UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: December 31
Date of reporting period: January 1, 2020 to June 30, 2020
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
Semi-Annual Report
June 30, 2020
Voya Investors Trust
■ | VY® BlackRock Inflation Protected Bond Portfolio | ||
Classes ADV, I and S |
Voya Variable Insurance Trust
■ | VY® BrandywineGLOBAL — Bond Portfolio |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of each Portfolio’s annual and semi-annual shareholder reports, like this semi-annual report, will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from your insurance carrier electronically by contacting them directly. You may elect to receive all future reports in paper free of charge. If you received this document in the mail, please follow the instructions provided to elect to continue receiving paper copies of your shareholder reports. You can inform us that you wish to continue receiving paper copies by calling 1-800-283-3427. Your election to receive reports in paper will apply to all the funds in which you invest. |
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
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Summary Portfolios of Investments (“Portfolio of Investments”) | 22 | |||||
45 |
![](https://capedge.com/proxy/N-CSRS/0001104659-20-102964/santoro_dina.jpg)
![](https://capedge.com/proxy/N-CSRS/0001104659-20-102964/santoro_dina-signature.jpg)
President
Voya Family of Funds
July 29, 2020
(1) | The S&P 500® Index is an index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. |
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2020* | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2020* | |||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,053.60 | 1.22 | % | $ | 6.23 | $ | 1,000.00 | $ | 1,018.80 | 1.22 | % | $ | 6.12 | ||||||||||||||||
Class I | 1,000.00 | 1,055.80 | 0.62 | 3.17 | 1,000.00 | 1,021.78 | 0.62 | 3.12 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,054.50 | 0.87 | 4.44 | 1,000.00 | 1,020.54 | 0.87 | 4.37 | ||||||||||||||||||||||||
VY® BrandywineGLOBAL — Bond Portfolio | ||||||||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,090.40 | 0.58 | % | $ | 3.01 | $ | 1,000.00 | $ | 1,021.98 | 0.58 | % | $ | 2.92 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 182/366 to reflect the most recent fiscal half-year. |
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2020 (UNAUDITED)
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||
ASSETS: | ||||||||
Investments in securities at fair value* | $ | 274,852,360 | $ | 285,892,690 | ||||
Short-term investments at fair value† | 2,515,256 | 26,090,689 | ||||||
Cash | 141,910 | — | ||||||
Cash collateral for futures | 16,963 | — | ||||||
Cash pledged for centrally cleared swaps (Note 2) | 5,169,490 | — | ||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 608,000 | — | ||||||
Foreign currencies at value‡ | 374,430 | — | ||||||
Receivables: | ||||||||
Investment securities sold | 758,643 | — | ||||||
Fund shares sold | 420,759 | 22,372 | ||||||
Dividends | 455 | 821 | ||||||
Interest | 1,315,334 | 2,304,019 | ||||||
Unrealized appreciation on forward foreign currency contracts | 223,964 | — | ||||||
Unrealized appreciation on OTC swap agreements | 229,042 | — | ||||||
Prepaid expenses | 3,077 | 2,326 | ||||||
Other assets | 19,372 | 5,217 | ||||||
Total assets | 286,649,055 | 314,318,134 | ||||||
LIABILITIES: | ||||||||
Payable for investment securities purchased | 2,122,022 | 14,260,550 | ||||||
Payable for fund shares redeemed | 88,907 | 69,597 | ||||||
Unrealized depreciation on forward foreign currency contracts | 263,626 | — | ||||||
Unrealized depreciation on OTC swap agreements | 87,054 | — | ||||||
Variation margin payable on centrally cleared swaps | 98,799 | — | ||||||
Cash received as collateral for OTC derivatives (Note 2) | 110,000 | — | ||||||
Payable for investment management fees | 112,796 | 132,159 | ||||||
Payable for distribution and shareholder service fees | 52,500 | — | ||||||
Payable to trustees under the deferred compensation plan (Note 6) | 19,372 | 5,217 | ||||||
Payable for trustee fees | 1,370 | 1,215 | ||||||
Other accrued expenses and liabilities | 72,494 | 111,964 | ||||||
Written options, at fair valueˆ | 2,339,593 | — | ||||||
Total liabilities | 5,368,533 | 14,580,702 | ||||||
NET ASSETS | $ | 281,280,522 | $ | 299,737,432 | ||||
NET ASSETS WERE COMPRISED OF: | ||||||||
Paid-in capital | $ | 339,642,338 | $ | 270,866,815 | ||||
Total distributable earnings (loss) | (58,361,816 | ) | 28,870,617 | |||||
NET ASSETS | $ | 281,280,522 | $ | 299,737,432 | ||||
* Cost of investments in securities | $ | 253,059,954 | $ | 270,710,394 | ||||
† Cost of short-term investments | $ | 2,515,256 | $ | 26,090,689 | ||||
‡ Cost of foreign currencies | $ | 375,182 | $ | — | ||||
ˆ Premiums received on written options | $ | 2,058,396 | $ | — |
STATEMENTS OF ASSETS AND LIABILITIES AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||
---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||
Net assets | $ | 44,468,144 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 4,515,670 | n/a | ||||||
Net asset value and redemption price per share | $ | 9.85 | n/a | |||||
Class I | ||||||||
Net assets | $ | 85,796,364 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 8,386,399 | n/a | ||||||
Net asset value and redemption price per share | $ | 10.23 | n/a | |||||
Class S | ||||||||
Net assets | $ | 151,016,014 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 14,876,538 | n/a | ||||||
Net asset value and redemption price per share | $ | 10.15 | n/a | |||||
Portfolio(1) | ||||||||
Net assets | n/a | $ | 299,737,432 | |||||
Shares authorized | n/a | unlimited | ||||||
Par value | n/a | $ | 0.001 | |||||
Shares outstanding | n/a | 26,164,019 | ||||||
Net asset value and redemption price per share | n/a | $ | 11.46 |
(1) | Portfolio does not have a share class designation. |
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||
INVESTMENT INCOME: | ||||||||
Dividends | $ | 11,840 | $ | 31,259 | ||||
Interest, net of foreign taxes withheld* | 3,155,427 | 3,128,274 | ||||||
Total investment income | 3,167,267 | 3,159,533 | ||||||
EXPENSES: | ||||||||
Investment management fees | 730,882 | 604,046 | ||||||
Distribution and shareholder service fees: | ||||||||
Class ADV | 133,144 | — | ||||||
Class S | 181,921 | — | ||||||
Transfer agent fees (Note 6): | — | 635 | ||||||
Class ADV | 5,791 | — | ||||||
Class I | 10,795 | — | ||||||
Class S | 18,995 | — | ||||||
Shareholder reporting expense | 16,920 | 7,842 | ||||||
Professional fees | 35,020 | 43,760 | ||||||
Custody and accounting expense | 65,200 | 26,445 | ||||||
Trustee fees | 5,479 | 4,859 | ||||||
Miscellaneous expense | 7,074 | 4,960 | ||||||
Interest expense | 167 | 33 | ||||||
Total expenses | 1,211,388 | 692,580 | ||||||
Recouped/Waived and reimbursed fees | (54,493 | ) | 11,061 | |||||
Net expenses | 1,156,895 | 703,641 | ||||||
Net investment income | 2,010,372 | 2,455,892 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 3,624,709 | 3,484,463 | ||||||
Forward foreign currency contracts | (252,023 | ) | — | |||||
Foreign currency related transactions | 36,902 | — | ||||||
Futures | 967,111 | — | ||||||
Swaps | (904,069 | ) | — | |||||
Written options | 236,135 | — | ||||||
Net realized gain | 3,708,765 | 3,484,463 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 12,890,612 | 14,679,496 | ||||||
Forward foreign currency contracts | 217,765 | — | ||||||
Foreign currency related transactions | (53,461 | ) | — | |||||
Futures | 191,650 | — | ||||||
Swaps | (3,441,085 | ) | — | |||||
Written options | (747,347 | ) | — | |||||
Net change in unrealized appreciation (depreciation) | 9,058,134 | 14,679,496 | ||||||
Net realized and unrealized gain | 12,766,899 | 18,163,959 | ||||||
Increase in net assets resulting from operations | $ | 14,777,271 | $ | 20,619,851 | ||||
* Foreign taxes withheld | $ | 20 | $ | — |
STATEMENTS OF CHANGES IN NET ASSETS
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 2,010,372 | $ | 4,538,326 | $ | 2,455,892 | $ | 4,456,750 | ||||||||
Net realized gain | 3,708,765 | 2,975,651 | 3,484,463 | 10,395,524 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 9,058,134 | 13,446,499 | 14,679,496 | 2,714,705 | ||||||||||||
Increase in net assets resulting from operations | 14,777,271 | 20,960,476 | 20,619,851 | 17,566,979 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Total distributions (excluding return of capital): | — | — | — | (3,417,729 | ) | |||||||||||
Class ADV | (338,067 | ) | (858,621 | ) | — | — | ||||||||||
Class I | (767,773 | ) | (1,810,500 | ) | — | — | ||||||||||
Class S | (1,142,602 | ) | (3,314,035 | ) | — | — | ||||||||||
Total distributions | (2,248,442 | ) | (5,983,156 | ) | — | (3,417,729 | ) | |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 30,984,789 | 68,026,433 | 136,252,055 | 43,513,332 | ||||||||||||
Reinvestment of distributions | 2,248,442 | 5,983,156 | — | 3,417,729 | ||||||||||||
33,233,231 | 74,009,589 | 136,252,055 | 46,931,061 | |||||||||||||
Cost of shares redeemed | (42,439,309 | ) | (49,588,217 | ) | (40,026,483 | ) | (72,346,903 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (9,206,078 | ) | 24,421,372 | 96,225,572 | (25,415,842 | ) | ||||||||||
Net increase (decrease) in net assets | 3,322,751 | 39,398,692 | 116,845,423 | (11,266,592 | ) | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year or period | 277,957,771 | 238,559,079 | 182,892,009 | 194,158,601 | ||||||||||||
End of year or period | $ | 281,280,522 | $ | 277,957,771 | $ | 299,737,432 | $ | 182,892,009 |
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20+ | 9.42 | 0.05 | • | 0.47 | 0.52 | 0.09 | — | — | 0.09 | — | 9.85 | 5.36 | 1.26 | 1.22 | 1.22 | 1.10 | 44,468 | 45 | ||||||||||||||||||||||||||||||||||
12-31-19 | 8.93 | 0.11 | 0.56 | 0.67 | 0.18 | — | — | 0.18 | — | 9.42 | 7.53 | 1.20 | 1.16 | 1.16 | 1.23 | 44,885 | 72 | |||||||||||||||||||||||||||||||||||
12-31-18 | 9.30 | 0.14 | (0.36 | ) | (0.22 | ) | 0.15 | — | — | 0.15 | — | 8.93 | (2.39 | ) | 1.18 | 1.14 | 1.14 | 1.47 | 44,035 | 63 | ||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20+ | 9.78 | 0.08 | • | 0.48 | 0.56 | 0.11 | — | — | 0.11 | — | 10.23 | 5.58 | 0.66 | 0.62 | 0.62 | 1.68 | 85,796 | 45 | ||||||||||||||||||||||||||||||||||
12-31-19 | 9.26 | 0.18 | 0.57 | 0.75 | 0.23 | — | — | 0.23 | — | 9.78 | 8.21 | 0.60 | 0.56 | 0.56 | 1.98 | 88,759 | 72 | |||||||||||||||||||||||||||||||||||
12-31-18 | 9.66 | 0.20 | • | (0.37 | ) | (0.17 | ) | 0.23 | — | — | 0.23 | — | 9.26 | (1.75 | ) | 0.58 | 0.54 | 0.54 | 2.14 | 40,731 | 63 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20+ | 9.70 | 0.07 | • | 0.47 | 0.54 | 0.09 | — | — | 0.09 | — | 10.15 | 5.45 | 0.91 | 0.87 | 0.87 | 1.47 | 151,016 | 45 | ||||||||||||||||||||||||||||||||||
12-31-19 | 9.18 | 0.15 | 0.58 | 0.73 | 0.21 | — | — | 0.21 | — | 9.70 | 8.01 | 0.85 | 0.81 | 0.81 | 1.57 | 144,313 | 72 | |||||||||||||||||||||||||||||||||||
12-31-18 | 9.57 | 0.17 | (0.36 | ) | (0.19 | ) | 0.20 | — | — | 0.20 | — | 9.18 | (2.04 | ) | 0.83 | 0.79 | 0.79 | 1.83 | 153,793 | 63 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||
VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-20+ | 10.51 | 0.11 | • | 0.84 | 0.95 | — | — | — | — | — | 11.46 | 9.04 | 0.57 | 0.58 | 0.58 | 2.03 | 299,737 | 84 | ||||||||||||||||||||||||||||||||||
12-31-19 | 9.73 | 0.25 | • | 0.73 | 0.98 | 0.20 | — | — | 0.20 | — | 10.51 | 10.12 | 0.61 | 0.58 | 0.58 | 2.48 | 182,892 | 449 | ||||||||||||||||||||||||||||||||||
12-31-18 | 10.12 | 0.26 | • | (0.43 | ) | (0.17 | ) | 0.22 | — | — | 0.22 | — | 9.73 | (1.65 | ) | 0.71 | 0.58 | 0.58 | 2.61 | 194,159 | 457 | |||||||||||||||||||||||||||||||
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 or recouped by the 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 the Investment Adviser and/or Distributor or recoupment of |
previously reimbursed fees by the Investment Adviser, 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. | |
+ | Unaudited. | |
• | 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)%. |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
(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. |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
Purchased | Written | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Inflation rate Caps | $ | 13,170,000 | $ | 4,410,000 | ||||||
Inflation rate Floors | 7,756,667 | 15,503,333 |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 51,038,237 | $ | 42,217,339 | ||||||
Bond Portfolio | 162,167,334 | 30,377,919 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 68,171,040 | $ | 84,356,133 | ||||||
Bond Portfolio | 108,488,940 | 161,773,308 |
Portfolio | Fee | |||
---|---|---|---|---|
BlackRock Inflation Protected Bond(1) | 0.55% on the first $200 million; 0.50% on the next $800 million; and 0.40% thereafter | |||
Bond Portfolio | 0.50% on the first $750 million; and 0.48% thereafter |
(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. |
Portfolio | Sub-Adviser | |||
---|---|---|---|---|
BlackRock Inflation Protected Bond | BlackRock Financial Management, Inc. | |||
Bond Portfolio | Brandywine Global Investment Management, LLC |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
Subsidiary/Affliated Investment Company | Portfolio | Percentage | ||||||
---|---|---|---|---|---|---|---|---|
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 17.46 | % | |||||
Voya Solution 2025 Portfolio | Bond Portfolio | 20.15 | ||||||
Voya Solution 2035 Portfolio | Bond Portfolio | 5.29 | ||||||
Voya Solution Income Portfolio | Bond Portfolio | 12.51 |
Portfolio | Amount | |||
---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 35,308 | ||
Bond Portfolio | — |
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% | |||
Bond Portfolio | 0.58% |
June 30, | ||||||||||||||||||
2021 | 2022 | 2023 | Total | |||||||||||||||
Bond Portfolio | $ | 286,142 | $ | 182,957 | $ | — | $ | 469,099 |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | 3 | $ | 1,945,000 | 1.05 | % |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||
6/30/2020 | 267,570 | — | 35,220 | (550,420 | ) | (247,630 | ) | 2,540,733 | — | 338,067 | (5,249,214 | ) | (2,370,414 | ) | ||||||||||||||||
12/31/2019 | 318,553 | — | 93,232 | (580,639 | ) | (168,854 | ) | 2,939,064 | — | 858,622 | (5,353,509 | ) | (1,555,823 | ) | ||||||||||||||||
Class I | ||||||||||||||||||||||||||||||
6/30/2020 | 1,807,481 | — | 76,781 | (2,575,921 | ) | (691,659 | ) | 18,053,678 | — | 767,774 | (25,536,448 | ) | (6,714,996 | ) | ||||||||||||||||
12/31/2019 | 6,137,405 | — | 188,348 | (1,647,916 | ) | 4,677,837 | 57,920,215 | — | 1,810,501 | (15,943,201 | ) | 43,787,515 | ||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||
6/30/2020 | 1,067,813 | — | 114,950 | (1,187,166 | ) | (4,403 | ) | 10,390,378 | — | 1,142,601 | (11,653,647 | ) | (120,668 | ) | ||||||||||||||||
12/31/2019 | 761,622 | — | 349,295 | (2,978,878 | ) | (1,867,961 | ) | 7,167,154 | — | 3,314,034 | (28,291,507 | ) | (17,810,319 | ) | ||||||||||||||||
Bond Portfolio | ||||||||||||||||||||||||||||||
6/30/2020 | 12,532,934 | — | — | (3,765,123 | ) | 8,767,811 | 136,252,055 | — | — | (40,026,483 | ) | 96,225,572 | ||||||||||||||||||
12/31/2019 | 4,249,162 | — | 335,400 | (7,133,760 | ) | (2,549,198 | ) | 43,513,332 | — | 3,417,729 | (72,346,903 | ) | (25,415,842 | ) |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | |||||||
BlackRock Inflation Protected Bond | $ | 5,983,156 | $ | 8,552,122 | ||||
Bond Portfolio | 3,417,729 | 4,674,679 |
Undistributed Ordinary | Unrealized Appreciation/ | Capital Loss Carryforwards | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Income | (Depreciation) | Amount | Character | Expiration | |||||||||||||||||
BlackRock Inflation Protected Bond | $ | 134,792 | $ | 9,043,513 | $ | (10,120,169 | ) | Short-term | None | ||||||||||||
(69,934,908 | ) | Long-term | None | ||||||||||||||||||
$ | (80,055,077 | ) | |||||||||||||||||||
Bond Portfolio | 7,773,325 | 480,552 | $ | — | — | — |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED)
Type | Per Share Amount | Payable Date | Record Date | ||||||
---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | |||||||||
Class ADV | NII | $0.0010 | August 3, 2020 | July 30, 2020 | |||||
Class I | NII | $0.0060 | August 3, 2020 | July 30, 2020 | |||||
Class S | NII | $0.0038 | August 3, 2020 | July 30, 2020 | |||||
Bond Portfolio | NII | $0.2137 | July 14, 2020 | July 10, 2020 | |||||
STCG | $0.0847 | July 14, 2020 | July 10, 2020 |
NII — Net investment income
STCG — Short-term capital gain
Change of control: Effective July 31, 2020, Bond Portfolio’s Investment Adviser entered into a new sub-advisory agreement with Brandywine Global Investment Management, LLC due to Legg Mason Inc. entering into a
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) |
Investment Type Allocation
as of June 30, 2020
(as a percentage of net assets)
U.S. Treasury Obligations | 48.9 | % | |||||
Corporate Bonds/Notes | 29.1 | % | |||||
U.S. Government Agency Obligations | 8.5 | % | |||||
Sovereign Bonds | 7.6 | % | |||||
Commercial Mortgage-Backed Securities | 2.0 | % | |||||
Asset-Backed Securities | 1.0 | % | |||||
Purchased Options | 0.6 | % | |||||
Assets in Excess of Other Liabilities* | 2.3 | % | |||||
Net Assets | 100.0 | % | |||||
*Includes short-term investments. |
Portfolio holdings are subject to change daily.
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 29.1% | |||||||||||||
Communications: 1.0% | |||||||||||||
1,000,000 | Alibaba Group Holding Ltd., 3.125%, 11/28/2021 | $ | 1,029,077 | 0.4 | |||||||||
73,000 | (1) | T-Mobile USA, Inc., 3.500%, 04/15/2025 | 79,709 | 0.0 | |||||||||
616,000 | (1) | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 684,222 | 0.3 | |||||||||
844,000 | Other Securities | 947,676 | 0.3 | ||||||||||
2,740,684 | 1.0 | ||||||||||||
Consumer, Cyclical: 1.6% | |||||||||||||
2,500,000 | American Honda Finance Corp., 2.600%, 11/16/2022 | 2,610,639 | 0.9 | ||||||||||
200,000 | (1) | BMW US Capital LLC, 3.450%, 04/12/2023 | 212,013 | 0.1 | |||||||||
150,000 | (1) | Daimler Finance North America LLC, 2.125%, 03/10/2025 | 151,864 | 0.1 | |||||||||
1,434,000 | Other Securities | 1,468,663 | 0.5 | ||||||||||
4,443,179 | 1.6 | ||||||||||||
Consumer, Non-cyclical: 1.2% | |||||||||||||
1,500,000 | (1) | Bristol-Myers Squibb Co., 2.600%, 05/16/2022 | 1,559,995 | 0.5 | |||||||||
1,684,000 | Other Securities | 1,877,122 | 0.7 | ||||||||||
3,437,117 | 1.2 | ||||||||||||
Energy: 1.6% | |||||||||||||
1,737,000 | BP Capital Markets PLC, 2.750%–3.561%, 11/01/2021–05/10/2023 | 1,808,186 | 0.7 | ||||||||||
995,000 | (1) | Schlumberger Finance Canada Ltd., 2.200%, 11/20/2020 | 1,001,360 | 0.3 | |||||||||
1,000,000 | (1) | Schlumberger Finance Canada Ltd., 2.650%, 11/20/2022 | 1,031,554 | 0.4 | |||||||||
560,000 | Other Securities | 586,890 | 0.2 | ||||||||||
4,427,990 | 1.6 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Financial: 19.7% | |||||||||||||
1,885,000 | (1) | AIA Group Ltd., 0.826%, (US0003M + 0.520%), 09/20/2021 | $ | 1,887,526 | 0.7 | ||||||||
1,000,000 | American Express Co., 2.500%, 08/01/2022 | 1,038,049 | 0.4 | ||||||||||
1,750,000 | American Express Co., 3.700%, 11/05/2021 | 1,820,295 | 0.6 | ||||||||||
2,000,000 | (2) | Bank of America Corp., 2.738%, 01/23/2022 | 2,022,547 | 0.7 | |||||||||
2,000,000 | (2) | Bank of America Corp., 2.816%, 07/21/2023 | 2,078,290 | 0.7 | |||||||||
1,829,000 | (2) | Bank of America Corp., 3.300%-3.705%, 01/11/2023-04/24/2028 | 1,967,133 | 0.7 | |||||||||
1,250,000 | (2) | Bank of New York Mellon Corp./The, 2.661%, 05/16/2023 | 1,295,123 | 0.5 | |||||||||
760,000 | (1) | Banque Federative du Credit Mutuel SA, 2.125%, 11/21/2022 | 784,278 | 0.3 | |||||||||
2,500,000 | (2) | Citibank NA, 2.844%, 05/20/2022 | 2,549,999 | 0.9 | |||||||||
250,000 | Citibank NA, 3.400%, 07/23/2021 | 257,616 | 0.1 | ||||||||||
2,465,000 | Credit Suisse AG/New York NY, 2.100%–3.000%, 10/29/2021–11/12/2021 | 2,529,241 | 0.9 | ||||||||||
200,000 | (1) | Danske Bank A/S, 1.226%, 06/22/2024 | 200,882 | 0.1 | |||||||||
1,000,000 | (1) | DNB Bank ASA, 2.375%, 06/02/2021 | 1,018,369 | 0.4 | |||||||||
1,880,000 | Fifth Third Bank NA, 2.875%-3.350%, 07/26/2021–10/01/2021 | 1,932,333 | 0.7 | ||||||||||
1,000,000 | (2) | Goldman Sachs Group, Inc./The, 2.876%, 10/31/2022 | 1,025,513 | 0.4 | |||||||||
2,000,000 | Huntington National Bank/The, 3.250%, 05/14/2021 | 2,044,664 | 0.7 | ||||||||||
3,500,000 | JPMorgan Chase & Co., 3.200%, 01/25/2023 | 3,722,687 | 1.3 | ||||||||||
2,441,000 | (2) | JPMorgan Chase & Co., 3.250%–4.500%, 01/24/2022–03/24/2031 | 2,639,846 | 1.0 | |||||||||
800,000 | KeyBank NA/Cleveland OH, 3.350%, 06/15/2021 | 822,268 | 0.3 | ||||||||||
1,614,000 | (1) | MassMutual Global Funding II, 0.850%, 06/09/2023 | 1,620,858 | 0.6 | |||||||||
1,170,000 | (1) | Metropolitan Life Global Funding I, 0.900%, 06/08/2023 | 1,177,511 | 0.4 | |||||||||
1,000,000 | (1) | Metropolitan Life Global Funding I, 3.375%, 01/11/2022 | 1,043,718 | 0.4 | |||||||||
2,000,000 | Mitsubishi UFJ Financial Group, Inc., 3.218%, 03/07/2022 | 2,085,158 | 0.7 | ||||||||||
1,015,000 | Mitsubishi UFJ Financial Group, Inc., 2.190%–3.535%, 07/26/2021–09/13/2021 | 1,036,460 | 0.4 | ||||||||||
4,000,000 | Morgan Stanley, 2.750%, 05/19/2022 | 4,159,881 | 1.5 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Financial: (continued) | |||||||||||||
239,000 | (2) | Morgan Stanley, 3.772%–4.000%, 07/23/2025–01/24/2029 | $ | 271,485 | 0.1 | ||||||||
1,000,000 | (1) | Nationwide Building Society, 2.000%, 01/27/2023 | 1,030,434 | 0.4 | |||||||||
1,520,000 | (1) | Skandinaviska Enskilda Banken AB, 2.200%, 12/12/2022 | 1,575,689 | 0.5 | |||||||||
1,800,000 | Sumitomo Mitsui Financial Group, Inc., 2.846%–2.934%, 03/09/2021–01/11/2022 | 1,844,000 | 0.6 | ||||||||||
2,000,000 | Truist Financial Corp., 2.750%, 04/01/2022 | 2,073,995 | 0.7 | ||||||||||
791,000 | Visa, Inc., 1.900%–3.150%, 12/14/2025–04/15/2027 | 861,094 | 0.3 | ||||||||||
2,100,000 | Wells Fargo & Co., 3.500%, 03/08/2022 | 2,200,175 | 0.8 | ||||||||||
303,000 | (2) | Wells Fargo & Co., 3.000%–3.584%, 10/23/2026–05/22/2028 | 334,517 | 0.1 | |||||||||
700,000 | Wells Fargo Bank NA, 3.625%, 10/22/2021 | 726,988 | 0.2 | ||||||||||
1,599,000 | Other Securities | 1,674,302 | 0.6 | ||||||||||
55,352,924 | 19.7 | ||||||||||||
Industrial: 0.9% | |||||||||||||
1,500,000 | Caterpillar Financial Services Corp., 1.900%, 09/06/2022 | 1,548,377 | 0.5 | ||||||||||
885,000 | Other Securities | 1,003,403 | 0.4 | ||||||||||
2,551,780 | 0.9 | ||||||||||||
Technology: 2.7% | |||||||||||||
157,000 | (1) | Broadcom, Inc., 4.250%, 04/15/2026 | 174,950 | 0.1 | |||||||||
2,275,000 | International Business Machines Corp., 2.850%, 05/13/2022 | 2,380,182 | 0.8 | ||||||||||
1,200,000 | International Business Machines Corp., 1.875%–3.450%, 08/01/2022–02/19/2026 | 1,255,062 | 0.5 | ||||||||||
1,106,000 | Oracle Corp., 2.500%–3.600%, 05/15/2022–04/01/2050 | 1,151,463 | 0.4 | ||||||||||
2,200,000 | QUALCOMM, Inc., 3.000%, 05/20/2022 | 2,299,584 | 0.8 | ||||||||||
396,000 | Other Securities | 424,668 | 0.1 | ||||||||||
7,685,909 | 2.7 | ||||||||||||
Utilities: 0.4% | |||||||||||||
785,000 | Wisconsin Public Service Corp., 3.350%, 11/21/2021 | 817,618 | 0.3 | ||||||||||
301,000 | Other Securities | 312,386 | 0.1 | ||||||||||
1,130,004 | 0.4 | ||||||||||||
Total Corporate Bonds/Notes (Cost $79,657,961) | 81,769,587 | 29.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. TREASURY OBLIGATIONS: 48.9% | |||||||||||||
Treasury Inflation Indexed Protected Securities: 48.9% | |||||||||||||
2,610,538 | 0.125%, 04/15/2025 | $ | 2,737,992 | 1.0 | |||||||||
6,273,321 | 0.125%, 07/15/2026 | 6,670,875 | 2.4 | ||||||||||
4,025,941 | 0.125%, 01/15/2030 | 4,354,867 | 1.5 | ||||||||||
2,290,324 | 0.250%, 07/15/2029 | 2,508,194 | 0.9 | ||||||||||
2,084,253 | 0.250%, 02/15/2050 | 2,343,319 | 0.8 | ||||||||||
7,279,756 | 0.375%, 01/15/2027 | 7,855,235 | 2.8 | ||||||||||
9,202,494 | 0.375%, 07/15/2027 | 10,016,008 | 3.5 | ||||||||||
8,541,226 | 0.500%, 01/15/2028 | 9,363,664 | 3.3 | ||||||||||
10,553,453 | 0.625%, 01/15/2026 | 11,441,931 | 4.1 | ||||||||||
3,484,906 | 0.625%, 02/15/2043 | 4,112,913 | 1.4 | ||||||||||
9,779,905 | 0.750%, 07/15/2028 | 11,037,575 | 3.9 | ||||||||||
4,612,053 | 0.750%, 02/15/2042 | 5,530,936 | 2.0 | ||||||||||
5,204,416 | (3) | 0.750%, 02/15/2045 | 6,376,751 | 2.3 | |||||||||
4,256,413 | 0.875%, 01/15/2029 | 4,854,446 | 1.7 | ||||||||||
1,736,566 | 0.875%, 02/15/2047 | 2,218,627 | 0.8 | ||||||||||
3,981,981 | 1.000%, 02/15/2046 | 5,157,108 | 1.8 | ||||||||||
3,384,256 | 1.000%, 02/15/2048 | 4,483,017 | 1.6 | ||||||||||
3,148,370 | 1.000%, 02/15/2049 | 4,210,187 | 1.5 | ||||||||||
3,448,814 | 1.375%, 02/15/2044 | 4,713,558 | 1.7 | ||||||||||
2,746,275 | (3) | 1.750%, 01/15/2028 | 3,279,280 | 1.2 | |||||||||
3,836,587 | 2.000%, 01/15/2026 | 4,464,363 | 1.6 | ||||||||||
1,863,907 | 2.125%, 02/15/2040 | 2,751,325 | 1.0 | ||||||||||
2,476,179 | 2.125%, 02/15/2041 | 3,704,184 | 1.3 | ||||||||||
3,606,848 | 2.375%, 01/15/2027 | 4,384,784 | 1.5 | ||||||||||
2,113,681 | 2.500%, 01/15/2029 | 2,712,028 | 1.0 | ||||||||||
1,834,452 | 3.375%, 04/15/2032 | 2,732,947 | 1.0 | ||||||||||
2,955,097 | 0.250%–3.875%, 04/15/2023–04/15/2029 | 3,684,813 | 1.3 | ||||||||||
Total U.S. Treasury Obligations (Cost $121,876,416) | 137,700,927 | 48.9 | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(4): 8.5% | |||||||||||||
Federal Home Loan Bank: 2.7% | |||||||||||||
5,255,000 | 2.875%, 09/13/2024 | 5,804,677 | 2.1 | ||||||||||
1,515,000 | 3.250%, 11/16/2028 | 1,806,323 | 0.6 | ||||||||||
7,611,000 | 2.7 | ||||||||||||
Federal Home Loan Mortgage Corporation: 0.3% | |||||||||||||
805,000 | 2.375%, 01/13/2022 | 831,874 | 0.3 | ||||||||||
Federal National Mortgage Association: 4.6%(4) | |||||||||||||
4,830,000 | 1.875%, 09/24/2026 | 5,204,034 | 1.8 | ||||||||||
7,120,000 | 2.625%, 09/06/2024 | 7,798,506 | 2.8 | ||||||||||
13,002,540 | 4.6 | ||||||||||||
Other U.S. Agency Obligations: 0.9% | |||||||||||||
2,190,000 | 2.875%, 12/21/2023 | 2,382,474 | 0.9 | ||||||||||
Total U.S. Government Agency Obligations (Cost $21,571,613) | 23,827,888 | 8.5 | |||||||||||
SOVEREIGN BONDS: 7.6% | |||||||||||||
2,500,000 | Israel Government AID Bond, 5.500%, 04/26/2024 | 2,971,270 | 1.0 | ||||||||||
EUR | 1,742,341 | (1) | Italy Buoni Poliennali Del Tesoro, 1.300%, 05/15/2028 | 2,036,997 | 0.7 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SOVEREIGN BONDS: (continued) | |||||||||||||
JPY | 351,455,640 | Japanese Government CPI Linked Bond, 0.100%, 03/10/2028 | $ | 3,244,557 | 1.2 | ||||||||
JPY | 644,903,280 | Japanese Government CPI Linked Bond, 0.100%, 03/10/2029 | 5,974,501 | 2.1 | |||||||||
NZD | 2,055,000 | New Zealand Government Inflation Linked Bond, 2.500%, 09/20/2035 | 1,898,409 | 0.7 | |||||||||
EUR | 2,620,000 | (1) | Spain Government Bond, 0.500%, 04/30/2030 | 2,972,476 | 1.1 | ||||||||
EUR | 590,000 | (1) | Spain Government Bond, 1.000%, 10/31/2050 | 619,438 | 0.2 | ||||||||
2,310,900 | Other Securities | 1,752,415 | 0.6 | ||||||||||
Total Sovereign Bonds (Cost $20,940,594) | 21,470,063 | 7.6 | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 2.0% | |||||||||||||
1,000,000 | BENCHMARK 2018-B3 A5 Mortgage Trust, 4.025%, 04/10/2051 | 1,166,306 | 0.4 | ||||||||||
375,000 | Freddie Mac Multifamily Structured Pass Through Certificates K071 A2, 3.286%, 11/25/2027 | 434,107 | 0.2 | ||||||||||
700,000 | (1) | GS Mortgage Securities Corp. Trust 2016-RENT A, 3.203%, 02/10/2029 | 698,225 | 0.2 | |||||||||
1,000,000 | GS Mortgage Securities Trust 2017-GS7 A4, 3.430%, 08/10/2050 | 1,121,275 | 0.4 | ||||||||||
700,000 | Wells Fargo Commercial Mortgage Trust 2017-C39 A5, 3.418%, 09/15/2050 | 784,862 | 0.3 | ||||||||||
1,216,000 | Other Securities | 1,354,481 | 0.5 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $5,036,447) | 5,559,256 | 2.0 | |||||||||||
ASSET-BACKED SECURITIES: 1.0% | |||||||||||||
Auto Floor Plan Asset-Backed Securities: 0.3% | |||||||||||||
750,000 | Ford Credit Floorplan Master Owner Trust A 2018-1 A1, 2.950%, 05/15/2023 | 763,818 | 0.3 | ||||||||||
Credit Card Asset-Backed Securities: 0.2% | |||||||||||||
625,000 | Other Securities | 625,341 | 0.2 | ||||||||||
Student Loan Asset-Backed Securities: 0.5% | |||||||||||||
260,000 | (1) | Navient Student Loan Trust 2019-BA A2A, 3.390%, 12/15/2059 | 269,400 | 0.1 | |||||||||
347,704 | (1) | SoFi Professional Loan Program 2015-B A1 LLC, 1.235%, (US0001M + 1.050%), 04/25/2035 | 346,530 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||
Student Loan Asset-Backed Securities: (continued) | |||||||||||||
800,000 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | $ | 836,115 | 0.3 | ||||||||
1,452,045 | 0.5 | ||||||||||||
Total Asset-Backed Securities (Cost $2,787,237) | 2,841,204 | 1.0 | |||||||||||
Value | Percentage of Net Assets | ||||||||||||
PURCHASED OPTIONS(5): 0.6% | |||||||||||||
Total Purchased Options (Cost $1,189,686) | 1,683,435 | 0.6 | |||||||||||
Total Long-Term Investments (Cost $253,059,954) | 274,852,360 | 97.7 |
Shares | Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 0.9% | |||||||||||||
Mutual Funds: 0.9% | |||||||||||||
2,515,256 | (6) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.100% (Cost $2,515,256) | 2,515,256 | 0.9 | |||||||||
Total Short-Term Investments (Cost $2,515,256) | 2,515,256 | 0.9 | |||||||||||
Total Investments in Securities (Cost $255,575,210) | $ | 277,367,616 | 98.6 | ||||||||||
Assets in Excess of Other Liabilities | 3,912,906 | 1.4 | |||||||||||
Net Assets | $ | 281,280,522 | 100.0 |
† | 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) | Variable rate security. Rate shown is the rate in effect as of June 30, 2020. |
(3) | 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. |
(4) | 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. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
(5) | The tables within the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(6) | Rate shown is the 7-day yield as of June 30, 2020. |
Currency Abbreviations:
EUR EU Euro
JPY Japanese Yen
NZD New Zealand Dollar
Reference Rate Abbreviations:
US0001M 1-month LIBOR
US0003M 3-month LIBOR
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2020 | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Purchased Options | $ | 55,250 | $ | 1,628,185 | $ | — | $ | 1,683,435 | ||||||||
Corporate Bonds/Notes | — | 81,769,587 | — | 81,769,587 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 5,559,256 | — | 5,559,256 | ||||||||||||
Asset-Backed Securities | — | 2,841,204 | — | 2,841,204 | ||||||||||||
Sovereign Bonds | — | 21,470,063 | — | 21,470,063 | ||||||||||||
U.S. Government Agency Obligations | — | 23,827,888 | — | 23,827,888 | ||||||||||||
U.S. Treasury Obligations | — | 137,700,927 | — | 137,700,927 | ||||||||||||
Short-Term Investments | 2,515,256 | — | — | 2,515,256 | ||||||||||||
Total Investments, at fair value | $ | 2,570,506 | $ | 274,797,110 | $ | — | $ | 277,367,616 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Centrally Cleared Swaps | — | 4,094,850 | — | 4,094,850 | ||||||||||||
Forward Foreign Currency Contracts | — | 223,964 | — | 223,964 | ||||||||||||
Futures | 178,589 | — | — | 178,589 | ||||||||||||
OTC Swaps | — | 229,042 | — | 229,042 | ||||||||||||
Total Assets | $ | 2,749,095 | $ | 279,344,966 | $ | — | $ | 282,094,061 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (7,270,493 | ) | $ | — | $ | (7,270,493 | ) | ||||||
Forward Foreign Currency Contracts | — | (263,626 | ) | — | (263,626 | ) | ||||||||||
Futures | (147,941 | ) | — | — | (147,941 | ) | ||||||||||
OTC Swaps | — | (87,054 | ) | — | (87,054 | ) | ||||||||||
Written Options | (62,938 | ) | (2,276,655 | ) | — | (2,339,593 | ) | |||||||||
Total Liabilities | $ | (210,879 | ) | $ | (9,897,828 | ) | $ | — | $ | (10,108,707 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments 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 fair valued at the unrealized appreciation (depreciation) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
JPY 1,001,112,000 | USD 9,329,741 | ANZ Bank | 07/06/20 | $ | (57,548 | ) | ||||
EUR 135,000 | USD 151,377 | ANZ Bank | 07/06/20 | 309 | ||||||
USD 9,333,264 | JPY 1,001,112,000 | ANZ Bank | 08/05/20 | 57,417 | ||||||
NZD 2,997,000 | USD 1,927,232 | Bank of America N.A. | 07/06/20 | 6,748 | ||||||
USD 1,927,272 | NZD 2,997,000 | Bank of America N.A. | 08/05/20 | (6,811 | ) | |||||
USD 9,325,588 | JPY 1,004,226,000 | Barclays Bank PLC | 07/06/20 | 24,553 | ||||||
USD 754,005 | EUR 663,000 | Barclays Bank PLC | 07/06/20 | 9,059 | ||||||
GBP 753,088 | EUR 835,000 | Barclays Bank PLC | 08/05/20 | (5,490 | ) | |||||
USD 111,321 | JPY 11,892,116 | BNP Paribas | 07/06/20 | 1,178 | ||||||
USD 131,970 | AUD 192,240 | BNP Paribas | 07/06/20 | (698 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
EUR 5,076,000 | USD 5,699,752 | BNP Paribas | 07/06/20 | $ | 3,636 | |||||
CAD 578,680 | USD 410,000 | BNP Paribas | 07/08/20 | 16,260 | ||||||
USD 415,000 | CAD 560,839 | BNP Paribas | 07/08/20 | 1,882 | ||||||
USD 5,703,460 | EUR 5,076,000 | BNP Paribas | 08/05/20 | (3,878 | ) | |||||
USD 205,000 | CAD 285,535 | Citibank N.A. | 07/08/20 | (5,327 | ) | |||||
CAD 577,597 | USD 410,000 | Citibank N.A. | 07/08/20 | 15,462 | ||||||
USD 103,000 | CAD 143,499 | Citibank N.A. | 07/08/20 | (2,702 | ) | |||||
USD 102,000 | CAD 142,107 | Citibank N.A. | 07/08/20 | (2,677 | ) | |||||
CAD 569,271 | USD 420,000 | Citibank N.A. | 07/08/20 | (671 | ) | |||||
USD 207,983 | EUR 184,069 | Deutsche Bank AG | 07/06/20 | 1,163 | ||||||
EUR 270,000 | GBP 246,537 | Deutsche Bank AG | 08/05/20 | (1,972 | ) | |||||
GBP 458,172 | EUR 495,000 | Goldman Sachs International | 08/05/20 | 11,284 | ||||||
GBP 203,400 | USD 252,642 | HSBC Bank PLC | 07/06/20 | (603 | ) | |||||
CAD 564,984 | USD 405,000 | HSBC Bank PLC | 07/08/20 | 11,171 | ||||||
CAD 565,422 | USD 405,000 | HSBC Bank PLC | 07/08/20 | 11,493 | ||||||
USD 225,878 | EUR 202,926 | JPMorgan Chase Bank N.A. | 07/06/20 | (2,129 | ) | |||||
EUR 925,000 | GBP 872,229 | JPMorgan Chase Bank N.A. | 08/05/20 | (40,977 | ) | |||||
EUR 160,000 | GBP 146,128 | JPMorgan Chase Bank N.A. | 08/05/20 | (1,208 | ) | |||||
USD 205,000 | CAD 284,456 | Morgan Stanley & Co. International PLC | 07/08/20 | (4,533 | ) | |||||
USD 205,000 | CAD 284,456 | Morgan Stanley & Co. International PLC | 07/08/20 | (4,533 | ) | |||||
CAD 1,676,546 | USD 1,200,000 | �� | NatWest Markets PLC | 07/08/20 | 34,956 | |||||
USD 304,612 | EUR 271,175 | The Bank of Montreal | 07/06/20 | (80 | ) | |||||
USD 155,457 | GBP 124,742 | The Bank of Montreal | 07/06/20 | 886 | ||||||
CAD 574,456 | USD 420,000 | The Bank of Montreal | 07/08/20 | 3,148 | ||||||
USD 97,296 | GBP 79,000 | UBS AG | 07/06/20 | (595 | ) | |||||
USD 3,025,387 | EUR 2,718,000 | UBS AG | 07/06/20 | (28,555 | ) | |||||
USD 599,117 | EUR 529,000 | UBS AG | 07/06/20 | 4,733 | ||||||
USD 744,583 | EUR 655,000 | UBS AG | 07/06/20 | 8,626 | ||||||
USD 415,000 | CAD 577,775 | UBS AG | 07/08/20 | (10,593 | ) | |||||
USD 415,000 | CAD 571,518 | UBS AG | 07/08/20 | (5,984 | ) | |||||
USD 1,874,955 | NZD 3,023,000 | Westpac Banking Corp. | 07/06/20 | (75,803 | ) | |||||
GBP 449,582 | EUR 495,000 | Westpac Banking Corp. | 11/02/20 | (259 | ) | |||||
$ (39,662 | ) |
Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | ||||||||||||||||||
90-Day Eurodollar | 8 | 06/13/22 | $ | 1,996,000 | $ | 27,487 | ||||||||||||
Canada 10-Year Bond | 31 | 09/21/20 | 3,512,390 | 2,989 | ||||||||||||||
Short-Term Euro-BTP | 24 | 09/08/20 | 3,016,718 | 18,715 | ||||||||||||||
U.S. Treasury 2-Year Note | 7 | 09/30/20 | 1,545,797 | 972 | ||||||||||||||
U.S. Treasury 5-Year Note | 343 | 09/30/20 | 43,129,570 | 96,034 | ||||||||||||||
U.S. Treasury Long Bond | 3 | 09/21/20 | 535,688 | 2,724 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 11 | 09/21/20 | 2,399,719 | 25,586 | ||||||||||||||
$ | 56,135,882 | $ | 174,507 | |||||||||||||||
Short Contracts: | ||||||||||||||||||
Euro-Bund | (20 | ) | 09/08/20 | (3,966,385 | ) | (46,792 | ) | |||||||||||
Euro-Buxl® 30-year German Government Bond | (3 | ) | 09/08/20 | (741,372 | ) | (10,875 | ) | |||||||||||
Japan 10-Year Bond (TSE) | (5 | ) | 09/14/20 | (7,036,351 | ) | 4,082 | ||||||||||||
Long-Term Euro-BTP | (5 | ) | 09/08/20 | (808,242 | ) | (24,161 | ) | |||||||||||
U.S. Treasury 10-Year Note | (46 | ) | 09/21/20 | (6,401,906 | ) | (14,944 | ) | |||||||||||
U.S. Treasury Ultra 10-Year Note | (78 | ) | 09/21/20 | (12,283,781 | ) | (51,169 | ) | |||||||||||
$ | (31,238,037 | ) | $ | (143,859 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (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) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.298) | % | Annual | 01/16/22 | EUR 2,480,000 | $ | 3,600 | $ | 3,600 | |||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.479) | Annual | 03/05/22 | EUR 1,230,000 | (1,929 | ) | (1,929 | ) | ||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.477) | Annual | 03/06/22 | EUR 730,000 | �� | (1,064 | ) | (1,064 | ) | |||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.493) | Annual | 03/09/22 | EUR 880,000 | (1,595 | ) | (1,595 | ) | ||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.250) | Annual | 06/24/22 | EUR 560,000 | 1,600 | 1,600 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.290) | Annual | 06/25/22 | EUR 210,000 | 424 | 424 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.280) | Annual | 06/26/22 | EUR 210,000 | 483 | 483 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.275) | Annual | 06/30/22 | EUR 210,000 | 514 | 514 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.292) | Annual | 07/16/22 | EUR 780,000 | 1,776 | 1,776 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.301) | Annual | 07/20/22 | EUR 1,240,000 | 2,564 | 2,564 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.301) | Annual | 07/20/22 | EUR 1,300,000 | 2,703 | 2,703 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.320) | Annual | 09/29/22 | EUR 1,150,000 | 2,137 | 2,137 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.340) | Annual | 10/02/22 | EUR 1,250,000 | 1,774 | 1,774 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.336) | Annual | 10/02/22 | EUR 1,170,000 | 1,767 | 1,767 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.341) | Annual | 11/02/22 | EUR 810,000 | 1,203 | 1,203 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.333) | Annual | 02/12/23 | EUR 610,000 | 1,012 | 1,012 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.414) | Annual | 03/02/23 | EUR 1,450,000 | (219 | ) | (219 | ) | ||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.474) | Annual | 03/04/23 | EUR 620,000 | (943 | ) | (943 | ) | ||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.304) | Annual | 04/29/23 | EUR 1,240,000 | 2,926 | 2,926 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.337) | Annual | 05/03/23 | EUR 810,000 | 1,302 | 1,302 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.370) | Annual | 05/04/23 | EUR 760,000 | 652 | 652 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.372) | Annual | 05/06/23 | EUR 400,000 | 331 | 331 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.415) | Annual | 06/24/23 | EUR 610,000 | (60 | ) | (60 | ) | ||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.400) | Annual | 06/25/23 | EUR 610,000 | 158 | 158 | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.426) | Annual | 07/02/23 | EUR 720,000 | — | — | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.436) | Annual | 10/06/23 | EUR 310,000 | (203 | ) | (203 | ) | ||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.147) | Annual | 06/23/30 | EUR 1,275,000 | 4,883 | 4,883 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.289 | Semi-Annual | 10/08/20 | USD 2,590,000 | 20,225 | 20,224 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.528 | Semi-Annual | 11/22/20 | USD 2,760,000 | 13,109 | 13,109 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.526 | Semi-Annual | 02/07/22 | USD 20,030,000 | 730,386 | 730,386 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.679 | Semi-Annual | 03/06/22 | USD 670,000 | 5,027 | 5,027 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.250 | Semi-Annual | 04/27/22 | USD 5,370,000 | 194,826 | 194,826 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.272 | Semi-Annual | 06/01/22 | USD 1,250,000 | 921 | 921 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.500 | Semi-Annual | 06/03/22 | USD 3,495,000 | 85,158 | 85,158 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.713 | Semi-Annual | 07/13/22 | USD 9,250,000 | 140,561 | 140,561 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.328 | Semi-Annual | 07/22/22 | USD 850,000 | 1,724 | 1,724 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.297 | Semi-Annual | 07/30/22 | USD 730,000 | 1,034 | 1,034 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.292 | Semi-Annual | 08/10/22 | USD 1,090,000 | 1,459 | 1,459 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.730 | Semi-Annual | 09/04/22 | USD 2,810,000 | 28,705 | 28,705 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.733 | Semi-Annual | 09/04/22 | USD 1,220,000 | 12,548 | 12,548 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.409 | Semi-Annual | 09/28/22 | USD 500,000 | 1,932 | 1,932 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.345 | Semi-Annual | 09/29/22 | USD 1,870,000 | 4,819 | 4,819 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.353 | Semi-Annual | 09/29/22 | USD 670,000 | 1,840 | 1,840 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.388 | Semi-Annual | 09/29/22 | USD 1,080,000 | 3,723 | 3,723 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.431 | Semi-Annual | 09/29/22 | USD 580,000 | 2,492 | 2,492 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.352 | Semi-Annual | 10/02/22 | USD 1,330,000 | 3,643 | 3,643 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.095 | Semi-Annual | 03/01/23 | USD 2,840,000 | 50,439 | 50,439 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.878 | Semi-Annual | 03/02/23 | USD 1,420,000 | 19,059 | 19,059 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.882 | Semi-Annual | 03/02/23 | USD 1,410,000 | 19,023 | 19,023 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.492 | Semi-Annual | 03/16/23 | USD 9,420,000 | 53,698 | 53,698 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.297 | Semi-Annual | 05/05/23 | USD 540,000 | 946 | 946 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.294 | Semi-Annual | 06/14/23 | USD 925,000 | 1,466 | 1,466 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.306 | Semi-Annual | 06/14/23 | USD 925,000 | 1,685 | 1,685 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.090 | Semi-Annual | 11/29/24 | USD 4,210,000 | 519,933 | 519,933 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.520 | Semi-Annual | 02/04/25 | USD 250,000 | 25,409 | 25,409 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.521 | Semi-Annual | 02/28/25 | USD 2,390,000 | 246,635 | 246,635 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.358 | Semi-Annual | 06/02/25 | USD 860,000 | 1,564 | 1,564 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.760 | Semi-Annual | 09/08/25 | USD 280,000 | 5,907 | 5,907 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 06/20/27 | USD 870,000 | 4,234 | 4,234 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 06/20/27 | USD 870,000 | 5,425 | 5,425 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.797 | Semi-Annual | 01/07/30 | USD 310,000 | 34,491 | 34,491 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.726 | Semi-Annual | 01/08/30 | USD 300,000 | 31,355 | 31,355 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.750 | Semi-Annual | 01/23/30 | USD 270,000 | 28,839 | 28,839 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.694 | Semi-Annual | 01/28/30 | USD 300,000 | 30,479 | 30,479 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.580 | Semi-Annual | 01/29/30 | USD 300,000 | 27,274 | 27,274 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.580 | Semi-Annual | 01/30/30 | USD 300,000 | 27,267 | 27,267 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (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) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 3-month USD-LIBOR | Quarterly | 1.606% | Semi-Annual | 01/30/30 | USD 300,000 | $ | 27,992 | $ | 27,992 | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.511 | Semi-Annual | 02/05/30 | USD 330,000 | 27,870 | 27,870 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.682 | Semi-Annual | 02/15/30 | USD 870,000 | 4,421 | 4,421 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.432 | Semi-Annual | 02/25/30 | USD 295,000 | 22,816 | 22,816 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.319 | Semi-Annual | 02/26/30 | USD 295,000 | 19,635 | 19,635 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.239 | Semi-Annual | 03/02/30 | USD 290,000 | 17,122 | 17,122 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.757 | Semi-Annual | 03/25/30 | USD 80,000 | 1,022 | 1,022 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.640 | Semi-Annual | 04/07/30 | USD 610,000 | 716 | 716 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.819 | Semi-Annual | 04/14/30 | USD 610,000 | 11,080 | 11,080 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.659 | Semi-Annual | 04/29/30 | USD 270,000 | 662 | 662 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.570 | Semi-Annual | 04/29/30 | USD 330,000 | 30,053 | 30,053 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.610 | Semi-Annual | 05/01/30 | USD 470,000 | (1,080 | ) | (1,080 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.610 | Semi-Annual | 05/01/30 | USD 270,000 | (607 | ) | (607 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.632 | Semi-Annual | 05/04/30 | USD 360,000 | (43 | ) | (43 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.665 | Semi-Annual | 06/03/30 | USD 400,000 | 1,210 | 1,210 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.696 | Semi-Annual | 06/16/30 | USD 180,000 | 1,072 | 1,072 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.712 | Semi-Annual | 06/23/30 | USD 60,000 | 447 | 447 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.637 | Semi-Annual | 07/01/30 | USD 180,000 | (1 | ) | (4 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.640 | Semi-Annual | 07/02/30 | USD 280,000 | — | — | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.020 | Semi-Annual | 09/08/30 | USD 400,000 | 14,531 | 14,531 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.447 | Semi-Annual | 05/18/31 | USD 210,000 | 35,880 | 35,880 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.102 | Semi-Annual | 06/22/31 | USD 100,000 | 13,592 | 13,592 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.790 | Semi-Annual | 05/09/32 | USD 620,000 | (920 | ) | (920 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.851 | Semi-Annual | 03/12/40 | USD 570,000 | (15,585 | ) | (15,585 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.828 | Semi-Annual | 02/10/50 | USD 120,000 | 29,534 | 29,534 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.693 | Semi-Annual | 03/11/50 | USD 50,000 | (3,087 | ) | (3,087 | ) | ||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.105 | Semi-Annual | 08/21/50 | USD 190,000 | 9,595 | 9,595 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.250 | Semi-Annual | 09/08/50 | USD 92,000 | 8,216 | 8,216 | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.929 | Semi-Annual | 12/01/56 | USD 25,000 | 5,902 | 5,902 | ||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.450) | Annual | 12/16/21 | EUR 1,200,000 | 2,156 | 2,156 | ||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.358) | Annual | 03/20/22 | EUR 1,160,000 | (752 | ) | (752 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.312) | Annual | 03/23/22 | EUR 2,680,000 | (4,080 | ) | (4,080 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.379) | Annual | 06/19/22 | EUR 1,510,000 | 395 | 395 | ||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.253) | Annual | 09/22/22 | EUR 1,140,000 | (3,816 | ) | (3,816 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.174) | Annual | 03/23/23 | EUR 4,980,000 | (26,383 | ) | (26,383 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.180) | Annual | 03/24/23 | EUR 2,490,000 | (12,819 | ) | (12,819 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.290) | Annual | 07/26/23 | EUR 1,640,000 | (4,535 | ) | (4,535 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.300) | Annual | 07/27/23 | EUR 3,100,000 | (7,858 | ) | (7,858 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.167) | Annual | 12/13/23 | EUR 1,170,000 | (6,195 | ) | (6,195 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.110) | Annual | 12/27/23 | EUR 300,000 | (1,963 | ) | (1,963 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.056) | Annual | 01/03/24 | EUR 615,000 | (4,769 | ) | (4,769 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.050) | Annual | 01/03/24 | EUR 615,000 | (4,860 | ) | (4,860 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.173) | Annual | 11/11/24 | EUR 260,000 | (2,387 | ) | (2,387 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.175) | Annual | 03/18/25 | EUR 60,000 | (625 | ) | (625 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.185 | Annual | 01/16/30 | EUR 510,000 | (21,636 | ) | (21,636 | ) | ||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.055 | Annual | 06/23/50 | EUR 415,000 | (4,573 | ) | (4,573 | ) | ||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.336 | Semi-Annual | 02/08/34 | JPY 860,000 | (229 | ) | (229 | ) | ||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.295 | Semi-Annual | 06/17/39 | JPY 5,440,000 | (704 | ) | (704 | ) | ||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.167 | Semi-Annual | 08/08/39 | JPY 3,930,000 | 393 | 393 | ||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.715 | Semi-Annual | 03/21/44 | JPY 3,980,000 | (2,805 | ) | (2,805 | ) | ||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.201 | Semi-Annual | 08/28/44 | JPY 1,960,000 | 508 | 508 | ||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.371 | Semi-Annual | 01/30/45 | JPY 2,810,000 | (95 | ) | (95 | ) | ||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 1.080 | Semi-Annual | 09/16/30 | NZD 4,100,000 | (83,672 | ) | (83,672 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.554 | Semi-Annual | 03/12/21 | USD 5,530,000 | (10,052 | ) | (10,052 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.560 | Semi-Annual | 03/27/21 | USD 5,280,000 | (50,075 | ) | (50,075 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.560 | Semi-Annual | 03/30/21 | USD 1,340,000 | (12,752 | ) | (12,752 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.770 | Semi-Annual | 06/15/21 | USD 5,780,000 | (82,884 | ) | (82,884 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.460 | Semi-Annual | 02/28/22 | USD 2,510,000 | (92,555 | ) | (92,555 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.459 | Semi-Annual | 03/16/22 | USD 9,290,000 | (35,886 | ) | (35,886 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.000 | Semi-Annual | 06/03/22 | USD 6,990,000 | (103,147 | ) | (103,147 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.870 | Semi-Annual | 06/03/22 | USD 5,710,000 | (95,941 | ) | (95,941 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.248 | Semi-Annual | 06/15/22 | USD 2,150,000 | (1,204 | ) | (1,204 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.521 | Semi-Annual | 02/09/23 | USD10,050,000 | (464,718 | ) | (464,718 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.771 | Semi-Annual | 07/12/23 | USD 9,400,000 | (143,471 | ) | (143,471 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.572 | Semi-Annual | 02/07/25 | USD 2,610,000 | (272,115 | ) | (272,115 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.623 | Semi-Annual | 04/14/25 | USD 1,180,000 | (17,207 | ) | (17,207 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.350 | Semi-Annual | 04/27/25 | USD 1,440,000 | (140,678 | ) | (140,678 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.820 | Semi-Annual | 09/08/25 | USD 540,000 | (13,010 | ) | (13,010 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (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 USD-LIBOR | Quarterly | 0.652% | Semi-Annual | 04/20/27 | USD 120,000 | $ | (730 | ) | $ | (730 | ) | ||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.631 | Semi-Annual | 02/10/30 | USD 300,000 | (28,802 | ) | (28,802 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.313 | Semi-Annual | 02/27/30 | USD 590,000 | (38,900 | ) | (38,900 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.663 | Semi-Annual | 03/11/30 | USD 150,000 | (575 | ) | (575 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.648 | Semi-Annual | 06/02/30 | USD 440,000 | (592 | ) | (592 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.760 | Semi-Annual | 07/09/30 | USD 290,000 | (32,141 | ) | (32,141 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.670 | Semi-Annual | 07/17/30 | USD 360,000 | (1,044 | ) | (1,044 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.700 | Semi-Annual | 07/22/30 | USD 580,000 | (3,332 | ) | (3,332 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.315 | Semi-Annual | 08/27/30 | USD 970,000 | (63,744 | ) | (63,744 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 09/16/30 | USD 610,000 | (1,578 | ) | (1,591 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 11/04/30 | USD 600,000 | — | — | ||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.761 | Semi-Annual | 06/03/31 | USD 798,000 | (3,574 | ) | (3,574 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.110 | Semi-Annual | 03/08/32 | USD 265,000 | (8,339 | ) | (8,339 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.760 | Semi-Annual | 05/03/32 | USD 800,000 | 3,418 | 3,418 | ||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.765 | Semi-Annual | 05/04/32 | USD 820,000 | 3,113 | 3,113 | ||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.770 | Semi-Annual | 05/06/32 | USD 750,000 | 2,516 | 2,516 | ||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.325 | Semi-Annual | 06/24/34 | USD 70,000 | (9,022 | ) | (9,022 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.645 | Semi-Annual | 08/22/34 | USD 300,000 | (18,604 | ) | (18,604 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.907 | Semi-Annual | 10/21/34 | USD 320,000 | (27,563 | ) | (27,563 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.921 | Semi-Annual | 10/22/34 | USD 300,000 | (26,233 | ) | (26,233 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.976 | Semi-Annual | 10/23/34 | USD 145,000 | (13,441 | ) | (13,441 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.982 | Semi-Annual | 10/23/34 | USD 145,000 | (13,518 | ) | (13,518 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.998 | Semi-Annual | 11/07/34 | USD 320,000 | (30,248 | ) | (30,248 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.111 | Semi-Annual | 11/12/34 | USD 330,000 | (34,743 | ) | (34,743 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.098 | Semi-Annual | 10/23/39 | USD 180,000 | (15,752 | ) | (15,752 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.110 | Semi-Annual | 11/15/44 | USD 390,000 | (34,662 | ) | (34,662 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.920 | Semi-Annual | 11/15/45 | USD 415,000 | (169 | ) | (169 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.378 | Semi-Annual | 07/05/49 | USD 140,000 | (16,096 | ) | (16,096 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.709 | Semi-Annual | 08/16/49 | USD 130,000 | (7,587 | ) | (7,587 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.667 | Semi-Annual | 08/17/49 | USD 100,000 | (5,477 | ) | (5,477 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.370 | Semi-Annual | 06/15/50 | USD 190,000 | (75,515 | ) | (75,515 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.090 | Semi-Annual | 06/20/52 | USD 160,000 | (5,209 | ) | (5,209 | ) | ||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.136 | Semi-Annual | 06/20/52 | USD 160,000 | (7,200 | ) | (7,200 | ) | ||||||||||
$ | 434,759 | $ | 434,742 |
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 | U.K. RPI All Items Monthly | At Termination Date | 3.385% | At Termination Date | 08/15/28 | GBP 465,000 | $ | 20,605 | $ | 20,605 | ||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.400 | At Termination Date | 08/15/28 | GBP 3,160,000 | 147,914 | 147,914 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.505 | At Termination Date | 10/15/28 | GBP 1,470,000 | 101,260 | 101,260 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.490 | At Termination Date | 03/15/29 | GBP 1,590,000 | 78,771 | 78,771 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.286 | At Termination Date | 03/15/30 | GBP 1,585,000 | 141 | 141 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 10/15/39 | GBP 2,025,000 | 163,204 | 163,204 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.310 | At Termination Date | 01/15/40 | GBP 900,000 | 40,433 | 40,433 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.341 | At Termination Date | 01/15/40 | GBP 800,000 | 46,912 | 46,912 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.270 | At Termination Date | 10/15/44 | GBP 1,560,000 | 184,836 | 184,836 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.220 | At Termination Date | 01/15/45 | GBP 700,000 | 51,774 | 51,774 | ||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.239 | At Termination Date | 01/15/45 | GBP 600,000 | 51,535 | 51,535 | ||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.750 | At Termination Date | 08/22/29 | USD 1,350,000 | 43,523 | 43,523 | ||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.857 | At Termination Date | 11/25/29 | USD 1,330,000 | 57,162 | 57,162 | ||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.290 | At Termination Date | 03/15/29 | EUR 2,230,000 | (151,116 | ) | (151,116 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (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 | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.147% | At Termination Date | 02/15/30 | EUR 1,325,000 | $ | (60,830 | ) | $ | (60,830 | ) | ||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.456 | At Termination Date | 11/15/29 | GBP 415,000 | (15,310 | ) | (15,310 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.458 | At Termination Date | 12/15/29 | GBP 815,000 | (25,559 | ) | (25,559 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.420 | At Termination Date | 10/15/34 | GBP 2,025,000 | (119,192 | ) | (119,192 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 01/15/35 | GBP 900,000 | (26,637 | ) | (26,637 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.390 | At Termination Date | 01/15/35 | GBP 800,000 | (30,607 | ) | (30,607 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.160 | At Termination Date | 10/15/49 | GBP 1,560,000 | (245,456 | ) | (245,456 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.111 | At Termination Date | 01/15/50 | GBP 700,000 | (71,848 | ) | (71,848 | ) | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.133 | At Termination Date | 01/15/50 | GBP 600,000 | (72,528 | ) | (72,528 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.299 | At Termination Date | 09/28/21 | USD 7,100,000 | (260,143 | ) | (260,143 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.205 | At Termination Date | 03/21/22 | USD 5,100,000 | (195,043 | ) | (195,043 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.890 | At Termination Date | 06/29/22 | USD 6,700,000 | (147,914 | ) | (147,914 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.260 | At Termination Date | 05/03/23 | USD 9,000,000 | (483,884 | ) | (483,884 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.211 | At Termination Date | 10/26/23 | USD 2,500,000 | (132,447 | ) | (132,447 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.957 | At Termination Date | 02/06/24 | USD12,000,000 | (469,636 | ) | (469,636 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.991 | At Termination Date | 03/04/24 | USD 3,000,000 | (117,876 | ) | (117,876 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.248 | At Termination Date | 03/21/24 | USD 4,900,000 | (293,981 | ) | (293,981 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.023 | At Termination Date | 05/02/24 | USD 3,500,000 | (144,640 | ) | (144,640 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.829 | At Termination Date | 07/31/24 | USD 2,700,000 | (95,572 | ) | (95,572 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.706 | At Termination Date | 08/12/24 | USD 1,300,000 | (36,915 | ) | (36,915 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.351 | At Termination Date | 09/28/24 | USD 7,400,000 | (525,476 | ) | (525,476 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.945 | At Termination Date | 03/12/25 | USD 1,650,000 | 13,511 | 13,511 | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.908 | At Termination Date | 05/24/25 | USD 4,500,000 | (181,446 | ) | (181,446 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.361 | At Termination Date | 09/28/25 | USD 6,150,000 | (498,564 | ) | (498,564 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.098 | At Termination Date | 11/29/25 | USD 1,600,000 | (95,284 | ) | (95,284 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.853 | At Termination Date | 06/28/26 | USD 450,000 | (18,897 | ) | (18,897 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.249 | At Termination Date | 10/30/28 | USD 1,195,000 | (109,156 | ) | (109,156 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.746 | At Termination Date | 09/06/29 | USD 4,100,000 | (129,119 | ) | (129,119 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.850 | At Termination Date | 02/10/30 | USD 2,665,000 | (120,683 | ) | (120,683 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.504 | At Termination Date | 03/10/30 | USD 3,840,000 | (26,345 | ) | (26,345 | ) | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.250 | At Termination Date | 03/11/30 | USD 2,560,000 | 53,122 | 53,122 | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.268 | At Termination Date | 03/12/30 | USD 2,575,000 | 48,497 | 48,497 | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.235 | At Termination Date | 03/13/30 | USD 2,520,000 | 56,206 | 56,206 | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.733 | At Termination Date | 03/23/30 | USD 1,180,000 | 88,310 | 88,310 | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.835 | At Termination Date | 03/23/30 | USD 655,000 | 42,085 | 42,085 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (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.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.285% | At Termination Date | 05/05/30 | USD 4,860,000 | $ | 88,113 | $ | 88,113 | ||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.960 | At Termination Date | 12/12/49 | USD 775,000 | (86,197 | ) | (86,197 | ) | ||||||||||
$ | (3,610,387 | ) | $ | (3,610,387 | ) |
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index 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 | 1.437% | At Termination Date | 01/15/21 | USD 22,000,000 | $ | 195,926 | $ | — | $ | 195,926 | |||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.515 | At Termination Date | 01/15/22 | USD 16,000,000 | 33,116 | — | 33,116 | ||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.560 | At Termination Date | 01/15/23 | USD 10,250,000 | (30,674 | ) | — | (30,674 | ) | ||||||||||||||
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 | (56,380 | ) | — | (56,380 | ) | ||||||||||||||
$ | 141,988 | $ | — | $ | 141,988 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Cost | Fair Value | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar | Call | 12/13/21 | 99.75 | USD | 106 | 26,447,000 | $ | 18,723 | $ | 46,375 | |||||||||||
U.S. Treasury Long Bond | Put | 08/21/20 | 175.00 | USD | 8 | 1,428,500 | 24,986 | 8,875 | |||||||||||||
$ | 43,709 | $ | 55,250 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar | Call | 12/13/21 | 99.38 | USD | 53 | USD 13,223,500 | $ | 23,101 | $ | (62,938 | ) | ||||||||||
$ | 23,101 | $ | (62,938 | ) |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount | Cost | Fair Value | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put GBP vs. Call EUR | Citibank N.A. | 11/02/20 | 0.900 | EUR | 1,230,000 | $ | 19,678 | $ | 32,531 | ||||||||||
$ | 19,678 | $ | 32,531 |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.100% | 6-month JPY-LIBOR | 06/29/22 | JPY692,890,000 | $ | 94,254 | $ | 1,133 | ||||||||||
Call on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.950% | 3-month USD-LIBOR | 03/12/24 | USD 870,000 | 39,215 | 172,178 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.978% | 3-month USD-LIBOR | 03/07/24 | USD 874,500 | 40,205 | 175,360 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.052% | 3-month USD-LIBOR | 01/10/29 | USD 220,000 | 12,430 | 43,204 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.083% | 3-month USD-LIBOR | 01/29/29 | USD 220,000 | $ | 12,496 | $ | 43,761 | ||||||||||
Call on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.088% | 3-month USD-LIBOR | 12/06/38 | USD 570,000 | 26,505 | 117,386 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 1.460% | 3-month USD-LIBOR | 08/16/21 | USD 980,000 | 35,072 | 76,700 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 1.492% | 3-month USD-LIBOR | 02/25/25 | USD 550,000 | 28,889 | 44,231 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 2.824% | 3-month USD-LIBOR | 01/31/39 | USD 120,000 | 6,149 | 22,537 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 2.978% | 3-month USD-LIBOR | 01/31/29 | USD 100,000 | 5,780 | 19,055 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD 10,000 | 493 | 1,984 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.890% | 3-month USD-LIBOR | 04/30/25 | USD 360,000 | 19,422 | 17,239 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 1.423% | 3-month USD-LIBOR | 06/05/25 | USD 255,000 | 13,668 | 19,512 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 1.283% | 3-month USD-LIBOR | 06/04/25 | USD 255,000 | 13,796 | 17,413 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 2.860% | 3-month USD-LIBOR | 02/22/39 | USD 232,500 | 11,503 | 44,246 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD 200,000 | 9,400 | 39,670 | ||||||||||||
Call on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 3.037% | 3-month USD-LIBOR | 01/11/29 | USD 220,000 | 12,523 | 42,943 | ||||||||||||
Call on 1-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 0.390% | 3-month USD-LIBOR | 05/22/23 | USD 3,050,000 | 9,303 | 10,280 | ||||||||||||
Call on 1-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 1.772% | 3-month USD-LIBOR | 11/05/24 | USD 5,250,000 | 28,403 | 66,591 | ||||||||||||
Call on 20-Year interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY 18,900,000 | 5,916 | 17,307 | ||||||||||||
Call on 20-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY 1,670,000 | 500 | 1,560 | ||||||||||||
Call on 2-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.200% | 3-month USD-LIBOR | 09/23/20 | USD 9,490,000 | 29,893 | 189,143 | ||||||||||||
Call on 2-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 1.250% | 3-month USD-LIBOR | 08/10/20 | USD 6,430,000 | 30,671 | 133,539 | ||||||||||||
Call on 30-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.828% | 3-month USD-LIBOR | 11/23/20 | USD 270,000 | 18,684 | 11,753 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.250% | 3-month USD-LIBOR | 08/08/22 | USD 960,000 | 22,728 | 4,860 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.950% | 3-month USD-LIBOR | 03/12/24 | USD 870,000 | 39,215 | 5,284 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.978% | 3-month USD-LIBOR | 03/07/24 | USD 874,500 | 40,205 | 5,128 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.052% | 3-month USD-LIBOR | 01/10/29 | USD 220,000 | 12,430 | 4,137 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.083% | 3-month USD-LIBOR | 01/29/29 | USD 220,000 | 12,496 | 4,077 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.088% | 3-month USD-LIBOR | 12/06/38 | USD 570,000 | 26,505 | 17,843 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.460% | 3-month USD-LIBOR | 08/16/21 | USD 980,000 | 35,072 | 7,021 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.492% | 3-month USD-LIBOR | 02/25/25 | USD 550,000 | 28,889 | 19,898 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.350% | 3-month USD-LIBOR | 07/13/20 | USD 1,935,000 | 7,244 | — | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.824% | 3-month USD-LIBOR | 01/31/39 | USD 120,000 | 6,025 | 4,263 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.978% | 3-month USD-LIBOR | 01/31/29 | USD 100,000 | 5,778 | 1,996 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD 10,000 | 461 | 326 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.890% | 3-month USD-LIBOR | 04/30/25 | USD 360,000 | 19,422 | 22,447 | ||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.423% | 3-month USD-LIBOR | 06/05/25 | USD 255,000 | 13,668 | 10,321 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.283% | 3-month USD-LIBOR | 06/04/25 | USD | 255,000 | $ | 13,796 | $ | 11,635 | |||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.250% | 3-month USD-LIBOR | 08/02/22 | USD | 950,000 | 25,650 | 4,737 | |||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.860% | 3-month USD-LIBOR | 02/22/39 | USD | 232,500 | 11,503 | 8,126 | |||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD | 200,000 | 9,400 | 6,515 | |||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 2.500% | 3-month USD-LIBOR | 06/13/24 | USD | 930,000 | 41,811 | 10,165 | |||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 2.500% | 3-month USD-LIBOR | 06/20/24 | USD | 930,000 | 37,600 | 10,239 | |||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 3.037% | 3-month USD-LIBOR | 01/11/29 | USD | 220,000 | 12,523 | 4,185 | |||||||||||||
Put on 1-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.772% | 3-month USD-LIBOR | 11/05/24 | USD | 5,250,000 | 28,403 | 6,981 | |||||||||||||
Put on 20-Year interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 3,300,000 | 521 | 24 | |||||||||||||
Put on 20-Year interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 3,300,000 | 521 | 24 | |||||||||||||
Put on 20-Year interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 18,900,000 | 5,916 | 194 | |||||||||||||
Put on 20-Year Interest Rate Swap(4) | Goldman Sachs International | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 1,670,000 | 500 | 17 | |||||||||||||
Put on 30-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.850% | 3-month USD-LIBOR | 05/09/22 | USD | 1,170,000 | 67,934 | 9,306 | |||||||||||||
Put on 30-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.800% | 3-month USD-LIBOR | 06/07/21 | USD | 830,000 | 32,380 | 505 | |||||||||||||
Put on 30-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.828% | 3-month USD-LIBOR | 11/23/20 | USD | 270,000 | 18,684 | 18,901 | |||||||||||||
Put on 30-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.350% | 3-month USD-LIBOR | 09/04/20 | USD | 225,000 | 9,113 | 1,467 | |||||||||||||
$ | 1,091,563 | $ | 1,529,347 |
Reference Entity | Counterparty | Exercise Inflation Rate | Description | Expiration Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||
Call | Citibank N.A. | 0.550% | Call Option-Max [0, 5-Year Constant Maturity Swap)-Exercise Rate] | 02/14/22 | USD 8,775,000 | $ | 7,459 | $ | (19,988 | ) | ||||||||||
Call | Citibank N.A. | 0.550% | Call Option-Max [0, 5-Year Constant Maturity Swap)-Exercise Rate] | 02/14/22 | USD 8,775,000 | 9,038 | (19,988 | ) | ||||||||||||
$ | 16,497 | $ | (39,976 | ) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
Call on 10-Year interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.788% | 3-month USD-LIBOR | 03/08/21 | USD | 1,312,000 | $ | 39,114 | $ | (270,815 | ) | ||||||||||
Call on 10-Year interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.050% | 3-month USD-LIBOR | 03/12/29 | USD | 700,000 | 37,135 | (137,401 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 0.693% | 3-month USD-LIBOR | 04/06/21 | USD | 270,000 | 7,560 | (6,124 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 0.713% | 3-month USD-LIBOR | 04/06/21 | USD | 530,000 | 14,840 | (12,557 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 0.877% | 3-month USD-LIBOR | 04/14/21 | USD | 270,000 | 7,317 | (8,985 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.624% | 3-month USD-LIBOR | 11/02/20 | USD | 600,000 | 14,640 | (57,131 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
Call on 10-Year Interest Rate Swap(3) | BNP Paribas Bank | Pay | 0.715% | 3-month USD-LIBOR | 06/29/21 | USD | 555,000 | $ | 14,506 | $ | (14,195 | ) | ||||||||||
Call on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 0.790% | 3-month USD-LIBOR | 04/15/21 | USD | 300,000 | 8,117 | (8,418 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.420% | 3-month USD-LIBOR | 08/17/20 | USD | 980,000 | 25,480 | (74,818 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.688% | 3-month USD-LIBOR | 04/06/21 | USD | 260,000 | 7,066 | (5,840 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.717% | 3-month USD-LIBOR | 04/16/21 | USD | 255,000 | 7,038 | (6,155 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.740% | 3-month USD-LIBOR | 05/02/22 | USD | 550,000 | 19,030 | (17,446 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.742% | 3-month USD-LIBOR | 06/25/21 | USD | 555,000 | 14,610 | (14,916 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.746% | 3-month USD-LIBOR | 06/02/21 | USD | 1,090,000 | 27,332 | (29,079 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.765% | 3-month USD-LIBOR | 04/15/21 | USD | 255,000 | 6,993 | (6,799 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 0.685% | 3-month USD-LIBOR | 05/13/21 | USD | 540,000 | 13,750 | (12,502 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.200% | 3-month USD-LIBOR | 08/17/20 | USD | 1,230,000 | 22,878 | (67,413 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.708% | 3-month USD-LIBOR | 04/01/21 | USD | 530,000 | 14,972 | (12,325 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.730% | 3-month USD-LIBOR | 04/06/21 | USD | 320,000 | 8,384 | (7,872 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.743% | 3-month USD-LIBOR | 04/19/21 | USD | 820,000 | 22,776 | (20,965 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.850% | 3-month USD-LIBOR | 04/07/21 | USD | 210,000 | 5,481 | (6,606 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.870% | 3-month USD-LIBOR | 04/09/21 | USD | 540,000 | 14,634 | (17,663 | ) | ||||||||||||
Call on 1-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.610% | 3-month USD-LIBOR | 04/06/23 | USD | 1,830,000 | 6,817 | (8,479 | ) | ||||||||||||
Call on 1-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.685% | 3-month USD-LIBOR | 04/11/23 | USD | 3,050,000 | 11,704 | (15,825 | ) | ||||||||||||
Call on 1-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.582% | 3-month USD-LIBOR | 11/05/20 | USD | 5,250,000 | 12,416 | (71,533 | ) | ||||||||||||
Call on 2-Year interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.436% | 3-month USD-LIBOR | 02/01/21 | USD | 3,300,000 | 24,629 | (147,478 | ) | ||||||||||||
Call on 2-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 0.700% | 3-month USD-LIBOR | 09/23/20 | USD | 18,970,000 | 20,867 | (188,264 | ) | ||||||||||||
Call on 2-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.530% | 3-month USD-LIBOR | 12/14/20 | USD | 2,815,000 | 13,512 | (74,741 | ) | ||||||||||||
Call on 2-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.535% | 3-month USD-LIBOR | 12/11/20 | USD | 2,815,000 | 13,442 | (75,021 | ) | ||||||||||||
Call on 2-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 0.750% | 3-month USD-LIBOR | 08/10/20 | USD | 12,850,000 | 24,418 | (138,395 | ) | ||||||||||||
Call on 30-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.390% | 3-month USD-LIBOR | 08/21/20 | USD | 1,150,000 | 36,800 | (152,649 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap | Barclays Bank PLC | Pay | -0.020% | 6-month EUR-EURIBOR | 04/07/22 | EUR | 1,340,000 | 17,169 | (22,863 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap | Barclays Bank PLC | Pay | -0.035% | 6-month EUR-EURIBOR | 09/13/22 | EUR | 600,000 | 9,338 | (12,636 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap | Barclays Bank PLC | Pay | -0.115% | 6-month EUR-EURIBOR | 04/04/22 | EUR | 1,160,000 | 14,671 | (16,250 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap | Barclays Bank PLC | Pay | -0.138% | 6-month EUR-EURIBOR | 09/12/22 | EUR | 600,000 | 9,029 | (10,374 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.200% | 3-month USD-LIBOR | 09/22/20 | USD | 625,000 | 875 | (972 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.200% | 3-month USD-LIBOR | 09/24/20 | USD | 625,000 | 750 | (994 | ) | ||||||||||||
Call on 5-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.250% | 3-month USD-LIBOR | 06/29/21 | USD | 5,025,000 | 31,658 | (29,617 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
Call on 5-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.605% | 3-month USD-LIBOR | 06/15/22 | USD | 1,540,000 | $ | 23,100 | $ | (25,120 | ) | ||||||||||
Put on 10-Year interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.624% | 3-month USD-LIBOR | 11/02/20 | USD | 600,000 | 14,640 | (390 | ) | ||||||||||||
Put on 10-Year interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.637% | 3-month USD-LIBOR | 11/02/20 | USD | 590,000 | 14,219 | (369 | ) | ||||||||||||
Put on 10-Year interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.788% | 3-month USD-LIBOR | 03/08/21 | USD | 1,312,000 | 39,114 | (317 | ) | ||||||||||||
Put on 10-Year interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.050% | 3-month USD-LIBOR | 03/12/29 | USD | 700,000 | 37,135 | (13,464 | ) | ||||||||||||
Put on 10-Year interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.870% | 3-month USD-LIBOR | 06/07/21 | USD | 1,770,000 | 34,676 | (146 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(5) | Deutsche Bank AG | Receive | 0.180% | 6-month EUR-EURIBOR | 07/16/20 | EUR | 2,620,000 | 35,746 | (1 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 0.693% | 3-month USD-LIBOR | 04/06/21 | USD | 270,000 | 7,560 | (6,386 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 0.713% | 3-month USD-LIBOR | 04/06/21 | USD | 530,000 | 14,840 | (12,025 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 0.877% | 3-month USD-LIBOR | 04/14/21 | USD | 270,000 | 7,317 | (4,396 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.000% | 3-month USD-LIBOR | 06/01/21 | USD | 2,320,000 | 34,974 | (33,123 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.050% | 3-month USD-LIBOR | 06/11/21 | USD | 540,000 | 7,695 | (7,148 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.600% | 3-month USD-LIBOR | 03/04/22 | USD | 583,000 | 9,619 | (5,667 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.612% | 3-month USD-LIBOR | 09/14/20 | USD | 590,000 | 14,676 | (98 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.750% | 3-month USD-LIBOR | 08/07/20 | USD | 460,000 | 7,670 | (1 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.763% | 3-month USD-LIBOR | 09/16/20 | USD | 1,180,000 | 29,677 | (124 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.850% | 3-month USD-LIBOR | 02/22/22 | USD | 630,000 | 11,088 | (4,021 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 1.850% | 3-month USD-LIBOR | 02/22/22 | USD | 630,000 | 10,836 | (4,021 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.000% | 3-month USD-LIBOR | 08/03/20 | USD | 510,000 | 7,599 | — | |||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.100% | 3-month USD-LIBOR | 01/06/22 | USD | 900,000 | 20,644 | (3,405 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.150% | 3-month USD-LIBOR | 01/10/22 | USD | 890,000 | 20,692 | (3,142 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.350% | 3-month USD-LIBOR | 07/10/20 | USD | 670,000 | 7,102 | — | |||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.750% | 3-month USD-LIBOR | 05/09/22 | USD | 2,550,000 | 73,975 | (5,025 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.750% | 3-month USD-LIBOR | 08/08/22 | USD | 960,000 | 11,568 | (2,384 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.250% | 3-month USD-LIBOR | 08/08/22 | USD | 960,000 | 5,712 | (1,201 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | BNP Paribas Bank | Receive | 0.715% | 3-month USD-LIBOR | 06/29/21 | USD | 555,000 | 14,506 | (14,702 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 0.790% | 3-month USD-LIBOR | 04/14/21 | USD | 300,000 | 8,117 | (5,918 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 1.420% | 3-month USD-LIBOR | 08/17/20 | USD | 980,000 | 25,480 | (69 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 1.950% | 3-month USD-LIBOR | 07/13/20 | USD | 970,000 | 10,406 | — | |||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.688% | 3-month USD-LIBOR | 04/06/21 | USD | 260,000 | 7,066 | (6,206 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.717% | 3-month USD-LIBOR | 04/16/21 | USD | 255,000 | 7,038 | (5,868 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.740% | 3-month USD-LIBOR | 05/02/22 | USD | 550,000 | 19,030 | (20,981 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.742% | 3-month USD-LIBOR | 06/25/21 | USD | 555,000 | 14,610 | (13,913 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.746% | 3-month USD-LIBOR | 06/02/21 | USD | 1,090,000 | 27,332 | (25,981 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.765% | 3-month USD-LIBOR | 04/15/21 | USD | 255,000 | $ | 6,993 | $ | (5,303 | ) | ||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 1.600% | 3-month USD-LIBOR | 02/28/22 | USD | 600,000 | 10,950 | (5,778 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 1.600% | 3-month USD-LIBOR | 03/03/22 | USD | 600,000 | 10,680 | (5,822 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 1.600% | 3-month USD-LIBOR | 03/04/22 | USD | 930,000 | 15,624 | (9,039 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 0.685% | 3-month USD-LIBOR | 05/13/21 | USD | 540,000 | 13,750 | (13,977 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 2.300% | 3-month USD-LIBOR | 07/27/20 | USD | 940,000 | 11,515 | — | |||||||||||||
Put on 10-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 2.350% | 3-month USD-LIBOR | 07/10/20 | USD | 670,000 | 6,767 | — | |||||||||||||
Put on 10-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 1.600% | 3-month USD-LIBOR | 08/17/20 | USD | 1,230,000 | 22,878 | (32 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 2.750% | 3-month USD-LIBOR | 08/02/22 | USD | 950,000 | 13,015 | (2,317 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 3.250% | 3-month USD-LIBOR | 08/02/22 | USD | 950,000 | 6,222 | (1,164 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.708% | 3-month USD-LIBOR | 04/01/21 | USD | 530,000 | 14,973 | (12,043 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.730% | 3-month USD-LIBOR | 04/06/21 | USD | 320,000 | 8,384 | (7,000 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.743% | 3-month USD-LIBOR | 04/19/21 | USD | 820,000 | 22,776 | (17,995 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.850% | 3-month USD-LIBOR | 04/07/21 | USD | 210,000 | 5,481 | (3,558 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.870% | 3-month USD-LIBOR | 04/09/21 | USD | 540,000 | 14,634 | (8,818 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 1.950% | 3-month USD-LIBOR | 01/28/22 | USD | 880,000 | 20,570 | (4,501 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 2.250% | 3-month USD-LIBOR | 08/20/24 | USD | 980,000 | 29,054 | (14,835 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 3.000% | 3-month USD-LIBOR | 06/13/24 | USD | 930,000 | 25,539 | (6,026 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 3.000% | 3-month USD-LIBOR | 06/20/24 | USD | 930,000 | 22,714 | (6,076 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 3.500% | 3-month USD-LIBOR | 06/13/24 | USD | 930,000 | 15,565 | (3,601 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 3.500% | 3-month USD-LIBOR | 06/20/24 | USD | 930,000 | 13,630 | (3,634 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.150% | 3-month USD-LIBOR | 05/28/21 | USD | 14,860,000 | 41,682 | (33 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 2.350% | 3-month USD-LIBOR | 05/17/21 | USD | 10,930,000 | 21,669 | (16 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.550% | 3-month USD-LIBOR | 04/21/22 | USD | 4,360,000 | 7,652 | (3,907 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.610% | 3-month USD-LIBOR | 04/06/23 | USD | 1,830,000 | 6,817 | (3,648 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.685% | 3-month USD-LIBOR | 04/11/23 | USD | 3,050,000 | 11,704 | (5,448 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 1.582% | 3-month USD-LIBOR | 11/05/20 | USD | 5,250,000 | 12,416 | (1 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.410% | 3-month USD-LIBOR | 03/17/21 | USD | 5,250,000 | 8,925 | (13,108 | ) | ||||||||||||
Put on 1-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.410% | 3-month USD-LIBOR | 03/17/21 | USD | 5,250,000 | 8,925 | (1,153 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
Put on 1-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 2.400% | 3-month USD-LIBOR | 06/01/21 | USD | 18,400,000 | $ | 33,304 | $ | (28 | ) | ||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.000% | 6-month EUR-EURIBOR | 06/14/21 | EUR | 1,040,000 | 2,873 | (342 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.000% | 6-month EUR-EURIBOR | 06/14/21 | EUR | 1,010,000 | 2,747 | (318 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.000% | 6-month EUR-EURIBOR | 06/25/21 | EUR | 1,140,000 | 2,605 | (396 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.050% | 6-month EUR-EURIBOR | 06/10/21 | EUR | 2,310,000 | 5,817 | (615 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.100% | 6-month EUR-EURIBOR | 03/29/21 | EUR | 4,470,000 | 15,550 | (613 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.110% | 6-month EUR-EURIBOR | 05/17/21 | EUR | 2,262,400 | 7,485 | (421 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.120% | 6-month EUR-EURIBOR | 04/08/21 | EUR | 6,960,000 | 26,460 | (916 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Citibank N.A. | Receive | 0.000% | 6-month EUR-EURIBOR | 06/21/21 | EUR | 1,220,000 | 2,973 | (397 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Citibank N.A. | Receive | 0.100% | 6-month EUR-EURIBOR | 04/12/21 | EUR | 3,490,000 | 11,641 | (522 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Goldman Sachs International | Receive | 0.000% | 6-month EUR-EURIBOR | 06/18/21 | EUR | 1,040,000 | 2,410 | (349 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Goldman Sachs International | Receive | 0.160% | 6-month EUR-EURIBOR | 04/12/21 | EUR | 3,490,000 | 11,750 | (426 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Morgan Stanley & Co. International PLC | Receive | 0.080% | 6-month EUR-EURIBOR | 05/31/21 | EUR | 1,490,000 | 4,347 | (322 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(5) | Morgan Stanley & Co. International PLC | Receive | 0.150% | 6-month EUR-EURIBOR | 04/19/21 | EUR | 3,460,000 | 12,434 | (461 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(2) | Barclays Bank PLC | Receive | 2.000% | 3-month USD-LIBOR | 11/27/20 | USD | 5,720,000 | 7,751 | (2 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(2) | Citibank N.A. | Receive | 1.530% | 3-month USD-LIBOR | 12/14/20 | USD | 2,815,000 | 13,512 | (4 | ) | ||||||||||||
Put on 2-Year interest Rate Swap(2) | Citibank N.A. | Receive | 3.250% | 3-month USD-LIBOR | 12/29/20 | USD | 3,130,000 | 11,424 | — | |||||||||||||
Put on 2-Year interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 2.436% | 3-month USD-LIBOR | 02/01/21 | USD | 3,300,000 | 26,341 | (2 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.000% | 6-month EUR-EURIBOR | 07/01/21 | EUR | 1,210,000 | 2,499 | (432 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.000% | 6-month EUR-EURIBOR | 07/19/21 | EUR | 1,240,000 | 2,269 | (494 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.050% | 6-month EUR-EURIBOR | 07/02/21 | EUR | 1,180,000 | 2,489 | (517 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.150% | 6-month EUR-EURIBOR | 08/09/21 | EUR | 1,570,000 | 2,128 | (1,248 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.150% | 6-month EUR-EURIBOR | 08/09/21 | EUR | 2,780,000 | 3,847 | (2,209 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.250% | 6-month EUR-EURIBOR | 09/03/21 | EUR | 5,030,000 | 8,276 | (6,324 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.500% | 3-month USD-LIBOR | 08/24/20 | USD | 3,560,000 | 12,015 | — | |||||||||||||
Put on 2-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.600% | 3-month USD-LIBOR | 09/24/20 | USD | 4,660,000 | 6,291 | (67 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 1.000% | 3-month USD-LIBOR | 10/05/20 | USD | 2,325,000 | 2,441 | (3 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 1.050% | 3-month USD-LIBOR | 10/02/20 | USD | 2,530,000 | 4,453 | (2 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 1.050% | 3-month USD-LIBOR | 10/02/20 | USD | 2,530,000 | 2,973 | (2 | ) | ||||||||||||
Put on 2-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 1.535% | 3-month USD-LIBOR | 12/11/20 | USD | 2,815,000 | 13,442 | (4 | ) | ||||||||||||
Put on 5-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.000% | 6-month EUR-EURIBOR | 07/27/20 | EUR | 1,740,000 | 4,896 | (2 | ) | ||||||||||||
Put on 5-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.020% | 6-month EUR-EURIBOR | 04/07/22 | EUR | 1,340,000 | 17,169 | (7,133 | ) | ||||||||||||
Put on 5-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.035% | 6-month EUR-EURIBOR | 09/13/22 | EUR | 600,000 | 9,338 | (5,664 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||
Put on 5-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.115% | 6-month EUR-EURIBOR | 04/04/22 | EUR | 1,160,000 | $ | 14,671 | $ | (9,694 | ) | ||||||||||
Put on 5-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.138% | 6-month EUR-EURIBOR | 09/12/22 | EUR | 600,000 | 9,029 | (6,929 | ) | ||||||||||||
Put on 5-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.500% | 3-month USD-LIBOR | 09/22/20 | USD | 625,000 | 1,188 | (845 | ) | ||||||||||||
Put on 5-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 0.500% | 3-month USD-LIBOR | 09/24/20 | USD | 625,000 | 1,484 | (880 | ) | ||||||||||||
Put on 5-Year Interest Rate Swap(2) | Morgan Stanley & Co. International PLC | Receive | 0.605% | 3-month USD-LIBOR | 06/15/22 | USD | 1,540,000 | 23,100 | (21,535 | ) | ||||||||||||
$ | 2,014,133 | $ | (2,236,679 | ) |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||
Put Option-Max [0, Exercise Rate)- 5-Year Constant Maturity Swap] | Goldman Sachs International | 0.350% | Receive | 07/08/20 | USD 4,670,000 | $ | 3,853 | $ | — | ||||||||||
$ | 3,853 | $ | — |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||
Call Option-Max [0, 5-Year Constant Maturity Swap)-Exercise Rate] | Citibank N.A. | 0.300% | Pay | 02/14/22 | USD 17,550,000 | $ | 30,883 | $ | 66,307 | ||||||||||
$ | 30,883 | $ | 66,307 |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||
Put Option-Max [0, Exercise Rate)- 5-Year Constant Maturity Swap] | Goldman Sachs International | 0.250% | Receive | 07/08/20 | USD 9,330,000 | $ | 4,665 | $ | 0 | ||||||||||
$ | 4,665 | $ | 0 |
(1) | Portfolio receives the exercise rate semi-annually and pays the floating rate index semi-annually. |
(2) | Portfolio receives the exercise rate semi-annually and pays the floating rate index quarterly. |
(3) | Portfolio pays the exercise rate semi-annually and receives the floating rate index quarterly. |
(4) | Portfolio pays the exercise rate semi-annually and receives the floating rate index semi-annually. |
(5) | Portfolio receives the exercise rate annually and pays the floating rate index semi-annually. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||
Asset Derivatives | ||||||
Foreign exchange contracts | Investments in securities at value* | $ | 32,531 | |||
Interest rate contracts | Investments in securities at value* | 1,650,904 | ||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 223,964 | ||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 178,589 | ||||
Interest rate contracts | Net Assets- Unrealized appreciation*** | 4,094,850 | ||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 229,042 | ||||
Total Asset Derivatives | $ | 6,409,880 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 263,626 | |||
Interest rate contracts | Net Assets- Unrealized depreciation** | 147,941 | ||||
Interest rate contracts | Net Assets- Unrealized depreciation*** | 7,270,493 | ||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 87,054 | ||||
Interest rate contracts | Written options, at fair value | 2,339,593 | ||||
Total Liability Derivatives | $ | 10,108,707 |
* | Includes purchased options. |
** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table within the Portfolio of Investments. |
*** | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table within the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | Investments* | Forward foreign currency contracts | Futures | Swaps | Written options | Total | ||||||||||||||||||||||||
Foreign exchange contracts | $ | 152,369 | $ | (252,023 | ) | $ | — | $ | — | $ | — | $ | (99,654 | ) | ||||||||||||||||
Interest rate contracts | (313,002 | ) | — | 967,111 | (904,069 | ) | 236,135 | (13,825 | ) | |||||||||||||||||||||
Total | $ | (160,633 | ) | $ | (252,023 | ) | $ | 967,111 | $ | (904,069 | ) | $ | 236,135 | $ | (113,479 | ) |
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 | $ | 29,199 | $ | 217,765 | $ | — | $ | — | $ | 3,699 | $ | 250,663 | ||||||||||||||||||
Interest rate contracts | 462,356 | — | 191,650 | (3,441,085 | ) | (751,046 | ) | (3,538,125 | ) | |||||||||||||||||||||
Total | $ | 491,555 | $ | 217,765 | $ | 191,650 | $ | (3,441,085 | ) | $ | (747,347 | ) | $ | (3,287,462 | ) |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
ANZ Bank | Bank of America N.A. | Barclays Bank PLC | BNP Paribas | Citibank N.A. | Deutsche Bank AG | Goldman Sachs International | HSBC Bank PLC | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | NatWest Markets | The Bank of Montreal | UBS AG | Westpac Banking Corp. | Totals | ||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | — | $ | 810,734 | $ | — | $ | 296,846 | $ | 94,493 | $ | 30,624 | $ | — | $ | 327,955 | $ | 67,533 | $ | — | $ | — | $ | — | $ | — | $ | 1,628,185 | ||||||||||||||||||||||||||||||
Forward foreign currency contracts | 57,726 | 6,748 | 33,612 | 22,956 | 15,462 | 1,163 | 11,284 | 22,664 | — | — | 34,956 | 4,034 | 13,359 | — | 223,964 | |||||||||||||||||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | — | — | 195,926 | — | 33,116 | — | — | — | — | — | — | — | — | — | 229,042 | |||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 57,726 | $ | 6,748 | $ | 1,040,272 | $ | 22,956 | $ | 345,424 | $ | 95,656 | $ | 41,908 | $ | 22,664 | $ | 327,955 | $ | 67,533 | $ | 34,956 | $ | 4,034 | $ | 13,359 | $ | — | $ | 2,081,191 | ||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 57,548 | $ | 6,811 | $ | 5,490 | $ | 4,576 | $ | 11,377 | $ | 1,972 | $ | — | $ | 603 | $ | 44,314 | $ | 9,066 | $ | — | $ | 80 | $ | 45,727 | $ | 76,062 | 263,626 | |||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | — | — | — | — | 87,054 | — | — | — | — | — | — | — | — | — | 87,054 | |||||||||||||||||||||||||||||||||||||||||||||
Written options | — | — | 894,554 | 28,897 | 204,878 | 402,462 | 102,284 | — | 428,334 | 215,244 | — | — | — | — | 2,276,653 | |||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 57,548 | $ | 6,811 | $ | 900,044 | $ | 33,473 | $ | 303,309 | $ | 404,434 | $ | 102,284 | $ | 603 | $ | 472,648 | $ | 224,310 | $ | — | $ | 80 | $ | 45,727 | $ | 76,062 | $ | 2,627,333 | ||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | 178 | $ | (63 | ) | $ | 140,228 | $ | (10,517 | ) | $ | 42,115 | $ | (308,778 | ) | $ | (60,376 | ) | $ | 22,061 | $ | (144,693 | ) | $ | (156,777 | ) | $ | 34,956 | $ | 3,954 | $ | (32,368 | ) | $ | (76,062 | ) | (546,142 | ) | ||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | (70,000 | ) | $ | — | $ | (40,000 | ) | $ | 280,000 | $ | 60,376 | $ | — | $ | 98,000 | $ | 150,000 | $ | — | $ | — | $ | — | $ | — | $ | 478,376 | ||||||||||||||||||||||||||||
Net Exposure(1)(2) | $ | 178 | $ | (63 | ) | $ | 70,228 | $ | (10,517 | ) | $ | 2,115 | $ | (28,778 | ) | $ | — | $ | 22,061 | $ | (46,693 | ) | $ | (6,777 | ) | $ | 34,956 | $ | 3,954 | $ | (32,368 | ) | $ | (76,062 | ) | $ | (67,766 | ) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
(2) | At June 30, 2020, the Portfolio had pledged $80,000, in cash collateral to Goldman Sachs International. Excess cash collateral is not shown for financial reporting purposes. |
Cost for federal income tax purposes was $254,276,121. | ||||
Net unrealized appreciation consisted of: | ||||
Gross Unrealized Appreciation | $ | 27,894,541 | ||
Gross Unrealized Depreciation | (9,792,894 | ) | ||
Net Unrealized Appreciation | $ | 18,101,647 |
VY® BRANDYWINE GLOBAL- | SUMMARY PORTFOLIO OF INVESTMENTS |
BOND PORTFOLIO | ASOF JUNE 30, 2020 (UNAUDITED) |
as of June 30, 2020
(as a percentage of net assets)
Corporate Bonds/Notes | 63.6 | % | |||||
U.S. Treasury Obligations | 14.6 | % | |||||
U.S. Government Agency Obligations | 11.1 | % | |||||
Commercial Mortgage-Backed Securities | 3.8 | % | |||||
Collateralized Mortgage Obligations | 2.0 | % | |||||
Asset-Backed Securities | 0.3 | % | |||||
Municipal Bonds | 0.0 | % | |||||
Assets in Excess of Other Liabilities* | 4.6 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 63.6% | ||||||||||||||
Basic Materials: 5.3% | ||||||||||||||
11,110,000 | Freeport-McMoRan, Inc., 5.450%, 03/15/2043 | $ | 10,925,407 | 3.6 | ||||||||||
1,415,000 | Nucor Corp., 2.700%, 06/01/2030 | 1,487,404 | 0.5 | |||||||||||
2,610,000 | Steel Dynamics, Inc., 3.450%, 04/15/2030 | 2,733,330 | 0.9 | |||||||||||
770,000 | Other Securities | 832,863 | 0.3 | |||||||||||
15,979,004 | 5.3 | |||||||||||||
Communications: 1.5% | ||||||||||||||
2,360,000 | Comcast Corp., 2.800%, 01/15/2051 | 2,424,273 | 0.8 | |||||||||||
600,000 | Walt Disney Co/The, 4.625%, 03/23/2040 | 752,237 | 0.2 | |||||||||||
1,055,000 | Walt Disney Co/The, 4.700%, 03/23/2050 | 1,381,821 | 0.5 | |||||||||||
4,558,331 | 1.5 | |||||||||||||
Consumer, Cyclical: 2.7% | ||||||||||||||
1,070,000 | (1) | Delta Air Lines, Inc., 7.000%, 05/01/2025 | 1,105,651 | 0.4 | ||||||||||
2,020,000 | General Motors Co., 6.250%-6.800%, 10/01/2027–10/02/2043 | 2,243,502 | 0.7 | |||||||||||
1,645,000 | Southwest Airlines Co., 5.125%, 06/15/2027 | 1,707,879 | 0.6 | |||||||||||
2,590,000 | Other Securities | 3,112,105 | 1.0 | |||||||||||
8,169,137 | 2.7 | |||||||||||||
Consumer, Non-cyclical: 6.6% | ||||||||||||||
1,905,000 | Amgen, Inc., 3.150%, 02/21/2040 | 2,032,273 | 0.7 | |||||||||||
1,095,000 | Amgen, Inc., 3.375%, 02/21/2050 | 1,204,642 | 0.4 | |||||||||||
2,190,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 06/01/2050 | 2,622,733 | 0.9 | |||||||||||
775,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 06/01/2060 | 931,074 | 0.3 | |||||||||||
8,380,000 | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 10,597,914 | 3.5 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||||
460,000 | (1) | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | $ | 523,642 | 0.2 | |||||||||
150,000 | (1) | Bristol-Myers Squibb Co., 3.900%, 02/20/2028 | 176,604 | 0.1 | ||||||||||
1,235,000 | Other Securities | 1,529,644 | 0.5 | |||||||||||
19,618,526 | 6.6 | |||||||||||||
Energy: 7.4% | ||||||||||||||
3,980,000 | Apache Corp., 4.250%, 01/15/2044 | 3,001,569 | 1.0 | |||||||||||
2,100,000 | Concho Resources, Inc., 4.875%, 10/01/2047 | 2,369,553 | 0.8 | |||||||||||
1,035,000 | Exxon Mobil Corp., 3.452%, 04/15/2051 | 1,154,081 | 0.4 | |||||||||||
7,020,000 | (1) | Saudi Arabian Oil Co., 4.375%, 04/16/2049 | 7,950,631 | 2.6 | ||||||||||
1,780,000 | Total Capital International SA, 3.127%, 05/29/2050 | 1,822,193 | 0.6 | |||||||||||
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 554,854 | 0.2 | |||||||||||
6,485,000 | (1) | Petroleos Mexicanos, 7.690%, 01/23/2050 | 5,387,965 | 1.8 | ||||||||||
22,240,846 | 7.4 | |||||||||||||
Financial: 17.3% | ||||||||||||||
5,940,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 7,446,467 | 2.5 | ||||||||||
4,505,000 | Bank of Montreal, 0.761%, (SOFRRATE + 0.680%), 03/10/2023 | 4,477,346 | 1.5 | |||||||||||
3,780,000 | Canadian Imperial Bank of Commerce, 0.881%, (SOFRRATE + 0.800%), 03/17/2023 | 3,759,812 | 1.3 | |||||||||||
6,655,000 | (2) | Citigroup, Inc., 5.316%, 03/26/2041 | 9,073,376 | 3.0 | ||||||||||
1,750,000 | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 1,791,900 | 0.6 | |||||||||||
900,000 | (2) | JPMorgan Chase & Co., 3.109%, 04/22/2051 | 973,409 | 0.3 | ||||||||||
6,860,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 8,397,490 | 2.8 | ||||||||||
2,620,000 | (1) | Metropolitan Life Global Funding I, 0.624%, (SOFRRATE + 0.570%), 01/13/2023 | 2,604,514 | 0.9 | ||||||||||
290,000 | (1) | New York Life Insurance Co., 3.750%, 05/15/2050 | 327,707 | 0.1 | ||||||||||
1,280,000 | (1) | Teachers Insurance & Annuity Association of America, 3.300%, 05/15/2050 | 1,322,361 | 0.4 | ||||||||||
2,930,000 | Wells Fargo & Co., 2.016%, (US0003M + 1.025%), 07/26/2021 | 2,954,039 | 1.0 | |||||||||||
2,695,000 | (2) | Wells Fargo & Co., 4.478%, 04/04/2031 | 3,269,140 | 1.1 | ||||||||||
1,545,000 | (2) | Wells Fargo & Co., 5.013%, 04/04/2051 | 2,143,108 | 0.7 | ||||||||||
2,835,000 | Other Securities | 3,143,854 | 1.1 | |||||||||||
51,684,523 | 17.3 |
VY® BRANDYWINE GLOBAL- | SUMMARY PORTFOLIO OF INVESTMENTS |
BOND PORTFOLIO | ASOF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Industrial: 5.5% | ||||||||||||||
1,005,000 | Boeing Co/The, 5.930%, 05/01/2060 | $ | 1,192,557 | 0.4 | ||||||||||
2,745,000 | Boeing Co/The, 3.950%-5.805%, 05/01/2040- 08/01/2059 | 2,920,912 | 1.0 | |||||||||||
1,630,000 | FedEx Corp., 5.250%, 05/15/2050 | 1,998,142 | 0.7 | |||||||||||
3,695,000 | General Electric Co., 4.350%, 05/01/2050 | 3,667,973 | 1.2 | |||||||||||
1,035,000 | Northrop Grumman Corp., 5.150%-5.250%, 05/01/2040-05/01/2050 | 1,438,619 | 0.5 | |||||||||||
1,205,000 | Snap-on, Inc., 3.100%, 05/01/2050 | 1,242,973 | 0.4 | |||||||||||
480,000 | United Parcel Service, Inc., 5.200%, 04/01/2040 | 664,713 | 0.2 | |||||||||||
1,370,000 | United Parcel Service, Inc., 5.300%, 04/01/2050 | 1,965,783 | 0.7 | |||||||||||
1,135,000 | Other Securities | 1,394,972 | 0.4 | |||||||||||
16,486,644 | 5.5 | |||||||||||||
Technology: 14.1% | ||||||||||||||
5,495,000 | (1) | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 6,087,601 | 2.0 | ||||||||||
160,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 199,549 | 0.1 | |||||||||||
5,375,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 6,598,728 | 2.2 | |||||||||||
920,000 | Intel Corp., 4.750%, 03/25/2050 | 1,302,026 | 0.4 | |||||||||||
325,000 | Intel Corp., 4.950%, 03/25/2060 | 480,109 | 0.2 | |||||||||||
6,565,000 | International Business Machines Corp., 4.250%, 05/15/2049 | 8,232,821 | 2.7 | |||||||||||
7,790,000 | Micron Technology, Inc., 5.327%, 02/06/2029 | 9,330,587 | 3.1 | |||||||||||
1,105,000 | NVIDIA Corp., 3.500%, 04/01/2040-04/01/2050 | 1,290,226 | 0.4 | |||||||||||
2,105,000 | Oracle Corp., 3.600%, 04/01/2050 | 2,383,507 | 0.8 | |||||||||||
1,935,000 | Oracle Corp., 3.850%, 04/01/2060 | 2,276,252 | 0.8 | |||||||||||
2,665,000 | VMware, Inc., 4.700%, 05/15/2030 | 2,951,502 | 1.0 | |||||||||||
1,005,000 | Other Securities | 1,041,404 | 0.4 | |||||||||||
42,174,312 | 14.1 | |||||||||||||
Utilities: 3.2% | ||||||||||||||
2,800,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 2,966,250 | 1.0 | ||||||||||
1,680,000 | Consolidated Edison Co. of New York, Inc., 3.350%, 04/01/2030 | 1,915,765 | 0.6 | |||||||||||
475,000 | Consolidated Edison Co. of New York, Inc., 3.950%, 04/01/2050 | 567,852 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Utilities: (continued) | ||||||||||||||
2,955,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | $ | 3,331,765 | 1.1 | |||||||||
715,000 | Other Securities | 877,198 | 0.3 | |||||||||||
9,658,830 | 3.2 | |||||||||||||
Total Corporate Bonds/Notes (Cost $176,091,463) | 190,570,153 | 63.6 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.0% | ||||||||||||||
2,024,543 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 2,044,464 | 0.7 | ||||||||||
1,135,031 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 1,167,909 | 0.4 | ||||||||||
2,807,690 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 2,839,064 | 0.9 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $5,889,952) | 6,051,437 | 2.0 | ||||||||||||
MUNICIPAL BONDS: 0.0% | ||||||||||||||
Minnesota: 0.0% | ||||||||||||||
19,430 | Northstar Education Finance, Inc., 0.987%, (US0003M + 0.100%), 04/28/2030 | 19,418 | 0.0 | |||||||||||
Total Municipal Bonds (Cost $19,151) | 19,418 | 0.0 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 14.6% | ||||||||||||||
U.S. Treasury Notes: 14.6% | ||||||||||||||
43,875,000 | 0.264%, (USBMMY3M + 0.114%), 04/30/2022 | 43,908,663 | 14.6 | |||||||||||
Total U.S. Treasury Obligations (Cost $43,895,430) | 43,908,663 | 14.6 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(3): 11.1% | ||||||||||||||
Federal Home Loan Bank: 3.3% | ||||||||||||||
9,800,000 | 1.875%, 07/07/2021 | 9,967,372 | 3.3 | |||||||||||
Federal Home Loan Mortgage Corporation: 2.5% | ||||||||||||||
7,300,000 | 1.125%, 08/12/2021 | 7,378,621 | 2.5 | |||||||||||
Federal National Mortgage Association: 5.3% | ||||||||||||||
15,900,000 | 1.500%, 07/30/2020 | 15,917,863 | 5.3 | |||||||||||
Total U.S. Government Agency Obligations (Cost $32,991,285) | 33,263,856 | 11.1 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.8% | ||||||||||||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.165%, (US0001M + 0.980%), 05/15/2036 | 1,509,425 | 0.5 |
VY® BRANDYWINE GLOBAL- | SUMMARY PORTFOLIO OF INVESTMENTS |
BOND PORTFOLIO | ASOF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | ||||||||||||||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.782%, 10/25/2045 | $ | 9,798,220 | 3.3 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $11,127,346) | 11,307,645 | 3.8 | ||||||||||||
ASSET-BACKED SECURITIES: 0.3% | ||||||||||||||
Other Asset-Backed Securities: 0.3% | ||||||||||||||
720,000 | (1),(2) | Towd Point Mortgage Trust 2018-3 A2, 3.875%, 05/25/2058 | 771,518 | 0.3 | ||||||||||
Total Asset-Backed Securities (Cost $695,767) | 771,518 | 0.3 | ||||||||||||
Total Long-Term Investments (Cost $270,710,394) | 285,892,690 | 95.4 |
Shares | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 8.7% | ||||||||||||||
Mutual Funds: 8.7% | ||||||||||||||
26,090,689 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.100% (Cost $26,090,689) | 26,090,689 | 8.7 | ||||||||||
Total Short-Term Investments (Cost $26,090,689) | 26,090,689 | 8.7 | ||||||||||||
Total Investments in Securities (Cost $296,801,083) | $ | 311,983,379 | 104.1 | |||||||||||
Liabilities in Excess of Other Assets | (12,245,947 | ) | (4.1 | ) | ||||||||||
Net Assets | $ | 299,737,432 | 100.0 |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2020.
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) | Variable rate security. Rate shown is the rate in effect as of June 30, 2020. | |
(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) | Rate shown is the 7-day yield as of June 30, 2020. |
Reference Rate Abbreviations:
SOFRRATE Secured Overnight Financing Rate
US0001M 1-month LIBOR
US0003M 3-month LIBOR
USBMMY3M U.S. Treasury 3-month Bill Money Market Yield
VY® BRANDYWINE GLOBAL- | SUMMARY PORTFOLIO OF INVESTMENTS |
BOND PORTFOLIO | ASOF JUNE 30, 2020 (UNAUDITED) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2020 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 190,570,153 | $ | — | $ | 190,570,153 | ||||||||||||
Collateralized Mortgage Obligations | — | 6,051,437 | — | 6,051,437 | ||||||||||||||||
Municipal Bonds | — | 19,418 | — | 19,418 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 11,307,645 | — | 11,307,645 | ||||||||||||||||
U.S. Government Agency Obligations | — | 33,263,856 | — | 33,263,856 | ||||||||||||||||
Asset-Backed Securities | — | 771,518 | — | 771,518 | ||||||||||||||||
U.S. Treasury Obligations | — | 43,908,663 | — | 43,908,663 | ||||||||||||||||
Short-Term Investments | 26,090,689 | — | — | 26,090,689 | ||||||||||||||||
Total Investments, at fair value | $ | 26,090,689 | $ | 285,892,690 | $ | — | $ | 311,983,379 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Cost for federal income tax purposes was $296,823,332.
Net unrealized appreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 16,686,901 | ||||
Gross Unrealized Depreciation | (1,526,853 | ) | ||||
Net Unrealized Appreciation | $ | 15,160,048 |
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE | ![]() |
VPSAR-VIT3AIS (0620-082420) |
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not required for semi-annual filing.
Item 6. Schedule of Investments.
Complete schedule of investments filed herein.
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2020 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||
CORPORATE BONDS/NOTES: 63.6% | ||||
Basic Materials: 5.3% | ||||
11,110,000 | Freeport-McMoRan, Inc., 5.450%, 03/15/2043 | $ 10,925,407 | 3.6 | |
770,000 | LYB International Finance III LLC, 4.200%, 05/01/2050 | 832,863 | 0.3 | |
1,415,000 | Nucor Corp., 2.700%, 06/01/2030 | 1,487,404 | 0.5 | |
2,610,000 | Steel Dynamics, Inc., 3.450%, 04/15/2030 | 2,733,330 | 0.9 | |
15,979,004 | 5.3 | |||
Communications: 1.5% | ||||
2,360,000 | Comcast Corp., 2.800%, 01/15/2051 | 2,424,273 | 0.8 | |
600,000 | Walt Disney Co/The, 4.625%, 03/23/2040 | 752,237 | 0.2 | |
1,055,000 | Walt Disney Co/The, 4.700%, 03/23/2050 | 1,381,821 | 0.5 | |
4,558,331 | 1.5 | |||
Consumer, Cyclical: 2.7% | ||||
1,070,000 | (1) | Delta Air Lines, Inc., 7.000%, 05/01/2025 | 1,105,651 | 0.4 |
1,100,000 | General Motors Co., 6.250%, 10/02/2043 | 1,170,055 | 0.4 | |
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,073,447 | 0.3 | |
230,000 | Home Depot, Inc./The, 3.300%, 04/15/2040 | 261,744 | 0.1 | |
195,000 | Home Depot, Inc./The, 3.350%, 04/15/2050 | 223,461 | 0.1 | |
430,000 | Lowe's Cos, Inc., 5.125%, 04/15/2050 | 596,131 | 0.2 | |
170,000 | Lowe's Cos, Inc., 5.000%, 04/15/2040 | 221,586 | 0.1 | |
175,000 | McDonald's Corp., 3.600%, 07/01/2030 | 201,699 | 0.0 | |
235,000 | McDonald's Corp., 3.625%, 09/01/2049 | 261,634 | 0.1 | |
325,000 | McDonald's Corp., 4.200%, 04/01/2050 | 395,436 | 0.1 | |
205,000 | NIKE, Inc., 3.250%, 03/27/2040 | 231,466 | 0.1 | |
205,000 | NIKE, Inc., 3.375%, 03/27/2050 | 235,722 | 0.1 | |
1,645,000 | Southwest Airlines Co., 5.125%, 06/15/2027 | 1,707,879 | 0.6 | |
420,000 | Toyota Motor Credit Corp., 3.375%, 04/01/2030 | 483,226 | 0.1 | |
8,169,137 | 2.7 | |||
Consumer, Non-cyclical: 6.6% | ||||
1,905,000 | Amgen, Inc., 3.150%, 02/21/2040 | 2,032,273 | 0.7 | |
1,095,000 | Amgen, Inc., 3.375%, 02/21/2050 | 1,204,642 | 0.4 | |
2,190,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 06/01/2050 | 2,622,733 | 0.9 | |
775,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 06/01/2060 | 931,074 | 0.3 | |
8,380,000 | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 10,597,914 | 3.5 | |
460,000 | (1) | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | 523,642 | 0.2 |
150,000 | (1) | Bristol-Myers Squibb Co., 3.900%, 02/20/2028 | 176,604 | 0.1 |
185,000 | Coca-Cola Co/The, 4.125%, 03/25/2040 | 236,052 | 0.1 | |
305,000 | Coca-Cola Co/The, 4.200%, 03/25/2050 | 401,506 | 0.1 | |
325,000 | CVS Health Corp., 4.125%, 04/01/2040 | 384,636 | 0.1 | |
420,000 | CVS Health Corp., 4.250%, 04/01/2050 | 507,450 | 0.2 | |
19,618,526 | 6.6 | |||
Energy: 7.4% | ||||
3,980,000 | Apache Corp., 4.250%, 01/15/2044 | 3,001,569 | 1.0 | |
2,100,000 | Concho Resources, Inc., 4.875%, 10/01/2047 | 2,369,553 | 0.8 | |
1,035,000 | Exxon Mobil Corp., 3.452%, 04/15/2051 | 1,154,081 | 0.4 | |
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 554,854 | 0.2 | |
6,485,000 | (1) | Petroleos Mexicanos, 7.690%, 01/23/2050 | 5,387,965 | 1.8 |
7,020,000 | (1) | Saudi Arabian Oil Co., 4.375%, 04/16/2049 | 7,950,631 | 2.6 |
1,780,000 | Total Capital International SA, 3.127%, 05/29/2050 | 1,822,193 | 0.6 | |
22,240,846 | 7.4 | |||
Financial: 17.3% | ||||
920,000 | American International Group, Inc., 4.500%, 07/16/2044 | 1,074,651 | 0.4 | |
5,940,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 7,446,467 | 2.5 |
4,505,000 | Bank of Montreal, 0.761%, (SOFRRATE + 0.680%), 03/10/2023 | 4,477,346 | 1.5 | |
3,780,000 | Canadian Imperial Bank of Commerce, 0.881%, (SOFRRATE + 0.800%), 03/17/2023 | 3,759,812 | 1.3 | |
6,655,000 | (2) | Citigroup, Inc., 5.316%, 03/26/2041 | 9,073,376 | 3.0 |
520,000 | Fifth Third Bancorp, 2.550%, 05/05/2027 | 556,775 | 0.2 | |
1,750,000 | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 1,791,900 | 0.6 | |
900,000 | (2) | JPMorgan Chase & Co., 3.109%, 04/22/2051 | 973,409 | 0.3 |
6,860,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 8,397,490 | 2.8 |
2,620,000 | (1) | Metropolitan Life Global Funding I, 0.624%, (SOFRRATE + 0.570%), 01/13/2023 | 2,604,514 | 0.9 |
See Accompanying Notes to Financial Statements
1 |
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2020 (Unaudited) (Continued) |
1,085,000 | Nasdaq, Inc., 3.250%, 04/28/2050 | 1,139,707 | 0.4 | |
290,000 | (1) | New York Life Insurance Co., 3.750%, 05/15/2050 | 327,707 | 0.1 |
310,000 | Prudential Financial, Inc., 4.350%, 02/25/2050 | 372,720 | 0.1 | |
1,280,000 | (1) | Teachers Insurance & Annuity Association of America, 3.300%, 05/15/2050 | 1,322,361 | 0.4 |
2,930,000 | Wells Fargo & Co., 2.016%, (US0003M + 1.025%), 07/26/2021 | 2,954,040 | 1.0 | |
2,695,000 | (2) | Wells Fargo & Co., 4.478%, 04/04/2031 | 3,269,140 | 1.1 |
1,545,000 | (2) | Wells Fargo & Co., 5.013%, 04/04/2051 | 2,143,108 | 0.7 |
51,684,523 | 17.3 | |||
Industrial: 5.5% | ||||
640,000 | 3M Co., 3.700%, 04/15/2050 | 763,305 | 0.3 | |
940,000 | Boeing Co/The, 3.950%, 08/01/2059 | 824,905 | 0.3 | |
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 907,495 | 0.3 | |
1,005,000 | Boeing Co/The, 5.805%, 05/01/2050 | 1,188,512 | 0.4 | |
1,005,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,192,557 | 0.4 | |
155,000 | Burlington Northern Santa Fe LLC, 4.700%, 09/01/2045 | 207,322 | 0.1 | |
1,630,000 | FedEx Corp., 5.250%, 05/15/2050 | 1,998,142 | 0.7 | |
340,000 | General Dynamics Corp., 4.250%, 04/01/2040 | 424,345 | 0.1 | |
3,695,000 | General Electric Co., 4.350%, 05/01/2050 | 3,667,973 | 1.2 | |
515,000 | Northrop Grumman Corp., 5.150%, 05/01/2040 | 687,614 | 0.2 | |
520,000 | Northrop Grumman Corp., 5.250%, 05/01/2050 | 751,005 | 0.2 | |
1,205,000 | Snap-on, Inc., 3.100%, 05/01/2050 | 1,242,973 | 0.4 | |
480,000 | United Parcel Service, Inc., 5.200%, 04/01/2040 | 664,713 | 0.2 | |
1,370,000 | United Parcel Service, Inc., 5.300%, 04/01/2050 | 1,965,783 | 0.7 | |
16,486,644 | 5.5 | |||
Technology: 14.1% | ||||
1,005,000 | Apple, Inc., 2.650%, 05/11/2050 | 1,041,404 | 0.3 | |
5,495,000 | (1) | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 6,087,601 | 2.0 |
160,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 199,550 | 0.1 | |
5,375,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 6,598,728 | 2.2 | |
920,000 | Intel Corp., 4.750%, 03/25/2050 | 1,302,025 | 0.4 | |
325,000 | Intel Corp., 4.950%, 03/25/2060 | 480,109 | 0.2 | |
6,565,000 | International Business Machines Corp., 4.250%, 05/15/2049 | 8,232,821 | 2.7 | |
7,790,000 | Micron Technology, Inc., 5.327%, 02/06/2029 | 9,330,587 | 3.1 | |
435,000 | NVIDIA Corp., 3.500%, 04/01/2040 | 509,311 | 0.2 | |
670,000 | NVIDIA Corp., 3.500%, 04/01/2050 | 780,914 | 0.3 | |
2,105,000 | Oracle Corp., 3.600%, 04/01/2050 | 2,383,508 | 0.8 | |
1,935,000 | Oracle Corp., 3.850%, 04/01/2060 | 2,276,252 | 0.8 | |
2,665,000 | VMware, Inc., 4.700%, 05/15/2030 | 2,951,502 | 1.0 | |
42,174,312 | 14.1 | |||
Utilities: 3.2% | ||||
2,800,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 2,966,250 | 1.0 |
1,680,000 | Consolidated Edison Co. of New York, Inc., 3.350%, 04/01/2030 | 1,915,765 | 0.6 | |
475,000 | Consolidated Edison Co. of New York, Inc., 3.950%, 04/01/2050 | 567,852 | 0.2 | |
295,000 | Exelon Corp., 4.050%, 04/15/2030 | 341,244 | 0.1 | |
420,000 | Exelon Corp., 4.700%, 04/15/2050 | 535,954 | 0.2 | |
2,955,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | 3,331,765 | 1.1 |
9,658,830 | 3.2 | |||
Total Corporate Bonds/Notes | ||||
(Cost $176,091,463) | 190,570,153 | 63.6 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.0% | ||||
2,024,543 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 2,044,464 | 0.7 |
1,135,031 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 1,167,909 | 0.4 |
2,807,690 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 2,839,064 | 0.9 |
Total Collateralized Mortgage Obligations | ||||
(Cost $5,889,952) | 6,051,437 | 2.0 |
2 |
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2020 (Unaudited) (Continued) |
MUNICIPAL BONDS: 0.0% | |||||
Minnesota: 0.0% | |||||
19,430 | Northstar Education Finance, Inc., 0.987%, (US0003M + 0.100%), 04/28/2030 | 19,418 | 0.0 | ||
Total Municipal Bonds | |||||
(Cost $19,151) | 19,418 | 0.0 | |||
U.S. TREASURY OBLIGATIONS: 14.6% | |||||
U.S. Treasury Notes: 14.6% | |||||
43,875,000 | 0.264%, (USBMMY3M + 0.114%),04/30/2022 | 43,908,663 | 14.6 | ||
Total U.S. Treasury Obligations | |||||
(Cost $43,895,430) | 43,908,663 | 14.6 | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 11.1% | |||||
Federal Home Loan Bank: 3.3% | |||||
9,800,000 | 1.875%,07/07/2021 | 9,967,372 | 3.3 | ||
Federal Home Loan Mortgage Corporation: 2.5%(3) | |||||
7,300,000 | 1.125%,08/12/2021 | 7,378,621 | 2.5 | ||
Federal National Mortgage Association: 5.3%(3) | |||||
15,900,000 | 1.500%,07/30/2020 | 15,917,863 | 5.3 | ||
Total U.S. Government Agency Obligations | |||||
(Cost $32,991,285) | 33,263,856 | 11.1 | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.8% | |||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.165%, (US0001M + 0.980%), 05/15/2036 | 1,509,425 | 0.5 | |
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.782%, 10/25/2045 | 9,798,220 | 3.3 | |
Total Commercial Mortgage-Backed Securities | |||||
(Cost $11,127,346) | 11,307,645 | 3.8 | |||
ASSET-BACKED SECURITIES: 0.3% | |||||
Other Asset-Backed Securities: 0.3% | |||||
720,000 | (1),(2) | Towd Point Mortgage Trust 2018-3 A2, 3.875%, 05/25/2058 | 771,518 | 0.3 | |
Total Asset-Backed Securities | |||||
(Cost $695,767) | 771,518 | 0.3 | |||
Total Long-Term Investments | |||||
(Cost $270,710,394) | 285,892,690 | 95.4 | |||
Shares | Value | Percentage of Net Assets | |||
SHORT-TERM INVESTMENTS: 8.7% | |||||
Mutual Funds: 8.7% | |||||
26,090,689 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.100% | |||
(Cost $26,090,689) | 26,090,689 | 8.7 | |||
Total Short-Term Investments | |||||
(Cost $26,090,689) | 26,090,689 | 8.7 | |||
Total Investments in Securities (Cost $296,801,083) | $ 311,983,379 | 104.1 | |||
Liabilities in Excess of Other Assets | (12,245,947) | (4.1) | |||
Net Assets | $ 299,737,432 | 100.0 | |||
† | 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) | Variable rate security. Rate shown is the rate in effect as of June 30, 2020. |
(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) | Rate shown is the 7-day yield as of June 30, 2020. |
Reference Rate Abbreviations:
SOFRRATE | Secured Overnight Financing Rate |
US0001M | 1-month LIBOR |
US0003M | 3-month LIBOR |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
See Accompanying Notes to Financial Statements
3 |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | The Code of Ethics is not required for the semi-annual filing. |
(a)(3) | Not required for semi-annual filing. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust | ||
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer | ||
Date: | September 8, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer | ||
Date: | September 8, 2020 | |
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer | ||
Date: | September 8, 2020 |