | | | | | 1.3 | | |
| | | | 137,588 | (1)(3) | | Other Securities | | | | | 7,632,003 | | | | | | 4.2 | | |
| | | | | | | | | | | | | 69,383,866 | | | | | | 38.4 | | |
| | | | | | | | Total Common Stock
(Cost $152,730,064) | | | | | 178,267,692 | | | | | | 98.6 | | |
| |
Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| CORPORATE BONDS/NOTES: 0.6% | |
| | | | | | | United States: 0.6% | |
| | | 976,000 | (4)(5) | | Chesapeake Energy
Corp., 8.000%, 12/15/22 | | | | | 1,056,520 | | | | | | 0.6 | | |
| | | | | | | Total Corporate
Bonds/Notes
(Cost $935,547) | | | | | 1,056,520 | | | | | | 0.6 | | |
| | | | | | | Total Long-Term
Investments
(Cost $153,665,611) | | | | | 179,324,212 | | | | | | 99.2 | | |
| SHORT-TERM INVESTMENTS: 2.9% | |
| | | | | | | Securities Lending Collateral(6): 2.5% | |
| | | 1,085,465 | | | | Cantor Fitzgerald,
Repurchase Agreement
dated 12/29/17, 1.41%,
due 01/02/18 (Repurchase
Amount $1,085,633,
collateralized by various
U.S. Government/U.S.
Government Agency
Obligations, 0.000%-
8.500%, Market Value
plus accrued interest
$1,107,174, due
01/31/18-06/20/63) | | | | | 1,085,465 | | | | | | 0.6 | | |
| | | 228,355 | | | | Daiwa Capital Markets,
Repurchase Agreement
dated 12/29/17, 1.43%,
due 01/02/18 (Repurchase
Amount $228,391,
collateralized by various
U.S. Government and U.S.
Government Agency
Obligations, 0.000%-
6.500%, Market Value plus
accrued interest $232,922,
due 01/11/18-12/01/51) | | | | | 228,355 | | | | | | 0.1 | | |
Principal
Amount† | | | Value | | | Percentage
of Net
Assets | |
| SHORT-TERM INVESTMENTS: (continued) | |
| | | | | | | Securities Lending Collateral(6) (continued) | |
| | | 1,085,465 | | | | Millenium Fixed Income
Ltd., Repurchase
Agreement dated
12/29/17, 1.44%, due
01/02/18 (Repurchase
Amount $1,085,636,
collateralized by various
U.S. Government
Securities, 2.875%-
3.625%, Market Value
plus accrued interest
$1,107,174, due
02/15/43-02/15/44) | | | | $ | 1,085,465 | | | | | | 0.6 | | |
| | | 1,085,465 | | | | NBC Global Finance Ltd.,
Repurchase Agreement
dated 12/29/17, 1.50%,
due 01/02/18
(Repurchase Amount
$1,085,643, collateralized
by various U.S.
Government Securities,
0.750%-2.250%, Market
Value plus accrued
interest $1,107,174, due
09/30/18-09/09/49) | | | | | 1,085,465 | | | | | | 0.6 | | |
| | | 1,085,465 | | | | State of Wisconsin
Investment Board,
Repurchase Agreement
dated 12/29/17, 1.63%,
due 01/02/18
(Repurchase Amount
$1,085,659, collateralized
by various U.S.
Government Securities,
0.125%-3.875%, Market
Value plus accrued
interest $1,115,608, due
01/15/19-02/15/46) | | | | | 1,085,465 | | | | | | 0.6 | | |
| | | | | | | | | | | | 4,570,215 | | | | | | 2.5 | | |
| Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | | | | Mutual Funds: 0.4% | |
| | | 643,217 (7) | | | | BlackRock Liquidity Funds,
FedFund, Institutional
Class, 1.170%
(Cost $643,217) | | | | | 643,217 | | | | | | 0.4 | | |
| | | | | | | Total Short-Term
Investments
(Cost $5,213,432) | | | | | 5,213,432 | | | | | | 2.9 | | |
| |
See Accompanying Notes to Financial Statements
| VY® Templeton Global Growth | SUMMARY PORTFOLIO OF INVESTMENTS |
| Portfolio | as of December 31, 2017 (continued) |
| Shares | | | Value | | | Percentage
of Net
Assets | |
| | | | Total Investments in
Securities
(Cost $158,879,043) | | | | $ | 184,537,644 | | | | | | 102.1 | | |
| | | | Liabilities in Excess of
Other Assets | | | | | (3,824,649) | | | | | | (2.1) | | |
| | | | Net Assets | | | | $ | 180,712,995 | | | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
†
Unless otherwise indicated, principal amount is shown in USD.
ADR
American Depositary Receipt
(1)
The grouping contains non-income producing securities.
(2)
Non-income producing security.
(3)
The grouping contains securities on loan.
(4)
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.
(5)
Security, or a portion of the security, is on loan.
(6)
Represents securities purchased with cash collateral received for securities on loan.
(7)
Rate shown is the 7-day yield as of December 31, 2017.
| Sector Diversification | | | Percentage
of Net Assets | |
| Financials | | | | | 21.8% | | |
| Health Care | | | | | 18.4 | | |
| Energy | | | | | 13.5 | | |
| Information Technology | | | | | 13.1 | | |
| Consumer Discretionary | | | | | 11.5 | | |
| Telecommunication Services | | | | | 5.9 | | |
| Industrials | | | | | 5.6 | | |
| Materials | | | | | 4.4 | | |
| Consumer Staples | | | | | 2.8 | | |
| Utilities | | | | | 2.2 | | |
| Short-Term Investments | | | | | 2.9 | | |
| Liabilities in Excess of Other Assets | | | | | (2.1) | | |
| Net Assets | | | | | 100.0% | | |
| |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:(1)
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1) | | | Significant
Other
Observable
Inputs#
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Fair Value
at
December 31, 2017 | |
| Asset Table | | | | | |
| Investments, at fair value | | | | | |
| Common Stock | | | | | |
| Canada | | | | $ | 5,240,207 | | | | | $ | — | | | | | $ | — | | | | | $ | 5,240,207 | | |
| China | | | | | 3,470,684 | | | | | | 5,769,341 | | | | | | — | | | | | | 9,240,025 | | |
| France | | | | | — | | | | | | 10,237,405 | | | | | | — | | | | | | 10,237,405 | | |
| Germany | | | | | — | | | | | | 6,623,913 | | | | | | — | | | | | | 6,623,913 | | |
| Hong Kong | | | | | — | | | | | | 421,872 | | | | | | — | | | | | | 421,872 | | |
| Indonesia | | | | | — | | | | | | 964,207 | | | | | | — | | | | | | 964,207 | | |
| Ireland | | | | | 1,358,254 | | | | | | — | | | | | | — | | | | | | 1,358,254 | | |
| Israel | | | | | 3,492,504 | | | | | | — | | | | | | — | | | | | | 3,492,504 | | |
| Italy | | | | | — | | | | | | 3,158,514 | | | | | | — | | | | | | 3,158,514 | | |
| Japan | | | | | — | | | | | | 8,700,270 | | | | | | — | | | | | | 8,700,270 | | |
| Luxembourg | | | | | 2,690,368 | | | | | | — | | | | | | — | | | | | | 2,690,368 | | |
| Netherlands | | | | | — | | | | | | 9,423,137 | | | | | | — | | | | | | 9,423,137 | | |
| Portugal | | | | | — | | | | | | 1,810,078 | | | | | | — | | | | | | 1,810,078 | | |
| Russia | | | | | 1,429,085 | | | | | | — | | | | | | — | | | | | | 1,429,085 | | |
| Singapore | | | | | — | | | | | | 2,906,878 | | | | | | — | | | | | | 2,906,878 | | |
| South Korea | | | | | — | | | | | | 8,378,353 | | | | | | — | | | | | | 8,378,353 | | |
| Spain | | | | | — | | | | | | 1,101,502 | | | | | | — | | | | | | 1,101,502 | | |
| Sweden | | | | | 400,279 | | | | | | 3,816,462 | | | | | | — | | | | | | 4,216,741 | | |
| Switzerland | | | | | — | | | | | | 5,108,263 | | | | | | — | | | | | | 5,108,263 | | |
See Accompanying Notes to Financial Statements
| VY® Templeton Global Growth | SUMMARY PORTFOLIO OF INVESTMENTS |
| Portfolio | as of December 31, 2017 (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
December 31, 2017 | |
| Thailand | | | | | 2,335,342 | | | | | | — | | | | | | — | | | | | | 2,335,342 | | |
| United Kingdom | | | | | 3,273,915 | | | | | | 16,772,993 | | | | | | — | | | | | | 20,046,908 | | |
| United States | | | | | 69,383,866 | | | | | | — | | | | | | — | | | | | | 69,383,866 | | |
| Total Common Stock | | | | | 93,074,504 | | | | | | 85,193,188 | | | | | | — | | | | | | 178,267,692 | | |
| Corporate Bonds/Notes | | | | | — | | | | | | 1,056,520 | | | | | | — | | | | | | 1,056,520 | | |
| Short-Term Investments | | | | | 643,217 | | | | | | 4,570,215 | | | | | | — | | | | | | 5,213,432 | | |
| Total Investments, at fair value | | | | $ | 93,717,721 | | | | | $ | 90,819,923 | | | | | $ | — | | | | | $ | 184,537,644 | | |
| |
(1)
For the year ended December 31, 2017, as a result of the fair value pricing procedures for international equities (Note 2) utilized by the Portfolio certain securities have transferred in and out of Level 1 and Level 2 measurements during the year. The Portfolio’s policy is to recognize transfers between levels at the beginning of the reporting period. At December 31, 2017, securities valued at $2,057,087 and $1,998,697 were transferred from Level 1 to Level 2 and from Level 2 to Level 1, respectively, within the fair value hierarchy.
^
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.
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss)
on Derivatives Recognized in Income | |
| Derivatives not accounted for as hedging instruments | | | Forward foreign
currency contracts | |
| Foreign exchange contracts | | | | $ | (24,975) | | |
| Total | | | | $ | (24,975) | | |
| |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | Cost for federal income tax purposes was $159,910,334. | | |
| | Net unrealized appreciation consisted of: | | |
| | Gross Unrealized Appreciation | | | | $ | 37,603,111 | | |
| | Gross Unrealized Depreciation | | | | | (13,000,002) | | |
| | Net Unrealized Appreciation | | | | $ | 24,603,109 | | |
| |
See Accompanying Notes to Financial Statements
TAX INFORMATION (Unaudited)
Dividends and distributions paid during the year ended December 31, 2017 were as follows:
| Portfolio Name | | | Type | | | Per Share
Amount | |
| Voya High Yield Portfolio | | | |
| Class ADV | | | NII | | | | $ | 0.6198 | | |
| Class I | | | NII | | | | $ | 0.6806 | | |
| Class S | | | NII | | | | $ | 0.6549 | | |
| Class S2 | | | NII | | | | $ | 0.6408 | | |
| All Classes | | | ROC | | | | $ | 0.0227 | | |
| Voya Large Cap Growth Portfolio | |
| Class ADV | | | NII | | | | $ | 0.0126 | | |
| Class I | | | NII | | | | $ | 0.1276 | | |
| Class R6 | | | NII | | | | $ | 0.1276 | | |
| Class S | | | NII | | | | $ | 0.0800 | | |
| Class S2 | | | NII | | | | $ | 0.0488 | | |
| All Classes | | | STCG | | | | $ | 0.1116 | | |
| All Classes | | | LTCG | | | | $ | 1.2892 | | |
| Voya Large Cap Value Portfolio | |
| Class ADV | | | NII | | | | $ | 0.2418 | | |
| Class I | | | NII | | | | $ | 0.3232 | | |
| Class R6 | | | NII | | | | $ | 0.3235 | | |
| Class S | | | NII | | | | $ | 0.2870 | | |
| Class S2 | | | NII | | | | $ | 0.2610 | | |
| Voya Limited Maturity Portfolio | | | |
| Class ADV | | | NII | | | | $ | 0.1254 | | |
| Class I | | | NII | | | | $ | 0.1878 | | |
| Class S | | | NII | | | | $ | 0.1643 | | |
| All Classes | | | ROC | | | | $ | 0.0058 | | |
| Voya Multi-Manager Large Cap Core Portfolio | |
| Class ADV | | | NII | | | | $ | 0.0742 | | |
| Class I | | | NII | | | | $ | 0.1761 | | |
| Class R6 | | | NII | | | | $ | 0.1761 | | |
| Class S | | | NII | | | | $ | 0.1309 | | |
| All Classes | | | LTCG | | | | $ | 0.9703 | | |
| Portfolio Name | | | Type | | | Per Share
Amount | |
| Voya U.S. Stock Index Portfolio | |
| Class ADV | | | NII | | | | $ | 0.1825 | | |
| Class I | | | NII | | | | $ | 0.2650 | | |
| Class P2 | | | NII | | | | $ | 0.2650 | | |
| Class S | | | NII | | | | $ | 0.2310 | | |
| Class S2 | | | NII | | | | $ | 0.2040 | | |
| All Classes | | | STCG | | | | $ | 0.0130 | | |
| All Classes | | | LTCG | | | | $ | 0.7101 | | |
| VY® Clarion Real Estate Portfolio | |
| Class ADV | | | NII | | | | $ | 0.6560 | | |
| Class I | | | NII | | | | $ | 0.8960 | | |
| Class S | | | NII | | | | $ | 0.7785 | | |
| Class S2 | | | NII | | | | $ | 0.7121 | | |
VY® Franklin Income Portfolio | | | |
| Class ADV | | | NII | | | | $ | 0.4845 | | |
| Class I | | | NII | | | | $ | 0.5430 | | |
| Class S | | | NII | | | | $ | 0.5125 | | |
| Class S2 | | | NII | | | | $ | 0.4922 | | |
| VY® JPMorgan Small Cap Core Equity Portfolio | |
| Class ADV | | | NII | | | | $ | 0.0443 | | |
| Class I | | | NII | | | | $ | 0.1458 | | |
| Class R6 | | | NII | | | | $ | 0.1458 | | |
| Class S | | | NII | | | | $ | 0.0953 | | |
| Class S2 | | | NII | | | | $ | 0.0626 | | |
| All Classes | | | LTCG | | | | $ | 1.0986 | | |
| VY® Templeton Global Growth Portfolio | |
| Class ADV | | | NII | | | | $ | 0.1458 | | |
| Class I | | | NII | | | | $ | 0.1986 | | |
| Class S | | | NII | | | | $ | 0.1714 | | |
| Class S2 | | | NII | | | | $ | 0.1569 | | |
| All Classes | | | STCG | | | | $ | 0.0460 | | |
| All Classes | | | LTCG | | | | $ | 0.0252 | | |
NII – Net investment income
STCG – Short-term capital gain
LTCG – Long-term capital gain
ROC – Return of capital
Of the ordinary distributions made during the year ended December 31, 2017, the following percentages qualify for the dividends received deduction (DRD) available to corporate shareholders:
| | Voya Large Cap Growth Portfolio | | | | | 99.99% | | |
| | Voya Large Cap Value Portfolio | | | | | 78.47% | | |
| | Voya Multi-Manager Large Cap Core Portfolio | | | | | 100.00% | | |
| | Voya U.S. Stock Index Portfolio | | | | | 100.00% | | |
| | VY® Franklin Income Portfolio | | | | | 32.99% | | |
| | VY® JPMorgan Small Cap Core Equity Portfolio | | | | | 99.97% | | |
| | VY® Templeton Global Growth Portfolio | | | | | 29.27% | | |
TAX INFORMATION (Unaudited) (continued)
The Portfolios designate the following amounts of long-term capital gain distributions as 20% rate long-term capital gain dividends under Internal Revenue Code Section 852(b)(3)(C):
| | Voya Large Cap Growth Portfolio | | | | $ | 412,308,534 | | |
| | Voya Multi-Manager Large Cap Core Portfolio | | | | $ | 19,059,046 | | |
| | Voya U.S. Stock Index Portfolio | | | | $ | 233,163,705 | | |
| | VY® JPMorgan Small Cap Core Equity Portfolio | | | | $ | 40,873,142 | | |
| | VY® Templeton Global Growth Portfolio | | | | $ | 449,204 | | |
Pursuant to Section 853 of the Internal Revenue Code, the Portfolio below designates the following amounts as foreign taxes paid for the year ended December 31, 2017. Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes.
| | | | Creditable Foreign
Taxes Paid | | | Per Share Amount | | | Portion of Ordinary Income
Distribution Derived from
Foreign Sourced Income* | |
VY® Templeton Global Growth Portfolio | | | | $ | 196,946 | | | | | $ | 0.0125 | | | | | | 57.98% | | |
*
None of the Portfolio’s income was derived from ineligible foreign sources as defined under Section 901(j) of the Internal Revenue Code.
Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments. Shareholders are strongly advised to consult their own tax advisors regarding the appropriate treatment of foreign taxes paid.
Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. generally accepted accounting principles (book) purposes and Internal Revenue Service (tax) purposes.
Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Portfolios. In January, shareholders, excluding corporate shareholders, receive an IRS 1099-DIV regarding the federal tax status of the dividends and distributions they received in the calendar year.
TRUSTEE AND OFFICER INFORMATION (Unaudited)
The business and affairs of the Trust are managed under the direction of the Board. A Trustee, who is not an interested person of the Trust, as defined in the 1940 Act, is an independent trustee (“Independent Trustee”). The Trustees and Officers of the Trust are listed below. The Statement of Additional Information includes additional information about trustees of the Trust and is available, without charge, upon request at (800) 366-0066.
| | Name, Address and Age | | | Position(s)
Held with the
Trust | | | Term of Office and
Length of Time
Served(1) | | | Principal
Occupation(s) –
During the Past 5 Years | | | Number of
funds in
Fund
Complex
Overseen by
Trustee(2) | | | Other Board Positions
Held by Trustee | |
| | Independent Trustees*: | | | | | | |
| | Colleen D. Baldwin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 57 | | | Trustee | | | November 2007 – Present | | | President, Glantuam Partners, LLC, a business consulting firm (January
2009 – Present). | | | 151 | | | DSM/Dentaquest, Boston, MA (February 2014 – Present). | |
| | John V. Boyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | Chairperson
Trustee | | | January 2014 – Present January 2005 – Present | | | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008 – Present). | | | 151 | | | None. | |
| | Patricia W. Chadwick
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 69 | | | Trustee | | | January 2006 – Present | | | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000 – Present). | | | 151 | | | Wisconsin Energy Corporation (June 2006 – Present); The Royce Funds (23 funds) (December 2009 – Present); and AMICA Mutual Insurance Company (1992 – Present). | |
| | Martin J. Gavin
7337 East Doubletree Ranch Rd. Suite 100
Scottsdale, AZ 85258
Age: 67 | | | Trustee | | | August 2015 – Present | | | Retired. Formerly, President and Chief Executive Officer, Connecticut Children’s Medical Center (May
2006 – November 2015). | | | 151 | | | None. | |
| | Russell H. Jones
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 73 | | | Trustee | | | May 2013 –
Present | | | Retired. | | | 151 | | | None. | |
| | Patrick W. Kenny
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 75 | | | Trustee | | | January 2005 – Present | | | Retired. | | | 151 | | | Assured Guaranty Ltd. (April
2004 – Present). | |
| | Joseph E. Obermeyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | Trustee | | | May 2013 – Present | | | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999 – Present). | | | 151 | | | None. | |
| | Sheryl K. Pressler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 67 | | | Trustee | | | January 2006 – Present | | | Consultant (May 2001 – Present). | | | 151 | | | None. | |
TRUSTEE AND OFFICER INFORMATION (Unaudited) (continued)
| | Name, Address and Age | | | Position(s)
Held with the
Trust | | | Term of Office and
Length of Time
Served(1) | | | Principal
Occupation(s) –
During the Past 5 Years | | | Number of
funds in
Fund
Complex
Overseen by
Trustee(2) | | | Other Board Positions
Held by Trustee | |
| | Christopher P. Sullivan
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | Trustee | | | October 2015 – Present | | | Retired. Formerly, President, Bond Division, Fidelity Management and Research (June 2009 – September 2012). | | | 151 | | | None. | |
| | Roger B. Vincent
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 72 | | | Trustee | | | January 1994 – Present | | | Retired. | | | 151 | | | None. | |
| | Trustee who is an “interested person”: | | | | | |
| | Shaun P. Mathews(3)
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | Trustee | | | November 2007 – Present | | | President and Chief Executive Officer, Voya Investments, LLC (December 2006 – Present). | | | 151 | | | Voya Capital Corporation, LLC and Voya Investments Distributor, LLC (December 2005 – Present); Voya Funds Services, LLC, Voya Investments, LLC and Voya Investment Management (March
2006 – Present); and Voya Investment Trust Co. (April 2009 – Present). | |
(1)
Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees).
(2)
For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Government Money Market Portfolio; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya International High Dividend Equity Income Fund; Voya Investors Trust; Voya Mutual Funds; Voya Natural Resources Equity Income Fund; Voya Partners, Inc.; Voya Prime Rate Trust; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Series Fund, Inc.; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2018.
(3)
Mr. Mathews is deemed to be an “interested person” of the Trust as defined in the 1940 Act, because of his current affiliation with the Voya funds, Voya Financial, Inc. or Voya Financial, Inc.’s affiliates.
*
Effective December 31, 2017, Peter S. Drotch retired as a Trustee of the Board.
TRUSTEE AND OFFICER INFORMATION (Unaudited) (continued)
| Name, Address and Age | | | Position(s) Held
With the Trust | | | Term of Office and
Length of Time Served(1) | | | Principal Occupation(s) – During the Past 5 Years | |
Shaun P. Mathews
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | President and Chief Executive Officer | | | November 2006 – Present | | | President and Chief Executive Officer, Voya Investments, LLC (December 2006 – Present). | |
Michael J. Roland
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | Executive Vice President | | | March 2003 – Present | | | Managing Director and Chief Operating Officer, Voya Investments, LLC and Voya Funds Services, LLC (March 2012 – Present). Formerly, Chief Compliance Officer, Directed Services LLC and Voya Investments, LLC (March 2011 – December 2013). | |
Stanley D. Vyner
230 Park Avenue
New York, New York 10169
Age: 67 | | | Executive Vice President
Chief Investment Risk Officer | | | March 2003 – Present
September 2009 – Present | | | Executive Vice President, Voya Investments, LLC (July 2000 – Present) and Chief Investment Risk Officer, Voya Investments, LLC (January 2003 – Present). | |
Kevin M. Gleason
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 51 | | | Chief Compliance Officer | | | February 2012 – Present | | | Senior Vice President, Voya Investment Management and Chief Compliance Officer, Voya Family of Funds (February 2012 – Present). | |
Todd Modic
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | | | March 2005 – Present | | | Senior Vice President, Voya Investments, LLC and Voya Funds Services, LLC (April 2005 – Present). | |
Kimberly A. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 53 | | | Senior Vice President | | | November 2003 – Present | | | Senior Vice President, Voya Investments, LLC (September 2003 – Present). | |
Robert Terris
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 47 | | | Senior Vice President | | | May 2006 – Present | | | Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015 – Present) and Voya Funds Services, LLC (March 2006 – Present). | |
Fred Bedoya
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 45 | | | Vice President and Treasurer | | | September 2012 – Present | | | Vice President, Voya Investments, LLC (October 2015 – Present) and Voya Funds Services, LLC (July 2012 – Present). | |
Maria M. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | Vice President | | | September 2004 – Present | | | Vice President, Voya Investments, LLC (October 2015 – Present) and Voya Funds Services, LLC (September 2004 – Present). | |
Lauren D. Bensinger
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | Vice President | | | February 2003 – Present | | | Vice President, Voya Funds Services, LLC (February 1996 – Present) and Voya Investments, LLC (October 2004 – Present); Vice President and Anti-Money Laundering Officer, Voya Investments Distributor, LLC (April 2010 – Present). Anti-Money Laundering Officer, Voya Financial, Inc. (January 2013 – Present); and Anti-Money Laundering Officer, Voya Investment Management Trust Co. (October 2012 – Present). | |
TRUSTEE AND OFFICER INFORMATION (Unaudited) (continued)
| Name, Address and Age | | | Position(s) Held
With the Trust | | | Term of Office and
Length of Time Served(1) | | | Principal Occupation(s) – During the Past 5 Years | |
Sara M. Donaldson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 58 | | | Vice President | | | September 2014 – Present | | | Vice President, Voya Investments, LLC (October 2015 – Present). Formerly, Vice President, Voya Funds Services, LLC (April 2014 – October 2015). Formerly, Director, Compliance, AXA Rosenberg Global Services, LLC (September 1997 – March 2014). | |
Micheline S. Faver
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 40 | | | Vice President | | | September 2016 – Present | | | Vice President, Head of Fund Compliance, Voya Investments LLC, and Chief Compliance Officer for Voya Investments, LLC and Directed Services, LLC (June 2016 – Present). Formerly, Vice President, Mutual Fund Compliance (March 2014 – June 2016); Assistant Vice President, Mutual Fund Compliance (May 2013 – March 2014); Assistant Vice President, Senior Project Manager (May 2008 – May 2013). | |
Robyn L. Ichilov
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | Vice President | | | November 1999 – Present | | | Vice President, Voya Funds Services, LLC (November 1995 – Present) and Voya Investments, LLC (August 1997 – Present). | |
Jason Kadavy
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 41 | | | Vice President | | | September 2012 – Present | | | Vice President, Voya Investments, LLC (October 2015 – Present) and Voya Funds Services, LLC (July 2007 – Present). | |
Kimberly K. Springer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | Vice President | | | March 2006 – Present | | | Vice President – Mutual Fund Product Development, Voya Investments, LLC (July 2012 – Present); Vice President, Voya Family of Funds (March 2010 – Present) and Vice President, Voya Funds Services, LLC (March 2006 – Present). | |
Craig Wheeler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 48 | | | Vice President | | | May 2013 – Present | | | Vice President – Director of Tax, Voya Investments, LLC (October 2015 – Present). Formerly, Vice President – Director of Tax, Voya Funds Services, LLC (March 2013 – October 2015). Formerly, Assistant Vice President – Director of Tax, Voya Funds Services, LLC (March 2008 – February 2013). | |
Huey P. Falgout, Jr.
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 54 | | | Secretary | | | August 2003 – Present | | | Senior Vice President and Chief Counsel, Voya Investment Management – Mutual Fund Legal Department (March 2010 – Present). | |
Paul A. Caldarelli
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 66 | | | Assistant Secretary | | | June 2010 – Present | | | Vice President and Senior Counsel, Voya Investment Management – Mutual Fund Legal Department (March 2010 – Present). | |
Theresa K. Kelety
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 55 | | | Assistant Secretary | | | August 2003 – Present | | | Vice President and Senior Counsel, Voya Investment Management – Mutual Fund Legal Department (March 2010 – Present). | |
(1)
The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified.
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited)
BOARD CONSIDERATION AND APPROVAL OF INVESTMENT MANAGEMENT CONTRACTS AND
SUB-ADVISORY CONTRACTS
At a meeting held on November 16, 2017, the Board, including a majority of the Independent Trustees, considered and approved the renewal of the investment management contracts (the “Management Contracts”) between Voya Investments, LLC (the “Manager”) and Voya Investors Trust (the “Trust”), on behalf of Voya High Yield Portfolio, Voya Large Cap Growth Portfolio, Voya Large Cap Value Portfolio, Voya Limited Maturity Bond Portfolio, Voya Multi-Manager Large Cap Core Portfolio, Voya U.S. Stock Index Portfolio, VY® Clarion Real Estate Portfolio, VY® Franklin Income Portfolio, VY® JPMorgan Small Cap Core Equity Portfolio, and VY® Templeton Global Growth Portfolio, each a series of the Trust (the “Portfolios”), and the sub-advisory contracts (the “Sub-Advisory Contracts”) with the sub-advisers to each Portfolio (the “Sub-Adviser”), for an additional one year period ending November 30, 2018. In determining to renew such contracts, the Board took into account information furnished to it throughout the year at meetings of the Board and its committees, including regarding performance, expenses, and other matters.
In addition to the Board meeting on November 16, 2017, the Independent Trustees also held meetings outside the presence of personnel representing the Manager or Sub-Advisers (collectively, such persons are referred to herein as “Management”) on October 12, 2017, and November 14, 2017, specifically to review and consider materials related to the proposed continuance of each Management Contract and Sub-Advisory Contract that they believed to be relevant to the renewal of the Management Contracts and Sub-Advisory Contracts in light of the legal advice furnished to them by K&L Gates LLP, their independent legal counsel, and their own business judgment. Subsequent references herein to factors considered and determinations made by the Independent Trustees and/or the Board include, as applicable, factors considered and determinations made at those meetings by the Independent Trustees. While the Board considered the renewal of the management contracts and sub-advisory contracts for all of the applicable investment companies in the Voya family of funds at the same meetings, the Board considered each Voya fund’s investment management and sub-advisory relationships separately.
The Board follows a structured process pursuant to which it seeks and considers relevant information when it evaluates whether to renew existing investment management and sub-advisory contracts for the Voya funds. The Board has established a Contracts Committee and three Investment Review Committees (the “IRCs”),
each of which includes only Independent Trustees as members. The Contracts Committee provides oversight with respect to the management and sub-advisory contracts approval and renewal process, and each IRC provides oversight throughout the year regarding the investment performance of the sub-advisers, as well as the Manager’s role in monitoring the sub-advisers, with respect to each Voya fund that is assigned to that IRC.
The Contracts Committee oversees, and annually recommends Board approval of updates to, a methodology guide for the Voya funds (“Methodology Guide”). The Methodology Guide sets out a framework pursuant to which the Independent Trustees request, and management provides, certain information that the Independent Trustees deem to be important or potentially relevant. The Independent Trustees retain the services of an independent consultant with experience in the mutual fund industry to assist the Contracts Committee in developing and recommending to the Board: (1) a selected peer group of investment companies for each Portfolio (“Selected Peer Group”) based on that Portfolio’s particular attributes, such as fund type and size, fund category (as determined by Morningstar, Inc., an independent provider of mutual fund data (“Morningstar”)), sales channels and structure and the Portfolio share class being compared to the Selected Peer Group, and (2) updates to the Methodology Guide with respect to the content and format of various data including, but not limited to, investment performance, fee structure, and expense information prepared in connection with the renewal process.
Provided below is an overview of certain material factors that the Board considered at its meetings regarding the renewal of the Management Contracts and Sub-Advisory Contracts and the compensation to be paid thereunder. Board members did not identify any particular information or factor that was overarching, and each Board member may have accorded different weight to the various factors in reaching his or her conclusions with respect to each Portfolio’s investment management and sub-advisory arrangements.
Nature, Extent and Quality of Services
The Manager oversees, subject to the authority of the Board, the provision of all investment advisory and portfolio management services for the Portfolios, but may delegate certain of these responsibilities to one or more sub-advisers. In addition, the Manager provides administrative services reasonably necessary for the operation of the Portfolios as set forth in the Management Contracts, including oversight of the Portfolios’ operations and risk management and the oversight of their various other service providers.
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
The Board considered the “manager-of-managers” platform of the Voya funds that has been developed by the Manager pursuant to which the Manager selects, subject to the Board’s approval, experienced sub-advisers to provide day-to-day management services to all or a portion of each Voya fund. The Board recognized that the Manager is responsible for monitoring the investment program, performance, developments, ongoing operations, and regulatory compliance of the Sub-Advisers with respect to the Portfolios under this manager-of-managers arrangement. The Board also considered the techniques and resources that the Manager has developed to provide this ongoing oversight and due diligence with respect to the sub-advisers and to advocate or recommend, when it believes appropriate, changes in investment strategies or investment sub-advisers designed to assist in improving a Voya fund’s performance. The Board was advised that, in connection with the Manager’s performance of these duties, the Manager has developed an oversight process formulated by its Manager Research & Selection Group which reviews, among other matters, performance data, each Sub-Adviser’s management team, portfolio data and attribution analysis related to each Sub-Adviser through various means, including, but not limited to, in-person meetings, on-site visits, and telephonic meetings with the Sub-Adviser.
Further, the Board considered periodic compliance reports it receives from the Trust’s Chief Compliance Officer evaluating whether the regulatory compliance systems and procedures of the Manager and the Sub-Advisers are reasonably designed to ensure compliance with the federal securities laws and whether the investment policies and restrictions for each Portfolio are consistently complied with, and other periodic reports covering related matters.
The Board considered the portfolio management team assigned by the Sub-Advisers to the Portfolios and the level of resources committed to the Portfolios (and other relevant funds in the Voya funds) by the Manager and the Sub-Advisers, and whether those resources are sufficient to provide high-quality services to the Portfolios.
Based on their deliberations and the materials presented to them, the Board concluded that the nature, extent and quality of the overall services provided by the Manager and each Sub-Adviser under the Management Contracts and Sub-Advisory Contracts were appropriate.
Portfolio Performance
In assessing investment management and sub-advisory relationships, the Board placed emphasis on the investment returns of each Portfolio, including its investment performance over certain time periods compared to the Portfolio’s Morningstar category, Selected
Peer Group and primary benchmark. With respect to Voya Multi-Manager Large Cap Core Portfolio, the Board also reviewed the performance of the Portfolio assets allocated by the Manager to each Sub-Adviser. With respect to the Voya U.S. Stock Index Portfolio, which seeks investment results corresponding to the performance of the S&P 500 Index, the Board focused on the reasonableness of the difference between the Portfolio’s net performance and the total return of such index during these time periods, but also considered the performance the Portfolio relative to the Morningstar category and Selected Peer Group. In addition, the Board considered the investment performance of Voya Limited Maturity Bond Portfolio compared to an additional performance peer group that was approved by the Portfolio’s IRC due to the unique investment structure or strategy of the Portfolio. The Board also considered information from the Manager Research & Selection Group and received reports summarizing a separate analysis of each Portfolio’s performance and risk, including risk-adjusted investment return information, by the Trust’s Chief Investment Risk Officer.
Economies of Scale
When evaluating the reasonableness of management fee schedules, the Board considered whether economies of scale have been or likely will be realized by the Manager and the Sub-Advisers as a Portfolio grows larger and the extent to which any such economies are reflected in contractual fee schedules. In this regard, the Board noted any breakpoints in management fee schedules that will result in a lower management fee rate when a Portfolio achieves sufficient asset levels to receive a breakpoint discount. The Board also considered that, in addition to the management fee breakpoints, the Portfolios may have fee waiver and/or expense reimbursement arrangements. The Board considered the extent to which economies of scale realized by the Manager or the Sub-Advisers could be shared with each Portfolio through such fee waivers, expense reimbursements or other expense reductions. In evaluating these matters, the Independent Trustees also considered periodic management reports, Selected Peer Group comparisons, and industry information regarding economies of scale. In the case of sub-advisory fee rates, the Board considered that breakpoints would inure to the benefit of the Manager.
Information Regarding Services to Other Clients
The Board considered information regarding the nature of services, performance, and fee schedules offered by the Manager and the Sub-Advisers to other clients with similar investment objectives, if applicable, including other registered investment companies and relevant institutional accounts. When the fee schedules offered to or the
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
performance of other clients differed materially from a Portfolio, the Board took into account the underlying rationale provided by the Manager or the Sub-Adviser, as applicable, for these differences. For the non-Voya-affiliated Sub-Advisers, the Board viewed the information related to any material differences in the fee schedules as not being a key factor in its deliberations because of the arm’s-length nature of negotiations between the Manager and non-Voya-affiliated Sub-Advisers with respect to sub-advisory fee schedules. The Board also considered that the fee schedules charged to the Portfolios and other institutional clients of the Manager or the Sub-Advisers (including other investment companies) and the performance of the Portfolios and the other accounts, as applicable, may differ materially due to, among other reasons: differences in services; different regulatory requirements associated with registered investment companies; market differences in fee schedules that existed when a Portfolio first was organized; differences in the original sponsors; investment capacity constraints that existed when certain contracts were first agreed upon or that might exist at present; and different pricing structures that are necessary to be competitive in different marketing channels.
Fee Schedules, Profitability, and Fall-out Benefits
The Board reviewed and considered the contractual management fee schedule payable by each Portfolio to the Manager compared to the Portfolio’s Selected Peer Group and which additional services the Manager pays for on behalf of each applicable Portfolio under the “bundled fee” arrangement in return for a single management fee rate (“Unified Fee Structure”). The Board also considered the contractual sub-advisory fee schedule payable by the Manager to each Sub-Adviser for sub-advisory services for each Portfolio, including the portion of the contractual management fee rates that are paid to each Sub-Adviser, as compared to the portion retained by the Manager. In addition, the Board considered any fee waivers, expense limitations, and/or recoupment arrangements that apply to the fees payable by the Portfolios, including whether the Manager intends to propose any changes thereto. For each Portfolio, the Board separately determined that the fees payable to the Manager and the fee schedule payable to each Sub-Adviser are reasonable for the services that each performs, which were considered in light of the nature, extent and quality of the services that each has performed and is expected to perform.
For each Portfolio, the Board considered information on revenues, costs and profits or losses realized by the Manager and the Voya-affiliated Sub-Adviser. In analyzing the profitability of the Manager and its affiliated service providers in connection with services they render to a
Portfolio, the Board took into account the sub-advisory fee rate payable by the Manager to each Sub-Adviser. The Board also considered the profitability of the Manager and its affiliated Sub-Adviser attributable to servicing each Portfolio both with and without taking into account the profitability of the distributor of the Portfolios and both before and after giving effect to any expenses incurred by the Manager or the affiliated Sub-Adviser in making payments to affiliated insurance companies. The Board did not request profitability data from the Sub-Advisers that were not affiliated with the Manager because the Board did not view this data as being a key factor to its deliberations given the arm’s-length nature of the relationship between the Manager and these non-Voya-affiliated Sub-Advisers with respect to the negotiation of sub-advisory fee schedules. In addition, the Board noted that non-Voya-affiliated sub-advisers may not account for their profits on an account-by-account basis and those that do typically employ different methodologies in connection with these calculations.
Although the Methodology Guide establishes a framework for profit calculation, the Board recognized that there is no uniform methodology within the asset management industry for determining profitability for this purpose. The Board also recognized that the use of different reasonable methodologies can give rise to dramatically different reported profit and loss results with respect to the Manager and the Voya-affiliated Sub-Adviser, as well as other industry participants with whom the profits of the Manager and its affiliated Sub-Adviser could be compared. In addition, the Board recognized that Management’s calculations regarding its costs incurred in establishing the infrastructure necessary for the Portfolios’ operations may not be fully reflected in the expenses allocated to each Portfolio in determining profitability, and that the information presented may not portray all of the costs borne by the Manager or reflect all risks, including entrepreneurial, regulatory, legal and operational risks, associated with offering and managing a mutual fund complex in the current regulatory and market environment.
The Board also considered that the Manager is entitled to earn a reasonable level of profits for the services that it provides to the Portfolios. The Board also received information regarding the potential fall-out benefits to the Manager and Sub-Advisers and their respective affiliates from their association with the Portfolios, including their ability to engage in soft-dollar transactions on behalf of the Portfolios. Following its reviews, the Board determined that the Manager’s, and the Voya-affiliated Sub-Adviser’s profitability with respect to their services to the Portfolios and the Manager and Sub-Advisers’ potential fall-out benefits were not unreasonable.
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
Portfolio-by-Portfolio Analysis
Set forth below are certain of the specific factors that the Board considered, and the conclusions reached, at its October 12, 2017, November 14, 2017, and/or November 16, 2017 meetings in relation to approving each Portfolio’s Management Contracts and Sub-Advisory Contracts. These specific factors are in addition to those considerations discussed above. In each case, each Portfolio’s performance was compared to its Morningstar category, as well as its primary benchmark, a broad-based securities market index that appears in the Portfolio’s prospectus. With respect to Morningstar quintile rankings, the first quintile represents the highest (best) performance and the fifth quintile represents the lowest performance. The performance data provided to the Board primarily was for various periods ended March 31, 2017. In addition, the Board also considered at its October 12, 2017, November 14, 2017, and November 16, 2017 meetings certain additional data regarding performance and Portfolio asset levels and flows as of August 31, 2017, and September 30, 2017. Each Portfolio’s management fee rate and expense ratio were compared to the fees and expense ratios of the funds in its Selected Peer Group.
Voya High Yield Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya High Yield Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented, with the exception of the year-to-date period, during which it underperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the three-year and ten-year periods, the second quintile for the five-year period, and the third quintile for the year-to-date and one-year periods.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a breakpoint fee schedule where the asset level necessary to achieve a breakpoint discount had not been reached by the Portfolio; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is below the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Voya Large Cap Growth Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya Large Cap Growth Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented; (2) the Portfolio underperformed its primary benchmark for all periods presented, with the exception of the year to date and ten-year periods, during which it outperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the three-year and ten-year periods, the second quintile for the year-to-date and five-year periods, and the third quintile for the one-year period.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is above the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is above the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding the competitiveness of the Portfolio’s management fee rate and net expense ratio.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Voya Large Cap Value Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya Large Cap Value Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for the year-to-date and one-year periods, and underperformed for the three-year and five-year periods; (2) the Portfolio outperformed its primary benchmark for the year-to-date and one-year periods, and underperformed for the three-year and five-year periods; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the year-to-date and one-year periods, and the third quintile for the three-year and five-year periods.
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of security selection, sector allocation and allocation to cash on the Portfolio’s performance; (2) Management’s discussion of the Portfolio’s favorable performance during certain periods; and (3) Management’s confidence in the Sub-Adviser’s ability to execute the Portfolio’s investment objective.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is above the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s discussion of fee waivers and/or reimbursements, which lower the Portfolio’s net effective management fee rate.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Voya Limited Maturity Bond Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya Limited Maturity Bond Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented, with the exception of the three-year period, during which it outperformed; (2) the Portfolio outperformed its primary benchmark for all periods presented, with the exception of the ten-year period, during which it underperformed; and (3) the Portfolio is ranked in the third quintile of its Morningstar category for all periods presented.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is below the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Voya Multi-Manager Large Cap Core Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya Multi-Manager Large Cap Core Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented, with the exception of the year-to-date and three-year periods, during which it outperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the second quintile of its Morningstar category for the year-to-date and three-year periods, and the fourth quintile for the one-year, five-year and ten-year periods.
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of selection and sector allocation on the Portfolio’s performance during certain periods; (2) Management’s discussion of the Portfolio’s favorable performance during certain periods; (3) Management’s confidence in the Portfolio’s Sub-Advisers; and (4) Management’s expectation that longer-term performance will improve.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a breakpoint fee schedule where the asset level necessary to achieve a breakpoint discount had not been reached by the Portfolio; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is below the median and above the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding the expense borne by the Manager for the provision of services, such
as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Portfolio’s Unified Fee Structure.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to each Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Voya U.S. Stock Index Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya U.S. Stock Index Portfolio, the Board considered the difference between the Portfolio’s performance and the performance of its index, the S&P 500 Index, and Management’s representations regarding such difference. The Board also considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented; (2) the Portfolio underperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the three-year period, the second quintile for the year-to-date, five-year and ten-year periods, and the third quintile for the one-year period.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a level fee rate that does not include breakpoints; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is above the median and below the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding: (1) the expense borne by the Manager for the provision of services, such
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
as transfer agency, custody, accounting and legal services, pursuant to the Portfolio’s Unified Fee Structure; and (2) the competitiveness of the Portfolio’s management fee rate and net expense ratio.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Clarion Real Estate Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® Clarion Real Estate Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented, with the exception of the ten-year period, during which it outperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the second quintile of its Morningstar category for the ten-year period, the third quintile for the year-to-date and five-year periods, the fourth quintile for the three-year period, and the fifth (lowest) quintile for the one-year period.
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of factors, such as security selection and market conditions, on the Portfolio’s performance; (2) Management’s discussion of investment process changes recently implemented by the Sub-Adviser that are designed to enhance performance; (3) Management’s confidence in the Sub-Adviser’s ability to execute the Portfolio’s investment program; and (4) that Management will continue to monitor, and the Board or its IRC will periodically review, the Portfolio’s performance.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the
pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is above the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board considered Management’s discussion of fee waivers and/or reimbursements which lower the Portfolio’s net effective management fee rate.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Franklin Income Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® Franklin Income Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented, with the exception of the three-year period, during which it underperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented, with the exception of the one-year period, during which it outperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the one-year period, the second quintile for the five-year and ten-year periods, the third quintile for the year-to-date period, and the fourth quintile for the three-year period.
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of sector allocation on the Portfolio’s performance; and (2) Management’s discussion of the Portfolio’s favorable performance during certain periods.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a breakpoint fee schedule where the asset level necessary to achieve a breakpoint discount had not been reached by the Portfolio; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee for the Portfolio is above the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account: (1) Management’s discussion of fee waivers and/or reimbursements, which lower the Portfolio’s net effective management fee rate; and (2) that, as directed by the Board during the 2016 annual contract renewal cycle, lower expense limits were implemented for the Portfolio, effective January 1, 2017.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® JPMorgan Small Cap Core Equity Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® JPMorgan Small Cap Core Equity Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented; (2) the Portfolio outperformed its primary benchmark for all periods presented, with the exception of the one-year period, during which it underperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the one- year, three-year, five-year and ten-year periods, and the second quintile for the year-to-date period.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board
took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is above the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account Management’s representations regarding: (1) the expense borne by the Manager for the provision of services, such as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Unified Fee Structure; and (2) the competitiveness of the Portfolio’s management fee rate.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Templeton Global Growth Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® Templeton Global Growth Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented, with the exceptions of the one-year and five-year periods, during which it outperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented, with the exception of the one-year period, during which it outperformed; and (3) the Portfolio is ranked in the first (highest) quintile of its Morningstar category for the one-year period, the second quintile for the five-year period, the fourth quintile for the year-to-date and ten-year periods, and the fifth (lowest) quintile for the three-year period.
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (Unaudited) (continued)
In analyzing this performance data, the Board took into account: (1) Management’s representations regarding the impact of the Portfolio’s value investing focus, security selection and sector allocation on the Portfolio’s performance; (2) Management’s discussion regarding the differences between the investment exposure of the Portfolio and the Morningstar category funds; and (3) Management’s discussion of the Portfolio’s favorable performance during certain periods.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a breakpoint fee schedule where the asset level necessary to achieve a breakpoint discount had not been reached by the Portfolio; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is above the median and the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is above the median and the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account: (1) the expense borne by the Manager for the provision of
services, such as transfer agency, custody, accounting and legal services, to the Portfolio pursuant to the Portfolio’s Unified Fee Structure; (2) Management’s representations regarding the competiveness of the Portfolio’s management fee rate and expense ratio when compared to peers identified by Management; (3) Management’s discussion of fee waivers and/or reimbursements, which lower the Portfolio’s net effective management fee rate; and (4) that, as directed by the Board during the 2016 annual contract renewal cycle, expense limits were implemented for the Portfolio, effective January 1, 2017.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Independent Registered Public Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
voyainvestments.com
VPAR-VIT2AISS2 (1217-022118)
Annual Report
December 31, 2017
Voya Investors Trust
| n | VY® BlackRock Inflation Protected Bond Portfolio |
| | Classes ADV, I and S |
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| Voya Variable Insurance Trust |
| n | VY® Goldman Sachs Bond Portfolio |
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. |
| | |
| | |
| INVESTMENT MANAGEMENT | |
| voyainvestments.com | |
TABLE OF CONTENTS
| President’s Letter | | | | | 1 | |
| Market Perspective | | | | | 2 | |
| Portfolio Managers’ Reports | | | | | 4 | |
| Shareholder Expense Examples | | | | | 8 | |
| Report of Independent Registered Public Accounting Firm | | | | | 9 | |
| Statements of Assets and Liabilities | | | | | 10 | |
| Statements of Operations | | | | | 12 | |
| Statements of Changes in Net Assets | | | | | 13 | |
| Financial Highlights | | | | | 14 | |
| Notes to Financial Statements | | | | | 15 | |
| Summary Portfolios of Investments (“Portfolio of Investments”) | | | | | 31 | |
| Tax Information | | | | | 61 | |
| Trustee and Officer Information | | | | | 62 | |
| Advisory and Sub-Advisory Contract Approval Discussion | | | | | 66 | |
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 the 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, D.C., 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.
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PRESIDENT’S LETTER
After a Strong Year, Positive Expectations Dear Shareholder,
The U.S. equity market proved resilient throughout 2017, posting a “perfect pitch” year with not one single month of negative returns. A lot of chatter in the markets has focused on the low levels of volatility that prevailed in 2017, and whether 2018 will be the year that volatility returns (witness early February markets). As usual there are also any number of geopolitical or other risks that could cause a sell-off, but we are heartened by the reality of macroeconomic fundamentals, which include strong and synchronous global growth; we believe these would likely be a governor on a rise in volatility.
We believe the United States, Europe and China will continue to dominate the world economy in 2018. Combined, the three account for about $48 trillion of GDP, more than 60% of the $79 trillion global GDP produced each year. And the rest of the world still has its own positive backdrop: The International Monetary Fund projects that 185 of 190 national economies will grow in 2018.
While economic growth may be synchronous across the globe, it is not likely to be uniform — thus, broad global diversification across continents and asset classes remains important for positioning your portfolio to benefit from potential opportunities. Regardless of where individual markets are in their business cycles, we believe investors are best served by following their asset allocation plan and avoiding the temptation to time entry or exit points.
If your goals have changed, thoroughly discuss them with your investment advisor before making any changes to your investment strategy. We seek to remain 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,
Shaun Mathews
President and Chief Executive Officer
Voya Family of Funds
January 19, 2018
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: YEAR ENDED DECEMBER 31, 2017
In our semi-annual report we described how global equities, in the form of the MSCI World IndexSM (the “Index”), measured in local currencies, including net reinvested dividends, rose 8.25%, carried higher in what seemed to be the path of least resistance. Investor sentiment was still trying to come to terms with the unexpected result of the U.S. presidential election. For this and perhaps more importantly, other reasons, the Index continued its advance, rising in every month, to end up 18.48% for the fiscal year. (The Index returned 22.40% for the year ended December 31, 2017, measured in U.S. dollars.)
By mid-year most commentators had largely discounted a reflation trade driven by U.S. legislative initiatives. But this did not mean that such initiatives were dead; just that the credibility of anything market friendly coming out of them had fallen very low. The President had said on February 9 that he would announce his pro-growth tax reform plan in the coming weeks. Nothing solid had emerged and by early July the Senate was still pre-occupied with the Affordable Care Act (“ACA”), desperately trying to pass any version of a repeal and replace bill. Such attempts finally foundered in the early hours of July 28.
But investors could still take comfort in a narrative of improving global growth and corporate earnings, with monetary conditions still historically easy, to underpin the prices of risk assets. The evidence was there to see. In August the Wall Street Journal observed that the prices of base metals had recently hit multi-year highs, inferring that investors were increasingly bullish on global growth, and later noted that every country tracked by the Organization for Economic Cooperation and Development was set to grow in 2017.
In the euro zone, unemployment ended November at 8.8%, the lowest since January 2009. Gross domestic product (“GDP”) grew 2.5% year-over-year in the third quarter of 2017, slightly higher than the U.S. (2.3%). The European Central Bank finally confirmed that monthly bond purchases would be halved to €30 billion in 2018. The region’s Economic Sentiment Indicator ended the period at the highest since 2000.
China’s GDP growth in the second quarter of 2017 was a healthy 6.9% year-over-year and 6.8% in the third. Imports were continuing to grow at double-digit year-over-year rates, supporting global demand. Excessive debt remained a problem in financial markets, however. In November the authorities announced curbs on leverage in asset management products and promises of guaranteed returns.
Even Japan contributed some good news with GDP rising in the third quarter of 2017 for the seventh straight quarter.
In the U.S., the Federal Reserve (“Fed”) added 25bp (0.25%) to the federal funds rate in March and did so again in June. But areas of sluggishness, like low core consumer price inflation and wage growth persisted into September, which started with devastating hurricanes and rising geo-political tensions with North Korea. Some commentators suggested that the Fed might be done for the year.
However, the hurricanes subsided, geo-political tensions cooled and yet another forlorn attempt to replace the ACA was shrugged off. The December employment report showed the unemployment rate barely above 4%, near the lowest since February 2001. Third quarter GDP growth was reported at 3.2% (annualized) after 3.1% in the second. The outline of a long-awaited pro-growth tax reform program was finally announced, although moving day by day to bring
recalcitrant senators on board. For investors, its key feature was a reduction in the corporate tax rate to 21%, which many believed would be used to increase share buy-backs and dividends. The Fed duly raised the federal funds rate by another 25bp (0.25%) in December and the tax bill was signed into law on December 22.
In U.S. fixed income markets, the Bloomberg Barclays U.S. Aggregate Bond Index (“Barclays Aggregate”) added 3.54% in the fiscal year. The Treasury yield curve became flatter, with yields on maturities up to about nine years rising and those on longer maturities falling. Thus the Bloomberg Barclays U.S. Treasury Bond Index rose 2.31% while the Bloomberg Barclays Long-Term U.S. Treasury sub-index gained 8.53%. Indices of riskier classes generally outperformed Treasuries: the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index climbed 6.42%, the Bloomberg Barclays High-Yield Bond — 2% Issuer Constrained Composite Index (not a part of the Barclays Aggregate) rose 7.50%.
U.S. equities, represented by the S&P 500® Index including dividends, surged 21.83% in 2017. The earnings per share of its constituent companies grew 6.4% year-over-year in the third quarter of 2017, after two quarters of double-digit gains. Technology was the leader, soaring 38.83%. Telecommunications and energy were the laggards, falling 1.25% and 1.01% respectively. Index companies thought to offer comparatively good earnings growth outperformed those considered to offer comparatively good value by more than 12%.
In currencies, the dollar fell 12.37% against the euro, 8.63% against the pound, reflecting some dissipation of the post-election reflation euphoria. In the meantime, the euro zone’s prospects had improved, while some of the panic over Brexit had faded. The dollar slipped 3.65% against the yen, moving within a narrow trading range for most of the year.
In international markets, the MSCI Japan® Index jumped 19.75% over the year, in an environment of improving corporate governance and profitability, with little competition from fixed income investments. The MSCI Europe ex UK® Index rose 13.59%. Aside from the positive developments noted above, corporate earnings were improving and political fears were assuaged by the election of a centrist President in France. But gains were muted by the strengthening euro. The MSCI UK® Index rose 11.94%. GDP growth was down to 0.4% in each of the middle two quarters, Brexit negotiations were slow and inconclusive and we believe by year end it was abundantly clear that the UK’s position was very weak.
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 |
|---|
| Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index | | | | An 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. |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | | An index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. |
| Bloomberg Barclays U.S. Corporate Investment Grade Bond Index | | | | An index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. |
| Bloomberg Barclays Long-Term U.S. Treasury Index | | | | This index measures the performance of U.S. Treasury bills with long-term maturity. The credit level for this index is investment grade. The rebalance scheme is monthly. |
| Bloomberg 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. |
| Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index | | | | A market index comprised of all U.S. Treasury Inflation Linked Securities. |
| MSCI Europe ex UK® Index | | | | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. |
| MSCI Japan® Index | | | | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. |
| MSCI UK® Index | | | | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. |
MSCI World IndexSM | | | | An 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 index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. |
3
VY® BLACKROCK INFLATION PROTECTED
BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation
as of December 31, 2017
(as a percentage of net assets) |
| U.S. Treasury Obligations | | | | | 53.3 | % |
| Corporate Bonds/Notes | | | | | 25.4 | % |
| U.S. Government Agency Obligations | | | | | 13.6 | % |
| Foreign Government Bonds | | | | | 6.1 | % |
| Purchased Options | | | | | 0.3 | % |
| Assets in Excess of Other Liabilities* | | | | | 1.3 | % |
| Net Assets | | | | | 100.0 | % |
| * Includes short-term investments. | | | | | | |
| Portfolio holdings are subject to change daily. |
VY® BlackRock Inflation Protected Bond Portfolio (the “Portfolio”) seeks to maximize real return, consistent with preservation of real capital and prudent investment management. The Portfolio is managed by Chris Allen, Managing Director*and Martin Hegarty, Managing Director, Portfolio Managers of BlackRock Financial Management, Inc. — the Sub-Adviser.
Performance: For the year ended December 31, 2017, the Portfolio’s Class I shares provided a total return of 2.72% compared to the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (“TIPS”) Index, which returned 3.01% for the same period.
Portfolio Review: Global growth across the U.S. and Europe was a driving story of 2017. The U.S. Federal Reserve Board hiked interest rates three times over the year and is expected to continue in 2018 under the new leadership of Jerome Powell. The TIPS Index registered positive absolute performance as real yields moved slightly lower over the year. Breakevens, after moving lower in the second quarter as inflation data disappointed to the downside, moved higher into year-end on optimism for tax reform. Benchmark 10-year inflation expectations ended the year at 1.98%, one basis point higher than the end of 2016.
In Europe, growth has exceeded expectations. In December, the Bank of England hiked interest rates for the first time in 10 years as inflation runs well above their 2% target. Brexit negotiations remain a risk in the market but impacts are not yet apparent.
Over the year, the Portfolio was generally long breakevens in the U.S. outright and relative to Europe and the UK, and as the year drew to a close, long U.S. breakeven positioning was reduced as levels approached fair value. The Portfolio’s active foreign exchange (“FX”) positioning was tactical in nature mainly employing positions to hedge portfolio risks, especially around near-term headlines, risk events, and the forward evolution of monetary policy.
For performance over the year, the Portfolio’s New Zealand real rate allocation was the main driver of performance. Long U.S. breakeven positioning was a detractor in the second quarter before benefitting performance over the second half of the year. UK positioning benefited performance outright and on a relative basis as the Portfolio was biased towards short real rates and inflation. Additionally, European nominal positioning benefited performance surrounding the French election. Active FX positons detracted from performance.
Top Ten Holdings
as of December 31, 2017
(as a percentage of net assets) |
| United States Treasury Inflation Indexed Bonds, 0.250%, 01/15/25 | | | | | 4.1 | % |
| United States Treasury Inflation Indexed Bonds, 1.375%, 02/15/44 | | | | | 3.7 | % |
| United States Treasury Inflation Indexed Bonds, 0.625%, 01/15/26 | | | | | 3.3 | % |
| United States Treasury Inflation Indexed Bonds, 0.750%, 02/15/42 | | | | | 3.2 | % |
| United States Treasury Inflation Indexed Bonds, 0.125%, 07/15/26 | | | | | 3.0 | % |
| United States Treasury Inflation Indexed Bonds, 0.375%, 07/15/27 | | | | | 2.9 | % |
| Federal Home Loan Banks, 1.375%, 02/18/21 | | | | | 2.9 | % |
| United States Treasury Inflation Indexed Bonds, 0.375%, 07/15/25 | | | | | 2.9 | % |
| United States Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 | | | | | 2.8 | % |
| United States Treasury Inflation Indexed Bonds, 1.750%, 01/15/28 | | | | | 2.6 | % |
| Portfolio holdings are subject to change daily. |
Current Strategy and Outlook: U.S. — Despite recent improvements in U.S. core Consumer Price Index (“CPI”), many idiosyncratic factors have kept inflation below our expectations over 2017. Both firms and households are expecting higher wages, which we believe is a key leading indicator and positive environment for wage growth. We expect base effects to weigh on headline and core inflation in the short term, before reaching ˜2.5% for headline and ˜2.1% core CPI by mid-2018. We favor longer dated inflation expectations in the U.S. outright, but with the majority held against European and UK inflation. We are positioned for front-end real rates to move higher.
Europe (incl. UK) — Within the euro zone, we believe economic data continues to suggest that the European expansion is strong, underlying measures of trend inflation continue to gradually increase, and GDP growth remains above potential. This supports our improved forecast of ˜1.1% core inflation, and ˜1.4% headline inflation by mid-2018, however we are mindful of recent European appreciation. We favor U.S. inflation over European, given the steepness of the European inflation curve. Within the UK, we expect CPI to be nearing its peak having just reached 3.1% Year over Year for November, this strength is largely driven by GBP depreciation and we expect powerful base effects to unfold over 2018, as the currency pass through fades. Given the trajectory of UK inflation, and uncertainty surrounding Brexit negotiations, in our opinion, we find UK real rates over valued.
* Effective March 9, 2017, Gargi Chaudhuri was removed as portfolio manager for the Portfolio and Chris Allen was added as a portfolio manager for the Portfolio.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
4
| PORTFOLIO MANAGERS’ REPORT | VY® BLACKROCK INFLATION PROTECTED
BOND PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | | | 1 Year
| | 5 Year
| | 10 Year
|
|---|
| Class ADV | | | | | 2.16 | % | | | –0.97 | % | | | 2.40 | % |
| Class I | | | | | 2.72 | % | | | –0.37 | % | | | 3.03 | % |
| Class S | | | | | 2.48 | % | | | –0.63 | % | | | 2.74 | % |
| TIPS Index | | | | | 3.01 | % | | | 0.13 | % | | | 3.53 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® BlackRock Inflation Protected Bond Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a
variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
5
| VY® GOLDMAN SACHS BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation
as of December 31, 2017
(as a percentage of net assets) |
| Corporate Bonds/Notes | | | | | 30.3 | % |
| U.S. Government Agency Obligations | | | | | 25.5 | % |
| Asset-Backed Securities | | | | | 18.1 | % |
| U.S. Treasury Obligations | | | | | 14.4 | % |
| Foreign Government Bonds | | | | | 3.5 | % |
| Collateralized Mortgage Obligations | | | | | 2.9 | % |
| Municipal Bonds | | | | | 1.0 | % |
| Structured Products | | | | | 0.8 | % |
| Preferred Stock | | | | | 0.1 | % |
| Assets in Excess of Other Liabilities* | | | | | 3.4 | % |
| Net Assets | | | | | 100.0 | % |
| * Includes short-term investments. | | | | | | |
| | | | | | | |
| Portfolio holdings are subject to change daily. |
VY® Goldman Sachs Bond Portfolio (the “Portfolio”) seeks total return consisting of capital appreciation and income. The Portfolio is managed by Jonathan Beinner and Michael Swell, Portfolio Managers of Goldman Sachs Asset Management, L.P. — the Sub-Adviser.
Performance: For the year-ended December 31, 2017, the Portfolio’s shares provided a total return of 2.93% compared to the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 3.54% for the same period.
Portfolio Review: The Portfolio’s duration and yield curve strategy detracted from performance over the period. The Portfolio maintained a short U.S. interest rates position throughout the majority of the year. The Portfolio’s duration and yield curve strategy is implemented by futures.
The Portfolio’s country strategy detracted from performance, driven by long positions in Canadian and Australian interest rates versus short U.S. interest rates. Long positions in European interest rates versus short U.S. and UK interest rates further detracted from results. The Portfolio’s currency strategy contributed to performance, driven by long positions in the Polish zloty, Czech koruna and Swedish krona. These gains were partially offset by a short position in the euro. The country and currency strategies use swaps, futures and forwards to implement relative value trades.
Cross sector positioning contributed to performance over the period, driven by allocations to collateralized loan obligations (“CLOs”) and government/swaps, as well as an overweight to asset-backed securities (“ABS”). Exposure to residential mortgage credit and government agency debt further contributed to returns. These gains were partially offset by an underweight to corporate credit, agency mortgage backed securities (“MBS”) and emerging market debt. Allocations to commercial mortgage-backed securities (CMBS) further detracted from results.
Top Ten Holdings
as of December 31, 2017*
(as a percentage of net assets) |
| Fannie Mae, 4.500%, 01/01/48 | | | | | 7.9 | % |
United States Treasury Note,
2.125%,07/31/24 | | | | | 5.4 | % |
United States Treasury Note,
2.000%,11/15/26 | | | | | 2.4 | % |
| Ginnie Mae, 4.000%, 03/20/46 | | | | | 2.0 | % |
Kreditanstalt fuer Wiederaufbau,
1.500%, 09/09/19 | | | | | 2.0 | % |
United States Treasury Bond,
2.875%, 11/15/46 | | | | | 1.8 | % |
United States Treasury Note,
2.125%,11/30/24 | | | | | 1.4 | % |
| Ginnie Mae, 4.000%, 10/20/43 | | | | | 1.4 | % |
| Ginnie Mae, 4.000%, 06/20/47 | | | | | 1.4 | % |
| Ginnie Mae, 4.000%, 10/20/45 | | | | | 1.1 | % |
| * Excludes short-term investments. |
| Portfolio holdings are subject to change daily. |
Security selection strategies detracted from performance over the period, driven by selections of Puerto Rican municipal debt, as well as selections of U.S. dollar-denominated Venezuelan debt and short exposure to China through credit default swaps within emerging markets. These losses were partially offset by selections of U.S. government and agency debt within government/swaps. Tactical credit curve positioning further contributed to returns within corporate credit. Within the securitized sector, selections of MBS and CLOs detracted from performance, while selections of ABS contributed to returns.
Current Strategy and Outlook: We believe the global expansion is set to continue in 2018, supported by solid household consumption given labor market strength, an improvement in business investment and still accommodative monetary conditions, as reflected by measures of financial conditions. Forward-looking activity indicators, such as purchasing managers index (PMI) surveys remain, in our opinion, comfortably in expansionary territory for most countries, with notable strength in manufacturing data. We are not yet positioned for moderation, but we do anticipate some pullback in growth from current above-trend levels, and we expect this to be accompanied by higher market volatility. We think the U.S. Federal Reserve Board will raise interest rates three times in 2018, in line with projections provided at the most recent Federal Open Market Committee meeting.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower.
6
| PORTFOLIO MANAGERS’ REPORT | VY® GOLDMAN SACHS BOND PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | | | 1 Year
| | Since Inception
February 20, 2015
|
|---|
| VY® Goldman Sachs Bond Portfolio | | | | | 2.93 | % | | | 2.03 | % |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | | | 3.54 | % | | | 2.18 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® Goldman Sachs Bond Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract and/or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract and/or a variable life insurance policy. The performance shown indicates
past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 992-0180 to get performance through the most recent month end.
It is important to note that the Portfolio has a limited operating history. Performance over a longer period of time may be more meaningful than short-term performance.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
7
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 July 1, 2017 to December 31, 2017. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension, or retirement plan. 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
July 1,
2017
| | Ending
Account
Value
December 31,
2017
| | Annualized
Expense
Ratio
| | Expenses Paid
During the
Period Ended
December 31,
2017*
| | Beginning
Account
Value
July 1,
2017
| | Ending
Account
Value
December 31,
2017
| | Annualized
Expense
Ratio
| | Expenses Paid
During the
Period Ended
December 31,
2017*
|
|---|
| |
VY® BlackRock Inflation Protected Bond Portfolio |
| Class ADV | | | | $ | 1,000.00 | | | $ | 1,017.50 | | | | 1.13 | % | | $ | 5.75 | | | $ | 1,000.00 | | | $ | 1,019.51 | | | | 1.13 | % | | $ | 5.75 | |
| Class I | | | | | 1,000.00 | | | | 1,021.10 | | | | 0.53 | | | | 2.70 | | | | 1,000.00 | | | | 1,022.53 | | | | 0.53 | | | | 2.70 | | |
| Class S | | | | | 1,000.00 | | | | 1,019.20 | | | | 0.78 | | | | 3.97 | | | | 1,000.00 | | | | 1,021.27 | | | | 0.78 | | | | 3.97 | |
| |
VY® Goldman Sachs Bond Portfolio |
| | | | | $ | 1,000.00 | | | $ | 1,005.40 | | | | 0.58 | % | | $ | 2.93 | | | $ | 1,000.00 | | | $ | 1,022.28 | | | | 0.58 | % | | $ | 2.96 | |
| * | | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
8
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
Voya Investors Trust and Voya Variable Insurance Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of VY® BlackRock Inflation Protected Bond Portfolio and VY® Goldman Sachs Bond Portfolio (the “Funds”), each a series of Voya Investors Trust and Voya Variable Insurance Trust, respectively, including the summary portfolios of investments, as of December 31, 2017, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Voya investment companies since 1975.
Boston, Massachusetts
February 22, 2018
9
STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2017
| | | VY®
BlackRock
Inflation
Protected
Bond
Portfolio
| | VY®
Goldman
Sachs Bond
Portfolio
|
ASSETS: | | | | | | | | | | |
| Investments in securities at fair value+* | | | | $ | 428,472,918 | | | $ | 207,630,829 | |
| Short-term investments at fair value** | | | | | 2,640,161 | | | | 15,011,070 | |
| Cash collateral for futures | | | | | 17,671 | | | | 536,069 | |
| Cash pledged for centrally cleared swaps (Note 2) | | | | | 2,280,490 | | | | 1,088,217 | |
| Cash pledged as collateral for OTC derivatives (Note 2) | | | | | — | | | | 10,000 | |
| Foreign currencies at value*** | | | | | 518,650 | | | | 53,082 | |
| Foreign cash collateral for futures**** | | | | | 24,670 | | | | 14,295 | |
| Receivables: | | | | | | | | | | |
| Investment securities sold | | | | | 3,337,357 | | | | 2,849,829 | |
| Investment securities sold on a delayed-delivery or when-issued basis | | | | | — | | | | 2,055,000 | |
| Fund shares sold | | | | | 149,569 | | | | 316,403 | |
| Dividends | | | | | 2,249 | | | | 18,148 | |
| Interest | | | | | 1,932,428 | | | | 1,207,001 | |
| Unrealized appreciation on forward foreign currency contracts | | | | | 135,716 | | | | 1,771,386 | |
| Upfront payments paid on OTC swap agreements | | | | | — | | | | 36,564 | |
| Unrealized appreciation on OTC swap agreements | | | | | 4,586,883 | | | | — | |
| Variation margin receivable on centrally cleared swaps | | | | | 57,558 | | | | 9,795 | |
| Prepaid expenses | | | | | 2,269 | | | | 928 | |
| Reimbursement due from manager | | | | | — | | | | 35,922 | |
| Other assets | | | | | 21,095 | | | | 3,466 | |
| Total assets | | | | | 444,179,684 | | | | 232,648,004 | |
| |
LIABILITIES: | | | | | | | | | | |
| Payable for investment securities purchased | | | | | 3,174,954 | | | | 4,435,000 | |
| Payable for investment securities purchased on a delayed-delivery or when-issued basis | | | | | — | | | | 8,344,609 | |
| Payable for fund shares redeemed | | | | | 116,032 | | | | 138,055 | |
| Payable upon receipt of securities loaned | | | | | — | | | | 816,854 | |
| Sales commitmentsˆˆ | | | | | — | | | | 2,054,011 | |
| Unrealized depreciation on forward foreign currency contracts | | | | | 404,795 | | | | 1,296,378 | |
| Upfront payments received on OTC swap agreements | | | | | — | | | | 1,459 | |
| Unrealized depreciation on OTC swap agreements | | | | | 643,399 | | | | 207,580 | |
| Cash received as collateral for OTC derivatives (Note 2) | | | | | 5,080,000 | | | | 150,000 | |
| Payable for investment management fees | | | | | 178,269 | | | | 91,286 | |
| Payable for distribution and shareholder service fees | | | | | 59,534 | | | | — | |
| Payable to trustees under the deferred compensation plan (Note 6) | | | | | 21,095 | | | | 3,466 | |
| Payable for trustee fees | | | | | 2,429 | | | | 1,090 | |
| Other accrued expenses and liabilities | | | | | 101,248 | | | | 156,439 | |
| Written options, at fair valueˆ | | | | | 276,296 | | | | — | |
| Total liabilities | | | | | 10,058,051 | | | | 17,696,227 | |
NET ASSETS | | | | $ | 434,121,633 | | | $ | 214,951,777 | |
| |
NET ASSETS WERE COMPRISED OF: | | | | | | | | | | |
| Paid-in capital | | | | $ | 503,309,761 | | | $ | 212,441,839 | |
| Undistributed net investment income | | | | | 1,803,729 | | | | 4,441,819 | |
| Accumulated net realized loss | | | | | (79,761,750 | ) | | | (1,702,336 | ) |
| Net unrealized appreciation (depreciation) | | | | | 8,769,893 | | | | (229,545 | ) |
NET ASSETS | | | | $ | 434,121,633 | | | $ | 214,951,777 | |
| | | | | | | | | | |
| + | Including securities loaned at value | | | | $ | — | | | $ | 795,832 | |
| * | Cost of investments in securities | | | | $ | 424,014,571 | | | $ | 207,653,826 | |
| ** | Cost of short-term investments | | | | $ | 2,640,161 | | | $ | 15,011,070 | |
| *** | Cost of foreign currencies | | | | $ | 515,041 | | | $ | 54,235 | |
| **** | Cost of foreign cash collateral for futures | | | | $ | 24,669 | | | $ | 14,295 | |
| ˆ | Premiums received on written options | | | | $ | 1,002,730 | | | $ | — | |
| ˆˆ | Proceeds receivable from sales commitments | | | | $ | — | | | $ | 2,055,000 | |
See Accompanying Notes to Financial Statements
10
STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2017 (CONTINUED)
| | | VY®
BlackRock
Inflation
Protected
Bond
Portfolio
| | VY®
Goldman
Sachs Bond
Portfolio
|
Class ADV | | | | | | | | | | |
| Net assets | | | | $ | 49,768,703 | | | | n/a | |
| Shares authorized | | | | | unlimited | | | | n/a | |
| Par value | | | | $ | 0.001 | | | | n/a | |
| Shares outstanding | | | | | 5,352,639 | | | | n/a | |
| Net asset value and redemption price per share | | | | $ | 9.30 | | | | n/a | |
| | | | | | | | | | | |
Class I | | | | | | | | | | |
| Net assets | | | | $ | 223,462,700 | | | | n/a | |
| Shares authorized | | | | | unlimited | | | | n/a | |
| Par value | | | | $ | 0.001 | | | | n/a | |
| Shares outstanding | | | | | 23,129,440 | | | | n/a | |
| Net asset value and redemption price per share | | | | $ | 9.66 | | | | n/a | |
| | | | | | | | | | | |
Class S | | | | | | | | | | |
| Net assets | | | | $ | 160,890,230 | | | | n/a | |
| Shares authorized | | | | | unlimited | | | | n/a | |
| Par value | | | | $ | 0.001 | | | | n/a | |
| Shares outstanding | | | | | 16,806,337 | | | | n/a | |
| Net asset value and redemption price per share | | | | $ | 9.57 | | | | n/a | |
| | | | | | | | | | | |
Portfolio(1) | | | | | | | | | | |
| Net assets | | | | | n/a | | | $ | 214,951,777 | |
| Shares authorized | | | | | n/a | | | | unlimited | |
| Par value | | | | | n/a | | | $ | 0.001 | |
| Shares outstanding | | | | | n/a | | | | 21,246,103 | |
| Net asset value and redemption price per share | | | | | n/a | | | $ | 10.12 | |
| | | | | | | | | | |
(1) Portfolio does not have a share class designation. | | | | | | | | | | |
See Accompanying Notes to Financial Statements
11
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2017
| | | VY®
BlackRock
Inflation
Protected
Bond
Portfolio
| | VY®
Goldman
Sachs Bond
Portfolio
|
| | | |
|---|
INVESTMENT INCOME: | | | | | | | | | | |
| Dividends | | | | $ | 57,050 | | | $ | 163,904 | |
| Interest, net of foreign taxes withheld* | | | | | 10,019,891 | | | | 5,796,025 | |
| Securities lending income, net | | | | | — | | | | 7,966 | |
| Total investment income | | | | | 10,076,941 | | | | 5,967,895 | |
| |
EXPENSES: | | | | | | | | | | |
| Investment management fees | | | | | 2,529,422 | | | | 1,089,415 | |
| Distribution and shareholder service fees: | | | | | | | | | | |
| Class ADV | | | | | 307,259 | | | | — | |
| Class S | | | | | 440,681 | | | | — | |
| Transfer agent fees | | | | | 1,021 | | | | 2,378 | |
| Shareholder reporting expense | | | | | 29,200 | | | | 14,600 | |
| Registration fees | | | | | — | | | | 4,466 | |
| Professional fees | | | | | 69,215 | | | | 62,890 | |
| Custody and accounting expense | | | | | 92,045 | | | | 308,275 | |
| Trustee fees | | | | | 19,435 | | | | 8,715 | |
| Miscellaneous expense | | | | | 34,066 | | | | 15,273 | |
| Interest expense | | | | | 289 | | | | 28 | |
| Total expenses | | | | | 3,522,633 | | | | 1,506,040 | |
| Waived and reimbursed fees | | | | | (194,356 | ) | | | (237,612 | ) |
| Net expenses | | | | | 3,328,277 | | | | 1,268,428 | |
| Net investment income | | | | | 6,748,664 | | | | 4,699,467 | |
| |
REALIZED AND UNREALIZED GAIN (LOSS): | | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | | |
| Investments | | | | | (3,970,859 | ) | | | 1,654,391 | |
| Forward foreign currency contracts | | | | | (1,091,507 | ) | | | (529,643 | ) |
| Foreign currency related transactions | | | | | 269,189 | | | | (136,356 | ) |
| Futures | | | | | (681,163 | ) | | | 1,822,659 | |
| Swaps | | | | | 2,166,335 | | | | (838,739 | ) |
| Written options | | | | | 760,242 | | | | — | |
| Net realized gain (loss) | | | | | (2,547,763 | ) | | | 1,972,312 | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | |
| Investments | | | | | 11,437,742 | | | | 209,518 | |
| Forward foreign currency contracts | | | | | (500,489 | ) | | | (418,843 | ) |
| Foreign currency related transactions | | | | | 8,321 | | | | 1,057 | |
| Futures | | | | | 1,078,155 | | | | (596,275 | ) |
| Swaps | | | | | (3,568,620 | ) | | | (260,292 | ) |
| Written options | | | | | 26,901 | | | | — | |
| Sales commitments | | | | | — | | | | 752,369 | |
| Net change in unrealized appreciation (depreciation) | | | | | 8,482,010 | | | | (312,466 | ) |
| Net realized and unrealized gain | | | | | 5,934,247 | | | | 1,659,846 | |
Increase in net assets resulting from operations | | | | $ | 12,682,911 | | | $ | 6,359,313 | |
| | | | | | | | | | |
| * Foreign taxes withheld | | | | $ | — | | | $ | 87 | |
See Accompanying Notes to Financial Statements
12
STATEMENTS OF CHANGES IN NET ASSETS
| | | | VY® BlackRock Inflation
Protected Bond Portfolio
| | VY® Goldman Sachs
Bond Portfolio
|
| | | | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
| | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
|
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | |
| Net investment income | | | | $ | 6,748,664 | | | $ | 5,754,983 | | | $ | 4,699,467 | | | $ | 3,982,504 | |
| Net realized gain (loss) | | | | | (2,547,763 | ) | | | (6,211,444 | ) | | | 1,972,312 | | | | (2,500,907 | ) |
| Net change in unrealized appreciation (depreciation) | | | | | 8,482,010 | | | | 21,268,014 | | | | (312,466 | ) | | | 3,597,036 | |
| Increase in net assets resulting from operations | | | | | 12,682,911 | | | | 20,811,553 | | | | 6,359,313 | | | | 5,078,633 | |
| | | | | | | | | | | | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | (4,792,224 | ) | | | (4,529,620 | ) |
| Class ADV | | | | | (381,219 | ) | | | — | | | | — | | | | — | |
| Class I | | | | | (4,397,495 | ) | | | — | | | | — | | | | — | |
| Class S | | | | | (2,176,391 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | | | (6,955,105 | ) | | | — | | | | (4,792,224 | ) | | | (4,529,620 | ) |
| | | | | | | | | | | | | | | | | | | |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | |
| Net proceeds from sale of shares | | | | | 45,993,204 | | | | 93,157,435 | | | | 60,709,654 | | | | 100,578,739 | |
| Reinvestment of distributions | | | | | 6,955,105 | | | | — | | | | 4,792,224 | | | | 4,529,620 | |
| | | | | | 52,948,309 | | | | 93,157,435 | | | | 65,501,878 | | | | 105,108,359 | |
| Cost of shares redeemed | | | | | (178,896,691 | ) | | | (127,760,432 | ) | | | (78,963,233 | ) | | | (66,578,679 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | | | (125,948,382 | ) | | | (34,602,997 | ) | | | (13,461,355 | ) | | | 38,529,680 | |
| Net increase (decrease) in net assets | | | | | (120,220,576 | ) | | | (13,791,444 | ) | | | (11,894,266 | ) | | | 39,078,693 | |
| | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | |
| Beginning of year or period | | | | | 554,342,209 | | | | 568,133,653 | | | | 226,846,043 | | | | 187,767,350 | |
| End of year or period | | | | $ | 434,121,633 | | | $ | 554,342,209 | | | $ | 214,951,777 | | | $ | 226,846,043 | |
| Undistributed net investment income at end of year or period | | | | $ | 1,803,729 | | | $ | 2,847,202 | | | $ | 4,441,819 | | | $ | 4,037,931 | |
See Accompanying Notes to Financial Statements
13
FINANCIAL HIGHLIGHTS
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)
|
| (%)
|
VY® BlackRock Inflation Protected Bond Portfolio |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.17 | | | | 0.09 | | | | 0.11 | | | | 0.20 | | | | 0.07 | | | | — | | | | — | | | | 0.07 | | | | — | | | | 9.30 | | | | 2.16 | | | | 1.17 | | | | 1.13 | | | | 1.13 | | | | 0.94 | | | | 49,769 | | | | 101 | |
| 12-31-16 | | | | | 8.88 | | | | 0.05 | | | | 0.24 | | | | 0.29 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9.17 | | | | 3.27 | | | | 1.21 | | | | 1.12 | | | | 1.12 | | | | 0.53 | | | | 52,110 | | | | 73 | |
| 12-31-15 | | | | | 9.24 | | | | (0.05 | ) | | | (0.22 | ) | | | (0.27 | ) | | | 0.09 | | | | — | | | | 0.00 | * | | | 0.09 | | | | — | | | | 8.88 | | | | (2.89 | ) | | | 1.30 | | | | 1.11 | | | | 1.11 | | | | (0.52 | ) | | | 54,750 | | | | 470 | |
| 12-31-14 | | | | | 9.15 | | | | 0.05 | | | | 0.15 | | | | 0.20 | | | | 0.11 | | | | — | | | | — | | | | 0.11 | | | | — | | | | 9.24 | | | | 2.14 | | | | 1.30 | | | | 1.11 | | | | 1.11 | | | | 0.57 | | | | 63,936 | | | | 527 | |
| 12-31-13 | | | | | 10.74 | | | | (0.07 | )• | | | (0.88 | ) | | | (0.95 | ) | | | — | | | | 0.64 | | | | — | | | | 0.64 | | | | — | | | | 9.15 | | | | (8.98 | ) | | | 1.29 | | | | 1.14 | | | | 1.14 | | | | (0.66 | ) | | | 74,204 | | | | 613 | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.55 | | | | 0.15 | | | | 0.11 | | | | 0.26 | | | | 0.15 | | | | — | | | | — | | | | 0.15 | | | | — | | | | 9.66 | | | | 2.72 | | | | 0.57 | | | | 0.53 | | | | 0.53 | | | | 1.55 | | | | 223,463 | | | | 101 | |
| 12-31-16 | | | | | 9.19 | | | | 0.11 | | | | 0.25 | | | | 0.36 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9.55 | | | | 3.92 | | | | 0.56 | | | | 0.52 | | | | 0.52 | | | | 1.15 | | | | 311,949 | | | | 73 | |
| 12-31-15 | | | | | 9.54 | | | | 0.01 | • | | | (0.23 | ) | | | (0.22 | ) | | | 0.08 | | | | — | | | | 0.05 | | | | 0.13 | | | | — | | | | 9.19 | | | | (2.35 | ) | | | 0.55 | | | | 0.51 | | | | 0.51 | | | | 0.16 | | | | 311,110 | | | | 470 | |
| 12-31-14 | | | | | 9.42 | | | | 0.11 | | | | 0.16 | | | | 0.27 | | | | 0.15 | | | | — | | | | — | | | | 0.15 | | | | — | | | | 9.54 | | | | 2.81 | | | | 0.55 | | | | 0.51 | | | | 0.51 | | | | 1.18 | | | | 450,442 | | | | 527 | |
| 12-31-13 | | | | | 10.97 | | | | (0.00 | )* | | | (0.91 | ) | | | (0.91 | ) | | | — | | | | 0.64 | | | | — | | | | 0.64 | | | | — | | | | 9.42 | | | | (8.41 | ) | | | 0.54 | | | | 0.54 | | | | 0.54 | | | | (0.05 | ) | | | 476,969 | | | | 613 | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 9.45 | | | | 0.13 | | | | 0.10 | | | | 0.23 | | | | 0.11 | | | | — | | | | — | | | | 0.11 | | | | — | | | | 9.57 | | | | 2.48 | | | | 0.82 | | | | 0.78 | | | | 0.78 | | | | 1.29 | | | | 160,890 | | | | 101 | |
| 12-31-16 | | | | | 9.12 | | | | 0.09 | | | | 0.24 | | | | 0.33 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9.45 | | | | 3.62 | | | | 0.81 | | | | 0.77 | | | | 0.77 | | | | 0.89 | | | | 190,284 | | | | 73 | |
| 12-31-15 | | | | | 9.48 | | | | (0.02 | ) | | | (0.22 | ) | | | (0.24 | ) | | | 0.09 | | | | — | | | | 0.03 | | | | 0.12 | | | | — | | | | 9.12 | | | | (2.61 | ) | | | 0.80 | | | | 0.76 | | | | 0.76 | | | | (0.19 | ) | | | 202,274 | | | | 470 | |
| 12-31-14 | | | | | 9.37 | | | | 0.09 | | | | 0.15 | | | | 0.24 | | | | 0.13 | | | | — | | | | — | | | | 0.13 | | | | — | | | | 9.48 | | | | 2.54 | | | | 0.80 | | | | 0.76 | | | | 0.76 | | | | 0.90 | | | | 243,300 | | | | 527 | |
| 12-31-13 | | | | | 10.94 | | | | (0.04 | )• | | | (0.89 | ) | | | (0.93 | ) | | | — | | | | 0.64 | | | | — | | | | 0.64 | | | | — | | | | 9.37 | | | | (8.62 | ) | | | 0.79 | | | | 0.79 | | | | 0.79 | | | | (0.40 | ) | | | 301,374 | | | | 613 | |
VY® Goldman Sachs Bond Portfolio |
| 12-31-17 | | | | | 10.06 | | | | 0.22 | • | | | 0.07 | | | | 0.29 | | | | 0.23 | | | | — | | | | — | | | | 0.23 | | | | — | | | | 10.12 | | | | 2.93 | | | | 0.69 | | | | 0.58 | | | | 0.58 | | | | 2.16 | | | | 214,952 | | | | 345 | |
| 12-31-16 | | | | | 10.02 | | | | 0.20 | • | | | 0.08 | | | | 0.28 | | | | 0.24 | | | | — | | | | — | | | | 0.24 | | | | — | | | | 10.06 | | | | 2.70 | | | | 0.66 | | | | 0.58 | | | | 0.58 | | | | 2.00 | | | | 226,846 | | | | 490 | |
02-20-15(5)–12-31-15 | | | | | 10.00 | | | | 0.15 | • | | | (0.13 | ) | | | 0.02 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10.02 | | | | 0.20 | | | | 0.61 | | | | 0.58 | | | | 0.58 | | | | 1.77 | | | | 187,767 | | | | 507 | |
(1) | | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | | Annualized for periods less than one year. |
(3) | | Ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(4) | | Ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(5) | | Commencement of operations. |
• | | Calculated using average number of shares outstanding throughout the year or period. |
| * | | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
See Accompanying Notes to Financial Statements
14
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017
NOTE 1 — ORGANIZATION
Voya Investors Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Massachusetts business trust on August 3, 1988. Voya Investors Trust currently consists of twenty-four active separate investment series. The one series included in this report is: VY® BlackRock Inflation Protected Bond Portfolio (“BlackRock Inflation Protected Bond”), a diversified series of Voya Investors Trust.
Voya Variable Insurance Trust is registered under the 1940 Act as an open-end management investment company and was organized as a Delaware statutory trust on July 15, 1999. Voya Variable Insurance Trust consists of one active investment series which is included in this report: VY® Goldman Sachs Bond Portfolio (“Goldman Sachs Bond”), a diversified series of Voya Variable Insurance Trust.
Voya Investors Trust and Voya Variable Insurance Trust are collectively referred to as the “Trusts.” BlackRock Inflation Protected Bond and Goldman Sachs Bond are each, a “Portfolio” and together, the “Portfolios.” The investment objective of the Portfolios is described in each Portfolio’s Prospectus.
The classes of shares included in this report for BlackRock Inflation Protected Bond are: Adviser (“Class ADV”), Institutional (“Class I”), and Service (“Class S”). With the exception of class specific matters, each class has equal voting rights as to voting privileges. For class specific proposals, only the applicable class would have 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 are allocated 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. Goldman Sachs Bond does not have a share class designation.
Voya Investments, LLC (“Voya Investments” or the “Investment Adviser”), an Arizona limited liability company, serves as the Investment Adviser to the Portfolios. Prior to May 1, 2017, Directed Services LLC, a Delaware limited liability company, served as the investment adviser to BlackRock Inflation Protected Bond. There were no changes to the services provided or the fees charged to BlackRock Inflation Protected Bond upon the replacement of Directed Services LLC with Voya Investments. Voya Investments Distributor, LLC (“VID” or the “Distributor”), a Delaware limited liability company, serves as the principal underwriter to the Portfolios.
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. Each Portfolio is open for business every day the New York Stock Exchange (“NYSE”) opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per share for each class, if applicable, of each Portfolio is determined each Business Day as of the close of the regular trading session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The data reflected on the consolidated tape provided by the CTA is generated by various market centers, including all securities exchanges, electronic communications networks, and third-market broker-dealers. 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. On days when a Portfolio is closed for business, Portfolio shares will not be priced and a Portfolio does not transact purchase and redemption orders. To the extent a Portfolio’s assets are traded in other markets on days when a Portfolio does not price its shares, the value of a Portfolio’s assets will likely change and you will not be able to purchase or redeem shares of a Portfolio.
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 regular trading session on the exchange where the security is principally traded or, if such price is not available, at the last sale price as of the Market
15
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Close for such security provided by the CTA. Bank loans are valued at the average of the averages of 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 NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
When a market quotation is not readily available or is deemed unreliable, each Portfolio will determine a fair value for the relevant asset in accordance with procedures adopted by the Portfolios’ Boards of Trustees (“Board”). Such procedures provide, for example, that: (a) Exchange-traded securities are valued at the mean of the closing bid and ask; (b) 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; (c) Securities traded in the over-the-counter (“OTC”) market are valued based on prices provided by independent pricing services or market makers; (d) Options not listed on an exchange are valued by an independent source using an industry accepted model, such as Black-Scholes; (e) Centrally cleared swap agreements are valued using a price provided by the central counterparty clearinghouse; (f) OTC swap agreements are valued using a price provided by an independent pricing service; (g) Forward foreign currency exchange 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 exchange contracts are valued at an interpolated rate between the closest preceding and subsequent period reported by the independent pricing service; and (h) 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 each 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 forward foreign currency exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of Market Close. 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 Market Close, 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 Market Close. 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 Market Close. 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 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 each 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
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NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
effect on the value of shareholders’ investments in each Portfolio.
Each investment asset or liability of the Portfolios is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the sub-advisers’ or Pricing Committee’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing each Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between levels of the Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when a Portfolio has a significant amount of Level 3 investments.
B. Securities 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 Market Close. |
| (2) | | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
Although the net assets and the market values are presented at the foreign exchange rates at Market Close, the Portfolios do not isolate the portion of their results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statement of Assets and Liabilities for the estimated tax withholding based on the securities’ current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on the Portfolios’ books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. The foregoing risks are even greater with respect to securities of issuers in emerging markets.
D. Distributions to Shareholders. Net investment income dividends and net capital gain distributions, if any, for Goldman Sachs Bond are declared and paid annually. For BlackRock Inflation Protected Bond, dividends from net investment income, if any, are declared and paid monthly and distributions of net capital gains, if any, are declared and paid 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 GAAP for investment companies.
E. 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 its net investment income and any net realized capital gains
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NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expired.
The Portfolios may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Risk Exposures and the Use of Derivative Instruments. The Portfolios’ investment strategies permit the Portfolios to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to risk factors. This may allow a Portfolio to pursue its objectives more quickly, and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market or credit factors.
In pursuit of its investment objectives, a Portfolio may seek to increase or decrease its exposure to the following market or credit risk factors:
Credit Risk. The price of a bond or other debt instrument is likely to fall if the issuer’s actual or perceived financial health deteriorates, whether because of broad economic or issuer-specific reasons. In certain cases, the issuer could be late in paying interest or principal, or could fail to pay its financial obligations altogether.
Equity Risk. Stock prices may be volatile or have reduced liquidity in response to real or perceived impacts of factors including, but not limited to, economic conditions, changes in market interest rates, and political events. Stock markets tend to be cyclical, with periods when stock prices generally rise and periods when stock prices generally decline. Any given stock market segment may remain out of favor with investors for a short or long period of time, and stocks as an asset class may underperform bonds or other asset classes during some periods. Additionally, legislative, regulatory or tax policies or developments in these areas may adversely impact the investment techniques available to a manager, add to costs and impair the ability of a Portfolio to achieve its investment objectives.
Foreign Exchange Rate Risk. To the extent that a Portfolio invests directly in foreign (non-U.S.) currencies or in securities denominated in, or that trade in, foreign (non-U.S.) currencies, it is subject to the risk that those foreign (non-U.S.) currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged by a Portfolio through foreign currency exchange transactions.
Currency rates may fluctuate significantly over short periods of time. Currency rates may be affected by changes in market interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, by the imposition of currency controls, or other political or economic developments in the United States or abroad.
Interest Rate Risk. With bonds and other fixed rate debt instruments, a rise in market interest rates generally causes values to fall; conversely, values generally rise as market interest rates fall. The higher the credit quality of the instrument, and the longer its maturity or duration, the more sensitive it is likely to be to interest rate risk. In the case of inverse securities, the interest rate paid by the securities is a floating rate, which generally will decrease when the market rate of interest to which the inverse security is indexed increases and will increase when the market rate of interest to which the inverse security is indexed decreases. As of the date of this report, market interest rates in the United States are at or near historic lows, which may increase a Portfolio’s exposure to risks associated with rising market interest rates. Rising market interest rates could have unpredictable effects on the markets and may expose fixed-income and related markets to heightened volatility. For a fund that invests in fixed-income securities, an increase in market interest rates may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain investments, adversely affect values, and increase costs. If dealer capacity in fixed-income markets is insufficient for market conditions, it may further inhibit liquidity and increase volatility in the fixed-income markets. Further, recent and potential changes in government policy may affect interest rates.
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NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Risks of Investing in Derivatives. A Portfolio’s use of derivatives can result in losses due to unanticipated changes in the market or credit risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market or credit risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Derivative instruments are subject to a number of risks, including the risk of changes in the market price of the underlying securities, credit risk with respect to the counterparty, risk of loss due to changes in market interest rates and liquidity and volatility risk. The amounts required to purchase certain derivatives may be small relative to the magnitude of exposure assumed by a Portfolio. Therefore, the purchase of certain derivatives may have an economic leveraging effect on a Portfolio and exaggerate any increase or decrease in the NAV. Derivatives may not perform as expected, so a Portfolio may not realize the intended benefits. When used for hedging purposes, the change in value of a derivative may not correlate as expected with the currency, security or other risk being hedged. When used as an alternative or substitute for direct cash investments, the return provided by the derivative may not provide the same return as direct cash investment. In addition, given their complexity, derivatives expose a Portfolio to the risk of improper valuation.
Generally, derivatives are sophisticated financial instruments whose performance is derived, at least in part, from the performance of an underlying asset or assets. Derivatives include, among other things, swap agreements, options, forwards and futures. Investments in derivatives are generally negotiated OTC with a single counterparty and as a result are subject to credit risks related to the counterparty’s ability or willingness to perform its obligations; any deterioration in the counterparty’s creditworthiness could adversely affect the value of the derivative. In addition, derivatives and their underlying securities may experience periods of illiquidity which could cause a Portfolio to hold a security it might otherwise sell, or to sell a security it otherwise might hold at inopportune times or at an unanticipated price. A manager might imperfectly judge the direction of the market. For instance, if a derivative is used as a hedge to offset investment risk in another security, the hedge might not correlate to the market’s movements and may have unexpected or undesired results such as a loss or a reduction in gains.
The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union is (and other countries outside of the European Union are) implementing similar requirements, which will affect a Portfolio when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear. Central clearing is expected to reduce counterparty risk and increase liquidity, however, there is no assurance that it will achieve that result, and in the meantime, central clearing and related requirements expose a Portfolio to new kinds of costs and risks.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that it believes to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio’s International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”). These Master Agreements are with select counterparties and they govern transactions, including certain OTC derivative and forward foreign currency contracts, entered into by a Portfolio and the counterparty. The Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable Master Agreement.
A Portfolio may also enter into collateral agreements with certain counterparties to further mitigate counterparty credit risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from a Portfolio is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
At December 31, 2017, the maximum amount of loss that BlackRock Inflation Protected Bond and Goldman Sachs Bond would incur if the counterparties to their derivative transactions failed to perform would be $6,163,308 and $1,771,386, respectively, which represents the gross payments to be received by the Portfolios on OTC purchased options, forward foreign currency contracts,
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NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
and OTC inflation-linked swaps were they to be unwound as of December 31, 2017. At December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had received $5,080,000 and $150,000, respectively, in cash collateral from certain counterparties.
Each Portfolio has credit related contingent features that if triggered would allow its derivative counterparties to close out and demand payment or additional collateral to cover their exposure from a Portfolio. Credit related contingent features are established between a Portfolio and its derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio’s net assets and/or a percentage decrease in a Portfolio’s NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio’s Master Agreements.
At December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had a liability position of $1,324,490 and $1,468,853, respectively, on open OTC credit default and interest rate swaps, forward foreign currency contracts and OTC written options with interest rate related contingent features. If a contingent feature would have been triggered as of December 31, 2017, the Portfolios could have been required to pay this amount in cash to its counterparties. At December 31, 2017, Goldman Sachs Bond had pledged $10,000 in cash collateral for their open OTC derivative transactions. BlackRock Inflation Protected Bond did not pledge any cash collateral for their open OTC derivative transactions at December 31, 2017.
H. Forward Foreign Currency Contracts. A Portfolio may enter into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated investment securities. When entering into a forward foreign currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and a Portfolio’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented following the Portfolio of Investments.
For the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into forward foreign currency contracts with the obligation to buy and sell specified foreign currencies in the future at a currently negotiated forward rate in order to increase or decrease exposure to foreign exchange rate risk. The Portfolios use forward foreign currency contracts primarily to protect its non-U.S. dollar-denominated holdings from adverse currency movements and to gain exposure to currencies for the purposes of risk management or enhanced return.
During the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had average contract amounts on forward foreign currency contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open forward foreign currency contracts at December 31, 2017.
| | | | Purchased
| | Sold
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 16,297,980 | | | $ | 28,757,965 | |
| Goldman Sachs Bond | | | | | 217,475,396 | | | | 77,415,955 | |
I. Futures Contracts. Each Portfolio may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. Each Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when a Portfolio’s assets are valued.
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Open futures contracts are reported on a table following the Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Portfolio of Investments. Cash collateral held by the broker to cover 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
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NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
(losses) are reported in the Statements of Operations at the closing or expiration of futures contracts.
At December 31, 2017, BlackRock Inflation Protected Bond had pledged U.S. Treasury Inflation Indexed Protected Securities with an original par value of $644,000 with the broker as collateral for open futures contracts. The securities have been footnoted as pledged in the Portfolio of Investments.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where a Portfolio is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of a Portfolio’s securities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. During the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had purchased and sold futures contracts on various bonds and notes as part of their duration strategy.
During the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had average notional values on futures contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open futures contracts at December 31, 2017.
| | | | Purchased
| | Sold
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 198,546,042 | | | $ | 269,070,379 | |
| Goldman Sachs Bond | | | | | 78,437,175 | | | | 34,189,344 | |
J. Options Contracts. The Portfolios may purchase put and call options and may write (sell) put options and covered call options. The Portfolios may engage in option transactions as a hedge against adverse movements in the value of portfolio holdings or to increase market exposure. Option contracts are valued daily and unrealized gains or losses are recorded based upon the last sales price on the principal exchange on which the options are traded. An amount equal to the premium received by the Portfolios upon the writing of a put or call option is included in the Statements of Assets and Liabilities as a liability which is subsequently marked-to-market until it is exercised or closed, or it expires. The Portfolios will realize a gain or loss upon the expiration or closing of the option contract. When an option is exercised, the proceeds on sales of the underlying security for a written call option, the purchase cost of the security for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Realized and unrealized gains or losses on option contracts are reflected in the accompanying financial statements. The risk in writing a covered call option is that a Portfolio gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that a Portfolio may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that a Portfolio pays a premium whether or not the option is exercised. Risks may also arise from an illiquid secondary market or from the inability of counterparties to meet the terms of the contract.
During the year ended December 31, 2017, BlackRock Inflation Protected Bond had purchased and written options on exchange-traded futures contracts to manage its duration strategy and to generate income. There were no open purchased and written exchange-traded futures contracts at December 31, 2017.
During the year ended December 31, 2017, BlackRock Inflation Protected Bond had purchased and written options on foreign currencies to manage its foreign exchange exposure and to generate income. There were no open purchased and written foreign currency options at December 31, 2017.
During the year ended December 31, 2017, BlackRock Inflation Protected Bond had purchased and written interest rate swap options (“swaptions”) to manage its duration strategy and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written interest rate swaptions at December 31, 2017.
During the year ended December 31, 2017, BlackRock Inflation Protected Bond had written inflation rate caps to generate income. Please refer to the tables following the Portfolio of Investments for open written inflation rate caps at December 31, 2017.
Please refer to Note 9 for the volume of both purchased and written option activity for BlackRock Inflation Protected Bond during the year ended December 31, 2017.
K. Swap Agreements. The Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
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NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. Subsequent changes in market value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. The Portfolios may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported following the Portfolio of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on the Statements of Assets and Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statements of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statements of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statements of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statements of Operations.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and a Portfolio’s counterparty on the swap agreement becomes the CCP. A Portfolio is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are footnoted as pledged on the Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) on the Statements of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on the Statements of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer’s credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
A Portfolio may sell credit default swaps which expose these Portfolios to the risk of loss from credit risk related events specified in the contract. Although contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/ moratorium. If a Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a 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
22
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed following the Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of December 31, 2017, for which a Portfolio is seller of protection are disclosed following the Portfolio of Investments for Goldman Sachs Bond. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
For the year ended December 31, 2017, Goldman Sachs Bond had bought and sold credit protection on credit default swap indices (“CDX”) and single name issuers (Corporate or Sovereign). A CDX is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. Goldman Sachs Bond used CDX swaps to gain additional exposure within various sectors and to hedge the credit risk associated with various sectors within the credit and commercial mortgage-backed securities market. In addition, Goldman Sachs Bond bought credit protection on single name issuers to reduce its risk exposure to defaults of corporate and/or sovereign issuers.
For the year ended December 31, 2017, Goldman Sachs Bond had an average notional amount of $18,581,693 on credit default swaps to buy protection and an average notional amount of $2,247,500 on credit default swaps to sell protection. Please refer to the tables following the Portfolio of Investments for open credit default swaps to buy protection at December 31, 2017. There were no open credit default swaps to sell protection at December 31, 2017.
Interest Rate Swap Contracts. An interest rate swap involves the agreement between counterparties to exchange periodic payments based on interest rates. One payment will be based on a floating rate of a specified interest rate while the other will be a fixed rate. Risks involve the future fluctuations of interest rates in which a Portfolio may make payments that are greater than what a Portfolio received from the counterparty. Other risks include credit, liquidity and market risk.
For the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into interest rate swaps in which they pay a floating interest rate and receive a fixed interest rate (“Long interest rate swap”) in order to increase exposure to interest rate risk. Average notional amounts on long interest rate swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $42,515,178 and $198,357,296, respectively.
For the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into interest rate swaps in which they pay a fixed interest rate and receives a floating interest rate (“Short interest rate swap”) in order to decrease exposure to interest rate risk. Average notional amounts on short interest rate swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $58,572,148 and $154,559,179, respectively.
The Portfolios enter into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the tables following each respective Portfolio of Investments for open interest rate swaps at December 31, 2017.
At December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had pledged $2,280,490 and $1,088,217, respectively, in cash collateral for open centrally cleared swaps.
23
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Inflation-linked Swap Contracts. In an inflation-linked swap, one party pays a fixed interest rate on a notional amount while the other party pays a floating rate linked to an inflation index on that same notional amount. The party paying the floating rate pays the inflation adjusted rate multiplied by the notional amount.
For the year ended December 31, 2017, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into inflation-linked swaps in which they pay a floating rate linked to an inflation index and receive a fixed interest rate (“Long inflation-linked swap”). Average notional amounts on long inflation-linked swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $48,360,471 and $3,436,176.
For the year ended December 31, 2017, BlackRock Inflation Protected Bond had entered into inflation-linked swaps in which it pays a fixed interest rate and receive a floating rate linked to an inflation index (“Short inflation-linked swap”). Average notional amounts on short inflation linked-bonds was $271,962,519.
BlackRock Inflation Protected Bond and Goldman Sachs Bond used inflation-linked swaps as part of its inflation strategy. Please refer to the tables following each respective Portfolio of Investments for open inflation-linked swaps at December 31, 2017.
L. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
M. Securities Lending. Each Portfolio may temporarily loan up to 33 1/3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender’s fee. Securities lending involves two primary risks: “investment risk” and “borrower default risk.” When lending securities, the Portfolios will receive cash or U.S. government securities as collateral. Investment risk is the risk that the Portfolios will lose money from the investment of the cash collateral received from the borrower. Borrower default risk is the risk that the Portfolios will lose money due to the failure of a borrower to return a borrowed security. Loans are subject to termination at the option of the borrower or the Portfolios. Securities lending may result in leverage. The use of leverage may exaggerate any increase or decrease in the NAV, causing the Portfolios to be more volatile. The use of leverage may increase expenses and increase the impact of the Portfolios’ other risks.
N. Sales Commitments. Sales commitments involve commitments to sell fixed income securities where the unit price and the estimated principal amount are established upon entering into the contract, with the actual principal amount being within a specified range of the estimate. A Portfolio will enter into sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of sale commitments are not received until the contractual settlement date. During the time a sale commitment is outstanding, except for delayed delivery transactions, the Portfolio will maintain, in a segregated account, cash or marketable securities in an amount sufficient to meet the purchase price. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition of an offsetting purchase commitment, the Portfolio realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the Portfolio delivers securities under the commitment, the Portfolio realizes a gain or loss from the sale of the securities, based upon the unit price established at the date the commitment was entered into. Please refer to the table following the Portfolio of Investments for open sales commitments held by Goldman Sachs Bond at December 31, 2017.
O. Structured Products. Goldman Sachs Bond invests in structured products which are specially-designed investments whose principal payments or interest payments are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The terms and conditions of these products may be ‘structured’ by the purchaser (a Portfolio) and the borrower issuing the note. The market value of these products will increase or decrease based on the performance of the underlying asset or reference. A Portfolio records the net change in the market value of the structured product on the accompanying Statements of Operations as a change in unrealized appreciation or depreciation on investments. A Portfolio records a realized gain or loss on the Statements of Operations upon the sale
24
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
or maturity of the structured product. Please refer to the Portfolio of Investments for structured products held by Goldman Sachs Bond at December 31, 2017.
P. When-Issued and Delayed-Delivery Transactions. Goldman Sachs Bond may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The fair value of such is identified in the Portfolio of Investments. Losses may arise due to changes in the fair value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio is required to hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
To mitigate counterparty risk, a Portfolio may enter into Master Securities Forward Transaction Agreements (“MSFTA”) with their respective counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all the when-issued or delayed-delivery transactions with a particular counterparty. Cash collateral, if any, is presented on the Statement of Assets and Liabilities as an asset (Cash pledged as collateral for delayed-delivery or when-issued securities) and a liability (Cash received as collateral for delayed-delivery or when-issued securities). At December 31, 2017, there was no cash collateral pledged or received by the Portfolio for open when-issued or delayed-delivery transactions.
Q. Indemnifications. In the normal course of business, the Trusts may enter into contracts that provide certain indemnifications. The Trusts’ maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the year ended December 31, 2017, the cost of purchases and the proceeds from the sales of securities, excluding U.S. government and short-term securities, were as follows:
| | | | Purchases
| | Sales
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 135,925,692 | | | $ | 155,211,535 | |
| Goldman Sachs Bond | | | | | 89,236,994 | | | | 69,296,599 | |
U.S. government securities not included above were as follows:
| | | | Purchases
| | Sales
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 338,895,439 | | | $ | 434,646,857 | |
| Goldman Sachs Bond | | | | | 729,706,929 | | | | 667,919,583 | |
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Portfolios have entered into investment management agreements (“Management Agreements”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolios. The Investment Adviser oversees all investment management and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. Each Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
Portfolio
| | | Fee
|
|---|
BlackRock Inflation Protected Bond(1) | | | 0.55% on the first $200 million;
0.50% on the next $800 million; and
0.40% on the amount in excess of $1 billion |
| Goldman Sachs Bond | | | 0.50% on the first $750 million; and
0.48% on assets over $750 million |
(1) | | The Investment Adviser has contractually agreed to waive 0.04% of the management fee. Any fees waived or reimbursed are not eligible for recoupment. Termination or modification of this obligation requires approval by the Board. |
The Trusts and the Investment Adviser have entered into sub-advisory agreements with each sub-adviser. These sub-advisers provide investment advice for the Portfolios and are paid by the Investment Adviser based on the average daily net assets of each Portfolio. Subject to such policies as the Board or the Investment Adviser may determine, the sub-advisers manage each Portfolio’s assets in accordance with that Portfolio’s investment objectives, policies, and limitations.
Portfolio
| | | | Sub-Adviser
|
|---|
| BlackRock Inflation Protected Bond | | | | BlackRock Financial Management, Inc. |
| Goldman Sachs Bond | | | | Goldman Sachs Asset Management, L.P. |
NOTE 5 — DISTRIBUTION AND SERVICE FEE
Voya Investors Trust has entered into a shareholder service plan (the “Plan”) for the Class S shares of BlackRock Inflation Protected Bond. The Plan compensates the Distributor for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S
25
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 5 — DISTRIBUTION AND SERVICE FEE (continued)
shares. Under the Plan, the Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S shares.
Class ADV shares of BlackRock Inflation Protected Bond have a shareholder service and distribution plan. The Portfolio pays the Distributor a shareholder service fee of 0.25% and a distribution fee of 0.35% of the Portfolio’s average daily net assets attributable to Class ADV shares.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At December 31, 2017, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. or affiliated investment companies owned more than 5% of the following Portfolios:
Subsidiary/Affiliated
Investment Company
| | | | Portfolio
| | Percentage
|
|---|
| Voya Institutional Trust Company | | | | BlackRock Inflation Protected Bond | | | 12.52 | % |
| Voya Insurance and Annuity Company | | | | BlackRock Inflation Protected Bond | | | 35.90 | |
| Voya Retirement Conservative Portfolio | | | | BlackRock Inflation Protected Bond | | | 13.50 | |
| Voya Retirement Moderate Portfolio | | | | BlackRock Inflation Protected Bond | | | 16.17 | |
| Voya Solution 2025 Portfolio | | | | Goldman Sachs Bond | | | 25.45 | |
| Voya Solution Income Portfolio | | | | BlackRock Inflation Protected Bond | | | 6.92 | |
| | | | | Goldman Sachs Bond | | | 22.00 | |
Under the 1940 Act, the direct or indirect beneficial owner of more than 25% of the voting securities of a company (including a fund) is presumed to control such company. Companies under common control (e.g., companies with a common owner of greater than 25% of their respective voting securities) are affiliates under the 1940 Act.
The Portfolios have adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the trustee under the DC Plan, the amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). The Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statements of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of a Portfolio, and will not materially affect a Portfolio’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the DC Plan.
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has entered into written expense limitation agreements (“Expense Limitation Agreements”) with the below Portfolios, whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses, extraordinary expenses, and acquired fund fees and expenses to the levels listed below:
Portfolio
| | | | Maximum Operating Expense Limit
(as a percentage of net assets)
|
|---|
| BlackRock Inflation Protected Bond | | | | Class ADV: 1.23%
Class I: 0.63%
Class S: 0.88% |
| Goldman Sachs Bond | | | | 0.58% |
The Investment Adviser may, at a later date, recoup from a Portfolio for fees waived and/or other expenses reimbursed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
As of December 31, 2017, the amounts of waived and/or reimbursed fees that are subject to possible recoupment by the Investment Adviser, and the related expiration dates, are as follows:
| | | | | December 31,
| | | | | |
|---|
Portfolio
| | | | | 2018
| | | | 2019
| | | | 2020
| | | | Total
| |
|---|
| Goldman Sachs Bond | | | | | $46,923 | | | | $157,623 | | | | $237,612 | | | | $442,158 | |
The Expense Limitation Agreements are contractual through May 1, 2018 and shall renew automatically for one-year terms. Termination or modification of these obligations requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective May 19, 2017, each Portfolio, in addition to certain other funds managed by the Investment Adviser, has entered into a 364-day unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000 through May 18, 2018. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of a Portfolio or certain other funds managed by the Investment Adviser. The funds to which
26
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 8 — LINE OF CREDIT (continued)
the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The Portfolios did not utilize the line of credit during the year ended December 31, 2017.
NOTE 9 — PURCHASED AND WRITTEN OPTIONS
Transactions in purchased options on exchange-traded futures contracts for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | | Number of
Contracts
| | Cost
|
|---|
| Balance at 12/31/2016 | | | | | 719 | | | $ | 423,745 | |
| Options Purchased | | | | | 8,720 | | | | 2,980,395 | |
| Options Terminated in Closing Sell Transactions | | | | | (4,981 | ) | | | (1,737,176 | ) |
| Options Exercised | | | | | (285 | ) | | | (44,939 | ) |
| Options Expired | | | | | (4,173 | ) | | | (1,622,025 | ) |
| Balance at 12/31/2017 | | | | | — | | | $ | — | |
Transactions in purchased foreign currency options for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | | | CHF
Notional
| | | | EUR
Notional
| | | | GBP
Notional
| | | USD
Notional
| | | | Cost
| |
|---|
| Balance at 12/31/2016 | | | | | 11,260,000 | | | | 10,520,000 | | | | — | | | — | | | $ | 355,050 | |
| Options Purchased | | | | | — | | | | 38,740,000 | | | | 78,950,000 | | | 20,085,000 | | | | 908,233 | |
| Options Terminated in Closing Sell Transactions | | | | | — | | | | — | | | | (13,175,000 | ) | | — | | | | (230,347 | ) |
| Options Expired | | | | | (11,260,000 | ) | | | (49,260,000 | ) | | | (65,775,000 | ) | | (20,085,000 | ) | | | (1,032,937 | ) |
| Balance at 12/31/2017 | | | | | — | | | | — | | | | — | | | — | | | $ | — | |
Transactions in purchased interest rate swaptions for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | | USD
Notional
| | | | EUR
Notional
| | | | JPY
Notional
| | | | | Cost
| |
|---|
| Balance at 12/31/2016 | | | | 11,800,000 | | | | 10,100,000 | | | | — | | | | | $2,369,669 | |
| Options Purchased | | | | 38,140,000 | | | | — | | | | 1,385,780,000 | | | | | 1,521,651 | |
| Options Terminated in Closing Sell Transactions | | | | (19,900,000 | ) | | | — | | | | — | | | | | (998,592 | ) |
| Options Expired | | | | (5,000,000 | ) | | | — | | | | — | | | | | (226,970 | ) |
| Balance at 12/31/2017 | | | | 25,040,000 | | | | 10,100,000 | | | | 1,385,780,000 | | | | | $2,665,757 | |
Transactions in written inflation rate caps for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | | EUR
Notional
| | Premiums
Received
|
|---|
| Balance at 12/31/2016 | | | | | 3,140,000 | | | $ | 217,411 | |
| Balance at 12/31/2017 | | | | | 3,140,000 | | | $ | 217,411 | |
27
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 9 — PURCHASED AND WRITTEN OPTIONS (continued)
Transactions in written options on exchange-traded futures contracts for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | | Number of
Contracts
| | Premiums
Received
|
|---|
| Balance at 12/31/2016 | | | | | 462 | | | $ | 254,005 | |
| Options Written | | | | | 4,019 | | | | 929,817 | |
| Options Terminated in Closing Purchase Transactions | | | | | (3,911 | ) | | | (1,007,896 | ) |
| Options Expired | | | | | (570 | ) | | | (175,926 | ) |
| Balance at 12/31/2017 | | | | | — | | | $ | — | |
Transactions in written foreign currency options for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | CHF
Notional
| | | | EUR
Notional
| | | | GBP
Notional
| | USD
Notional
| | Premiums
Received
| |
|---|
| Balance at 12/31/2016 | | | 5,630,000 | | | | 10,520,000 | | | | — | | — | | $ | 97,588 | |
| Options Written | | | — | | | | 13,080,000 | | | | 68,905,000 | | 20,085,000 | | | 657,759 | |
| Options Terminated in Closing Sell Transactions | | | — | | | | — | | | | (32,990,000 | ) | (9,125,000 | ) | | (298,911 | ) |
| Options Expired | | | (5,630,000 | ) | | | (23,600,000 | ) | | | (35,915,000 | ) | (10,960,000 | ) | | (456,436 | ) |
| Balance at 12/31/2017 | | | — | | | | — | | | | — | | — | | $ | — | |
Transactions in written interest rate swaptions for BlackRock Inflation Protected Bond during the year ended December 31, 2017 were as follows:
| | | EUR
Notional
| | | | GBP
Notional
| | | | USD
Notional
| | Premiums
Received
| |
|---|
| Balance at 12/31/2016 | | | 10,100,000 | | | | — | | | | 83,600,000 | | $ | 860,147 | |
| Options Written | | | — | | | | — | | | | 68,320,000 | | | 501,159 | |
| Options Terminated in Closing Purchase Transactions | | | — | | | | — | | | | (127,600,000 | ) | | (575,987 | ) |
| Options Expired | | | — | | | | — | | | | — | | | — | |
| Balance at 12/31/2017 | | | 10,100,000 | | | | — | | | | 24,320,000 | | $ | 785,319 | |
Transactions in capital shares and dollars were as follows:
| | | | Shares
sold
| | Shares
issued in
merger
| | Reinvestment
of
distributions
| | Shares
redeemed
| | Net increase
(decrease)
in shares
outstanding
| | Shares
sold
| | Proceeds
from shares
issued in
merger
| | Reinvestment
of
distributions
| | Shares
redeemed
| | Net increase
(decrease)
|
|---|
Year or period ended
| | | | #
| | #
| | #
| | #
| | #
| | ($)
| | ($)
| | ($)
| | ($)
| | ($)
|
|---|
BlackRock Inflation Protected Bond |
Class ADV |
| 12/31/2017 | | | | | 317,604 | | | | — | | | | 41,329 | | | | (688,549 | ) | | | (329,616 | ) | | | 2,925,393 | | | | — | | | | 381,219 | | | | (6,341,985 | ) | | | (3,035,373 | ) |
| 12/31/2016 | | | | | 417,580 | | | | — | | | | — | | | | (898,707 | ) | | | (481,127 | ) | | | 3,855,526 | | | | — | | | | — | | | | (8,253,074 | ) | | | (4,397,548 | ) |
Class I |
| 12/31/2017 | | | | | 3,773,612 | | | | — | | | | 460,710 | | | | (13,775,433 | ) | | | (9,541,111 | ) | | | 36,140,751 | | | | — | | | | 4,397,494 | | | | (131,911,107 | ) | | | (91,372,862 | ) |
| 12/31/2016 | | | | | 6,878,057 | | | | — | | | | — | | | | (8,047,014 | ) | | | (1,168,957 | ) | | | 65,259,597 | | | | — | | | | — | | | | (76,426,152 | ) | | | (11,166,555 | ) |
Class S |
| 12/31/2017 | | | | | 732,452 | | | | — | | | | 229,768 | | | | (4,288,590 | ) | | | (3,326,370 | ) | | | 6,927,060 | | | | — | | | | 2,176,392 | | | | (40,643,599 | ) | | | (31,540,147 | ) |
| 12/31/2016 | | | | | 2,528,388 | | | | — | | | | — | | | | (4,566,921 | ) | | | (2,038,533 | ) | | | 24,042,312 | | | | — | | | | — | | | | (43,081,206 | ) | | | (19,038,894 | ) |
Goldman Sachs Bond |
| 12/31/2017 | | | | | 5,975,395 | | | | — | | | | 475,891 | | | | (7,763,398 | ) | | | (1,312,112 | ) | | | 60,709,654 | | | | — | | | | 4,792,224 | | | | (78,963,233 | ) | | | (13,461,355 | ) |
| 12/31/2016 | | | | | 9,917,063 | | | | — | | | | 441,054 | | | | (6,536,981 | ) | | | 3,821,136 | | | | 100,578,739 | | | | — | | | | 4,529,620 | | | | (66,578,679 | ) | | | 38,529,680 | |
28
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 11 — SECURITIES LENDING
Under an agreement with BNY, the Portfolios can lend its securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash and U.S. government securities. The collateral must be equal to at least 105% of the market value of non-U.S. securities loaned and 102% of the market value of U.S. securities loaned. The market value of the loaned securities is determined at Market Close of a Portfolio at their last sale price or official closing price on the principal exchange or system on which they are traded and any additional collateral is delivered to a Portfolio on the next business day. The cash collateral received is invested in approved investments as defined in the Securities Lending Agreement with BNY (the “Agreement”). The Portfolios bear the risk of loss with respect to the investment of collateral with the following exception: BNY provides the Portfolios indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements
The cash collateral is invested in overnight repurchase agreements that are collateralized at 102% with securities issued or fully guaranteed by the U.S. Treasury; U.S. government or any agency, instrumentality or authority of the U.S. government. The securities purchased with cash collateral received are reflected in the Portfolio of Investments under Securities Lending Collateral.
Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. The Agreement contains certain guarantees by BNY in the event of counterparty default and/or a borrower’s failure to return a loaned security; however, there would be a potential loss to a Portfolio in the event a Portfolio is delayed or prevented from exercising its right to dispose of 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 Goldman Sachs Bond’s securities lending agreements by counterparty which are subject to offset under the Agreement as of December 31, 2017:
Goldman Sachs Bond
Counterparty
| | | | Securities
Loaned at
Value
| | Cash
Collateral
Received(1)
| | Net
Amount
|
|---|
| Credit Suisse Securities (USA) LLC | | | | $ | 249,294 | | | $ | (249,294 | ) | | $ | — | |
| HSBC Securities (USA) Inc. | | | | | 546,538 | | | | (546,538 | ) | | | — | |
| Total | | | | $ | 795,832 | | | $ | (795,832 | ) | | $ | — | |
(1) | | Collateral with a fair value of $816,854 has been received in connection with the above securities lending transactions. Excess collateral received from the individual counterparty is not shown for financial reporting purposes. |
NOTE 12 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
The following permanent tax differences have been reclassified as of December 31, 2017:
| | | | Undistributed
Net
Investment
Income
| | Accumulated
Net Realized
Gains/(Losses)
| |
|---|
| BlackRock Inflation Protected Bond | | | | $ | (837,032 | ) | | $ | 837,032 | | |
| Goldman Sachs Bond | | | | | 496,645 | | | | (496,645 | ) | |
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:
| | | | Year Ended December 31, 2017
| | Year Ended
December 31, 2016
| |
|---|
| | | | Ordinary
Income
| | Ordinary
Income
| |
|---|
| BlackRock Inflation Protected Bond | | | | | $6,955,105 | | | | $ — | | |
| Goldman Sachs Bond | | | | | 4,792,224 | | | | 4,529,620 | | |
29
NOTES TO FINANCIAL STATEMENTS as of December 31, 2017 (continued)
NOTE 12 — FEDERAL INCOME TAXES (continued)
The tax-basis components of distributable earnings as of December 31, 2017 were:
| | | | | | | | Capital Loss Carryforwards
| |
|---|
| | | | Undistributed
Ordinary
Income
| | Unrealized
Appreciation/
(Depreciation)
| | Amount
| | Character
| | Expiration
| |
|---|
| BlackRock Inflation Protected Bond | | | | $ | 1,550,040 | | | $ | 7,956,437 | | | $ | (11,740,049 | ) | | | Short-term | | | | None | | |
| | | | | | | | | | | | | | (66,939,166 | ) | | | Long-term | | | | None | | |
| | | | | | | | | | | | | $ | (78,679,215 | ) | | | | | | | | | |
| Goldman Sachs Bond | | | | | 4,673,247 | | | | (642,293 | ) | | $ | (1,371,038 | ) | | | Short-term | | | | None | | |
| | | | | | | | | | | | | | (147,745 | ) | | | Long-term | | | | None | | |
| | | | | | | | | | | | | $ | (1,518,783 | ) | | | | | | | | | |
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state (BlackRock Inflation Protected Bond).
As of December 31, 2017, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. The earliest tax year that remains subject to examination by these jurisdictions is 2013.
NOTE 13 — SUBSEQUENT EVENTS
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. No such subsequent events were identified.
30
VY® BlackRock Inflation
Protected Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: 25.4% |
| |
| 370,000 | | | | (1) | | BMW US Capital LLC, 1.500%, 04/11/19 | | $ | 367,484 | | | | 0.1 | |
| 795,000 | | | | (1) | | BMW US Capital LLC, 2.150%, 04/06/20 | | | 792,486 | | | | 0.2 | |
| 530,000 | | | | (1) | | Nissan Motor Acceptance Corp., 1.550%, 09/13/19 | | | 523,463 | | | | 0.1 | |
| 960,000 | | | | (1) | | Nissan Motor Acceptance Corp., 2.000%, 03/08/19 | | | 957,765 | | | | 0.2 | |
| 755,000 | | | | (1) | | Nissan Motor Acceptance Corp., 2.250%, 01/13/20 | | | 753,825 | | | | 0.2 | |
| 1,105,000 | | | | | | Wal-Mart Stores, Inc., 1.900%, 12/15/20 | | | 1,098,268 | | | | 0.2 | |
| 1,730,000 | | | | | | Other Securities | | | 1,716,469 | | | | 0.4 | |
| | | | | | | | | | 6,209,760 | | | | 1.4 | |
| |
| Consumer, Non-cyclical: 1.4% |
| 3,000,000 | | | | | | Gilead Sciences, Inc., 2.350%, 02/01/20 | | | 3,014,780 | | | | 0.7 | |
| 2,545,000 | | | | | | Medtronic Global Holdings SCA, 1.700%, 03/28/19 | | | 2,534,701 | | | | 0.6 | |
| 570,000 | | | | | | Other Securities | | | 564,977 | | | | 0.1 | |
| | | | | | | | | | 6,114,458 | | | | 1.4 | |
| |
| |
| 1,495,000 | | | | (1) | | Schlumberger Finance Canada Ltd, 2.200%, 11/20/20 | | | 1,486,771 | | | | 0.4 | |
| |
| |
| 780,000 | | | | (1) | | AIG Global Funding, 1.950%, 10/18/19 | | | 773,373 | | | | 0.2 | |
| 595,000 | | | | (1) | | AIG Global Funding, 2.150%, 07/02/20 | | | 589,905 | | | | 0.1 | |
| 1,385,000 | | | | | | American Express Credit Corp., 2.200%, 03/03/20 | | | 1,381,164 | | | | 0.3 | |
| 585,000 | | | | (1) | | ANZ New Zealand Int’l Ltd./London, 2.200%, 07/17/20 | | | 581,826 | | | | 0.1 | |
| 3,000,000 | | | | | | Australia & New Zealand Banking Group Ltd./New York NY, 2.050%, 09/23/19 | | | 2,989,796 | | | | 0.7 | |
| 5,650,000 | | | | | | Bank of America Corp., 2.625%, 10/19/20 | | | 5,699,316 | | | | 1.3 | |
| 1,500,000 | | | | | | Bank of New York Mellon Corp./The, 2.150%, 02/24/20 | | | 1,498,240 | | | | 0.3 | |
| 2,850,000 | | | | | | Bank of Nova Scotia/The, 2.050%, 06/05/19 | | | 2,843,360 | | | | 0.7 | |
| 1,285,000 | | | | (1) | | Banque Federative du Credit Mutuel SA, 2.200%, 07/20/20 | | | 1,277,141 | | | | 0.3 | |
| 1,000,000 | | | | | | Barclays Bank PLC, 2.042%, (US0003M + 0.650%), 08/07/20 | | | 1,004,921 | | | | 0.2 | |
| 1,165,000 | | | | | | BNP Paribas SA, 2.400%, 12/12/18 | | | 1,168,442 | | | | 0.3 | |
| 5,000,000 | | | | | | Branch Banking & Trust Co., 1.450%, 05/10/19 | | | 4,953,209 | | | | 1.1 | |
| 250,000 | | | | | | Citibank NA, 2.049%, (US0003M + 0.500%), 06/12/20 | | | 251,298 | | | | 0.1 | |
| |
CORPORATE BONDS/NOTES: (continued) |
| |
| 3,100,000 | | | | | | Citibank NA, 1.850%–2.125%, 09/18/19–10/20/20 | | $ | 3,074,613 | | | | 0.7 | |
| 1,860,000 | | | | (1) | | Commonwealth Bank of Australia, 2.250%, 03/10/20 | | | 1,854,755 | | | | 0.4 | |
| 4,000,000 | | | | | | Credit Suisse AG/New York NY, 2.300%, 05/28/19 | | | 4,004,342 | | | | 0.9 | |
| 2,000,000 | | | | (1) | | Danske Bank A/S, 1.650%, 09/06/19 | | | 1,979,729 | | | | 0.5 | |
| 1,110,000 | | | | | | Fifth Third Bank/Cincinnati OH, 1.625%, 09/27/19 | | | 1,097,344 | | | | 0.2 | |
| 3,000,000 | | | | | | Fifth Third Bank/Cincinnati OH, 2.375%, 04/25/19 | | | 3,008,993 | | | | 0.7 | |
| 5,000,000 | | | | | | HSBC USA, Inc., 2.375%, 11/13/19 | | | 5,006,575 | | | | 1.2 | |
| 6,000,000 | | | | | | JPMorgan Chase & Co., 2.550%, 10/29/20 | | | 6,019,591 | | | | 1.4 | |
| 1,535,000 | | | | | | Manufacturers & Traders Trust Co., 2.300%, 01/30/19 | | | 1,539,306 | | | | 0.4 | |
| 2,000,000 | | | | (1) | | National Australia Bank Ltd., 2.250%, 07/01/19 | | | 2,001,556 | | | | 0.5 | |
| 2,540,000 | | | | (1) | | New York Life Global Funding, 2.000%, 04/09/20 | | | 2,524,520 | | | | 0.6 | |
| 1,970,000 | | | | (1) | | Pricoa Global Funding I, 1.450%, 09/13/19 | | | 1,939,742 | | | | 0.4 | |
| 630,000 | | | | (1) | | Principal Life Global Funding II, 1.500%, 04/18/19 | | | 624,636 | | | | 0.1 | |
| 3,000,000 | | | | | | Royal Bank of Canada, 1.500%, 07/29/19 | | | 2,966,098 | | | | 0.7 | |
| 1,870,000 | | | | | | Santander UK PLC, 2.125%, 11/03/20 | | | 1,855,583 | | | | 0.4 | |
| 2,000,000 | | | | | | Skandinaviska Enskilda Banken AB, 1.500%, 09/13/19 | | | 1,974,665 | | | | 0.5 | |
| 2,000,000 | | | | | | Sumitomo Mitsui Banking Corp., 2.450%, 01/16/20 | | | 2,001,121 | | | | 0.5 | |
| 1,510,000 | | | | (1) | | Sumitomo Mitsui Trust Bank Ltd., 2.050%, 03/06/19 | | | 1,506,237 | | | | 0.3 | |
| 2,000,000 | | | | | | Svenska Handelsbanken AB, 2.250%, 06/17/19 | | | 2,001,120 | | | | 0.5 | |
| 295,000 | | | | (1) | | UBS AG/London, 2.200%, 06/08/20 | | | 293,285 | | | | 0.1 | |
| 3,200,000 | | | | | | UBS AG/Stamford CT, 2.350%, 03/26/20 | | | 3,198,293 | | | | 0.7 | |
| 4,700,000 | | | | | | US Bank NA/Cincinnati OH, 2.000%, 01/24/20 | | | 4,681,314 | | | | 1.1 | |
| 2,215,000 | | | | | | Wells Fargo Bank NA, 1.750%, 05/24/19 | | | 2,202,949 | | | | 0.5 | |
| 3,500,000 | | | | | | Wells Fargo Bank NA, 2.150%, 12/06/19 | | | 3,495,163 | | | | 0.8 | |
See Accompanying Notes to Financial Statements
31
VY® BlackRock Inflation
Protected Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
|
| Value
|
|
|
| Percentage
of Net
Assets
|
|
|---|
| | | | | | | | | | | | | | | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| |
| 1,255,000 | | | | | | Westpac Banking Corp., 1.600%, 08/19/19 | | $ | 1,242,133 | | | | 0.3 | |
| 1,025,000 | | | | | | Other Securities | | | 1,017,558 | | | | 0.2 | |
| | | | | | | | | | 88,123,212 | | | | 20.3 | |
| | | | | | | | | | | | | | | |
| |
| 795,000 | | | | (1) | | Siemens Financieringsmaatschappij NV, 2.200%, 03/16/20 | | | 793,966 | | | | 0.2 | |
| 635,000 | | | | | | Other Securities | | | 630,682 | | | | 0.1 | |
| | | | | | | | | | 1,424,648 | | | | 0.3 | |
| | | | | | | | | | | | | | | |
| |
| 2,190,000 | | | | | | IBM Credit LLC, 1.800%, 01/20/21 | | | 2,156,676 | | | | 0.5 | |
| 2,675,000 | | | | | | Xilinx, Inc., 2.125%, 03/15/19 | | | 2,666,727 | | | | 0.6 | |
| 835,000 | | | | | | Other Securities | | | 831,724 | | | | 0.2 | |
| | | | | | | | | | 5,655,127 | | | | 1.3 | |
| | | | | | | | | | | | | | | |
| |
| 1,280,000 | | | | | | Duke Energy Progress LLC, 1.703%, (US0003M + 0.180%), 09/08/20 | | | 1,280,743 | | | | 0.3 | |
| | | | | | | Total Corporate Bonds/Notes | | | | | | | | |
| | | | | | | (Cost $110,765,618) | | | 110,294,719 | | | | 25.4 | |
| | | | | | | | | | | | | | | |
| FOREIGN GOVERNMENT BONDS: 6.1% | | | | | | | | |
| CAD 1,132,719 | | | | | | Canadian Government Real Return Bond, 4.250%, 12/01/26 | | | 1,209,441 | | | | 0.3 | |
| 2,120,000 | | | | | | Israel Government AID Bond, 5.500%, 12/04/23 | | | 2,480,901 | | | | 0.5 | |
| 2,500,000 | | | | | | Israel Government AID Bond, 5.500%, 04/26/24 | | | 2,940,011 | | | | 0.7 | |
| EUR 1,872,048 | | | | | | Italy Buoni Poliennali Del Tesoro, 1.250%, 10/27/20 | | | 2,379,154 | | | | 0.6 | |
| EUR 4,533,029 | | | | | | Italy Buoni Poliennali Del Tesoro, 1.650%, 04/23/20 | | | 5,766,362 | | | | 1.3 | |
| EUR 1,195,000 | | | | (1) | | Italy Buoni Poliennali Del Tesoro, 2.700%, 03/01/47 | | | 1,307,248 | | | | 0.3 | |
| NZD 2,055,000 | | | | | | New Zealand Government Bond, 2.500%, 09/20/35 | | | 1,668,221 | | | | 0.4 | |
| NZD 6,044,000 | | | | | | New Zealand Government Bond, 3.000%, 09/20/30 | | | 5,241,035 | | | | 1.2 | |
| GBP 1,721,784 | | | | | | United Kingdom Gilt Inflation Linked, 0.125%, 03/22/26 | | | 2,737,925 | | | | 0.6 | |
| NZD 1,585,900 | | | | | | Other Securities | | | 772,934 | | | | 0.2 | |
| | | | | | | Total Foreign Government Bonds | | | | | | | | |
| | | | | | | (Cost $24,996,864) | | | 26,503,232 | | | | 6.1 | |
| | | | | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS: 53.3% | | | | | | | | |
| Treasury Inflation Indexed Protected Securities: 53.3% |
| 2,121,231 | | | | | | 0.125%, 01/15/23 | | | 2,106,225 | | | | 0.5 | |
| 8,133,961 | | | | | | 0.125%, 07/15/24 | | | 8,045,243 | | | | 1.9 | |
| 13,331,213 | | | | | | 0.125%, 07/15/26 | | | 13,039,707 | | | | 3.0 | |
| 18,063,256 | | | | | | 0.250%, 01/15/25 | | | 17,919,291 | | | | 4.1 | |
| 12,362,064 | | | | | | 0.375%, 07/15/25 | | | 12,393,430 | | | | 2.9 | |
| 6,514,809 | | | | | | 0.375%, 01/15/27 | | | 6,474,925 | | | | 1.5 | |
| | | | | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS: (continued) | | | | | | | | |
| Treasury Inflation Indexed Protected Securities: (continued) |
| 14,053,662 | | | | | | 0.625%, 01/15/26 | | $ | 14,293,131 | | | | 3.3 | |
| 2,897,902 | | | | | | 0.625%, 02/15/43 | | | 2,843,594 | | | | 0.7 | |
| 13,568,509 | | | | | | 0.750%, 02/15/42 | | | 13,737,706 | | | | 3.2 | |
| 10,495,750 | | | | | | 0.750%, 02/15/45 | | | 10,576,833 | | | | 2.4 | |
| 3,847,190 | | | | | | 0.875%, 02/15/47 | | | 4,008,353 | | | | 0.9 | |
| 5,678,764 | | | | | | 1.000%, 02/15/46 | | | 6,082,561 | | | | 1.4 | |
| 14,002,235 | | | | (2) | | 1.375%, 02/15/44 | | | 16,207,425 | | | | 3.7 | |
| 9,965,598 | | | | (2) | | 1.750%, 01/15/28 | | | 11,215,821 | | | | 2.6 | |
| 6,530,809 | | | | | | 2.000%, 01/15/26 | | | 7,352,635 | | | | 1.7 | |
| 7,870,195 | | | | | | 2.125%, 02/15/40 | | | 10,263,648 | | | | 2.4 | |
| 6,038,078 | | | | | | 2.125%, 02/15/41 | | | 7,930,278 | | | | 1.8 | |
| 7,735,671 | | | | | | 2.375%, 01/15/25 | | | 8,822,549 | | | | 2.0 | |
| 6,527,898 | | | | | | 2.375%, 01/15/27 | | | 7,644,863 | | | | 1.8 | |
| 7,502,121 | | | | | | 2.500%, 01/15/29 | | | 9,112,722 | | | | 2.1 | |
| 2,626,439 | | | | | | 3.375%, 04/15/32 | | | 3,639,894 | | | | 0.8 | |
| 9,127,484 | | | | | | 3.625%, 04/15/28 | | | 11,994,832 | | | | 2.8 | |
| 7,769,278 | | | | | | 3.875%, 04/15/29 | | | 10,608,374 | | | | 2.4 | |
| 2,332,798 | | | | | | 0.125%, 04/15/22 | | | 2,317,597 | | | | 0.5 | |
| 12,599,458 | | | | | | 0.375%, 07/15/27 | | | 12,545,341 | | | | 2.9 | |
| | | | | | | Total U.S. Treasury Obligations | | | | | | | | |
| | | | | | | (Cost $226,200,208) | | | 231,176,978 | | | | 53.3 | |
| | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 13.6% | | | | | | | | |
| Federal Home Loan Bank: 5.1% |
| 4,475,000 | | | | | | 1.375%, 09/28/20 | | | 4,396,325 | | | | 1.0 | |
| 12,810,000 | | | | | | 1.375%, 02/18/21 | | | 12,541,259 | | | | 2.9 | |
| 5,255,000 | | | | | | 2.875%, 09/13/24 | | | 5,392,339 | | | | 1.2 | |
| | | | | | | | | | 22,329,923 | | | | 5.1 | |
| | | | | | | | | | | | | | | |
| Federal Home Loan Mortgage Corporation: 2.7%(3) |
| 1,515,000 | | | | | | 1.375%, 05/01/20 | | | 1,493,220 | | | | 0.4 | |
| 9,970,000 | | | | | | 2.375%, 01/13/22 | | | 10,064,117 | | | | 2.3 | |
| | | | | | | | | | 11,557,337 | | | | 2.7 | |
| | | | | | | | | | | | | | | |
| Federal National Mortgage Association: 5.8%(3) |
| 8,350,000 | | | | | | 1.375%, 02/26/21 | | | 8,177,297 | | | | 1.9 | |
| 9,355,000 | | | | | | 1.875%, 12/28/20 | | | 9,307,982 | | | | 2.1 | |
| 4,830,000 | | | | | | 1.875%, 09/24/26 | | | 4,557,042 | | | | 1.1 | |
| 3,120,000 | | | | | | 2.625%, 09/06/24 | | | 3,163,699 | | | | 0.7 | |
| | | | | | | | | | 25,206,020 | | | | 5.8 | |
| | | | | | | Total U.S. Government Agency Obligations | | | | | | | | |
| | | | | | | (Cost $59,386,124) | | | 59,093,280 | | | | 13.6 | |
|
|
|
|
|
|
|
|
| Value
|
|
|
| Percentage
of Net
Assets
|
|
|---|
| | | | | | | | | | | | | | | |
PURCHASE OPTIONS(4): 0.3% | | | | | | | | |
| | | | | | | Total Purchased Options | | | | | | | | |
| | | | | | | (Cost $2,665,757) | | | 1,404,709 | | | | 0.3 | |
| | | | | | | | | | | | | | | |
| | | | | | | Total Long-Term Investments | | | | | | | | |
| | | | | | | (Cost $424,014,571) | | | 428,472,918 | | | | 98.7 | |
See Accompanying Notes to Financial Statements
32
VY® BlackRock Inflation
Protected Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
SHORT-TERM INVESTMENTS: 0.6% |
| |
| 2,640,161 | | | | (5) | | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.170%
(Cost $2,640,161) | | | $ 2,640,161 | | | | 0.6 | |
| | | | | | | Total Short-Term Investments | | | | | | | | |
| | | | | | | (Cost $2,640,161) | | | 2,640,161 | | | | 0.6 | |
| | | | | | | Total Investments in Securities
(Cost $426,654,732) | | | $ 431,113,079 | | | | 99.3 | |
| | | | | | | Assets in Excess of Other Liabilities | | | 3,008,554 | | | | 0.7 | |
| | | | | | | Net Assets | | | $ 434,121,633 | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item. |
| † | | Unless otherwise indicated, principal amount is shown in USD. |
| (1) | | 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. |
| (2) | | All or a portion of this security has been pledged as collateral in connection with open futures contracts. Please refer to Note 2 for additional details. |
| (3) | | 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. |
| (4) | | The tables below the Portfolio of Investments detail open purchased options which are non-income producing securities. |
| (5) | | Rate shown is the 7-day yield as of December 31, 2017. |
Reference Rate Abbreviations:
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | | | |
| Purchased Options | | | | $ | — | | | $ | 1,404,709 | | | $ | — | | | $ | 1,404,709 | |
| Corporate Bonds/Notes | | | | | — | | | | 110,294,719 | | | | — | | | | 110,294,719 | |
| U.S. Treasury Obligations | | | | | — | | | | 231,176,978 | | | | — | | | | 231,176,978 | |
| Foreign Government Bonds | | | | | — | | | | 26,503,232 | | | | — | | | | 26,503,232 | |
| U.S. Government Agency Obligations | | | | | — | | | | 59,093,280 | | | | — | | | | 59,093,280 | |
| Short-Term Investments | | | | | 2,640,161 | | | | — | | | | — | | | | 2,640,161 | |
| Total Investments, at fair value | | | | $ | 2,640,161 | | | $ | 428,472,918 | | | $ | — | | | $ | 431,113,079 | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | | — | | | | 900,274 | | | | — | | | | 900,274 | |
| Forward Foreign Currency Contracts | | | | | — | | | | 135,716 | | | | — | | | | 135,716 | |
| Futures | | | | | 692,753 | | | | — | | | | — | | | | 692,753 | |
| OTC Swaps | | | | | — | | | | 4,586,883 | | | | — | | | | 4,586,883 | |
| Total Assets | | | | $ | 3,332,914 | | | $ | 434,095,791 | | | $ | — | | | $ | 437,428,705 | |
Liabilities Table | | | | | | | | | | | | | | | | | | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | $ | — | | | $ | (930,137 | ) | | $ | — | | | $ | (930,137 | ) |
| Forward Foreign Currency Contracts | | | | | — | | | | (404,795 | ) | | | — | | | | (404,795 | ) |
| Futures | | | | | (757,099 | ) | | | — | | | | — | | | | (757,099 | ) |
| OTC Swaps | | | | | — | | | | (643,399 | ) | | | — | | | | (643,399 | ) |
| Written Options | | | | | — | | | | (276,296 | ) | | | — | | | | (276,296 | ) |
| Total Liabilities | | | | $ | (757,099 | ) | | $ | (2,254,627 | ) | | $ | — | | | $ | (3,011,726 | ) |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
| + | | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
See Accompanying Notes to Financial Statements
33
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
At December 31, 2017, the following forward foreign currency contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Currency Purchased
| | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD | 7,015,774 | | | | NZD 10,258,000 | | Bank of America N.A. | | 01/04/18 | | | $ | (253,893 | ) |
| MXN | 40,967,597 | | | | USD 2,106,758 | | Barclays Bank PLC | | 02/14/18 | | | | (40,318 | ) |
| USD | 2,199,407 | | | | EUR 1,840,000 | | Deutsche Bank AG | | 02/14/18 | | | | (14,050 | ) |
| EUR | 1,872,500 | | | | SEK 18,567,429 | | Deutsche Bank AG | | 02/14/18 | | | | (16,951 | ) |
| USD | 2,105,000 | | | | MXN 39,486,643 | | Deutsche Bank AG | | 02/14/18 | | | | 113,260 | |
| USD | 9,838,525 | | | | EUR 8,246,000 | | HSBC Bank PLC | | 01/04/18 | | | | (56,661 | ) |
| SEK | 37,037,180 | | | | EUR 3,745,000 | | Morgan Stanley & Co. International PLC | | 02/14/18 | | | | 21,963 | |
| USD | 2,645,620 | | | | GBP 1,959,000 | | Royal Bank of Scotland PLC | | 01/04/18 | | | | 493 | |
| USD | 937,331 | | | | CAD 1,207,000 | | Westpac Banking Corp. | | 01/04/18 | | | | (22,922 | ) |
| | | | | | | | | | | | | $ | (269,079 | ) |
At December 31, 2017, the following futures contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Contract Description
| | | | Number
of Contracts
| | Expiration
Date
| | Notional
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
Long Contracts | | | | | | | | | | | | | | | | | | |
| 90-Day Eurodollar | | | | | 268 | | | | 12/17/18 | | | $ | 65,562,850 | | | $ | (39,131 | ) |
| Euro-Bund | | | | | 28 | | | | 03/08/18 | | | | 5,431,753 | | | | (57,958 | ) |
| Euro-Buxl® 30-year German Government Bond | | | | | 21 | | | | 03/08/18 | | | | 4,128,744 | | | | (102,050 | ) |
| U.S. Treasury 10-Year Note | | | | | 159 | | | | 03/20/18 | | | | 19,723,453 | | | | (107,661 | ) |
| U.S. Treasury 5-Year Note | | | | | 900 | | | | 03/29/18 | | | | 104,547,657 | | | | (314,492 | ) |
| | | | | | | | | | | | | $ | 199,394,457 | | | $ | (621,292 | ) |
| |
Short Contracts | | | | | | | | | | | | | | | | | | |
| 90-Day Eurodollar | | | | | (268 | ) | | | 12/16/19 | | | | (65,438,900 | ) | | | 46,467 | |
| Canada 10-Year Bond | | | | | (11 | ) | | | 03/20/18 | | | | (1,179,459 | ) | | | 17,095 | |
| Euro-Bobl 5-Year | | | | | (143 | ) | | | 03/08/18 | | | | (22,581,386 | ) | | | 174,049 | |
| Euro-OAT | | | | | (99 | ) | | | 03/08/18 | | | | (18,433,025 | ) | | | 269,609 | |
| Euro-Schatz | | | | | (83 | ) | | | 03/08/18 | | | | (11,151,283 | ) | | | 19,034 | |
| Long-Term Euro-BTP | | | | | (11 | ) | | | 03/08/18 | | | | (1,796,818 | ) | | | 45,594 | |
| U.S. Treasury 2-Year Note | | | | | (304 | ) | | | 03/29/18 | | | | (65,089,250 | ) | | | 109,879 | |
| U.S. Treasury Long Bond | | | | | (34 | ) | | | 03/20/18 | | | | (5,202,000 | ) | | | 9,355 | |
| U.S. Treasury Ultra 10-Year Note | | | | | (11 | ) | | | 03/20/18 | | | | (1,469,188 | ) | | | 1,671 | |
| U.S. Treasury Ultra Long Bond | | | | | (144 | ) | | | 03/20/18 | | | | (24,142,500 | ) | | | (135,807 | ) |
| | | | | | | | | | | | | $ | (216,483,809 | ) | | $ | 556,946 | |
At December 31, 2017, the following centrally cleared interest rate swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive
Floating Rate
|
|
|
| Floating Rate Index
|
| Floating Rate
Index Payment
Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
|
| Fair
Value
|
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Pay | | | | 6-month GBP-LIBOR | | Semi-Annual | | 1.405% | | Semi-Annual | | | 05/26/47 | | | | GBP | 2,395,000 | | | $ | (21,995 | ) | | $ | (22,685 | ) |
| Pay | | | | 6-month GBP-LIBOR | | Semi-Annual | | 1.660 | | Semi-Annual | | | 09/28/47 | | | | GBP | 690,000 | | | | 53,825 | | | | 53,723 | |
| Pay | | | | 6-month JPY-LIBOR | | Semi-Annual | | 0.092 | | Semi-Annual | | | 11/08/22 | | | | JPY | 564,835,000 | | | | (6,540 | ) | | | (6,608 | ) |
| Pay | | | | 6-month JPY-LIBOR | | Semi-Annual | | 0.093 | | Semi-Annual | | | 11/08/22 | | | | JPY | 564,835,000 | | | | (6,418 | ) | | | (6,488 | ) |
| Pay | | | | 3-month NZD-BBR-FRA | | Quarterly | | 3.055 | | Semi-Annual | | | 09/08/27 | | | | NZD | 3,766,237 | | | | 15,121 | | | | 16,632 | |
| Pay | | | | 3-month USD-LIBOR | | Quarterly | | 1.882 | | Semi-Annual | | | 11/15/19 | | | | USD | 12,165,000 | | | | (36,816 | ) | | | (37,019 | ) |
| Pay | | | | 3-month USD-LIBOR | | Quarterly | | 1.938 | | Semi-Annual | | | 11/24/19 | | | | USD | 12,165,000 | | | | (25,090 | ) | | | (25,294 | ) |
| Pay | | | | 3-month USD-LIBOR | | Quarterly | | 1.729 | | Semi-Annual | | | 08/31/46 | | | | USD | 630,000 | | | | (112,579 | ) | | | (1,391 | ) |
| Receive | | | | 6-month GBP-LIBOR | | Semi-Annual | | 1.336 | | Semi-Annual | | | 11/28/27 | | | | GBP | 5,530,000 | | | | (47,048 | ) | | | (46,835 | ) |
| Receive | | | | 6-month GBP-LIBOR | | Semi-Annual | | 1.608 | | Semi-Annual | | | 02/15/47 | | | | GBP | 4,380,000 | | | | (255,039 | ) | | | (227,958 | ) |
| Receive | | | | 6-month GBP-LIBOR | | Semi-Annual | | 1.515 | | Semi-Annual | | | 11/22/47 | | | | GBP | 1,350,000 | | | | (39,224 | ) | | | (39,044 | ) |
| Receive | | | | 6-month JPY-LIBOR | | Semi-Annual | | 0.273 | | Semi-Annual | | | 11/08/27 | | | | JPY | 270,135,000 | | | | 10,656 | | | | 10,626 | |
| Receive | | | | 6-month JPY-LIBOR | | Semi-Annual | | 0.921 | | Semi-Annual | | | 11/08/47 | | | | JPY | 95,855,000 | | | | 9,334 | | | | 9,402 | |
| Receive | | | | 3-month NZD-BBR-FRA | | Quarterly | | 3.067 | | Semi-Annual | | | 09/08/27 | | | | NZD | 1,855,013 | | | | 6,118 | | | | 6,811 | |
See Accompanying Notes to Financial Statements
34
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Pay/Receive
Floating Rate
|
|
|
| Floating Rate Index
|
| Floating Rate
Index Payment
Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
|
| Fair
Value
|
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Receive | | | | 3-month NZD-BBR-FRA | | Quarterly | | 3.070% | | Semi-Annual | | | 09/08/27 | | | | NZD | 1,873,750 | | | $ | 5,844 | | | $ | 6,537 | |
| Receive | | | | 1-day Overnight Fed
Funds Effective Rate
| | Annual | | 1.875 | | Annual
| | | 05/31/22 | | | | USD | 6,520,000 | | | | 32,145 | | | | 32,027 | |
| Receive | | | | 3-month USD-LIBOR | | Quarterly | | 2.171 | | Semi-Annual | | | 08/24/27 | | | | USD | 900,000 | | | | 18,504 | | | | 18,485 | |
| Receive | | | | 3-month USD-LIBOR | | Quarterly | | 2.602 | | Semi-Annual | | | 11/15/43 | | | | USD | 1,050,000 | | | | (3,520 | ) | | | (3,547 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | (402,722 | ) | | $ | (262,626 | ) |
At December 31, 2017, the following centrally cleared inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive Floating Rate
|
|
|
| Floating Rate Index
|
| Floating Rate
Index Payment
Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
|
| Fair
Value
|
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.288% | | At Termination Date | | | 11/15/22 | | | | EUR | 7,265,000 | | | $ | (58,985 | ) | | $ | (58,070 | ) |
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.832 | | At Termination Date | | | 05/15/47 | | | | EUR | 1,380,000 | | | | (68,044 | ) | | | (67,277 | ) |
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.750 | | At Termination Date | | | 06/15/47 | | | | EUR | 1,230,000 | | | | (105,582 | ) | | | (101,889 | ) |
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.861 | | At Termination Date | | | 07/15/47 | | | | EUR | 1,240,000 | | | | (51,652 | ) | | | (50,811 | ) |
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.913 | | At Termination Date | | | 11/15/47 | | | | EUR | 1,130,000 | | | | (29,595 | ) | | | (29,066 | ) |
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.920 | | At Termination Date | | | 11/15/47 | | | | EUR | 1,100,000 | | | | (25,690 | ) | | | (25,407 | ) |
| Pay | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.943 | | At Termination Date | | | 11/15/47 | | | | EUR | 525,000 | | | | (7,455 | ) | | | (7,357 | ) |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.370 | | At Termination Date | | | 06/15/22 | | | | GBP | 6,310,000 | | | | 9,158 | | | | 11,818 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.395 | | At Termination Date | | | 08/15/22 | | | | GBP | 6,065,000 | | | | 25,469 | | | | 26,721 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.300 | | At Termination Date | | | 10/15/22 | | | | GBP | 5,880,000 | | | | 38,024 | | | | 38,001 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.350 | | At Termination Date | | | 12/15/22 | | | | GBP | 5,890,000 | | | | 23,669 | | | | 23,258 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.523 | | At Termination Date | | | 02/15/27 | | | | GBP | 5,030,000 | | | | 99,339 | | | | 96,084 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.343 | | At Termination Date | | | 07/15/27 | | | | GBP | 1,405,000 | | | | (16,745 | ) | | | (15,845 | ) |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.380 | | At Termination Date | | | 09/15/27 | | | | GBP | 1,355,000 | | | | (156 | ) | | | (612 | ) |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.547 | | At Termination Date | | | 11/15/32 | | | | GBP | 4,200,000 | | | | 67,379 | | | | 66,583 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.600 | | At Termination Date | | | 11/15/42 | | | | GBP | 2,530,000 | | | | 67,067 | | | | 66,109 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.624 | | At Termination Date | | | 02/15/47 | | | | GBP | 2,360,000 | | | | 195,038 | | | | 180,672 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.470 | | At Termination Date | | | 09/15/47 | | | | GBP | 315,000 | | | | 8,216 | | | | 7,502 | |
| Pay | | | | U.K. RPI All Items
Monthly (UKRPI) | | At Termination Date | | 3.515 | | At Termination Date | | | 11/15/47 | | | | GBP | 600,000 | | | | 4,826 | | | | 4,845 | |
| Receive | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.256 | | At Termination Date | | | 08/15/22 | | | | EUR | 3,660,000 | | | | 37,676 | | | | 36,731 | |
| Receive | | | | Eurostat Eurozone
HICP ex Tobacco
NSA (CPTFEMU) | | At Termination Date | | 1.299 | | At Termination Date | | | 09/29/22 | | | | EUR | 5,000,000 | | | | 40,565 | | | | 39,444 | |
See Accompanying Notes to Financial Statements
35
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Pay/Receive Floating Rate
|
|
|
| Floating Rate Index
|
| Floating Rate Index
Payment Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
|
| Fair
Value
|
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Receive | | | | U.K. RPI All Items Monthly (UKRPI) | | At Termination Date | | 3.455% | | At Termination Date | | | 11/15/27 | | | | GBP | 4,200,000 | | | $ | (47,272 | ) | | $ | (47,176 | ) |
| Receive | | | | U.K. RPI All Items Monthly (UKRPI) | | At Termination Date | | 3.486 | | At Termination Date | | | 08/15/47 | | | | GBP | 635,000 | | | | 14,270 | | | | 13,649 | |
| Receive | | | | U.K. RPI All Items Monthly (UKRPI) | | At Termination Date | | 3.465 | | At Termination Date | | | 10/15/47 | | | | GBP | 635,000 | | | | 13,898 | | | | 13,556 | |
| Receive | | | | U.K. RPI All Items Monthly (UKRPI) | | At Termination Date | | 3.550 | | At Termination Date | | | 11/15/47 | | | | GBP | 2,530,000 | | | | (88,624 | ) | | | (87,515 | ) |
| Receive | | | | U.K. RPI All Items Monthly (UKRPI) | | At Termination Date | | 3.360 | | At Termination Date | | | 12/01/67 | | | | GBP | 240,000 | | | | (3,625 | ) | | | (3,632 | ) |
| Receive | | | | U.S. CPI Urban Consumers NSA (CPURNSA) | | At Termination Date | | 2.113 | | At Termination Date | | | 11/09/19 | | | | USD | 22,115,000 | | | | (17,873 | ) | | | (18,611 | ) |
| Receive | | | | U.S. CPI Urban Consumers NSA (CPURNSA) | | At Termination Date | | 1.890 | | At Termination Date | | | 06/29/22 | | | | USD | 6,700,000 | | | | 76,511 | | | | 76,269 | |
| Receive | | | | U.S. CPI Urban Consumers NSA (CPURNSA) | | At Termination Date | | 1.955 | | At Termination Date | | | 08/02/22 | | | | USD | 4,750,000 | | | | 44,961 | | | | 44,789 | |
| | | | | | | | | | | | | | | | | | | | | $ | 244,768 | | | $ | 232,763 | |
At December 31, 2017, the following over-the-counter inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Counterparty
|
|
|
| Pay/
Receive
Floating
Rate
|
| Floating
Rate Index
|
| Floating Rate
Payment
Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
|
| Fair
Value
|
|
| Upfront
Payments
Paid/
(Received)
|
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 2.066% | | At Termination Date | | | 03/10/18 | | | | USD | 20,575,000 | | | $ | (571,155 | ) | | $ | — | | | $ | (571,155 | ) |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.585 | | At Termination Date | | | 09/13/18 | | | | USD | 11,210,000 | | | | 79,672 | | | | — | | | | 79,672 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.518 | | At Termination Date | | | 12/11/19 | | | | USD | 15,000,000 | | | | 243,142 | | | | — | | | | 243,142 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.375 | | At Termination Date | | | 01/15/20 | | | | USD | 16,000,000 | | | | 364,525 | | | | — | | | | 364,525 | |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 2.174 | | At Termination Date | | | 02/16/20 | | | | USD | 10,000,000 | | | | (46,386 | ) | | | — | | | | (46,386 | ) |
| Barclays Bank PLC | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.437 | | At Termination Date | | | 01/15/21 | | | | USD | 22,000,000 | | | | 599,311 | | | | — | | | | 599,311 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.649 | | At Termination Date | | | 12/11/21 | | | | USD | 6,500,000 | | | | 136,140 | | | | — | | | | 136,140 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.515 | | At Termination Date | | | 01/15/22 | | | | USD | 34,000,000 | | | | 1,015,595 | | | | — | | | | 1,015,595 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.560 | | At Termination Date | | | 01/15/23 | | | | USD | 37,000,000 | | | | 1,247,049 | | | | — | | | | 1,247,049 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.660 | | At Termination Date | | | 09/22/23 | | | | USD | 5,500,000 | | | | 177,486 | | | | — | | | | 177,486 | |
| Citibank N.A. | | | | Receive | | U.S. CPI Urban
Consumers NSA
(CPURNSA) | | At Termination Date | | 1.689 | | At Termination Date | | | 09/22/24 | | | | USD | 19,500,000 | | | | 697,939 | | | | — | | | | 697,939 | |
| Deutsche Bank AG | | | | Pay
| | Eurostat
Eurozone HICP
ex Tobacco NSA
(CPTFEMU) | | At Termination Date | | 1.970 | | At Termination Date | | | 03/15/47 | | | | EUR | 1,110,000 | | | | 7,429 | | | | — | | | | 7,429 | |
| Deutsche Bank AG | | | | Receive | | Eurostat
Eurozone HICP
ex Tobacco NSA
(CPTFEMU) | | At Termination Date | | 1.470 | | At Termination Date | | | 03/15/27 | | | | EUR | 1,110,000 | | | | 6,229 | | | | — | | | | 6,229 | |
| Deutsche Bank AG | | | | Receive | | U.K. RPI All
Items Monthly
(UKRPI) | | At Termination Date | | 3.568 | | At Termination Date | | | 03/15/47 | | | | GBP | 805,000 | | | | (25,858 | ) | | | — | | | | (25,858 | ) |
See Accompanying Notes to Financial Statements
36
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Counterparty
|
|
|
| Pay/
Receive
Floating
Rate
|
| Floating
Rate Index
|
| Floating Rate
Payment
Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
|
| Fair
Value
|
|
|
| Upfront
Payments
Paid/
(Received)
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Deutsche Bank AG | | | | Receive | | U.K. RPI All
Items Monthly
(UKRPI) | | At Termination Date | | 3.485% | | At Termination Date | | | 03/23/47 | | | | GBP | 395,000 | | | $ | 12,366 | | | $ | — | | | $ | 12,366 | |
| | | | | | | | | | | | | | | | | | | | | | | $ | 3,943,484 | | | $ | — | | | $ | 3,943,484 | |
At December 31, 2017, the following over-the-counter purchased interest rate swaptions were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
|
|
|
| Counterparty
|
| Exercise
Rate
|
| Pay/
Receive
Exercise
Rate
|
| Floating Rate
Index
|
| Expiration
Date
|
|
| Notional Amount
|
|
|
| Cost
|
|
|
| Fair
Value
|
|
|---|
| Put on 10-year Interest Rate Swap | | | | Barclays Bank PLC | | 1.100% | | Pay | | 6-month JPY-
LIBOR | | 06/29/22 | | | JPY | 1,385,780,000 | | | $ | 188,508 | | | $ | 139,873 | |
Put on 10-year Interest
Rate Swap | | | | Deutsche Bank AG | | 2.950% | | Pay | | 3-month USD-
LIBOR | | 08/22/22 | | | USD | 17,330,000 | | | | 791,756 | | | | 582,591 | |
Put on 20-year Interest
Rate Swap | | | | Deutsche Bank AG | | 2.500% | | Pay | | 6-month EUR-
EURIBOR | | 06/08/22 | | | EUR | 10,100,000 | | | | 1,275,173 | | | | 465,046 | |
Put on 30-year Interest
Rate Swap | | | | Deutsche Bank AG | | 2.680% | | Pay | | 3-month USD-
LIBOR | | 01/12/21 | | | USD | 1,700,000 | | | | 227,321 | | | | 123,328 | |
Put on 30-year Interest
Rate Swap | | | | Deutsche Bank AG | | 3.040% | | Pay | | 3-month USD-
LIBOR | | 06/17/19 | | | USD | 3,015,000 | | | | 125,719 | | | | 69,390 | |
Put on 30-year Interest
Rate Swap | | | | Deutsche Bank AG | | 3.540% | | Pay | | 3-month USD-
LIBOR | | 06/17/19 | | | USD | 2,995,000 | | | | 57,280 | | | | 24,481 | |
| | | | | | | | | | | | | | | | | | | $ | 2,665,757 | | | $ | 1,404,709 | |
At December 31, 2017, the following over-the-counter written inflation rate caps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Reference Entity
|
|
|
| Counterparty
|
| Exercise
Inflation Rate
|
| Description
|
|
| Expiration
Date
|
|
|
| Notional Amount
|
|
| Premiums
Received
|
|
| Fair
Value
|
|
|---|
| Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index (HICPx) | | | | Deutsche Bank AG | | 2.500% | | Maximum of HICPx for January 2022 divided by HICPx for January 2012 minus 2.500% or $0. Portfolio receives premium and payment at expiration. | | | 04/26/22 | | | | EUR | 3,140,000 | | | $ | 217,411 | | | $ | (456 | ) |
| | | | | | | | | | | | | | | | | | | $ | 217,411 | | | $ | (456 | ) |
At December 31, 2017, the following over-the-counter written interest rate swaptions were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
|
|
|
| Counterparty
|
| Exercise Rate
|
| Pay/
Receive
Exercise
Rate
|
| Floating Rate
Index
|
| Expiration
Date
|
|
| Notional Amount
|
|
| Premiums
Received
|
|
| Fair
Value
|
|
|---|
| Put on 10-Year Interest Rate Swap | | | | Deutsche Bank AG | | 2.650% | | Receive | | 3-month USD-LIBOR | | 08/22/18 | | | USD 24,320,000 | | | $ | 309,759 | | | $ | (227,449 | ) |
| Put on 20-Year Interest Rate Swap | | | | Deutsche Bank AG | | 4.500 | | Receive | | 6-month EUR-EURIBOR | | 06/08/22 | | | EUR 10,100,000 | | | | 475,560 | | | | (48,391 | ) |
| | | | | | | | | | | | | | | | | | | $ | 785,319 | | | $ | (275,840 | ) |
Currency Abbreviations
CAD — Canadian Dollar
EUR — EU Euro
GBP — British Pound
JPY — Japanese Yen
See Accompanying Notes to Financial Statements
37
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
MXN — Mexican Peso
NZD — New Zealand Dollar
SEK — Swedish Krona
USD — United States Dollar
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2017 was as follows:
Derivatives not accounted for as
hedging instruments
| | | | Location on Statement
of Assets and Liabilities
| | Fair Value
|
|---|
Asset Derivatives | | | | | | | | | |
| Interest rate contracts | | | | Investments in securities at value* | | | $ | 1,404,709 | |
| Foreign exchange contracts | | | | Unrealized appreciation on forward foreign currency contracts | | | | 135,716 | |
| Interest rate contracts | | | | Net Assets — Unrealized appreciation** | | | | 692,753 | |
| Interest rate contracts | | | | Net Assets — Unrealized appreciation*** | | | | 900,274 | |
| Interest rate contracts | | | | Unrealized appreciation on OTC swap agreements | | | | 4,586,883 | |
Total Asset Derivatives | | | | | | | $ | 7,720,335 | |
Liability Derivatives | | | | | | | | | |
| Foreign exchange contracts | | | | Unrealized depreciation on forward foreign currency contracts | | | $ | 404,795 | |
| Interest rate contracts | | | | Net Assets — Unrealized depreciation** | | | | 757,099 | |
| Interest rate contracts | | | | Net Assets — Unrealized depreciation*** | | | | 930,137 | |
| Interest rate contracts | | | | Unrealized depreciation on OTC swap agreements | | | | 643,399 | |
| Interest rate contracts | | | | Written options, at fair value | | | | 276,296 | |
Total Liability Derivatives | | | | | | | $ | 3,011,726 | |
| * | | Includes purchased options. |
| ** | | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
| *** | | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for as
hedging instruments
| | | | Investments*
| | | Forward foreign
currency contracts
| | Futures
| | | Swaps
| | Written
options
| | Total
| |
|---|
| Foreign exchange contracts | | | | $ | (1,032,937 | ) | | | $(1,091,507 | ) | | $ | (681,163 | ) | | $ | — | | $ (8,752 | ) | $ (2,814,359 | ) |
| Interest rate contracts | | | | | (1,848,995 | ) | | | — | | | | — | | | | 2,166,335 | | 768,994 | | 1,086,334 | |
Total | | | | $ | (2,881,932 | ) | | | $(1,091,507 | ) | | $ | (681,163 | ) | | $ | 2,166,335 | | $ 760,242 | | $ (1,728,025 | ) |
| | | | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for
as hedging instruments
| | | | Investments*
| | | Forward foreign
currency contracts
| | Futures
| | | Swaps
| | Written
options
| | Total
| |
|---|
| Foreign exchange contracts | | | | $ | 149,650 | | | | $(500,489 | ) | | $ | — | | | $ | — | | $ 101,859 | | $ (248,980 | ) |
| Interest rate contracts | | | | | (133,024 | ) | | | — | | | | 1,078,155 | | | | (3,568,620 | ) | (74,958 | ) | (2,698,447 | ) |
Total | | | | $ | 16,626 | | | | $(500,489 | ) | | $ | 1,078,155 | | | $ | (3,568,620 | ) | $ 26,901 | | $ (2,947,427 | ) |
| * | | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
See Accompanying Notes to Financial Statements
38
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (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 December 31, 2017:
| | | | Bank of
America
N.A.
| | Barclays
Bank
PLC
| | Citibank
N.A.
| | Deutsche
Bank AG
| | HSBC
Bank PLC
| | Morgan
Stanley &
Co.
International
PLC
| | Royal
Bank of
Scotland
PLC
| | Westpac
Banking
Corp.
| | Totals
|
|---|
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Purchased options | | | | $ | — | | | $ | 139,873 | | | $ | — | | | $ | 1,300,836 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,440,709 | |
| Forward foreign currency contracts | | | | | — | | | | — | | | | — | | | | 113,260 | | | | — | | | | 21,963 | | | | 493 | | | | — | | | | 135,716 | |
| OTC Inflation-linked swaps | | | | | — | | | | 1,286,650 | | | | 3,274,209 | | | | 26,024 | | | | — | | | | — | | | | — | | | | — | | | | 4,586,883 | |
Total Assets | | | | $ | — | | | $ | 1,426,523 | | | $ | 3,274,209 | | | $ | 1,440,120 | | | $ | — | | | $ | 21,963 | | | $ | 493 | | | $ | — | | | $ | 6,163,308 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency contracts | | | | $ | 253,893 | | | $ | 40,318 | | | $ | — | | | $ | 31,001 | | | $ | 56,661 | | | $ | — | | | $ | — | | | $ | 22,922 | | | | 404,795 | |
| OTC Inflation-linked swaps | | | | | — | | | | 617,541 | | | | — | | | | 25,858 | | | | — | | | | — | | | | — | | | | — | | | | 643,399 | |
| Written options | | | | | — | | | | — | | | | — | | | | 276,296 | | | | — | | | | — | | | | — | | | | — | | | | 276,296 | |
Total Liabilities | | | | $ | 253,893 | | | $ | 657,859 | | | $ | — | | | $ | 333,155 | | | $ | 56,661 | | | $ | — | | | $ | — | | | $ | 22,922 | | | $ | 1,324,490 | |
Net OTC derivative instruments by counterparty, at fair value | | | | $ | (253,893 | ) | | $ | 768,664 | | | $ | 3,274,209 | | | $ | 1,106,965 | | | $ | (56,661 | ) | | $ | 21,963 | | | $ | 493 | | | $ | (22,922 | ) | | | 4,838,818 | |
Total collateral pledged by the Portfolio/(Received from counterparty) | | | | $ | — | | | $ | (750,000 | ) | | $ | (3,130,000 | ) | | $ | (1,106,965 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (4,986,965 | ) |
Net Exposure(1)(2) | | | | $ | (253,893 | ) | | $ | 18,664 | | | $ | 144,209 | | | $ | — | | | $ | (56,661 | ) | | $ | 21,963 | | | $ | 493 | | | $ | (22,922 | ) | | $ | (148,147 | ) |
(1) | | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
(2) | | At December 31, 2017, the Portfolio had received $1,200,000 in cash collateral from Deutsche Bank AG. Excess cash collateral is not shown for financial reporting purposes. |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
Cost for federal income tax purposes was $426,900,503.
| Net unrealized appreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 12,532,193 | |
| Gross Unrealized Depreciation | | | | | (4,575,756 | ) |
| Net Unrealized Appreciation | | | | $ | 7,956,437 | |
See Accompanying Notes to Financial Statements
39
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: 30.3% |
| |
| 175,000 | | | | (1) | | Glencore Finance Canada Ltd., 4.950%, 11/15/21 | | $ | 186,893 | | | | 0.1 | |
| 150,000 | | | | (1) | | Glencore Funding LLC, 4.125%, 05/30/23 | | | 155,363 | | | | 0.1 | |
| 199,000 | | | | (1) | | Glencore Funding LLC, 4.625%, 04/29/24 | | | 210,545 | | | | 0.1 | |
| 825,000 | | | | | | Sherwin-Williams Co/The, 2.250%–3.450%, 05/15/20-06/01/27 | | | 832,089 | | | | 0.4 | |
| 375,000 | | | | (1) | | WR Grace & Co-Conn, 5.125%, 10/01/21 | | | 395,156 | | | | 0.2 | |
| 100,000 | | | | (1) | | Yamana Gold, Inc., 4.625%, 12/15/27 | | | 100,688 | | | | 0.0 | |
| 225,000 | | | | | | Other Securities | | | 231,057 | | | | 0.1 | |
| | | | | | | | | | 2,111,791 | | | | 1.0 | |
| |
| |
| 200,000 | | | | (1) | | Altice Financing SA, 6.625%, 02/15/23 | | | 209,920 | | | | 0.1 | |
| 775,000 | | | | | | Amazon.com, Inc., 3.300%, 12/05/21 | | | 800,951 | | | | 0.4 | |
| 150,000 | | | | (1) | | Amazon.com, Inc., 3.875%, 08/22/37 | | | 159,587 | | | | 0.1 | |
| 3,041,000 | | | | | | AT&T, Inc., 2.800%–5.150%, 02/17/21–03/15/42 | | | 3,074,478 | | | | 1.4 | |
| 275,000 | | | | (1) | | Expedia, Inc., 3.800%, 02/15/28 | | | 266,204 | | | | 0.1 | |
| 350,000 | | | | (1) | | Symantec Corp., 5.000%, 04/15/25 | | | 364,875 | | | | 0.2 | |
| 1,050,000 | | | | | | Verizon Communications, Inc., 5.150%, 09/15/23 | | | 1,169,554 | | | | 0.5 | |
| 1,618,000 | | | | | | Verizon Communications, Inc., 2.450%–5.250%, 03/15/22–08/15/46 | | | 1,631,289 | | | | 0.8 | |
| 550,000 | | | | (1) | | Wind Tre SpA, 5.000%, 01/20/26 | | | 525,800 | | | | 0.2 | |
| 3,423,000 | | | | | | Other Securities | | | 3,625,478 | | | | 1.7 | |
| | | | | | | | | | 11,828,136 | | | | 5.5 | |
| |
| |
| 200,000 | | | | (1) | | Alimentation Couche-Tard, Inc., 2.700%, 07/26/22 | | | 198,347 | | | | 0.1 | |
| 1,225,000 | | | | | | CVS Health Corp., 2.875%–5.125%, 07/20/22–07/20/45 | | | 1,243,891 | | | | 0.6 | |
| 775,000 | | | | | | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | | | 851,639 | | | | 0.4 | |
| 1,500,000 | | | | (2) | | Other Securities | | | 1,557,252 | | | | 0.7 | |
| | | | | | | | | | 3,851,129 | | | | 1.8 | |
| |
| Consumer, Non-cyclical: 4.9% |
| 1,075,000 | | | | | | Allergan Funding SCS, 2.350%–4.850%, 03/12/18–06/15/44 | | | 1,083,164 | | | | 0.5 | |
| 1,125,000 | | | | | | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | | | 1,131,356 | | | | 0.6 | |
| |
CORPORATE BONDS/NOTES: (continued) |
| Consumer, Non-cyclical: (continued) |
| 650,000 | | | | | | Anheuser-Busch InBev Finance, Inc., 3.650%–4.700%, 02/01/26–02/01/36 | | $ | 685,471 | | | | 0.3 | |
| 1,425,000 | | | | (1) | | BAT Capital Corp., 3.222%, 08/15/24 | | | 1,426,731 | | | | 0.7 | |
| 475,000 | | | | (1) | | BAT Capital Corp., 3.557%, 08/15/27 | | | 476,437 | | | | 0.2 | |
| 475,000 | | | | (1) | | Bayer US Finance LLC, 3.000%, 10/08/21 | | | 480,079 | | | | 0.2 | |
| 1,275,000 | | | | | | Becton Dickinson and Co., 2.894%–4.685%, 06/06/22–12/15/44 | | | 1,296,065 | | | | 0.6 | |
| 375,000 | | | | (1) | | EMD Finance LLC, 2.950%, 03/19/22 | | | 376,924 | | | | 0.2 | |
| 50,000 | | | | (1) | | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | | | 51,562 | | | | 0.0 | |
| 775,000 | | | | | | Reynolds American, Inc., 4.450%, 06/12/25 | | | 827,427 | | | | 0.4 | |
| 200,000 | | | | (1) | | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24 | | | 214,500 | | | | 0.1 | |
| 2,390,000 | | | | | | Other Securities | | | 2,408,485 | | | | 1.1 | |
| | | | | | | | | | 10,458,201 | | | | 4.9 | |
| |
| |
| 450,000 | | | | (1) | | Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc., 3.337%, 12/15/27 | | | 449,673 | | | | 0.2 | |
| 525,000 | | | | | | Kinder Morgan, Inc./DE, 3.050%, 12/01/19 | | | 529,773 | | | | 0.2 | |
| 375,000 | | | | | | Kinder Morgan Energy Partners L.P., 3.500%–4.250%, 09/01/23–09/01/24 | | | 379,528 | | | | 0.2 | |
| 15,000 | | | | (1) | | Petrobras Global Finance BV, 5.999%, 01/27/28 | | | 15,056 | | | | 0.0 | |
| 100,000 | | | | (1) | | Petroleos Mexicanos, 6.500%, 03/13/27 | | | 109,425 | | | | 0.1 | |
| 6,886,000 | | | | (2),(3) | | Other Securities | | | 5,634,936 | | | | 2.6 | |
| | | | | | | | | | 7,118,391 | | | | 3.3 | |
| |
| |
| 193,000 | | | | (1) | | Bank of America Corp., 3.419%, 12/20/28 | | | 193,225 | | | | 0.1 | |
| 1,867,000 | | | | | | Bank of America Corp., 2.369%–6.110%, 07/21/21–01/29/37 | | | 1,919,472 | | | | 0.9 | |
| 200,000 | | | | (1) | | BNP Paribas SA, 4.375%, 05/12/26 | | | 209,445 | | | | 0.1 | |
| 200,000 | | | | (1) | | Credit Suisse AG, 6.500%, 08/08/23 | | | 224,275 | | | | 0.1 | |
| 250,000 | | | | (1) | | Credit Suisse Group AG, 4.282%, 01/09/28 | | | 260,871 | | | | 0.1 | |
| 1,300,000 | | | | | | JPMorgan Chase & Co., 2.950%–3.782%, 01/15/23–02/01/28 | | | 1,309,334 | | | | 0.6 | |
See Accompanying Notes to Financial Statements
40
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: (continued) |
| |
| 1,700,000 | | | | | | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/18 | | $ | 1,694,488 | | | | 0.8 | |
| 4,270,000 | | | | | | Kreditanstalt fuer Wiederaufbau, 1.500%, 09/09/19 | | | 4,233,604 | | | | 2.0 | |
| 50,000 | | | | (1) | | Macquarie Bank Ltd., 6.625%, 04/07/21 | | | 55,217 | | | | 0.0 | |
| 1,000,000 | | | | | | Morgan Stanley, 2.765%, (US0003M + 1.400%), 10/24/23 | | | 1,029,137 | | | | 0.5 | |
| 825,000 | | | | | | Morgan Stanley, 3.700%–4.000%, 10/23/24–07/23/25 | | | 853,419 | | | | 0.4 | |
| 300,000 | | | | (1) | | Nationwide Building Society, 4.125%, 10/18/32 | | | 300,613 | | | | 0.1 | |
| 200,000 | | | | (1) | | Northwestern Mutual Life Insurance Co/The, 3.850%, 09/30/47 | | | 203,087 | | | | 0.1 | |
| 250,000 | | | | (1) | | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | | | 263,588 | | | | 0.1 | |
| 100,000 | | | | (1) | | Teachers Insurance & Annuity Association of America, 4.900%,
09/15/44 | | | 114,556 | | | | 0.1 | |
| 225,000 | | | | (1) | | UBS Group Funding Switzerland AG, 3.000%, 04/15/21 | | | 226,734 | | | | 0.1 | |
| 10,626,000 | | | | | | Other Securities | | | 10,881,533 | | | | 5.1 | |
| | | | | | | | | | 23,972,598 | | | | 11.2 | |
| |
| |
| 300,000 | | | | (1) | | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | | | 305,861 | | | | 0.1 | |
| 375,000 | | | | (1) | | Sealed Air Corp., 5.250%, 04/01/23 | | | 401,250 | | | | 0.2 | |
| 1,050,000 | | | | | | Other Securities | | | 1,052,400 | | | | 0.5 | |
| | | | | | | | | | 1,759,511 | | | | 0.8 | |
| |
| |
| 300,000 | | | | (1) | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 2.650%, 01/15/23 | | | 289,498 | | | | 0.1 | |
| 475,000 | | | | (1) | | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.000%, 01/15/22 | | | 471,366 | | | | 0.2 | |
| 150,000 | | | | (1) | | Dell International LLC / EMC Corp., 5.450%, 06/15/23 | | | 162,260 | | | | 0.1 | |
| 800,000 | | | | | | Oracle Corp., 2.500%–3.250%, 05/15/22–11/15/27 | | | 807,985 | | | | 0.4 | |
| 1,137,000 | | | | | | Other Securities | | | 1,165,795 | | | | 0.5 | |
| | | | | | | | | | 2,896,904 | | | | 1.3 | |
| |
CORPORATE BONDS/NOTES: (continued) |
| |
| 1,075,000 | | | | | | Other Securities | | $ | 1,067,074 | | | | 0.5 | |
| | | | | | | Total Corporate Bonds/Notes
(Cost $64,725,596) | | | 65,063,735 | | | | 30.3 | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.9% |
EUR 390,641 | | | | (1),(4) | | Magnolia Finance XI DAC, 2.750%, (EUR003M + 2.750%), 04/20/20 | | | 465,194 | | | | 0.2 | |
| 603,082 | | | | (5) | | Fannie Mae 2013-130 SN, 5.098%, (-1.000*
US0001M + 6.650%), 10/25/42 | | | 103,584 | | | | 0.1 | |
| 335,246 | | | | (5) | | Fannie Mae REMIC Trust 2011-124 SC, 4.998%, (-1.000*US0001M + 6.550%), 12/25/41 | | | 56,433 | | | | 0.0 | |
| 315,323 | | | | (5) | | Fannie Mae REMIC Trust 2013-131 SA, 4.548%, (-1.000*US0001M + 6.100%), 12/25/43 | | | 47,002 | | | | 0.0 | |
| 253,773 | | | | (5) | | Fannie Mae REMIC Trust 2013-96 SW, 4.548%, (-1.000*US0001M + 6.100%), 09/25/43 | | | 38,596 | | | | 0.0 | |
| 578,358 | | | | (5) | | Fannie Mae REMIC Trust 2013-96 SY, 4.598%, (-1.000*US0001M + 6.150%), 07/25/42 | | | 90,710 | | | | 0.1 | |
| 382,613 | | | | (5) | | Fannie Mae REMIC Trust 2014-87 MS, 4.698%, (-1.000*US0001M + 6.250%), 01/25/45 | | | 58,955 | | | | 0.0 | |
| 531,653 | | | | (5) | | Fannie Mae REMIC Trust 2015-79 SA, 4.698%, (-1.000*US0001M + 6.250%), 11/25/45 | | | 84,227 | | | | 0.0 | |
| 294,115 | | | | (5) | | Fannie Mae REMIC Trust 2015-82 MS, 4.148%, (-1.000*US0001M + 5.700%), 11/25/45 | | | 40,004 | | | | 0.0 | |
| 725,411 | | | | (5) | | Fannie Mae Series 2016-3 IP, 4.000%, 02/25/46 | | | 146,814 | | | | 0.1 | |
| 929,429 | | | | (5) | | Freddie Mac 4583 ST, 4.523%, (-1.000*
US0001M + 6.000%), 05/15/46 | | | 167,975 | | | | 0.1 | |
| 2,202,058 | | | | (5) | | Freddie Mac 4596 CS, 4.623%, (-1.000*
US0001M + 6.100%), 06/15/46 | | | 332,998 | | | | 0.2 | |
| 536,673 | | | | (5) | | Freddie Mac REMIC Trust 4320 SD, 4.623%,
(-1.000*US0001M + 6.100%), 07/15/39 | | | 79,985 | | | | 0.0 | |
| 422,235 | | | | (5) | | Freddie Mac REMIC Trust 4326 GS, 4.573%,
(-1.000*US0001M + 6.050%), 04/15/44 | | | 68,634 | | | | 0.0 | |
| 350,000 | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 6.202%, (US0001M + 4.650%), 10/25/28 | | | 402,299 | | | | 0.2 | |
See Accompanying Notes to Financial Statements
41
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) |
| 656,038 | | | | (5) | | Ginnie Mae 2015-111 IM, 4.000%, 08/20/45 | | $ | 105,001 | | | | 0.1 | |
| 555,079 | | | | (5) | | Ginnie Mae 2015-119 SN, 4.749%, (-1.000*
US0001M + 6.250%), 08/20/45 | | | 90,018 | | | | 0.1 | |
| 507,971 | | | | (5) | | Ginnie Mae 2016-138 GI, 4.000%, 10/20/46 | | | 84,160 | | | | 0.0 | |
| 381,972 | | | | (5) | | Ginnie Mae Series 2010-20 SE, 4.749%,
(-1.000*US0001M + 6.250%), 02/20/40 | | | 61,573 | | | | 0.0 | |
| 228,985 | | | | (5) | | Ginnie Mae Series 2010-31 SA, 4.249%,
(-1.000*US0001M + 5.750%), 03/20/40 | | | 32,683 | | | | 0.0 | |
| 150,150 | | | | (5) | | Ginnie Mae Series 2012-149 MS, 4.749%,
(-1.000*US0001M + 6.250%), 12/20/42 | | | 24,287 | | | | 0.0 | |
| 84,662 | | | | (5) | | Ginnie Mae Series 2013-134 DS, 4.599%,
(-1.000*US0001M + 6.100%), 09/20/43 | | | 13,225 | | | | 0.0 | |
| 246,586 | | | | (5) | | Ginnie Mae Series 2013-152 SG, 4.649%,
(-1.000*US0001M + 6.150%), 06/20/43 | | | 38,702 | | | | 0.0 | |
| 556,275 | | | | (5) | | Ginnie Mae Series 2013-181 SA, 4.599%,
(-1.000*US0001M + 6.100%), 11/20/43 | | | 87,920 | | | | 0.1 | |
| 825,223 | | | | (5) | | Ginnie Mae Series 2014-132 SL, 4.599%,
(-1.000*US0001M + 6.100%), 10/20/43 | | | 112,494 | | | | 0.1 | |
| 403,996 | | | | (5) | | Ginnie Mae Series 2014-133 BS, 4.099%,
(-1.000*US0001M + 5.600%), 09/20/44 | | | 54,450 | | | | 0.0 | |
| 95,597 | | | | (5) | | Ginnie Mae Series 2014-41 SA, 4.599%,
(-1.000*US0001M + 6.100%), 03/20/44 | | | 15,233 | | | | 0.0 | |
| 872,734 | | | | (5) | | Ginnie Mae Series 2015-110 MS, 4.209%,
(-1.000*US0001M + 5.710%), 08/20/45 | | | 119,656 | | | | 0.1 | |
| 255,372 | | | | (5) | | Ginnie Mae Series 2015-126 HS, 4.699%,
(-1.000*US0001M + 6.200%), 09/20/45 | | | 39,715 | | | | 0.0 | |
| 261,193 | | | | (5) | | Ginnie Mae Series 2015-159 HS, 4.699%,
(-1.000*US0001M + 6.200%), 11/20/45 | | | 40,889 | | | | 0.0 | |
| 604,487 | | | | (5) | | Ginnie Mae Series 2016-4 SM, 4.149%,
(-1.000*US0001M + 5.650%), 01/20/46 | | | 83,235 | | | | 0.0 | |
| 250,000 | | | | (1) | | Mortgage Repurchase Agreement Financing Trust Series 2017-1 A1, 2.282%, (US0001M + 0.850%), 07/10/19 | | | 250,030 | | | | 0.1 | |
| |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) |
| 1,550,000 | | | | (1) | | Mortgage Repurchase Agreement Financing Trust Series 2017-2 A1, 1.779%, (US0001M + 0.550%), 08/12/19 | | $ | 1,557,750 | | | | 0.8 | |
| 250,000 | | | | (1),(4) | | Station Place Securitization Trust 2015-2 A, 2.522%, (US0001M + 1.050%), 05/15/18 | | | 250,000 | | | | 0.1 | |
| 695,169 | | | | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 1A, 2.063%, (12MTA + 1.000%), 08/25/46 | | | 653,614 | | | | 0.3 | |
| 273,992 | | | | | | Other Securities | | | 248,490 | | | | 0.1 | |
| | | | | | | Total Collateralized Mortgage Obligations
(Cost $6,051,375) | | | 6,146,535 | | | | 2.9 | |
| |
| |
MUNICIPAL BONDS: 1.0% |
| |
| 750,000 | | | | | | Other Securities | | | 1,088,757 | | | | 0.5 | |
| |
| |
| 640,000 | | | | | | Other Securities | | | 664,817 | | | | 0.3 | |
| |
| |
| 213,731 | | | | | | Northstar Education Finance, Inc., 1.414%, (US0003M + 0.100%), 04/28/30 | | | 212,433 | | | | 0.1 | |
| |
| |
| 2,255,000 | | | | (3) | | Other Securities | | | 301,206 | | | | 0.1 | |
| | | | | | | Total Municipal Bonds
(Cost $3,081,625) | | | 2,267,213 | | | | 1.0 | |
| |
STRUCTURED PRODUCTS: 0.8% |
EGP 5,000,000 | | | | (6) | | Citigroup Global Markets—Fully-Funded Total Return Swap, Receive the total return of the Arab Republic of Egypt Treasury Bill, 02/08/18 | | | 277,197 | | | | 0.1 | |
EGP12,550,000 | | | | (1),(6) | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 05/03/18 | | | 664,713 | | | | 0.3 | |
EGP 5,000,000 | | | | (1),(6) | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 05/10/18 | | | 264,038 | | | | 0.2 | |
EGP 5,000,000 | | | | (1),(6) | | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 11/01/18 | | | 245,188 | | | | 0.1 | |
EGP 5,000,000 | | | | | | Other Securities | | | 273,737 | | | | 0.1 | |
| | | | | | | Total Structured Products
(Cost $1,720,625) | | | 1,724,873 | | | | 0.8 | |
See Accompanying Notes to Financial Statements
42
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
U.S. GOVERNMENT AGENCY OBLIGATIONS(7): 25.5% |
| Federal Home Loan Bank: 1.1% |
| 900,000 | | | | | | 2.625%, 09/12/25 | | $ | 901,306 | | | | 0.4 | |
| 1,300,000 | | | | | | 2.875%, 06/13/25 | | | 1,333,631 | | | | 0.7 | |
| | | | | | | | | | 2,234,937 | | | | 1.1 | |
| |
| Federal Home Loan Mortgage Corporation: 1.1%(7) |
| 1,329,653 | | | | | | 3.500%, 04/01/43 | | | 1,372,546 | | | | 0.6 | |
| 977,101 | | | | | | 3.500%–4.000%, 02/01/41–03/01/46 | | | 1,012,392 | | | | 0.5 | |
| | | | | | | | | | 2,384,938 | | | | 1.1 | |
| |
| Federal National Mortgage Association: 13.6%(7) |
| 1,400,000 | | | | | | 1.875%, 09/24/26 | | | 1,320,882 | | | | 0.6 | |
| 1,000,000 | | | | (8) | | 3.000%, 01/18/47 | | | 1,000,078 | | | | 0.4 | |
| 1,000,000 | | | | (8) | | 3.500%, 06/25/42 | | | 1,026,797 | | | | 0.5 | |
| 2,000,000 | | | | (8) | | 4.000%, 08/25/40 | | | 2,091,634 | | | | 1.0 | |
| 2,000,000 | | | | (8) | | 4.500%, 01/25/39 | | | 2,128,125 | | | | 1.0 | |
| 15,999,400 | | | | | | 4.500%, 01/01/48 | | | 17,036,236 | | | | 7.9 | |
| 4,418,587 | | | | | | 3.500%–6.000%, 09/01/35–10/01/46 | | | 4,659,081 | | | | 2.2 | |
| | | | | | | | | | 29,262,833 | | | | 13.6 | |
| |
| Government National Mortgage Association: 9.7% |
| 2,000,000 | | | | (8) | | 4.000%, 09/20/40 | | | 2,085,000 | | | | 0.9 | |
| 2,856,705 | | | | | | 4.000%, 10/20/43 | | | 3,010,960 | | | | 1.4 | |
| 1,343,397 | | | | | | 4.000%, 09/20/45 | | | 1,408,514 | | | | 0.6 | |
| 2,196,009 | | | | | | 4.000%, 10/20/45 | | | 2,302,455 | | | | 1.1 | |
| 964,403 | | | | | | 4.000%, 02/20/46 | | | 1,012,258 | | | | 0.5 | |
| 4,128,707 | | | | | | 4.000%, 03/20/46 | | | 4,341,451 | | | | 2.0 | |
| 2,000,001 | | | | | | 4.000%, 05/20/47 | | | 2,087,222 | | | | 1.0 | |
| 2,870,553 | | | | | | 4.000%, 06/20/47 | | | 2,996,616 | | | | 1.4 | |
| 1,586,210 | | | | | | 4.000%, 07/20/45– 11/20/45 | | | 1,662,670 | | | | 0.8 | |
| | | | | | | | | | 20,907,146 | | | | 9.7 | |
| | | | | | | Total U.S. Government Agency Obligations
(Cost $55,055,131) | | | 54,789,854 | | | | 25.5 | |
| |
U.S. TREASURY OBLIGATIONS: 14.4% |
| Treasury Inflation Indexed Protected Securities: 0.8% |
| 1,509,993 | | | | | | 0.375%–2.500%,
01/15/26–02/15/47 | | | 1,617,068 | | | | 0.8 | |
| |
| U.S. Treasury Bonds: 2.9% |
| 3,790,000 | | | | | | 2.875%, 11/15/46 | | | 3,884,363 | | | | 1.8 | |
| 2,160,000 | | | | | | 3.000%, 11/15/45 | | | 2,266,452 | | | | 1.1 | |
| | | | | | | | | | 6,150,815 | | | | 2.9 | |
| |
| U.S. Treasury Notes: 10.0% |
| 3,110,000 | | | | | | 2.125%, 11/30/24 | | | 3,068,859 | | | | 1.4 | |
| 5,390,000 | | | | | | 2.000%, 11/15/26 | | | 5,215,597 | | | | 2.4 | |
| 11,830,000 | | | | | | 2.125%, 07/31/24 | | | 11,688,642 | | | | 5.4 | |
| 1,600,000 | | | | | | 2.250%, 12/31/24 | | | 1,591,172 | | | | 0.8 | |
| | | | | | | | | | 21,564,270 | | | | 10.0 | |
| |
| U.S. Treasury STRIP: 0.7% |
| 1,930,000 | | | | (5) | | —%, 02/15/36 | | | 1,187,058 | | | | 0.5 | |
| 700,000 | | | | (5),(9) | | —%, 08/15/36 | | | 424,268 | | | | 0.2 | |
| | | | | | | | | | 1,611,326 | | | | 0.7 | |
| | | | | | | Total U.S. Treasury Obligations
(Cost $31,020,906) | | | 30,943,479 | | | | 14.4 | |
| |
ASSET-BACKED SECURITIES: 18.1% |
| Other Asset-Backed Securities: 9.7% |
| 250,000 | | | | (1) | | B&M CLO 2014-1A A2, 3.309%, (US0003M + 1.950%), 04/16/26 | | $ | 250,369 | | | | 0.1 | |
| 1,050,000 | | | | (1) | | BlueMountain CLO 2014-2A AR, 2.293%, (US0003M + 0.930%), 07/20/26 | | | 1,052,873 | | | | 0.5 | |
| 1,000,000 | | | | (1) | | Catamaran CLO 2013-1A AR Ltd., 2.363%, (US0003M + 0.850%), 01/27/28 | | | 1,000,000 | | | | 0.5 | |
| 1,300,000 | | | | (1) | | Crown Point CLO III Ltd. 2015-3A A1AR, 2.269%, (US0003M + 0.910%), 12/31/27 | | | 1,300,225 | | | | 0.6 | |
| 1,050,000 | | | | (1) | | Cutwater 2014-1A A1AR, 2.609%, (US0003M + 1.250%), 07/15/26 | | | 1,052,350 | | | | 0.5 | |
| 650,000 | | | | (1) | | Greywolf CLO V Ltd. 2015-1A A1, 2.967%, (US0003M + 1.600%), 04/25/27 | | | 651,042 | | | | 0.3 | |
| 1,050,000 | | | | (1) | | Halcyon Loan Advisors Funding 2015-2A A, 2.757%, (US0003M + 1.390%), 07/25/27 | | | 1,050,667 | | | | 0.5 | |
| 1,550,000 | | | | (1) | | ICG US CLO 2014-1A A1R Ltd., 2.588%, (US0003M + 1.220%), 01/20/30 | | | 1,550,584 | | | | 0.7 | |
| 1,050,000 | | | | (1) | | Neuberger Berman CLO XIX Ltd. 2015-19A A1R, 2.409%, (US0003M + 1.050%), 07/15/27 | | | 1,053,841 | | | | 0.5 | |
| 1,050,000 | | | | (1) | | OCP CLO 2015-9A A1R Ltd., 2.159%, (US0003M + 0.800%), 07/15/27 | | | 1,050,494 | | | | 0.5 | |
| 983,746 | | | | (1) | | OFSI Fund VI Ltd. 2014-6A A1, 2.389%, (US0003M + 1.030%), 03/20/25 | | | 983,358 | | | | 0.5 | |
| 2,000,000 | | | | (1) | | OFSI Fund VII Ltd. 2014-7A AR, 2.254%, (US0003M + 0.900%), 10/18/26 | | | 2,001,756 | | | | 0.9 | |
| 2,150,000 | | | | (1) | | Saranac CLO Ltd 2014-2A A1AR, 2.666%, (US0003M + 1.230%), 11/20/29 | | | 2,150,974 | | | | 1.0 | |
| 1,000,000 | | | | | | Soundview Home Loan Trust 2005-2 M6, 2.632%, (US0001M + 1.080%), 07/25/35 | | | 998,425 | | | | 0.5 | |
| 800,000 | | | | (1) | | Trinitas CLO II Ltd. 2014-2A A1R, 2.539%, (US0003M + 1.180%), 07/15/26 | | | 801,571 | | | | 0.4 | |
| 1,000,000 | | | | (1) | | Trinitas CLO Ltd. 2015-3A A2, 2.869%, (US0003M + 1.510%), 07/15/27 | | | 1,000,975 | | | | 0.4 | |
See Accompanying Notes to Financial Statements
43
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
ASSET-BACKED SECURITIES: (continued) |
| Other Asset-Backed Securities: (continued) |
| 440,082 | | | | | | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust A3, 1.782%, (US0001M + 0.230%), 04/25/37 | | $ | 419,925 | | | | 0.2 | |
| 1,500,000 | | | | (1) | | York CLO 1 Ltd. 2014-1A AR, 2.513%, (US0003M + 1.150%), 01/22/27 | | | 1,505,727 | | | | 0.7 | |
| 916,981 | | | | (1) | | Z Capital Credit Partners CLO Ltd. 2015-1A A1, 2.689%, (US0003M + 1.330%), 07/16/27 | | | 917,439 | | | | 0.4 | |
| | | | | | | | | | 20,792,595 | | | | 9.7 | |
| |
| Student Loan Asset-Backed Securities: 8.4% |
| 1,150,000 | | | | (1) | | Academic Loan Funding Trust 2012-1A A2, 2.428%, (US0001M + 1.100%), 12/27/44 | | | 1,150,530 | | | | 0.5 | |
| 199,274 | | | | (1) | | Bank of America Student Loan Trust 2010-1A A, 2.167%, (US0003M + 0.800%), 02/25/43 | | | 200,347 | | | | 0.1 | |
| 788,529 | | | | (1) | | ECMC Group Student Loan Trust 2016-1, 2.902%, (US0001M + 1.350%), 07/26/66 | | | 802,790 | | | | 0.4 | |
| 564,409 | | | | (1) | | Edsouth Indenture No 9 LLC 2015-1 A, 2.352%, (US0001M + 0.800%), 10/25/56 | | | 566,451 | | | | 0.3 | |
| 1,100,000 | | | | (1) | | EFS Volunteer No 2 LLC 2012-1 A2, 2.902%, (US0001M + 1.350%), 03/25/36 | | | 1,131,306 | | | | 0.5 | |
| 650,000 | | | | (1) | | EFS Volunteer No 3 LLC 2012-1 A3, 2.552%, (US0001M + 1.000%), 04/25/33 | | | 650,909 | | | | 0.3 | |
| 600,000 | | | | | | Montana Higher Education Student Assistance Corp. 2012-1 A3, 2.333%, (US0001M + 1.050%), 07/20/43 | | | 610,132 | | | | 0.3 | |
| 1,674,230 | | | | (1) | | Navient Student Loan Trust 2016-5A A, 2.802%, (US0001M + 1.250%), 06/25/65 | | | 1,712,214 | | | | 0.8 | |
| 839,437 | | | | (1) | | Navient Student Loan Trust 2016-7 A, 2.702%, (US0001M + 1.150%), 03/25/66 | | | 860,054 | | | | 0.4 | |
| 1,050,000 | | | | (1) | | Nelnet Student Loan Trust 2006-1 A6, 1.904%, (US0003M + 0.450%), 08/23/36 | | | 1,027,731 | | | | 0.5 | |
| 1,100,000 | | | | (1) | | Nelnet Student Loan Trust 2006-2 A7, 1.947%, (US0003M + 0.580%), 01/25/37 | | | 1,082,636 | | | | 0.5 | |
| |
ASSET-BACKED SECURITIES: (continued) |
| Student Loan Asset-Backed Securities: (continued) |
| 860,544 | | | | (1) | | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 2.702%, (US0001M + 1.150%), 09/25/65 | | $ | 875,826 | | | | 0.4 | |
| 282,166 | | | | (1) | | Scholar Funding Trust 2010-A A, 2.128%, (US0003M + 0.750%), 10/28/41 | | | 280,359 | | | | 0.1 | |
| 616,046 | | | | (1) | | SLM Student Loan Trust 2003-1 A5A, 1.699%, (US0003M + 0.110%), 12/15/32 | | | 596,096 | | | | 0.3 | |
| 810,686 | | | | (1) | | SLM Student Loan Trust 2003-7A A5A, 2.789%, (US0003M + 1.200%), 12/15/33 | | | 822,342 | | | | 0.4 | |
| 550,000 | | | | (1) | | SLM Student Loan Trust 2004-8A A6, 1.997%, (US0003M + 0.630%), 01/25/40 | | | 550,997 | | | | 0.2 | |
| 626,827 | | | | | | SLM Student Loan Trust 2005-4 A3, 1.487%, (US0003M + 0.120%), 01/25/27 | | | 624,220 | | | | 0.3 | |
| 250,000 | | | | | | SLM Student Loan Trust 2005-5 A5, 2.117%, (US0003M + 0.750%), 10/25/40 | | | 249,000 | | | | 0.1 | |
| 347,993 | | | | | | SLM Student Loan Trust 2007-1 A5, 1.457%, (US0003M + 0.090%), 01/26/26 | | | 348,173 | | | | 0.1 | |
| 750,000 | | | | | | SLM Student Loan Trust 2007-2 A4, 1.427%, (US0003M + 0.060%), 07/25/22 | | | 729,578 | | | | 0.3 | |
| 428,452 | | | | | | SLM Student Loan Trust 2007-7 A4, 1.697%, (US0003M + 0.330%), 01/25/22 | | | 423,369 | | | | 0.2 | |
| 155,281 | | | | | | SLM Student Loan Trust 2008-2 A3, 2.117%, (US0003M + 0.750%), 04/25/23 | | | 155,293 | | | | 0.1 | |
| 432,605 | | | | | | SLM Student Loan Trust 2008-4 A4, 3.017%, (US0003M + 1.650%), 07/25/22 | | | 443,844 | | | | 0.2 | |
| 1,174,302 | | | | | | SLM Student Loan Trust 2008-5 A4, 3.067%, (US0003M + 1.700%), 07/25/23 | | | 1,212,273 | | | | 0.6 | |
| 600,000 | | | | | | SLM Student Loan Trust 2008-6 A4, 2.467%, (US0003M + 1.100%), 07/25/23 | | | 608,489 | | | | 0.3 | |
See Accompanying Notes to Financial Statements
44
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
ASSET-BACKED SECURITIES: (continued) |
| Student Loan Asset-Backed Securities: (continued) |
| 350,000 | | | | | | SLM Student Loan Trust 2008-8 A4, 2.867%, (US0003M + 1.500%), 04/25/23 | | $ | 359,398 | | | | 0.2 | |
| | | | | | | | | | 18,074,357 | | | | 8.4 | |
| | | | | | | Total Asset-Backed Securities
(Cost $38,350,493) | | | 38,866,952 | | | | 18.1 | |
| |
FOREIGN GOVERNMENT BONDS: 3.5% |
| 40,000 | | | | (10) | | Argentina Government International Bond, 2.500%, 12/31/38 | | | 29,506 | | | | 0.0 | |
| 420,000 | | | | (1),(11) | | Argentine Republic Government International Bond, 7.125%,
06/28/2117 | | | 433,860 | | | | 0.2 | |
EUR 360,000 | | | | | | Argentine Republic Government International Bond, 2.260%–5.250%, 01/15/23–12/31/38 | | | 442,617 | | | | 0.2 | |
| 160,000 | | | | (1) | | Dominican Republic International Bond, 5.500%, 01/27/25 | | | 169,800 | | | | 0.1 | |
| 240,000 | | | | (1) | | Indonesia Government International Bond, 3.850%, 07/18/27 | | | 246,611 | | | | 0.1 | |
EUR 100,000 | | | | (1) | | Indonesia Government International Bond, 2.150%, 07/18/24 | | | 126,020 | | | | 0.1 | |
| 200,000 | | | | (1) | | Indonesia Government International Bond, 3.700%, 01/08/22 | | | 205,753 | | | | 0.1 | |
| 260,000 | | | | (1) | | Indonesia Government International Bond, 4.350%, 01/08/27 | | | 275,503 | | | | 0.1 | |
| 600,000 | | | | | | Indonesia Government International Bond, 4.125%–5.375%,
10/17/23–01/15/25 | | | 654,560 | | | | 0.3 | |
| 1,375,000 | | | | | | Israel Government AID Bond, 5.500%, 09/18/23 | | | 1,600,952 | | | | 0.7 | |
| 1,039,000 | | | | | | Israel Government AID Bond, 5.500%, 12/04/23 | | | 1,215,876 | | | | 0.6 | |
| 16,409,500 | | | | (3) | | Other Securities | | | 2,213,345 | | | | 1.0 | |
| | | | | | | Total Foreign Government Bonds
(Cost $7,432,523) | | | 7,614,403 | | | | 3.5 | |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
PREFERRED STOCK: 0.1% |
| |
| 9,690 | | | | (12) | | Other Securities | | | 213,785 | | | | 0.1 | |
| | | | | | | Total Preferred Stock
(Cost $215,552) | | | 213,785 | | | | 0.1 | |
| | | | | | | Total Long-Term Investments
(Cost $207,653,826) | | | 207,630,829 | | | | 96.6 | |
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
SHORT-TERM INVESTMENTS: 7.0% |
| Securities Lending Collateral(13): 0.4% |
| 816,854 | | | | | | Cantor Fitzgerald, Repurchase Agreement dated 12/29/17, 1.41%, due 01/02/18 (Repurchase Amount $816,980, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–8.500%, Market Value plus accrued interest $833,191, due 01/31/18–06/20/63)
(Cost $816,854) | | $ | 816,854 | | | | 0.4 | |
| Shares | | | | | | | | Value | | Percentage
of Net
Assets |
|---|
| |
| 14,194,216 | | | | (14) | | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.170%
(Cost $14,194,216) | | | 14,194,216 | | | | 6.6 | |
| | | | | | | Total Short-Term Investments
(Cost $15,011,070) | | | 15,011,070 | | | | 7.0 | |
| | | | | | | Total Investments in Securities
(Cost $222,664,896) | | $ | 222,641,899 | | | | 103.6 | |
| | | | | | | Liabilities in Excess of Other Assets | | | (7,690,122 | ) | | | (3.6 | ) |
| | | | | | | Net Assets | | $ | 214,951,777 | | | | 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 December 31, 2017.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
| † | | Unless otherwise indicated, principal amount is shown in USD. |
| (1) | | 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. |
| (2) | | The grouping contains securities on loan. |
| (3) | | The grouping contains securities in default. |
| (4) | | For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs. |
| (5) | | 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. |
| (6) | | Represents a zero coupon bond. Rate shown reflects the effective yield as of December 31, 2017. |
| (7) | | 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. |
| (8) | | Settlement is on a when-issued or delayed-delivery basis. |
| (9) | | Separate Trading of Registered Interest and Principal of Securities |
See Accompanying Notes to Financial Statements
45
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
| (11) | | Security, or a portion of the security, is on loan. |
| (12) | | The grouping contains non-income producing securities. |
| (13) | | Represents securities purchased with cash collateral received for securities on loan. |
| (14) | | Rate shown is the 7-day yield as of December 31, 2017. |
Reference Rate Abbreviations:
| 12MTA | | 12-month Treasury Average |
| EUR003M | | 3-month EURIBOR |
| US0001M | | 1-month LIBOR |
| US0003M | | 3-month LIBOR |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | | | | | | |
| Preferred Stock | | | | $ | — | | | | $ | 213,785 | | | | $ | — | | | | $ | 213,785 | |
| Corporate Bonds/Notes | | | | | — | | | | | 65,063,735 | | | | | — | | | | | 65,063,735 | |
| Collateralized Mortgage Obligations | | | | | — | | | | | 5,431,341 | | | | | 715,194 | | | | | 6,146,535 | |
| Municipal Bonds | | | | | — | | | | | 2,267,213 | | | | | — | | | | | 2,267,213 | |
| Structured Products | | | | | — | | | | | 1,724,873 | | | | | — | | | | | 1,724,873 | |
| U.S. Treasury Obligations | | | | | — | | | | | 30,943,479 | | | | | — | | | | | 30,943,479 | |
| Asset-Backed Securities | | | | | — | | | | | 38,866,952 | | | | | — | | | | | 38,866,952 | |
| Foreign Government Bonds | | | | | — | | | | | 7,614,403 | | | | | — | | | | | 7,614,403 | |
| U.S. Government Agency Obligations | | | | | — | | | | | 54,789,854 | | | | | — | | | | | 54,789,854 | |
| Short-Term Investments | | | | | 14,194,216 | | | | | 816,854 | | | | | — | | | | | 15,011,070 | |
| Total Investments, at fair value | | | | $ | 14,194,216 | | | | $ | 207,732,489 | | | | $ | 715,194 | | | | $ | 222,641,899 | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | | — | | | | | 327,191 | | | | | — | | | | | 327,191 | |
| Forward Foreign Currency Contracts | | | | | — | | | | | 1,771,386 | | | | | — | | | | | 1,771,386 | |
| Futures | | | | | 86,988 | | | | | — | | | | | — | | | | | 86,988 | |
| Total Assets | | | | $ | 14,281,204 | | | | $ | 209,831,066 | | | | $ | 715,194 | | | | $ | 224,827,464 | |
Liabilities Table | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments+ | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Swaps | | | | $ | — | | | | $ | (840,980 | ) | | | $ | — | | | | $ | (840,980 | ) |
| Forward Foreign Currency Contracts | | | | | — | | | | | (1,296,378 | ) | | | | — | | | | | (1,296,378 | ) |
| Futures | | | | | (49,446 | ) | | | | — | | | | | — | | | | | (49,446 | ) |
| OTC Swaps | | | | | — | | | | | (172,475 | ) | | | | — | | | | | (172,475 | ) |
| Sales Commitments | | | | | — | | | | | (2,054,011 | ) | | | | — | | | | | (2,054,011 | ) |
| Total Liabilities | | | | $ | (49,446 | ) | | | $ | (4,363,844 | ) | | | $ | — | | | | $ | (4,413,290 | ) |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
| + | | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
At December 31, 2017, the following forward foreign currency contracts were outstanding for VY® Goldman Sachs Bond Portfolio:
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD 64,803 | | | | ARS 1,198,855 | | Bank of America N.A. | | 01/02/18 | | | $ | 435 | |
| CNY 858,051 | | | | USD 129,791 | | Bank of America N.A. | | 01/12/18 | | | | 1,879 | |
| CLP 124,464,782 | | | | USD 190,000 | | Bank of America N.A. | | 01/16/18 | | | | 12,250 | |
| USD 130,049 | | | | TWD 3,894,320 | | Bank of America N.A. | | 01/23/18 | | | | (1,493 | ) |
| ARS 1,297,745 | | | | USD 70,722 | | Bank of America N.A. | | 01/29/18 | | | | (2,136 | ) |
| USD 369,749 | | | | BRL 1,222,776 | | Bank of America N.A. | | 02/02/18 | | | | 2,519 | |
| BRL 646,739 | | | | USD 194,650 | | Bank of America N.A. | | 02/02/18 | | | | (418 | ) |
| BRL 878,610 | | | | USD 267,008 | | Bank of America N.A. | | 02/02/18 | | | | (3,139 | ) |
See Accompanying Notes to Financial Statements
46
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| BRL 645,495 | | | | USD 192,147 | | Bank of America N.A. | | 02/02/18 | | | $ | 1,711 | |
| CNY 1,443,660 | | | | USD 220,997 | | Bank of America N.A. | | 02/05/18 | | | | 155 | |
| ARS 1,198,855 | | | | USD 62,440 | | Bank of America N.A. | | 03/15/18 | | | | (516 | ) |
| USD 189,910 | | | | NZD 267,021 | | Bank of America N.A. | | 03/21/18 | | | | 857 | |
| NZD 277,000 | | | | USD 189,199 | | Bank of America N.A. | | 03/21/18 | | | | 6,920 | |
| USD 92,146 | | | | GBP 68,051 | | Bank of America N.A. | | 03/21/18 | | | | 27 | |
| CAD 127,393 | | | | USD 99,391 | | Bank of America N.A. | | 03/21/18 | | | | 2,060 | |
| EUR 331,049 | | | | USD 392,865 | | Bank of America N.A. | | 03/21/18 | | | | 6,224 | |
| EUR 159,062 | | | | USD 189,752 | | Bank of America N.A. | | 03/21/18 | | | | 2,002 | |
| PLN 185,097 | | | | EUR 43,685 | | Bank of America N.A. | | 03/21/18 | | | | 526 | |
| USD 379,477 | | | | AUD 487,082 | | Bank of America N.A. | | 03/21/18 | | | | (517 | ) |
| NOK 1,666,310 | | | | EUR 168,134 | | Bank of America N.A. | | 03/21/18 | | | | 700 | |
| USD 1,187,047 | | | | EUR 999,581 | | Bank of America N.A. | | 03/21/18 | | | | (17,977 | ) |
| CHF 186,629 | | | | EUR 159,672 | | Bank of America N.A. | | 03/21/18 | | | | 120 | |
| MXN 2,238,686 | | | | USD 112,967 | | Bank of America N.A. | | 03/21/18 | | | | (701 | ) |
| CZK 8,169,600 | | | | EUR 320,000 | | Bank of America N.A. | | 03/21/18 | | | | (617 | ) |
| USD 188,965 | | | | MXN 3,703,279 | | Bank of America N.A. | | 03/21/18 | | | | 3,252 | |
| HUF 51,415,440 | | | | EUR 164,045 | | Bank of America N.A. | | 03/21/18 | | | | 1,549 | |
| NOK 1,449,149 | | | | EUR 145,769 | | Bank of America N.A. | | 03/21/18 | | | | 1,154 | |
| USD 189,000 | | | | MXN 3,692,134 | | Bank of America N.A. | | 03/21/18 | | | | 3,845 | |
| SEK 27,043,082 | | | | EUR 2,730,328 | | Bank of America N.A. | | 03/21/18 | | | | 20,986 | |
| MXN 1,404,751 | | | | USD 70,969 | | Bank of America N.A. | | 03/21/18 | | | | (522 | ) |
| USD 98,074 | | | | EUR 82,291 | | Bank of America N.A. | | 03/21/18 | | | | (1,130 | ) |
| GBP 67,722 | | | | USD 91,055 | | Bank of America N.A. | | 03/21/18 | | | | 618 | |
| NOK 716,446 | | | | EUR 72,378 | | Bank of America N.A. | | 03/21/18 | | | | 196 | |
| EUR 161,000 | | | | GBP 142,370 | | Bank of America N.A. | | 03/21/18 | | | | 1,368 | |
| CHF 200,743 | | | | EUR 171,893 | | Bank of America N.A. | | 03/21/18 | | | | (47 | ) |
| USD 378,929 | | | | MXN 7,531,777 | | Bank of America N.A. | | 03/21/18 | | | | 1,222 | |
| USD 207,915 | | | | AUD 266,207 | | Bank of America N.A. | | 03/21/18 | | | | 236 | |
| SGD 174,634 | | | | USD 129,791 | | Bank of America N.A. | | 03/21/18 | | | | 939 | |
| USD 879,235 | | | | CAD 1,111,889 | | Bank of America N.A. | | 03/21/18 | | | | (6,232 | ) |
| HUF 50,596,021 | | | | EUR 161,000 | | Bank of America N.A. | | 03/21/18 | | | | 2,043 | |
| USD 76,668 | | | | CAD 96,838 | | Bank of America N.A. | | 03/21/18 | | | | (450 | ) |
| CHF 374,334 | | | | EUR 321,000 | | Bank of America N.A. | | 03/21/18 | | | | (647 | ) |
| CAD 99,350 | | | | USD 77,606 | | Bank of America N.A. | | 03/21/18 | | | | 1,512 | |
| MXN 3,675,950 | | | | USD 189,967 | | Bank of America N.A. | | 03/21/18 | | | | (5,623 | ) |
| USD 188,000 | | | | CNH 1,250,636 | | Bank of America N.A. | | 03/21/18 | | | | (3,172 | ) |
| EUR 161,000 | | | | GBP 140,559 | | Bank of America N.A. | | 03/21/18 | | | | 3,819 | |
| CAD 249,417 | | | | USD 196,869 | | Bank of America N.A. | | 03/21/18 | | | | 1,757 | |
| CHF 189,184 | | | | EUR 162,000 | | Bank of America N.A. | | 03/21/18 | | | | (51 | ) |
| EUR 161,000 | | | | GBP 140,708 | | Bank of America N.A. | | 03/21/18 | | | | 3,617 | |
| EUR 162,000 | | | | NZD 279,985 | | Bank of America N.A. | | 03/21/18 | | | | (2,937 | ) |
| MXN 3,649,382 | | | | USD 190,000 | | Bank of America N.A. | | 03/21/18 | | | | (6,989 | ) |
| GBP 143,490 | | | | EUR 163,520 | | Bank of America N.A. | | 03/21/18 | | | | (2,890 | ) |
| CAD 243,779 | | | | USD 190,000 | | Bank of America N.A. | | 03/21/18 | | | | 4,137 | |
| EUR 162,883 | | | | GBP 143,965 | | Bank of America N.A. | | 03/21/18 | | | | 1,479 | |
| NOK 1,587,869 | | | | EUR 162,000 | | Bank of America N.A. | | 03/21/18 | | | | (1,481 | ) |
| CAD 244,353 | | | | USD 190,000 | | Bank of America N.A. | | 03/21/18 | | | | 4,593 | |
| USD 113,931 | | | | AUD 151,000 | | Bank of America N.A. | | 03/21/18 | | | | (3,871 | ) |
| CAD 243,696 | | | | USD 190,000 | | Bank of America N.A. | | 03/21/18 | | | | 4,070 | |
| CZK 3,426,474 | | | | EUR 134,151 | | Bank of America N.A. | | 03/21/18 | | | | (183 | ) |
| USD 70,280 | | | | MXN 1,365,591 | | Bank of America N.A. | | 03/21/18 | | | | 1,798 | |
| CAD 244,193 | | | | USD 190,000 | | Bank of America N.A. | | 03/21/18 | | | | 4,466 | |
| JPY 42,576,294 | | | | USD 378,000 | | Bank of America N.A. | | 03/22/18 | | | | 1,413 | |
| ARS 1,996,400 | | | | USD 106,874 | | Bank of America N.A. | | 03/22/18 | | | | (4,113 | ) |
| JPY 21,374,790 | | | | USD 191,000 | | Bank of America N.A. | | 03/22/18 | | | | (521 | ) |
| USD 570,000 | | | | JPY 63,797,478 | | Bank of America N.A. | | 03/22/18 | | | | 1,477 | |
| JPY 21,420,030 | | | | USD 190,000 | | Bank of America N.A. | | 03/22/18 | | | | 882 | |
| USD 190,000 | | | | ZAR 2,629,019 | | Bank of America N.A. | | 03/22/18 | | | | (20,005 | ) |
| USD 761,000 | | | | JPY 84,789,859 | | Bank of America N.A. | | 03/22/18 | | | | 5,406 | |
| JPY 18,925,711 | | | | USD 169,406 | | Bank of America N.A. | | 03/22/18 | | | | (752 | ) |
| USD 190,000 | | | | JPY 21,403,918 | | Bank of America N.A. | | 03/22/18 | | | | (738 | ) |
| USD 189,057 | | | | ZAR 2,389,115 | | Bank of America N.A. | | 03/22/18 | | | | (1,784 | ) |
See Accompanying Notes to Financial Statements
47
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| JPY 21,301,561 | | | | USD 191,000 | | Bank of America N.A. | | 03/22/18 | | | $ | (1,174 | ) |
| USD 190,756 | | | | JPY 21,392,568 | | Bank of America N.A. | | 03/22/18 | | | | 119 | |
| JPY 25,578,864 | | | | USD 228,000 | | Bank of America N.A. | | 03/22/18 | | | | (57 | ) |
| USD 189,073 | | | | ZAR 2,377,552 | | Bank of America N.A. | | 03/22/18 | | | | (845 | ) |
| JPY 21,376,214 | | | | EUR 159,000 | | Bank of America N.A. | | 03/22/18 | | | | (1,201 | ) |
| JPY 21,345,816 | | | | USD 191,000 | | Bank of America N.A. | | 03/22/18 | | | | (780 | ) |
| ARS 2,004,961 | | | | USD 106,083 | | Bank of America N.A. | | 03/27/18 | | | | (3,139 | ) |
| USD 150,962 | | | | PHP 7,542,045 | | Barclays Bank PLC | | 01/03/18 | | | | (118 | ) |
| CLP 127,656,926 | | | | USD 195,613 | | Barclays Bank PLC | | 01/05/18 | | | | 11,824 | |
| INR 66,441,351 | | | | USD 1,030,210 | | Barclays Bank PLC | | 01/08/18 | | | | 10,229 | |
| INR 12,354,262 | | | | USD 191,000 | | Barclays Bank PLC | | 01/08/18 | | | | 2,462 | |
| IDR 5,239,185,281 | | | | USD 382,925 | | Barclays Bank PLC | | 01/12/18 | | �� | | 3,381 | |
| USD 130,049 | | | | CNY 862,551 | | Barclays Bank PLC | | 01/12/18 | | | | (2,312 | ) |
| CNY 5,312,812 | | | | USD 800,906 | | Barclays Bank PLC | | 01/12/18 | | | | 14,360 | |
| IDR 3,990,620,579 | | | | USD 293,903 | | Barclays Bank PLC | | 01/12/18 | | | | 341 | |
| CNY 756,479 | | | | USD 114,940 | | Barclays Bank PLC | | 01/12/18 | | | | 1,144 | |
| USD 898,926 | | | | GBP 683,492 | | Barclays Bank PLC | | 01/19/18 | | | | (24,447 | ) |
| GBP 730,000 | | | | USD 960,094 | | Barclays Bank PLC | | 01/19/18 | | | | 26,110 | |
| USD 189,915 | | | | CLP 116,816,452 | | Barclays Bank PLC | | 01/22/18 | | | | 93 | |
| INR 65,097,522 | | | | USD 990,845 | | Barclays Bank PLC | | 01/25/18 | | | | 27,128 | |
| TWD 3,430,964 | | | | USD 114,940 | | Barclays Bank PLC | | 01/26/18 | | | | 1,036 | |
| USD 408,203 | | | | BRL 1,319,556 | | Barclays Bank PLC | | 02/02/18 | | | | 11,907 | |
| USD 480,582 | | | | TWD 14,246,841 | | Barclays Bank PLC | | 02/02/18 | | | | (1,752 | ) |
| USD 125,517 | | | | BRL 418,346 | | Barclays Bank PLC | | 02/02/18 | | | | (123 | ) |
| BRL 1,335,465 | | | | USD 398,311 | | Barclays Bank PLC | | 02/02/18 | | | | 2,762 | |
| USD 188,580 | | | | PHP 9,761,850 | | Barclays Bank PLC | | 02/09/18 | | | | (6,790 | ) |
| RUB 11,168,471 | | | | USD 188,998 | | Barclays Bank PLC | | 02/12/18 | | | | 3,272 | |
| INR 5,607,422 | | | | USD 86,017 | | Barclays Bank PLC | | 02/15/18 | | | | 1,492 | |
| USD 185,273 | | | | PHP 9,456,327 | | Barclays Bank PLC | | 02/22/18 | | | | (3,884 | ) |
| PHP 7,542,045 | | | | USD 150,901 | | Barclays Bank PLC | | 02/22/18 | | | | (36 | ) |
| USD 1,677,664 | | | | TWD 50,413,804 | | Barclays Bank PLC | | 02/22/18 | | | | (32,209 | ) |
| GBP 141,000 | | | | USD 187,254 | | Barclays Bank PLC | | 03/21/18 | | | | 3,614 | |
| USD 76,085 | | | | NZD 110,000 | | Barclays Bank PLC | | 03/21/18 | | | | (1,797 | ) |
| USD 114,000 | | | | TRY 450,658 | | Barclays Bank PLC | | 03/21/18 | | | | (2,182 | ) |
| CHF 373,644 | | | | EUR 319,000 | | Barclays Bank PLC | | 03/21/18 | | | | 1,052 | |
| USD 156,096 | | | | TRY 615,664 | | Barclays Bank PLC | | 03/21/18 | | | | (2,626 | ) |
| USD 191,177 | | | | AUD 245,062 | | Barclays Bank PLC | | 03/21/18 | | | | (6 | ) |
| USD 387,765 | | | | CHF 379,808 | | Barclays Bank PLC | | 03/21/18 | | | | (4,213 | ) |
| CAD 244,591 | | | | USD 191,000 | | Barclays Bank PLC | | 03/21/18 | | | | 3,783 | |
| USD 130,049 | | | | SGD 175,707 | | Barclays Bank PLC | | 03/21/18 | | | | (1,484 | ) |
| USD 152,998 | | | | TRY 611,910 | | Barclays Bank PLC | | 03/21/18 | | | | (4,756 | ) |
| EUR 36,108 | | | | HUF 11,241,023 | | Barclays Bank PLC | | 03/21/18 | | | | (46 | ) |
| EUR 213,097 | | | | HUF 66,385,577 | | Barclays Bank PLC | | 03/21/18 | | | | (447 | ) |
| USD 152,000 | | | | TRY 601,218 | | Barclays Bank PLC | | 03/21/18 | | | | (2,998 | ) |
| GBP 289,088 | | | | EUR 328,898 | | Barclays Bank PLC | | 03/21/18 | | | | (5,166 | ) |
| JPY 42,596,051 | | | | USD 378,040 | | Barclays Bank PLC | | 03/22/18 | | | | 1,549 | |
| USD 379,020 | | | | JPY 42,497,701 | | Barclays Bank PLC | | 03/22/18 | | | | 307 | |
| ZAR 21,440,277 | | | | USD 1,541,003 | | Barclays Bank PLC | | 03/22/18 | | | | 171,636 | |
| ZAR 2,626,745 | | | | USD 191,000 | | Barclays Bank PLC | | 03/22/18 | | | | 18,823 | |
| ZAR 2,454,749 | | | | USD 190,000 | | Barclays Bank PLC | | 03/22/18 | | | | 6,084 | |
| ZAR 2,472,489 | | | | USD 190,000 | | Barclays Bank PLC | | 03/22/18 | | | | 7,501 | |
| ZAR 2,430,436 | | | | USD 190,000 | | Barclays Bank PLC | | 03/22/18 | | | | 4,142 | |
| USD 568,000 | | | | HKD 4,405,522 | | Barclays Bank PLC | | 09/19/18 | | | | 1,609 | |
| USD 379,000 | | | | HKD 2,939,885 | | Barclays Bank PLC | | 09/19/18 | | | | 1,037 | |
| ARS 1,198,855 | | | | USD 67,541 | | Citibank N.A. | | 01/02/18 | | | | (3,173 | ) |
| TWD 2,063,130 | | | | USD 69,001 | | Citibank N.A. | | 01/02/18 | | | | 328 | |
| EUR 1,126,407 | | | | CZK 28,892,338 | | Citibank N.A. | | 01/03/18 | | | | (5,317 | ) |
| PHP 4,264,680 | | | | USD 84,000 | | Citibank N.A. | | 01/05/18 | | | | 1,425 | |
| CLP 49,210,000 | | | | USD 76,000 | | Citibank N.A. | | 01/05/18 | | | | 3,964 | |
| ARS 4,386,255 | | | | USD 238,383 | | Citibank N.A. | | 01/08/18 | | | | (3,700 | ) |
| PHP 3,853,200 | | | | USD 76,000 | | Citibank N.A. | | 01/08/18 | | | | 1,178 | |
| INR 23,830,071 | | | | USD 359,580 | | Citibank N.A. | | 01/12/18 | | | | 13,465 | |
| IDR 5,220,312,640 | | | | USD 381,658 | | Citibank N.A. | | 01/12/18 | | | | 3,257 | |
See Accompanying Notes to Financial Statements
48
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| KRW 209,824,110 | | | | USD 192,217 | | Citibank N.A. | | 01/16/18 | | | $ | 4,101 | |
| KRW 207,290,000 | | | | USD 190,000 | | Citibank N.A. | | 01/16/18 | | | | 3,947 | |
| KRW 1,303,868,151 | | | | USD 1,200,195 | | Citibank N.A. | | 01/16/18 | | | | 19,745 | |
| USD 873,279 | | | | ZAR 12,649,978 | | Citibank N.A. | | 01/18/18 | | | | (146,423 | ) |
| USD 272,498 | | | | CLP 168,894,081 | | Citibank N.A. | | 01/22/18 | | | | (1,948 | ) |
| USD 188,940 | | | | CLP 116,575,715 | | Citibank N.A. | | 01/22/18 | | | | (491 | ) |
| USD 704,666 | | | | TWD 21,097,691 | | Citibank N.A. | | 01/23/18 | | | | (7,969 | ) |
| TWD 6,325,703 | | | | USD 209,856 | | Citibank N.A. | | 01/23/18 | | | | 3,812 | |
| INR 11,978,960 | | | | USD 186,472 | | Citibank N.A. | | 01/25/18 | | | | 851 | |
| INR 12,551,130 | | | | USD 195,416 | | Citibank N.A. | | 01/25/18 | | | | 854 | |
| INR 8,345,588 | | | | USD 129,791 | | Citibank N.A. | | 01/25/18 | | | | 714 | |
| KRW 123,213,458 | | | | USD 113,886 | | Citibank N.A. | | 01/26/18 | | | | 1,531 | |
| PHP 19,026,182 | | | | USD 368,760 | | Citibank N.A. | | 01/26/18 | | | | 12,190 | |
| ARS 1,214,514 | | | | USD 67,492 | | Citibank N.A. | | 01/29/18 | | | | (3,305 | ) |
| ARS 217,239 | | | | USD 11,636 | | Citibank N.A. | | 01/31/18 | | | | (168 | ) |
| ARS 1,654,244 | | | | USD 88,757 | | Citibank N.A. | | 01/31/18 | | | | (1,433 | ) |
| ARS 1,648,898 | | | | USD 88,508 | | Citibank N.A. | | 02/01/18 | | | | (1,518 | ) |
| IDR 5,141,893,000 | | | | USD 379,000 | | Citibank N.A. | | 02/02/18 | | | | 395 | |
| KRW 235,584,130 | | | | USD 220,874 | | Citibank N.A. | | 02/05/18 | | | | (32 | ) |
| USD 191,347 | | | | PHP 9,730,945 | | Citibank N.A. | | 02/09/18 | | | | (3,405 | ) |
| ARS 4,878,517 | | | | USD 260,049 | | Citibank N.A. | | 02/09/18 | | | | (3,709 | ) |
| USD 271,228 | | | | RUB 15,910,497 | | Citibank N.A. | | 02/12/18 | | | | (2,677 | ) |
| RUB 6,769,344 | | | | USD 114,940 | | Citibank N.A. | | 02/12/18 | | | | 1,597 | |
| RUB 12,764,761 | | | | USD 220,997 | | Citibank N.A. | | 02/12/18 | | | | (1,246 | ) |
| RUB 7,655,227 | | | | USD 129,791 | | Citibank N.A. | | 02/12/18 | | | | 1,996 | |
| INR 32,713,174 | | | | USD 507,063 | | Citibank N.A. | | 02/15/18 | | | | 3,457 | |
| ARS 2,321,324 | | | | USD 123,738 | | Citibank N.A. | | 02/15/18 | | | | (2,134 | ) |
| ARS 1,673,028 | | | | USD 89,779 | | Citibank N.A. | | 02/20/18 | | | | (2,358 | ) |
| INR 46,778,235 | | | | USD 725,750 | | Citibank N.A. | | 02/26/18 | | | | 3,433 | |
| ARS 3,492,713 | | | | USD 188,714 | | Citibank N.A. | | 02/27/18 | | | | (6,857 | ) |
| ARS 10,001,000 | | | | USD 538,644 | | Citibank N.A. | | 02/27/18 | | | | (17,916 | ) |
| ARS 1,276,610 | | | | USD 69,193 | | Citibank N.A. | | 02/27/18 | | | | (2,723 | ) |
| USD 888,145 | | | | TWD 26,528,881 | | Citibank N.A. | | 03/08/18 | | | | (12,846 | ) |
| USD 151,666 | | | | SEK 1,261,408 | | Citibank N.A. | | 03/21/18 | | | | (2,842 | ) |
| USD 92,540 | | | | SEK 769,929 | | Citibank N.A. | | 03/21/18 | | | | (1,768 | ) |
| USD 76,605 | | | | EUR 64,325 | | Citibank N.A. | | 03/21/18 | | | | (940 | ) |
| CZK 28,892,338 | | | | EUR 1,126,407 | | Citibank N.A. | | 03/21/18 | | | | 4,201 | |
| NOK 5,006,491 | | | | EUR 513,349 | | Citibank N.A. | | 03/21/18 | | | | (7,766 | ) |
| SEK 1,544,893 | | | | USD 184,641 | | Citibank N.A. | | 03/21/18 | | | | 4,591 | |
| TRY 1,278,070 | | | | USD 311,785 | | Citibank N.A. | | 03/21/18 | | | | 17,709 | |
| USD 609,000 | | | | MXN 11,563,022 | | Citibank N.A. | | 03/21/18 | | | | 29,132 | |
| USD 85,192 | | | | CHF 83,074 | | Citibank N.A. | | 03/21/18 | | | | (544 | ) |
| CHF 185,887 | | | | EUR 159,000 | | Citibank N.A. | | 03/21/18 | | | | 164 | |
| USD 191,378 | | | | EUR 159,925 | | Citibank N.A. | | 03/21/18 | | | | (1,417 | ) |
| AUD 189,604 | | | | USD 143,338 | | Citibank N.A. | | 03/21/18 | | | | 4,581 | |
| USD 191,104 | | | | EUR 159,925 | | Citibank N.A. | | 03/21/18 | | | | (1,690 | ) |
| USD 68,754 | | | | TRY 271,441 | | Citibank N.A. | | 03/21/18 | | | | (1,226 | ) |
| EUR 159,070 | | | | NOK 1,567,924 | | Citibank N.A. | | 03/21/18 | | | | 383 | |
| EUR 163,258 | | | | GBP 143,986 | | Citibank N.A. | | 03/21/18 | | | | 1,903 | |
| USD 189,383 | | | | NZD 266,973 | | Citibank N.A. | | 03/21/18 | | | | 363 | |
| GBP 57,017 | | | | USD 76,568 | | Citibank N.A. | | 03/21/18 | | | | 615 | |
| USD 69,097 | | | | TRY 278,483 | | Citibank N.A. | | 03/21/18 | | | | (2,697 | ) |
| EUR 51,384 | | | | SEK 507,968 | | Citibank N.A. | | 03/21/18 | | | | (275 | ) |
| CNH 2,429,391 | | | | USD 365,366 | | Citibank N.A. | | 03/21/18 | | | | 5,990 | |
| USD 190,000 | | | | MXN 3,704,164 | | Citibank N.A. | | 03/21/18 | | | | 4,242 | |
| USD 189,980 | | | | CAD 237,997 | | Citibank N.A. | | 03/21/18 | | | | 448 | |
| SEK 4,802,060 | | | | EUR 484,000 | | Citibank N.A. | | 03/21/18 | | | | 4,723 | |
| PLN 2,752,214 | | | | EUR 650,073 | | Citibank N.A. | | 03/21/18 | | | | 7,198 | |
| JPY 44,876,000 | | | | USD 400,000 | | Citibank N.A. | | 03/22/18 | | | | (93 | ) |
| USD 228,000 | | | | ZAR 3,168,288 | | Citibank N.A. | | 03/22/18 | | | | (25,081 | ) |
| USD 152,000 | | | | ZAR 2,082,301 | | Citibank N.A. | | 03/22/18 | | | | (14,333 | ) |
| JPY 2,095,349 | | | | USD 18,794 | | Citibank N.A. | | 03/22/18 | | | | (122 | ) |
| JPY 22,220,859 | | | | EUR 166,170 | | Citibank N.A. | | 03/22/18 | | | | (2,318 | ) |
See Accompanying Notes to Financial Statements
49
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| JPY 19,677,186 | | | | USD 174,943 | | Citibank N.A. | | 03/22/18 | | | $ | 407 | |
| USD 150,000 | | | | ZAR 2,079,525 | | Citibank N.A. | | 03/22/18 | | | | (16,112 | ) |
| USD 188,000 | | | | JPY 20,822,880 | | Citibank N.A. | | 03/22/18 | | | | 2,440 | |
| USD 605,000 | | | | HKD 4,679,675 | | Citibank N.A. | | 03/27/18 | | | | 5,034 | |
| USD 735,163 | | | | HKD 5,685,787 | | Citibank N.A. | | 03/27/18 | | | | 6,206 | |
| BRL 557,000 | | | | USD 169,747 | | Credit Suisse International | | 01/03/18 | | | | (1,850 | ) |
| USD 646,305 | | | | AUD 856,545 | | Credit Suisse International | | 01/16/18 | | | | (22,022 | ) |
| AUD 937,916 | | | | USD 707,704 | | Credit Suisse International | | 01/16/18 | | | | 24,114 | |
| USD 380,171 | | | | CLP 236,249,428 | | Credit Suisse International | | 01/22/18 | | | | (3,725 | ) |
| USD 380,441 | | | | NZD 552,000 | | Credit Suisse International | | 03/21/18 | | | | (10,381 | ) |
| USD 781,774 | | | | AUD 1,024,420 | | Credit Suisse International | | 03/21/18 | | | | (17,422 | ) |
| EUR 161,000 | | | | GBP 141,448 | | Credit Suisse International | | 03/21/18 | | | | 2,616 | |
| EUR 161,000 | | | | USD 192,207 | | Credit Suisse International | | 03/21/18 | | | | 1,884 | |
| NOK 1,274,319 | | | | EUR 130,219 | | Credit Suisse International | | 03/21/18 | | | | (1,439 | ) |
| USD 380,318 | | | | AUD 504,000 | | Credit Suisse International | | 03/21/18 | | | | (12,874 | ) |
| USD 191,359 | | | | AUD 250,000 | | Credit Suisse International | | 03/21/18 | | | | (3,677 | ) |
| NOK 1,523,877 | | | | EUR 155,564 | | Credit Suisse International | | 03/21/18 | | | | (1,533 | ) |
| AUD 494,000 | | | | NZD 542,427 | | Credit Suisse International | | 03/21/18 | | | | 1,347 | |
| AUD 1,898,699 | | | | USD 1,442,157 | | Credit Suisse International | | 03/21/18 | | | | 39,103 | |
| GBP 156,847 | | | | EUR 176,639 | | Credit Suisse International | | 03/21/18 | | | | (625 | ) |
| USD 122,202 | | | | AUD 158,517 | | Credit Suisse International | | 03/21/18 | | | | (1,464 | ) |
| AUD 101,289 | | | | USD 76,605 | | Credit Suisse International | | 03/21/18 | | | | 2,415 | |
| NOK 3,189,651 | | | | EUR 322,000 | | Credit Suisse International | | 03/21/18 | | | | 1,148 | |
| USD 190,000 | | | | CAD 243,988 | | Credit Suisse International | | 03/21/18 | | | | (4,303 | ) |
| USD 135,794 | | | | GBP 100,949 | | Credit Suisse International | | 03/21/18 | | | | (858 | ) |
| USD 105,723 | | | | EUR 88,282 | | Credit Suisse International | | 03/21/18 | | | | (704 | ) |
| EUR 160,000 | | | | GBP 141,593 | | Credit Suisse International | | 03/21/18 | | | | 1,215 | |
| USD 91,689 | | | | NZD 130,987 | | Credit Suisse International | | 03/21/18 | | | | (1,051 | ) |
| EUR 159,000 | | | | GBP 140,709 | | Credit Suisse International | | 03/21/18 | | | | 1,205 | |
| NZD 6,969,141 | | | | USD 4,800,344 | | Credit Suisse International | | 03/21/18 | | | | 133,889 | |
| NZD 549,000 | | | | USD 382,551 | | Credit Suisse International | | 03/21/18 | | | | 6,147 | |
| USD 76,540 | | | | AUD 99,773 | | Credit Suisse International | | 03/21/18 | | | | (1,298 | ) |
| EUR 169,300 | | | | CHF 197,204 | | Credit Suisse International | | 03/21/18 | | | | 574 | |
| USD 107,109 | | | | CAD 135,868 | | Credit Suisse International | | 03/21/18 | | | | (1,092 | ) |
| CAD 222,784 | | | | USD 173,736 | | Credit Suisse International | | 03/21/18 | | | | 3,680 | |
| NZD 274,000 | | | | USD 191,185 | | Credit Suisse International | | 03/21/18 | | | | 2,810 | |
| GBP 37,987 | | | | EUR 42,847 | | Credit Suisse International | | 03/21/18 | | | | (232 | ) |
| USD 190,000 | | | | JPY 21,301,660 | | Credit Suisse International | | 03/22/18 | | | | 173 | |
| JPY 21,459,805 | | | | USD 191,000 | | Credit Suisse International | | 03/22/18 | | | | 236 | |
| USD 191,000 | | | | JPY 21,362,968 | | Credit Suisse International | | 03/22/18 | | | | 627 | |
| JPY 21,394,101 | | | | USD 191,000 | | Credit Suisse International | | 03/22/18 | | | | (349 | ) |
| JPY 20,915,438 | | | | USD 186,302 | | Credit Suisse International | | 03/22/18 | | | | 83 | |
| USD 190,000 | | | | JPY 21,474,940 | | Credit Suisse International | | 03/22/18 | | | | (1,371 | ) |
| USD 3,720,940 | | | | JPY 420,075,524 | | Credit Suisse International | | 03/22/18 | | | | (22,507 | ) |
| USD 113,754 | | | | TWD 3,408,080 | | Deutsche Bank AG | | 01/02/18 | | | | (770 | ) |
| TWD 1,344,950 | | | | USD 44,922 | | Deutsche Bank AG | | 01/02/18 | | | | 274 | |
| USD 796,147 | | | | CLP 489,550,564 | | Deutsche Bank AG | | 01/05/18 | | | | 647 | |
| USD 217,489 | | | | INR 14,029,108 | | Deutsche Bank AG | | 01/08/18 | | | | (2,200 | ) |
| INR 14,343,376 | | | | USD 221,879 | | Deutsche Bank AG | | 01/08/18 | | | | 2,731 | |
| IDR 14,140,472,953 | | | | USD 1,039,473 | | Deutsche Bank AG | | 01/11/18 | | | | 3,118 | |
| USD 137,819 | | | | CNY 914,156 | | Deutsche Bank AG | | 01/12/18 | | | | (2,460 | ) |
| AUD 856,974 | | | | USD 655,971 | | Deutsche Bank AG | | 01/16/18 | | | | 12,691 | |
| PEN 2,463,648 | | | | USD 760,338 | | Deutsche Bank AG | | 01/16/18 | | | | (1,031 | ) |
| USD 775,741 | | | | KRW 847,031,186 | | Deutsche Bank AG | | 01/16/18 | | | | (16,769 | ) |
| USD 676,658 | | | | AUD 884,000 | | Deutsche Bank AG | | 01/16/18 | | | | (13,091 | ) |
| USD 129,872 | | | | KRW 141,807,655 | | Deutsche Bank AG | | 01/16/18 | | | | (2,807 | ) |
| IDR 3,391,380,000 | | | | USD 250,286 | | Deutsche Bank AG | | 01/16/18 | | | | (189 | ) |
| CLP 118,943,506 | | | | USD 182,726 | | Deutsche Bank AG | | 01/16/18 | | | | 10,553 | |
| IDR 1,036,108,000 | | | | USD 76,000 | | Deutsche Bank AG | | 01/16/18 | | | | 408 | |
| IDR 1,791,638,368 | | | | USD 131,690 | | Deutsche Bank AG | | 01/19/18 | | | | 451 | |
| THB 6,274,275 | | | | USD 190,000 | | Deutsche Bank AG | | 01/19/18 | | | | 2,618 | |
| USD 72,764 | | | | PEN 239,230 | | Deutsche Bank AG | | 01/19/18 | | | | (958 | ) |
| CLP 489,550,564 | | | | USD 796,328 | | Deutsche Bank AG | | 01/22/18 | | | | (828 | ) |
See Accompanying Notes to Financial Statements
50
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD 190,005 | | | | KRW 205,889,992 | | Deutsche Bank AG | | 01/22/18 | | | $ | (2,767 | ) |
| KRW 140,628,993 | | | | USD 129,791 | | Deutsche Bank AG | | 01/22/18 | | | | 1,878 | |
| USD 189,966 | | | | CLP 116,734,211 | | Deutsche Bank AG | | 01/22/18 | | | | 278 | |
| USD 1,008,448 | | | | TWD 30,313,956 | | Deutsche Bank AG | | 01/23/18 | | | | (15,492 | ) |
| USD 190,000 | | | | TWD 5,724,700 | | Deutsche Bank AG | | 01/23/18 | | | | (3,368 | ) |
| USD 378,254 | | | | PHP 19,026,182 | | Deutsche Bank AG | | 01/26/18 | | | | (2,696 | ) |
| ARS 3,537,288 | | | | USD 188,958 | | Deutsche Bank AG | | 01/31/18 | | | | (2,232 | ) |
| BRL 1,166,452 | | | | USD 359,328 | | Deutsche Bank AG | | 02/02/18 | | | | (9,014 | ) |
| INR 14,155,934 | | | | USD 220,997 | | Deutsche Bank AG | | 02/02/18 | | | | 219 | |
| BRL 622,915 | | | | USD 190,000 | | Deutsche Bank AG | | 02/02/18 | | | | (2,923 | ) |
| USD 379,000 | | | | KRW 405,408,910 | | Deutsche Bank AG | | 02/02/18 | | | | (1,028 | ) |
| ARS 3,602,340 | | | | USD 189,000 | | Deutsche Bank AG | | 02/02/18 | | | | 952 | |
| USD 191,000 | | | | BRL 636,412 | | Deutsche Bank AG | | 02/02/18 | | | | (130 | ) |
| USD 189,951 | | | | CLP 116,784,485 | | Deutsche Bank AG | | 02/05/18 | | | | 191 | |
| INR 12,329,100 | | | | USD 186,381 | | Deutsche Bank AG | | 02/15/18 | | | | 6,026 | |
| IDR 11,941,357,759 | | | | USD 871,123 | | Deutsche Bank AG | | 02/20/18 | | | | 8,919 | |
| IDR 4,960,340,379 | | | | USD 363,382 | | Deutsche Bank AG | | 02/20/18 | | | | 2,181 | |
| USD 89,383 | | | | PHP 4,520,110 | | Deutsche Bank AG | | 02/22/18 | | | | (1,033 | ) |
| INR 13,971,821 | | | | USD 217,038 | | Deutsche Bank AG | | 02/26/18 | | | | 756 | |
| ARS 2,153,882 | | | | USD 115,058 | | Deutsche Bank AG | | 02/27/18 | | | | (2,910 | ) |
| USD 189,820 | | | | TWD 5,667,260 | | Deutsche Bank AG | | 03/08/18 | | | | (2,655 | ) |
| USD 77,889 | | | | AUD 101,907 | | Deutsche Bank AG | | 03/21/18 | | | | (1,613 | ) |
| CHF 188,198 | | | | EUR 161,000 | | Deutsche Bank AG | | 03/21/18 | | | | 137 | |
| EUR 159,972 | | | | HUF 49,823,279 | | Deutsche Bank AG | | 03/21/18 | | | | (287 | ) |
| SGD 154,457 | | | | USD 114,940 | | Deutsche Bank AG | | 03/21/18 | | | | 685 | |
| PLN 7,046,500 | | | | EUR 1,665,131 | | Deutsche Bank AG | | 03/21/18 | | | | 17,528 | |
| USD 189,945 | | | | TRY 749,575 | | Deutsche Bank AG | | 03/21/18 | | | | (3,300 | ) |
| USD 75,989 | | | | TRY 298,828 | | Deutsche Bank AG | | 03/21/18 | | | | (1,050 | ) |
| NZD 282,708 | | | | USD 197,713 | | Deutsche Bank AG | | 03/21/18 | | | | 2,447 | |
| CHF 214,712 | | | | EUR 183,159 | | Deutsche Bank AG | | 03/21/18 | | | | 788 | |
| SGD 295,119 | | | | USD 220,997 | | Deutsche Bank AG | | 03/21/18 | | | | (72 | ) |
| USD 191,000 | | | | CAD 243,245 | | Deutsche Bank AG | | 03/21/18 | | | | (2,711 | ) |
| EUR 326,902 | | | | GBP 289,125 | | Deutsche Bank AG | | 03/21/18 | | | | 2,709 | |
| EUR 158,000 | | | | GBP 139,969 | | Deutsche Bank AG | | 03/21/18 | | | | 1,002 | |
| USD 190,000 | | | | CNH 1,266,673 | | Deutsche Bank AG | | 03/21/18 | | | | (3,623 | ) |
| USD 191,455 | | | | NZD 273,000 | | Deutsche Bank AG | | 03/21/18 | | | | (1,832 | ) |
| EUR 158,000 | | | | PLN 668,406 | | Deutsche Bank AG | | 03/21/18 | | | | (1,600 | ) |
| PHP 19,026,182 | | | | USD 377,129 | | Deutsche Bank AG | | 03/22/18 | | | | 2,933 | |
| ZAR 2,625,734 | | | | USD 191,000 | | Deutsche Bank AG | | 03/22/18 | | | | 18,742 | |
| JPY 42,982,896 | | | | USD 381,000 | | Deutsche Bank AG | | 03/22/18 | | | | 2,036 | |
| USD 764,629 | | | | JPY 85,307,378 | | Deutsche Bank AG | | 03/22/18 | | | | 4,424 | |
| USD 190,000 | | | | JPY 21,379,218 | | Deutsche Bank AG | | 03/22/18 | | | | (518 | ) |
| JPY 21,563,127 | | | | EUR 160,009 | | Deutsche Bank AG | | 03/22/18 | | | | (752 | ) |
| EUR 349,708 | | | | JPY 46,791,563 | | Deutsche Bank AG | | 03/22/18 | | | | 4,635 | |
| USD 189,947 | | | | JPY 21,307,682 | | Deutsche Bank AG | | 03/22/18 | | | | 66 | |
| USD 3,725,312 | | | | JPY 420,075,525 | | Deutsche Bank AG | | 03/22/18 | | | | (18,135 | ) |
| USD 402,000 | | | | HKD 3,112,686 | | Deutsche Bank AG | | 03/27/18 | | | | 2,932 | |
| USD 269,280 | | | | HKD 2,083,042 | | Deutsche Bank AG | | 03/27/18 | | | | 2,220 | |
| USD 822,481 | | | | HKD 6,396,108 | | Deutsche Bank AG | | 03/27/18 | | | | 2,456 | |
| HKD 5,957,208 | | | | USD 765,000 | | Deutsche Bank AG | | 03/27/18 | | | | (1,245 | ) |
| CZK 5,004,184 | | | | EUR 188,000 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | 9,434 | |
| BRL 1,252,976 | | | | USD 378,200 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | (514 | ) |
| CZK 13,455,540 | | | | EUR 504,000 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | 27,174 | |
| USD 168,227 | | | | BRL 557,000 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | 330 | |
| PHP 7,542,045 | | | | USD 150,000 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | 1,080 | |
| CZK 5,283,374 | | | | EUR 197,990 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | 10,559 | |
| CZK 5,149,240 | | | | EUR 193,000 | | JPMorgan Chase Bank N.A. | | 01/03/18 | | | | 10,247 | |
| USD 200,476 | | | | CLP 123,653,400 | | JPMorgan Chase Bank N.A. | | 01/04/18 | | | | (456 | ) |
| INR 2,280,916 | | | | USD 35,172 | | JPMorgan Chase Bank N.A. | | 01/05/18 | | | | 555 | |
| PHP 1,679,458 | | | | USD 33,073 | | JPMorgan Chase Bank N.A. | | 01/08/18 | | | | 566 | |
| PHP 5,794,780 | | | | USD 114,000 | | JPMorgan Chase Bank N.A. | | 01/08/18 | | | | 2,067 | |
| ARS 1,224,355 | | | | USD 66,936 | | JPMorgan Chase Bank N.A. | | 01/08/18 | | | | (1,427 | ) |
| IDR 2,592,825,000 | | | | USD 191,000 | | JPMorgan Chase Bank N.A. | | 01/11/18 | | | | 172 | |
See Accompanying Notes to Financial Statements
51
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD 346,724 | | | | JPY 39,292,743 | | JPMorgan Chase Bank N.A. | | 01/12/18 | | | $ | (2,179 | ) |
| JPY 62,549,999 | | | | USD 551,948 | | JPMorgan Chase Bank N.A. | | 01/12/18 | | | | 3,468 | |
| USD 303,961 | | | | PEN 1,002,755 | | JPMorgan Chase Bank N.A. | | 01/16/18 | | | | (5,093 | ) |
| USD 115,163 | | | | NZD 167,097 | | JPMorgan Chase Bank N.A. | | 01/17/18 | | | | (3,234 | ) |
| ARS 5,370,873 | | | | USD 293,466 | | JPMorgan Chase Bank N.A. | | 01/22/18 | | | | (8,444 | ) |
| CLP 123,653,400 | | | | USD 200,534 | | JPMorgan Chase Bank N.A. | | 01/22/18 | | | | 398 | |
| USD 35,025 | | | | CLP 21,692,876 | | JPMorgan Chase Bank N.A. | | 01/22/18 | | | | (225 | ) |
| USD 137,819 | | | | TWD 4,123,555 | | JPMorgan Chase Bank N.A. | | 01/23/18 | | | | (1,465 | ) |
| INR 7,381,228 | | | | USD 114,940 | | JPMorgan Chase Bank N.A. | | 01/25/18 | | | | 485 | |
| ARS 2,447,405 | | | | USD 131,687 | | JPMorgan Chase Bank N.A. | | 02/01/18 | | | | (2,571 | ) |
| USD 508,903 | | | | BRL 1,652,000 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | 12,766 | |
| BRL 10,143,963 | | | | USD 3,139,914 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | (93,431 | ) |
| USD 376,795 | | | | BRL 1,252,976 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | 496 | |
| USD 195,659 | | | | INR 12,678,713 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | (2,472 | ) |
| INR 30,133,668 | | | | USD 460,689 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | 10,211 | |
| BRL 557,000 | | | | USD 167,584 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | (303 | ) |
| INR 12,194,677 | | | | USD 190,007 | | JPMorgan Chase Bank N.A. | | 02/02/18 | | | | 559 | |
| USD 1,475,868 | | | | TWD 44,376,395 | | JPMorgan Chase Bank N.A. | | 02/08/18 | | | | (27,332 | ) |
| RUB 101,423,012 | | | | USD 1,709,905 | | JPMorgan Chase Bank N.A. | | 02/12/18 | | | | 36,134 | |
| INR 24,633,561 | | | | USD 378,978 | | JPMorgan Chase Bank N.A. | | 02/15/18 | | | | 5,452 | |
| IDR 2,563,785,000 | | | | USD 188,472 | | JPMorgan Chase Bank N.A. | | 02/20/18 | | | | 471 | |
| ARS 3,083,612 | | | | USD 164,983 | | JPMorgan Chase Bank N.A. | | 02/21/18 | | | | (3,936 | ) |
| ARS 3,024,869 | | | | USD 165,122 | | JPMorgan Chase Bank N.A. | | 02/28/18 | | | | (7,705 | ) |
| TWD 7,013,823 | | | | USD 235,482 | | JPMorgan Chase Bank N.A. | | 03/08/18 | | | | 2,726 | |
| ARS 6,896,347 | | | | USD 374,344 | | JPMorgan Chase Bank N.A. | | 03/14/18 | | | | (17,949 | ) |
| ARS 10,813,681 | | | | USD 588,020 | | JPMorgan Chase Bank N.A. | | 03/15/18 | | | | (29,461 | ) |
| ARS 1,661,645 | | | | USD 88,654 | | JPMorgan Chase Bank N.A. | | 03/15/18 | | | | (2,825 | ) |
| EUR 158,996 | | | | SEK 1,565,286 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (56 | ) |
| HUF 50,644,965 | | | | EUR 161,000 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 2,233 | |
| NOK 28,856,898 | | | | EUR 2,947,553 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (31,090 | ) |
| EUR 161,000 | | | | GBP 140,811 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 3,479 | |
| HUF 670,687,697 | | | | EUR 2,155,409 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 1,487 | |
| PLN 6,996,000 | | | | EUR 1,653,568 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 16,954 | |
| USD 122,531 | | | | GBP 90,719 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (272 | ) |
| HUF 50,342,253 | | | | EUR 161,000 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 1,060 | |
| NOK 812,319 | | | | SEK 816,925 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (913 | ) |
| EUR 162,000 | | | | GBP 143,130 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 1,544 | |
| USD 188,698 | | | | CNH 1,257,182 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (3,474 | ) |
| CZK 22,026,132 | | | | EUR 867,136 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (6,945 | ) |
| MXN 23,377,172 | | | | USD 1,229,245 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (56,915 | ) |
| EUR 162,000 | | | | CHF 188,498 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 758 | |
| USD 99,054 | | | | SEK 824,209 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (1,902 | ) |
| USD 184,687 | | | | CAD 234,593 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | (2,134 | ) |
| TRY 2,794,162 | | | | USD 680,176 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 40,177 | |
| HUF 50,394,964 | | | | EUR 161,000 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 1,264 | |
| SEK 50,224,825 | | | | EUR 5,034,982 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 82,165 | |
| NOK 697,350 | | | | USD 84,509 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 610 | |
| TRY 308,495 | | | | USD 76,000 | | JPMorgan Chase Bank N.A. | | 03/21/18 | | | | 3,532 | |
| JPY 11,177,134 | | | | USD 99,437 | | JPMorgan Chase Bank N.A. | | 03/22/18 | | | | 166 | |
| JPY 21,242,428 | | | | USD 189,000 | | JPMorgan Chase Bank N.A. | | 03/22/18 | | | | 299 | |
| USD 376,433 | | | | BRL 1,252,976 | | Morgan Stanley & Co. International PLC | | 01/03/18 | | | | (1,253 | ) |
| CLP 123,653,400 | | | | USD 191,000 | | Morgan Stanley & Co. International PLC | | 01/04/18 | | | | 9,932 | |
| CLP 188,208,938 | | | | USD 290,177 | | Morgan Stanley & Co. International PLC | | 01/05/18 | | | | 15,655 | |
| CLP 124,474,700 | | | | USD 191,000 | | Morgan Stanley & Co. International PLC | | 01/05/18 | | | | 11,266 | |
| USD 130,049 | | | | INR 8,399,871 | | Morgan Stanley & Co. International PLC | | 01/08/18 | | | | (1,489 | ) |
| CLP 376,928,511 | | | | USD 577,049 | | Morgan Stanley & Co. International PLC | | 01/11/18 | | | | 35,444 | |
| IDR 7,884,306,888 | | | | USD 579,643 | | Morgan Stanley & Co. International PLC | | 01/16/18 | | | | 1,785 | |
| USD 382,000 | | | | CLP 243,028,400 | | Morgan Stanley & Co. International PLC | | 01/16/18 | | | | (12,911 | ) |
| GBP 685,070 | | | | USD 908,783 | | Morgan Stanley & Co. International PLC | | 01/19/18 | | | | 16,722 | |
| USD 908,292 | | | | GBP 684,700 | | Morgan Stanley & Co. International PLC | | 01/19/18 | | | | (16,713 | ) |
| TWD 6,396,460 | | | | USD 214,000 | | Morgan Stanley & Co. International PLC | | 01/23/18 | | | | 2,059 | |
| TWD 3,873,625 | | | | USD 129,791 | | Morgan Stanley & Co. International PLC | | 01/23/18 | | | | 1,051 | |
| ARS 652,888 | | | | USD 35,102 | | Morgan Stanley & Co. International PLC | | 01/31/18 | | | | (637 | ) |
See Accompanying Notes to Financial Statements
52
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| BRL 637,737 | | | | USD 191,293 | | Morgan Stanley & Co. International PLC | | 02/02/18 | | | $ | 236 | |
| BRL 626,325 | | | | USD 191,000 | | Morgan Stanley & Co. International PLC | | 02/02/18 | | | | (2,899 | ) |
| INR 39,741,998 | | | | USD 609,587 | | Morgan Stanley & Co. International PLC | | 02/02/18 | | | | 11,463 | |
| USD 189,071 | | | | BRL 625,086 | | Morgan Stanley & Co. International PLC | | 02/02/18 | | | | 1,342 | |
| TWD 6,532,658 | | | | USD 220,997 | | Morgan Stanley & Co. International PLC | | 02/05/18 | | | | 230 | |
| RUB 11,319,806 | | | | USD 191,000 | | Morgan Stanley & Co. International PLC | | 02/12/18 | | | | 3,875 | |
| USD 130,049 | | | | RUB 7,755,998 | | Morgan Stanley & Co. International PLC | | 02/12/18 | | | | (3,474 | ) |
| RUB 9,366,351 | | | | USD 157,932 | | Morgan Stanley & Co. International PLC | | 02/12/18 | | | | 3,313 | |
| RUB 101,423,012 | | | | USD 1,709,401 | | Morgan Stanley & Co. International PLC | | 02/12/18 | | | | 36,638 | |
| USD 190,000 | | | | RUB 11,241,559 | | Morgan Stanley & Co. International PLC | | 02/12/18 | | | | (3,528 | ) |
| ARS 3,806,613 | | | | USD 203,019 | | Morgan Stanley & Co. International PLC | | 02/15/18 | | | | (3,608 | ) |
| USD 61,893 | | | | INR 4,014,366 | | Morgan Stanley & Co. International PLC | | 02/15/18 | | | | (755 | ) |
| CLP 119,589,750 | | | | USD 183,139 | | Morgan Stanley & Co. International PLC | | 02/22/18 | | | | 11,134 | |
| USD 191,159 | | | | TWD 5,697,877 | | Morgan Stanley & Co. International PLC | | 03/08/18 | | | | (2,356 | ) |
| USD 75,000 | | | | TRY 303,450 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (3,231 | ) |
| GBP 57,855 | | | | EUR 65,196 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (279 | ) |
| EUR 161,000 | | | | NOK 1,583,709 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 783 | |
| EUR 164,174 | | | | USD 195,342 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 2,574 | |
| USD 84,955 | | | | AUD 110,659 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (1,375 | ) |
| USD 59,748 | | | | NZD 86,485 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (1,485 | ) |
| USD 188,167 | | | | NZD 272,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (4,412 | ) |
| CAD 162,286 | | | | USD 128,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,239 | |
| SEK 1,610,898 | | | | EUR 162,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 2,021 | |
| EUR 160,000 | | | | CHF 186,722 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 180 | |
| EUR 323,090 | | | | CHF 376,378 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,058 | |
| EUR 159,000 | | | | NOK 1,571,807 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (176 | ) |
| USD 76,000 | | | | TRY 299,514 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (1,217 | ) |
| EUR 62,878 | | | | USD 75,521 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 281 | |
| EUR 63,000 | | | | USD 75,643 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 305 | |
| USD 190,000 | | | | MXN 3,708,832 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 4,008 | |
| EUR 163,631 | | | | CHF 190,164 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,005 | |
| SEK 1,058,947 | | | | EUR 107,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 718 | |
| USD 151,920 | | | | TRY 617,994 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (7,403 | ) |
| USD 84,149 | | | | AUD 108,408 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (424 | ) |
| EUR 34,031 | | | | NOK 332,539 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 436 | |
| USD 75,913 | | | | NZD 108,343 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (795 | ) |
| GBP 103,741 | | | | USD 139,658 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 773 | |
| USD 79,757 | | | | EUR 66,593 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (523 | ) |
| EUR 159,971 | | | | SEK 1,579,187 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (583 | ) |
| USD 190,672 | | | | NZD 269,039 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 189 | |
| CAD 108,059 | | | | USD 84,282 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,772 | |
| USD 190,420 | | | | AUD 245,104 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (796 | ) |
| USD 152,359 | | | | EUR 127,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (743 | ) |
| USD 188,892 | | | | CAD 240,409 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (2,560 | ) |
| USD 190,000 | | | | CAD 243,289 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (3,746 | ) |
| SEK 3,321,536 | | | | EUR 334,182 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 3,985 | |
| EUR 299,063 | | | | SEK 2,957,295 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (1,706 | ) |
| EUR 161,954 | | | | NOK 1,598,501 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 127 | |
| CAD 96,478 | | | | USD 75,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,831 | |
| GBP 113,000 | | | | USD 150,977 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,988 | |
| USD 77,367 | | | | CHF 75,517 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (570 | ) |
| USD 86,249 | | | | CAD 108,586 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (225 | ) |
| NOK 1,756,563 | | | | EUR 176,973 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,060 | |
| EUR 95,958 | | | | NOK 949,851 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (259 | ) |
| USD 84,284 | | | | CHF 82,095 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (442 | ) |
| USD 153,263 | | | | EUR 127,062 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 86 | |
| USD 189,889 | | | | EUR 158,505 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (1,193 | ) |
| AUD 99,000 | | | | USD 75,246 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 1,988 | |
| USD 42,142 | | | | CAD 54,097 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (939 | ) |
| CAD 109,044 | | | | USD 86,249 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 590 | |
| USD 190,652 | | | | NZD 269,907 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (444 | ) |
| GBP 66,776 | | | | USD 89,734 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | 659 | |
| USD 190,369 | | | | NZD 270,009 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (801 | ) |
See Accompanying Notes to Financial Statements
53
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD 154,319 | | | | GBP 113,872 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | $ | 174 | |
| USD 89,071 | | | | CAD 112,727 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (700 | ) |
| USD 76,000 | | | | TRY 307,745 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (3,339 | ) |
| USD 75,093 | | | | AUD 99,000 | | Morgan Stanley & Co. International PLC | | 03/21/18 | | | | (2,141 | ) |
| JPY 8,464,113 | | | | USD 75,856 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | (429 | ) |
| USD 464,075 | | | | JPY 51,624,551 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | 4,029 | |
| JPY 9,458,672 | | | | USD 84,115 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | 175 | |
| ZAR 1,168,776 | | | | USD 84,000 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | 9,361 | |
| JPY 21,348,621 | | | | USD 190,016 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | 230 | |
| JPY 21,361,707 | | | | USD 191,000 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | (638 | ) |
| USD 190,000 | | | | JPY 21,309,450 | | Morgan Stanley & Co. International PLC | | 03/22/18 | | | | 104 | |
| JPY 39,420,391 | | | | USD 351,212 | | RBC Europe Limited | | 01/12/18 | | | | (1,176 | ) |
| USD 552,210 | | | | JPY 61,980,581 | | RBC Europe Limited | | 01/12/18 | | | | 1,849 | |
| USD 1,208,076 | | | | CAD 1,541,093 | | RBC Europe Limited | | 01/17/18 | | | | (18,221 | ) |
| CAD 1,536,743 | | | | USD 1,204,666 | | RBC Europe Limited | | 01/17/18 | | | | 18,169 | |
| ZAR 4,563,310 | | | | USD 331,388 | | RBC Europe Limited | | 01/18/18 | | | | 36,456 | |
| USD 308,360 | | | | MXN 5,758,000 | | RBC Europe Limited | | 01/26/18 | | | | 16,951 | |
| CNH 2,947,078 | | | | USD 443,050 | | RBC Europe Limited | | 03/21/18 | | | | 7,439 | |
| MXN 3,725,049 | | | | USD 189,035 | | RBC Europe Limited | | 03/21/18 | | | | (2,229 | ) |
| NOK 1,592,915 | | | | EUR 161,000 | | RBC Europe Limited | | 03/21/18 | | | | 341 | |
| CAD 243,234 | | | | USD 191,000 | | RBC Europe Limited | | 03/21/18 | | | | 2,702 | |
| NOK 1,552,165 | | | | EUR 156,682 | | RBC Europe Limited | | 03/21/18 | | | | 573 | |
| AUD 252,000 | | | | USD 191,412 | | RBC Europe Limited | | 03/21/18 | | | | 5,185 | |
| NOK 1,594,291 | | | | EUR 162,000 | | RBC Europe Limited | | 03/21/18 | | | | (697 | ) |
| AUD 697,476 | | | | USD 528,303 | | RBC Europe Limited | | 03/21/18 | | | | 15,829 | |
| CAD 245,821 | | | | USD 191,000 | | RBC Europe Limited | | 03/21/18 | | | | 4,762 | |
| USD 191,000 | | | | MXN 3,670,218 | | RBC Europe Limited | | 03/21/18 | | | | 6,944 | |
| EUR 161,000 | | | | GBP 141,873 | | RBC Europe Limited | | 03/21/18 | | | | 2,041 | |
| AUD 247,000 | | | | USD 187,809 | | RBC Europe Limited | | 03/21/18 | | | | 4,886 | |
| NOK 1,603,855 | | | | EUR 162,000 | | RBC Europe Limited | | 03/21/18 | | | | 471 | |
| CAD 244,253 | | | | USD 190,000 | | RBC Europe Limited | | 03/21/18 | | | | 4,514 | |
| USD 439,711 | | | | MXN 8,570,843 | | RBC Europe Limited | | 03/21/18 | | | | 9,896 | |
| CAD 243,557 | | | | USD 190,000 | | RBC Europe Limited | | 03/21/18 | | | | 3,960 | |
| USD 191,000 | | | | CAD 242,021 | | RBC Europe Limited | | 03/21/18 | | | | (1,737 | ) |
| USD 377,917 | | | | CAD 484,585 | | RBC Europe Limited | | 03/21/18 | | | | (7,988 | ) |
| CAD 240,394 | | | | USD 188,000 | | RBC Europe Limited | | 03/21/18 | | | | 3,440 | |
| EUR 161,000 | | | | GBP 141,833 | | RBC Europe Limited | | 03/21/18 | | | | 2,095 | |
| EUR 175,024 | | | | CHF 203,754 | | RBC Europe Limited | | 03/21/18 | | | | 715 | |
| USD 456,000 | | | | CAD 581,592 | | RBC Europe Limited | | 03/21/18 | | | | (7,158 | ) |
| CAD 243,702 | | | | USD 189,928 | | RBC Europe Limited | | 03/21/18 | | | | 4,147 | |
| AUD 331,653 | | | | USD 250,901 | | RBC Europe Limited | | 03/21/18 | | | | 7,836 | |
| USD 52,836 | | | | ZAR 737,285 | | RBC Europe Limited | | 03/22/18 | | | | (6,058 | ) |
| USD 430,265 | | | | HKD 3,327,439 | | Standard Chartered Bank | | 03/27/18 | | | | 3,664 | |
| USD 750,000 | | | | HKD 5,809,624 | | Standard Chartered Bank | | 05/11/18 | | | | 4,567 | |
| NZD 275,000 | | | | USD 190,817 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 3,886 | |
| USD 1,520,224 | | | | EUR 1,282,321 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (25,652 | ) |
| NOK 894,573 | | | | USD 107,808 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 1,383 | |
| NOK 616,581 | | | | EUR 63,000 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (688 | ) |
| SEK 18,231,657 | | | | EUR 1,842,996 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 11,389 | |
| SEK 1,554,571 | | | | EUR 155,568 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 2,875 | |
| CAD 135,177 | | | | USD 105,835 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 1,815 | |
| NZD 123,300 | | | | USD 84,266 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 3,032 | |
| NZD 196,561 | | | | USD 135,794 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 3,373 | |
| NOK 1,080,704 | | | | USD 130,761 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 1,149 | |
| USD 197,958 | | | | NZD 287,700 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (5,737 | ) |
| GBP 150,636 | | | | USD 204,179 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (266 | ) |
| NOK 1,544,640 | | | | EUR 158,000 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (1,935 | ) |
| SEK 828,209 | | | | USD 99,493 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 1,953 | |
| USD 19,579 | | | | GBP 14,541 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (105 | ) |
| SEK 772,943 | | | | USD 91,973 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 2,704 | |
| USD 192,110 | | | | GBP 142,000 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (111 | ) |
| USD 100,044 | | | | NZD 142,675 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (972 | ) |
| USD 92,308 | | | | GBP 68,287 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (130 | ) |
See Accompanying Notes to Financial Statements
54
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 |
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | Settlement Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD 76,317 | | | | GBP 56,767 | | State Street Bank and Trust Co. | | 03/21/18 | | | $ | (527 | ) |
| CAD 338,434 | | | | USD 266,000 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 3,516 | |
| NOK 3,180,564 | | | | EUR 321,000 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 1,245 | |
| USD 91,856 | | | | SEK 753,637 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (456 | ) |
| SEK 788,974 | | | | USD 93,425 | | State Street Bank and Trust Co. | | 03/21/18 | | | | 3,216 | |
| GBP 285,746 | | | | EUR 322,000 | | State Street Bank and Trust Co. | | 03/21/18 | | | | (1,374 | ) |
| JPY 21,437,320 | | | | USD 190,000 | | State Street Bank and Trust Co. | | 03/22/18 | | | | 1,036 | |
| USD 407,483 | | | | JPY 45,414,966 | | State Street Bank and Trust Co. | | 03/22/18 | | | | 2,773 | |
| USD 75,796 | | | | JPY 8,408,304 | | State Street Bank and Trust Co. | | 03/22/18 | | | | 866 | |
| JPY 41,786,008 | | | | USD 376,000 | | State Street Bank and Trust Co. | | 03/22/18 | | | | (3,630 | ) |
| USD 380,000 | | | | JPY 42,157,656 | | State Street Bank and Trust Co. | | 03/22/18 | | | | 4,318 | |
| EUR 159,000 | | | | CHF 184,542 | | UBS AG | | 03/21/18 | | | | 1,224 | |
| USD 190,693 | | | | NZD 277,000 | | UBS AG | | 03/21/18 | | | | (5,426 | ) |
| EUR 1,759,564 | | | | CHF 2,058,857 | | UBS AG | | 03/21/18 | | | | (3,617 | ) |
| AUD 79,000 | | | | NZD 86,732 | | UBS AG | | 03/21/18 | | | | 224 | |
| EUR 167,709 | | | | USD 200,240 | | UBS AG | | 03/21/18 | | | | 1,938 | |
| CAD 205,349 | | | | USD 160,000 | | UBS AG | | 03/21/18 | | | | 3,532 | |
| NOK 28,766,738 | | | | EUR 2,915,922 | | UBS AG | | 03/21/18 | | | | (3,962 | ) |
| NZD 834,000 | | | | USD 576,535 | | UBS AG | | 03/21/18 | | | | 13,947 | |
| AUD 502,000 | | | | NZD 553,028 | | UBS AG | | 03/21/18 | | | | 82 | |
| USD 137,819 | | | | SGD 186,311 | | UBS AG | | 03/21/18 | | | | (1,652 | ) |
| CHF 391,275 | | | | EUR 335,214 | | UBS AG | | 03/21/18 | | | | (299 | ) |
| EUR 159,009 | | | | USD 189,718 | | UBS AG | | 03/21/18 | | | | 1,972 | |
| CHF 88,979 | | | | USD 90,509 | | UBS AG | | 03/21/18 | | | | 1,321 | |
| EUR 160,000 | | | | CHF 185,542 | | UBS AG | | 03/21/18 | | | | 1,397 | |
| EUR 161,000 | | | | USD 191,452 | | UBS AG | | 03/21/18 | | | | 2,638 | |
| EUR 162,000 | | | | GBP 143,000 | | UBS AG | | 03/21/18 | | | | 1,721 | |
| NZD 214,890 | | | | USD 148,109 | | UBS AG | | 03/21/18 | | | | 4,036 | |
| CAD 109,575 | | | | USD 85,604 | | UBS AG | | 03/21/18 | | | | 1,657 | |
| CHF 194,244 | | | | EUR 165,434 | | UBS AG | | 03/21/18 | | | | 1,032 | |
| EUR 96,043 | | | | SEK 952,551 | | UBS AG | | 03/21/18 | | | | (894 | ) |
| EUR 164,586 | | | | JPY 21,985,412 | | UBS AG | | 03/22/18 | | | | 2,507 | |
| JPY 21,183,955 | | | | USD 190,000 | | UBS AG | | 03/22/18 | | | | (1,222 | ) |
| USD 76,000 | | | | ZAR 1,049,290 | | UBS AG | | 03/22/18 | | | | (7,817 | ) |
| JPY 21,302,400 | | | | USD 189,072 | | UBS AG | | 03/22/18 | | | | 761 | |
| JPY 9,491,667 | | | | USD 85,604 | | UBS AG | | 03/22/18 | | | | (1,020 | ) |
| USD 1,197,557 | | | | CAD 1,535,435 | | Westpac Banking Corp. | | 01/17/18 | | | | (24,238 | ) |
| CAD 1,379,353 | | | | USD 1,075,821 | | Westpac Banking Corp. | | 01/17/18 | | | | 21,774 | |
| USD 1,333,142 | | | | EUR 1,117,199 | | Westpac Banking Corp. | | 01/31/18 | | | | (9,786 | ) |
| EUR 203,255 | | | | CHF 236,243 | | Westpac Banking Corp. | | 03/21/18 | | | | 1,217 | |
| EUR 607,942 | | | | USD 727,600 | | Westpac Banking Corp. | | 03/21/18 | | | | 5,292 | |
| GBP 1,112,474 | | | | USD 1,501,206 | | Westpac Banking Corp. | | 03/21/18 | | | | 4,718 | |
| | | | | | | | | | | | $ | 475,008 | |
At December 31, 2017, the following futures contracts were outstanding for VY® Goldman Sachs Bond Portfolio:
Contract Description
| | | Number
of Contracts
| | Expiration
Date
| | Notional
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
Long Contracts | | | | | | | | | | | | | | | | | | | |
| Australia 3-Year Bond | | | | 5 | | | | 03/15/18 | | | | $ | 433,416 | | | | $ | (4 | ) |
| U.S. Treasury 10-Year Note | | | | 27 | | | | 03/20/18 | | | | | 3,349,266 | | | | | 14,677 | |
| U.S. Treasury 2-Year Note | | | | 83 | | | | 03/29/18 | | | | | 17,771,078 | | | | | (37,194 | ) |
| U.S. Treasury 5-Year Note | | | | 55 | | | | 03/29/18 | | | | | 6,389,023 | | | | | 4,512 | |
| U.S. Treasury Long Bond | | | | 41 | | | | 03/20/18 | | | | | 6,273,000 | | | | | (9,510 | ) |
| U.S. Treasury Ultra 10-Year Note | | | | 4 | | | | 03/20/18 | | | | | 534,250 | | | | | (2,738 | ) |
| U.S. Treasury Ultra Long Bond | | | | 65 | | | | 03/20/18 | | | | | 10,897,656 | | | | | 64,869 | |
| | | | | | | | | | | | | $ | 45,647,689 | | | | $ | 34,612 | |
See Accompanying Notes to Financial Statements
55
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Contract Description
| | | | Number
of Contracts
| | Expiration
Date
| | Notional
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
Short Contracts | | | | | | | | | | | | | | | | | | |
| 90-Day Eurodollar | | | | | (5 | ) | | | 12/17/18 | | | | $(1,223,188 | ) | | | $2,930 | |
| | | | | | | | | | | | | | $(1,223,188 | ) | | | $2,930 | |
At December 31, 2017, the following centrally cleared credit default swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)
Reference
Entity/Obligation
|
|
|
| Buy/Sell
Protection
|
| (Pay)/
Receive
Financing
Rate (%)
|
| Payment
Frequency
|
| Termination
Date
|
| Notional Amount(2)
|
| Fair
Value(3)
|
| Unrealized
Appreciation/
(Depreciation)
|
|---|
| CDX North American Emerging Markets Index, Series 27, Version 1 | | | | | Buy | | | | (1.000 | ) | | | Quarterly | | | | 06/20/22 | | | | USD 237,650 | | | $ | 420 | | | $ | (9,057 | ) |
| CDX North American Emerging Markets Index, Series 28, Version 1 | | | | | Buy | | | | (1.000 | ) | | | Quarterly | | | | 12/20/22 | | | | USD 4,985,800 | | | | 45,077 | | | | (156,664 | ) |
| CDX North American Investment Grade Index Series 29, Version 1 | | | | | Buy | | | | (1.000 | ) | | | Quarterly | | | | 12/20/22 | | | | USD 7,400,000 | | | | (176,394 | ) | | | (11,448 | ) |
| iTraxx Europe Index, Series 27, Version 1 | | | | | Buy | | | | (1.000 | ) | | | Quarterly | | | | 06/20/22 | | | | EUR 6,540,000 | | | | (220,862 | ) | | | (50,792 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | $ | (351,759 | ) | | $ | (227,961 | ) |
At December 31, 2017, the following over-the-counter credit default swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection(1)
Counterparty
|
|
|
| Reference
Entity/Obligation
|
| Buy/Sell
Protection
|
|
| (Pay)/
Receive
Financing
Rate (%)
|
|
| Payment
Frequency
|
|
|
| Termination
Date
|
|
| Notional Amount(2)
|
|
| Fair
Value(3)
|
| Upfront
Payments
Paid/
(Received)
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Barclays Bank PLC | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 50,000 | | | $(1,115) | | $ | 180 | | $ | (1,295) | |
| Barclays Bank PLC | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 2,830,000 | | | (63,103) | | | 18,062 | | | (81,165) | |
| Barclays Bank PLC | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 40,000 | | | (892) | | | 46 | | | (938) | |
| Barclays Bank PLC | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 12/20/21 | | | USD 90,000 | | | (2,106) | | | (267 | ) | | (1,839) | |
| Barclays Bank PLC | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 12/20/21 | | | USD 360,000 | | | (8,425) | | | (1,135 | ) | | (7,290) | |
| Barclays Bank PLC | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 12/20/21 | | | USD 100,000 | | | (2,340) | | | (55 | ) | | (2,285) | |
| Citibank N.A. | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 250,000 | | | (5,574) | | | 390 | | | (5,964) | |
| Citibank N.A. | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 1,680,000 | | | (37,460) | | | 6,657 | | | (44,117) | |
| Citibank N.A. | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 310,000 | | | (6,912) | | | 1,116 | | | (8,028) | |
| Deutsche Bank AG | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 1,080,000 | | | (24,082) | | | 7,768 | | | (31,850) | |
| Deutsche Bank AG | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 80,000 | | | (1,784) | | | 210 | | | (1,994) | |
| Deutsche Bank AG | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 10,000 | | | (223) | | | (2 | ) | | (221) | |
| Deutsche Bank AG | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 160,000 | | | (3,567) | | | 263 | | | (3,830) | |
| Deutsche Bank AG | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 12/20/21 | | | USD 360,000 | | | (8,425) | | | 1,061 | | | (9,486) | |
| JPMorgan Chase Bank N.A. | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 110,000 | | | (2,453) | | | 395 | | | (2,848) | |
| JPMorgan Chase Bank N.A. | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 50,000 | | | (1,115) | | | 78 | | | (1,193) | |
| JPMorgan Chase Bank N.A. | | | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | | (1.000 | ) | | | Quarterly | | | | 06/20/21 | | | USD 20,000 | | | (446) | | | 59 | | | (505) | |
See Accompanying Notes to Financial Statements
56
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Counterparty
|
| Reference
Entity/Obligation
|
| Buy/Sell
Protection
|
| (Pay)/
Receive
Financing
Rate (%)
|
| Payment
Frequency
|
| Termination
Date
|
| Notional Amount(2)
|
| Fair
Value(3)
|
| Upfront
Payments
Paid/
(Received)
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
JPMorgan Chase
Bank N.A. | | People’s Republic of China 7.500%, due 10/28/2027 | | Buy | | (1.000 | ) | | Quarterly | | 06/20/21 | | USD 110,000 | | $ | (2,453 | ) | $ | 279 | | $ | (2,732 | ) |
| | | | | | | | | | | | | | | | $ | (172,475 | ) | $ | 35,105 | | $ | (207,580 | ) |
(1) | | If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
At December 31, 2017, the following centrally cleared interest rate swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Pay/Receive
Floating Rate
|
| Floating
Rate Index
|
| Floating Rate
Payment
Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
| Maturity
Date
|
| Notional Amount
|
| Fair
Value
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Pay | | 3-month CAD-CDOR | | Semi-Annual | | 1.000% | | Semi-Annual | | 03/21/19 | | CAD 1,510,000 | | $ | (11,653 | ) | | $ | 173 | |
| Pay | | 3-month CAD-CDOR | | Semi-Annual | | 1.250 | | Semi-Annual | | 03/21/20 | | CAD 11,340,000 | | | (156,671 | ) | | | (33,141 | ) |
| Pay | | 3-month CAD-CDOR | | Semi-Annual | | 1.500 | | Semi-Annual | | 03/21/23 | | CAD 2,000,000 | | | (59,397 | ) | | | (9,967 | ) |
| Pay | | 3-month CAD-CDOR | | Semi-Annual | | 1.750 | | Semi-Annual | | 03/21/28 | | CAD 7,070,000 | | | (342,922 | ) | | | (44,525 | ) |
| Pay | | 6-month EUR-EURIBOR | | Semi-Annual | | 0.350 | | Annual | | 12/16/21 | | EUR 10,940,000 | | | (32,525 | ) | | | (23,617 | ) |
| Pay | | 6-month EUR-EURIBOR | | Semi-Annual | | 1.330 | | Annual | | 01/12/27 | | EUR 1,720,000 | | | 3,666 | | | | 17,467 | |
| Pay | | 6-month EUR-EURIBOR | | Semi-Annual | | 1.600 | | Annual | | 10/25/27 | | EUR 2,780,000 | | | 25,088 | | | | 11,531 | |
| Pay | | 6-month EUR-EURIBOR | | Semi-Annual | | 1.500 | | Annual | | 12/19/27 | | EUR 3,320,000 | | | 5,516 | | | | (7,546 | ) |
| Pay | | 6-month EUR-EURIBOR | | Semi-Annual | | 1.000 | | Annual | | 03/21/28 | | EUR 4,970,000 | | | 41,693 | | | | (37,861 | ) |
| Pay | | 6-month GBP-LIBOR | | Semi-Annual | | 0.750 | | Semi-Annual | | 03/21/20 | | GBP 16,270,000 | | | (38,400 | ) | | | 31,184 | |
| Pay | | 6-month GBP-LIBOR | | Semi-Annual | | 1.000 | | Semi-Annual | | 03/21/23 | | GBP 410,000 | | | (1,874 | ) | | | 1,977 | |
| Pay | | 6-month GBP-LIBOR | | Semi-Annual | | 1.200 | | Semi-Annual | | 11/21/23 | | GBP 2,560,000 | | | 5,423 | | | | 6,941 | |
| Pay | | 6-month GBP-LIBOR | | Semi-Annual | | 1.600 | | Semi-Annual | | 03/16/27 | | GBP 8,770,000 | | | 70,953 | | | | 34,342 | |
| Pay | | 6-month JPY-LIBOR | | Semi-Annual | | 0.500 | | Semi-Annual | | 03/22/28 | | JPY 108,770,000 | | | (2,464 | ) | | | 349 | |
| Pay | | 6-month JPY-LIBOR | | Semi-Annual | | 1.250 | | Semi-Annual | | 06/14/38 | | JPY 31,140,000 | | | 303 | | | | (1,229 | ) |
| Pay | | 28-day MXN TIIE-BANXICO | | Monthly | | 7.500 | | Monthly | | 03/15/23 | | MXN 19,500,000 | | | (15,136 | ) | | | (6,914 | ) |
| Pay | | 3-month SEK-STIBOR | | Quarterly | | 0.050 | | Annual | | 06/15/18 | | SEK 62,530,000 | | | 19,396 | | | | (39,938 | ) |
| Pay | | 3-month SEK-STIBOR | | Quarterly | | (0.330) | | Annual | | 09/15/18 | | SEK 61,360,000 | | | 6,399 | | | | 5,079 | |
| Pay | | 3-month SEK-STIBOR | | Quarterly | | (0.100) | | Annual | | 06/29/19 | | SEK 55,060,000 | | | 5,609 | | | | 7,025 | |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 1.750 | | Semi-Annual | | 03/21/20 | | USD 6,090,000 | | | (47,800 | ) | | | (7,678 | ) |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 1.855 | | Semi-Annual | | 08/06/20 | | USD 12,740,000 | | | (97,905 | ) | | | (43,382 | ) |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 2.139 | | Semi-Annual | | 11/20/20 | | USD 27,310,000 | | | (85,690 | ) | | | (67,828 | ) |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 2.000 | | Semi-Annual | | 03/21/23 | | USD 1,010,000 | | | (13,140 | ) | | | (2,038 | ) |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 2.400 | | Semi-Annual | | 08/31/27 | | USD 1,560,000 | | | (9,913 | ) | | | (8,236 | ) |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 2.750 | | Semi-Annual | | 12/21/27 | | USD 3,500,000 | | | 27,243 | | | | 3,236 | |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 2.250 | | Semi-Annual | | 03/21/28 | | USD 2,530,000 | | | (38,801 | ) | | | (8,702 | ) |
| Pay | | 3-month USD-LIBOR | | Quarterly | | 2.378 | | Semi-Annual | | 07/03/28 | | USD 5,400,000 | | | (33,803 | ) | | | (33,803 | ) |
| Receive | | 3-month AUD-BBSW | | Quarterly | | 2.000 | | Quarterly | | 03/21/20 | | AUD 7,390,000 | | | 9,546 | | | | 13,711 | |
| Receive | | 6-month AUD-BBSW | | Semi-Annual | | 3.500 | | Semi-Annual | | 12/21/27 | | AUD 2,160,000 | | | (25,991 | ) | | | 1,553 | |
| Receive | | 6-month AUD-BBSW | | Semi-Annual | | 2.750 | | Semi-Annual | | 03/21/28 | | AUD 3,040,000 | | | 16,946 | | | | 4,342 | |
| Receive | | 6-month EUR-EURIBOR | | Semi-Annual | | 0.250 | | Annual | | 03/21/23 | | EUR 7,870,000 | | | 54,935 | | | | 46,424 | |
| Receive | | 6-month EUR-EURIBOR | | Semi-Annual | | 1.500 | | Annual | | 08/31/27 | | EUR 1,370,000 | | | (6,795 | ) | | | (4,976 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.940 | | Semi-Annual | | 01/11/32 | | GBP 1,740,000 | | | (25,012 | ) | | | (40,167 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.750 | | Semi-Annual | | 03/17/37 | | GBP 6,100,000 | | | (53,596 | ) | | | (69,360 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.250 | | Semi-Annual | | 03/21/28 | | GBP 3,330,000 | | | 20,610 | | | | (30,054 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.400 | | Semi-Annual | | 11/21/28 | | GBP 1,540,000 | | | (6,288 | ) | | | (10,059 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.500 | | Semi-Annual | | 03/21/33 | | GBP 2,930,000 | | | (41,200 | ) | | | (29,436 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.750 | | Semi-Annual | | 12/14/37 | | GBP 1,690,000 | | | (16,609 | ) | | | (2,529 | ) |
| Receive | | 6-month GBP-LIBOR | | Semi-Annual | | 1.750 | | Semi-Annual | | 06/14/38 | | GBP 720,000 | | | (7,757 | ) | | | 2,960 | |
| Receive | | 6-month JPY-LIBOR | | Semi-Annual | | 0.250 | | Semi-Annual | | 03/21/28 | | JPY 322,590,000 | | | 26,528 | | | | 5,950 | |
| Receive | | 6-month NOK-NIBOR | | Semi-Annual | | 1.500 | | Annual | | 03/21/23 | | NOK 29,890,000 | | | 15,748 | | | | 22,199 | |
| Receive | | 3-month NZD-BBR-FRA | | Quarterly | | 2.250 | | Semi-Annual | | 03/21/20 | | NZD 15,630,000 | | | 8,973 | | | | 9,585 | |
| Receive | | 6-month PLZ-WIBOR | | Semi-Annual | | 2.510 | | Annual | | 12/20/22 | | PLN 5,110,000 | | | (922 | ) | | | (737 | ) |
See Accompanying Notes to Financial Statements
57
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Pay/Receive
Floating Rate
|
|
|
| Floating
Rate Index
|
| Floating Rate
Payment Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
| Fair
Value
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Receive | | | | 6-month PLZ-WIBOR | | Semi-Annual | | 2.550% | | Annual | | | 03/21/23 | | | | PLN 6,130,000 | | | $ | 745 | | | $ | (3,145 | ) |
| Receive | | | | 3-month SEK-STIBOR | | Quarterly | | 0.250 | | Annual | | | 03/21/21 | | | | SEK 7,350,000 | | | | (2,264 | ) | | | 63 | |
| Receive | | | | 3-month SEK-STIBOR | | Quarterly | | 0.500 | | Annual | | | 12/16/21 | | | | SEK 68,550,000 | | | | 37,336 | | | | 16,302 | |
| Receive | | | | 3-month SEK-STIBOR | | Quarterly | | 0.500 | | Annual | | | 03/21/23 | | | | SEK 5,410,000 | | | | 2,626 | | | | 3,615 | |
| Receive | | | | 3-month SEK-STIBOR | | Quarterly | | 2.000 | | Annual | | | 10/25/27 | | | | SEK 26,160,000 | | | | (10,718 | ) | | | (8,885 | ) |
| Receive | | | | 3-month SEK-STIBOR | | Quarterly | | 2.000 | | Annual | | | 11/02/27 | | | | SEK 17,590,000 | | | | (6,791 | ) | | | (7,368 | ) |
| Receive | | | | 3-month USD-LIBOR | | Quarterly | | 2.143 | | Semi-Annual | | | 07/03/23 | | | | USD 1,720,000 | | | | 13,792 | | | | 14,996 | |
| Receive | | | | 3-month USD-LIBOR | | Quarterly | | 2.275 | | Semi-Annual | | | 11/20/23 | | | | USD 11,840,000 | | | | 41,325 | | | | 30,901 | |
| Receive | | | | 3-month USD-LIBOR | | Quarterly | | 2.346 | | Semi-Annual | | | 08/06/28 | | | | USD 3,400,000 | | | | 33,048 | | | | 32,738 | |
| Receive | | | | 3-month USD-LIBOR | | Quarterly | | 2.560 | | Semi-Annual | | | 07/03/48 | | | | USD 2,260,000 | | | | (474 | ) | | | (474 | ) |
| | | | | | | | | | | | | | | | | | | | | $ | (699,064 | ) | | $ | (258,952 | ) |
At December 31, 2017, the following centrally cleared inflation-linked swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Pay/Receive
Floating Rate
|
|
|
| Floating Rate Index
|
| Floating Rate Payment Frequency
|
| Fixed
Rate
|
| Fixed Rate
Payment
Frequency
|
|
| Maturity
Date
|
|
|
| Notional Amount
|
|
| Fair
Value
|
|
| Unrealized
Appreciation/
(Depreciation)
|
|
|---|
| Pay | | | | Eurostat Eurozone HICP ex
Tobacco NSA (CPTFEMU) | | At Termination Date | | 1.428% | | At Termination
Date | | | 08/15/27 | | | | EUR 750,000 | | | $ | (12,635 | ) | | $ | (13,529 | ) |
| Pay | | | | Eurostat Eurozone HICP ex
Tobacco NSA (CPTFEMU) | | At Termination Date | | 1.600 | | At Termination
Date | | | 08/15/32 | | | | EUR 700,000 | | | | (16,243 | ) | | | (15,895 | ) |
| Pay | | | | U.K. RPI All Items Monthly | | At Termination Date | | 3.370 | | At Termination
Date | | | 07/15/22 | | | | GBP 1,250,000 | | | | 2,102 | | | | 2,548 | |
| | | | | | | | | | | | | | | | | | | | | $ | (26,776 | ) | | $ | (26,876 | ) |
The following sales commitments were held by the VY® Goldman Sachs Bond Portfolio at December 31, 2017:
Principal Amount
| | | | Description
| | | Contractual
Settlement Date
| | Fair Value
|
|---|
| $(2,000,000) | | | | Freddie Mac, 3.500%, due 07/15/41 | | | 01/11/18 | | $ | (2,054,011) |
| | | | | Total Sales Commitments
Proceeds receivable $(2,055,000) | | | | | $ | (2,054,011) |
Currency Abbreviations
ARS — Argentine Peso
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
CLP — Chilean Peso
CNH — Chinese Offshore Yuan
CNY — Chinese Yuan
CZK — Czech Koruna
EUR — EU Euro
GBP — British Pound
HKD — Hong Kong Sar Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
JPY — Japanese Yen
KRW — South Korean Won
MXN — Mexican Peso
NOK — Norwegian Krone
NZD — New Zealand Dollar
PEN — Peruvian Nuevo Sol
PHP — Philippine Peso
PLN — Polish Zloty
See Accompanying Notes to Financial Statements
58
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
RUB — Russian Ruble
SEK — Swedish Krona
SGD — Singapore Dollar
THB — Thai Baht
TRY — Turkish Lira
TWD — Taiwan New Dollar
USD — United States Dollar
ZAR — South African Rand
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2017 was as follows:
Derivatives not accounted for as
hedging instruments
| | | | Location on Statement
of Assets and Liabilities
| | Fair Value
|
|---|
Asset Derivatives | | | | | | | | | | |
| Foreign exchange contracts | | | | Unrealized appreciation on forward foreign currency contracts | | $ | 1,771,386 | |
| Interest rate contracts | | | | Net Assets — Unrealized appreciation* | | | 86,988 | |
| Interest rate contracts | | | | Net Assets — Unrealized appreciation** | | | 327,191 | |
| Credit contracts | | | | Upfront payments paid on swap agreements | | | 36,564 | |
Total Asset Derivatives | | | | | | $ | 2,222,129 | |
Liability Derivatives | | | | | | | | |
| Foreign exchange contracts | | | | Unrealized depreciation on forward foreign currency contracts | | $ | 1,296,378 | |
| Interest rate contracts | | | | Net Assets — Unrealized depreciation* | | | 49,446 | |
| Credit contracts | | | | Net Assets — Unrealized depreciation** | | | 227,961 | |
| Interest rate contracts | | | | Net Assets — Unrealized depreciation** | | | 613,019 | |
| Credit contracts | | | | Upfront payments received on OTC swap agreements | | | 1,459 | |
| Credit contracts | | | | Unrealized depreciation on OTC swap agreements | | | 207,580 | |
Total Liability Derivatives | | | | | | $ | 2,395,843 | |
| * | | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
| ** | | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the year ended December 31, 2017 was as follows:
| | | | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for as
hedging instruments | | | | Forward
foreign currency
contracts
| | Futures
| | Swaps
| | Total
|
|---|
| Credit contracts | | | | | $ | — | | | $ | — | | | $ | (270,430 | ) | | $ | (270,430 | ) |
| Foreign exchange contracts | | | | | | (529,643 | ) | | | — | | | | — | | | | (529,643 | ) |
| Interest rate contracts | | | | | | — | | | | 1,822,659 | | | | (568,309 | ) | | | 1,254,350 | |
Total | | | | | $ | (529,643 | ) | | $ | 1,822,659 | | | $ | (838,739 | ) | | $ | 454,277 | |
| | | | Change in Unrealized Appreciation or (Depreciation)
on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for
as hedging instruments | | | | Forward
foreign currency
contracts
| | Futures
| | Swaps
| | Total
|
|---|
| Credit contracts | | | | | $ | — | | | $ | — | | | $ | (401,580 | ) | | $ | (401,580 | ) |
| Foreign exchange contracts | | | | | | (418,843 | ) | | | — | | | | — | | | | (418,843 | ) |
| Interest rate contracts | | | | | | — | | | | (596,275 | ) | | | 141,288 | | | | (454,987 | ) |
Total | | | | | $ | (418,843 | ) | | $ | (596,275 | ) | | $ | (260,292 | ) | | $ | (1,275,410 | ) |
See Accompanying Notes to Financial Statements
59
| VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (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 December 31, 2017:
| | Bank of
America
N.A.
| | Barclays
Bank
PLC
| | BNP
Paribas
| | Citibank
N.A.
| | | Credit
Suisse
International
| | Deutsche
Bank AG
| | | JPMorgan
Chase
Bank N.A.
| | | Morgan
Stanley &
Co.
International
PLC
| | RBC
Europe
Limited
| | Standard
Chartered
Bank
| | State
Street
Bank
and
Trust
Co.
| | UBS
AG
| | Westpac
Banking
Corp.
| | Totals
| |
|---|
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency contracts | | $ | 116,338 | | $ | 338,678 | | $ | — | | $ | 182,570 | | | $ | 223,266 | | $ | 120,631 | | | $ | 291,078 | | | $ | 205,874 | | $ | 161,201 | | $ | 8,231 | | $ | 50,529 | | $ | 39,989 | | $ | 33,001 | | $ | 1,771,386 | |
Total Assets | | $ | 116,338 | | $ | 338,678 | | $ | — | | $ | 182,570 | | | $ | 223,266 | | $ | 120,631 | | | $ | 291,078 | | | $ | 205,874 | | $ | 161,201 | | $ | 8,231 | | $ | 50,529 | | $ | 39,989 | | $ | 33,001 | | $ | 1,771,386 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency contracts | | $ | 98,848 | | $ | 97,392 | | $ | — | | $ | 310,572 | | | $ | 110,777 | | $ | 124,089 | | | $ | 314,723 | | | $ | 93,197 | | $ | 45,264 | | $ | — | | $ | 41,583 | | $ | 25,909 | | $ | 34,024 | | $ | 1,296,378 | |
| OTC credit default swaps | | | — | | | 77,981 | | | — | | | 49,946 | | | | — | | | 38,081 | | | | 6,467 | | | | — | | | — | | | — | | | — | | | — | | | — | | | 172,475 | |
Total Liabilities | | $ | 98,848 | | $ | 175,373 | | $ | — | | $ | 360,518 | | | $ | 110,777 | | $ | 162,170 | | | $ | 321,190 | | | $ | 93,197 | | $ | 45,264 | | $ | — | | $ | 41,583 | | $ | 25,909 | | $ | 34,024 | | $ | 1,468,853 | |
Net OTC derivative instruments by counterparty, at fair value | | $ | 17,490 | | $ | 163,305 | | $ | — | | $ | (177,948 | ) | | $ | 112,489 | | $ | (41,539 | ) | | $ | (30,112 | ) | | $ | 112,677 | | $ | 115,937 | | $ | 8,231 | | $ | 8,946 | | $ | 14,080 | | $ | (1,023 | ) | $ | 302,533 | |
Total collateral pledged by the Portfolio/(Received from counterparty) | | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Net Exposure(1)(2) | | $ | 17,490 | | $ | 163,305 | | $ | — | | $ | (177,948 | ) | | $ | 112,489 | | $ | (41,539 | ) | | $ | (30,112 | ) | | $ | 112,677 | | $ | 115,937 | | $ | 8,231 | | $ | 8,946 | | $ | 14,080 | | $ | (1,023 | ) | $ | 302,533 | |
(1) | | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
(2) | | At December 31, 2017, the Portfolio had pledged $10,000 in cash collateral to Bank of America N.A. In addition, the Portfolio had received $150,000 in cash collateral from Citibank N.A.. Excess cash collateral is not shown for financial reporting purposes. |
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
Cost for federal income tax purposes was $220,567,596.
| Net unrealized depreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 2,803,126 | |
| Gross Unrealized Depreciation | | | | | (3,445,419 | ) |
| Net Unrealized Depreciation | | | | $ | (642,293 | ) |
See Accompanying Notes to Financial Statements
60
TAX INFORMATION (UNAUDITED)
Dividends paid during the year ended December 31, 2017 were as follows:
Portfolio Name
| | | | Type
| | Per Share Amount
|
|---|
| VY® BlackRock Inflation Protected Bond Portfolio | | | | | | | | | | |
| Class ADV | | | | NII | | | $0.0677 | |
| Class I | | | | NII | | | $0.1470 | |
| Class S | | | | NII | | | $0.1124 | |
| VY® Goldman Sachs Bond Portfolio | | | | NII | | | $0.2340 | |
NII — Net investment income
Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. generally accepted accounting principles (book) purposes and Internal Revenue Service (tax) purposes.
Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Portfolios. In January, shareholders, excluding corporate shareholders, receive an IRS 1099-DIV regarding the federal tax status of the dividends and distributions they received in the calendar year.
61
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The business and affairs of each Trust are managed under the direction of the Board. A Trustee, who is not an interested person of a Trust, as defined in the 1940 Act, is an independent trustee (“Independent Trustee”). The Trustees and Officers of each Trust are listed below. The Statement of Additional Information includes additional information about trustees of the Trust and is available, without charge, upon request at (800) 992-0180 for Voya Variable Insurance Trust and (800) 366-0066 for Voya Investors Trust.
Name, Address and Age
| | | | Position(s)
Held with
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal
Occupation(s) —
During the Past 5 Years
| | Number of
funds in
Fund
Complex
Overseen
by Trustee(2)
| | Other Board
Positions
Held by
Trustee
|
|---|
| | | | | | | | | | | | | |
Independent Trustees*: | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Colleen D. Baldwin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 57 | | | | Trustee | | November 2007–Present | | President, Glantuam Partners, LLC, a business consulting firm (January 2009–Present). | | 151 | | DSM/Dentaquest, Boston, MA (February 2014–Present). |
| | | | | | | | | | | | | |
John V. Boyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Chairperson
Trustee | | January 2014–Present January 2005–Present | | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–Present). | | 151 | | None. |
| | | | | | | | | | | | | |
Patricia W. Chadwick
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 69 | | | | Trustee | | January 2006–Present | | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | | 151 | | Wisconsin Energy Corporation (June 2006–Present); The Royce Funds (23 funds) (December 2009–Present); and AMICA Mutual Insurance Company (1992–Present). |
| | | | | | | | | | | | | |
Martin J. Gavin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, AZ 85258-2034
Age: 67 | | | | Trustee | | August 2015–Present | | Retired. Formerly, President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006–November 2015). | | 151 | | None. |
| | | | | | | | | | | | | |
Russell H. Jones
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 73 | | | | Trustee | | May 2013–Present | | Retired. | | 151 | | None. |
| | | | | | | | | | | | | |
Patrick W. Kenny
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 75 | | | | Trustee | | January 2005–Present | | Retired. | | 151 | | Assured Guaranty Ltd. (April 2004–Present). |
| | | | | | | | | | | | | |
Joseph E. Obermeyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Trustee | | May 2013–Present | | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). | | 151 | | None. |
| | | | | | | | | | | | | |
Sheryl K. Pressler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 67 | | | | Trustee | | January 2006–Present | | Consultant (May 2001–Present). | | 151 | | None. |
| | | | | | | | | | | | | |
Christopher P. Sullivan
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Trustee | | October 2015–Present | | Retired. Formerly, President, Bond Division, Fidelity Management and Research (June 2009–September 2012). | | 151 | | None. |
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TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held with
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal
Occupation(s) —
During the Past 5 Years
| | Number of
funds in
Fund
Complex
Overseen by
Trustee(2)
| | Other Board
Positions
Held by
Trustee
|
|---|
| | | | | | | | | | | | | |
Roger B. Vincent
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 72 | | | | Trustee | | VIT: January 1994–Present VVIT: February 2002–Present | | Retired. | | 151 | | None. |
| | | | | | | | | | | | | |
Trustee who is an “interested person”: | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Shaun P. Mathews (3)
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | | Trustee | | November 2007–Present | | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). | | 151 | | Voya Capital Corporation, LLC and Voya Investments Distributor, LLC (December 2005–Present); Voya Funds Services, LLC, Voya Investments, LLC and Voya Investment Management (March 2006–Present); and Voya Investment Trust Co. (April 2009–Present). |
(1) | | Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). |
(2) | | For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Government Money Market Portfolio; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya International High Dividend Equity Income Fund; Voya Investors Trust; Voya Mutual Funds; Voya Natural Resources Equity Income Fund; Voya Partners, Inc.; Voya Prime Rate Trust; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Series Fund, Inc.; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2018. |
(3) | | Mr. Mathews is deemed to be an “interested person” of the Trust as defined in the 1940 Act, because of his current affiliation with the Voya funds, Voya Financial, Inc. or Voya Financial, Inc.’s affiliates. |
| * | | Effective December 31, 2017, Peter S. Drotch retired as a Trustee of the Board. |
63
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s) Held
With the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| | | | | | | | | |
Shaun P. Mathews
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | | President and Chief Executive Officer | | November 2006–Present | | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). |
| | | | | | | | | |
Michael J. Roland
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | | Executive Vice President | | March 2003–Present | | Managing Director and Chief Operating Officer, Voya Investments, LLC and Voya Funds Services, LLC (March 2012–Present). Formerly, Chief Compliance Officer, Directed Services LLC and Voya Investments, LLC (March 2011– December 2013). |
| | | | | | | | | |
Stanley D. Vyner
230 Park Avenue
New York, New York 10169
Age: 67 | | | | Executive Vice President
Chief Investment Risk Officer | | VIT: March 2003–Present VVIT: October 2000–Present September 2009–Present | | Executive Vice President, Voya Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, Voya Investments, LLC (January 2003–Present). |
| | | | | | | | | |
Kevin M. Gleason
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 51 | | | | Chief Compliance Officer | | February 2012–Present | | Senior Vice President, Voya Investment Management and Chief Compliance Officer, Voya Family of Funds (February 2012–Present). |
| | | | | | | | | |
Todd Modic
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | | March 2005–Present | | Senior Vice President, Voya Investments, LLC and Voya Funds Services, LLC (April 2005–Present). |
| | | | | | | | | |
Kimberly A. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 53 | | | | Senior Vice President | | November 2003–Present | | Senior Vice President, Voya Investments, LLC (September 2003–Present). |
| | | | | | | | | |
Robert Terris
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 47 | | | | Senior Vice President | | May 2006–Present | | Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (March 2006–Present). |
| | | | | | | | | |
Fred Bedoya
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 45 | | | | Vice President and Treasurer | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2012–Present). |
| | | | | | | | | |
Maria M. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | | Vice President | | September 2004–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (September 2004–Present). |
| | | | | | | | | |
Lauren D. Bensinger
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Vice President | | February 2003–Present | | Vice President, Voya Funds Services, LLC (February 1996–Present) and Voya Investments, LLC (October 2004–Present); Vice President and Anti-Money Laundering Officer, Voya Investments Distributor, LLC (April 2010–Present). Anti-Money Laundering Officer, Voya Financial, Inc. (January 2013–Present); and Anti-Money Laundering Officer, Voya Investment Management Trust Co. (October 2012–Present). |
| | | | | | | | | |
Sara M. Donaldson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 58 | | | | Vice President | | September 2014–Present | | Vice President, Voya Investments, LLC (October 2015–Present). Formerly, Vice President, Voya Funds Services, LLC (April 2014–October 2015). Formerly, Director, Compliance, AXA Rosenberg Global Services, LLC (September 1997–March 2014). |
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TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s) Held
With the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| | | | | | | | | |
Micheline S. Faver
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 40 | | | | Vice President | | September 2016–Present | | Vice President, Head of Fund Compliance, Voya Investments LLC, and Chief Compliance Officer for Voya Investments, LLC and Directed Services, LLC (June 2016–Present). Formerly, Vice President, Mutual Fund Compliance (March 2014–June 2016); Assistant Vice President, Mutual Fund Compliance (May 2013–March 2014); Assistant Vice President, Senior Project Manager (May 2008–May 2013). |
| | | | | | | | | |
Robyn L. Ichilov
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Vice President | | VIT: November 1999– Present
VVIT: October 2000–Present | | Vice President, Voya Funds Services, LLC (November 1995–Present) and Voya Investments, LLC (August 1997–Present). |
| | | | | | | | | |
Jason Kadavy
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 41 | | | | Vice President | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). |
| | | | | | | | | |
Kimberly K. Springer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Vice President | | March 2006–Present | | Vice President — Mutual Fund Product Development, Voya Investments, LLC (July 2012–Present); Vice President, Voya Family of Funds (March 2010–Present) and Vice President, Voya Funds Services, LLC (March 2006–Present). |
| | | | | | | | | |
Craig Wheeler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 48 | | | | Vice President | | May 2013–Present | | Vice President — Director of Tax, Voya Investments, LLC (October 2015–Present). Formerly, Vice President — Director of Tax, Voya Funds Services, LLC (March 2013– October 2015). Formerly, Assistant Vice President — Director of Tax, Voya Funds Services, LLC (March 2008–February 2013). |
| | | | | | | | | |
Huey P. Falgout, Jr.
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 54 | | | | Secretary | | August 2003–Present | | Senior Vice President and Chief Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| | | | | | | | | |
Paul A. Caldarelli
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 66 | | | | Assistant Secretary | | June 2010–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| | | | | | | | | |
Theresa K. Kelety
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 55 | | | | Assistant Secretary | | August 2003–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
(1) | | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
65
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATION AND APPROVAL OF INVESTMENT MANAGEMENT CONTRACTS AND SUB- ADVISORY CONTRACT
At a meeting held on November 16, 2017, the Board, including a majority of the Independent Trustees, considered and approved the renewal of the investment management contracts (the “Management Contracts”) between Voya Investments, LLC (the “Manager”) and Voya Investors Trust (“VIT”), on behalf of VY® BlackRock Inflation Protected Bond Portfolio, a series of the VIT (“BlackRock Portfolio”) and between the Manager and Voya Variable Insurance Trust (“VVIT” and, together with VIT, the “Trusts”), on behalf of VY® Goldman Sachs Bond Portfolio, a series of the VVIT (together with BlackRock Portfolio, the “Portfolios”), the sub-advisory contracts (the “Sub-Advisory Contracts”) with the sub-adviser to each Portfolio (the “Sub-Adviser”), for an additional one year period ending November 30, 2018. In determining to renew such contracts, the Board took into account information furnished to it throughout the year at meetings of the Board and its committees, including regarding performance, expenses, and other matters.
In addition to the Board meeting on November 16, 2017, the Independent Trustees also held meetings outside the presence of personnel representing the Manager or Sub-Advisers (collectively, such persons are referred to herein as “Management”) on October 12, 2017, and November 14, 2017, specifically to review and consider materials related to the proposed continuance of each Management Contract and Sub-Advisory Contract that they believed to be relevant to the renewal of the Management Contracts and Sub-Advisory Contracts in light of the legal advice furnished to them by K&L Gates LLP, their independent legal counsel, and their own business judgment. Subsequent references herein to factors considered and determinations made by the Independent Trustees and/or the Board include, as applicable, factors considered and determinations made at those meetings by the Independent Trustees. While the Board considered the renewal of the management contracts and sub-advisory contract for all of the applicable investment companies in the Voya family of funds at the same meetings, the Board considered each Voya fund’s investment management and sub-advisory relationships separately.
The Board follows a structured process pursuant to which it seeks and considers relevant information when it evaluates whether to renew existing investment management, sub-advisory contracts for the Voya funds. The Board has established a Contracts Committee and three Investment Review Committees (the “IRCs”), each of which includes only Independent Trustees as members. The Contracts Committee provides oversight with respect to the management and sub-advisory contracts approval and renewal process, and each IRC provides oversight throughout the year regarding the investment performance of the Sub-Advisers, as well as the Manager’s role in monitoring the Sub-Advisers, with respect to each Voya fund that is assigned to that IRC.
The Contracts Committee oversees, and annually recommends Board approval of updates to, a methodology guide for the Voya funds (“Methodology Guide”). The Methodology Guide sets out a framework pursuant to which the Independent Trustees request, and Management provides, certain information that the Independent Trustees deem to be important or potentially relevant. The Independent Trustees retain the services of an independent consultant with experience in the mutual fund industry to assist the Contracts Committee in developing and recommending to the Board: (1) a selected peer group of investment companies for each Portfolio (“Selected Peer Group”) based on that Portfolio’s particular attributes, such as fund type and size, fund category (as determined by Morningstar, Inc., an independent provider of mutual fund data (“Morningstar”)), sales channels and structure and the Portfolio share class being compared to the Selected Peer Group, and (2) updates to the Methodology Guide with respect to the content and format of various data including, but not limited to, investment performance, fee structure, and expense information prepared in connection with the renewal process.
Provided below is an overview of certain material factors that the Board considered at its meetings regarding the renewal of the Management Contracts and Sub-Advisory Contracts and the compensation to be paid thereunder. Board members did not identify any particular information or factor that was overarching, and each Board member may have accorded different weight to the various factors in reaching his or her conclusions with respect to each Portfolio’s investment management and sub-advisory arrangements.
Nature, Extent and Quality of Services
The Manager oversees, subject to the authority of the Board, the provision of all investment advisory and portfolio management services for the Portfolios, but may delegate certain of these responsibilities to one or more sub-advisers. In addition, the Manager provides administrative services reasonably necessary for the operation of the Portfolios as set forth in the Management Contracts, including oversight of the Portfolios’ operations and risk management and the oversight of their various other service providers.
The Board considered the “manager-of-managers” platform of the Voya funds that has been developed by the Manager pursuant to which the Manager selects, subject to
66
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
the Board’s approval, experienced sub-advisers to provide day-to- day management services to all or a portion of each Voya fund. The Board recognized that the Manager is responsible for monitoring the investment program, performance, developments, ongoing operations, and regulatory compliance of the Sub-Advisers with respect to the Portfolios under this manager-of-managers arrangement. The Board also considered the techniques and resources that the Manager has developed to provide this ongoing oversight and due diligence with respect to the sub-advisers and to advocate or recommend, when it believes appropriate, changes in investment strategies or investment sub-advisers designed to assist in improving a Voya fund’s performance. The Board was advised that, in connection with the Manager’s performance of these duties, the Manager has developed an oversight process formulated by its Manager Research & Selection Group which reviews, among other matters, performance data, each Sub-Adviser’s management team, portfolio data and attribution analysis related to each Sub- Adviser through various means, including, but not limited to, in-person meetings, on-site visits, and telephonic meetings with the Sub-Adviser.
Further, the Board considered periodic compliance reports it receives from the Trusts’ Chief Compliance Officer evaluating whether the regulatory compliance systems and procedures of the Manager and the Sub-Advisers are reasonably designed to ensure compliance with the federal securities laws and whether the investment policies and restrictions for each Portfolio are consistently complied with, and other periodic reports covering related matters.
The Board considered the portfolio management team assigned by the Sub-Advisers to the Portfolios and the level of resources committed to the Portfolios (and other relevant funds in the Voya funds) by the Manager and the Sub- Advisers, and whether those resources are sufficient to provide high-quality services to the Portfolios.
Based on their deliberations and the materials presented to them, the Board concluded that the nature, extent and quality of the overall services provided by the Manager and each Sub-Adviser under the Management Contracts and Sub-Advisory Contract were appropriate.
Portfolio Performance
In assessing investment management and sub-advisory relationships, the Board placed emphasis on the investment returns of each Portfolio, including its investment performance over certain time periods compared to the Portfolio’s Morningstar category average, Selected Peer Group and primary benchmark. The Board also considered information from the Manager Research & Selection Group and received reports summarizing a separate analysis of each Portfolio’s performance and risk, including risk-adjusted investment return information, by the Trusts’ Chief Investment Risk Officer.
Economies of Scale
When evaluating the reasonableness of management fee schedules, the Board considered whether economies of scale have been or likely will be realized by the Manager and the Sub-Advisers as a Portfolio grows larger and the extent to which any such economies are reflected in contractual fee schedules. In this regard, the Board noted any breakpoints in management fee schedules that will result in a lower management fee rate when a Portfolio achieves sufficient asset levels to receive a breakpoint discount. The Board also considered that, in addition to the management fee breakpoints, they may have fee waiver and/or expense reimbursement arrangements. The Board considered the extent to which economies of scale realized by the Manager or the Sub-Advisers could be shared with each Portfolio through such fee waivers, expense reimbursements or other expense reductions. In evaluating these matters, the Independent Trustees also considered periodic management reports, Selected Peer Group comparisons, and industry information regarding economies of scale. In the case of sub-advisory fee rates, the Board considered that breakpoints would inure to the benefit of the Manager.
Information Regarding Services to Other Clients
The Board considered information regarding the nature of services, performance, and fee schedules offered by the Manager and the Sub-Advisers to other clients with similar investment objectives, if applicable, including other registered investment companies and relevant institutional accounts. When the fee schedules offered to or the performance of other clients differed materially from a Portfolio, the Board took into account the underlying rationale provided by the Manager or the Sub-Adviser, as applicable, for these differences. For the non-Voya-affiliated Sub- Advisers, the Board viewed the information related to any material differences in the fee schedules as not being a key factor in its deliberations because of the arm’s-length nature of negotiations between the Manager and non-Voya- affiliated Sub-Advisers with respect to sub-advisory fee schedules. The Board also considered that the fee schedules charged to the Portfolios and other institutional clients of the Manager or the Sub-Advisers (including other investment companies) and the performance of the Portfolios and the other accounts, as applicable, may differ materially due to, among other reasons: differences in services; different regulatory requirements associated with registered investment companies; market differences in fee schedules that existed when a Portfolio first was organized; differences in the original sponsors of Portfolios that now are managed by the Manager; investment capacity constraints that existed
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ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
when certain contracts were first agreed upon or that might exist at present; and different pricing structures that are necessary to be competitive in different marketing channels.
Fee Schedules, Profitability, and Fall-out Benefits
The Board reviewed and considered the contractual management fee schedule payable by each Portfolio to the Manager compared to the Portfolio’s Selected Peer Group. The Board also considered the contractual sub-advisory fee schedule payable by the Manager to each Sub-Adviser for sub-advisory services for each Portfolio, including the portion of the contractual management fee rates that are paid to each Sub-Adviser, as compared to the portion retained by the Manager. In addition, the Board considered any fee waivers, expense limitations, and/or recoupment arrangements that apply to the fees payable by the Portfolios, including whether the Manager intends to propose any changes thereto. For each Portfolio, the Board separately determined that the fees payable to the Manager and the fee schedule payable to each Sub-Adviser are reasonable for the services that each performs, which were considered in light of the nature, extent and quality of the services that each has performed and is expected to perform.
For each Portfolio, the Board considered information on revenues, costs and profits or losses realized by the Manager. In analyzing the profitability of the Manager and its affiliated service providers in connection with services they render to a Portfolio, the Board took into account the sub-advisory fee rate payable by the Manager to each Sub-Adviser. The Board also considered the profitability of the Manager attributable to servicing each Portfolio both with and without taking into account the profitability of the distributor of the Portfolios and both before and after giving effect to any expenses incurred by the Manager in making payments to affiliated insurance companies. The Board did not request profitability data from the Sub-Advisers, which is not affiliated with the Manager, because the Board did not view this data as being a key factor to its deliberations given the arm’s-length nature of the relationship between the Manager and these non-Voya-affiliated Sub-Advisers with respect to the negotiation of sub-advisory fee schedules. In addition, the Board noted that non-Voya-affiliated Sub-Advisers may not account for their profits on an account-by-account basis and those that do typically employ different methodologies in connection with these calculations.
Although the Methodology Guide establishes a framework for profit calculation, the Board recognized that there is no uniform methodology within the asset management industry for determining profitability for this purpose. The Board also recognized that the use of different reasonable methodologies can give rise to dramatically different reported profit and loss results with respect to the Manager, as well as other industry participants with whom the profits of the Manager could be compared. In addition, the Board recognized that Management’s calculations regarding its costs incurred in establishing the infrastructure necessary for the Portfolios’ operations may not be fully reflected in the expenses allocated to each Portfolio in determining profitability, and that the information presented may not portray all of the costs borne by the Manager or reflect all risks, including entrepreneurial, regulatory, legal and operational risks, associated with offering and managing a mutual fund complex in the current regulatory and market environment.
The Board also considered that the Manager is entitled to earn a reasonable level of profits for the services that it provides to the Portfolios. The Board also received information regarding the potential fall-out benefits to the Manager and Sub-Advisers and their respective affiliates from their association with the Portfolios, including their ability to engage in soft-dollar transactions on behalf of the Portfolios. Following its reviews, the Board determined that the Manager’s profitability with respect to its services to the Portfolios and the Manager and Sub-Advisers’ potential fall-out benefits were not unreasonable.
Portfolio-by-Portfolio Analysis
Set forth below are certain of the specific factors that the Board considered, and the conclusions reached, at its October 12, 2017, November 14, 2017, and/or November 16, 2017 meetings in relation to approving each Portfolio’s Management Contract and Sub-Advisory Contract. These specific factors are in addition to those considerations discussed above. In each case, the Portfolio’s performance was compared to its Morningstar category, as well as its primary benchmark, a broad-based securities market index that appears in the Portfolio’s prospectus. With respect to Morningstar quintile rankings, the first quintile represents the highest (best) performance and the fifth quintile represents the lowest performance. The performance data provided to the Board primarily was for various periods ended March 31, 2017. In addition, the Board also considered at its October 12, 2017, November 14, 2017, and November 16, 2017 meetings certain additional data regarding performance and Portfolio asset levels and flows as of August 31, 2017, and September 30, 2017. Each Portfolio’s management fee rate and expense ratio were compared to the fees and expense ratios of the funds in its Selected Peer Group.
VY® BlackRock Inflation Protected Bond Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® BlackRock Inflation Protected Bond Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its
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ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
Morningstar category average for the year-to-date and three-year periods, and underperformed for the one-year and five-year periods; (2) the Portfolio underperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the third quintile of its Morningstar category for all periods presented.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the economies of scale benefits to the Portfolio and its shareholders from breakpoint discounts applicable to the Portfolio’s management fee rate, which result in lower fees at higher asset levels; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is below the median and equal to the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average net expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
VY® Goldman Sachs Bond Portfolio
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for VY® Goldman Sachs Bond Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio underperformed its Morningstar category average for all periods presented; (2) the Portfolio outperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the third quintile of its Morningstar category for the one-year period, and the fourth quintile for the year-to-date period.
In analyzing this performance data, the Board took into account: (1) that the Portfolio commenced operations in February 2015, and therefore had a limited operating history for the purpose of analyzing its performance; and (2) Management’s confidence in the Sub-Adviser’s ability to execute the Portfolio’s investment objective.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a breakpoint fee schedule where the asset level necessary to achieve a breakpoint discount had not been reached by the Portfolio; and (2) the pricing structure (including the net expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is equal to the median and below the average management fee rates of the funds in its Selected Peer Group; and (b) the net expense ratio for the Portfolio is below the median and the average expense ratios of the funds in its Selected Peer Group.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) taking into account that the Portfolio commenced operations in February 2015, and therefore had a limited operating history for the purpose of analyzing the Portfolio’s performance, it is reasonable to permit the Portfolio time to establish a longer performance record for the purpose of evaluating investment performance; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, 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
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Independent Registered Public Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
voyainvestments.com |
VPAR-VIT3AIS (1217-022218) |
Annual Report
December 31, 2017
Classes ADV, I and S
n Voya Global Perspectives® Portfolio
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the fund’s investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
| | |
| | |
| INVESTMENT MANAGEMENT | |
| voyainvestments.com | |
TABLE OF CONTENTS
| President’s Letter | | | | | 1 | |
| Market Perspective | | | | | 2 | |
| Portfolio Managers’ Report | | | | | 4 | |
| Shareholder Expense Example | | | | | 6 | |
| Report of Independent Registered Public Accounting Firm | | | | | 7 | |
| Statement of Assets and Liabilities | | | | | 8 | |
| Statement of Operations | | | | | 9 | |
| Statements of Changes in Net Assets | | | | | 10 | |
| Financial Highlights | | | | | 11 | |
| Notes to Financial Statements | | | | | 12 | |
| Portfolio of Investments | | | | | 18 | |
| Tax Information | | | | | 20 | |
| Trustee and Officer Information | | | | | 21 | |
| Advisory and Sub-Advisory Contract Approval Discussion | | | | | 25 | |
PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolio uses 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 Portfolio’s 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 Portfolio voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Portfolio’s website at www.voyainvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Portfolio’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Portfolio’s Forms N-Q, as well as a complete portfolio of investments, are available without charge upon request from the Portfolio by calling Shareholder Services toll-free at (800) 992-0180.
(THIS PAGE INTENTIONALLY LEFT BLANK)
PRESIDENT’S LETTER
After a Strong Year, Positive ExpectationsDear Shareholder,
The U.S. equity market proved resilient throughout 2017, posting a “perfect pitch” year with not one single month of negative returns. A lot of chatter in the markets has focused on the low levels of volatility that prevailed in 2017, and whether 2018 will be the year that volatility returns (witness early February markets). As usual there are also any number of geopolitical or other risks that could cause a sell-off, but we are heartened by the reality of macroeconomic fundamentals, which include strong and synchronous global growth; we believe these would likely be a governor on a rise in volatility.
We believe the United States, Europe and China will continue to dominate the world economy in 2018. Combined, the three account for about $48 trillion of GDP, more than 60% of the $79 trillion global GDP produced each year. And the rest of the world still has its own positive backdrop: The International Monetary Fund projects that 185 of 190 national economies will grow in 2018.
While economic growth may be synchronous across the globe, it is not likely to be uniform — thus, broad global diversification across continents and asset classes remains important for positioning your portfolio to benefit from potential opportunities. Regardless of where individual markets are in their business cycles, we believe investors are best served by following their asset allocation plan and avoiding the temptation to time entry or exit points.
If your goals have changed, thoroughly discuss them with your investment advisor before making any changes to your investment strategy. We seek to remain 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,
Shaun Mathews
President and Chief Executive Officer
Voya Family of Funds
January 19, 2018
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: YEAR ENDED DECEMBER 31, 2017
In our semi-annual report we described how global equities, in the form of the MSCI World IndexSM (the “Index”), measured in local currencies, including net reinvested dividends, rose 8.25%, carried higher in what seemed to be the path of least resistance. Investor sentiment was still trying to come to terms with the unexpected result of the U.S. presidential election. For this and perhaps more importantly, other reasons, the Index continued its advance, rising in every month, to end up 18.48% for the fiscal year. (The Index returned 22.40% for the year ended December 31, 2017, measured in U.S. dollars.)
By mid-year most commentators had largely discounted a reflation trade driven by U.S. legislative initiatives. But this did not mean that such initiatives were dead; just that the credibility of anything market friendly coming out of them had fallen very low. The President had said on February 9 that he would announce his pro-growth tax reform plan in the coming weeks. Nothing solid had emerged and by early July the Senate was still pre-occupied with the Affordable Care Act (“ACA”), desperately trying to pass any version of a repeal and replace bill. Such attempts finally foundered in the early hours of July 28.
But investors could still take comfort in a narrative of improving global growth and corporate earnings, with monetary conditions still historically easy, to underpin the prices of risk assets. The evidence was there to see. In August the Wall Street Journal observed that the prices of base metals had recently hit multi-year highs, inferring that investors were increasingly bullish on global growth, and later noted that every country tracked by the Organization for Economic Cooperation and Development was set to grow in 2017.
In the euro zone, unemployment ended November at 8.8%, the lowest since January 2009. Gross domestic product (“GDP”) grew 2.5% year-over-year in the third quarter of 2017, slightly higher than the U.S. (2.3%). The European Central Bank finally confirmed that monthly bond purchases would be halved to €30 billion in 2018. The region’s Economic Sentiment Indicator ended the period at the highest since 2000.
China’s GDP growth in the second quarter of 2017 was a healthy 6.9% year-over-year and 6.8% in the third. Imports were continuing to grow at double-digit year-over-year rates, supporting global demand. Excessive debt remained a problem in financial markets, however. In November the authorities announced curbs on leverage in asset management products and promises of guaranteed returns.
Even Japan contributed some good news with GDP rising in the third quarter of 2017 for the seventh straight quarter.
In the U.S., the Federal Reserve (“Fed”) added 25bp (0.25%) to the federal funds rate in March and did so again in June. But areas of sluggishness, like low core consumer price inflation and wage growth persisted into September, which started with devastating hurricanes and rising geo-political tensions with North Korea. Some commentators suggested that the Fed might be done for the year.
However, the hurricanes subsided, geo-political tensions cooled and yet another forlorn attempt to replace the ACA was shrugged off. The December employment report showed the unemployment rate barely above 4%, near the lowest since February 2001. Third quarter GDP growth was reported at 3.2% (annualized) after 3.1% in the second. The outline of a long-awaited pro-growth tax reform program was finally announced, although moving day by day to bring recalcitrant senators on
board. For investors, its key feature was a reduction in the corporate tax rate to 21%, which many believed would be used to increase share buy-backs and dividends. The Fed duly raised the federal funds rate by another 25bp (0.25%) in December and the tax bill was signed into law on December 22.
In U.S. fixed income markets, the Bloomberg Barclays U.S. Aggregate Bond Index (“Barclays Aggregate”) added 3.54% in the fiscal year. The Treasury yield curve became flatter, with yields on maturities up to about nine years rising and those on longer maturities falling. Thus the Bloomberg Barclays U.S. Treasury Bond Index rose 2.31% while the Bloomberg Barclays Long-Term U.S. Treasury sub-index gained 8.53%. Indices of riskier classes generally outperformed Treasuries: the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index climbed 6.42%, the Bloomberg Barclays High-Yield Bond — 2% Issuer Constrained Composite Index (not a part of the Barclays Aggregate) rose 7.50%.
U.S. equities, represented by the S&P 500® Index including dividends, surged 21.83% in 2017. The earnings per share of its constituent companies grew 6.4% year-over-year in the third quarter of 2017, after two quarters of double-digit gains. Technology was the leader, soaring 38.83%. Telecommunications and energy were the laggards, falling 1.25% and 1.01% respectively. Index companies thought to offer comparatively good earnings growth outperformed those considered to offer comparatively good value by more than 12%.
In currencies, the dollar fell 12.37% against the euro, 8.63% against the pound, reflecting some dissipation of the post-election reflation euphoria. In the meantime, the euro zone’s prospects had improved, while some of the panic over Brexit had faded. The dollar slipped 3.65% against the yen, moving within a narrow trading range for most of the year.
In international markets, the MSCI Japan® Index jumped 19.75% over the year, in an environment of improving corporate governance and profitability, with little competition from fixed income investments. The MSCI Europe ex UK® Index rose 13.59%. Aside from the positive developments noted above, corporate earnings were improving and political fears were assuaged by the election of a centrist President in France. But gains were muted by the strengthening euro. The MSCI UK® Index rose 11.94%. GDP growth was down to 0.4% in each of the middle two quarters, Brexit negotiations were slow and inconclusive and we believe by year end it was abundantly clear that the UK’s position was very weak.
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 Portfolio’s 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 |
|---|
| Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index | | | An 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. |
| Bloomberg Barclays U.S. 20+ Year Treasury Bond Index | | | Measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of 20 or more years. The index includes all publicly-issued U.S. Treasury securities that have a remaining maturity of greater than or equal to 20 years, are rated investment grade and have $250 million or more of outstanding face value. |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | An index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. |
| Bloomberg Barclays U.S. Corporate Investment Grade Bond Index | | | An index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. |
| Bloomberg Barclays Long-Term U.S. Treasury Index | | | This index measures the performance of U.S. Treasury bills with long-term maturity. The credit level for this index is investment grade. The rebalance scheme is monthly. |
| Bloomberg 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. |
| FTSE ERPA/NAREIT Developed Index | | | The Index is designed to track the performance of listed real estate companies and real-estate investment trusts (REITS) worldwide. Relevant activities are defined as the ownership, disposal and development of income-producing real estate. Constituents are classified into distinct property sectors based on gross invested book assets, as disclosed in the latest published financial statement. Index constituents are free-float adjusted, liquidity, size and revenue screened. |
| MSCI Europe, Australasia and Far East® (“MSCI EAFE”) Index | | | An index that measures the performance of securities listed on exchanges in Europe, Australasia and the Far East. It includes the reinvestment of dividends net of withholding taxes, but does not reflect fees, brokerage commissions or other expenses of investing. |
| MSCI Emerging Markets Index | | | An index that measures the performance of securities listed on exchanges in developing nations throughout the world. It includes the reinvestment of dividends and distributions net of withholding taxes, but does not reflect fees, brokerage commissions or other expenses of investing. |
| 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 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 index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. |
| S&P MidCap 400® Index | | | An index that measures the performance of the mid-size company segment of the U.S. market. |
| S&P SmallCap 600® Index | | | An index used to measure stock market performance composed of companies with a weighted average market value of approximately $630 million. |
| S&P Target Risk® Growth Index | | | Seeks to measure the performance of an asset allocation strategy targeted to a growth focused risk profile. |
3
| VOYA GLOBAL PERSPECTIVES® PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Target Allocations
as of December 31, 2017
(percent of net assets) |
| | | | | | | |
| U.S. Large Cap Equities | | | | | 10 | % |
| U.S. Mid Cap Equities | | | | | 10 | % |
| U.S. Small Cap Equities | | | | | 10 | % |
| Global Real Estate | | | | | 10 | % |
| International Equities | | | | | 10 | % |
| Emerging Market Equities | | | | | 10 | % |
| U.S. Investment Grade Bonds | | | | | 10 | % |
| U.S. Government Bonds | | | | | 10 | % |
| Global Bonds | | | | | 10 | % |
| U.S. High Yield Bonds | | | | | 10 | % |
| Cash | | | | | 0 | % |
| | | | | | | |
| Portfolio holdings are subject to change daily. |
Voya Global Perspectives® Portfolio (the “Portfolio”) seeks total return. Under normal conditions, the sub-adviser invests the assets of the Portfolio in a combination of underlying funds (“Underlying Funds”) that in turn, invest directly in securities such as stocks and bonds. The Portfolio is managed by Douglas Coté, CFA, and Karyn Cavanaugh, CFA, Portfolio Managers of Voya Investment Management Co. LLC — the Sub-Adviser.
Under normal market conditions, approximately 60% of the Portfolio’s net assets are allocated to Underlying Funds that invest predominantly in equity securities, and approximately 40% of the Portfolio’s net assets are allocated to Underlying Funds that invest predominantly in debt instruments. These approximate weights are referred to as target allocations (“Target Allocations”). Depending upon the rules-based investment strategy, the equity target allocation may drop to approximately 30% and the debt target allocation may rise to approximately 70% — such weightings are called “defensive allocations.” No adjustments to the Target Allocations or defensive allocations will be made between quarterly allocation dates.
Performance: For the year ended December 31, 2017, the Portfolio’s Class S shares provided a total return of 14.71%, compared to the S&P Target Risk® Growth Index and the Portfolio’s composite index (“Composite Index”)(1), which returned 16.22% and 15.21%, respectively, for the same period.
Portfolio Specifics: The Portfolio underperformed the S&P Target Risk® Growth Index. The Target Allocations applied throughout the year. However, against the Index, performance suffered from the Portfolio’s underweighting in non-US stocks which outperformed domestic stocks. The Portfolio’s near equal weighting among large, mid and small caps within domestic equities also detracted compared to the Index, which was heavily weighted towards outperforming large caps. This was partly offset by the Portfolio’s outperformance in the fixed income asset class, due to a higher allocation to global and high yield bonds.
Over all the Underlying Funds performed in line with the Composite Index. However, Voya Mid Cap Opportunities Portfolio and Voya Index Plus LargeCap Portfolio strongly outperformed the sub-indices which they represent within the Composite Index, while Voya GNMA Income Fund and Voya U.S. Bond Index substantially lagged.
Current Strategy and Outlook: We believe that markets care more about economics than politics, and good news abounds as fundamentals are accelerating in the U.S. and internationally. In our view, the tax reform package will positively impact a key component of U.S. GDP that has been missing — capital investment. And, in our opinion, that is constructive for productivity and future sustainable growth. Yet there is a still a distinct lack of euphoria in the markets, and we believe the biggest risk for investors is missing the next leg of this rally. The new path forward is not without risks. Geopolitical tensions and the imminent end of unconventional monetary policy may increase volatility. We believe investors should remain vigilant and maintain a disciplined and diversified approach to investing.
(1) | | The Composite Index is composed of several indices that we believe provide an internal reference benchmark against which the actual performance of the Portfolio can be compared. As of December 31, 2017, the index allocation is approximately: 10% of the Bloomberg Barclays Global Aggregate Index, 10% of the Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index, 10% of the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index, 10% of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index, 10% of the FTSE ERPA/NAREIT Developed Index, 10% of the MSCI EAFE® Index, 10% of the MSCI Emerging Markets Index, 10% of the S&P 500® Index, 10% of the S&P MidCap 400® Index, 10% of the S&P SmallCap 600® Index. |
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
4
| PORTFOLIO MANAGERS’ REPORT | VOYA GLOBAL PERSPECTIVES® PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | 1 Year
| | Since Inception
of Classes ADV, I and S
May 1, 2013
|
|---|
| Class ADV | | | 14.60 | % | | | 5.49 | % |
| Class I | | | 14.98 | % | | | 5.87 | % |
| Class S | | | 14.71 | % | | | 5.59 | % |
S&P Target Risk® Growth Index | | | 16.22 | % | | | 8.06 | % |
| Composite Index | | | 15.21 | % | | | 7.26 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of the Voya Global Perspectives® Portfolio against the indices indicated. An index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a
variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
5
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
As a shareholder of the 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 the 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 July 1, 2017 to December 31, 2017. The Portfolio’s expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension, or retirement plan. 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 the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 the 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
July 1,
2017
| | Ending
Account
Value
December 31,
2017
| | Annualized
Expense
Ratio*
| | Expenses Paid
During the
Period Ended
December 31,
2017**
| | Beginning
Account
Value
July 1,
2017
| | Ending
Account
Value
December 31,
2017
| | Annualized
Expense
Ratio*
| | Expenses Paid
During the
Period Ended
December 31,
2017**
|
|---|
| Class ADV | | $ | 1,000.00 | | | $ | 1,068.00 | | | | 0.48 | % | | $ | 2.50 | | | $ | 1,000.00 | | | $ | 1,022.79 | | | | 0.48 | % | | $ | 2.45 | |
| Class I | | | 1,000.00 | | | | 1,069.20 | | | | 0.18 | | | | 0.94 | | | | 1,000.00 | | | | 1,024.30 | | | | 0.18 | | | | 0.92 | |
| Class S | | | 1,000.00 | | | | 1,068.20 | | | | 0.43 | | | | 2.24 | | | | 1,000.00 | | | | 1,023.04 | | | | 0.43 | | | | 2.19 | |
| * | | The annualized expense ratios do not include expenses of underlying funds. |
| ** | | Expenses are equal to the Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
6
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
Voya Investors Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Voya Global Perspectives Portfolio (the “Fund”), a series of Voya Investors Trust, including the portfolio of investments, as of December 31, 2017, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the four-year period then ended and the period from May 1, 2013 (commencement of operations) to December 31, 2013. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended and the period from May 1, 2013 to December 31, 2013, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Voya investment companies since 1975.
Boston, Massachusetts
February 22, 2018
7
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2017
ASSETS: | | | | | | |
| Investments in affiliated underlying funds at fair value* | | | | $ | 131,150,096 | |
| Cash | | | | | 34 | |
| Receivables: | | | | | | |
| Investments in affiliated underlying funds sold | | | | | 2,085,960 | |
| Fund shares sold | | | | | 13,062 | |
| Prepaid expenses | | | | | 597 | |
| Reimbursement due from manager | | | | | 9,090 | |
| Other assets | | | | | 5,299 | |
| Total assets | | | | | 133,264,138 | |
| |
LIABILITIES: | | | | | | |
| Payable for investments in affiliated underlying funds purchased | | | | | 1,842,129 | |
| Payable for fund shares redeemed | | | | | 256,893 | |
| Payable for investment management fees | | | | | 22,332 | |
| Payable for distribution and shareholder service fees | | | | | 31,362 | |
| Payable to trustees under the deferred compensation plan (Note 6) | | | | | 5,299 | |
| Payable for trustee fees | | | | | 923 | |
| Other accrued expenses and liabilities | | | | | 34,109 | |
| Total liabilities | | | | | 2,193,047 | |
NET ASSETS | | | | $ | 131,071,091 | |
| |
NET ASSETS WERE COMPRISED OF: | | | | | | |
| Paid-in capital | | | | $ | 118,099,029 | |
| Undistributed net investment income | | | | | 3,107,837 | |
| Accumulated net realized loss | | | | | (1,802,896 | ) |
| Net unrealized appreciation | | | | | 11,667,121 | |
NET ASSETS | | | | $ | 131,071,091 | |
| | | | | | |
| * Cost of investments in affiliated underlying funds | | | | $ | 119,482,975 | |
| |
Class ADV | | | | | | |
| Net assets | | | | $ | 122,258,095 | |
| Shares authorized | | | | | unlimited | |
| Par value | | | | $ | 0.001 | |
| Shares outstanding | | | | | 10,671,803 | |
| Net asset value and redemption price per share | | | | $ | 11.46 | |
| |
Class I | | | | | | |
| Net assets | | | | $ | 8,754,705 | |
| Shares authorized | | | | | unlimited | |
| Par value | | | | $ | 0.001 | |
| Shares outstanding | | | | | 757,994 | |
| Net asset value and redemption price per share | | | | $ | 11.55 | |
| |
Class S | | | | | | |
| Net assets | | | | $ | 58,291 | |
| Shares authorized | | | | | unlimited | |
| Par value | | | | $ | 0.001 | |
| Shares outstanding | | | | | 5,079 | |
| Net asset value and redemption price per share | | | | $ | 11.48 | |
See Accompanying Notes to Financial Statements
8
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2017
INVESTMENT INCOME: | | | | | | |
| Dividends from affiliated underlying funds | | | | $ | 3,585,621 | |
| Total investment income | | | | | 3,585,621 | |
| |
EXPENSES: | | | | | | |
| Investment management fees | | | | | 277,657 | |
| Distribution and shareholder service fees: | | | | | | |
| Class ADV | | | | | 781,819 | |
| Class S | | | | | 135 | |
| Transfer agent fees | | | | | 449 | |
| Shareholder reporting expense | | | | | 18,538 | |
| Professional fees | | | | | 35,078 | |
| Custody and accounting expense | | | | | 11,302 | |
| Trustee fees | | | | | 5,837 | |
| Miscellaneous expense | | | | | 12,761 | |
| Interest expense | | | | | 28 | |
| Total expenses | | | | | 1,143,604 | |
| Waived and reimbursed fees | | | | | (499,518 | ) |
| Net expenses | | | | | 644,086 | |
| Net investment income | | | | | 2,941,535 | |
| |
REALIZED AND UNREALIZED GAIN (LOSS): | | | | | | |
| Net realized gain (loss) on: | | | | | | |
| Investments | | | | | 663 | |
| Sale of affiliated underlying funds | | | | | 3,144,721 | |
| Capital gain distributions from affiliated underlying funds | | | | | 2,411,225 | |
| Foreign currency related transactions | | | | | 465 | |
| Net realized gain | | | | | 5,557,074 | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | |
| Affiliated underlying funds | | | | | 10,631,753 | |
| Net change in unrealized appreciation (depreciation) | | | | | 10,631,753 | |
| Net realized and unrealized gain | | | | | 16,188,827 | |
Increase in net assets resulting from operations | | | | $ | 19,130,362 | |
See Accompanying Notes to Financial Statements
9
STATEMENTS OF CHANGES IN NET ASSETS
| | | | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
|
|---|
FROM OPERATIONS: | | | | | | | | | | |
| Net investment income | | | | $ | 2,941,535 | | | $ | 3,541,041 | |
| Net realized gain (loss) | | | | | 5,557,074 | | | | (2,749,129 | ) |
| Net change in unrealized appreciation (depreciation) | | | | | 10,631,753 | | | | 9,070,335 | |
| Increase in net assets resulting from operations | | | | | 19,130,362 | | | | 9,862,247 | |
| |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | |
| Net investment income: | | | | | | | | | | |
| Class ADV | | | | | (3,290,221 | ) | | | (3,681,971 | ) |
| Class I | | | | | (212,119 | ) | | | (170,856 | ) |
| Class S | | | | | (1,437 | ) | | | (1,272 | ) |
| Total distributions | | | | | (3,503,777 | ) | | | (3,854,099 | ) |
| |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | |
| Net proceeds from sale of shares | | | | | 6,659,576 | | | | 18,723,949 | |
| Reinvestment of distributions | | | | | 3,503,777 | | | | 3,854,099 | |
| | | | | | 10,163,353 | | | | 22,578,048 | |
| Cost of shares redeemed | | | | | (48,989,454 | ) | | | (31,582,866 | ) |
| Net decrease in net assets resulting from capital share transactions | | | | | (38,826,101 | ) | | | (9,004,818 | ) |
| Net decrease in net assets | | | | | (23,199,516 | ) | | | (2,996,670 | ) |
| |
NET ASSETS: | | | | | | | | | | |
| Beginning of year or period | | | | | 154,270,607 | | | | 157,267,277 | |
| End of year or period | | | | $ | 131,071,091 | | | $ | 154,270,607 | |
| Undistributed net investment income at end of year or period | | | | $ | 3,107,837 | | | $ | 3,499,512 | |
See Accompanying Notes to Financial Statements
10
FINANCIAL HIGHLIGHTS
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)
|
| (%)
| |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.26 | | | | 0.23 | • | | | 1.25 | | | | 1.48 | | | | 0.28 | | | | — | | | | — | | | | 0.28 | | | | — | | | | 11.46 | | | | 14.60 | | | | 0.86 | | | | 0.48 | | | | 0.48 | | | | 2.11 | | | | 122,258 | | | | 13 | | |
| 12-31-16 | | | | | 9.87 | | | | 0.23 | • | | | 0.41 | | | | 0.64 | | | | 0.25 | | | | — | | | | — | | | | 0.25 | | | | — | | | | 10.26 | | | | 6.49 | | | | 0.89 | | | | 0.52 | | | | 0.52 | | | | 2.25 | | | | 139,474 | | | | 52 | | |
| 12-31-15 | | | | | 10.91 | | | | 0.21 | • | | | (0.57 | ) | | | (0.36 | ) | | | 0.26 | | | | 0.42 | | | | — | | | | 0.68 | | | | — | | | | 9.87 | | | | (3.68 | ) | | | 0.98 | | | | 0.48 | | | | 0.48 | | | | 1.99 | | | | 154,227 | | | | 42 | | |
| 12-31-14 | | | | | 10.51 | | | | 0.17 | • | | | 0.23 | | | | 0.40 | | | | 0.00 | * | | | 0.00 | * | | | — | | | | 0.00 | * | | | — | | | | 10.91 | | | | 3.84 | | | | 0.99 | | | | 0.46 | | | | 0.46 | | | | 1.57 | | | | 197,242 | | | | 30 | | |
05-01-13(5)–12-31-13 | | | | | 10.00 | | | | 0.12 | • | | | 0.39 | | | | 0.51 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10.51 | | | | 5.10 | | | | 2.58 | | | | 0.89 | | | | 0.89 | | | | 1.80 | | | | 24,390 | | | | 8 | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.34 | | | | 0.25 | • | | | 1.28 | | | | 1.53 | | | | 0.32 | | | | — | | | | — | | | | 0.32 | | | | — | | | | 11.55 | | | | 14.98 | | | | 0.26 | | | | 0.18 | | | | 0.18 | | | | 2.29 | | | | 8,755 | | | | 13 | | |
| 12-31-16 | | | | | 9.95 | | | | 0.25 | • | | | 0.43 | | | | 0.68 | | | | 0.29 | | | | — | | | | — | | | | 0.29 | | | | — | | | | 10.34 | | | | 6.81 | | | | 0.24 | | | | 0.22 | | | | 0.22 | | | | 2.41 | | | | 14,747 | | | | 52 | | |
| 12-31-15 | | | | | 10.99 | | | | 0.25 | • | | | (0.57 | ) | | | (0.32 | ) | | | 0.30 | | | | 0.42 | | | | — | | | | 0.72 | | | | — | | | | 9.95 | | | | (3.35 | ) | | | 0.23 | | | | 0.18 | | | | 0.18 | | | | 2.36 | | | | 2,994 | | | | 42 | | |
| 12-31-14 | | | | | 10.55 | | | | 0.19 | • | | | 0.25 | | | | 0.44 | | | | 0.00 | * | | | 0.00 | * | | | — | | | | 0.00 | * | | | — | | | | 10.99 | | | | 4.21 | | | | 0.24 | | | | 0.15 | | | | 0.15 | | | | 1.74 | | | | 1,456 | | | | 30 | | |
05-01-13(5)–12-31-13 | | | | | 10.00 | | | | 0.15 | • | | | 0.40 | | | | 0.55 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10.55 | | | | 5.50 | | | | 1.83 | | | | 0.29 | | | | 0.29 | | | | 2.23 | | | | 261 | | | | 8 | | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 10.28 | | | | 0.23 | | | | 1.27 | | | | 1.50 | | | | 0.30 | | | | — | | | | — | | | | 0.30 | | | | — | | | | 11.48 | | | | 14.71 | | | | 0.51 | | | | 0.43 | | | | 0.43 | | | | 2.14 | | | | 58 | | | | 13 | | |
| 12-31-16 | | | | | 9.90 | | | | 0.23 | | | | 0.42 | | | | 0.65 | | | | 0.27 | | | | — | | | | — | | | | 0.27 | | | | — | | | | 10.28 | | | | 6.55 | | | | 0.49 | | | | 0.47 | | | | 0.47 | | | | 2.28 | | | | 50 | | | | 52 | | |
| 12-31-15 | | | | | 10.95 | | | | 0.22 | • | | | (0.58 | ) | | | (0.36 | ) | | | 0.27 | | | | 0.42 | | | | — | | | | 0.69 | | | | — | | | | 9.90 | | | | (3.70 | ) | | | 0.48 | | | | 0.43 | | | | 0.43 | | | | 2.03 | | | | 47 | | | | 42 | | |
| 12-31-14 | | | | | 10.54 | | | | 0.16 | | | | 0.25 | | | | 0.41 | | | | — | | | | 0.00 | * | | | — | | | | 0.00 | * | | | — | | | | 10.95 | | | | 3.91 | | | | 0.49 | | | | 0.40 | | | | 0.40 | | | | 1.50 | | | | 33 | | | | 30 | | |
05-01-13(5)–12-31-13 | | | | | 10.00 | | | | 0.14 | | | | 0.40 | | | | 0.54 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10.54 | | | | 5.40 | | | | 2.08 | | | | 0.54 | | | | 0.54 | | | | 2.03 | | | | 32 | | | | 8 | | |
(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 expenses of underlying funds and 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 year or period. |
| * | | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
See Accompanying Notes to Financial Statements
11
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017
NOTE 1 — ORGANIZATION
Voya Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust consists of twenty-four active separate investment series. The series included in this report is Voya Global Perspectives® Portfolio (“Global Perspectives” or the “Portfolio”), a diversified series of the Trust. The investment objective of the Portfolio is described in the Portfolio’s Prospectus.
The classes of shares included in this report are: Adviser (“Class ADV”), Institutional (“Class I”) and Service (“Class S”). With the exception of class specific matters, each class has equal voting rights as to voting privileges. For class specific proposals, only the applicable class would have 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 are allocated 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 Portfolio. Voya Investment Management Co. LLC (“Voya IM” or the “Sub-Adviser”), a Delaware limited liability company, serves as the Sub-Adviser to the Portfolio. Voya Investments Distributor, LLC (“VID” or the “Distributor”), a Delaware limited liability company, serves as the principal underwriter to the Portfolio.
Global Perspectives seeks to achieve its investment objective by investing in affiliated investment companies that, in turn, invest directly in a wide range of portfolio securities (i.e., stocks and bonds). The investment companies in which the Portfolio invests are collectively referred to as the “Underlying Funds.”
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Portfolio in the preparation of its financial statements. The 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 Portfolio is open for business every day the New York Stock Exchange (“NYSE”) opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per share for each class of the Portfolio is determined each Business Day as of the close of the regular trading session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The data reflected on the consolidated tape provided by the CTA is generated by various market centers, including all securities exchanges, electronic communications networks, and third-market broker-dealers. The NAV per share of each class of the 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. On days when the Portfolio is closed for business, Portfolio shares will not be priced and the Portfolio does not transact purchase and redemption orders. To the extent the Portfolio’s assets are traded in other markets on days when the Portfolio does not price its shares, the value of the Portfolio’s assets will likely change and you will not be able to purchase or redeem shares of the Portfolio.
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 regular trading session on the exchange where the security is principally traded or, if such price is not available, at the last sale price as of the Market Close for such security provided by the CTA. Bank loans are valued at the average of the averages of 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 NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official
12
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
closing price as of the close of the regular trading session on the exchange where the security is principally traded.
When a market quotation is not readily available or is deemed unreliable, the Portfolio will determine a fair value for the relevant asset in accordance with procedures adopted by the Portfolio’s Board of Trustees (“Board”). Such procedures provide, for example, that: (a) Exchange-traded securities are valued at the mean of the closing bid and ask; (b) 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; (c) Securities traded in the over-the-counter (“OTC”) market are valued based on prices provided by independent pricing services or market makers; (d) Options not listed on an exchange are valued by an independent source using an industry accepted model, such as Black-Scholes; (e) Centrally cleared swap agreements are valued using a price provided by the central counterparty clearinghouse; (f) OTC swap agreements are valued using a price provided by an independent pricing service; (g) Forward foreign currency exchange 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 the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent period reported by the independent pricing service; and (h) 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 the 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 forward foreign currency exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of Market Close. 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 Market Close, 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 Market Close. 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 Market Close. 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 Portfolio’s 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 Portfolio. 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 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 the Portfolio.
Each investment asset or liability of the Portfolio is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the Sub-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.
13
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. The Portfolio classifies each of its investments in the Underlying Funds as Level 1, without consideration as to the classification level of the specific investments held by the Underlying Funds. A table summarizing the Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between levels of the Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when the Portfolio has a significant amount of Level 3 investments.
B. Securities Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Dividend income received from the Underlying Funds is recognized on the ex-dividend date and is recorded as income distributions in the Statements of Operations. Capital gain distributions received from the Underlying Funds are recognized on the ex-dividend date and are recorded on the Statements of Operations as such. Realized gains and losses are reported on the basis of identified cost of securities sold.
C. Foreign Currency Translation. The books and records of the Portfolio 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 Market Close. |
| (2) | | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
Although the net assets and the market values are presented at the foreign exchange rates at Market Close, the Portfolio does 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 the 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 and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. The foregoing risks are even greater with respect to securities of issuers in emerging markets.
D. Distributions to Shareholders. The Portfolio records distributions to its shareholders on the ex-dividend date. The Portfolio declares and pays dividends and capital gain distributions, if any, annually. The Portfolio 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 GAAP for investment companies.
E. Federal Income Taxes. It is the policy of the Portfolio to comply with subchapter M of the Internal Revenue Code and related excise tax provisions applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders. Therefore, no federal income tax provision is required. Management has considered the sustainability of the Portfolio’s 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 any capital loss carryforwards have been fully utilized or expired.
The Portfolio may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management
14
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Indemnifications. In the normal course of business, the Trust may enter into contracts that provide certain indemnifications. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolio and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENTS IN UNDERLYING FUNDS
For the year ended December 31, 2017, the cost of purchases and the proceeds from the sales of the Underlying Funds were as follows:
Purchases
| | | | Sales
|
|---|
| $17,788,495 | | | | $57,195,692 |
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Portfolio has entered into an investment management agreement (“Management Agreement”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolio. The Investment Adviser oversees all investment management and portfolio management services for the Portfolio and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolio, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. This Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on: 0.20% of average daily net assets invested in affiliated Underlying Funds and 0.40% of the average daily net assets invested in unaffiliated Underlying Funds and/or other direct investments.
The Investment Adviser has entered into a sub-advisory agreement with Voya IM. Voya IM provides investment advice for the Portfolio and is paid by the Investment Adviser based on the average daily net assets of the Portfolio. Subject to such policies as the Board or the Investment Adviser may determine, Voya IM manages the Portfolio’s assets in accordance with the Portfolio’s investment objectives, policies, and limitations.
NOTE 5 — DISTRIBUTION AND SERVICE FEES
The Trust has entered into a shareholder service plan (the “Agreement”) for the Class S shares of the Portfolio. The Agreement compensates the Distributor for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S. Under the Agreement, the Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S shares.
Class ADV shares have a shareholder service and distribution plan. Class ADV shares pay a shareholder service fee of 0.25% and a distribution fee of 0.35% of the Portfolio’s average daily net assets attributable to Class ADV shares. The Distributor has contractually agreed to waive 0.30% of the distribution fee for Class ADV shares of the Portfolio, so the actual fee paid by Class ADV shares is an annual rate of 0.05%. Termination or modification of this obligation requires approval by the Board.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At December 31, 2017, the following direct or indirect, wholly-owned subsidiary of Voya Financial, Inc. owned more than 5% of the Portfolio:
Subsidiary
| | | | Percentage
|
|---|
| Voya Insurance and Annuity Company | | | | | 92.43 | % |
Under the 1940 Act, the direct or indirect beneficial owner of more than 25% of the voting securities of a company (including a fund) is presumed to control such company. Companies under common control (e.g., companies with a common owner of greater than 25% of their respective voting securities) are affiliates under the 1940 Act.
The Portfolio has adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolio. For purposes of determining the amount owed to the trustee under the DC Plan, the amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). The Portfolio purchases shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statement of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of the Portfolio, and will not materially affect the Portfolio’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the DC Plan.
15
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has entered into a written expense limitation agreement (“Expense Limitation Agreement”) with the Portfolio whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses, and extraordinary expenses to the levels listed below:
Portfolio
| | | | Class ADV
| | Class I
| | Class S
| |
|---|
Global Perspectives(1) (2) | | | | | 1.55 | % | | 0.95% | | 1.20% | |
(1) | | The operating expense limits shown take into account the operating expenses incurred at the Underlying Fund level. The amount of fees and expenses of an Underlying Fund borne by the Portfolio will vary based on the Portfolio’s allocation of assets to, and the net expenses of, a particular Underlying Fund. |
(2) | | Pursuant to a side letter through May 1, 2018, the total expense limits including the operating expenses incurred at the Underlying Fund level are 1.09%, 0.83% and 1.08% for Class ADV, Class I, and Class S shares respectively. Termination or modification of this obligation requires approval by the Board. |
The Investment Adviser may at a later date recoup from the Portfolio for fees waived and/or other expenses reimbursed 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 December 31, 2017, the amounts of waived and/or reimbursed fees that are subject to possible recoupment by the Investment Adviser and the related expiration dates are as follows:
December 31,
| | | |
|---|
2018
| | | | 2019
| | 2020
| | Total
|
|---|
| $ 92,268 | | | | $ | 26,712 | | | $ | 108,606 | | | $ | 227,586 | |
The Expense Limitation Agreement is contractual through May 1, 2018 and shall renew automatically for one-year terms. Termination or modification of this obligation requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective May 19, 2017, the Portfolio, in addition to certain other funds managed by the Investment Adviser, has entered into a 364-day unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000 through May 18, 2018. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of the Portfolio or certain other funds managed by the Investment Adviser. The funds to which the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The Portfolio did not utilize the line of credit during the year ended December 31, 2017.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
| | | | Shares
sold
| | Shares
issued in
merger
| | Reinvestment
of
distributions
| | Shares
redeemed
| | Net increase
(decrease)
in shares
outstanding
| | Shares
sold
| | Proceeds
from shares
issued in
merger
| | Reinvestment
of
distributions
| | Shares
redeemed
| | Net increase
(decrease)
|
|---|
Year or
period ended
| | | | #
| | #
| | #
| | #
| | #
| | ($)
| | ($)
| | ($)
| | ($)
| | ($)
|
|---|
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2017 | | | | | 48,581 | | | | — | | | | 303,526 | | | | (3,275,318 | ) | | | (2,923,211 | ) | | | 512,282 | | | | — | | | | 3,290,220 | | | | (35,555,107 | ) | | | (31,752,605 | ) |
| 12/31/2016 | | | | | 485,872 | | | | — | | | | 358,168 | | | | (2,874,901 | ) | | | (2,030,861 | ) | | | 4,949,464 | | | | — | | | | 3,681,971 | | | | (29,185,657 | ) | | | (20,554,222 | ) |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2017 | | | | | 557,771 | | | | — | | | | 19,425 | | | | (1,245,454 | ) | | | (668,258 | ) | | | 6,145,923 | | | | — | | | | 212,120 | | | | (13,434,076 | ) | | | (7,076,033 | ) |
| 12/31/2016 | | | | | 1,342,212 | | | | — | | | | 16,508 | | | | (233,437 | ) | | | 1,125,283 | | | | 13,773,971 | | | | — | | | | 170,856 | | | | (2,396,788 | ) | | | 11,548,039 | |
Class S | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2017 | | | | | 123 | | | | — | | | | 133 | | | | (25 | ) | | | 231 | | | | 1,371 | | | | — | | | | 1,437 | | | | (271 | ) | | | 2,537 | |
| 12/31/2016 | | | | | 52 | | | | — | | | | 123 | | | | (41 | ) | | | 134 | | | | 514 | | | | — | | | | 1,272 | | | | (421 | ) | | | 1,365 | |
NOTE 10 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net
16
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 10 — FEDERAL INCOME TAXES (continued)
realized capital gains for tax purposes are reported as return of capital.
The following permanent tax differences have been reclassified as of December 31, 2017:
Undistributed Net
Investment Income
| | | Accumulated
Net Realized
Gains/(Losses)
|
|---|
| $ 170,567 | | | $ (170,567) |
Dividends paid by the Portfolio 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:
Year Ended
December 31, 2017
| | | | Year Ended
December 31, 2016
| |
|---|
Ordinary
Income
| | | | Ordinary
Income
| |
|---|
| $ 3,503,777 | | | | $ 3,854,099 | |
The tax-basis components of distributable earnings as of December 31, 2017 were:
Undistributed
Ordinary
Income
| | Undistributed
Long-term
Capital Gains
| | Unrealized
Appreciation/
(Depreciation)
| |
|---|
| $ 3,209,361 | | $ | 1,323,232 | | | $ | 8,443,639 | | |
At December 31, 2017, the Portfolio did not have any capital loss carryovers for U.S. federal income tax purposes.
The Portfolio’s major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state.
As of December 31, 2017, no provision for income tax is required in the Portfolio’s financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolio’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. The earliest tax year that remains subject to examination by these jurisdictions is 2013.
NOTE 11 — SUBSEQUENT EVENTS
The Portfolio has evaluated events occurring after the Statement of Assets and Liabilities date (“subsequent events”) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. No such subsequent events were identified.
17
| VOYA GLOBAL PERSPECTIVES® PORTFOLIO | PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
MUTUAL FUNDS: 100.1% |
| | Affiliated Investment Companies: 100.1% |
| 1,023,394 | | | | | | Voya Emerging Markets Index Portfolio — Class I | | $ | 13,150,617 | | | | 10.0 | |
| 1,316,864 | | | | | | Voya Global Bond Fund — Class R6 | | | 13,194,975 | | | | 10.1 | |
| 1,567,432 | | | | | | Voya GNMA Income Fund — Class I | | | 13,166,430 | | | | 10.1 | |
| 1,325,816 | | | | | | Voya High Yield Portfolio — Class I | | | 13,191,870 | | | | 10.1 | |
| 447,887 | | | | | | Voya Index Plus LargeCap Portfolio — Class I | | | 13,037,978 | | | | 10.0 | |
| 1,219,365 | | | | | | Voya International Index Portfolio — Class I | | | 13,095,984 | | | | 10.0 | |
| 895,133 | | | | | | Voya MidCap Opportunities Portfolio — Class I | | | 13,033,136 | | | | 9.9 | |
| |
MUTUAL FUNDS: (continued) |
| | Affiliated Investment Companies: (continued) |
| 591,787 | | | | | | Voya Small Company Portfolio — Class I | | $ | 13,025,233 | | | | 9.9 | |
| 1,241,326 | | | | | | Voya U.S. Bond Index Portfolio — Class I | | | 13,145,640 | | | | 10.0 | |
| 1,049,498 | | | | | | VY® Clarion Global Real Estate Portfolio — Class I | | | 13,108,233 | | | | 10.0 | |
| |
| | | | | | | Total Mutual Funds
(Cost $119,482,975) | | | 131,150,096 | | | | 100.1 | |
| | | | | | | Liabilities in Excess of Other Assets | | | (79,005 | ) | | | (0.1 | ) |
| | | | | | | Net Assets | | $ | 131,071,091 | | | | 100.0 | |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | | | | | |
| Mutual Funds | | | $ | 131,150,096 | | | | $ | — | | | | $ | — | | | | $ | 131,150,096 | |
| Total Investments, at fair value | | | $ | 131,150,096 | | | | $ | — | | | | $ | — | | | | $ | 131,150,096 | |
ˆ See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information.
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 December 31, 2017, where the following issuers were considered an affiliate:
Issuer
| | Beginning
Market Value
at 12/31/16
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Market Value
at 12/31/17
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
|
|---|
| Voya Emerging Markets Index Portfolio — Class I | | $ | 15,410,788 | | | $ | 719,107 | | | $ | (6,514,095 | ) | | $ | 3,534,817 | | | $ | 13,150,617 | | | $ | 231,820 | | | $ | 763,866 | | | $ | — | |
| Voya Global Bond Fund — Class R6 | | | 15,414,602 | | | | 1,936,182 | | | | (3,885,146 | ) | | | (270,663 | ) | | | 13,194,975 | | | | 625,154 | | | | 914,195 | | | | — | |
| Voya GNMA Income Fund — Class I | | | 15,509,100 | | | | 2,512,977 | | | | (4,634,991 | ) | | | (220,656 | ) | | | 13,166,430 | | | | 319,934 | | | | 164,350 | | | | — | |
| Voya High Yield Portfolio — Class I | | | 15,525,274 | | | | 2,501,979 | | | | (4,589,257 | ) | | | (246,126 | ) | | | 13,191,870 | | | | 936,937 | | | | 210,083 | | | | — | |
| Voya Index Plus LargeCap Portfolio — Class I | | | 15,375,607 | | | | 998,617 | | | | (5,102,074 | ) | | | 1,765,828 | | | | 13,037,978 | | | | 221,628 | | | | 864,195 | | | | 253,933 | |
| Voya International Index Portfolio — Class I | | | 15,428,455 | | | | 836,507 | | | | (6,024,713 | ) | | | 2,855,735 | | | | 13,095,984 | | | | 349,090 | | | | (18,901 | ) | | | — | |
| Voya MidCap Opportunities Portfolio — Class I | | | 15,373,654 | | | | 1,400,544 | | | | (6,168,483 | ) | | | 2,427,421 | | | | 13,033,136 | | | | 19,983 | | | | (1,503 | ) | | | 748,381 | |
| Voya Small Company Portfolio — Class I | | | 15,372,098 | | | | 2,763,328 | | | | (4,883,343 | ) | | | (226,850 | ) | | | 13,025,233 | | | | 44,651 | | | | 302,597 | | | | 1,373,446 | |
See Accompanying Notes to Financial Statements
18
| VOYA GLOBAL PERSPECTIVES® PORTFOLIO | PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Issuer
| | Beginning
Market Value
at 12/31/16
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Market Value
at 12/31/17
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
|
|---|
| Voya U.S. Bond Index Portfolio — Class I | | | $ | 15,462,406 | | | | $ | 2,402,462 | �� | | | $ | (4,860,901 | ) | | | $ | 141,673 | | | | $ | 13,145,640 | | | | $ | 318,586 | | | | $ | (61,562 | ) | | | $ | 35,465 | |
| VY® Clarion Global Real Estate Portfolio — Class I | | | | 15,497,474 | | | | | 1,716,792 | | | | | (4,976,607 | ) | | | | 870,574 | | | | | 13,108,233 | | | | | 517,838 | | | | | 7,401 | | | | | — | |
| | | | $ | 154,369,458 | | | | $ | 17,788,495 | | | | $ | (51,639,610 | ) | | | $ | 10,631,753 | | | | $ | 131,150,096 | | | | $ | 3,585,621 | | | | $ | 3,144,721 | | | | $ | 2,411,225 | |
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| Cost for federal income tax purposes was $122,706,457. | | | | | | |
| Net unrealized appreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 12,019,366 | |
| Gross Unrealized Depreciation | | | | | (3,575,727 | ) |
| Net Unrealized Appreciation | | | | $ | 8,443,639 | |
See Accompanying Notes to Financial Statements
19
TAX INFORMATION (UNAUDITED)
Dividends paid during the year ended December 31, 2017 were as follows:
Portfolio Name
| | | | Type
| | Per Share Amount
|
|---|
| Voya Global Perspectives® Portfolio | | | | | | | | | | |
| Class ADV | | | | NII | | $ 0.2822 |
| Class I | | | | NII | | $ 0.3207 |
| Class S | | | | NII | | $ 0.2956 |
NII — Net investment income
Of the ordinary distributions made during the year ended December 31, 2017, 4.89% qualifies for the dividends received deduction (DRD) available to corporate shareholders.
The Regulated Investment Company Modernization Act of 2010 allows qualified fund-of-funds to elect to pass through the ability to take foreign tax credits (or deductions) to the extent that foreign taxes are passed through from underlying funds. A qualified fund-of-funds is a regulated investment company that has at least 50% of the value of its total assets invested in other regulated investment companies at the end of each quarter of the taxable year. Pursuant to Section 853 of the Internal Revenue Code, the Portfolio designates the following amount as foreign taxes paid for the year ended December 31, 2017:
Creditable
Foreign
Taxes Paid
| | | | Per Share
Amount
| | Portion of Ordinary Income
Distribution Derived from
Foreign Sourced Income*
|
|---|
| $45,162 | | | | $0.0039 | | 13.69% |
| * | | The Portfolio listed above did not derive any income from ineligible foreign sources as defined under Section 901(j) of the Internal Revenue Code. |
Foreign taxes paid or withheld must be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments. Shareholders are strongly advised to consult their own tax advisors regarding the appropriate treatment of foreign taxes paid.
Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. generally accepted accounting principles (book) purposes and Internal Revenue Service (tax) purposes.
Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Portfolio. In January, shareholders, excluding corporate shareholders, receive an IRS 1099-DIV regarding the federal tax status of the dividends and distributions they received in the calendar year.
20
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The business and affairs of the Trust are managed under the direction of the Board. A Trustee, who is not an interested person of the Trust, as defined in the 1940 Act, is an independent trustee (“Independent Trustee”). The Trustees and Officers of the Trust are listed below. The Statement of Additional Information includes additional information about trustees of the Trust and is available, without charge, upon request at (800) 366-0066.
Name, Address and Age
| | | | Position(s)
Held with
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
| | Number of
funds in
Fund
Complex
Overseen by
Trustee(2)
| | Other Board Positions
Held by Trustee
|
|---|
| |
Independent Trustees*: | | | | | | | | | | | | |
| |
Colleen D. Baldwin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 57 | | | | Trustee | | November 2007–Present | | President, Glantuam Partners, LLC, a business consulting firm (January 2009–Present). | | 151 | | DSM/Dentaquest, Boston, MA (February 2014–Present). |
| |
John V. Boyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Chairperson
Trustee | | January 2014–Present
January 2005–Present | | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–Present). | | 151 | | None. |
| |
Patricia W. Chadwick
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 69 | | | | Trustee | | January 2006–Present | | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | | 151 | | Wisconsin Energy Corporation (June 2006–Present); The Royce Funds (23 funds) (December 2009–Present); and AMICA Mutual Insurance Company (1992–Present). |
| | | | | | | | | | | | | |
Martin J. Gavin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, AZ 85258
Age: 67 | | | | Trustee | | August 2015–Present | | Retired. Formerly, President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006–November 2015). | | 151 | | None. |
| |
Russell H. Jones
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 73 | | | | Trustee | | May
2013–Present | | Retired. | | 151 | | None. |
| |
Patrick W. Kenny
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 75 | | | | Trustee | | January 2005–Present | | Retired. | | 151 | | Assured Guaranty Ltd. (April 2004–Present). |
| |
Joseph E. Obermeyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Trustee | | May
2013–Present | | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). | | 151 | | None. |
| |
Sheryl K. Pressler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 67 | | | | Trustee | | January 2006–Present | | Consultant (May 2001–Present). | | 151 | | None. |
| |
Christopher P. Sullivan
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Trustee | | October
2015–Present | | Retired. Formerly, President, Bond Division, Fidelity Management and Research (June 2009–September 2012). | | 151 | | None. |
21
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held with
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
| | Number of
funds in
Fund
Complex
Overseen by
Trustee(2)
| | Other Board Positions
Held by Trustee
|
|---|
| |
Independent Trustees*: (continued) | | | | | | | | | |
| |
Roger B. Vincent
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 72 | | | | Trustee | | January 1994–Present | | Retired. | | 151 | | None. |
| |
Trustee who is an “interested person”: | | | | | | | | | | | | |
| |
Shaun P. Mathews(3)
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | | Trustee | | November 2007–Present | | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). | | 151 | | Voya Capital Corporation, LLC and Voya Investments Distributor, LLC (December 2005– Present); Voya Funds Services, LLC, Voya Investments, LLC and Voya Investment Management (March 2006–Present); and Voya Investment Trust Co. (April 2009–Present). |
(1) | | Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). |
(2) | | For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Government Money Market Portfolio; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya International High Dividend Equity Income Fund; Voya Investors Trust; Voya Mutual Funds; Voya Natural Resources Equity Income Fund; Voya Partners, Inc.; Voya Prime Rate Trust; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Series Fund, Inc.; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2018. |
(3) | | Mr. Mathews is deemed to be an “interested person” of the Trust as defined in the 1940 Act, because of his current affiliation with the Voya funds, Voya Financial, Inc. or Voya Financial, Inc.’s affiliates. |
| * | | Effective December 31, 2017, Peter S. Drotch retired as a Trustee of the Board. |
22
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held With
the Trust
| | Term of Office and Length
of Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| |
Shaun P. Mathews
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | | President and Chief Executive Officer | | November 2006–Present | | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). |
| |
Michael J. Roland
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | | Executive Vice President | | March 2003–Present | | Managing Director and Chief Operating Officer, Voya Investments, LLC and Voya Funds Services, LLC (March 2012–Present). Formerly, Chief Compliance Officer, Directed Services LLC and Voya Investments, LLC (March 2011–December 2013). |
| |
Stanley D. Vyner
230 Park Avenue
New York, New York 10169
Age: 67 | | | | Executive Vice President Chief Investment Risk Officer | | March 2003–Present September 2009–Present | | Executive Vice President, Voya Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, Voya Investments, LLC (January 2003–Present). |
| |
Kevin M. Gleason
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 51 | | | | Chief Compliance Officer | | February 2012–Present | | Senior Vice President, Voya Investment Management and Chief Compliance Officer, Voya Family of Funds (February 2012–Present). |
| |
Todd Modic
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | | March 2005–Present | | Senior Vice President, Voya Investments, LLC and Voya Funds Services, LLC (April 2005–Present). |
| |
Kimberly A. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 53 | | | | Senior Vice President | | November 2003–Present | | Senior Vice President, Voya Investments, LLC (September 2003–Present). |
| |
Robert Terris
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 47 | | | | Senior Vice President | | May 2006–Present | | Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (March 2006–Present). |
| |
Fred Bedoya
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 45 | | | | Vice President and Treasurer | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2012–Present). |
| |
Maria M. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | | Vice President | | September 2004–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (September 2004–Present). |
| |
Lauren D. Bensinger
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Vice President | | February 2003–Present | | Vice President, Voya Funds Services, LLC (February 1996–Present) and Voya Investments, LLC (October 2004–Present); Vice President and Anti-Money Laundering Officer, Voya Investments Distributor, LLC (April 2010–Present). Anti-Money Laundering Officer, Voya Financial, Inc. (January 2013–Present); and Anti-Money Laundering Officer, Voya Investment Management Trust Co. (October 2012–Present). |
| |
Sara M. Donaldson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 58 | | | | Vice President | | September 2014–Present | | Vice President, Voya Investments, LLC (October 2015–Present). Formerly, Vice President, Voya Funds Services, LLC (April 2014–October 2015). Formerly, Director, Compliance, AXA Rosenberg Global Services, LLC (September 1997–March 2014). |
23
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held With
the Trust
| | Term of Office and Length
of Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| |
Micheline S. Faver
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 40 | | | | Vice President | | September 2016–Present | | Vice President, Head of Fund Compliance, Voya Investments LLC, and Chief Compliance Officer for Voya Investments, LLC and Directed Services, LLC (June 2016–Present). Formerly, Vice President, Mutual Fund Compliance (March 2014–June 2016); Assistant Vice President, Mutual Fund Compliance (May 2013–March 2014); Assistant Vice President, Senior Project Manager (May 2008–May 2013). |
| |
Robyn L. Ichilov
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Vice President | | November 1999–Present | | Vice President, Voya Funds Services, LLC (November 1995–Present) and Voya Investments, LLC (August 1997–Present). |
| |
Jason Kadavy
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 41 | | | | Vice President | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). |
| |
Kimberly K. Springer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Vice President | | March 2006–Present | | Vice President — Mutual Fund Product Development, Voya Investments, LLC (July 2012–Present); Vice President, Voya Family of Funds (March 2010–Present) and Vice President, Voya Funds Services, LLC (March 2006–Present). |
| |
Craig Wheeler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 48 | | | | Vice President | | May 2013–Present | | Vice President — Director of Tax, Voya Investments, LLC (October 2015–Present). Formerly, Vice President — Director of Tax, Voya Funds Services, LLC (March 2013– October 2015). Formerly, Assistant Vice President — Director of Tax, Voya Funds Services, LLC (March 2008–February 2013). |
| |
Huey P. Falgout, Jr.
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 54 | | | | Secretary | | August 2003–Present | | Senior Vice President and Chief Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| |
Paul A. Caldarelli
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 66 | | | | Assistant Secretary | | June 2010–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| |
Theresa K. Kelety
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 55 | | | | Assistant Secretary | | August 2003–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
(1) | | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
24
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATION AND APPROVAL OF INVESTMENT MANAGEMENT CONTRACT AND SUB-ADVISORY CONTRACT
At a meeting held on November 16, 2017, the Board, including a majority of the Independent Trustees, considered and approved the renewal of the investment management contract (the “Management Contract”) between Voya Investments, LLC (the “Manager”) and Voya Investors Trust (the “Trust”), on behalf of Voya Global Perspectives® Portfolio, a series of the Trust (“the Portfolio”), and the sub-advisory contract (the “Sub-Advisory Contract”) with Voya Investment Management Co. LLC, the sub-adviser to the Portfolio (the “Sub-Adviser”), for an additional one year period ending November 30, 2018. In determining to renew such contracts, the Board took into account information furnished to it throughout the year at meetings of the Board and its committees, including regarding performance, expenses, and other matters.
In addition to the Board meeting on November 16, 2017, the Independent Trustees also held meetings outside the presence of personnel representing the Manager or Sub-Adviser (collectively, such persons are referred to herein as “Management”) on October 12, 2017, and November 14, 2017, specifically to review and consider materials related to the proposed continuance of the Management Contract and Sub-Advisory Contract that they believed to be relevant to the renewal of the Management Contract and Sub-Advisory Contract in light of the legal advice furnished to them by K&L Gates LLP, their independent legal counsel, and their own business judgment. Subsequent references herein to factors considered and determinations made by the Independent Trustees and/or the Board include, as applicable, factors considered and determinations made at those meetings by the Independent Trustees. While the Board considered the renewal of the management contracts and sub-advisory contracts for all of the applicable investment companies in the Voya family of funds at the same meetings, the Board considered each Voya fund’s investment management and sub-advisory relationships separately.
The Board follows a structured process pursuant to which it seeks and considers relevant information when it evaluates whether to renew existing investment management and sub-advisory contracts for the Voya funds. The Board has established a Contracts Committee and three Investment Review Committees (the “IRCs”), each of which includes only Independent Trustees as members. The Contracts Committee provides oversight with respect to the management and sub-advisory contracts approval and renewal process, and each IRC provides oversight throughout the year regarding the investment performance of the sub-advisers, as well as the Manager’s role in monitoring the sub-advisers, with respect to each Voya fund that is assigned to that IRC.
The Contracts Committee oversees, and annually recommends Board approval of updates to, a methodology guide for the Voya funds (“Methodology Guide”). The Methodology Guide sets out a framework pursuant to which the Independent Trustees request, and Management provides, certain information that the Independent Trustees deem to be important or potentially relevant. The Independent Trustees retain the services of an independent consultant with experience in the mutual fund industry to assist the Contracts Committee in developing and recommending to the Board: (1) a selected peer group of investment companies for the Portfolio (“Selected Peer Group”) based on the Portfolio’s particular attributes, such as fund type and size, fund category (as determined by Morningstar, Inc., an independent provider of mutual fund data (“Morningstar”)), sales channels and structure and the Portfolio share class being compared to the Selected Peer Group, and (2) updates to the Methodology Guide with respect to the content and format of various data including, but not limited to, investment performance, fee structure, and expense information prepared in connection with the renewal process.
Provided below is an overview of certain material factors that the Board considered at its meetings regarding the renewal of the Management Contract and Sub-Advisory Contract and the compensation to be paid thereunder. Board members did not identify any particular information or factor that was overarching, and each Board member may have accorded different weight to the various factors in reaching his or her conclusions with respect to the Portfolio’s investment management and sub-advisory arrangements.
Nature, Extent and Quality of Services
The Manager oversees, subject to the authority of the Board, the provision of all investment advisory and portfolio management services for the Portfolio, but may delegate certain of these responsibilities to one or more sub-advisers. In addition, the Manager provides administrative services reasonably necessary for the operation of the Portfolio as set forth in the Management Contract, including oversight of the Portfolio’s operations and risk management and the oversight of its various other service providers.
The Board considered the “manager-of-managers” platform of the Voya funds that has been developed by the Manager pursuant to which the Manager selects, subject to the Board’s approval, experienced sub-advisers to provide day-to-day management services to all or a portion of each Voya fund. The Board recognized that the Manager is responsible for monitoring the investment program,
25
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
performance, developments, ongoing operations, and regulatory compliance of the Sub-Adviser with respect to the Portfolio under this manager-of-managers arrangement. The Board also considered the techniques and resources that the Manager has developed to provide this ongoing oversight and due diligence with respect to the sub-advisers and to advocate or recommend, when it believes appropriate, changes in investment strategies or investment sub-advisers designed to assist in improving a Voya fund’s performance. The Board was advised that, in connection with the Manager’s performance of these duties, the Manager has developed an oversight process formulated by its Manager Research & Selection Group which reviews, among other matters, performance data, the Sub-Adviser’s management team, portfolio data and attribution analysis related to the Sub-Adviser through various means, including, but not limited to, in-person meetings, on-site visits, and telephonic meetings with the Sub-Adviser.
Further, the Board considered periodic compliance reports it receives from the Trust’s Chief Compliance Officer evaluating whether the regulatory compliance systems and procedures of the Manager and the Sub-Adviser are reasonably designed to ensure compliance with the federal securities laws and whether the investment policies and restrictions for the Portfolio are consistently complied with, and other periodic reports covering related matters.
The Board considered the portfolio management team assigned by the Sub-Adviser to the Portfolio and the level of resources committed to the Portfolio (and other relevant funds in the Voya funds) by the Manager and the Sub-Adviser, and whether those resources are sufficient to provide high-quality services to the Portfolio.
Based on their deliberations and the materials presented to them, the Board concluded that the nature, extent and quality of the overall services provided by the Manager and the Sub-Adviser under the Management Contract and Sub- Advisory Contract were appropriate.
Portfolio Performance
In assessing investment management and sub-advisory relationships, the Board placed emphasis on the investment returns of the Portfolio, including its investment performance over certain time periods compared to the Portfolio’s Morningstar category, Selected Peer Group and primary benchmark. The Board also considered information from the Manager Research & Selection Group and received reports summarizing a separate analysis of the Portfolio’s performance and risk, including risk-adjusted investment return information, by the Trust’s Chief Investment Risk Officer.
Economies of Scale
When evaluating the reasonableness of the management fee schedule, the Board considered whether economies of scale have been or likely will be realized by the Manager and the Sub-Adviser as the Portfolio grows larger and the extent to which any such economies are reflected in contractual fee schedules. In this regard, the Board considered that, while the Portfolio does not have management fee breakpoints, it does have fee waiver and expense reimbursement arrangements. The Board considered the extent to which economies of scale realized by the Manager could be shared with the Portfolio through such fee waivers, expense reimbursements or other expense reductions. In evaluating these matters, the Independent Trustees also considered periodic management reports, Selected Peer Group comparisons, and industry information regarding economies of scale.
Information Regarding Services to Other Clients
The Board considered information regarding the nature of services, performance, and fee schedules offered by the Manager and the Sub-Adviser to other clients with similar investment objectives, if applicable, including other registered investment companies and relevant institutional accounts. When the fee schedules offered to or the performance of other clients differed materially from the Portfolio, the Board took into account the underlying rationale provided by the Manager or the Sub-Adviser, as applicable, for these differences. The Board also considered that the fee schedules charged to the Portfolio and other institutional clients of the Manager or the Sub-Adviser (including other investment companies) and the performance of the Portfolio and the other accounts, as applicable, may differ materially due to, among other reasons: differences in services; different regulatory requirements associated with registered investment companies; market differences in fee schedules that existed when the Portfolio first was organized; differences in the original sponsors; investment capacity constraints that existed when certain contracts were first agreed upon or that might exist at present; and different pricing structures that are necessary to be competitive in different marketing channels.
Fee Schedules, Profitability, and Fall-out Benefits
The Board reviewed and considered the contractual management fee schedule payable by the Portfolio to the Manager compared to the Portfolio’s Selected Peer Group. The Board also considered the contractual sub-advisory fee schedule payable by the Manager to the Sub-Adviser for sub-advisory services for the Portfolio, including the portion of the contractual management fee rates that are paid to the Sub-Adviser, as compared to the portion retained by the Manager. In addition, the Board considered
26
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
the fee waivers, expense limitations, and recoupment arrangements that apply to the fees payable by the Portfolio, including whether the Manager intends to propose any changes thereto. The Board separately determined that the fees payable to the Manager and the fee schedule payable to the Sub-Adviser are reasonable for the services that each performs, which were considered in light of the nature, extent and quality of the services that each has performed and is expected to perform.
The Board considered information on revenues, costs and profits or losses realized by the Manager and the Voya-affiliated Sub-Adviser for the Portfolio. In analyzing the profitability of the Manager and its affiliated service providers in connection with services they render to a Portfolio, the Board took into account the sub-advisory fee rate payable by the Manager to the Sub-Adviser. The Board also considered the profitability of the Manager and its affiliated Sub- Adviser attributable to servicing the Portfolio both with and without taking into account the profitability of the distributor of the Portfolio and both before and after giving effect to any expenses incurred by the Manager or any affiliated Sub-Adviser in making payments to affiliated insurance companies.
Although the Methodology Guide establishes a framework for profit calculation, the Board recognized that there is no uniform methodology within the asset management industry for determining profitability for this purpose. The Board also recognized that the use of different reasonable methodologies can give rise to dramatically different reported profit and loss results with respect to the Manager and the Voya-affiliated Sub-Adviser, as well as other industry participants with whom the profits of the Manager and its affiliated Sub-Adviser could be compared. In addition, the Board recognized that Management’s calculations regarding its costs incurred in establishing the infrastructure necessary for the Portfolio’s operations may not be fully reflected in the expenses allocated to the Portfolio in determining profitability, and that the information presented may not portray all of the costs borne by the Manager or reflect all risks, including entrepreneurial, regulatory, legal and operational risks, associated with offering and managing a mutual fund complex in the current regulatory and market environment.
The Board also considered that the Manager is entitled to earn a reasonable level of profits for the services that it provides to the Portfolio. The Board also received information regarding the potential fall-out benefits to the Manager and Sub-Adviser and their respective affiliates from their association with the Portfolio, including their ability to engage in soft-dollar transactions on behalf of the Portfolio. Following its reviews, the Board determined that the Manager’s and affiliated Sub-Adviser’s profitability with respect to their services to the Portfolio and the Manager and Sub-Adviser’s potential fall-out benefits were not unreasonable.
Portfolio Analysis
Set forth below are certain of the specific factors that the Board considered, and the conclusions reached, at its October 12, 2017, November 14, 2017, and/or November 16, 2017 meetings in relation to approving the Portfolio’s Management Contract and Sub-Advisory Contract. These specific factors are in addition to those considerations discussed above. The Portfolio’s performance was compared to its Morningstar category, as well as its primary benchmark, a broad- based securities market index that appears in the Portfolio’s prospectus. With respect to Morningstar quintile rankings, the first quintile represents the highest (best) performance and the fifth quintile represents the lowest performance. The performance data provided to the Board primarily was for various periods ended March 31, 2017. In addition, the Board also considered at its October 12, 2017, November 14, 2017, and November 16, 2017 meetings certain additional data regarding performance and Portfolio asset levels and flows as of August 31, 2017, and September 30, 2017. The Portfolio’s management fee rate and expense ratio were compared to the fees and expense ratios of the funds in its Selected Peer Group.
In considering whether to approve the renewal of the Management and Sub-Advisory Contracts for Voya Global Perspectives® Portfolio, the Board considered that, based on performance data for the periods ended March 31, 2017: (1) the Portfolio outperformed its Morningstar category average for all periods presented, with the exception of the one-year period, during which it underperformed; (2) the Portfolio underperformed its primary benchmark for all periods presented; and (3) the Portfolio is ranked in the second quintile of its Morningstar category for the three-year period, and the third quintile for the year-to-date and one-year periods.
In analyzing this performance data, the Board took into account Management’s representations regarding the competitiveness of the Portfolio’s performance during certain periods.
In considering the fees payable under the Management and Sub-Advisory Contracts for the Portfolio, the Board took into account the factors described above and also considered: (1) the fairness of the compensation under a Management Contract with a level fee rate that does not include breakpoints; and (2) the pricing structure (including the expense ratio to be borne by shareholders) of the Portfolio, as compared to its Selected Peer Group, including that: (a) the contractual management fee rate for the Portfolio is below the median and the average management fee rates of the funds in its Selected Peer
27
ADVISORY AND SUB-ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
Group; and (b) the all-in net expense ratio for the Portfolio, inclusive of the Acquired Fund Fees and Expenses (“AFFE”), is below the median and the average all-in net expense ratios of the funds in its Selected Peer Group, and the net expense ratio for the Portfolio, not inclusive of AFFE, is above the median and below the average net expense ratios of the funds in its Selected Peer Group.
In analyzing this fee data, the Board took into account: (1) that the Portfolio indirectly bears the fees payable by the underlying funds in which the Portfolio invests; and (2) Management’s representations regarding the competitiveness of the Portfolio’s net expense ratio.
After its deliberation, the Board reached the following conclusions: (1) the Portfolio’s management fee rate is reasonable in the context of all factors considered by the Board; (2) the Portfolio’s net expense ratio is reasonable in the context of all factors considered by the Board; (3) the Portfolio’s performance is reasonable in the context of all factors considered by the Board; and (4) the sub-advisory fee rate payable by the Manager to the Sub-Adviser is reasonable in the context of all factors considered by the Board. Based on these conclusions and other factors, the Board voted to renew the Management and Sub-Advisory Contracts for the Portfolio for the year ending November 30, 2018. During this renewal process, different Board members may have given different weight to different individual factors and related conclusions.
28
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Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Independent Registered Public Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
voyainvestments.com
|
VPAR-VITFOFAIS (1217-021618) |
Annual Report
December 31, 2017
Classes ADV and I
Voya Investors Trust
| n | Voya Retirement Conservative Portfolio |
| n | Voya Retirement Growth Portfolio |
| n | Voya Retirement Moderate Portfolio |
| n | Voya Retirement Moderate Growth Portfolio |
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. |
| | |
| | |
| INVESTMENT MANAGEMENT | |
| voyainvestments.com | |
TABLE OF CONTENTS
| President’s Letter | | | | | 1 | |
| Market Perspective | | | | | 2 | |
| Portfolio Managers’ Reports | | | | | 4 | |
| Shareholder Expense Examples | | | | | 10 | |
| Report of Independent Registered Public Accounting Firm | | | | | 11 | |
| Statements of Assets and Liabilities | | | | | 12 | |
| Statements of Operations | | | | | 13 | |
| Statements of Changes in Net Assets | | | | | 14 | |
| Financial Highlights | | | | | 16 | |
| Notes to Financial Statements | | | | | 18 | |
| Portfolios of Investments | | | | | 24 | |
| Tax Information | | | | | 32 | |
| Trustee and Officer Information | | | | | 33 | |
| Advisory and Sub-Advisory Contract Approval Discussion | | | | | 37 | |
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. 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, D.C., 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.
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PRESIDENT’S LETTER
After a Strong Year, Positive ExpectationsDear Shareholder,
The U.S. equity market proved resilient throughout 2017, posting a “perfect pitch” year with not one single month of negative returns. A lot of chatter in the markets has focused on the low levels of volatility that prevailed in 2017, and whether 2018 will be the year that volatility returns (witness early February markets). As usual there are also any number of geopolitical or other risks that could cause a sell-off, but we are heartened by the reality of macroeconomic fundamentals, which include strong and synchronous global growth; we believe these would likely be a governor on a rise in volatility.
We believe the United States, Europe and China will continue to dominate the world economy in 2018. Combined, the three account for about $48 trillion of GDP, more than 60% of the $79 trillion global GDP produced each year. And the rest of the world still has its own positive backdrop: The International Monetary Fund projects that 185 of 190 national economies will grow in 2018.
While economic growth may be synchronous across the globe, it is not likely to be uniform — thus, broad global diversification across continents and asset classes remains important for positioning your portfolio to benefit from potential opportunities. Regardless of where individual markets are in their business cycles, we believe investors are best served by following their asset allocation plan and avoiding the temptation to time entry or exit points.
If your goals have changed, thoroughly discuss them with your investment advisor before making any changes to your investment strategy. We seek to remain 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.
Shaun Mathews
President and Chief Executive Officer
Voya Family of Funds
January 19, 2018
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: YEAR ENDED DECEMBER 31, 2017
In our semi-annual report we described how global equities, in the form of the MSCI World IndexSM (the “Index”), measured in local currencies, including net reinvested dividends, rose 8.25%, carried higher in what seemed to be the path of least resistance. Investor sentiment was still trying to come to terms with the unexpected result of the U.S. presidential election. For this and perhaps more importantly, other reasons, the Index continued its advance, rising in every month, to end up 18.48% for the fiscal year. (The Index returned 22.40% for the year ended December 31, 2017, measured in U.S. dollars.)
By mid-year most commentators had largely discounted a reflation trade driven by U.S. legislative initiatives. But this did not mean that such initiatives were dead; just that the credibility of anything market friendly coming out of them had fallen very low. The President had said on February 9 that he would announce his pro-growth tax reform plan in the coming weeks. Nothing solid had emerged and by early July the Senate was still pre-occupied with the Affordable Care Act (“ACA”), desperately trying to pass any version of a repeal and replace bill. Such attempts finally foundered in the early hours of July 28.
But investors could still take comfort in a narrative of improving global growth and corporate earnings, with monetary conditions still historically easy, to underpin the prices of risk assets. The evidence was there to see. In August the Wall Street Journal observed that the prices of base metals had recently hit multi-year highs, inferring that investors were increasingly bullish on global growth, and later noted that every country tracked by the Organization for Economic Cooperation and Development was set to grow in 2017.
In the euro zone, unemployment ended November at 8.8%, the lowest since January 2009. Gross domestic product (“GDP”) grew 2.5% year-over-year in the third quarter of 2017, slightly higher than the U.S. (2.3%). The European Central Bank finally confirmed that monthly bond purchases would be halved to €30 billion in 2018. The region’s Economic Sentiment Indicator ended the period at the highest since 2000.
China’s GDP growth in the second quarter of 2017 was a healthy 6.9% year-over-year and 6.8% in the third. Imports were continuing to grow at double-digit year-over-year rates, supporting global demand. Excessive debt remained a problem in financial markets, however. In November the authorities announced curbs on leverage in asset management products and promises of guaranteed returns.
Even Japan contributed some good news with GDP rising in the third quarter of 2017 for the seventh straight quarter.
In the U.S., the Federal Reserve (“Fed”) added 25bp (0.25%) to the federal funds rate in March and did so again in June. But areas of sluggishness, like low core consumer price inflation and wage growth persisted into September, which started with devastating hurricanes and rising geo-political tensions with North Korea. Some commentators suggested that the Fed might be done for the year.
However, the hurricanes subsided, geo-political tensions cooled and yet another forlorn attempt to replace the ACA was shrugged off. The December employment report showed the unemployment rate barely above 4%, near the lowest since February 2001. Third quarter GDP growth was reported at 3.2% (annualized) after 3.1% in the second. The outline of a long-awaited pro-growth tax reform program was finally announced, although moving day by day to bring recalcitrant senators on
board. For investors, its key feature was a reduction in the corporate tax rate to 21%, which many believed would be used to increase share buy-backs and dividends. The Fed duly raised the federal funds rate by another 25bp (0.25%) in December and the tax bill was signed into law on December 22.
In U.S. fixed income markets, the Bloomberg Barclays U.S. Aggregate Bond Index (“Barclays Aggregate”) added 3.54% in the fiscal year. The Treasury yield curve became flatter, with yields on maturities up to about nine years rising and those on longer maturities falling. Thus the Bloomberg Barclays U.S. Treasury Bond Index rose 2.31% while the Bloomberg Barclays Long-Term U.S. Treasury sub-index gained 8.53%. Indices of riskier classes generally outperformed Treasuries: the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index climbed 6.42%, the Bloomberg Barclays High-Yield Bond — 2% Issuer Constrained Composite Index (not a part of the Barclays Aggregate) rose 7.50%.
U.S. equities, represented by the S&P 500® Index including dividends, surged 21.83% in 2017. The earnings per share of its constituent companies grew 6.4% year-over-year in the third quarter of 2017, after two quarters of double-digit gains. Technology was the leader, soaring 38.83%. Telecommunications and energy were the laggards, falling 1.25% and 1.01% respectively. Index companies thought to offer comparatively good earnings growth outperformed those considered to offer comparatively good value by more than 12%.
In currencies, the dollar fell 12.37% against the euro, 8.63% against the pound, reflecting some dissipation of the post-election reflation euphoria. In the meantime, the euro zone’s prospects had improved, while some of the panic over Brexit had faded. The dollar slipped 3.65% against the yen, moving within a narrow trading range for most of the year.
In international markets, the MSCI Japan® Index jumped 19.75% over the year, in an environment of improving corporate governance and profitability, with little competition from fixed income investments. The MSCI Europe ex UK® Index rose 13.59%. Aside from the positive developments noted above, corporate earnings were improving and political fears were assuaged by the election of a centrist President in France. But gains were muted by the strengthening euro. The MSCI UK® Index rose 11.94%. GDP growth was down to 0.4% in each of the middle two quarters, Brexit negotiations were slow and inconclusive and we believe by year end it was abundantly clear that the UK’s position was very weak.
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 Portfolio’s performance is subject to change since the period’s end and may be lower or higher than the performance data shown. Please call (800) 336-0066 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 |
|---|
| Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index | An 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. |
| Bloomberg Barclays U.S. Aggregate Bond Index | An index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. |
| Bloomberg Barclays U.S. Corporate Investment Grade Bond Index | An index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. |
| Bloomberg Barclays Long-Term U.S. Treasury Index | This index measures the performance of U.S. Treasury bills with long-term maturity. The credit level for this index is investment grade. The rebalance scheme is monthly. |
| Bloomberg 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, Australasia and Far East®
(“MSCI EAFE”) Index | An index that measures the performance of securities listed on exchanges in Europe, Australasia and the Far East. It includes the reinvestment of dividends net of withholding taxes, but does not reflect fees, brokerage commissions or other expenses of investing. |
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 index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. |
Russell 3000® Index | An index that measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
S&P 500® Index | An index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. |
S&P Target Risk® Aggressive Index | Seeks to emphasize exposure to equity securities, maximizing opportunities for long-term capital accumulation. It may include small allocations in fixed-income securities to enhance portfolio efficiency. |
S&P Target Risk® Conservative Index | Seeks to emphasize exposure to fixed income securities in order to produce a current income stream and avoid excessive volatility of returns. Equity securities are included to protect long-term purchasing power. |
S&P Target Risk® Growth Index | Seeks to measure the performance of an asset allocation strategy targeted to a growth focused risk profile. |
S&P Target Risk® Moderate Index | Seeks to measure the performance of an asset allocation strategy targeted to a moderate risk profile. |
3
| VOYA RETIREMENT PORTFOLIOS | PORTFOLIO MANAGERS’ REPORT |
Voya Retirement Portfolios consist of Voya Retirement Conservative Portfolio, Voya Retirement Growth Portfolio, Voya Retirement Moderate Portfolio and Voya Retirement Moderate Growth Portfolio (each a “Portfolio” or collectively, the “Portfolios” or the “Retirement Portfolios”). Each Portfolio seeks to achieve its investment objective by investing in a combination of underlying funds which are actively managed funds or passively managed funds (index funds).(1) The Portfolios are managed by Halvard Kvaale, CIMA, and Paul Zemsky, CFA, Portfolio Managers of Voya Investment Management Co. LLC (“Voya IM”) — the Sub-Adviser (“Sub-Adviser).*
Portfolio Specifics: Over the period, the Portfolios met their performance objectives with minor differences from their strategic asset allocation benchmarks gross of expenses over the year. Due to the strategic nature of the Portfolios, no tactical asset allocation moves were made during the reporting period. As part of the annual review, we made changes to the strategic asset allocations at the end of May. Strategic changes included increasing U.S. small-cap and decreasing U.S. mid-cap equities in Voya Retirement Moderate, Voya Retirement Moderate Growth and Voya Retirement Growth. In addition, we increased U.S. core fixed income and decreased U.S. Treasury Inflation-Protected Securities in Voya Retirement Moderate Portfolio and Voya Retirement Conservative Portfolio.
Underlying index funds have performed as expected, minimizing performance deviation relative to their respective strategic allocation benchmarks, gross of fees.
Current Strategy and Outlook: A lot of chatter in the markets is focusing on the low levels of volatility that prevailed in 2017 and whether 2018 will be the year that it returns. As usual, there are any number of geopolitical or other risks that could cause a temporary sell-off. That being said, we are heartened by the reality of macro fundamentals, which in our opinion include strong and synchronous global growth. We believe that this would put a cap on any weakness in risk assets or rises in volatility.
Equities had a strong run in 2017, driven equally by multiple expansion and earnings growth. Investors will likely find that earnings will have to do most of the heavy lifting in 2018, as equities have become more expensive at 19 times forward earnings. It’s not a bad thing to have an earnings-driven year for equities. Based on our models, we believe the S&P 500® Index should be able to deliver 10% earnings growth. While tax cuts can add more fuel to the earnings fire, they are largely already incorporated into equity prices.
We favored equities all year in 2017 and continue to do so going into 2018. The emerging markets were the darlings of last year, gaining over 30%. Even with a modest setback, lagging behind the U.S. in the fourth quarter, we believe they are the ultimate beneficiaries of stronger than expected global growth and at good valuations. Japan has been among our strongest views in the latter part of the year. In our view, the continued support from “Abenomics” and the central bank anchoring bond yields has produced solid growth and even modest inflation.
In the U.S., tax reform legislation has cleared the legislative hurdles to become law. We estimate the new policy will boost U.S. GDP growth by 0.3% in 2018 and 2019. The financial markets will have to digest some short- and longer-term consequences. We believe that Federal spending will likely grow more quickly in 2018 than it has for the last three years. With more fiscal stimulus comes larger deficits. Consensus expectations are for the U.S. budget deficit to reach 3.7% in 2018 and 5.0% in 2019. We also expect the U.S. Federal Reserve Board (“Fed”) to respond to faster growth to maintain its mandate for a stable labor market. Therefore, we think the Fed will have to raise interest rates four times in 2018. Raising short-term interest rates will likely continue to flatten the yield curve (the difference between the yields on two-year and 10-year Treasuries) but the flattening is unlikely to match the speed that it had in 2017. The long end of the yield curve is unlikely to be as firmly anchored as it was in 2017 in our opinion, as one-off effects of softer inflation and an increase in the global supply of bonds impact the market.
In our opinion, the Portfolios remain positioned for a positive global growth outlook. Our long held constructive view on the emerging markets remains, even in light of some temporary relative weakness. We think economic data are still a positive and not too much of a good thing. While mindful that the cycle may be late in calendar years, we see our economic activity models and earnings projections telling us equities can stay well supported.
| * | Each Portfolio’s relative performance versus its respective benchmarks can be found on page 5. |
| (1) | The investment objective of each Portfolio is described in the Portfolios’ prospectuses, each dated May 1, 2017. |
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class.
4
| PORTFOLIO MANAGERS’ REPORT | VOYA RETIREMENT PORTFOLIOS |
Total Returns for the Period Ended December 31, 2017
|
|---|
| | | | | 1 Year
| |
|---|
| Voya Retirement Conservative Portfolio, Class I | | | | | 7.81 | % |
S&P Target Risk® Conservative Index | | | | | 9.97 | % |
| Voya Retirement Growth Portfolio, Class I | | | | | 17.11 | % |
S&P Target Risk Aggressive® Index | | | | | 20.36 | % |
Russell 3000® Index | | | | | 21.13 | % |
MSCI EAFE® Index | | | | | 25.03 | % |
| Bloomberg Barclays U.S. Aggregate Bond (“BCAB”) Index | | | | | 3.54 | % |
| Voya Retirement Moderate Portfolio, Class I | | | | | 12.21 | % |
S&P Target Risk® Moderate Index | | | | | 12.06 | % |
Russell 3000® Index | | | | | 21.13 | % |
MSCI EAFE® Index | | | | | 25.03 | % |
| BCAB Index | | | | | 3.54 | % |
| Voya Retirement Moderate Growth Portfolio, Class I | | | | | 15.05 | % |
S&P Target Risk® Growth Index | | | | | 16.22 | % |
Russell 3000® Index | | | | | 21.13 | % |
MSCI EAFE® Index | | | | | 25.03 | % |
| BCAB Index | | | | | 3.54 | % |
Target Allocations as of December 31, 2017
(as a percentage of net assets)(1)
|
|---|
| Asset | | | | Conservative | | Growth | | Moderate | | Moderate
Growth |
|---|
| U.S. Large Cap Stocks | | | | | 20 | % | | | 32 | % | | | 22 | % | | | 29 | % |
| U.S. Mid Cap Stocks | | | | | 6 | % | | | 13 | % | | | 9 | % | | | 12 | % |
| U.S. Small Cap Stocks | | | | | 0 | % | | | 5 | % | | | 3 | % | | | 4 | % |
| International Stocks | | | | | 4 | % | | | 19 | % | | | 12 | % | | | 15 | % |
| Emerging Markets | | | | | 0 | % | | | 6 | % | | | 4 | % | | | 5 | % |
| Bonds | | | | | 57 | % | | | 25 | % | | | 44 | % | | | 35 | % |
| Treasury Inflation Protected Securities | | | | | 13 | % | | | 0 | % | | | 6 | % | | | 0 | % |
| Total | | | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % |
| | | | | | | | | | | | | | | | | | | |
(1) | As these are target allocations, the actual allocations of each Portfolio’s assets may deviate from the percentages shown. Although the Retirement Portfolios expect to be fully invested at all times, they may maintain liquidity reserves to meet redemption requests. |
Portfolio holdings are subject to change.
5
| VOYA RETIREMENT CONSERVATIVE PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | | | | 1 Year
| | | 5 Year
| | | 10 Year
|
|---|
| Class ADV | | | | | 7.76 | % | | | 4.34 | % | | | 3.67 | % |
| Class I | | | | | 7.81 | % | | | 4.48 | % | | | 3.95 | % |
S&P Target Risk® Conservative Index | | | | | 9.97 | % | | | 5.11 | % | | | 4.40 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of the Voya Retirement Conservative Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate
so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Voya Retirement Conservative Portfolio commenced operations on October 24, 2009 after the reorganization of ING LifeStyle Conservative Portfolio into Voya Retirement Conservative Portfolio. The performance of ING LifeStyle Conservative Portfolio is considered to be the past performance of the Portfolio. All references to the Portfolio’s performance prior to October 24, 2009 include the performance of ING LifeStyle Conservative Portfolio. The investment objectives and policies of ING LifeStyle Conservative Portfolio and Voya Retirement Conservative Portfolio differ in certain respects.
6
| PORTFOLIO MANAGERS’ REPORT | VOYA RETIREMENT GROWTH PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | | | 1 Year
| | 5 Year
| | 10 Year
|
|---|
| Class ADV | | | | | 16.66 | % | | | 8.92 | % | | | 4.26 | % |
| Class I | | | | | 17.11 | % | | | 9.38 | % | | | 4.73 | % |
S&P Target Risk Aggressive® Index | | | | | 20.36 | % | | | 11.05 | % | | | 6.42 | % |
Russell 3000® Index | | | | | 21.13 | % | | | 15.58 | % | | | 8.60 | % |
MSCI EAFE® Index | | | | | 25.03 | % | | | 7.90 | % | | | 1.94 | % |
| BCAB Index | | | | | 3.54 | % | | | 2.10 | % | | | 4.01 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of the Voya Retirement Growth Portfolio against the indices indicated. An index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate
so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Voya Retirement Growth Portfolio commenced operations on October 24, 2009 after the reorganization of ING LifeStyle Growth Portfolio into Voya Retirement Growth Portfolio. The performance of ING LifeStyle Growth Portfolio is considered to be the past performance of the Portfolio. All references to the Portfolio’s performance prior to October 24, 2009 include the performance of ING LifeStyle Growth Portfolio. The investment objectives and policies of ING LifeStyle Growth Portfolio and Voya Retirement Growth Portfolio differ in certain respects.
7
| VOYA RETIREMENT MODERATE PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | | | 1 Year
| | 5 Year
| | 10 Year
|
|---|
| Class ADV | | | | | 11.82 | % | | | 6.16 | % | | | 3.98 | % |
| Class I | | | | | 12.21 | % | | | 6.51 | % | | | 4.39 | % |
S&P Target Risk® Moderate Index | | | | | 12.06 | % | | | 6.46 | % | | | 4.55 | % |
Russell 3000® Index | | | | | 21.13 | % | | | 15.58 | % | | | 8.60 | % |
MSCI EAFE® Index | | | | | 25.03 | % | | | 7.90 | % | | | 1.94 | % |
| BCAB Index | | | | | 3.54 | % | | | 2.10 | % | | | 4.01 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of the Voya Retirement Moderate Portfolio against the indices indicated. An index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate
so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Voya Retirement Moderate Portfolio commenced operations on October 24, 2009 after the reorganization of ING LifeStyle Moderate Portfolio into Voya Retirement Moderate Portfolio. The performance of ING LifeStyle Moderate Portfolio is considered to be the past performance of the Portfolio. All references to the Portfolio’s performance prior to October 24, 2009 include the performance of ING LifeStyle Moderate Portfolio. The investment objectives and policies of ING LifeStyle Moderate Portfolio and Voya Retirement Moderate Portfolio differ in certain respects.
8
| PORTFOLIO MANAGERS’ REPORT | VOYA RETIREMENT MODERATE GROWTH PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2017
|
|---|
| | | | 1 Year
| | 5 Year
| | 10 Year
|
|---|
| Class ADV | | | | | 14.56 | % | | | 8.05 | % | | | 4.44 | % |
| Class I | | | | | 15.05 | % | | | 8.47 | % | | | 4.89 | % |
S&P Target Risk® Growth Index | | | | | 16.22 | % | | | 8.90 | % | | | 5.50 | % |
Russell 3000® Index | | | | | 21.13 | % | | | 15.58 | % | | | 8.60 | % |
MSCI EAFE® Index | | | | | 25.03 | % | | | 7.90 | % | | | 1.94 | % |
| BCAB Index | | | | | 3.54 | % | | | 2.10 | % | | | 4.01 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of the Voya Retirement Moderate Growth Portfolio against the indices indicated. An index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate
so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
Voya Retirement Moderate Growth Portfolio commenced operations on October 24, 2009 after the reorganization of ING LifeStyle Moderate Growth Portfolio into Voya Retirement Moderate Growth Portfolio. The performance of ING LifeStyle Moderate Growth Portfolio is considered to be the past performance of the Portfolio. All references to the Portfolio’s performance prior to October 24, 2009 include the performance of ING LifeStyle Moderate Growth Portfolio. The investment objectives and policies of ING LifeStyle Moderate Growth Portfolio and Voya Retirement Moderate Growth Portfolio differ in certain respects.
9
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 July 1, 2017 to December 31, 2017. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension or retirement plan. 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
July 1,
2017
| | | Ending
Account
Value
December 31,
2017
| | Annualized
Expense
Ratio*
| | Expenses Paid
During the
Period Ended
December 31,
2017**
| | Beginning
Account
Value
July 1,
2017
| | Ending
Account
Value
December 31,
2017
| | Annualized
Expense
Ratio*
| | Expenses Paid
During the
Period Ended
December 31,
2017**
|
|---|
Voya Retirement Conservative Portfolio |
| Class ADV | | | | $ | 1,000.00 | | | $ | 1,037.90 | | | | 0.51 | % | | $ | 2.62 | | | $ | 1,000.00 | | | $ | 1,022.63 | | | | 0.51 | % | | $ | 2.60 | |
| Class I | | | | | 1,000.00 | | | | 1,039.00 | | | | 0.26 | | | | 1.34 | | | $ | 1,000.00 | | | | 1,023.89 | | | | 0.26 | | | | 1.33 | |
Voya Retirement Growth Portfolio |
| Class ADV | | | | $ | 1,000.00 | | | $ | 1,080.00 | | | | 0.68 | % | | $ | 3.57 | | | $ | 1,000.00 | | | $ | 1,021.78 | | | | 0.68 | % | | $ | 3.47 | |
| Class I | | | | | 1,000.00 | | | | 1,082.40 | | | | 0.26 | | | | 1.36 | | | | 1,000.00 | | | | 1,023.89 | | | | 0.26 | | | | 1.33 | |
Voya Retirement Moderate Portfolio |
| Class ADV | | | | $ | 1,000.00 | | | $ | 1,056.70 | | | | 0.60 | % | | $ | 3.11 | | | $ | 1,000.00 | | | $ | 1,022.18 | | | | 0.60 | % | | $ | 3.06 | |
| Class I | | | | | 1,000.00 | | | | 1,058.40 | | | | 0.26 | | | | 1.35 | | | | 1,000.00 | | | | 1,023.89 | | | | 0.26 | | | | 1.33 | |
Voya Retirement Moderate Growth Portfolio |
| Class ADV | | | | $ | 1,000.00 | | | $ | 1,069.50 | | | | 0.65 | % | | $ | 3.39 | | | $ | 1,000.00 | | | $ | 1,021.93 | | | | 0.65 | % | | $ | 3.31 | |
| Class I | | | | | 1,000.00 | | | | 1,072.10 | | | | 0.26 | | | | 1.36 | | | | 1,000.00 | | | | 1,023.89 | | | | 0.26 | | | | 1.33 | |
| * | | The annualized expense ratios do not include expenses of the underlying funds. |
| ** | | Expenses are equal to each Portfolios’ respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
10
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Shareholders and Board of Trustees
Voya Investors Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Voya Retirement Conservative Portfolio, Voya Retirement Growth Portfolio, Voya Retirement Moderate Portfolio, and Voya Retirement Moderate Growth Portfolio (the “Funds”), each a series of Voya Investors Trust, including the portfolios of investments, as of December 31, 2017, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and transfer agent. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Voya investment companies since 1975.
Boston, Massachusetts
February 22, 2018
11
STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2017
| | | | Voya
Retirement
Conservative
Portfolio
| | Voya
Retirement
Growth
Portfolio
| | Voya
Retirement
Moderate
Portfolio
| | Voya
Retirement
Moderate
Growth
Portfolio
|
|---|
ASSETS: | | | | | | | | | | | | | | | | | | |
| Investments in affiliated underlying funds at fair value* | | | | $ | 456,960,107 | | | $ | 3,069,306,112 | | | $ | 1,190,995,088 | | | $ | 2,136,850,841 | |
| Receivables: | | | | | | | | | | | | | | | | | | |
| Investments in affiliated underlying funds sold | | | | | — | | | | 4,532,312 | | | | 427,404 | | | | 1,472,703 | |
| Fund shares sold | | | | | 117,970 | | | | 36,285 | | | | 3,475 | | | | 70,364 | |
| Prepaid expenses | | | | | 2,066 | | | | 13,725 | | | | 5,222 | | | | 9,454 | |
| Other assets | | | | | 16,149 | | | | 166,750 | | | | 61,079 | | | | 110,443 | |
| Total assets | | | | | 457,096,292 | | | | 3,074,055,184 | | | | 1,191,492,268 | | | | 2,138,513,805 | |
LIABILITIES: | | | | | | | | | | | | | | | | | | |
| Payable for investments in affiliated underlying funds purchased | | | | | 66,115 | | | | 954 | | | | 360 | | | | 668 | |
| Payable for fund shares redeemed | | | | | 52,124 | | | | 4,568,597 | | | | 430,879 | | | | 1,543,066 | |
| Payable for investment management fees | | | | | 93,595 | | | | 637,675 | | | | 264,550 | | | | 441,204 | |
| Payable for distribution and shareholder service fees | | | | | 98,257 | | | | 1,101,247 | | | | 340,709 | | | | 701,623 | |
| Payable to trustees under the deferred compensation plan (Note 6) | | | | | 16,149 | | | | 166,750 | | | | 61,079 | | | | 110,443 | |
| Payable for trustee fees | | | | | 2,407 | | | | 16,143 | | | | 6,172 | | | | 11,151 | |
| Other accrued expenses and liabilities | | | | | 40,939 | | | | 298,585 | | | | 123,663 | | | | 249,911 | |
| Total liabilities | | | | | 369,586 | | | | 6,789,951 | | | | 1,227,412 | | | | 3,058,066 | |
NET ASSETS | | | | $ | 456,726,706 | | | $ | 3,067,265,233 | | | $ | 1,190,264,856 | | | $ | 2,135,455,739 | |
NET ASSETS WERE COMPRISED OF: | | | | | | | | | | | | | | | | | | |
| Paid-in capital | | | | $ | 383,729,812 | | | $ | 2,516,458,969 | | | $ | 1,058,866,759 | | | $ | 1,803,561,287 | |
| Undistributed net investment income | | | | | 8,230,675 | | | | 47,193,314 | | | | 19,989,938 | | | | 34,084,049 | |
| Accumulated net realized gain | | | | | 5,899,322 | | | | 183,506,094 | | | | 32,021,344 | | | | 111,778,153 | |
| Net unrealized appreciation | | | | | 58,866,897 | | | | 320,106,856 | | | | 79,386,815 | | | | 186,032,250 | |
NET ASSETS | | | | $ | 456,726,706 | | | $ | 3,067,265,233 | | | $ | 1,190,264,856 | | | $ | 2,135,455,739 | |
| | | | | | | | | | | | | | | | | | |
| * Cost of investments in affiliated underlying funds | | | | $ | 398,093,210 | | | $ | 2,749,199,256 | | | $ | 1,111,608,273 | | | $ | 1,950,818,591 | |
| | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | |
| Net assets | | | | $ | 456,709,888 | | | $ | 3,018,224,998 | | | $ | 1,170,685,311 | | | $ | 2,111,439,223 | |
| Shares authorized | | | | | unlimited | | | | unlimited | | | | unlimited | | | | unlimited | |
| Par value | | | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | |
| Shares outstanding | | | | | 49,406,414 | | | | 215,806,179 | | | | 99,305,022 | | | | 164,929,291 | |
| Net asset value and redemption price per share | | | | $ | 9.24 | | | $ | 13.99 | | | $ | 11.79 | | | $ | 12.80 | |
| |
Class I | | | | | | | | | | | | | | | | | | |
| Net assets | | | | $ | 16,818 | | | $ | 49,040,235 | | | $ | 19,579,545 | | | $ | 24,016,516 | |
| Shares authorized | | | | | unlimited | | | | unlimited | | | | unlimited | | | | unlimited | |
| Par value | | | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | |
| Shares outstanding | | | | | 1,793 | | | | 3,485,284 | | | | 1,641,311 | | | | 1,886,863 | |
| Net asset value and redemption price per share | | | | $ | 9.38 | | | $ | 14.07 | | | $ | 11.93 | | | $ | 12.73 | |
See Accompanying Notes to Financial Statements
12
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2017
| | | | Voya
Retirement
Conservative
Portfolio
| | Voya
Retirement
Growth
Portfolio
| | Voya
Retirement
Moderate
Portfolio
| | Voya
Retirement
Moderate
Growth
Portfolio
|
|---|
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | |
| Dividends from affiliated underlying funds | | | | $ | 10,029,709 | | | $ | 66,383,239 | | | $ | 25,949,330 | | | $ | 46,190,957 | |
| Total investment income | | | | | 10,029,709 | | | | 66,383,239 | | | | 25,949,330 | | | | 46,190,957 | |
| |
EXPENSES: | | | | | | | | | | | | | | | | | | |
| Investment management fees | | | | | 1,155,227 | | | | 7,751,291 | | | | 2,963,558 | | | | 5,354,350 | |
| Distribution and shareholder service fees: | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | 2,406,696 | | | | 15,905,172 | | | | 6,079,105 | | | | 11,036,030 | |
| Transfer agent fees | | | | | 471 | | | | 4,015 | | | | 1,410 | | | | 2,476 | |
| Shareholder reporting expense | | | | | 11,675 | | | | 60,200 | | | | 24,625 | | | | 41,190 | |
| Professional fees | | | | | 22,467 | | | | 109,075 | | | | 47,675 | | | | 76,675 | |
| Custody and accounting expense | | | | | 38,235 | | | | 241,850 | | | | 100,825 | | | | 186,000 | |
| Trustee fees | | | | | 19,254 | | | | 129,141 | | | | 49,378 | | | | 89,207 | |
| Miscellaneous expense | | | | | 24,369 | | | | 127,711 | | | | 54,891 | | | | 86,628 | |
| Interest expense | | | | | 7 | | | | 460 | | | | 124 | | | | 225 | |
| Total expenses | | | | | 3,678,401 | | | | 24,328,915 | | | | 9,321,591 | | | | 16,872,781 | |
| Waived and reimbursed fees | | | | | (1,193,720 | ) | | | (2,388,922 | ) | | | (1,929,492 | ) | | | (2,441,145 | ) |
| Net expenses | | | | | 2,484,681 | | | | 21,939,993 | | | | 7,392,099 | | | | 14,431,636 | |
| Net investment income | | | | | 7,545,028 | | | | 44,443,246 | | | | 18,557,231 | | | | 31,759,321 | |
REALIZED AND UNREALIZED GAIN (LOSS): | | | | | | | | | | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | |
| Sale of affiliated underlying funds | | | | | 5,907,144 | | | | 123,826,092 | | | | 19,581,524 | | | | 72,923,530 | |
| Capital gain distributions from affiliated underlying funds | | | | | 7,550,345 | | | | 98,701,783 | | | | 26,476,104 | | | | 61,588,525 | |
| Net realized gain | | | | | 13,457,489 | | | | 222,527,875 | | | | 46,057,628 | | | | 134,512,055 | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | |
| Affiliated underlying funds | | | | | 15,027,912 | | | | 231,430,770 | | | | 73,522,526 | | | | 138,360,381 | |
| Net change in unrealized appreciation (depreciation) | | | | | 15,027,912 | | | | 231,430,770 | | | | 73,522,526 | | | | 138,360,381 | |
| Net realized and unrealized gain | | | | | 28,485,401 | | | | 453,958,645 | | | | 119,580,154 | | | | 272,872,436 | |
Increase in net assets resulting from operations | | | | $ | 36,030,429 | | | $ | 498,401,891 | | | $ | 138,137,385 | | | $ | 304,631,757 | |
See Accompanying Notes to Financial Statements
13
STATEMENTS OF CHANGES IN NET ASSETS
| | | | Voya Retirement
Conservative Portfolio
| | Voya Retirement
Growth Portfolio
| |
|---|
| | | | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
| | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
| |
|---|
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | |
| Net investment income | | | | $ | 7,545,028 | | | $ | 6,094,190 | | | $ | 44,443,246 | | | $ | 50,811,718 | | |
| Net realized gain | | | | | 13,457,489 | | | | 9,870,514 | | | | 222,527,875 | | | | 254,508,102 | |
| Net change in unrealized appreciation (depreciation) | | | | | 15,027,912 | | | | 7,598,063 | | | | 231,430,770 | | | | (64,300,820 | ) | |
| Increase in net assets resulting from operations | | | | | 36,030,429 | | | | 23,562,767 | | | | 498,401,891 | | | | 241,019,000 | |
| |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | (6,716,321 | ) | | | (7,882,876 | ) | | | (55,056,608 | ) | | | (75,408,383 | ) | |
| Class I | | | | | (15 | ) | | | (16 | ) | | | (994,493 | ) | | | (1,296,633 | ) |
| Net realized gains: | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | (10,273,235 | ) | | | (11,880,325 | ) | | | (214,903,402 | ) | | | (174,148,380 | ) |
| Class I | | | | | (20 | ) | | | (20 | ) | | | (3,071,659 | ) | | | (2,444,163 | ) | |
| Total distributions | | | | | (16,989,591 | ) | | | (19,763,237 | ) | | | (274,026,162 | ) | | | (253,297,559 | ) |
| |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | |
| Net proceeds from sale of shares | | | | | 29,277,553 | | | | 87,151,831 | | | | 13,955,015 | | | | 11,905,622 | |
| Reinvestment of distributions | | | | | 16,989,556 | | | | 19,763,201 | | | | 274,026,162 | | | | 253,297,559 | | |
| | | | | | 46,267,109 | | | | 106,915,032 | | | | 287,981,177 | | | | 265,203,181 | |
| Cost of shares redeemed | | | | | (116,167,526 | ) | | | (89,476,340 | ) | | | (768,189,676 | ) | | | (588,443,179 | ) | |
| Net increase (decrease) in net assets resulting from capital share transactions | | | | | (69,900,417 | ) | | | 17,438,692 | | | | (480,208,499 | ) | | | (323,239,998 | ) |
| Net increase (decrease) in net assets | | | | | (50,859,579 | ) | | | 21,238,222 | | | | (255,832,770 | ) | | | (335,518,557 | ) | |
| |
NET ASSETS: | | | | | | | | | | | | | | | | | | |
| Beginning of year or period | | | | | 507,586,285 | | | | 486,348,063 | | | | 3,323,098,003 | | | | 3,658,616,560 | | |
| End of year or period | | | | $ | 456,726,706 | | | $ | 507,586,285 | | | $ | 3,067,265,233 | | | $ | 3,323,098,003 | |
| Undistributed net investment income at end of year or period | | | | $ | 8,230,675 | | | $ | 6,704,961 | | | $ | 47,193,314 | | | $ | 55,919,200 | | |
See Accompanying Notes to Financial Statements
14
STATEMENTS OF CHANGES IN NET ASSETS
| | | | Voya Retirement
Moderate Portfolio
| | Voya Retirement
Moderate Growth Portfolio
| |
|---|
| | | | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
| | Year Ended
December 31,
2017
| | Year Ended
December 31,
2016
| |
|---|
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | |
| Net investment income | | | | $ | 18,557,231 | | | $ | 18,117,501 | | | $ | 31,759,321 | | | $ | 35,298,018 | | |
| Net realized gain | | | | | 46,057,628 | | | | 65,677,159 | | | | 134,512,055 | | | | 151,935,549 | |
| Net change in unrealized appreciation (depreciation) | | | | | 73,522,526 | | | | (8,074,379 | ) | | | 138,360,381 | | | | (30,135,916 | ) | |
| Increase in net assets resulting from operations | | | | | 138,137,385 | | | | 75,720,281 | | | | 304,631,757 | | | | 157,097,651 | |
| |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | (19,589,019 | ) | | | (25,867,529 | ) | | | (38,434,704 | ) | | | (51,576,147 | ) | |
| Class I | | | | | (361,816 | ) | | | (419,575 | ) | | | (498,154 | ) | | | (560,372 | ) |
| Net realized gains: | | | | | | | | | | | | | | | | | | | |
| Class ADV | | | | | (66,648,732 | ) | | | (64,370,654 | ) | | | (152,653,090 | ) | | | (198,390,694 | ) |
| Class I | | | | | (999,536 | ) | | | (870,022 | ) | | | (1,592,943 | ) | | | (1,781,449 | ) | |
| Total distributions | | | | | (87,599,103 | ) | | | (91,527,780 | ) | | | (193,178,891 | ) | | | (252,308,662 | ) |
| |
FROM CAPITAL SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | |
| Net proceeds from sale of shares | | | | | 16,487,338 | | | | 13,785,109 | | | | 12,200,146 | | | | 13,469,628 | |
| Reinvestment of distributions | | | | | 87,599,103 | | | | 91,527,780 | | | | 193,178,891 | | | | 252,308,662 | | |
| | | | | | 104,086,441 | | | | 105,312,889 | | | | 205,379,037 | | | | 265,778,290 | |
| Cost of shares redeemed | | | | | (239,639,958 | ) | | | (221,157,066 | ) | | | (479,427,511 | ) | | | (416,192,244 | ) | |
| Net decrease in net assets resulting from capital share transactions | | | | | (135,553,517 | ) | | | (115,844,177 | ) | | | (274,048,474 | ) | | | (150,413,954 | ) |
| Net decrease in net assets | | | | | (85,015,235 | ) | | | (131,651,676 | ) | | | (162,595,608 | ) | | | (245,624,965 | ) | |
| |
NET ASSETS: | | | | | | | | | | | | | | | | | | |
| Beginning of year or period | | | | | 1,275,280,091 | | | | 1,406,931,767 | | | | 2,298,051,347 | | | | 2,543,676,312 | | |
| End of year or period | | | | $ | 1,190,264,856 | | | $ | 1,275,280,091 | | | $ | 2,135,455,739 | | | $ | 2,298,051,347 | |
| Undistributed net investment income at end of year or period | | | | $ | 19,989,938 | | | $ | 19,905,686 | | | $ | 34,084,049 | | | $ | 38,854,295 | | |
See Accompanying Notes to Financial Statements
15
FINANCIAL HIGHLIGHTS
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)
|
| Expenses
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 Retirement Conservative Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12-31-17 | | | | | 8.89 | | | | 0.14 | • | | | 0.54 | | | | 0.68 | | | | 0.13 | | | | 0.20 | | | | — | | | | 0.33 | | | | — | | | | 9.24 | | | | 7.76 | | | | 0.76 | | | | 0.51 | | | | 0.51 | | | | 1.57 | | | | 456,710 | | | | 15 | |
12-31-16 | | | | | 8.81 | | | | 0.09 | | | | 0.32 | | | | 0.41 | | | | 0.13 | | | | 0.20 | | | | — | | | | 0.33 | | | | — | | | | 8.89 | | | | 4.68 | | | | 0.76 | | | | 0.51 | | | | 0.51 | | | | 1.17 | | | | 507,585 | | | | 23 | | |
12-31-15 | | | | | 9.36 | | | | 0.13 | | | | (0.20 | ) | | | (0.07 | ) | | | 0.14 | | | | 0.34 | | | | — | | | | 0.48 | | | | — | | | | 8.81 | | | | (0.80 | ) | | | 0.76 | | | | 0.51 | | | | 0.51 | | | | 1.37 | | | | 486,347 | | | | 21 | |
12-31-14 | | | | | 9.46 | | | | 0.12 | • | | | 0.43 | | | | 0.55 | | | | 0.30 | | | | 0.35 | | | | — | | | | 0.65 | | | | — | | | | 9.36 | | | | 5.88 | | | | 0.77 | | | | 0.52 | | | | 0.52 | | | | 1.28 | | | | 523,521 | | | | 13 | |
12-31-13 | | | | | 9.48 | | | | 0.09 | • | | | 0.32 | | | | 0.41 | | | | 0.31 | | | | 0.12 | | | | — | | | | 0.43 | | | | — | | | | 9.46 | | | | 4.37 | | | | 0.77 | | | | 0.52 | | | | 0.52 | | | | 0.98 | | | | 575,566 | | | | 26 | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12-31-17 | | | | | 9.04 | | | | 0.31 | • | | | 0.39 | | | | 0.70 | | | | 0.16 | | | | 0.20 | | | | — | | | | 0.36 | | | | — | | | | 9.38 | | | | 7.81 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 3.44 | | | | 17 | | | | 15 | |
12-31-16 | | | | | 8.97 | | | | 0.14 | | | | 0.29 | | | | 0.43 | | | | 0.16 | | | | 0.20 | | | | — | | | | 0.36 | | | | — | | | | 9.04 | | | | 4.73 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.52 | | | | 1 | | | | 23 | |
12-31-15 | | | | | 9.52 | | | | 0.16 | | | | (0.20 | ) | | | (0.04 | ) | | | 0.17 | | | | 0.34 | | | | — | | | | 0.51 | | | | — | | | | 8.97 | | | | (0.50 | ) | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.72 | | | | 1 | | | | 21 | |
12-31-14 | | | | | 9.62 | | | | 0.16 | | | | 0.42 | | | | 0.58 | | | | 0.33 | | | | 0.35 | | | | — | | | | 0.68 | | | | — | | | | 9.52 | | | | 6.09 | | | | 0.27 | | | | 0.27 | | | | 0.27 | | | | 1.61 | | | | 1 | | | | 13 | |
12-31-13 | | | | | 9.65 | | | | 0.13 | | | | 0.29 | | | | 0.42 | | | | 0.33 | | | | 0.12 | | | | — | | | | 0.45 | | | | — | | | | 9.62 | | | | 4.45 | | | | 0.27 | | | | 0.27 | | | | 0.27 | | | | 1.35 | | | | 1 | | | | 26 | |
Voya Retirement Growth Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12-31-17 | | | | | 13.10 | | | | 0.19 | • | | | 1.91 | | | | 2.10 | | | | 0.25 | | | | 0.96 | | | | — | | | | 1.21 | | | | — | | | | 13.99 | | | | 16.66 | | | | 0.76 | | | | 0.68 | | | | 0.68 | | | | 1.37 | | | | 3,018,225 | | | | 11 | |
12-31-16 | | | | | 13.14 | | | | 0.19 | • | | | 0.76 | | | | 0.95 | | | | 0.30 | | | | 0.69 | | | | — | | | | 0.99 | | | | — | | | | 13.10 | | | | 7.31 | | | | 0.76 | | | | 0.68 | | | | 0.68 | | | | 1.45 | | | | 3,275,638 | | | | 17 | |
12-31-15 | | | | | 13.63 | | | | 0.22 | • | | | (0.49 | ) | | | (0.27 | ) | | | 0.22 | | | | — | | | | — | | | | 0.22 | | | | — | | | | 13.14 | | | | (2.03 | ) | | | 0.76 | | | | 0.68 | | | | 0.68 | | | | 1.59 | | | | 3,611,216 | | | | 16 | |
12-31-14 | | | | | 13.15 | | | | 0.16 | • | | | 0.54 | | | | 0.70 | | | | 0.22 | | | | — | | | | — | | | | 0.22 | | | | — | | | | 13.63 | | | | 5.33 | | | | 0.76 | | | | 0.68 | | | | 0.68 | | | | 1.21 | | | | 4,266,570 | | | | 11 | |
12-31-13 | | | | | 11.29 | | | | 0.17 | • | | | 1.92 | | | | 2.09 | | | | 0.23 | | | | — | | | | — | | | | 0.23 | | | | — | | | | 13.15 | | | | 18.66 | | | | 0.76 | | | | 0.68 | | | | 0.68 | | | | 1.39 | | | | 4,698,281 | | | | 21 | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12-31-17 | | | | | 13.18 | | | | 0.25 | • | | | 1.91 | | | | 2.16 | | | | 0.31 | | | | 0.96 | | | | — | | | | 1.27 | | | | — | | | | 14.07 | | | | 17.11 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.84 | | | | 49,040 | | | | 11 | |
12-31-16 | | | | | 13.22 | | | | 0.25 | | | | 0.76 | | | | 1.01 | | | | 0.36 | | | | 0.69 | | | | — | | | | 1.05 | | | | — | | | | 13.18 | | | | 7.80 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.93 | | | | 47,460 | | | | 17 | |
12-31-15 | | | | | 13.72 | | | | 0.28 | | | | (0.49 | ) | | | (0.21 | ) | | | 0.29 | | | | — | | | | — | | | | 0.29 | | | | — | | | | 13.22 | | | | (1.62 | ) | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 2.03 | | | | 47,401 | | | | 16 | |
12-31-14 | | | | | 13.24 | | | | 0.22 | • | | | 0.54 | | | | 0.76 | | | | 0.28 | | | | — | | | | — | | | | 0.28 | | | | — | | | | 13.72 | | | | 5.73 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.65 | | | �� | 51,316 | | | | 11 | |
12-31-13 | | | | | 11.36 | | | | 0.23 | • | | | 1.93 | | | | 2.16 | | | | 0.28 | | | | — | | | | — | | | | 0.28 | | | | — | | | | 13.24 | | | | 19.21 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.83 | | | | 52,418 | | | | 21 | |
Voya Retirement Moderate Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12-31-17 | | | | | 11.35 | | | | 0.17 | • | | | 1.14 | | | | 1.31 | | | | 0.20 | | | | 0.67 | | | | — | | | | 0.87 | | | | — | | | | 11.79 | | | | 11.82 | | | | 0.76 | | | | 0.60 | | | | 0.60 | | | | 1.50 | | | | 1,170,685 | | | | 12 | |
12-31-16 | | | | | 11.49 | | | | 0.15 | • | | | 0.51 | | | | 0.66 | | | | 0.23 | | | | 0.57 | | | | — | | | | 0.80 | | | | — | | | | 11.35 | | | | 5.78 | | | | 0.76 | | | | 0.60 | | | | 0.60 | | | | 1.34 | | | | 1,257,324 | | | | 15 | |
12-31-15 | | | | | 12.68 | | | | 0.18 | • | | | (0.35 | ) | | | (0.17 | ) | | | 0.11 | | | | 0.91 | | | | — | | | | 1.02 | | | | — | | | | 11.49 | | | | (1.57 | ) | | | 0.76 | | | | 0.60 | | | | 0.60 | | | | 1.47 | | | | 1,387,932 | | | | 18 | |
12-31-14 | | | | | 12.40 | | | | 0.16 | • | | | 0.49 | | | | 0.65 | | | | 0.37 | | | | — | | | | — | | | | 0.37 | | | | — | | | | 12.68 | | | | 5.24 | | | | 0.76 | | | | 0.60 | | | | 0.60 | | | | 1.26 | | | | 1,621,085 | | | | 10 | |
12-31-13 | | | | | 11.58 | | | | 0.14 | • | | | 1.01 | | | | 1.15 | | | | 0.33 | | | | — | | | | — | | | | 0.33 | | | | — | | | | 12.40 | | | | 10.05 | | | | 0.76 | | | | 0.60 | | | | 0.60 | | | | 1.17 | | | | 1,786,063 | | | | 20 | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
12-31-17 | | | | | 11.48 | | | | 0.22 | | | | 1.14 | | | | 1.36 | | | | 0.24 | | | | 0.67 | | | | — | | | | 0.91 | | | | — | | | | 11.93 | | | | 12.21 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.86 | | | | 19,580 | | | | 12 | |
12-31-16 | | | | | 11.62 | | | | 0.20 | • | | | 0.51 | | | | 0.71 | | | | 0.28 | | | | 0.57 | | | | — | | | | 0.85 | | | | — | | | | 11.48 | | | | 6.12 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.68 | | | | 17,956 | | | | 15 | |
12-31-15 | | | | | 12.82 | | | | 0.23 | | | | (0.36 | ) | | | (0.13 | ) | | | 0.16 | | | | 0.91 | | | | — | | | | 1.07 | | | | — | | | | 11.62 | | | | (1.24 | ) | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.81 | | | | 19,000 | | | | 18 | |
12-31-14 | | | | | 12.53 | | | | 0.21 | | | | 0.50 | | | | 0.71 | | | | 0.42 | | | | — | | | | — | | | | 0.42 | | | | — | | | | 12.82 | | | | 5.64 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.62 | | | | 21,914 | | | | 10 | |
12-31-13 | | | | | 11.71 | | | | 0.19 | • | | | 1.00 | | | | 1.19 | | | | 0.37 | | | | — | | | | — | | | | 0.37 | | | | — | | | | 12.53 | | | | 10.32 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.54 | | | | 21,892 | | | | 20 | |
See Accompanying Notes to Financial Statements
16
FINANCIAL HIGHLIGHTS (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)
|
| Expenses
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 Retirement Moderate Growth Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class ADV | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 12.23 | | | | 0.18 | • | | | 1.53 | | | | 1.71 | | | | 0.23 | | | | 0.91 | | | | — | | | | 1.14 | | | | — | | | | 12.80 | | | | 14.56 | | | | 0.76 | | | | 0.65 | | | | 0.65 | | | | 1.42 | | | | 2,111,439 | | | | 10 | | |
| 12-31-16 | | | | | 12.76 | | | | 0.18 | • | | | 0.67 | | | | 0.85 | | | | 0.28 | | | | 1.10 | | | | — | | | | 1.38 | | | | — | | | | 12.23 | | | | 6.81 | | | | 0.76 | | | | 0.65 | | | | 0.65 | | | | 1.46 | | | | 2,275,963 | | | | 16 | | |
| 12-31-15 | | | | | 13.54 | | | | 0.21 | • | | | (0.40 | ) | | | (0.19 | ) | | | 0.22 | | | | 0.37 | | | | — | | | | 0.59 | | | | — | | | | 12.76 | | | | (1.59 | ) | | | 0.76 | | | | 0.65 | | | | 0.65 | | | | 1.56 | | | | 2,521,814 | | | | 16 | | |
| 12-31-14 | | | | | 13.02 | | | | 0.16 | • | | | 0.58 | | | | 0.74 | | | | 0.22 | | | | — | | | | — | | | | 0.22 | | | | — | | | | 13.54 | | | | 5.68 | | | | 0.76 | | | | 0.65 | | | | 0.65 | | | | 1.24 | | | | 2,930,279 | | | | 11 | | |
| 12-31-13 | | | | | 11.49 | | | | 0.17 | • | | | 1.62 | | | | 1.79 | | | | 0.26 | | | | — | | | | — | | | | 0.26 | | | | — | | | | 13.02 | | | | 15.73 | | | | 0.76 | | | | 0.65 | | | | 0.65 | | | | 1.39 | | | | 3,173,203 | | | | 21 | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12-31-17 | | | | | 12.17 | | | | 0.24 | | | | 1.52 | | | | 1.76 | | | | 0.29 | | | | 0.91 | | | | — | | | | 1.20 | | | | — | | | | 12.73 | | | | 15.05 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.84 | | | | 24,017 | | | | 10 | | |
| 12-31-16 | | | | | 12.71 | | | | 0.24 | | | | 0.66 | | | | 0.90 | | | | 0.34 | | | | 1.10 | | | | — | | | | 1.44 | | | | — | | | | 12.17 | | | | 7.25 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.86 | | | | 22,088 | | | | 16 | | |
| 12-31-15 | | | | | 13.50 | | | | 0.26 | • | | | (0.40 | ) | | | (0.14 | ) | | | 0.28 | | | | 0.37 | | | | — | | | | 0.65 | | | | — | | | | 12.71 | | | | (1.24 | ) | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.95 | | | | 21,862 | | | | 16 | | |
| 12-31-14 | | | | | 12.98 | | | | 0.23 | | | | 0.56 | | | | 0.79 | | | | 0.27 | | | | — | | | | — | | | | 0.27 | | | | — | | | | 13.50 | | | | 6.11 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.65 | | | | 24,595 | | | | 11 | | |
| 12-31-13 | | | | | 11.46 | | | | 0.22 | • | | | 1.61 | | | | 1.83 | | | | 0.31 | | | | — | | | | — | | | | 0.31 | | | | — | | | | 12.98 | | | | 16.13 | | | | 0.26 | | | | 0.26 | | | | 0.26 | | | | 1.79 | | | | 24,996 | | | | 21 | | |
(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 expenses of underlying funds and do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
• | | Calculated using average number of shares outstanding throughout the year or period. |
See Accompanying Notes to Financial Statements
17
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017
NOTE 1 — ORGANIZATION
Voya Investors Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust was organized as a Massachusetts business trust on August 3, 1988. The Trust currently consists of twenty-four active separate investment series. The four series (each, a “Portfolio” and collectively, the “Portfolios”) included in this report are: Voya Retirement Conservative Portfolio (“Conservative”), Voya Retirement Growth Portfolio (“Growth”), Voya Retirement Moderate Portfolio (“Moderate”) and Voya Retirement Moderate Growth Portfolio (“Moderate Growth”), each a diversified series of the Trust.
The classes of shares included in this report are: Adviser (“Class ADV”) and Institutional (“Class I”). With the exception of class specific matters, each class has equal voting rights as to voting privileges. For class specific proposals, only the applicable class would have 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 are allocated 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. Prior to May 1, 2017, Directed Services LLC, a Delaware limited liability company, served as the investment adviser to the Portfolios. There were no changes to the services provided or the fees charged to the Portfolios upon the replacement of Directed Services LLC with Voya Investments. 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.
Each Portfolio seeks to achieve its investment objective by investing in other investment companies (“Underlying Funds”) and uses asset allocation strategies to determine how much to invest in the Underlying Funds. The investment objective of the Portfolios is described in the respective Portfolio’s Prospectus.
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. Each Portfolio is open for business every day the New York Stock Exchange (“NYSE”) opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per share for each class of each Portfolio is determined each Business Day as of the close of the regular trading session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The data reflected on the consolidated tape provided by the CTA is generated by various market centers, including all securities exchanges, electronic communications networks, and third-market broker-dealers. 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. On days when a Portfolio is closed for business, Portfolio shares will not be priced and a Portfolio does not transact purchase and redemption orders. To the extent a Portfolio’s assets are traded in other markets on days when a Portfolio does not price its shares, the value of a Portfolio’s assets will likely change and you will not be able to purchase or redeem shares of a Portfolio.
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 regular trading session on the exchange where the security is principally traded or, if such price is not available, at the last sale price as of the Market Close for such security provided by the CTA. Bank loans are valued at the average of the averages of the bid and ask prices provided to an independent loan pricing service by brokers. Futures contracts are valued at the final
18
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Investments in open-end registered investment companies that do not trade on an exchange are valued at the end of day NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
When a market quotation is not readily available or is deemed unreliable, each Portfolio will determine a fair value for the relevant asset in accordance with procedures adopted by the Portfolios’ Board of Trustees (“Board”). Such procedures provide, for example, that: (a) Exchange-traded securities are valued at the mean of the closing bid and ask; (b) 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; (c) Securities traded in the over-the-counter (“OTC”) market are valued based on prices provided by independent pricing services or market makers; (d) Options not listed on an exchange are valued by an independent source using an industry accepted model, such as Black-Scholes; (e) Centrally cleared swap agreements are valued using a price provided by the central counterparty clearinghouse; (f) OTC swap agreements are valued using a price provided by an independent pricing service; (g) Forward foreign currency exchange 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 exchange contracts are valued at an interpolated rate between the closest preceding and subsequent period reported by the independent pricing service; and (h) 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 each 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 forward foreign currency exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of Market Close. 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 Market Close, 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 Market Close. 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 Market Close. 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 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 each 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 each Portfolio.
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
19
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the Sub-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. The Portfolios classify each of their investments in the Underlying Funds as Level 1, without consideration as to the classification level of the specific investments held by the Underlying Funds. A table summarizing each Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between levels of the Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when a Portfolio has a significant amount of Level 3 investments.
B. Securities Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Dividend income received from the Underlying Funds is recognized on the ex-dividend date and is recorded as income distributions in the Statements of Operations. Capital gain distributions received from the Underlying Funds are recognized on the ex-dividend date and are recorded on the Statements of Operations as such. Realized gains and losses are reported on the basis of identified cost of securities sold.
C. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Each Portfolio declares and pays dividends and capital gain distributions, 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 GAAP for investment companies.
D. Federal Income Taxes. It is the policy of each Portfolio 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 its net investment income and any net realized capital gains to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expired.
The Portfolios may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
E. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications. In the normal course of business, the Trust may enter into contracts that provide certain indemnifications. The Trust’s 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 — INVESTMENTS IN UNDERLYING FUNDS
For the year ended December 31, 2017, the cost of purchases and the proceeds from the sales of the Underlying Funds were as follows:
| | | | Purchases
| | Sales
|
| Conservative | | | | $ | 72,274,370 | | | $ | 151,644,602 | |
| Growth | | | | | 368,340,143 | | | | 1,078,278,386 | |
| Moderate | | | | | 142,672,515 | | | | 347,286,533 | |
| Moderate Growth | | | | | 224,336,326 | | | | 659,886,343 | |
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Portfolios have entered into an investment management agreement (“Management Agreement”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolios. The Investment Adviser oversees all investment management and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. This Management Agreement compensates the Investment Adviser with a
20
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 4 — INVESTMENT MANAGEMENT FEES (continued)
management fee, computed daily and payable monthly, based on: 0.24% of each Portfolio’s average daily net assets invested in affiliated Underlying Funds and 0.34% of each Portfolio’s average daily net assets invested in unaffiliated Underlying Funds and/or other direct investments.
The Investment Adviser has entered into a sub-advisory agreement with Voya IM with respect to each Portfolio. Voya IM provides investment advice for the Portfolios and is paid by the Investment Adviser based on the average daily net assets of each respective Portfolio. 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
The Trust has entered into a shareholder service and distribution plan (the “Agreement”) for the Class ADV shares of each Portfolio. The Agreement compensates the Distributor for the provision of shareholder services and/or account maintenance services and the distribution of shares to direct or indirect beneficial owners of Class ADV shares. Under the Agreement, each Portfolio makes payments to the Distributor a shareholder service fee of 0.25% and a distribution fee of 0.25% of each Portfolio’s average daily net assets attributable to Class ADV shares. The Distributor has contractually agreed to waive 0.2480%, 0.0751%, 0.1587% and 0.1106% of the distribution fee for the Class ADV shares of Conservative, Growth, Moderate and Moderate Growth, respectively. The actual distribution fee to be paid by Conservative, Growth, Moderate and Moderate Growth is at an annual rate of 0.002%, 0.1749%, 0.0913% and 0.1394%, respectively. Termination or modification of this obligation requires approval by the Board.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At December 31, 2017, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. owned more than 5% of the following Portfolios:
Subsidiary
| | Portfolio
| | Percentage
|
| Voya Institutional Trust Company | | Conservative | | | 19.02 | % |
| | | Moderate | | | 6.68 | |
| Voya Insurance and Annuity Company | | Conservative | | | 78.45 | |
| | | Growth | | | 94.15 | |
| | | Moderate | | | 87.99 | |
| | | Moderate Growth | | | 92.52 | |
Under the 1940 Act, the direct or indirect beneficial owner of more than 25% of the voting securities of a company (including a fund) is presumed to control such company. Companies under common control (e.g., companies with a common owner of greater than 25% of their respective voting securities) are affiliates under the 1940 Act.
The Portfolios have adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the trustee under the DC Plan, the amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). The Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statements of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of 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 DC Plan.
NOTE 7— EXPENSE LIMITATION AGREEMENT
The Investment Adviser has entered into a written expense limitation agreement (“Expense Limitation Agreement”) with each Portfolio whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses and extraordinary expenses to the levels listed below:
Portfolio(1)
| | Class ADV
| | Class I
|
|---|
| Conservative | | 0.92% | | 0.67% |
| Growth | | 1.07% | | 0.82% |
| Moderate | | 1.00% | | 0.75% |
| Moderate Growth | | 1.04% | | 0.79% |
(1) | | The operating expense limits take into account the operating expenses incurred at the Underlying Fund level. The amount of fees and expenses of an Underlying Fund borne by each Portfolio will vary based on each Portfolio’s allocation of assets to, and the net expenses of, a particular Underlying Fund. |
The Investment Adviser may at a later date recoup from a Portfolio for fees waived and/or other expenses reimbursed by the Investment Adviser during the previous 36 months but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
21
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 7 — EXPENSE LIMITATION AGREEMENT (continued)
The Expense Limitation Agreement is contractual through May 1, 2018 and shall renew automatically for one-year terms. Termination or modification of this obligation requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective May 19, 2017, each Portfolio, in addition to certain other funds managed by the Investment Adviser, has entered into a 364-day unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000 through May 18, 2018. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of a Portfolio or certain other funds managed by the Investment Adviser. The funds to which the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The below Portfolios utilized the line of credit during the year ended December 31, 2017:
Portfolio
| | Days
Utilized
| | Approximate
Average
Daily
Balance For
Days
Utilized
| | Approximate
Weighted
Average
Interest Rate
For Days
Utilized
|
| Moderate | | | 1 | | | $ | 1,437,000 | | | | 2.16 | % |
| Moderate Growth | | | 1 | | | | 1,206,000 | | | | 2.16 | |
NOTE 9 — 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
| | #
| | #
| | #
| | #
| | #
| | ($)
| | ($)
| | ($)
| | ($)
| | ($)
| |
| | | | |
| Conservative | | | |
| Class ADV | | | |
| 12/31/2017 | | 3,221,520 | | — | | 1,898,274 | | (12,779,206) | | (7,659,412) | | 29,261,775 | | — | | 16,989,556 | | (116,167,514) | | (69,916,183) | |
| 12/31/2016 | | 9,679,466 | | — | | 2,203,255 | | (9,995,283) | | 1,887,438 | | 87,151,831 | | — | | 19,763,201 | | (89,476,340) | | 17,438,692 | |
| Class I | | | |
| 12/31/2017 | | 1,693 | | — | | — | | (1) | | 1,692 | | 15,778 | | — | | — | | (12) | | 15,766 | |
| 12/31/2016 | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Growth | | | |
| Class ADV | | | |
| 12/31/2017 | | 870,429 | | — | | 20,576,220 | | (55,752,422) | | (34,305,773) | | 11,860,114 | | — | | 269,960,010 | | (760,129,369) | | (478,309,245) | |
| 12/31/2016 | | 664,234 | | — | | 19,420,760 | | (44,812,694) | | (24,727,700) | | 8,588,177 | | — | | 249,556,763 | | (581,633,408) | | (323,488,468) | |
| Class I | | | |
| 12/31/2017 | | 154,115 | | — | | 308,743 | | (579,802) | | (116,944) | | 2,094,901 | | — | | 4,066,152 | | (8,060,307) | | (1,899,254) | |
| 12/31/2016 | | 248,830 | | — | | 289,984 | | (521,751) | | 17,063 | | 3,317,445 | | — | | 3,740,796 | | (6,809,771) | | 248,470 | |
| Moderate | | | |
| Class ADV | | | |
| 12/31/2017 | | 1,321,390 | | — | | 7,658,770 | | (20,445,277) | | (11,465,117) | | 15,419,621 | | — | | 86,237,751 | | (238,053,660) | | (136,396,288) | |
| 12/31/2016 | | 1,105,394 | | — | | 7,971,571 | | (19,071,593) | | (9,994,628) | | 12,636,020 | | — | | 90,238,183 | | (217,882,636) | | (115,008,433) | |
| Class I | | | |
| 12/31/2017 | | 91,713 | | — | | 119,732 | | (134,097) | | 77,348 | | 1,067,717 | | — | | 1,361,352 | | (1,586,298) | | 842,771 | |
| 12/31/2016 | | 99,377 | | — | | 112,825 | | (283,132) | | (70,930) | | 1,149,089 | | — | | 1,289,597 | | (3,274,430) | | (835,744) | |
| Moderate Growth | | | |
| Class ADV | | | |
| 12/31/2017 | | 823,446 | | — | | 15,792,380 | | (37,827,397) | | (21,211,571) | | 10,380,635 | | — | | 191,087,794 | | (476,322,377) | | (274,853,948) | |
| 12/31/2016 | | 945,437 | | — | | 20,709,763 | | (33,178,325) | | (11,523,125) | | 11,760,935 | | — | | 249,966,841 | | (413,227,873) | | (151,500,097) | |
| Class I | | | |
| 12/31/2017 | | 146,834 | | — | | 174,113 | | (249,318) | | 71,629 | | 1,819,511 | | — | | 2,091,097 | | (3,105,134) | | 805,474 | |
| 12/31/2016 | | 138,879 | | — | | 195,315 | | (238,708) | | 95,486 | | 1,708,693 | | — | | 2,341,821 | | (2,964,371) | | 1,086,143 | |
NOTE 10 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal
22
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 (CONTINUED)
NOTE 10 — FEDERAL INCOME TAXES (continued)
tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
The following permanent tax differences have been reclassified as of December 31, 2017(1):
| | Undistributed Net
Investment Income
| |
Accumulated Net
Realized Gains/(Losses)
|
| Conservative | | $ | 697,022 | | | $ | (697,022 | ) |
| Growth | | | 2,881,969 | | | | (2,881,969 | ) |
| Moderate | | | 1,477,856 | | | | (1,477,856 | ) |
| Moderate Growth | | | 2,403,291 | | | | (2,403,291 | ) |
(1) | | Amounts primarily relate to the treatment of short-term capital gains as ordinary income for tax purposes. |
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:
| | | | Year Ended December 31, 2017
| | Year Ended December 31, 2016
| | | | |
|---|
| | | | Ordinary
Income
| | Long-term
Capital Gains
| | Ordinary
Income
| | Long-term
Capital Gains
| | | | |
|---|
| Conservative | | | | $ | 7,010,595 | | | $ | 9,978,996 | | | $ | 8,077,458 | | | $ | 11,685,779 | | | | | |
| Growth | | | | | 56,051,101 | | | | 217,975,061 | | | | 76,705,016 | | | | 176,592,543 | | | | | |
| Moderate | | | | | 19,971,165 | | | | 67,627,938 | | | | 26,287,104 | | | | 65,240,676 | | | | | |
| Moderate Growth | | | | | 38,932,858 | | | | 154,246,033 | | | | 52,136,519 | | | | 200,172,143 | | | | | |
The tax-basis components of distributable earnings as of December 31, 2017 were:
| | Undistributed
Ordinary
Income
| | Undistributed
Long-term
Capital Gains
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
| Conservative | | $ | 8,430,417 | | | $ | 11,876,929 | | | $ | 52,699,908 | |
| Growth | | | 47,929,234 | | | | 223,128,551 | | | | 279,875,236 | |
| Moderate | | | 20,032,519 | | | | 47,902,070 | | | | 63,504,139 | |
| Moderate Growth | | | 34,332,841 | | | | 137,022,910 | | | | 160,613,180 | |
At December 31, 2017, the Portfolios did not have any capital loss carryovers for U.S. federal income tax purposes.
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state.
As of December 31, 2017, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. The earliest tax year that remains subject to examination by these jurisdictions is 2013.
NOTE 11 — SUBSEQUENT EVENTS
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. No such subsequent events were identified.
23
VOYA RETIREMENT
CONSERVATIVE PORTFOLIO | PORTFOLIO OF INVESTMENTS
ASOF DECEMBER 31, 2017 |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
MUTUAL FUNDS: 100.1% |
| | Affiliated Investment Companies: 100.1% |
| 252,711 | | | | | | Voya Australia Index Portfolio — Class I | | $ | 2,350,215 | | | | 0.5 | |
| 481,576 | | | | | | Voya Euro STOXX 50® Index Portfolio — Class I | | | 5,533,311 | | | | 1.2 | |
| 475,462 | | | | | | Voya FTSE 100 Index® Portfolio — Class I | | | 4,726,091 | | | | 1.0 | |
| 67,022 | | | | | | Voya Hang Seng Index Portfolio — Class I | | | 1,184,951 | | | | 0.3 | |
| 365,673 | | | | | | Voya Japan TOPIX Index® Portfolio — Class I | | | 4,647,709 | | | | 1.0 | |
| 1,735,558 | | | | | | Voya RussellTM Mid Cap Index Portfolio — Class I | | | 28,254,891 | | | | 6.2 | |
| 24,303,017 | | | | | | Voya U.S. Bond Index Portfolio — Class I | | | 257,368,953 | | | | 56.4 | |
| 5,979,405 | | | | | | Voya U.S. Stock Index Portfolio — Class I | | | 93,816,858 | | | | 20.6 | |
| |
MUTUAL FUNDS: (continued) |
| | Affiliated Investment Companies: (continued) |
| 6,115,645 | | | | | | VY® BlackRock Inflation Protected Bond Portfolio — Class I | | $ | 59,077,128 | | | | 12.9 | |
| |
| | | | | | | Total Mutual Funds
(Cost $398,093,210) | | | 456,960,107 | | | | 100.1 | |
| | | | | | | Liabilities in Excess of Other Assets | | | (233,401 | ) | | | (0.1 | ) |
| | | | | | | Net Assets | | $ | 456,726,706 | | | | 100.0 | |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | |
| Mutual Funds | | $ | 456,960,107 | | | | $ — | | | | $ — | | | $ | 456,960,107 | |
| Total Investments, at fair value | | $ | 456,960,107 | | | | $ — | | | | $ — | | | $ | 456,960,107 | |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
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 December 31, 2017, where the following issuers were considered an affiliate:
Issuer
| | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
| |
| Voya Australia Index Portfolio — Class I | | $ | 2,524,249 | | $ | 212,182 | | $ | (721,541 | ) | $ | 335,325 | | $ | 2,350,215 | | $ | 83,252 | | $ | 41,352 | | $ | — | |
| Voya Euro STOXX 50® Index Portfolio — Class I | | | 6,816,700 | | | 452,507 | | | (2,413,638 | ) | | 677,742 | | | 5,533,311 | | | 250,958 | | | 494,543 | | | — | |
| Voya FTSE 100 Index® Portfolio — Class I | | | 5,191,499 | | | 511,000 | | | (1,742,235 | ) | | 765,827 | | | 4,726,091 | | | 188,646 | | | (134,624 | ) | | 162,598 | |
| Voya Hang Seng Index Portfolio — Class I | | | 1,213,633 | | | 54,227 | | | (416,403 | ) | | 333,494 | | | 1,184,951 | | | 14,082 | | | 66,284 | | | — | |
| Voya Japan TOPIX Index® Portfolio — Class I | | | 5,007,708 | | | 384,197 | | | (1,414,115 | ) | | 669,919 | | | 4,647,709 | | | 104,227 | | | 243,443 | | | 119,389 | |
| Voya RussellTM Mid Cap Index Portfolio — Class I | | | 30,648,395 | | | 3,511,983 | | | (7,806,961 | ) | | 1,901,474 | | | 28,254,891 | | | 428,516 | | | 539,024 | | | 1,963,727 | |
| Voya U.S. Bond Index Portfolio — Class I | | | 262,554,940 | | | 51,151,781 | | | (58,165,978 | ) | | 1,828,210 | | | 257,368,953 | | | 6,082,659 | | | (431,643 | ) | | 713,194 | |
| Voya U.S. Stock Index Portfolio — Class I | | | 102,914,379 | | | 9,382,915 | | | (25,451,247 | ) | | 6,970,811 | | | 93,816,858 | | | 1,579,856 | | | 5,951,455 | | | 4,591,437 | |
See Accompanying Notes to Financial Statements
24
VOYA RETIREMENT
CONSERVATIVE PORTFOLIO | PORTFOLIO OF INVESTMENTS
ASOFDECEMBER 31, 2017 (CONTINUED) |
Issuer
| | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
| |
| VY® BlackRock Inflation Protected Bond Portfolio — Class I | | $ | 90,973,436 | | $ | 6,613,578 | | $ | (40,054,996 | ) | $ | 1,545,110 | | $ | 59,077,128 | | $ | 1,297,513 | | $ | (862,690 | ) | $ | — | |
| | | $ | 507,844,939 | | $ | 72,274,370 | | $ | (138,187,114 | ) | $ | 15,027,912 | | $ | 456,960,107 | | $ | 10,029,709 | | $ | 5,907,144 | | $ | 7,550,345 | |
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
Cost for federal income tax purposes was $404,260,199.
| Net unrealized appreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 52,699,908 | |
| Gross Unrealized Depreciation | | | | | — | |
| Net Unrealized Appreciation | | | | $ | 52,699,908 | |
See Accompanying Notes to Financial Statements
25
VOYA RETIREMENT
GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS
ASOF DECEMBER 31, 2017 |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
MUTUAL FUNDS: 100.1% |
| | Affiliated Investment Companies: 100.1% |
| 5,864,223 | | | | | | Voya Australia Index Portfolio — Class I | | $ | 54,537,277 | | | | 1.8 | |
| 14,483,094 | | | | | | Voya Emerging Markets Index Portfolio — Class I | | | 186,107,762 | | | | 6.1 | |
| 16,591,352 | | | | | | Voya Euro STOXX 50® Index Portfolio — Class I | | | 190,634,631 | | | | 6.2 | |
| 14,969,916 | | | | | | Voya FTSE 100 Index® Portfolio — Class I | | | 148,800,965 | | | | 4.8 | |
| 1,333,444 | | | | | | Voya Hang Seng Index Portfolio — Class I | | | 23,575,294 | | | | 0.8 | |
| 12,729,038 | | | | | | Voya Japan TOPIX Index® Portfolio — Class I | | | 161,786,067 | | | | 5.3 | |
| 24,939,655 | | | | | | Voya RussellTM Mid Cap Index Portfolio — Class I | | | 406,017,585 | | | | 13.2 | |
| |
MUTUAL FUNDS: (continued) |
| | Affiliated Investment Companies: (continued) |
| 9,835,962 | | | | | | Voya RussellTM Small Cap Index Portfolio — Class I | | $ | 154,031,170 | | | | 5.0 | |
| 70,652,355 | | | | | | Voya U.S. Bond Index Portfolio — Class I | | | 748,208,440 | | | | 24.4 | |
| 63,454,871 | | | | | | Voya U.S. Stock Index Portfolio — Class I | | | 995,606,921 | | | | 32.5 | |
| | | | | | | Total Mutual Funds | | | | | | | | |
| | | | | | | (Cost $2,749,199,256) | | | 3,069,306,112 | | | | 100.1 | |
| | | | | | | Liabilities in Excess of Other Assets | | | (2,040,879 | ) | | | (0.1 | ) |
| | | | | | | Net Assets | | $ | 3,067,265,233 | | | | 100.0 | |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | |
| Mutual Funds | | $ | 3,069,306,112 | | | | $ — | | | | $ — | | | $ | 3,069,306,112 | |
| Total Investments, at fair value | | $ | 3,069,306,112 | | | | $ — | | | | $ — | | | $ | 3,069,306,112 | |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
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 December 31, 2017, where the following issuers were considered an affiliate:
Issuer
| | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
| |
| Voya Australia Index Portfolio — Class I | | $ | 78,051,383 | | $ | 2,679,637 | | $ | (40,522,101 | ) | $ | 14,328,358 | | $ | 54,537,277 | | $ | 2,591,580 | | $ | (4,753,541 | ) | $ | — | |
| Voya Emerging Markets Index Portfolio — Class I | | | 197,208,055 | | | 3,478,370 | | | (74,145,532 | ) | | 59,566,869 | | | 186,107,762 | | | 3,245,864 | | | (503,299 | ) | | — | |
| Voya Euro STOXX 50® Index Portfolio — Class I | | | 210,049,042 | | | 8,035,607 | | | (59,990,974 | ) | | 32,540,956 | | | 190,634,631 | | | 7,797,923 | | | 5,274,237 | | | — | |
| Voya FTSE 100 Index® Portfolio — Class I | | | 160,044,254 | | | 15,303,482 | | | (57,177,858 | ) | | 30,631,087 | | | 148,800,965 | | | 5,856,801 | | | (10,786,508 | ) | | 5,048,121 | |
| Voya Hang Seng Index Portfolio — Class I | | | 37,540,244 | | | 693,879 | | | (21,602,194 | ) | | 6,943,365 | | | 23,575,294 | | | 438,363 | | | 3,182,653 | | | — | |
| Voya Japan TOPIX Index® Portfolio — Class I | | | 154,508,943 | | | 24,083,462 | | | (37,705,479 | ) | | 20,899,141 | | | 161,786,067 | | | 3,237,059 | | | 10,121,797 | | | 3,707,952 | |
Voya RussellTM Mid Cap Index Portfolio — Class I | | | 497,605,106 | | | 40,902,690 | | | (123,521,827 | ) | | (8,968,384 | ) | | 406,017,585 | | | 7,001,361 | | | 43,501,549 | | | 32,084,626 | |
Voya RussellTM Small Cap Index Portfolio — Class I | | | 100,827,700 | | | 77,194,954 | | | (35,709,376 | ) | | 11,717,892 | | | 154,031,170 | | | 1,024,797 | | | 798,489 | | | 6,560,285 | |
See Accompanying Notes to Financial Statements
26
VOYA RETIREMENT
GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS
ASOF DECEMBER 31, 2017 (CONTINUED) |
Issuer
| | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
| |
| Voya U.S. Bond Index Portfolio — Class I | | $ | 820,090,128 | | $ | 118,646,803 | | $ | (204,158,600 | ) | $ | 13,630,109 | | $ | 748,208,440 | | $ | 18,366,801 | | $ | (9,130,074 | ) | $ | 2,098,061 | |
| Voya U.S. Stock Index Portfolio — Class I | | | 1,069,360,855 | | | 77,321,259 | | | (201,216,570 | ) | | 50,141,377 | | | 995,606,921 | | | 16,822,690 | | | 86,120,789 | | | 49,202,738 | |
| | | $ | 3,325,285,710 | | $ | 368,340,143 | | $ | (855,750,511 | ) | $ | 231,430,770 | | $ | 3,069,306,112 | | $ | 66,383,239 | | $ | 123,826,092 | | $ | 98,701,783 | |
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
Cost for federal income tax purposes was $2,789,430,876.
| Net unrealized appreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 336,287,019 | |
| Gross Unrealized Depreciation | | | | | (56,411,783 | ) |
| Net Unrealized Appreciation | | | | $ | 279,875,236 | |
See Accompanying Notes to Financial Statements
27
VOYA RETIREMENT
MODERATE PORTFOLIO | PORTFOLIO OF INVESTMENTS
ASOF DECEMBER 31, 2017 |
Shares
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
MUTUAL FUNDS: 100.1% |
| | Affiliated Investment Companies: 100.1% |
| 1,310,645 | | | | | | Voya Australia Index Portfolio — Class I | | $ | 12,188,994 | | | | 1.0 | |
| 3,772,798 | | | | | | Voya Emerging Markets Index Portfolio — Class I | | | 48,480,456 | | | | 4.1 | |
| 4,245,913 | | | | | | Voya Euro STOXX 50® Index Portfolio — Class I | | | 48,785,543 | | | | 4.1 | |
| 3,698,733 | | | | | | Voya FTSE 100 Index® Portfolio — Class I | | | 36,765,404 | | | | 3.1 | |
| 346,960 | | | | | | Voya Hang Seng Index Portfolio — Class I | | | 6,134,259 | | | | 0.5 | |
| 3,080,395 | | | | | | Voya Japan TOPIX Index® Portfolio — Class I | | | 39,151,814 | | | | 3.3 | |
| 6,748,215 | | | | | | Voya RussellTM Mid Cap Index Portfolio — Class I | | | 109,860,936 | | | | 9.2 | |
| 2,307,000 | | | | | | Voya RussellTM Small Cap Index Portfolio —Class I | | | 36,127,618 | | | | 3.0 | |
| |
MUTUAL FUNDS: (continued) |
| | Affiliated Investment Companies: (continued) |
| 48,650,452 | | | | | | Voya U.S. Bond Index Portfolio — Class I | | $ | 515,208,291 | | | | 43.3 | |
| 17,054,330 | | | | | | Voya U.S. Stock Index Portfolio — Class I | | | 267,582,445 | | | | 22.5 | |
| 7,319,806 | | | | | | VY® BlackRock Inflation Protected Bond Portfolio — Class I | | | 70,709,328 | | | | 6.0 | |
| | | | | | | Total Mutual Funds | | | | | | | | |
| | | | | | | (Cost $1,111,608,273) | | | 1,190,995,088 | | | | 100.1 | |
| | | | | | | Liabilities in Excess of Other Assets | | | (730,232 | ) | | | (0.1 | ) |
| | | | | | | Net Assets | | $ | 1,190,264,856 | | | | 100.0 | |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | |
| Mutual Funds | | $ | 1,190,995,088 | | | | $ — | | | | $ — | | | $ | 1,190,995,088 | |
| Total Investments, at fair value | | $ | 1,190,995,088 | | | | $ — | | | | $ — | | | $ | 1,190,995,088 | |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
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 December 31, 2017, where the following issuers were considered an affiliate:
Issuer
| | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
| |
| Voya Australia Index Portfolio — Class I | | $ | 18,961,239 | | $ | 655,682 | | $ | (10,886,504 | ) | $ | 3,458,577 | | $ | 12,188,994 | | $ | 632,688 | | $ | (1,296,968 | ) | $ | — | |
| Voya Emerging Markets Index Portfolio — Class I | | | 50,678,010 | | | 909,790 | | | (18,186,716 | ) | | 15,079,372 | | | 48,480,456 | | | 837,881 | | | 36,214 | | | — | |
| Voya Euro STOXX 50® Index Portfolio — Class I | | | 51,183,609 | | | 1,979,943 | | | (13,058,463 | ) | | 8,680,454 | | | 48,785,543 | | | 1,907,175 | | | 566,604 | | | — | |
| Voya FTSE 100 Index® Portfolio — Class I | | | 38,986,602 | | | 3,138,198 | | | (12,748,572 | ) | | 7,389,176 | | | 36,765,404 | | | 1,433,482 | | | (2,556,273 | ) | | 1,235,553 | |
| Voya Hang Seng Index Portfolio — Class I | | | 9,119,543 | | | 118,462 | | | (4,906,745 | ) | | 1,802,999 | | | 6,134,259 | | | 107,003 | | | 706,653 | | | — | |
| Voya Japan TOPIX Index® Portfolio — Class I | | | 37,613,022 | | | 4,180,588 | | | (7,917,129 | ) | | 5,275,333 | | | 39,151,814 | | | 791,955 | | | 2,140,042 | | | 907,160 | |
| Voya RussellTM Mid Cap Index Portfolio — Class I | | | 127,873,817 | | | 10,271,034 | | | (32,102,027 | ) | | 3,818,112 | | | 109,860,936 | | | 1,808,989 | | | 5,422,962 | | | 8,289,923 | |
Voya RussellTM Small Cap Index Portfolio — Class I | | | 25,909,993 | | | 15,435,695 | | | (6,589,245 | ) | | 1,371,175 | | | 36,127,618 | | | 264,835 | | | 1,375,418 | | | 1,695,352 | |
See Accompanying Notes to Financial Statements
28
VOYA RETIREMENT
MODERATE PORTFOLIO | PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Issuer
| | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
|
|---|
| Voya U.S. Bond Index Portfolio — Class I | | $ | 531,058,789 | | | $ | 80,743,679 | | | $ | (103,876,603 | ) | | $ | 7,282,426 | | | $ | 515,208,291 | | | $ | 12,203,229 | | | $ | (4,386,431 | ) | | $ | 1,414,283 | |
| Voya U.S. Stock Index Portfolio — Class I | | | 283,391,526 | | | | 18,173,127 | | | | (48,066,526 | ) | | | 14,084,318 | | | | 267,582,445 | | | | 4,497,293 | | | | 22,047,545 | | | | 12,933,833 | |
| VY® BlackRock Inflation Protected Bond Portfolio — Class I | | | 101,252,801 | | | | 7,066,317 | | | | (42,890,374 | ) | | | 5,280,584 | | | | 70,709,328 | | | | 1,464,800 | | | | (4,474,242 | ) | | | — | |
| | | $ | 1,276,028,951 | | | $ | 142,672,515 | | | $ | (301,228,904 | ) | | $ | 73,522,526 | | | $ | 1,190,995,088 | | | $ | 25,949,330 | | | $ | 19,581,524 | | | $ | 26,476,104 | |
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| Cost for federal income tax purposes was $1,127,490,949. |
| Net unrealized appreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 88,651,278 | |
| Gross Unrealized Depreciation | | | | | (25,147,139 | ) |
| Net Unrealized Appreciation | | | | $ | 63,504,139 | |
See Accompanying Notes to Financial Statements
29
VOYA RETIREMENT MODERATE
GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 |
Shares
|
|
|
|
|
|
|
|
| Value
|
|
|
| Percentage
of Net
Assets
|
|
|---|
MUTUAL FUNDS: 100.1% | | | | | | | | |
| | Affiliated Investment Companies: 100.1% |
| 3,510,099 | | | | | | Voya Australia Index Portfolio — Class I | | $ | 32,643,919 | | | | 1.5 | |
| 8,428,610 | | | | | | Voya Emerging Markets
Index Portfolio — Class I | | | 108,307,637 | | | | 5.1 | |
| 9,362,091 | | | | | | Voya Euro STOXX 50®
Index Portfolio — Class I | | | 107,570,427 | | | | 5.0 | |
| 8,253,421 | | | | | | Voya FTSE 100 Index® Portfolio — Class I | | | 82,039,006 | | | | 3.9 | |
| 620,637 | | | | | | Voya Hang Seng Index Portfolio — Class I | | | 10,972,871 | | | | 0.5 | |
| 6,771,822 | | | | | | Voya Japan TOPIX Index® Portfolio — Class I | | | 86,069,858 | | | | 4.0 | |
| 16,072,116 | | | | | | Voya RussellTM Mid Cap Index Portfolio — Class I | | | 261,654,056 | | | | 12.3 | |
| | | | | | | | | | | | | | | |
MUTUAL FUNDS: (continued) | | | | | | | | |
| | Affiliated Investment Companies: (continued) |
| 5,494,603 | | | | | | Voya RussellTM Small Cap Index Portfolio — Class I | | $ | 86,045,484 | | | | 4.0 | |
| 69,087,720 | | | | | | Voya U.S. Bond Index Portfolio — Class I | | | 731,638,953 | | | | 34.3 | |
| 40,147,140 | | | | | | Voya U.S. Stock Index Portfolio — Class I | | | 629,908,630 | | | | 29.5 | |
| | | | | | | Total Mutual Funds | | | | | | | | |
| | | | | | | (Cost $1,950,818,591) | | | 2,136,850,841 | | | | 100.1 | |
| | | | | | | Liabilities in Excess of Other Assets | | | (1,395,102 | ) | | | (0.1 | ) |
| | | | | | | Net Assets | | $ | 2,135,455,739 | | | | 100.0 | |
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the assets and liabilities:
| | | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
December 31, 2017
|
|---|
Asset Table | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | | | | | | | | | | | | | | | |
| Mutual Funds | | | | $ | 2,136,850,841 | | | $ | — | | | $ | — | | | $ | 2,136,850,841 | |
| Total Investments, at fair value | | | | $ | 2,136,850,841 | | | $ | — | | | $ | — | | | $ | 2,136,850,841 | |
| ˆ | | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
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 December 31, 2017, where the following issuers were considered an affiliate:
Issuer
| | | | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
|
|---|
| Voya Australia Index Portfolio — Class I | | | | $ | 42,732,736 | | | $ | 1,442,376 | | | $ | (19,429,992 | ) | | $ | 7,898,799 | | | $ | 32,643,919 | | | $ | 1,424,338 | | | $ | (2,370,643 | ) | | $ | — | |
| Voya Emerging Markets Index Portfolio — Class I | | | | | 113,893,385 | | | | 1,930,916 | | | | (41,447,066 | ) | | | 33,930,402 | | | | 108,307,637 | | | | 1,881,568 | | | | 120,753 | | | | — | |
| Voya Euro STOXX 50® Index Portfolio — Class I | | | | | 114,860,235 | | | | 4,336,800 | | | | (30,936,820 | ) | | | 19,310,212 | | | | 107,570,427 | | | | 4,289,384 | | | | 1,518,565 | | | | — | |
| Voya FTSE 100 Index® Portfolio — Class I | | | | | 87,437,345 | | | | 7,744,643 | | | | (29,400,372 | ) | | | 16,257,390 | | | | 82,039,006 | | | | 3,216,472 | | | | (5,405,402 | ) | | | 2,772,357 | |
| Voya Hang Seng Index Portfolio — Class I | | | | | 20,337,034 | | | | 246,929 | | | | (12,942,829 | ) | | | 3,331,737 | | | | 10,972,871 | | | | 238,335 | | | | 1,807,247 | | | | — | |
| Voya Japan TOPIX Index® Portfolio — Class I | | | | | 84,542,495 | | | | 8,913,993 | | | | (19,188,442 | ) | | | 11,801,812 | | | | 86,069,858 | | | | 1,778,076 | | | | 4,676,877 | | | | 2,036,732 | |
Voya RussellTM Mid Cap Index Portfolio — Class I | | | | | 298,684,102 | | | | 23,702,321 | | | | (60,912,023 | ) | | | 179,656 | | | | 261,654,056 | | | | 4,222,990 | | | | 22,064,316 | | | | 19,352,388 | |
Voya RussellTM Small Cap Index Portfolio — Class I | | | | | 69,812,272 | | | | 30,762,333 | | | | (18,084,579 | ) | | | 3,555,458 | | | | 86,045,484 | | | | 713,300 | | | | 2,617,007 | | | | 4,566,222 | |
See Accompanying Notes to Financial Statements
30
VOYA RETIREMENT MODERATE
GROWTH PORTFOLIO | PORTFOLIO OF INVESTMENTS
AS OF DECEMBER 31, 2017 (CONTINUED) |
Issuer
| | | | Beginning
Fair Value
at 12/31/2016
| | Purchases
at Cost
| | Sales
at Cost
| | Change in
Unrealized
Appreciation/
(Depreciation)
| | Ending
Fair Value
at 12/31/2017
| | Investment
Income
| | Realized
Gains/
(Losses)
| | Net
Capital Gain
Distributions
|
|---|
| Voya U.S. Bond Index Portfolio — Class I | | | | $ | 795,765,899 | | | $ | 99,879,481 | | | $ | (176,219,786 | ) | | $ | 12,213,359 | | | $ | 731,638,953 | | | $ | 17,814,401 | | | $ | (7,770,564 | ) | | $ | 2,030,889 | |
| Voya U.S. Stock Index Portfolio — Class I | | | | | 671,462,919 | | | | 45,376,534 | | | | (116,812,379 | ) | | | 29,881,556 | | | | 629,908,630 | | | | 10,612,093 | | | | 55,665,374 | | | | 30,829,937 | |
| | | | | $ | 2,299,528,422 | | | $ | 224,336,326 | | | $ | (525,374,288 | ) | | $ | 138,360,381 | | | $ | 2,136,850,841 | | | $ | 46,190,957 | | | $ | 72,923,530 | | | $ | 61,588,525 | |
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At December 31, 2017, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| Cost for federal income tax purposes was $1,976,237,661. |
| Net unrealized appreciation consisted of: | | | | | | |
| Gross Unrealized Appreciation | | | | $ | 200,044,919 | |
| Gross Unrealized Depreciation | | | | | (39,431,739 | ) |
| Net Unrealized Appreciation | | | | $ | 160,613,180 | |
See Accompanying Notes to Financial Statements
31
TAX INFORMATION (UNAUDITED)
Dividends and distributions paid during the year ended December 31, 2017 were as follows:
Portfolio Name
| | | | Type
| | Per Share Amount
|
|---|
| Voya Retirement Conservative Portfolio | | | | | | | | | | |
| Class ADV | | | | NII | | | $0.1301 | |
| Class I | | | | NII | | | $0.1554 | |
| All Classes | | | | STCG | | | $0.0057 | |
| All Classes | | | | LTCG | | | $0.1933 | |
| Voya Retirement Growth Portfolio | | | | | | | | | | |
| Class ADV | | | | NII | | | $0.2472 | |
| Class I | | | | NII | | | $0.3124 | |
| All Classes | | | | LTCG | | | $0.9649 | |
| Voya Retirement Moderate Portfolio | | | | | | | | | | |
| Class ADV | | | | NII | | | $0.1956 | |
| Class I | | | | NII | | | $0.2409 | |
| All Classes | | | | STCG | | | $0.0002 | |
| All Classes | | | | LTCG | | | $0.6653 | |
| Voya Retirement Moderate Growth Portfolio | | | | | | | | | | |
| Class ADV | | | | NII | | | $0.2301 | |
| Class I | | | | NII | | | $0.2858 | |
| All Classes | | | | LTCG | | | $0.9139 | |
NII — Net investment income
STCG — Short-term capital gain
LTCG — Long-term capital gain
Of the ordinary distributions made during the year ended December 31, 2017, the following percentages qualify for the dividends received deduction (DRD) available to corporate shareholders:
| Voya Retirement Conservative Portfolio | | | | | 37.31 | % |
| Voya Retirement Growth Portfolio | | | | | 54.96 | % |
| Voya Retirement Moderate Portfolio | | | | | 41.29 | % |
| Voya Retirement Moderate Growth Portfolio | | | | | 49.92 | % |
The Portfolios designate the following amounts of long-term capital gain distributions as 20% rate long-term capital gain dividends under Internal Revenue Code Section 852(b)(3)(C):
| Voya Retirement Conservative Portfolio | | | | $ | 9,978,996 | |
| Voya Retirement Growth Portfolio | | | | $ | 217,975,061 | |
| Voya Retirement Moderate Portfolio | | | | $ | 67,627,938 | |
| Voya Retirement Moderate Growth Portfolio | | | | $ | 154,246,033 | |
The Regulated Investment Company Modernization Act of 2010 allows qualified fund-of-funds to elect to pass through the ability to take foreign tax credits (or deductions) to the extent that foreign taxes are passed through from underlying funds. A qualified fund-of-funds is a regulated investment company that has at least 50% of the value of its total assets invested in other regulated investment companies at the end of each quarter of the taxable year. Pursuant to Section 853 of the Internal Revenue Code, the Portfolios designate the following amounts as foreign taxes paid for the year ended December 31, 2017:
| | | | Creditable
Foreign Taxes
Paid
| | | Per Share
Amount
| | Portion of Ordinary Income
Distribution Derived from
Foreign Sourced Income*
|
|---|
| Voya Retirement Conservative Portfolio | | | | $ | 23,058 | | | $ | 0.0005 | | 5.33% | |
| Voya Retirement Growth Portfolio | | | | $ | 1,169,837 | | | $ | 0.0053 | | 29.77% | |
| Voya Retirement Moderate Portfolio | | | | $ | 296,252 | | | $ | 0.0029 | | 18.82% | |
| Voya Retirement Moderate Growth Portfolio | | | | $ | 653,167 | | | $ | 0.0039 | | 23.70% | |
| * | | None of the Portfolios listed above derived any income from ineligible foreign sources as defined under Section 901(j) of the Internal Revenue Code. |
Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments. Shareholders are strongly advised to consult their own tax advisors regarding the appropriate treatment of foreign taxes paid.
Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. generally accepted accounting principles (book) purposes and Internal Revenue Service (tax) purposes.
Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Portfolios. In January, shareholders, excluding corporate shareholders, receive an IRS 1099-DIV regarding the federal tax status of the dividends and distributions they received in the calendar year.
32
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The business and affairs of the Trust are managed under the direction of the Board. A Trustee, who is not an interested person of the Trust, as defined in the 1940 Act, is an independent trustee (“Independent Trustee”). The Trustees and Officers of the Trust are listed below. The Statement of Additional Information includes additional information about trustees of the Trust and is available, without charge, upon request at (800) 366-0066.
Name, Address and Age
| | | | Position(s)
Held with
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
| | Number of
funds in
Fund Complex
Overseen by
Trustee(2)
| | Other Board Positions
Held by Trustee
|
|---|
| |
Independent Trustees*: | | | | | | | | | | | | |
| |
Colleen D. Baldwin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 57 | | | | Trustee | | November 2007–Present | | President, Glantuam Partners, LLC, a business consulting firm (January 2009–Present). | | 151 | | DSM/Dentaquest, Boston, MA (February 2014–Present). |
| |
John V. Boyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Chairperson
Trustee | | January 2014–Present January 2005–Present | | President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–Present). | | 151 | | None. |
| |
Patricia W. Chadwick
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 69 | | | | Trustee | | January 2006–Present | | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | | 151 | | Wisconsin Energy Corporation (June 2006–Present); The Royce Funds (23 funds) (December 2009–Present); and AMICA Mutual Insurance Company (1992–Present). |
| |
Martin J. Gavin
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, AZ 85258
Age: 67 | | | | Trustee | | August 2015–Present | | Retired. Formerly, President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006–November 2015). | | 151 | | None. |
| |
Russell H. Jones
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 73 | | | | Trustee | | May 2013–Present | | Retired. | | 151 | | None. |
| |
Patrick W. Kenny
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 75 | | | | Trustee | | January 2005–Present | | Retired. | | 151 | | Assured Guaranty Ltd. (April 2004–Present). |
| |
Joseph E. Obermeyer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Trustee | | May 2013–Present | | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). | | 151 | | None. |
| |
Sheryl K. Pressler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 67 | | | | Trustee | | January 2006–Present | | Consultant (May 2001–Present). | | 151 | | None. |
| |
Christopher P. Sullivan
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Trustee | | October 2015–Present | | Retired. Formerly, President, Bond Division, Fidelity Management and Research (June 2009– September 2012). | | 151 | | None. |
33
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held with
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
| | Number of
funds in
Fund Complex
Overseen by
Trustee(2)
| | Other Board Positions
Held by Trustee
|
|---|
| |
Independent Trustees*: (continued) | | | | | | | | | | | | |
| |
Roger B. Vincent
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 72 | | | | Trustee | | January 1994–Present | | Retired. | | 151 | | None. |
| |
Trustee who is an “interested person”: | | | | | | | | | | | | |
| |
Shaun P. Mathews (3)
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | | Trustee | | November 2007–Present | | President and Chief Executive Officer, Voya Investments, LLC (December 2006– Present). | | 151 | | Voya Capital Corporation, LLC and Voya Investments Distributor, LLC (December 2005– Present); Voya Funds Services, LLC, Voya Investments, LLC and Voya Investment Management(March 2006–Present); andVoya Investment Trust Co. (April 2009–Present). |
(1) | | Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). |
(2) | | For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Government Money Market Portfolio; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya International High Dividend Equity Income Fund; Voya Investors Trust; Voya Mutual Funds; Voya Natural Resources Equity Income Fund; Voya Partners, Inc.; Voya Prime Rate Trust; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Series Fund, Inc.; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2018. |
(3) | | Mr. Mathews is deemed to be an “interested person” of the Trust as defined in the 1940 Act, because of his current affiliation with the Voya funds, Voya Financial, Inc. or Voya Financial, Inc.’s affiliates. |
| * | | Effective December 31, 2017, Peter S. Drotch retired as a Trustee of the Board. |
34
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held With
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| |
Shaun P. Mathews
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 62 | | | | President and Chief Executive Officer | | November 2006–Present | | President and Chief Executive Officer, Voya Investments, LLC (December 2006–Present). |
| |
Michael J. Roland
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | | Executive Vice President | | March 2003–Present | | Managing Director and Chief Operating Officer, Voya Investments, LLC and Voya Funds Services, LLC (March 2012–Present). Formerly, Chief Compliance Officer, Directed Services LLC and Voya Investments, LLC (March 2011–December 2013). |
| |
Stanley D. Vyner
230 Park Avenue
New York, New York 10169
Age: 67 | | | | Executive Vice President Chief Investment Risk Officer | | March 2003–Present September 2009–Present | | Executive Vice President, Voya Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, Voya Investments, LLC (January 2003–Present). |
| |
Kevin M. Gleason
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 51 | | | | Chief Compliance Officer | | February 2012–Present | | Senior Vice President, Voya Investment Management and Chief Compliance Officer, Voya Family of Funds (February 2012–Present). |
| |
Todd Modic
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | | March 2005–Present | | Senior Vice President, Voya Investments, LLC and Voya Funds Services, LLC (April 2005–Present). |
| |
Kimberly A. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 53 | | | | Senior Vice President | | November 2003–Present | | Senior Vice President, Voya Investments, LLC (September 2003–Present). |
| |
Robert Terris
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 47 | | | | Senior Vice President | | May 2006–Present | | Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (March 2006–Present). |
| |
Fred Bedoya
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 45 | | | | Vice President and Treasurer | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2012–Present). |
| |
Maria M. Anderson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 59 | | | | Vice President | | September 2004–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (September 2004–Present). |
| |
Lauren D. Bensinger
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 64 | | | | Vice President | | February 2003–Present | | Vice President, Voya Funds Services, LLC (February 1996–Present) and Voya Investments, LLC (October 2004–Present); Vice President and Anti-Money Laundering Officer, Voya Investments Distributor, LLC (April 2010–Present). Anti-Money Laundering Officer Voya Financial, Inc. (January 2013–Present); and Anti-Money Laundering Officer, Voya Investment Management Trust Co. (October 2012–Present). |
| |
Sara M. Donaldson
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 58 | | | | Vice President | | September 2014–Present | | Vice President, Voya Investments, LLC (October 2015–Present). Formerly, Vice President, Voya Funds Services, LLC (April 2014–October 2015). Formerly, Director, Compliance, AXA Rosenberg Global Services, LLC (September 1997– March 2014). |
35
TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age
| | | | Position(s)
Held With
the Trust
| | Term of Office
and Length of
Time Served(1)
| | Principal Occupation(s) —
During the Past 5 Years
|
|---|
| |
Micheline S. Faver
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 40 | | | | Vice President | | September 2016–Present | | Vice President, Head of Fund Compliance, Voya Investments LLC, and Chief Compliance Officer for Voya Investments, LLC and Directed Services, LLC (June 2016–Present). Formerly, Vice President, Mutual Fund Compliance (March 2014–June 2016); Assistant Vice President, Mutual Fund Compliance (May 2013–March 2014); Assistant Vice President, Senior Project Manager (May 2008–May 2013). |
| |
Robyn L. Ichilov
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 50 | | | | Vice President | | November 1999–Present | | Vice President, Voya Funds Services, LLC (November 1995–Present) and Voya Investments, LLC (August 1997–Present). |
| |
Jason Kadavy
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 41 | | | | Vice President | | September 2012–Present | | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). |
| |
Kimberly K. Springer
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 60 | | | | Vice President | | March 2006–Present | | Vice President — Mutual Fund Product Development, Voya Investments, LLC (July 2012 –Present); Vice President, Voya Family of Funds (March 2010–Present) and Vice President, Voya Funds Services, LLC (March 2006–Present). |
| |
Craig Wheeler
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 48 | | | | Vice President | | May 2013–Present | | Vice President — Director of Tax, Voya Investments, LLC (October 2015–Present). Formerly, Vice President — Director of Tax, Voya Funds Services, LLC (March 2013–October 2015). Formerly, Assistant Vice President — Director of Tax, Voya Funds Services, LLC (March 2008–February 2013). |
| |
Huey P. Falgout, Jr.
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 54 | | | | Secretary | | August 2003–Present | | Senior Vice President and Chief Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| |
Paul A. Caldarelli
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 66 | | | | Assistant Secretary | | June 2010–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
| |
Theresa K. Kelety
7337 East Doubletree Ranch Rd.
Suite 100
Scottsdale, Arizona 85258
Age: 55 | | | | Assistant Secretary | | August 2003–Present | | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
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