UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: December 31
Date of reporting period: December 31, 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):
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Voya Investors Trust | Voya Variable Insurance Trust | |
■ VY® BlackRock Inflation Protected Bond Portfolio Classes ADV, I and S | ■ VY® BrandywineGLOBAL — Bond Portfolio |
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 annual report, are not 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. |
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT voyainvestments.com | ![]() |
TABLE OF CONTENTS
President’s Letter | 1 | |
Portfolio Mangers’ Reports | 3 | |
Shareholder Expense Examples | 9 | |
Report of Independent Registered Public Accounting Firm | 10 | |
Statements of Assets and Liabilities | 11 | |
Statements of Operations | 13 | |
Statements of Changes in Net Assets | 14 | |
Financial Highlights | 15 | |
Notes to Financial Statements | 16 | |
Summary Portfolios of Investments (“Portfolio of Investments”) | 29 | |
Tax Information | 50 | |
Trustee and Officer Information | 51 | |
Advisory and Sub-Advisory Contract Approval Discussion | 55 |
PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available: (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the Portfolios’ website at www.voyainvestments.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Portfolios’ website at www.voyainvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. This report contains a summary portfolio of investments for the Portfolios. The Portfolios’ Forms NPORT-P are available on the SEC’s website at www.sec.gov. Each Portfolio’s complete schedule of portfolio holdings is available at: www.voyainvestments.com and without charge upon request from the Portfolio by calling Shareholder Services toll-free at (800) 992-0180.
PRESIDENT’S LETTER
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President
Voya Family of Funds
January 22, 2021
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and the Voya mutual funds disclaim any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for a Voya mutual fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any Voya mutual fund. Reference to specific company securities should not be construed as recommendations or investment advice. International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
Index | Description | |
Bloomberg Barclays U.S. Aggregate Bond Index | An index of publicly issued investment grade U.S. government, mortgage-backed, asset-backed and corporate debt securities. | |
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index | A market index comprised of all U.S. Treasury Inflation Linked Securities. |
PORTFOLIO MANAGERS’ REPORT | VY® BLACKROCK INFLATION PROTECTED |
Investment Type Allocation as of December 31, 2020 (as a percentage of net assets) | ||||
U.S. Treasury Obligations | 52.3 | % | ||
Corporate Bonds/Notes | 24.9 | % | ||
U.S. Government Agency Obligations | 7.9 | % | ||
Sovereign Bonds | 6.0 | % | ||
Commercial Mortgage-Backed Securities | 1.5 | % | ||
Asset-Backed Securities | 0.4 | % | ||
Purchased Options | 0.4 | % | ||
Municipal Bonds** | 0.0 | % | ||
Assets in Excess of Other Liabilities* | 6.6 | % | ||
Net Assets | 100.0 | % | ||
* Includes short-term investments. | ||||
** Amount is less than 0.05%. | ||||
Portfolio holdings are subject to change daily. |
VY® BlackRock Inflation Protected Bond Portfolio (the “Portfolio”) seeks to maximize real return, consistent with preservation of real capital and prudent investment management. The Portfolio is managed by Chris Allen, Managing Director and Akiva Dickstein, Managing Director, Portfolio Managers of BlackRock Financial Management, Inc. — the Sub-Adviser.
Performance: For the year ended December 31, 2020, the Portfolio’s Class I shares provided a total return of 11.15% compared to the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (“TIPS”) Index, which returned 10.99% for the same period.
Portfolio Specifics: The Portfolio was broadly positioned for a risk-on, reflationary environment entering 2020. The pandemic induced a sharp rally in U.S. rates over the first quarter of 2020 that negatively impacting the portfolio management team’s structural bias to being underweight U.S. nominal rates. However, we believe the easing of political and vaccine uncertainties in the second half of 2020 helped risk assets to stage a strong comeback. The U.S. election outcome and the commencement of mass inoculation added fuel to the reflationary outlook, resulting in a sell-off in U.S. nominal rates. The outbreak induced economic uncertainty that lowered inflation expectations worldwide, alongside the broader flight-to-quality move in the first quarter. This hurt the performance of the Portfolio’s long breakeven expressions in Japan, Italy, and Germany. The strong retracement in breakeven levels in the U.S., along with peripheral European countries and New Zealand, helped offset the losses from early in the year. The shift by central banks globally to ultra-dovish monetary alongside coordinated fiscal support supported the Portfolio’s allocation to spread assets. The Portfolio benefitted from overweight allocations in investment-grade credit, emerging market debt, and collateralized mortgage-backed securities.
Top Ten Holdings as of December 31, 2020* (as a percentage of net assets) | |||
United States Treasury Inflation Indexed Bonds, 0.375%, 07/15/27 | 3.5 | % | |
United States Treasury Inflation Indexed Bonds, 0.500%, 01/15/28 | 3.3 | % | |
United States Treasury Inflation Indexed Bonds, 0.750%, 07/15/28 | 3.3 | % | |
United States Treasury Inflation Indexed Bonds, 0.375%, 01/15/27 | 3.2 | % | |
United States Treasury Inflation Indexed Bonds, 0.125%, 07/15/30 | 3.0 | % | |
United States Treasury Inflation Indexed Bonds, 0.625%, 01/15/26 | 3.0 | % | |
Fannie Mae, 2.625%, 09/06/24 | 2.6 | % | |
United States Treasury Inflation Indexed Bonds, 0.125%, 07/15/26 | 2.3 | % | |
United States Treasury Inflation Indexed Bonds, 0.750%, 02/15/45 | 2.2 | % | |
United States Treasury Inflation Indexed Bonds, 0.750%, 02/15/42 | 2.0 | % | |
* Excludes short-term investments. | |||
Portfolio holdings are subject to change daily. |
VY® BLACKROCK INFLATION PROTECTED | PORTFOLIO MANAGERS’ REPORT |
quarter after a turbulent year of trade negotiations that led to a seesaw in risk sentiment. This brings a marked end to the four-year Brexit saga.
PORTFOLIO MANAGERS’ REPORT | VY® BLACKROCK INFLATION PROTECTED |
The views expressed in this commentary are informed opinions. They should not be considered promises or advice. The views expressed reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
VY® BLACKROCK INFLATION PROTECTED | PORTFOLIO MANAGERS’ REPORT |
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Average Annual Total Returns for the Periods Ended December 31, 2020 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | ||||||||||||||
Class ADV | 10.65 | % | 4.15 | % | 2.71 | % | ||||||||||
Class I | 11.15 | % | 4.75 | % | 3.31 | % | ||||||||||
Class S | 10.95 | % | 4.50 | % | 3.07 | % | ||||||||||
TIPS Index | 10.99 | % | 5.08 | % | 3.81 | % |
PORTFOLIO MANAGERS’ REPORT | VY® BRANDYWINEGLOBAL — |
Investment Type Allocation as of December 31, 2020 (as a percentage of net assets) | |||
Corporate Bonds/Notes | 54.9 | % | |
U.S. Treasury Obligations | 28.1 | % | |
U.S. Government Agency Obligations | 5.4 | % | |
Commercial Mortgage-Backed Securities | 3.5 | % | |
Collateralized Mortgage Obligations | 1.5 | % | |
Asset-Backed Securities | 0.3 | % | |
Assets in Excess of Other Liabilities* | 6.3 | % | |
Net Assets | 100.0 | % | |
* Includes short-term investments. | |||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2020 (as a percentage of net assets) | |||
United States Treasury Floating Rate Note, 0.209%, 04/30/22 | 11.4 | % | |
United States Treasury Floating Rate Note, 0.150%, 07/31/22 | 9.9 | % | |
United States Treasury Floating Rate Note, 0.150%, 10/31/22 | 6.8 | % | |
Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/39 | 3.2 | % | |
Federal Home Loan Banks, 1.875%, 07/07/21 | 3.1 | % | |
FREMF 2012-K23 B Mortgage Trust, 3.656%, 10/25/45 | 3.0 | % | |
Freeport-McMoRan, Inc., 5.450%, 03/15/43 | 2.7 | % | |
International Business Machines Corp., 4.250%, 05/15/49 | 2.5 | % | |
JPMorgan Chase & Co., 4.493%, 03/24/31 | 2.5 | % | |
Freddie Mac, 1.125%, 08/12/21 | 2.3 | % | |
Portfolio holdings are subject to change daily. |
* | Effective July 31, 2020, the Investment Adviser entered into a new sub-advisory agreement with Brandywine Global Investment Management, LLC due to a change in control of Legg Mason Inc., its parent company. The new sub-advisory agreement includes the same terms and same portfolio management teams as was in place under the Portfolio’s previous agreement. | |
** | Effective December 31, 2020, Stephen S. Smith stepped down from the portfolio management team and no longer serves as a portfolio manager of the Portfolio. Mr. Smith has transitioned to an advisory role at Brandywine. |
The views expressed in this commentary are informed opinions. They should not be considered promises or advice. The views expressed reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
VY® BRANDYWINEGLOBAL — BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
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Average Annual Total Returns for the Periods Ended December 31, 2020 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | Since Inception February 20, 2015 | ||||||||||||||
VY® BrandywineGLOBAL - Bond Portfolio | 17.47 | % | 6.10 | % | 5.22 | % | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | % | 4.44 | % | 3.79 | % |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
Beginning Account Value July 1, 2020 | Ending Account Value December 31, 2020 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2020* | Beginning Account Value July 1, 2020 | Ending Account Value December 31, 2020 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2020* | ||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,050.20 | 1.22 | % | $ | 6.29 | $ | 1,000.00 | $ | 1,019.00 | 1.22 | % | $ | 6.19 | |||||||||||||||||||
Class I | 1,000.00 | 1,052.80 | 0.62 | 3.20 | 1,000.00 | 1,022.02 | 0.62 | 3.15 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,052.10 | 0.87 | 4.49 | 1,000.00 | 1,020.76 | 0.87 | 4.42 | |||||||||||||||||||||||||||
VY® BrandywineGLOBAL — Bond Portfolio | |||||||||||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,077.30 | 0.58 | % | $ | 3.03 | $ | 1,000.00 | $ | 1,022.22 | 0.58 | % | $ | 2.95 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year. |
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February 24, 2021
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | ||||||||
---|---|---|---|---|---|---|---|---|---|
ASSETS: | |||||||||
Investments in securities at fair value* | $ | 279,600,220 | $ | 298,526,408 | |||||
Short-term investments at fair value† | 14,416,461 | 1,927,459 | |||||||
Cash collateral for futures contracts | 10,114 | 2,658,881 | |||||||
Cash pledged for centrally cleared swaps (Note 2) | 4,000,490 | — | |||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 300,000 | — | |||||||
Foreign currencies at value‡ | 204,791 | — | |||||||
Receivables: | |||||||||
Investment securities sold | 1,613,603 | 14,478,151 | |||||||
Fund shares sold | 2,133,417 | 98,000 | |||||||
Dividends | 145 | 280 | |||||||
Interest | 1,059,171 | 2,078,288 | |||||||
Unrealized appreciation on forward foreign currency contracts | 4,043 | — | |||||||
Unrealized appreciation on OTC swap agreements | 760,867 | — | |||||||
Variation margin receivable on centrally cleared swaps | 69,898 | — | |||||||
Prepaid expenses | 1,235 | 946 | |||||||
Other assets | 17,771 | 5,621 | |||||||
Total assets | 304,192,226 | 319,774,034 | |||||||
LIABILITIES: | |||||||||
Payable for investment securities purchased | 1,868,483 | — | |||||||
Payable for fund shares redeemed | 46,501 | 825,142 | |||||||
Unrealized depreciation on forward foreign currency contracts | 241,343 | — | |||||||
Unrealized depreciation on OTC swap agreements | 461 | — | |||||||
Cash received as collateral for OTC derivatives (Note 2) | 910,000 | — | |||||||
Payable for investment management fees | 123,697 | 158,091 | |||||||
Payable for distribution and shareholder service fees | 56,975 | — | |||||||
Payable to trustees under the deferred compensation plan (Note 6) | 17,771 | 5,621 | |||||||
Payable for trustee fees | 1,409 | 1,412 | |||||||
Other accrued expenses and liabilities | 109,327 | 118,396 | |||||||
Written options, at fair valueˆ | 1,314,217 | — | |||||||
Total liabilities | 4,690,184 | 1,108,662 | |||||||
NET ASSETS | $ | 299,502,042 | $ | 318,665,372 | |||||
NET ASSETS WERE COMPRISED OF: | |||||||||
Paid-in capital | $ | 343,857,818 | $ | 273,281,851 | |||||
Total distributable earnings (loss) | (44,355,776 | ) | 45,383,521 | ||||||
NET ASSETS | $ | 299,502,042 | $ | 318,665,372 | |||||
* Cost of investments in securities | $ | 254,134,686 | $ | 280,217,441 | |||||
† Cost of short-term investments | $ | 14,416,461 | $ | 1,927,459 | |||||
‡ Cost of foreign currencies | $ | 202,123 | $ | — | |||||
ˆ Premiums received on written options | $ | 1,529,705 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | |||||||
---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||
Net assets | $ | 47,352,416 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 4,608,276 | n/a | ||||||
Net asset value and redemption price per share | $ | 10.28 | n/a | |||||
Class I | ||||||||
Net assets | $ | 92,766,513 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 8,682,526 | n/a | ||||||
Net asset value and redemption price per share | $ | 10.68 | n/a | |||||
Class S | ||||||||
Net assets | $ | 159,383,113 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 15,038,126 | n/a | ||||||
Net asset value and redemption price per share | $ | 10.60 | n/a | |||||
Portfolio(1) | ||||||||
Net assets | n/a | $ | 318,665,372 | |||||
Shares authorized | n/a | unlimited | ||||||
Par value | n/a | $ | 0.001 | |||||
Shares outstanding | n/a | 26,480,996 | ||||||
Net asset value and redemption price per share | n/a | $ | 12.03 |
(1) Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | ||||||||
---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | |||||||||
Dividends | $ | 12,706 | $ | 34,911 | |||||
Interest, net of foreign taxes withheld* | 4,870,353 | 7,045,669 | |||||||
Total investment income | 4,883,059 | 7,080,580 | |||||||
EXPENSES: | |||||||||
Investment management fees | 1,509,070 | 1,412,589 | |||||||
Distribution and shareholder service fees: | |||||||||
Class ADV | 272,049 | — | |||||||
Class S | 377,122 | — | |||||||
Transfer agent fees (Note 6): | 1,455 | ||||||||
Class ADV | 11,912 | — | |||||||
Class I | 22,519 | — | |||||||
Class S | 39,635 | — | |||||||
Shareholder reporting expense | 32,445 | 15,586 | |||||||
Professional fees | 65,597 | 90,832 | |||||||
Custody and accounting expense | 140,245 | 43,485 | |||||||
Trustee fees | 11,273 | 11,301 | |||||||
Miscellaneous expense | 15,366 | 8,818 | |||||||
Interest expense | 199 | 155 | |||||||
Total expenses | 2,497,432 | 1,584,221 | |||||||
Recouped/(Waived and reimbursed fees) | (112,726 | ) | 60,421 | ||||||
Net expenses | 2,384,706 | 1,644,642 | |||||||
Net investment income | 2,498,353 | 5,435,938 | |||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||
Net realized gain (loss) on: | |||||||||
Investments | 9,117,255 | 19,573,696 | |||||||
Forward foreign currency contracts | (1,053,595 | ) | — | ||||||
Foreign currency related transactions | (95,200 | ) | — | ||||||
Futures | 909,161 | 1,715,341 | |||||||
Swaps | (800,441 | ) | — | ||||||
Written options | 793,385 | — | |||||||
Net realized gain | 8,870,565 | 21,289,037 | |||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||
Investments | 16,563,738 | 17,806,167 | |||||||
Forward foreign currency contracts | 20,127 | — | |||||||
Foreign currency related transactions | (52,176 | ) | — | ||||||
Futures | 223,237 | 378,359 | |||||||
Swaps | 1,534,471 | — | |||||||
Written options | (250,662 | ) | — | ||||||
Net change in unrealized appreciation (depreciation) | 18,038,735 | 18,184,526 | |||||||
Net realized and unrealized gain | 26,909,300 | 39,473,563 | |||||||
Increase in net assets resulting from operations | $ | 29,407,653 | $ | 44,909,501 | |||||
* Foreign taxes withheld | $ | 104 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | |||||||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||||||||||
FROM OPERATIONS: | ||||||||||||||||||||
Net investment income | $ | 2,498,353 | $ | 4,538,326 | $ | 5,435,938 | $ | 4,456,750 | ||||||||||||
Net realized gain | 8,870,565 | 2,975,651 | 21,289,037 | 10,395,524 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | 18,038,735 | 13,446,499 | 18,184,526 | 2,714,705 | ||||||||||||||||
Increase in net assets resulting from operations | 29,407,653 | 20,960,476 | 44,909,501 | 17,566,979 | ||||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||
Total distributions (excluding return of capital): | (7,776,746 | ) | (3,417,729 | ) | ||||||||||||||||
Class ADV | (369,573 | ) | (858,621 | ) | — | — | ||||||||||||||
Class I | (1,038,565 | ) | (1,810,500 | ) | — | — | ||||||||||||||
Class S | (1,464,646 | ) | (3,314,035 | ) | — | — | ||||||||||||||
Return of capital: | ||||||||||||||||||||
Class ADV | (258,130 | ) | — | — | — | |||||||||||||||
Class I | (465,220 | ) | — | — | — | |||||||||||||||
Class S | (834,668 | ) | — | — | — | |||||||||||||||
Total distributions | (4,430,802 | ) | (5,983,156 | ) | (7,776,746 | ) | (3,417,729 | ) | ||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||
Net proceeds from sale of shares | 59,965,213 | 68,026,433 | 216,779,069 | 43,513,332 | ||||||||||||||||
Reinvestment of distributions | 4,430,802 | 5,983,156 | 7,776,746 | 3,417,729 | ||||||||||||||||
64,396,015 | 74,009,589 | 224,555,815 | 46,931,061 | |||||||||||||||||
Cost of shares redeemed | (67,828,595 | ) | (49,588,217 | ) | (125,915,207 | ) | (72,346,903 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (3,432,580 | ) | 24,421,372 | 98,640,608 | (25,415,842 | ) | ||||||||||||||
Net increase (decrease) in net assets | 21,544,271 | 39,398,692 | 135,773,363 | (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 | $ | 299,502,042 | $ | 277,957,771 | $ | 318,665,372 | $ | 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 | ||||||||||||||||||||||||||||||||||||||
12-31-20 | 9.42 | 0.05 | 0.95 | 1.00 | 0.08 | — | 0.06 | 0.14 | — | 10.28 | 10.65 | 1.26 | 1.22 | 1.22 | 0.52 | 47,352 | 87 | |||||||||||||||||||||
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 | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||
12-31-20 | 9.78 | 0.12 | 0.97 | 1.09 | 0.13 | — | 0.06 | 0.19 | — | 10.68 | 11.15 | 0.66 | 0.62 | 0.62 | 1.11 | 92,767 | 87 | |||||||||||||||||||||
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 | |||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||
12-31-20 | 9.70 | 0.09 | 0.97 | 1.06 | 0.10 | — | 0.06 | 0.16 | — | 10.60 | 10.95 | 0.91 | 0.87 | 0.87 | 0.86 | 159,383 | 87 | |||||||||||||||||||||
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 | |||||||||||||||||||||
VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||||||||||||||||||||||||||||||
12-31-20 | 10.51 | 0.22 | • | 1.59 | 1.81 | 0.21 | 0.08 | — | 0.29 | — | 12.03 | 17.47 | 0.56 | 0.58 | 0.58 | 1.92 | 318,665 | 134 | ||||||||||||||||||||
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 |
(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. | |
• | Calculated using average number of shares outstanding throughout the year or period. |
(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. |
Purchased | Sold | |||||||
---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 65,299,729 | $ | 24,491,238 | ||||
Bond Portfolio | — | 57,695,438 |
Purchased | Written | |||||||
---|---|---|---|---|---|---|---|---|
Inflation rate caps | $ | 14,922,000 | $ | 14,922,000 | ||||
Inflation rate floors | 7,756,667 | 15,503,333 |
Purchases | Sales | |||||||
---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 97,614,412 | $ | 103,339,421 | ||||
Bond Portfolio | 242,165,725 | 146,654,877 |
Purchases | Sales | |||||||
---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 139,960,401 | $ | 145,380,627 | ||||
Bond Portfolio | 206,164,286 | 199,431,341 |
NOTE 4 — INVESTMENT MANAGEMENT FEES
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(2) |
(2) | Effective July 31, 2020, the Investment Adviser entered into a new sub-advisory agreement with Brandywine Global Investment Management, LLC due to a change in control of Legg Mason, Inc., its parent company. The new sub-advisory agreement includes the same terms and same portfolio management team as the previous agreement. |
(continued)
Subsidiary/Affiliated Investment Company | Portfolio | Percentage | |||
---|---|---|---|---|---|
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 17.36 | % | ||
Voya Solution 2025 Portfolio | Bond Portfolio | 17.84 | |||
Voya Solution 2035 Portfolio | Bond Portfolio | 8.39 | |||
Voya Solution Income Portfolio | Bond Portfolio | 13.41 |
Portfolio | Amount | ||
---|---|---|---|
BlackRock Inflation Protected Bond | $73,034 | ||
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% |
December 31, | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 2021 | 2022 | 2023 | Total | |||||||||||||
Bond Portfolio | $ | 271,640 | $ | 46,992 | $ | — | $ | 318,632 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | 4 | $ | 1,660,500 | 1.08 | % | |||||||
Bond Portfolio | 1 | 3,402,000 | 1.29 |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2020 | 577,915 | — | 63,818 | (796,757 | ) | (155,024 | ) | 5,686,844 | — | 627,703 | (7,736,821 | ) | (1,422,274 | ) | ||||||||||||||||||||||||||||
12/31/2019 | 318,553 | — | 93,232 | (580,639 | ) | (168,854 | ) | 2,939,064 | — | 858,622 | (5,353,509 | ) | (1,555,823 | ) | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2020 | 3,301,547 | — | 146,726 | (3,843,806 | ) | (395,533 | ) | 33,787,048 | — | 1,503,785 | (38,878,240 | ) | (3,587,407 | ) | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2020 | 2,037,324 | — | 225,742 | (2,105,881 | ) | 157,185 | 20,491,321 | — | 2,299,314 | (21,213,534 | ) | 1,577,101 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2020 | 19,460,953 | — | 684,573 | (11,060,737 | ) | 9,084,789 | 216,779,069 | — | 7,776,746 | (125,915,207 | ) | 98,640,608 | ||||||||||||||||||||||||||||||
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 | ) |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||||
Ordinary Income | Return of Capital | Ordinary Income | ||||||||||
BlackRock Inflation Protected Bond | $ | 2,872,784 | $ | 1,558,018 | $ | 5,983,156 | ||||||
Bond Portfolio | 7,776,746 | — | 3,417,729 |
Undistributed Ordinary | Undistributed Long-Term | Unrealized Appreciation/ | Capital Loss Carryforwards | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Income | Capital Gains | (Depreciation) | Amount | Character | Expiration | ||||||||||||||||
BlackRock Inflation Protected Bond | $ | — | $ | — | $ | 27,393,950 | $ | (4,898,384 | ) | Short-term | None | ||||||||||
(66,071,834 | ) | Long-term | None | ||||||||||||||||||
$ | (70,970,218 | ) | |||||||||||||||||||
Bond Portfolio | 24,047,353 | 3,030,365 | 18,308,967 | $ | — | — | — |
(“LIBOR”) (continued)
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 24.9% | ||||||||||||||
Communications: 0.7% | ||||||||||||||
1,000,000 | Alibaba Group Holding Ltd., 3.125%, 11/28/2021 | $ | 1,019,854 | 0.3 | ||||||||||
616,000 | (1) | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 702,117 | 0.2 | ||||||||||
434,000 | Other Securities | 485,553 | 0.2 | |||||||||||
2,207,524 | 0.7 | |||||||||||||
Consumer, Cyclical: 1.9% | ||||||||||||||
1,750,000 | American Honda Finance Corp., 0.650%–2.600%, 11/16/2022–09/08/2023 | 1,797,891 | 0.6 | |||||||||||
3,000,000 | (1) | BMW US Capital LLC, 3.800%, 04/06/2023 | 3,222,859 | 1.1 | ||||||||||
150,000 | (1) | Daimler Finance North America LLC, 2.125%, 03/10/2025 | 157,727 | 0.0 | ||||||||||
570,000 | Other Securities | 592,528 | 0.2 | |||||||||||
5,771,005 | 1.9 | |||||||||||||
Consumer, Non-cyclical: 1.1% | ||||||||||||||
2,500,000 | Philip Morris International, Inc., 2.625%, 03/06/2023 | 2,625,950 | 0.9 | |||||||||||
444,000 | Other Securities | 498,087 | 0.2 | |||||||||||
3,124,037 | 1.1 | |||||||||||||
Energy: 0.9% | ||||||||||||||
1,550,000 | BP Capital Markets PLC, 3.561%, 11/01/2021 | 1,591,715 | 0.5 | |||||||||||
1,000,000 | (1) | Schlumberger Finance Canada Ltd., 2.650%, 11/20/2022 | 1,037,896 | 0.3 | ||||||||||
135,000 | Other Securities | 157,510 | 0.1 | |||||||||||
2,787,121 | 0.9 | |||||||||||||
Financial: 18.2% | ||||||||||||||
1,885,000 | (1) | AIA Group Ltd., 0.759%, (US0003M + 0.520%), 09/20/2021 | 1,884,755 | 0.6 | ||||||||||
1,000,000 | (1) | AIG Global Funding, 0.450%, 12/08/2023 | 1,000,238 | 0.3 | ||||||||||
200,000 | American Express Co., 2.500%, 08/01/2022 | 206,425 | 0.1 | |||||||||||
2,000,000 | American Express Co., 3.700%, 08/03/2023 | 2,166,681 | 0.7 | |||||||||||
2,000,000 | (2) | Bank of America Corp., 2.816%, 07/21/2023 | 2,077,429 | 0.7 | ||||||||||
4,854,000 | (2) | Bank of America Corp., 1.898%–3.705%, 01/23/2022–07/23/2031 | 5,044,599 | 1.7 | ||||||||||
1,300,000 | Bank of Montreal, 0.450%, 12/08/2023 | 1,304,956 | 0.4 | |||||||||||
1,250,000 | (2) | Bank of New York Mellon Corp./The, 2.661%, 05/16/2023 | 1,288,697 | 0.4 | ||||||||||
740,000 | (1) | Banque Federative du Credit Mutuel SA, 0.650%, 02/27/2024 | 742,318 | 0.2 | ||||||||||
760,000 | (1) | Banque Federative du Credit Mutuel SA, 2.125%, 11/21/2022 | 785,067 | 0.3 | ||||||||||
2,500,000 | (2) | Citibank NA, 2.844%, 05/20/2022 | 2,524,057 | 0.8 | ||||||||||
3,000,000 | (2) | Citigroup, Inc., 0.776%, 10/30/2024 | 3,020,921 | 1.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
125,000 | (2) | Citigroup, Inc., 2.666%, 01/29/2031 | $ | 134,190 | 0.1 | |||||||||
4,000,000 | Credit Suisse AG/New York NY, 1.000%, 05/05/2023 | 4,061,664 | 1.4 | |||||||||||
200,000 | (1),(2) | Danske Bank A/S, 1.171%, 12/08/2023 | 200,988 | 0.0 | ||||||||||
200,000 | (1) | Danske Bank A/S, 1.226%, 06/22/2024 | 202,915 | 0.1 | ||||||||||
1,000,000 | (2) | Goldman Sachs Group, Inc./The, 2.876%, 10/31/2022 | 1,020,402 | 0.3 | ||||||||||
2,000,000 | (2) | Goldman Sachs Group, Inc./The, 0.627%, 11/17/2023 | 2,008,761 | 0.7 | ||||||||||
3,500,000 | JPMorgan Chase & Co., 3.200%, 01/25/2023 | 3,706,061 | 1.3 | |||||||||||
1,441,000 | (2) | JPMorgan Chase & Co., 3.559%–4.493%, 04/23/2024–03/24/2031 | 1,592,316 | 0.5 | ||||||||||
870,000 | (2) | KeyBank NA/Cleveland OH, 0.423%, 01/03/2024 | 871,218 | 0.3 | ||||||||||
1,614,000 | (1) | MassMutual Global Funding II, 0.850%, 06/09/2023 | 1,634,209 | 0.6 | ||||||||||
1,170,000 | (1) | Metropolitan Life Global Funding I, 0.900%, 06/08/2023 | 1,185,041 | 0.4 | ||||||||||
2,000,000 | Mitsubishi UFJ Financial Group, Inc., 3.218%, 03/07/2022 | 2,068,269 | 0.7 | |||||||||||
1,700,000 | (2) | Mizuho Financial Group, Inc., 1.241%–3.922%, 07/10/2024–09/11/2024 | 1,742,773 | 0.6 | ||||||||||
4,000,000 | Morgan Stanley, 2.750%, 05/19/2022 | 4,131,619 | 1.4 | |||||||||||
239,000 | (2) | Morgan Stanley, 3.772%–4.000%, 07/23/2025–01/24/2029 | 274,723 | 0.1 | ||||||||||
1,000,000 | (1) | Nationwide Building Society, 2.000%, 01/27/2023 | 1,032,441 | 0.3 | ||||||||||
1,800,000 | Sumitomo Mitsui Financial Group, Inc., 2.846%–3.936%, 01/11/2022–10/16/2023 | 1,916,845 | 0.6 | |||||||||||
1,400,000 | (1) | Swedbank AB, 0.600%, 09/25/2023 | 1,403,794 | 0.5 | ||||||||||
2,100,000 | Wells Fargo & Co., 3.500%, 03/08/2022 | 2,177,523 | 0.7 | |||||||||||
303,000 | (2) | Wells Fargo & Co., 3.000%–3.584%, 10/23/2026–05/22/2028 | 340,974 | 0.1 | ||||||||||
809,000 | Other Securities | 841,601 | 0.3 | |||||||||||
54,594,470 | 18.2 | |||||||||||||
Industrial: 0.2% | ||||||||||||||
425,000 | Other Securities | 480,059 | 0.2 | |||||||||||
Technology: 1.8% | ||||||||||||||
1,000,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 2.650%, 01/15/2023 | 1,040,672 | 0.3 |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||
Technology: (continued) | |||||||||||||||
2,275,000 | International Business Machines Corp., 2.850%, 05/13/2022 | $ | 2,356,213 | 0.8 | |||||||||||
500,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.150%, 05/01/2027 | 551,526 | 0.2 | |||||||||||
1,055,000 | Oracle Corp., 2.500%–3.600%, 05/15/2022–04/01/2050 | 1,091,126 | 0.4 | ||||||||||||
313,000 | Other Securities | 355,836 | 0.1 | ||||||||||||
5,395,373 | 1.8 | ||||||||||||||
Utilities: 0.1% | |||||||||||||||
301,000 | Other Securities | 322,870 | 0.1 | ||||||||||||
Total Corporate Bonds/Notes (Cost $73,440,633) | 74,682,459 | 24.9 | |||||||||||||
MUNICIPAL BONDS: 0.0% | |||||||||||||||
: 0.0% | |||||||||||||||
85,000 | Other Securities | 104,897 | 0.0 | ||||||||||||
Total Municipal Bonds (Cost $101,108) | 104,897 | 0.0 | |||||||||||||
U.S. TREASURY OBLIGATIONS: 52.3% | |||||||||||||||
Treasury Inflation Indexed Protected Securities: 51.8% | |||||||||||||||
4,648,242 | 0.125%,10/15/2024 | 4,984,929 | 1.7 | ||||||||||||
3,903,771 | 0.125%,10/15/2025 | 4,245,921 | 1.4 | ||||||||||||
6,371,150 | 0.125%,07/15/2026 | 7,008,657 | 2.3 | ||||||||||||
1,983,657 | 0.125%,01/15/2030 | 2,213,987 | 0.7 | ||||||||||||
8,124,720 | 0.125%,07/15/2030 | 9,118,429 | 3.0 | ||||||||||||
2,427,835 | 0.250%,07/15/2029 | 2,749,598 | 0.9 | ||||||||||||
2,790,292 | 0.250%,02/15/2050 | 3,330,354 | 1.1 | ||||||||||||
2,992,105 | 0.375%,07/15/2025 | 3,287,129 | 1.1 | ||||||||||||
8,492,845 | 0.375%,01/15/2027 | 9,480,328 | 3.2 | ||||||||||||
9,346,047 | 0.375%,07/15/2027 | 10,518,489 | 3.5 | ||||||||||||
8,674,428 | 0.500%,01/15/2028 | 9,839,450 | 3.3 | ||||||||||||
8,137,308 | 0.625%,01/15/2026 | 9,085,461 | 3.0 | ||||||||||||
3,539,250 | 0.625%,02/15/2043 | 4,416,218 | 1.5 | ||||||||||||
8,381,626 | 0.750%,07/15/2028 | 9,751,904 | 3.3 | ||||||||||||
4,683,998 | 0.750%,02/15/2042 | 5,967,564 | 2.0 | ||||||||||||
5,086,542 | (3) | 0.750%,02/15/2045 | 6,566,646 | 2.2 | |||||||||||
2,770,812 | 0.875%,01/15/2029 | 3,257,646 | 1.1 | ||||||||||||
2,087,265 | 0.875%,02/15/2047 | 2,809,471 | 0.9 | ||||||||||||
3,423,198 | 1.000%,02/15/2046 | 4,673,593 | 1.6 | ||||||||||||
2,819,333 | 1.000%,02/15/2048 | 3,929,478 | 1.3 | ||||||||||||
2,519,689 | 1.000%,02/15/2049 | 3,552,364 | 1.2 | ||||||||||||
3,843,374 | 1.375%,02/15/2044 | 5,539,994 | 1.9 | ||||||||||||
2,789,112 | (3) | 1.750%,01/15/2028 | 3,422,334 | 1.1 | |||||||||||
3,896,432 | 2.000%,01/15/2026 | 4,634,049 | 1.6 | ||||||||||||
1,892,977 | 2.125%,02/15/2040 | 2,934,253 | 1.0 | ||||||||||||
2,514,820 | 2.125%,02/15/2041 | 3,947,211 | 1.3 | ||||||||||||
3,663,106 | 2.375%,01/15/2027 | 4,555,460 | 1.5 | ||||||||||||
2,146,656 | 2.500%,01/15/2029 | 2,821,003 | 0.9 | ||||||||||||
1,863,052 | 3.375%,04/15/2032 | 2,839,673 | 1.0 | ||||||||||||
2,568,480 | 0.125%–3.875%, 04/15/2023–04/15/2029 | 3,478,822 | 1.2 | ||||||||||||
154,960,415 | 51.8 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Bonds: 0.5% | |||||||||||||||
1,565,000 | (3) | 1.125%–1.375%, 08/15/2040–08/15/2050 | $ | 1,493,912 | 0.5 | ||||||||||
Total U.S. Treasury Obligations (Cost $136,842,924) | 156,454,327 | 52.3 | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(4): 7.9% | |||||||||||||||
Federal Home Loan Bank: 2.5% | |||||||||||||||
5,255,000 | 2.875%,09/13/2024 | 5,764,486 | 1.9 | ||||||||||||
1,515,000 | 3.250%,11/16/2028 | 1,812,179 | 0.6 | ||||||||||||
7,576,665 | 2.5 | ||||||||||||||
Federal Home Loan Mortgage Corporation: 0.3% | |||||||||||||||
805,000 | 2.375%,01/13/2022 | 823,662 | 0.3 | ||||||||||||
Federal National Mortgage Association: 4.3%(4) | |||||||||||||||
4,830,000 | 1.875%,09/24/2026 | 5,223,936 | 1.7 | ||||||||||||
7,120,000 | 2.625%,09/06/2024 | 7,744,950 | 2.6 | ||||||||||||
12,968,886 | 4.3 | ||||||||||||||
Other U.S. Agency Obligations: 0.8% | |||||||||||||||
2,190,000 | 2.875%,12/21/2023 | 2,360,459 | 0.8 | ||||||||||||
Total U.S. Government Agency Obligations (Cost $21,579,251) | 23,729,672 | 7.9 | |||||||||||||
SOVEREIGN BONDS: 6.0% | |||||||||||||||
2,500,000 | Israel Government AID Bond, 5.500%, 04/26/2024 | 2,919,424 | 1.0 | ||||||||||||
EUR | 1,736,933 | (1) | Italy Buoni Poliennali Del Tesoro, 1.300%, 05/15/2028 | 2,382,047 | 0.8 | ||||||||||
JPY | 329,954,880 | Japanese Government CPI Linked Bond, 0.100%, 03/10/2028 | 3,205,440 | 1.1 | |||||||||||
JPY | 249,752,500 | Japanese Government CPI Linked Bond, 0.100%, 03/10/2029 | 2,431,129 | 0.8 | |||||||||||
NZD | 1,335,000 | New Zealand Government Bond, 1.750%, 05/15/2041 | 947,519 | 0.3 | |||||||||||
NZD | 2,055,000 | New Zealand Government Inflation Linked Bond, 2.500%, 09/20/2035 | 2,223,883 | 0.7 | |||||||||||
NZD | 1,158,000 | New Zealand Government Inflation Linked Bond, 2.000%, 09/20/2025 | 1,036,109 | 0.3 | |||||||||||
EUR | 720,000 | (1) | Spain Government Bond, 0.500%, 04/30/2030 | 922,101 | 0.3 | ||||||||||
EUR | 435,000 | (1) | Spain Government Bond, 1.000%, 10/31/2050 | 550,556 | 0.2 | ||||||||||
EUR | 533,965 | (1) | Spain Government Inflation Linked Bond, 1.000%, 11/30/2030 | 783,645 | 0.3 | ||||||||||
565,000 | Other Securities | 619,984 | 0.2 | ||||||||||||
Total Sovereign Bonds (Cost $16,136,655) | 18,021,837 | 6.0 |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: 1.5% | ||||||||||||||
1,000,000 | BENCHMARK 2018-B3 A5 Mortgage Trust, 4.025%, 04/10/2051 | $ | 1,176,279 | 0.4 | ||||||||||
1,000,000 | GS Mortgage Securities Trust 2017-GS7 A4, 3.430%, 08/10/2050 | 1,142,776 | 0.4 | |||||||||||
700,000 | Wells Fargo Commercial Mortgage Trust 2017-C39 A5, 3.418%, 09/15/2050 | 795,896 | 0.3 | |||||||||||
1,216,000 | Other Securities | 1,369,822 | 0.4 | |||||||||||
Total Commercial Mortgage-Backed Securities (Cost $3,957,294) | 4,484,773 | 1.5 | ||||||||||||
ASSET-BACKED SECURITIES: 0.4% | ||||||||||||||
Student Loan Asset-Backed Securities: 0.4% | ||||||||||||||
260,000 | (1) | Navient Student Loan Trust 2019-BA A2A, 3.390%, 12/15/2059 | 272,740 | 0.1 | ||||||||||
800,000 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 830,883 | 0.3 | ||||||||||
Total Asset-Backed Securities (Cost $1,067,761) | 1,103,623 | 0.4 |
Value | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS(5): 0.4% | ||||||||||||||
Total Purchased Options (Cost $1,009,060) | 1,018,632 | 0.4 | ||||||||||||
Total Long-Term Investments (Cost $254,134,686) | 279,600,220 | 93.4 |
Shares | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 4.8% | ||||||||||||||
Mutual Funds: 4.8% | ||||||||||||||
14,416,461 | (6) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.000% (Cost $14,416,461) | 14,416,461 | 4.8 | ||||||||||
Total Short-Term Investments (Cost $14,416,461) | 14,416,461 | 4.8 | ||||||||||||
Total Investments in Securities (Cost $268,551,147) | $ | 294,016,681 | 98.2 | |||||||||||
Assets in Excess of Other Liabilities | 5,485,361 | 1.8 | ||||||||||||
Net Assets | $ | 299,502,042 | 100.0 |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 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 December 31, 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. | |
(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 December 31, 2020. |
Currency Abbreviations:
EUR | EU Euro | |
JPY | Japanese Yen | |
NZD | New Zealand Dollar |
US0003M 3-month LIBOR
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2020 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | |||||||||||||||||||||
Investments, at fair value | |||||||||||||||||||||
Purchased Options | $ | 22,287 | $ | 996,345 | $ | — | $ | 1,018,632 | |||||||||||||
Corporate Bonds/Notes | — | 74,682,459 | — | 74,682,459 | |||||||||||||||||
Municipal Bonds | — | 104,897 | — | 104,897 | |||||||||||||||||
Commercial Mortgage-Backed Securities | — | 4,484,773 | — | 4,484,773 | |||||||||||||||||
Sovereign Bonds | — | 18,021,837 | — | 18,021,837 | |||||||||||||||||
U.S. Government Agency Obligations | — | 23,729,672 | — | 23,729,672 | |||||||||||||||||
Asset-Backed Securities | — | 1,103,623 | — | 1,103,623 | |||||||||||||||||
U.S. Treasury Obligations | — | 156,454,327 | — | 156,454,327 | |||||||||||||||||
Short-Term Investments | 14,416,461 | — | — | 14,416,461 | |||||||||||||||||
Total Investments, at fair value | $ | 14,438,748 | $ | 279,577,933 | $ | — | $ | 294,016,681 | |||||||||||||
Other Financial Instruments+ | |||||||||||||||||||||
Centrally Cleared Swaps | — | 4,273,102 | — | 4,273,102 | |||||||||||||||||
Forward Foreign Currency Contracts | — | 4,043 | — | 4,043 | |||||||||||||||||
Futures | 99,370 | — | — | 99,370 | |||||||||||||||||
OTC Swaps | — | 760,867 | — | 760,867 | |||||||||||||||||
Total Assets | $ | 14,538,118 | $ | 284,615,945 | $ | — | $ | 299,154,063 | |||||||||||||
Liabilities Table | |||||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (3,091,607 | ) | $ | — | $ | (3,091,607 | ) | |||||||||||
Forward Foreign Currency Contracts | — | (241,343 | ) | — | (241,343 | ) | |||||||||||||||
Futures | (37,135 | ) | — | — | (37,135 | ) | |||||||||||||||
OTC Swaps | — | (461 | ) | — | (461 | ) | |||||||||||||||
Written Options | (58,544 | ) | (1,255,673 | ) | — | (1,314,217 | ) | ||||||||||||||
Total Liabilities | $ | (95,679 | ) | $ | (4,589,084 | ) | $ | — | $ | (4,684,763 | ) |
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) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAD | 375,684 | USD | 295,000 | Citibank N.A. | 03/11/21 | $ | 195 | |||||||
USD | 295,000 | CAD | 376,389 | Citibank N.A. | 03/17/21 | (753 | ) | |||||||
USD | 134,774 | EUR | 110,554 | Commonwealth Bank of Australia | 01/06/21 | (290 | ) | |||||||
USD | 5,609,515 | JPY | 582,856,000 | Deutsche Bank AG | 01/06/21 | (35,449 | ) | |||||||
USD | 2,175,907 | EUR | 1,825,000 | Goldman Sachs International | 01/06/21 | (53,701 | ) | |||||||
EUR | 1,857,000 | USD | 2,272,597 | UBS AG | 01/06/21 | (3,893 | ) | |||||||
USD | 2,185,613 | EUR | 1,825,000 | UBS AG | 01/06/21 | (43,996 | ) | |||||||
USD | 4,075,665 | NZD | 5,808,000 | UBS AG | 01/06/21 | (103,261 | ) | |||||||
USD | 2,274,131 | EUR | 1,857,000 | UBS AG | 02/03/21 | 3,848 | ||||||||
$ | (237,300 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | |||||||||||||||||||
U.S. Treasury 2-Year Note | 14 | 03/31/21 | $ | 3,093,672 | $ | 201 | |||||||||||||
U.S. Treasury 5-Year Note | 313 | 03/31/21 | 39,489,352 | 88,627 | |||||||||||||||
U.S. Treasury Ultra 10-Year Note | 29 | 03/22/21 | 4,534,422 | 8,106 | |||||||||||||||
$ | 47,117,446 | $ | 96,934 | ||||||||||||||||
Short Contracts: | |||||||||||||||||||
Canada 10-Year Bond | (16 | ) | 03/22/21 | (1,874,146 | ) | (5,329 | ) | ||||||||||||
Euro-Bund | (23 | ) | 03/08/21 | (4,991,290 | ) | (4,514 | ) | ||||||||||||
Euro-Buxl® 30-year German Government Bond | (2 | ) | 03/08/21 | (550,326 | ) | (4,918 | ) | ||||||||||||
Long-Term Euro-BTP | (11 | ) | 03/08/21 | (2,042,721 | ) | (11,431 | ) | ||||||||||||
U.S. Treasury 10-Year Note | (49 | ) | 03/22/21 | (6,765,828 | ) | (10,943 | ) | ||||||||||||
U.S. Treasury Ultra Long Bond | (1 | ) | 03/22/21 | (213,562 | ) | 2,436 | |||||||||||||
$ | (16,437,873 | ) | $ | (34,699 | ) |
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 | $ | 7,032 | $ | 7,032 | |||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.479) | Annual | 03/05/22 | EUR | 1,230,000 | 662 | 662 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.477) | Annual | 03/06/22 | EUR | 730,000 | 403 | 403 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.493) | Annual | 03/09/22 | EUR | 880,000 | 296 | 296 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.250) | Annual | 06/24/22 | EUR | 560,000 | 2,828 | 2,828 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.290) | Annual | 06/25/22 | EUR | 210,000 | 911 | 911 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.280) | Annual | 06/26/22 | EUR | 210,000 | 949 | 949 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.275) | Annual | 06/30/22 | EUR | 210,000 | 971 | 971 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.292) | Annual | 07/16/22 | EUR | 780,000 | 3,417 | 3,417 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.301) | Annual | 07/20/22 | EUR | 1,240,000 | 5,229 | 5,229 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.301) | Annual | 07/20/22 | EUR | 1,300,000 | 5,494 | 5,494 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.320) | Annual | 09/29/22 | EUR | 1,150,000 | 4,921 | 4,921 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.340) | Annual | 10/02/22 | EUR | 1,250,000 | 4,874 | 4,874 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.336) | Annual | 10/02/22 | EUR | 1,170,000 | 4,663 | 4,663 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.341) | Annual | 11/02/22 | EUR | 810,000 | 3,365 | 3,365 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.333) | Annual | 02/12/23 | EUR | 610,000 | 2,852 | 2,852 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.414) | Annual | 03/02/23 | EUR | 1,450,000 | 3,863 | 3,863 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.474) | Annual | 03/04/23 | EUR | 620,000 | 733 | 733 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.304) | Annual | 04/29/23 | EUR | 1,240,000 | 6,577 | 6,577 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.337) | Annual | 05/03/23 | EUR | 810,000 | 3,627 | 3,627 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.370) | Annual | 05/04/23 | EUR | 760,000 | 2,783 | 2,783 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.372) | Annual | 05/06/23 | EUR | 400,000 | 1,452 | 1,452 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.415) | Annual | 06/24/23 | EUR | 610,000 | 1,513 | 1,513 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.400) | Annual | 06/25/23 | EUR | 610,000 | 1,745 | 1,745 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.426) | Annual | 07/02/23 | EUR | 720,000 | 1,579 | 1,564 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.400) | Annual | 07/08/23 | EUR | 590,000 | 1,670 | 1,641 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.408) | Annual | 07/20/23 | EUR | 1,300,000 | 3,412 | 3,385 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.408) | Annual | 07/27/23 | EUR | 610,000 | 1,596 | 1,583 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.423) | Annual | 08/09/23 | EUR | 360,000 | 797 | 790 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.437) | Annual | 08/24/23 | EUR | 540,000 | 997 | 986 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.465) | Annual | 09/13/23 | EUR | 1,020,000 | 1,147 | 1,126 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.436) | Annual | 10/06/23 | EUR | 310,000 | 565 | 565 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.429) | Annual | 09/21/25 | EUR | 210,000 | 496 | 577 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.337) | Annual | 07/20/26 | EUR | 490,000 | 3,105 | 3,093 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.251) | Annual | 08/16/27 | EUR | 480,000 | 3,691 | 3,679 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.243) | Annual | 08/16/27 | EUR | 480,000 | 3,917 | 3,917 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.283) | Annual | 09/19/27 | EUR | 190,000 | 1,002 | 997 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.385) | Annual | 10/18/27 | EUR | 110,000 | (163 | ) | (166 | ) | ||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.354) | Annual | 10/18/27 | EUR | 400,000 | 173 | 164 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.358) | Annual | 12/12/27 | EUR | 240,000 | (121 | ) | (127 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.526 | Semi-Annual | 02/07/22 | USD | 20,030,000 | 514,905 | 514,905 |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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 | 0.679 | % | Semi-Annual | 03/06/22 | USD | 670,000 | $ | 3,880 | $ | 3,880 | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.250 | Semi-Annual | 04/27/22 | USD | 5,370,000 | 146,280 | 146,280 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.713 | Semi-Annual | 07/13/22 | USD | 9,250,000 | 141,449 | 141,449 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.230 | Semi-Annual | 10/21/22 | USD | 310,000 | 240 | 235 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.095 | Semi-Annual | 03/01/23 | USD | 2,840,000 | 51,427 | 51,427 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.250 | Semi-Annual | 07/08/23 | USD | 1,150,000 | 135 | 117 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.400 | Semi-Annual | 11/22/23 | USD | 1,365,000 | 1,171 | 1,149 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.090 | Semi-Annual | 11/29/24 | USD | 4,210,000 | 456,368 | 456,368 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.521 | Semi-Annual | 02/28/25 | USD | 2,390,000 | 216,345 | 216,345 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.358 | Semi-Annual | 06/02/25 | USD | 860,000 | (248 | ) | (248 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.760 | Semi-Annual | 09/08/25 | USD | 150,000 | 2,579 | 2,579 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.330 | Semi-Annual | 09/23/25 | USD | 400,000 | (1,273 | ) | (1,280 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.785 | Semi-Annual | 11/19/25 | USD | 3,580,000 | (834 | ) | (891 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 06/20/27 | USD | 870,000 | (2,813 | ) | (2,813 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 06/20/27 | USD | 870,000 | (1,628 | ) | (1,628 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.654 | Semi-Annual | 07/12/28 | USD | 900,000 | (13,909 | ) | (13,925 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.819 | Semi-Annual | 04/14/30 | USD | 610,000 | (2,789 | ) | (2,789 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.828 | Semi-Annual | 02/10/50 | USD | 120,000 | 12,957 | 12,957 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.250 | Semi-Annual | 09/08/50 | USD | 92,000 | (3,570 | ) | (3,570 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.929 | Semi-Annual | 12/01/56 | USD | 25,000 | 1,973 | 1,973 | ||||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.450) | Annual | 12/16/21 | EUR | 1,200,000 | (1,062 | ) | (1,062 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.358) | Annual | 03/20/22 | EUR | 1,160,000 | (2,731 | ) | (2,731 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.312) | Annual | 03/23/22 | EUR | 2,680,000 | (8,272 | ) | (8,272 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.379) | Annual | 06/19/22 | EUR | 1,510,000 | (4,023 | ) | (4,024 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.397) | Annual | 07/21/22 | EUR | 1,230,000 | (2,937 | ) | (2,963 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.253) | Annual | 09/22/22 | EUR | 1,140,000 | (6,457 | ) | (6,457 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.405) | Annual | 02/16/23 | EUR | 1,210,000 | (3,497 | ) | (3,522 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.402) | Annual | 02/16/23 | EUR | 1,210,000 | (3,601 | ) | (3,601 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.174) | Annual | 03/23/23 | EUR | 4,980,000 | (42,659 | ) | (42,659 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.180) | Annual | 03/24/23 | EUR | 2,490,000 | (20,925 | ) | (20,925 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.290) | Annual | 07/26/23 | EUR | 1,640,000 | (9,060 | ) | (9,060 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.300) | Annual | 07/27/23 | EUR | 3,100,000 | (16,341 | ) | (16,341 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.167) | Annual | 12/13/23 | EUR | 1,170,000 | (9,793 | ) | (9,793 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.110) | Annual | 12/27/23 | EUR | 300,000 | (2,923 | ) | (2,923 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.056) | Annual | 01/03/24 | EUR | 615,000 | (6,806 | ) | (6,806 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.050) | Annual | 01/03/24 | EUR | 615,000 | (6,905 | ) | (6,905 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.173) | Annual | 11/11/24 | EUR | 260,000 | (3,965 | ) | (3,965 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.175) | Annual | 03/18/25 | EUR | 60,000 | (961 | ) | (961 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | (0.259) | Annual | 08/16/27 | EUR | 240,000 | (1,725 | ) | (1,731 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.185 | Annual | 01/16/30 | EUR | 510,000 | (28,681 | ) | (28,681 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.336 | Semi-Annual | 02/08/34 | JPY | 860,000 | (237 | ) | (237 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.295 | Semi-Annual | 06/17/39 | JPY | 5,440,000 | (484 | ) | (484 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.167 | Semi-Annual | 08/08/39 | JPY | 3,930,000 | 572 | 572 | ||||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.225 | Semi-Annual | 12/22/40 | JPY | 3,340,000 | 302 | 301 | ||||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.715 | Semi-Annual | 03/21/44 | JPY | 3,980,000 | (2,528 | ) | (2,528 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.201 | Semi-Annual | 08/28/44 | JPY | 1,960,000 | 729 | 729 | ||||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.371 | Semi-Annual | 01/30/45 | JPY | 2,810,000 | 208 | 208 | ||||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 1.080 | Semi-Annual | 09/16/30 | NZD | 4,100,000 | (33,333 | ) | (33,333 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.554 | Semi-Annual | 03/12/21 | USD | 5,530,000 | (3,647 | ) | (3,647 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.560 | Semi-Annual | 03/27/21 | USD | 5,280,000 | (16,889 | ) | (16,889 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.560 | Semi-Annual | 03/30/21 | USD | 1,340,000 | (4,429 | ) | (4,429 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.770 | Semi-Annual | 06/15/21 | USD | 5,780,000 | (41,455 | ) | (41,455 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.582 | Semi-Annual | 11/09/21 | USD | 5,250,000 | (62,706 | ) | (62,789 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.460 | Semi-Annual | 02/28/22 | USD | 2,510,000 | (65,965 | ) | (65,966 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.870 | Semi-Annual | 06/03/22 | USD | 5,710,000 | (96,385 | ) | (96,385 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.244 | Semi-Annual | 12/15/22 | USD | 2,800,000 | (3,128 | ) | (3,176 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.260 | Semi-Annual | 12/15/22 | USD | 6,010,000 | (8,309 | ) | (8,344 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.535 | Semi-Annual | 12/15/22 | USD | 2,815,000 | (74,183 | ) | (74,231 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.204 | Semi-Annual | 12/16/22 | USD | 1,420,000 | (468 | ) | (492 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.530 | Semi-Annual | 12/16/22 | USD | 2,815,000 | (73,997 | ) | (74,044 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.771 | Semi-Annual | 07/12/23 | USD | 9,400,000 | (143,705 | ) | (143,705 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.397 | Semi-Annual | 11/22/23 | USD | 1,365,000 | (1,130 | ) | (1,151 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.571 | Semi-Annual | 11/21/24 | USD | 260,000 | (56 | ) | (60 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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 | 2.572% | Semi-Annual | 02/07/25 | USD | 2,610,000 | $ | (239,043 | ) | $ | (239,043 | ) | ||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.623 | Semi-Annual | 04/14/25 | USD | 1,180,000 | (13,726 | ) | (13,726 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.350 | Semi-Annual | 04/27/25 | USD | 1,440,000 | (123,953 | ) | (123,953 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.820 | Semi-Annual | 09/08/25 | USD | 540,000 | (10,798 | ) | (10,798 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 04/20/27 | USD | 120,000 | 159 | 159 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.512 | Semi-Annual | 08/17/27 | USD | 1,700,000 | 11,424 | 11,423 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.495 | Semi-Annual | 08/19/27 | USD | 150,000 | 1,184 | 1,184 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.631 | Semi-Annual | 02/10/30 | USD | 300,000 | (20,810 | ) | (20,810 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.648 | Semi-Annual | 06/02/30 | USD | 440,000 | 9,391 | 9,391 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.961 | Semi-Annual | 08/15/30 | USD | 450,000 | (2,021 | ) | (2,030 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 09/16/30 | USD | 610,000 | 12,813 | 12,800 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.672 | Semi-Annual | 10/09/30 | USD | 610,000 | 13,652 | 13,639 | ||||||||||||||||||
Receive | Secured Overnight Financing Rate | Annual | 0.537 | Annual | 10/20/30 | USD | 1,250,000 | 17,381 | 17,381 | ||||||||||||||||||
Receive | Secured Overnight Financing Rate | Quarterly | 0.533 | Quarterly | 10/21/30 | USD | 21,996 | (311 | ) | (311 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.896 | Semi-Annual | 10/27/30 | USD | 60,000 | 79 | 78 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.898 | Semi-Annual | 10/27/30 | USD | 250,000 | 283 | 277 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 11/04/30 | USD | 600,000 | 14,990 | 14,978 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.885 | Semi-Annual | 11/05/30 | USD | 530,000 | 1,365 | 1,036 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.950 | Semi-Annual | 11/12/30 | USD | 330,000 | (1,181 | ) | (1,188 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.920 | Semi-Annual | 12/10/30 | USD | 450,000 | (63 | ) | (72 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.962 | Semi-Annual | 12/11/30 | USD | 270,000 | (1,141 | ) | (1,147 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.971 | Semi-Annual | 12/29/30 | USD | 150,000 | (699 | ) | (702 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.953 | Semi-Annual | 12/30/30 | USD | 310,000 | (930 | ) | (937 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.761 | Semi-Annual | 06/03/31 | USD | 138,000 | 3,041 | 3,041 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.858 | Semi-Annual | 10/04/31 | USD | 50,000 | 890 | 889 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.028 | Semi-Annual | 11/26/31 | USD | 150,000 | 515 | 512 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.110 | Semi-Annual | 03/08/32 | USD | 265,000 | (79 | ) | (79 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.760 | Semi-Annual | 05/03/32 | USD | 800,000 | 28,703 | 28,703 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.765 | Semi-Annual | 05/04/32 | USD | 820,000 | 29,056 | 29,056 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.770 | Semi-Annual | 05/06/32 | USD | 750,000 | 26,269 | 26,269 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.325 | Semi-Annual | 06/24/34 | USD | 70,000 | (5,848 | ) | (5,848 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.645 | Semi-Annual | 08/22/34 | USD | 300,000 | (5,230 | ) | (5,230 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.907 | Semi-Annual | 10/21/34 | USD | 320,000 | (12,883 | ) | (12,883 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.921 | Semi-Annual | 10/22/34 | USD | 300,000 | (12,463 | ) | (12,463 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.976 | Semi-Annual | 10/23/34 | USD | 145,000 | (6,768 | ) | (6,768 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.982 | Semi-Annual | 10/23/34 | USD | 145,000 | (6,843 | ) | (6,843 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.111 | Semi-Annual | 11/12/34 | USD | 70,000 | (4,110 | ) | (4,110 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.973 | Semi-Annual | 08/17/40 | USD | 150,000 | 9,053 | 9,053 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.110 | Semi-Annual | 11/15/44 | USD | 90,000 | (2,893 | ) | (2,893 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.378 | Semi-Annual | 07/05/49 | USD | 140,000 | (7,753 | ) | (7,753 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.709 | Semi-Annual | 08/16/49 | USD | 130,000 | (605 | ) | (605 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.667 | Semi-Annual | 08/17/49 | USD | 100,000 | (143 | ) | (143 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.100 | Semi-Annual | 11/25/50 | USD | 160,000 | 12,447 | 12,442 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.090 | Semi-Annual | 06/20/52 | USD | 160,000 | 15,582 | 15,582 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.136 | Semi-Annual | 06/20/52 | USD | 160,000 | 13,716 | 13,716 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.881 | Semi-Annual | 07/12/53 | USD | 160,000 | 25,670 | 25,665 | ||||||||||||||||||
$ | 570,490 | $ | 569,476 |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Counterparty | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 7-day China Fixing Repo Rates | Quarterly | Citibank N.A. | 2.630 | % | Quarterly | 08/10/25 | CNH | 10,615,000 | $ | (461 | ) | $ — | $(461 | ) | ||||||||||||||||||
$ | (461 | ) | $ — | $(461 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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 | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | –0.429% | At Termination Date | 08/05/23 | EUR | 390,000 | $ | 813 | $ | 805 | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.108 | At Termination Date | 12/15/30 | EUR | 1,065,000 | (4,077 | ) | (4,130 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.490 | At Termination Date | 03/15/29 | GBP | 1,390,000 | 85,549 | 85,549 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.574 | At Termination Date | 10/15/30 | GBP | 1,415,000 | 36,627 | 35,172 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.510 | At Termination Date | 12/15/30 | GBP | 1,150,000 | 19,146 | 19,082 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 10/15/39 | GBP | 2,025,000 | 164,865 | 164,865 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.310 | At Termination Date | 01/15/40 | GBP | 900,000 | 38,357 | 38,357 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.341 | At Termination Date | 01/15/40 | GBP | 800,000 | 45,937 | 45,937 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.336 | At Termination Date | 11/15/40 | GBP | 310,000 | 3,919 | 3,898 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.270 | At Termination Date | 10/15/44 | GBP | 1,560,000 | 160,174 | 160,174 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.220 | At Termination Date | 01/15/45 | GBP | 700,000 | 38,393 | 38,393 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.239 | At Termination Date | 01/15/45 | GBP | 600,000 | 40,552 | 40,552 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.848 | At Termination Date | 08/10/30 | USD | 780,000 | (37,505 | ) | (37,537 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.008 | At Termination Date | 09/04/30 | USD | 360,000 | (9,648 | ) | (9,663 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.930 | At Termination Date | 09/10/30 | USD | 1,255,000 | (43,333 | ) | (43,384 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.949 | At Termination Date | 09/18/30 | USD | 625,000 | (19,526 | ) | (19,552 | ) | ||||||||||||||||
Pay | 1-day Overnight Fed Funds Effective Rate | At Termination Date | 0.555 | At Termination Date | 10/20/30 | USD | 1,250,000 | (20,220 | ) | (20,220 | ) | ||||||||||||||||
Pay | 1-day Overnight Fed Funds Effective Rate | At Termination Date | 0.562 | At Termination Date | 10/21/30 | USD | 21,996 | 336 | 336 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.108 | At Termination Date | 12/07/30 | USD | 1,280,000 | (12,655 | ) | (12,707 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.169 | At Termination Date | 12/24/30 | USD | 1,290,000 | (3,891 | ) | (3,943 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.192 | At Termination Date | 12/31/30 | USD | 660,000 | (181 | ) | (208 | ) | ||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.290 | At Termination Date | 03/15/29 | EUR | 1,980,000 | (95,550 | ) | (95,550 | ) | ||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 0.920 | At Termination Date | 09/15/30 | EUR | 1,070,000 | 19,141 | 19,088 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.113 | At Termination Date | 12/15/30 | EUR | 1,055,000 | 3,223 | 3,170 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.124 | At Termination Date | 12/15/30 | EUR | 1,045,000 | 1,574 | 1,521 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.530 | At Termination Date | 10/15/25 | GBP | 1,415,000 | (22,461 | ) | (23,023 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.384 | % | At Termination Date | 12/15/30 | GBP | 415,000 | $ | 2,648 | $ | 2,625 | |||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.420 | At Termination Date | 10/15/34 | GBP | 2,025,000 | (145,361 | ) | (145,361 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 01/15/35 | GBP | 900,000 | (35,500 | ) | (35,500 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.390 | At Termination Date | 01/15/35 | GBP | 800,000 | (39,120 | ) | (39,120 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.160 | At Termination Date | 10/15/49 | GBP | 1,560,000 | (161,112 | ) | (161,112 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.111 | At Termination Date | 01/15/50 | GBP | 700,000 | (31,110 | ) | (31,110 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.133 | At Termination Date | 01/15/50 | GBP | 600,000 | (38,254 | ) | (38,254 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.205 | At Termination Date | 03/21/22 | USD | 5,100,000 | (87,573 | ) | (87,573 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.890 | At Termination Date | 06/29/22 | USD | 6,700,000 | 11,077 | 11,077 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.713 | At Termination Date | 08/21/22 | USD | 9,230,000 | 133,049 | 133,049 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.260 | At Termination Date | 05/03/23 | USD | 9,000,000 | (212,593 | ) | (212,593 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.211 | At Termination Date | 10/26/23 | USD | 2,500,000 | (49,699 | ) | (49,699 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.957 | At Termination Date | 02/06/24 | USD | 12,000,000 | (50,423 | ) | (50,423 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.991 | At Termination Date | 03/04/24 | USD | 3,000,000 | (11,871 | ) | (11,871 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.248 | At Termination Date | 03/21/24 | USD | 4,900,000 | (115,351 | ) | (115,351 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.023 | At Termination Date | 05/02/24 | USD | 3,500,000 | (16,709 | ) | (16,709 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.829 | At Termination Date | 07/31/24 | USD | 600,000 | 1,422 | 1,422 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.706 | At Termination Date | 08/12/24 | USD | 1,300,000 | 12,430 | 12,430 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.351 | At Termination Date | 09/28/24 | USD | 7,400,000 | (234,004 | ) | (234,004 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.945 | At Termination Date | 03/12/25 | USD | 1,650,000 | 81,131 | 81,131 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.908 | At Termination Date | 05/24/25 | USD | 4,500,000 | 13,399 | 13,399 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.361 | At Termination Date | 09/28/25 | USD | 6,150,000 | (216,951 | ) | (216,951 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.783 | At Termination Date | 11/04/25 | USD | 1,300,000 | 21,050 | 21,003 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.098 | At Termination Date | 11/29/25 | USD | 1,600,000 | (20,825 | ) | (20,825 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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 | 1.853 | % | At Termination Date | 06/28/26 | USD | 450,000 | $ | 3,524 | $ | 3,524 | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.249 | At Termination Date | 10/30/28 | USD | 1,195,000 | (30,735 | ) | (30,735 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.746 | At Termination Date | 09/06/29 | USD | 4,100,000 | 151,550 | 151,550 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.504 | At Termination Date | 03/10/30 | USD | 3,840,000 | 243,240 | 243,240 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.250 | At Termination Date | 03/11/30 | USD | 360,000 | 32,490 | 32,490 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.268 | At Termination Date | 03/12/30 | USD | 2,575,000 | 227,631 | 227,631 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.733 | At Termination Date | 03/23/30 | USD | 1,180,000 | 169,434 | 169,434 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.835 | At Termination Date | 03/23/30 | USD | 655,000 | 87,272 | 87,272 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.285 | At Termination Date | 05/05/30 | USD | 4,860,000 | 430,811 | 430,811 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.983 | At Termination Date | 10/13/30 | USD | 1,430,000 | 35,445 | 35,387 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.960 | At Termination Date | 12/12/49 | USD | 775,000 | 64,753 | 64,753 | ||||||||||||||||||
$ | 614,724 | $ | 612,019 |
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) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | $ | 365,555 | $ — | $365,555 | ||||||||||||||||||||
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 | 266,062 | — | 266,062 | ||||||||||||||||||||||
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 | 129,250 | — | 129,250 | ||||||||||||||||||||||
$ | 760,867 | $ — | $760,867 |
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 | 92 | 22,951,700 | $ | 16,250 | $ | 16,100 | |||||||||||
U.S. Treasury 10-Year Note | Put | 01/22/21 | 137.50 USD | 22 | 3,037,719 | 8,146 | 6,187 | |||||||||||||
$ | 24,396 | $ | 22,287 |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Premiums Received | Fair Value | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar | Call | 12/13/21 | 100.00 USD | 27 | USD | 6,735,825 | $ | 4,344 | $ | (844 | ) | |||||||||||
90-Day Eurodollar | Call | 12/13/21 | 99.38 USD | 53 | USD | 13,222,175 | 23,101 | (55,981 | ) | |||||||||||||
U.S. Treasury 10-Year Note | Put | 01/22/21 | 136.50 USD | 22 | USD | 3,037,719 | 2,473 | (1,719 | ) | |||||||||||||
$ | 29,918 | $ | (58,544 | ) |
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 | 2.950% | 3-month USD-LIBOR | 03/12/24 | USD | 870,000 | $ | 39,215 | $ | 132,998 | |||||||||||||
Call on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.978% | 3-month USD-LIBOR | 03/07/24 | USD | 874,500 | 40,205 | 135,896 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 3.052% | 3-month USD-LIBOR | 01/10/29 | USD | 220,000 | 12,430 | 30,425 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 3.083% | 3-month USD-LIBOR | 01/29/29 | USD | 220,000 | 12,496 | 30,903 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 3.088% | 3-month USD-LIBOR | 12/06/38 | USD | 570,000 | 26,505 | 79,635 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 1.460% | 3-month USD-LIBOR | 08/16/21 | USD | 980,000 | 35,072 | 47,754 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 1.492% | 3-month USD-LIBOR | 02/25/25 | USD | 550,000 | 28,889 | 25,226 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 2.824% | 3-month USD-LIBOR | 01/31/39 | USD | 120,000 | 6,149 | 14,955 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 2.978% | 3-month USD-LIBOR | 01/31/29 | USD | 100,000 | 5,780 | 13,301 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD | 10,000 | 493 | 1,339 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.890% | 3-month USD-LIBOR | 04/30/25 | USD | 360,000 | 19,422 | 8,515 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.423% | 3-month USD-LIBOR | 06/05/25 | USD | 255,000 | 13,668 | 10,906 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.283% | 3-month USD-LIBOR | 06/04/25 | USD | 255,000 | 13,796 | 9,418 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 2.860% | 3-month USD-LIBOR | 02/22/39 | USD | 232,500 | 11,503 | 29,437 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD | 200,000 | 9,400 | 26,789 | |||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 3.037% | 3-month USD-LIBOR | 01/11/29 | USD | 220,000 | 12,523 | 30,185 | |||||||||||||||
Call on 1-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 0.865% | 3-month USD-LIBOR | 12/02/24 | USD | 2,860,000 | 10,654 | 11,714 | |||||||||||||||
Call on 1-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 0.816% | 3-month USD-LIBOR | 11/25/24 | USD | 2,860,000 | 10,654 | 10,991 | |||||||||||||||
Call on 20-Year interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 18,900,000 | 5,916 | 16,953 | |||||||||||||||
Call on 20-Year Interest Rate Swap(2) | Goldman Sachs International | Receive | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 1,670,000 | 500 | 1,528 | |||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.100% | 6-month JPY-LIBOR | 06/29/22 | JPY | 692,890,000 | 94,254 | 340 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 2.250% | 3-month USD-LIBOR | 08/08/22 | USD | 960,000 | 22,728 | 4,834 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 2.950% | 3-month USD-LIBOR | 03/12/24 | USD | 870,000 | 39,215 | 5,797 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 2.978% | 3-month USD-LIBOR | 03/07/24 | USD | 874,500 | 40,205 | 5,604 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 3.052% | 3-month USD-LIBOR | 01/10/29 | USD | 220,000 | 12,430 | 4,774 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 3.083% | 3-month USD-LIBOR | 01/29/29 | USD | 220,000 | 12,496 | 4,685 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 3.088% | 3-month USD-LIBOR | 12/06/38 | USD | 570,000 | 26,505 | 17,839 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Citibank N.A. | Pay | 1.460% | 3-month USD-LIBOR | 08/16/21 | USD | 980,000 | 35,072 | 5,837 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Citibank N.A. | Pay | 1.492% | 3-month USD-LIBOR | 02/25/25 | USD | 550,000 | 28,889 | 26,534 |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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(4) | Citibank N.A. | Pay | 2.824% | 3-month USD-LIBOR | 01/31/39 | USD | 120,000 | $ | 6,025 | $ | 4,348 | |||||||||||||
Put on 10-Year Interest Rate Swap(4) | Citibank N.A. | Pay | 2.978% | 3-month USD-LIBOR | 01/31/29 | USD | 100,000 | 5,778 | 2,317 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Citibank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD | 10,000 | 461 | 329 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.890% | 3-month USD-LIBOR | 04/30/25 | USD | 360,000 | 19,422 | 30,195 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 1.423% | 3-month USD-LIBOR | 06/05/25 | USD | 255,000 | 13,668 | 13,835 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Goldman Sachs International | Pay | 1.283% | 3-month USD-LIBOR | 06/04/25 | USD | 255,000 | 13,796 | 15,652 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 2.250% | 3-month USD-LIBOR | 08/02/22 | USD | 950,000 | 25,650 | 4,703 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 2.860% | 3-month USD-LIBOR | 02/22/39 | USD | 232,500 | 11,503 | 8,262 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD | 200,000 | 9,400 | 6,588 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Morgan Stanley & Co. International PLC | Pay | 2.500% | 3-month USD-LIBOR | 06/13/24 | USD | 930,000 | 41,811 | 12,024 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Morgan Stanley & Co. International PLC | Pay | 2.500% | 3-month USD-LIBOR | 06/20/24 | USD | 930,000 | 37,600 | 12,129 | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Morgan Stanley & Co. International PLC | Pay | 3.037% | 3-month USD-LIBOR | 01/11/29 | USD | 220,000 | 12,523 | 4,836 | |||||||||||||||
Put on 1-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 0.865% | 3-month USD-LIBOR | 12/02/24 | USD | 2,860,000 | 10,654 | 10,439 | |||||||||||||||
Put on 1-Year Interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 0.816% | 3-month USD-LIBOR | 11/25/24 | USD | 2,860,000 | 10,654 | 10,951 | |||||||||||||||
Put on 20-Year interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 3,300,000 | 521 | 1 | |||||||||||||||
Put on 20-Year interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 3,300,000 | 521 | 1 | |||||||||||||||
Put on 20-Year interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 18,900,000 | 5,916 | 6 | |||||||||||||||
Put on 20-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 0.780% | 6-month JPY-LIBOR | 04/16/21 | JPY | 1,670,000 | 500 | 1 | |||||||||||||||
Put on 30-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 2.850% | 3-month USD-LIBOR | 05/09/22 | USD | 1,170,000 | 67,934 | 7,937 | |||||||||||||||
Put on 30-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 3.800% | 3-month USD-LIBOR | 06/07/21 | USD | 830,000 | 32,380 | 107 | |||||||||||||||
$ | 953,781 | $ | 889,773 |
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(4) | Barclays Bank PLC | Pay | 2.788% | 3-month USD-LIBOR | 03/08/21 | USD | 1,312,000 | $ | 39,114 | $ | (235,153 | ) | ||||||||||||
Call on 10-Year interest Rate Swap(4) | Barclays Bank PLC | Pay | 3.050% | 3-month USD-LIBOR | 03/12/29 | USD | 700,000 | 37,135 | (96,540 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | 1.225% | 3-month USD-LIBOR | 12/15/22 | USD | 855,000 | 27,959 | (27,733 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | BNP Paribas | Pay | 0.715% | 3-month USD-LIBOR | 06/29/21 | USD | 555,000 | 14,506 | (3,532 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Citibank N.A. | Pay | 1.254% | 3-month USD-LIBOR | 12/30/22 | USD | 470,000 | 15,498 | (15,915 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.450% | 3-month USD-LIBOR | 09/30/21 | USD | 540,000 | 5,184 | (2,089 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.665% | 3-month USD-LIBOR | 07/14/21 | USD | 560,000 | 14,308 | (3,177 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.717% | 3-month USD-LIBOR | 04/16/21 | USD | 255,000 | 7,038 | (1,073 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.740% | 3-month USD-LIBOR | 05/02/22 | USD | 550,000 | 19,030 | (6,739 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.742% | 3-month USD-LIBOR | 06/25/21 | USD | 555,000 | 14,610 | (3,831 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.746% | 3-month USD-LIBOR | 06/02/21 | USD | 1,090,000 | 27,332 | (6,989 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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(4) | Deutsche Bank AG | Pay | 0.765% | 3-month USD-LIBOR | 04/15/21 | USD | 255,000 | $ | 6,993 | $ | (1,338 | ) | ||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.930% | 3-month USD-LIBOR | 10/06/21 | USD | 470,000 | 11,327 | (7,313 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 1.064% | 3-month USD-LIBOR | 10/11/22 | USD | 460,000 | 15,473 | (11,458 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Goldman Sachs International | Pay | 1.233% | 3-month USD-LIBOR | 12/16/22 | USD | 427,500 | 13,979 | (14,025 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Goldman Sachs International | Pay | 1.245% | 3-month USD-LIBOR | 12/16/22 | USD | 427,500 | 13,979 | (14,293 | ) | ||||||||||||||
Call on 10-Year Interest Rate Swap(4) | Morgan Stanley & Co. International PLC | Pay | 0.743% | 3-month USD-LIBOR | 04/19/21 | USD | 820,000 | 22,776 | (4,009 | ) | ||||||||||||||
Call on 1-Year Interest Rate Swap(4) | Morgan Stanley & Co. International PLC | Pay | 0.410% | 3-month USD-LIBOR | 03/17/21 | USD | 5,250,000 | 8,925 | (12,115 | ) | ||||||||||||||
Call on 2-Year interest Rate Swap(4) | JPMorgan Chase Bank N.A. | Pay | 2.436% | 3-month USD-LIBOR | 02/01/21 | USD | 3,300,000 | 24,629 | (148,169 | ) | ||||||||||||||
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 | (27,163 | ) | ||||||||||||||
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 | (14,664 | ) | ||||||||||||||
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 | (18,756 | ) | ||||||||||||||
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 | (11,590 | ) | ||||||||||||||
Call on 5-Year Interest Rate Swap(4) | Deutsche Bank AG | Pay | 0.478% | 3-month USD-LIBOR | 01/19/21 | USD | 1,280,000 | 3,302 | (3,708 | ) | ||||||||||||||
Put on 10-Year interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.788% | 3-month USD-LIBOR | 03/08/21 | USD | 1,312,000 | 39,114 | (9 | ) | ||||||||||||||
Put on 10-Year interest Rate Swap(1) | Barclays Bank PLC | Receive | 3.050% | 3-month USD-LIBOR | 03/12/29 | USD | 700,000 | 37,135 | (15,490 | ) | ||||||||||||||
Put on 10-Year interest Rate Swap(1) | Barclays Bank PLC | Receive | 3.870% | 3-month USD-LIBOR | 06/07/21 | USD | 1,770,000 | 34,676 | (39 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 0.950% | 3-month USD-LIBOR | 08/04/21 | USD | 490,000 | 5,439 | (10,523 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.000% | 3-month USD-LIBOR | 06/01/21 | USD | 2,320,000 | 34,974 | (34,342 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.050% | 3-month USD-LIBOR | 06/11/21 | USD | 540,000 | 7,695 | (7,218 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.225% | 3-month USD-LIBOR | 12/15/22 | USD | 855,000 | 27,959 | (28,192 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.600% | 3-month USD-LIBOR | 03/04/22 | USD | 583,000 | 9,620 | (5,736 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.850% | 3-month USD-LIBOR | 02/22/22 | USD | 630,000 | 10,836 | (3,649 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.850% | 3-month USD-LIBOR | 02/22/22 | USD | 630,000 | 11,088 | (3,649 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.100% | 3-month USD-LIBOR | 01/06/22 | USD | 900,000 | 20,644 | (2,558 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.150% | 3-month USD-LIBOR | 01/10/22 | USD | 890,000 | 20,693 | (2,336 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.750% | 3-month USD-LIBOR | 05/09/22 | USD | 2,550,000 | 73,975 | (4,250 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.750% | 3-month USD-LIBOR | 08/08/22 | USD | 960,000 | 11,568 | (2,232 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 3.250% | 3-month USD-LIBOR | 08/08/22 | USD | 960,000 | 5,712 | (1,098 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | BNP Paribas | Receive | 0.715% | 3-month USD-LIBOR | 06/29/21 | USD | 555,000 | 14,506 | (18,903 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 1.100% | 3-month USD-LIBOR | 07/14/21 | USD | 350,000 | 3,710 | (4,681 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 1.100% | 3-month USD-LIBOR | 07/16/21 | USD | 360,000 | 3,600 | (4,874 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 1.254% | 3-month USD-LIBOR | 12/30/22 | USD | 470,000 | 15,498 | (15,161 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.665% | 3-month USD-LIBOR | 07/14/21 | USD | 560,000 | 14,308 | (21,750 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.717% | 3-month USD-LIBOR | 04/16/21 | USD | 255,000 | 7,038 | (7,323 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.740% | 3-month USD-LIBOR | 05/02/22 | USD | 550,000 | 19,030 | (27,552 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (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(1) | Deutsche Bank AG | Receive | 0.742% | 3-month USD-LIBOR | 06/25/21 | USD | 555,000 | $ | 14,610 | $ | (17,696 | ) | ||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.746% | 3-month USD-LIBOR | 06/02/21 | USD | 1,090,000 | 27,332 | (32,640 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.765% | 3-month USD-LIBOR | 04/15/21 | USD | 255,000 | 6,993 | (6,390 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.930% | 3-month USD-LIBOR | 10/06/21 | USD | 470,000 | 11,327 | (12,427 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.950% | 3-month USD-LIBOR | 08/05/21 | USD | 540,000 | 6,183 | (11,673 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.064% | 3-month USD-LIBOR | 10/11/22 | USD | 460,000 | 15,473 | (17,547 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.150% | 3-month USD-LIBOR | 01/10/22 | USD | 320,000 | 4,832 | (6,678 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.450% | 3-month USD-LIBOR | 09/30/21 | USD | 1,080,000 | 7,712 | (8,351 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.600% | 3-month USD-LIBOR | 02/28/22 | USD | 600,000 | 10,950 | (5,817 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.600% | 3-month USD-LIBOR | 03/03/22 | USD | 600,000 | 10,680 | (5,888 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.600% | 3-month USD-LIBOR | 03/04/22 | USD | 930,000 | 15,624 | (9,150 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.150% | 3-month USD-LIBOR | 11/04/21 | USD | 1,223,000 | 16,633 | (21,619 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.233% | 3-month USD-LIBOR | 12/16/22 | USD | 427,500 | 13,979 | (13,959 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.245% | 3-month USD-LIBOR | 12/16/22 | USD | 427,500 | 13,979 | (13,714 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 2.750% | 3-month USD-LIBOR | 08/02/22 | USD | 950,000 | 13,015 | (2,167 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 3.250% | 3-month USD-LIBOR | 08/02/22 | USD | 950,000 | 6,223 | (1,065 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 0.743% | 3-month USD-LIBOR | 04/19/21 | USD | 820,000 | 22,776 | (22,081 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.950% | 3-month USD-LIBOR | 01/28/22 | USD | 880,000 | 20,570 | (3,768 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 2.250% | 3-month USD-LIBOR | 08/20/24 | USD | 980,000 | 29,054 | (18,251 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 3.000% | 3-month USD-LIBOR | 06/13/24 | USD | 930,000 | 25,539 | (6,755 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 3.000% | 3-month USD-LIBOR | 06/20/24 | USD | 930,000 | 22,714 | (6,824 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 3.500% | 3-month USD-LIBOR | 06/13/24 | USD | 930,000 | 15,565 | (3,874 | ) | ||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 3.500% | 3-month USD-LIBOR | 06/20/24 | USD | 930,000 | 13,630 | (3,918 | ) | ||||||||||||||
Put on 1-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.150% | 3-month USD-LIBOR | 05/28/21 | USD | 14,860,000 | 41,682 | — | |||||||||||||||
Put on 1-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 2.350% | 3-month USD-LIBOR | 05/17/21 | USD | 10,930,000 | 21,669 | — | |||||||||||||||
Put on 1-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 2.400% | 3-month USD-LIBOR | 06/01/21 | USD | 18,400,000 | 33,304 | — | |||||||||||||||
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 | (18 | ) | ||||||||||||||
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 | (19 | ) | ||||||||||||||
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 | (24 | ) | ||||||||||||||
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 | (31 | ) | ||||||||||||||
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 | (5 | ) | ||||||||||||||
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 | (14 | ) | ||||||||||||||
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 | (11 | ) | ||||||||||||||
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 | (24 | ) | ||||||||||||||
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 | (6 | ) |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | $ | (21 | ) | ||||||||||||
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 | (5 | ) | ||||||||||||||
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 | (14 | ) | ||||||||||||||
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 | (8 | ) | ||||||||||||||
Put on 2-Year interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 2.436% | 3-month USD-LIBOR | 02/01/21 | USD | 3,300,000 | 26,341 | — | |||||||||||||||
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 | (28 | ) | ||||||||||||||
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 | (38 | ) | ||||||||||||||
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 | (36 | ) | ||||||||||||||
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 | (139 | ) | ||||||||||||||
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 | (246 | ) | ||||||||||||||
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 | (963 | ) | ||||||||||||||
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 | (2,044 | ) | ||||||||||||||
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 | (2,119 | ) | ||||||||||||||
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 | (3,087 | ) | ||||||||||||||
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 | (2,894 | ) | ||||||||||||||
Put on 5-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.478% | 3-month USD-LIBOR | 01/19/21 | USD | 1,280,000 | 3,302 | (949 | ) | ||||||||||||||
Put on 5-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.600% | 3-month USD-LIBOR | 09/03/21 | USD | 1,700,000 | 8,670 | (9,555 | ) | ||||||||||||||
$ | 1,483,290 | $ | (1,187,487 | ) |
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 | $ | 106,572 | |||||||||||
$ | 30,883 | $ | 106,572 |
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 | $ | (34,093 | ) | |||||||||||||
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 | (34,093 | ) | |||||||||||||||
$ | 16,497 | $ | (68,186 | ) |
(1) | Portfolio receives the exercise rate semi-annually and pays the floating rate index quarterly. | |
(2) | Portfolio receives the exercise rate semi-annually and pays the floating rate index semi-annually. | |
(3) | Portfolio pays the exercise rate semi-annually and receives the floating rate index semi-annually. | |
(4) | Portfolio pays the exercise rate semi-annually and receives the floating rate index quarterly. | |
(5) | Portfolio receives the exercise rate annually and pays the floating rate index semi-annually. |
VY® BLACKROCK INFLATION | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
CAD — Canadian Dollar
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||
Interest rate contracts | Investments in securities at value* | $ | 1,018,632 | |||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 4,043 | ||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 99,370 | ||||||
Interest rate contracts | Net Assets — Unrealized appreciation*** | 4,273,102 | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 760,867 | ||||||
Total Asset Derivatives | $ | 6,156,014 | ||||||
Liability Derivatives | ||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 241,343 | |||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 37,135 | ||||||
Interest rate contracts | Net Assets — Unrealized depreciation*** | 3,091,607 | ||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 461 | ||||||
Interest rate contracts | Written options, at fair value | 1,314,217 | ||||||
Total Liability Derivatives | $ | 4,684,763 |
* | 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 | $ | 107,595 | $ | (1,053,595 | ) | $ | — | $ | — | $ | 27,379 | $ | (918,621 | ) | ||||||||||||||||
Interest rate contracts | (375,766 | ) | — | 909,161 | (800,441 | ) | 766,006 | 498,960 | ||||||||||||||||||||||
Total | $ | (268,171 | ) | $ | (1,053,595 | ) | $ | 909,161 | $ | (800,441 | ) | $ | 793,385 | $ | (419,661 | ) |
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 | $ | 16,346 | $ | 20,127 | $ | — | $ | — | $ | 3,699 | $ | 40,172 | ||||||||||||||||||
Interest rate contracts | (8,968 | ) | — | 223,237 | 1,534,471 | (254,361 | ) | 1,494,379 | ||||||||||||||||||||||
Total | $ | 7,378 | $ | 20,127 | $ | 223,237 | $ | 1,534,471 | $ | (250,662 | ) | $ | 1,534,551 |
* | 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 | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Barclays Bank PLC | BNP Paribas | Citibank N.A. | Commonwealth Bank of Australia | Deutsche Bank AG | Goldman Sachs International | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | UBS AG | Totals | |||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | 483,926 | $ | — | $ | 248,512 | $ | — | $ | 63,452 | $ | 26,599 | $ | 114,681 | $ | 59,175 | $ | — | $ | 996,345 | ||||||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | 195 | — | — | — | — | — | 3,848 | 4,043 | ||||||||||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | 760,867 | — | — | — | — | — | — | 760,867 | ||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 483,926 | $ | — | $ | 1,009,574 | $ | 63,452 | $ | 26,599 | $ | 114,681 | $ | 59,175 | $ | 3,848 | $ | 1,761,255 | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | — | $ | — | $ | 753 | $ | 290 | $ | 35,449 | $ | 53,701 | $ | — | $ | — | $ | 151,150 | 241,343 | |||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | 461 | — | — | — | — | — | — | 461 | ||||||||||||||||||||||||||||||||||||||||
Written options | 564,634 | 22,435 | 108,848 | 230,537 | 96,200 | 151,402 | 81,617 | 1,255,673 | ||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 564,634 | $ | 22,435 | $ | 110,062 | $ | 290 | $ | 265,986 | $ | 149,901 | $ | 151,402 | $ | 81,617 | $ | 151,150 | $ | 1,497,477 | ||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (80,708 | ) | $ | (22,435 | ) | $ | 899,512 | $ | (290 | ) | $ | (202,534 | ) | $ | (123,302 | ) | $ | (36,721 | ) | $ | (22,442 | ) | $ | (147,302 | ) | $ | 263,778 | ||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | 22,435 | $ | (899,512 | ) | $ | — | $ | 190,000 | $ | 50,000 | $ | — | $ | 22,442 | $ | — | $ | (614,635 | ) | ||||||||||||||||||||||||||||
Net Exposure(1)(2) | $ | (80,708 | ) | $ | — | $ | — | $ | (290 | ) | $ | (12,534 | ) | $ | (73,302 | ) | $ | (36,721 | ) | $ | — | $ | (147,302 | ) | $ | (350,857 | ) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. | |
(2) | At December 31, 2020, the Portfolio had pledged $30,000 and $30,000, respectively, in cash collateral to BNP Paribas and Morgan Stanley & Co. International PLC, respectively. In addition, the Portfolio had received $910,000 in cash collateral from Citibank N.A.. Excess cash collateral is not shown for financial reporting purposes. |
Cost for federal income tax purposes was $267,287,254. | ||||||
Net unrealized appreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 31,777,049 | ||||
Gross Unrealized Depreciation | (4,383,099 | ) | ||||
Net Unrealized Appreciation | $ | 27,393,950 |
VY® BrandywineGLOBAL — Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 54.9% | ||||||||||||
Basic Materials: 3.7% | ||||||||||||
7,005,000 | Freeport-McMoRan, Inc., 5.450%, 03/15/2043 | $ | 8,734,254 | 2.7 | ||||||||
2,895,000 | Steel Dynamics, Inc., 3.250%, 10/15/2050 | 3,029,528 | 1.0 | |||||||||
11,763,782 | 3.7 | |||||||||||
Communications: 0.9% | ||||||||||||
780,000 | Walt Disney Co/The, 4.625%, 03/23/2040 | 1,042,437 | 0.3 | |||||||||
1,370,000 | Walt Disney Co/The, 4.700%, 03/23/2050 | 1,935,158 | 0.6 | |||||||||
2,977,595 | 0.9 | |||||||||||
Consumer, Cyclical: 8.8% | ||||||||||||
3,010,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 3,287,893 | 1.0 | ||||||||
1,070,000 | (1) | Delta Air Lines, Inc., 7.000%, 05/01/2025 | 1,236,082 | 0.4 | ||||||||
1,400,000 | General Motors Co., 6.250%, 10/02/2043 | 1,888,625 | 0.6 | |||||||||
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,183,152 | 0.4 | |||||||||
4,395,000 | General Motors Financial Co., Inc., 1.285%, (SOFRRATE + 1.200%), 11/17/2023 | 4,405,665 | 1.4 | |||||||||
6,050,000 | Marriott International, Inc./MD, 3.500%, 10/15/2032 | 6,631,186 | 2.1 | |||||||||
2,610,000 | Southwest Airlines Co., 5.125%, 06/15/2027 | 3,107,114 | 1.0 | |||||||||
3,015,000 | Walgreens Boots Alliance, Inc., 4.100%, 04/15/2050 | 3,202,971 | 1.0 | |||||||||
2,636,000 | Walgreens Boots Alliance, Inc., 4.650%, 06/01/2046 | 2,945,495 | 0.9 | |||||||||
27,888,183 | 8.8 | |||||||||||
Consumer, Non-cyclical: 3.2% | ||||||||||||
7,585,000 | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 10,253,215 | 3.2 | |||||||||
Energy: 12.1% | ||||||||||||
3,925,000 | Apache Corp., 4.250%, 01/15/2044 | 3,882,335 | 1.2 | |||||||||
2,570,000 | Concho Resources, Inc., 4.875%, 10/01/2047 | 3,481,119 | 1.1 | |||||||||
1,165,000 | Devon Energy Corp., 4.750%–5.600%, 07/15/2041–06/15/2045 | 1,392,470 | 0.4 | |||||||||
1,460,000 | Exxon Mobil Corp., 3.452%, 04/15/2051 | 1,668,711 | 0.5 | |||||||||
5,465,000 | Hess Corp., 5.600%, 02/15/2041 | 6,669,477 | 2.1 | |||||||||
5,710,000 | Marathon Oil Corp., 6.600%, 10/01/2037 | 7,053,940 | 2.2 | |||||||||
3,905,000 | Occidental Petroleum Corp., 3.500%, 08/15/2029 | 3,579,987 | 1.1 | |||||||||
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 676,156 | 0.2 | |||||||||
6,160,000 | Petroleos Mexicanos, 7.690%, 01/23/2050 | 6,221,600 | 2.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Energy: (continued) | ||||||||||||
1,825,000 | (1) | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | $ | 1,850,764 | 0.6 | |||||||
1,960,000 | Total Capital International SA, 3.127%, 05/29/2050 | 2,126,335 | 0.7 | |||||||||
38,602,894 | 12.1 | |||||||||||
Financial: 11.8% | ||||||||||||
2,880,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 3,641,217 | 1.2 | ||||||||
5,380,000 | Bank of Montreal, 0.768%, (SOFRRATE + 0.680%), 03/10/2023 | 5,427,996 | 1.7 | |||||||||
7,100,000 | Bank of Nova Scotia/The, 0.639%, (SOFRRATE + 0.550%), 09/15/2023 | 7,145,851 | 2.3 | |||||||||
5,095,000 | Canadian Imperial Bank of Commerce, 0.889%, (SOFRRATE + 0.800%), 03/17/2023 | 5,144,278 | 1.6 | |||||||||
410,000 | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 434,114 | 0.1 | |||||||||
6,425,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 7,911,767 | 2.5 | ||||||||
3,300,000 | (1) | Metropolitan Life Global Funding I, 0.655%, (SOFRRATE + 0.570%), 01/13/2023 | 3,317,855 | 1.0 | ||||||||
1,440,000 | (1) | Teachers Insurance & Annuity Association of America, 3.300%, 05/15/2050 | 1,569,279 | 0.5 | ||||||||
2,930,000 | Wells Fargo & Co., 1.240%, (US0003M + 1.025%), 07/26/2021 | 2,946,023 | 0.9 | |||||||||
37,538,380 | 11.8 | |||||||||||
Industrial: 4.9% | ||||||||||||
1,230,000 | Boeing Co/The, 3.950%, 08/01/2059 | 1,316,486 | 0.4 | |||||||||
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 1,036,427 | 0.3 | |||||||||
2,065,000 | Boeing Co/The, 5.805%, 05/01/2050 | 2,852,756 | 0.9 | |||||||||
1,225,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,737,862 | 0.6 | |||||||||
5,220,000 | General Electric Co., 4.350%, 05/01/2050 | 6,348,585 | 2.0 | |||||||||
2,085,000 | Valmont Industries, Inc., 5.000%, 10/01/2044 | 2,419,714 | 0.7 | |||||||||
15,711,830 | 4.9 | |||||||||||
Technology: 7.1% | ||||||||||||
5,360,000 | (1) | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 6,568,869 | 2.1 | ||||||||
160,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 206,731 | 0.1 | |||||||||
1,920,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 2,530,801 | 0.8 | |||||||||
6,105,000 | International Business Machines Corp., 4.250%, 05/15/2049 | 8,017,058 | 2.5 |
VY® BrandywineGLOBAL — Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Technology: (continued) | ||||||||||||
2,700,000 | Oracle Corp., 3.600%, 04/01/2050 | $ | 3,153,249 | 1.0 | ||||||||
1,730,000 | Oracle Corp., 3.850%, 04/01/2060 | 2,127,528 | 0.6 | |||||||||
22,604,236 | 7.1 | |||||||||||
Utilities: 2.4% | ||||||||||||
2,515,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 2,847,697 | 0.9 | ||||||||
2,530,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 2,740,369 | 0.9 | ||||||||
1,680,000 | Consolidated Edison Co. of New York, Inc., 3.350%, 04/01/2030 | 1,927,177 | 0.6 | |||||||||
7,515,243 | 2.4 | |||||||||||
Total Corporate Bonds/Notes (Cost $157,093,109) | 174,855,358 | 54.9 | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 1.5% | ||||||||||||
1,584,844 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 1,610,444 | 0.5 | ||||||||
850,652 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 872,070 | 0.3 | ||||||||
2,167,154 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 2,208,048 | 0.7 | ||||||||
Total Collateralized Mortgage Obligations (Cost $4,543,050) | 4,690,562 | 1.5 | ||||||||||
U.S. TREASURY OBLIGATIONS: 28.1% | ||||||||||||
U.S. Treasury Floating Rate Notes: 28.1% | ||||||||||||
31,520,000 | 0.150%, (USBMMY3M + 0.055%),07/31/2022 | 31,523,763 | 9.9 | |||||||||
21,755,000 | 0.150%, (USBMMY3M + 0.055%),10/31/2022 | 21,754,949 | 6.8 | |||||||||
36,350,000 | 0.209%, (USBMMY3M + 0.114%),04/30/2022 | 36,383,591 | 11.4 | |||||||||
Total U.S. Treasury Obligations (Cost $89,663,884) | 89,662,303 | 28.1 | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 5.4% | ||||||||||||
Federal Home Loan Bank: 3.1% | ||||||||||||
9,800,000 | 1.875%,07/07/2021 | 9,889,172 | 3.1 | |||||||||
Federal Home Loan Mortgage Corporation: 2.3% | ||||||||||||
7,300,000 | 1.125%,08/12/2021 | 7,345,260 | 2.3 | |||||||||
Total U.S. Government Agency Obligations (Cost $17,096,378) | 17,234,432 | 5.4 | ||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.5% | ||||||||||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.139%, (US0001M + 0.980%), 05/15/2036 | 1,525,083 | 0.5 | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | ||||||||||||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.656%, 10/25/2045 | $ | 9,763,752 | 3.0 | |||||||
Total Commercial Mortgage-Backed Securities (Cost $11,125,116) | 11,288,835 | 3.5 | ||||||||||
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 | 794,918 | 0.3 | ||||||||
Total Asset-Backed Securities (Cost $695,904) | 794,918 | 0.3 | ||||||||||
Total Long-Term Investments (Cost $280,217,441) | 298,526,408 | 93.7 |
Shares | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 0.6% | ||||||||||||
Mutual Funds: 0.6% | ||||||||||||
1,927,459 | (3) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.000% (Cost $1,927,459) | 1,927,459 | 0.6 | ||||||||
Total Short-Term Investments (Cost $1,927,459) | 1,927,459 | 0.6 | ||||||||||
Total Investments in Securities (Cost $282,144,900) | $ | 300,453,867 | 94.3 | |||||||||
Assets in Excess of Other Liabilities | 18,211,505 | 5.7 | ||||||||||
Net Assets | $ | 318,665,372 | 100.0 |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 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 December 31, 2020. | |
(3) | Rate shown is the 7-day yield as of December 31, 2020. | |
SOFRRATE | Secured Overnight Financing Rate | |
US0001M | 1-month LIBOR | |
US0003M | 3-month LIBOR | |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
VY® BrandywineGLOBAL — Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2020 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 174,855,358 | $ | — | $ | 174,855,358 | ||||||||||||
Collateralized Mortgage Obligations | — | 4,690,562 | — | 4,690,562 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 11,288,835 | — | 11,288,835 | ||||||||||||||||
U.S. Government Agency Obligations | — | 17,234,432 | — | 17,234,432 | ||||||||||||||||
Asset-Backed Securities | — | 794,918 | — | 794,918 | ||||||||||||||||
U.S. Treasury Obligations | — | 89,662,303 | — | 89,662,303 | ||||||||||||||||
Short-Term Investments | 1,927,459 | — | — | 1,927,459 | ||||||||||||||||
Total Investments, at fair value | $ | 1,927,459 | $ | 298,526,408 | $ | — | $ | 300,453,867 | ||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Futures | 378,359 | — | — | 378,359 | ||||||||||||||||
Total Assets | $ | 2,305,818 | $ | 298,526,408 | $ | — | $ | 300,832,226 |
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. |
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts: | ||||||||||||||||||
U.S. Treasury Ultra Long Bond | (263) | 03/22/21 | $ | (56,166,938 | ) | $ | 378,359 | |||||||||||
$ | (56,166,938 | ) | $ | 378,359 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||
---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||
Interest rate contracts | Net Assets- Unrealized appreciation* | $ | 378,359 | ||||
Total Asset Derivatives | $ | 378,359 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table within the Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||
Derivatives not accounted for as hedging instruments | Futures | ||||
Interest rate contracts | $1,715,341 | ||||
Total | $1,715,341 | ||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||
Derivatives not accounted for as hedging instruments | Futures | ||||
Interest rate contracts | $ 378,359 | ||||
Total | $ 378,359 |
VY® BrandywineGLOBAL — Bond Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2020 (CONTINUED) |
Cost for federal income tax purposes was $282,523,259. | ||||
Net unrealized appreciation consisted of: | ||||
Gross Unrealized Appreciation | $ | 18,339,270 | ||
Gross Unrealized Depreciation | (30,303 | ) | ||
Net Unrealized Appreciation | $ | 18,308,967 |
Portfolio Name | Type | Per Share Amount | ||||||
---|---|---|---|---|---|---|---|---|
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||
Class ADV | NII | $0.0803 | ||||||
Class I | NII | $0.1256 | ||||||
Class S | NII | $0.0987 | ||||||
All Classes | ROC | $0.0561 | ||||||
VY® BrandywineGLOBAL — Bond Portfolio | NII | $0.2137 | ||||||
STCG | $0.0847 |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||
---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees: | ||||||||||
Colleen D. Baldwin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 60 | Trustee Chairperson | November 2007–Present January 2020–Present | President, Glantuam Partners, LLC, a business consulting firm (January 2009– Present). | 133 | Dentaquest (February 2014–Present); RSR Partners, Inc. (2016–Present). | |||||
John V. Boyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Trustee | January 2005–Present | Retired. Formerly, President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008– December 2019). | 133 | None. | |||||
Patricia W. Chadwick 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 72 | Trustee | January 2006–Present | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | 133 | Wisconsin Energy Corporation (June 2006–Present); The Royce Funds (22 funds) (December 2009–Present); and AMICA Mutual Insurance Company (1992–Present). | |||||
Martin J. Gavin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, AZ 85258 Age: 70 | Trustee | August 2015–Present | Retired. Formerly, President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006–November 2015). | 133 | None. | |||||
Joseph E. Obermeyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 63 | Trustee | May 2013–Present | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). | 133 | None. | |||||
Sheryl K. Pressler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 70 | Trustee | January 2006–Present | Consultant (May 2001– Present). | 133 | None. | |||||
Christopher P. Sullivan 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 67 | Trustee | October 2015–Present | Retired. | 133 | None. |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||
---|---|---|---|---|---|---|---|---|---|---|
Trustee who is an “interested person”: | ||||||||||
Dina Santoro 230 Park Avenue New York, New York 10169 Age: 47 | Trustee | July 2018–Present | President, Voya Investments, LLC and Voya Capital, LLC (March 2018–Present); Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017–Present). Formerly, Managing Director, Quantitative Management Associates, LLC (January 2004–August 2017). | 133 | Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (March 2018–Present); Voya Investments Distributor, LLC (April 2018–Present). |
(1) | Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). | |
(2) | For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Government Money Market Portfolio; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya International High Dividend Equity Income Fund; Voya Investors Trust; Voya Mutual Funds; Voya Natural Resources Equity Income Fund; Voya Partners, Inc.; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2021. |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||
---|---|---|---|---|---|---|
Michael Bell One Orange Way Windsor, Connecticut 06095 Age: 52 | Chief Executive Officer | March 2018–Present | Chief Executive Officer and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (March 2018–Present); Senior Vice President and Chief Financial Officer, Voya Investments Distributor, LLC (September 2019–Present); Chief Financial Officer, Voya Investment Management (September 2014–Present). Formerly, Senior Vice President, Chief Financial Officer and Treasurer, Voya Investments, LLC (November 2015–March 2018). | |||
Dina Santoro 230 Park Avenue New York, New York 10169 Age: 47 | President | March 2018–Present | President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018–Present); Director, Voya Funds Services, LLC (March 2018–Present); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017–Present). Formerly, Managing Director, Quantitative Management Associates, LLC (January 2004–August 2017). | |||
Jonathan Nash 230 Park Avenue New York, New York 10169 Age: 53 | Executive Vice President Chief Investment Risk Officer | March 2020–Present March 2020–Present | Senior Vice President, Investment Risk Management, Voya Investment Management (March 2017–Present); Formerly, Consultant, DA Capital LLC (January 2016–March 2017); Managing Director, Enterprise Risk, American International Group (AIG) (September 2014–March 2015). | |||
James M. Fink 5780 Powers Ferry Road NW Atlanta, Georgia 30327 Age: 62 | Executive Vice President | March 2018–Present | Managing Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (March 2018–Present); Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Chief Administrative Officer, Voya Investment Management (September 2017–Present). Formerly, Managing Director, Operations, Voya Investment Management (March 1999–September 2017). | |||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Chief Compliance Officer | February 2012–Present | Senior Vice President, Voya Investment Management and Chief Compliance Officer, Voya Family of Funds (February 2012–Present). | |||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 53 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | President, Voya Funds Services, LLC (March 2018–Present) and Senior Vice President, Voya Investments, LLC (April 2005–Present). | |||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 56 | Senior Vice President | November 2003–Present | Senior Vice President, Voya Investments, LLC (September 2003–Present). | |||
Micheline S. Faver 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Senior Vice President | September 2020–Present | Vice President, Head of Fund Compliance and Chief Compliance Officer, Voya Investments, LLC (June 2016–Present). Formerly, Vice President, Mutual Fund Compliance (March 2014–June 2016). | |||
Robert Terris 5780 Powers Ferry Road NW Atlanta, Georgia 30327 Age: 50 | Senior Vice President | May 2006–Present | Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Senior Vice President, Head of Investment Services, Voya Investments, LLC (April 2018–Present) and Voya Funds Services, LLC (March 2006–Present). Formerly, Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015–April 2018). |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||
---|---|---|---|---|---|---|
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Vice President and Treasurer | September 2012–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2012–Present). | |||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Vice President | September 2004–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (September 2004–Present). | |||
Sara M. Donaldson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Vice President | September 2014–Present | Vice President, Voya Investments, LLC (October 2015–Present). | |||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 53 | Vice President | VIT: November 1999–Present VVIT: October 2000–Present | Vice President, Voya Funds Services, LLC (November 1995–Present) and Voya Investments, LLC (August 1997–Present). | |||
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 44 | Vice President | September 2012–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). | |||
Andrew K. Schlueter 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 44 | Vice President | March 2018–Present | Vice President, Voya Investments Distributor, LLC (April 2018–Present); Vice President, Voya Investments, LLC and Voya Funds Services, LLC (March 2018–Present); Vice President, Head of Mutual Fund Operations, Voya Investment Management (February 2018–Present). Formerly, Vice President, Voya Investment Management (March 2014–February 2018). | |||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 51 | Vice President | May 2013–Present | Vice President — Director of Tax, Voya Investments, LLC (October 2015–Present). | |||
Monia Piacenti One Orange Way Windsor, Connecticut 06095 Age: 44 | Anti-Money Laundering Officer | June 2018–Present | Anti-Money Laundering Officer, Voya Investments Distributor, LLC, Voya Investment Management and Voya Investment Management Trust Co. (June 2018–Present); Compliance Consultant, Voya Financial, Inc. (January 2019–Present). Formerly, Senior Compliance Officer, Voya Investment Management (December 2009–December 2018). | |||
Joanne F. Osberg 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 39 | Secretary | September 2020–Present | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (September 2020–Present). Formerly, Vice President, Counsel II, Voya Investment Management — Mutual Fund Legal Department (January 2013–September 2020). | |||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 69 | Assistant Secretary | June 2010–Present | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
(1) | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
Voya Investments, LLC
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
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
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 | ![]() |
VPAR-VIT3AIS (1220-022321) |
Item 2. Code of Ethics.
As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code during the period covered by this report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Ex-99.CODE ETH.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Colleen D. Baldwin, Martin J. Gavin, and Joseph E. Obermeyer are audit committee financial experts, as defined in Item 3 of Form N-CSR. Ms. Baldwin, Mr. Gavin, and Mr. Obermeyer are “independent” for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Below are the amount of fees that Ernst & Young LLP (“EY”), the Funds’ current Independent Registered Public Accounting Firm, billed to the Funds during the Funds’ fiscal year ended December 31, 2020 and the amount of fees that KPMG LLP (“KPMG”), the Funds’ prior Independent Registered Public Accounting Firm, billed to the Funds during the Funds’ fiscal year ended December 31, 2019.
(a) | Audit Fees(1): The aggregate fees billed for each of the last two fiscal years for professional services rendered by EY and KPMG, the principal accountant for the audit of each respective registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $29,628 for the year ended December 31, 2020 and $26,525 for the year ended December 31, 2019. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by EY and KPMG that are reasonably related to the performance of the audit of each respective registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the year ended December 31, 2020 and $0 for the year ended December 31, 2019. |
(c) | Tax Fees(2): The aggregate fees billed in each of the last two fiscal years for professional services rendered by EY and KPMG for tax compliance, tax advice, and tax planning were $1,325 for the year ended December 31, 2020 and $5,107 for the year ended December 31, 2019. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state, and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees(3): The aggregate fees billed in each of the last two fiscal years for products and services provided by EY and KPMG, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the year ended December 31, 2020 and $62 for the year ended December 31, 2019. |
(1) For the year ended December 31, 2020, KPMG billed $0 for Audit Fees.
(2) For the year ended December 31, 2020, KPMG billed $22 for Tax Fees.
(3) For the year ended December 31, 2020, KPMG billed $0 for All Other Fees.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
Appendix A
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY
I. | Statement of Principles |
Under the Sarbanes-Oxley Act of 2002 (the “Act”), the Audit Committee of the Board of Directors or Trustees (the “Committee”) of the Voya funds (each a “Fund,” collectively, the “Funds”) set out on Exhibit A to this Audit and Non-Audit Services Pre-Approval Policy (“Policy”) is responsible for the oversight of the work of the Funds’ independent auditors. As part of its responsibilities, the Committee must pre-approve the audit and non-audit services performed by the auditors in order to assure that the provision of these services does not impair the auditors’ independence from the Funds. The Committee has adopted, and the Board has ratified, this Policy, which sets out the procedures and conditions under which the services of the independent auditors may be pre-approved.
Under Securities and Exchange Commission (“SEC”) rules promulgated in accordance with the Act, the Funds may establish two different approaches to pre-approving audit and non-audit services. The Committee may approve services without consideration of specific case-by-case services (“general pre-approval”) or it may pre-approve specific services (“specific pre-approval”). The Committee believes that the combination of these approaches contemplated in this Policy results in an effective and efficient method for pre-approving audit and non-audit services to be performed by the Funds’ independent auditors. Under this Policy, services that are not of a type that may receive general pre-approval require specific pre-approval by the Committee. Any proposed services that exceed pre-approved cost levels or budgeted amounts will also require the Committee’s specific pre-approval.
For both types of approval, the Committee considers whether the subject services are consistent with the SEC’s rules on auditor independence and that such services are compatible with maintaining the auditors independence. The Committee also considers whether a particular audit firm is in the best position to provide effective and efficient services to the Funds. Reasons that the auditors are in the best position include the auditors’ familiarity with the Funds’ business, personnel, culture, accounting systems, risk profile, and other factors, and whether the services will enhance the Funds’ ability to manage and control risk or improve audit quality. Such factors will be considered as a whole, with no one factor being determinative.
The appendices attached to this Policy describe the audit, audit-related, tax-related, and other services that have the Committee’s general pre-approval. For any service that has been approved through general pre-approval, the general pre-approval will remain in place for a period 12 months from the date of pre-approval, unless the Committee determines that a different period is appropriate. The Committee will annually review and pre-approve the services that may be provided by the independent auditors without specific pre-approval. The Committee will revise the list of services subject to general pre-approval as appropriate. This Policy does not serve as a delegation to Fund management of the Committee’s duty to pre-approve services performed by the Funds’ independent auditors.
II. | Audit Services |
The annual audit services engagement terms and fees are subject to the Committee’s specific pre-approval. Audit services are those services that are normally provided by auditors in connection with statutory and regulatory filings or engagements or those that generally only independent auditors can reasonably provide. They include the Funds’ annual financial statement audit and procedures that the independent auditors must perform in order to form an opinion on the Funds’ financial statements (e.g., information systems and procedural reviews and testing). The Committee will monitor the audit services engagement and approve any changes in terms, conditions or fees deemed by the Committee to be necessary or appropriate.
The Committee may grant general pre-approval to other audit services, such as statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or issued in connection with securities offerings.
The Committee has pre-approved the audit services listed on Appendix A. The Committee must specifically approve all audit services not listed on Appendix A.
III. | Audit-related Services |
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or the review of the Funds’ financial statements or are traditionally performed by the independent auditors. The Committee believes that the provision of audit-related services will not impair the independent auditors’ independence, and therefore may grant pre-approval to audit-related services. Audit-related services include accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures relating to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Form N-SAR or Form N-CSR.
The Committee has pre-approved the audit-related services listed on Appendix B. The Committee must specifically approve all audit-related services not listed on Appendix B.
IV. | Tax Services |
The Committee believes the independent auditors can provide tax services to the Funds, including tax compliance, tax planning, and tax advice, without compromising the auditors’ independence. Therefore, the Committee may grant general pre-approval with respect to tax services historically provided by the Funds’ independent auditors that do not, in the Committee’s view, impair auditor independence and that are consistent with the SEC’s rules on auditor independence.
The Committee will not grant pre-approval if the independent auditors initially recommends a transaction the sole business purpose of which is tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Committee may consult outside counsel to determine that tax planning and reporting positions are consistent with this Policy.
The Committee has pre-approved the tax-related services listed on Appendix C. The Committee must specifically approve all tax-related services not listed on Appendix C.
V. | Other Services |
The Committee believes it may grant approval of non-audit services that are permissible services for independent auditors to a Fund. The Committee has determined to grant general pre-approval to other services that it believes are routine and recurring, do not impair auditor independence, and are consistent with SEC rules on auditor independence.
The Committee has pre-approved the non-audit services listed on Appendix D. The Committee must specifically approve all non-audit services not listed on Appendix D.
A list of the SEC’s prohibited non-audit services is attached to this Policy as Appendix E. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these impermissible services and the applicability of exceptions to certain of the SEC’s prohibitions.
VI. | Pre-approval of Fee levels and Budgeted Amounts |
The Committee will annually establish pre-approval fee levels or budgeted amounts for audit, audit-related, tax and non-audit services to be provided to the Funds by the independent auditors. Any proposed services exceeding these levels or amounts require the Committee’s specific pre-approval. The Committee considers fees for audit and non-audit services when deciding whether to pre-approve services. The Committee may determine, for a pre-approval period of 12 months, the appropriate ratio between the total amount of fees for the Fund’s audit, audit-related, and tax services (including fees for services provided to Fund affiliates that are subject to pre-approval), and the total amount of fees for certain permissible non-audit services for the Fund classified as other services (including any such services provided to Fund affiliates that are subject to pre-approval).
VII. | Procedures |
Requests or applications for services to be provided by the independent auditors will be submitted to management. If management determines that the services do not fall within those services generally pre-approved by the Committee and set out in the appendices to these procedures, management will submit the services to the Committee or its delagee. Any such submission will include a detailed description of the services to be rendered. Notwithstanding this paragraph, the Committee will, on a quarterly basis, receive from the independent auditors a list of services provided for the previous calendar quarter on a cumulative basis by the auditors during the Pre-Approval Period.
VIII. | Delegation |
The Committee may delegate pre-approval authority to one or more of the Committee’s members. Any member or members to whom such pre-approval authority is delegated must report any pre-approval decisions, including any pre-approved services, to the Committee at its next scheduled meeting. The Committee will identify any member to whom pre-approval authority is delegated in writing. The member will retain such authority for a period of 12 months from the date of pre-approval unless the Committee determines that a different period is appropriate. The period of delegated authority may be terminated by the Committee or at the option of the member.
IX. | Additional Requirements |
The Committee will take any measures the Committee deems necessary or appropriate to oversee the work of the independent auditors and to assure the auditors’ independence from the Funds. This may include reviewing a formal written statement from the independent auditors delineating all relationships between the auditors and the Funds, consistent with Independence Standards Board No. 1, and discussing with the auditors their methods and procedures for ensuring independence.
Last Approved: November 21, 2019
Appendix A
Pre-Approved Audit Services for the Pre-Approval Period January 1, 2020 through December 31, 2020
Service | ||
The Fund(s) | Fee Range | |
Statutory audits or financial audits (including tax services associated with audit services) | √ | As presented to Audit Committee1 |
Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters. | √ | Not to exceed $9,750 per filing |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. | √ | Not to exceed $8,000 during the Pre-Approval Period |
Seed capital audit and related review and issuance of consent on the N-2 registration statement | √ | Not to exceed $14,750 per audit |
Audit of summary portfolio of investments | √ | Not to exceed $750 per fund |
1 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
Appendix B
Pre-Approved Audit-Related Services for the Pre-Approval Period January 1, 2020 through December 31, 2020
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Services related to Fund mergers (Excludes tax services - See Appendix C for tax services associated with Fund mergers) | √ | √ | Not to exceed $10,000 per merger |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. [Note: Under SEC rules some consultations may be “audit” services and others may be “audit-related” services.] | √ | Not to exceed $5,000 per occurrence during the Pre-Approval Period | |
Review of the Funds’ semi-annual and quarterly financial statements | √ | Not to exceed $2,700 per set of financial statements per fund | |
Reports to regulatory or government agencies related to the annual engagement | √ | Up to $5,000 per occurrence during the Pre-Approval Period | |
Regulatory compliance assistance | √ | √ | Not to exceed $5,000 per quarter |
Training courses | √ | Not to exceed $5,000 per course | |
For Prime Rate Trust, agreed upon procedures for quarterly reports to rating agencies | √ | Not to exceed $9,450 per quarter |
Appendix C
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2020 through December 31, 2020
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Preparation of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions | √ | As presented to Audit Committee2 | |
Review of IRC Sections 851(b) and 817(h) diversification testing on a real-time basis | √ | As presented to Audit Committee2 | |
Tax assistance and advice regarding statutory, regulatory or administrative developments | √ | √ | Not to exceed $5,000 for the Funds or for the Funds’ investment adviser during the Pre-Approval Period |
2 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
Appendix C, continued
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2020 through December 31, 2020
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Tax and technology training sessions | √ | Not to exceed $5,000 per course during the Pre-Approval Period | |
Tax services associated with Fund mergers | √ | √ | Not to exceed $4,000 per fund per merger during the Pre-Approval Period |
Other tax-related assistance and consultation, including, without limitation, assistance in evaluating derivative financial instruments and international tax issues, qualification and distribution issues, year-end reporting for 1099’s, tax compliance services in foreign jurisdictions and similar routine tax consultations as requested. | √ | Not to exceed $300,000 during the Pre-Approval Period |
Appendix D
Pre-Approved Other Services for the Pre-Approval Period January 1, 2020 through December 31, 2020
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Agreed-upon procedures for Class B share 12b-1 programs | √ | Not to exceed $60,000 during the Pre-Approval Period | |
Security counts performed pursuant to Rule 17f-2 of the 1940 Act (i.e., counts for Funds holding securities with affiliated sub-custodians)
Cost to be borne 50% by the Funds and 50% by Voya Investments, LLC.
| √
| √
| Not to exceed $5,700 per Fund during the Pre-Approval Period |
Agreed upon procedures for 15 (c) FACT Books | √ | Not to exceed $50,000 during the Pre-Approval Period |
Appendix E
Prohibited Non-Audit Services
Dated: January 1, 2020 to December 31, 2020
· | Bookkeeping or other services related to the accounting records or financial statements of the Funds |
· | Financial information systems design and implementation |
· | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
· | Actuarial services |
· | Internal audit outsourcing services |
· | Management functions |
· | Human resources |
· | Broker-dealer, investment adviser, or investment banking services |
· | Legal services |
· | Expert services unrelated to the audit |
· | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible |
EXHIBIT A
VOYA ASIA PACIFIC HIGH DIVIDEND EQUITY INCOME FUND
VOYA BALANCED PORTFOLIO, INC.
VOYA EMERGING MARKETS HIGH DIVIDEND EQUITY FUND
VOYA EQUITY TRUST
VOYA FUNDS TRUST
VOYA GLOBAL ADVANTAGE AND PREMIUM OPPORTUNITY FUND
VOYA GLOBAL EQUITY DIVIDEND AND PREMIUM OPPORTUNITY FUND
VOYA INFRASTRUCTURE, INDUSTRIALS, AND MATERIALS FUND
VOYA INTERMEDIATE BOND PORTFOLIO
VOYA INTERNATIONAL HIGH DIVIDEND EQUITY INCOME FUND
VOYA INVESTORS TRUST
VOYA GOVERNMENT MONEY MARKET PORTFOLIO
VOYA MUTUAL FUNDS
VOYA PARTNERS, INC.
VOYA NATURAL RESOURCES EQUITY INCOME FUND
VOYA SENIOR INCOME FUND
VOYA SEPARATE PORTFOLIOS TRUST
VOYA STRATEGIC ALLOCATIONS PORTFOLIOS, INC.
VOYA VARIABLE FUNDS
VOYA VARIABLE INSURANCE TRUST
VOYA VARIABLE PORTFOLIOS INC,
VOYA VARIABLE PRODUCTS TRUST
(e)(2) | Percentage of services referred to in 4(b) – (4)(d) that were approved by the audit committee |
100% of the services were approved by the audit committee.
(f) | Percentage of hours expended attributable to work performed by other than full time employees of EY if greater than 50% |
Not applicable.
(g) | Non-Audit Fees: The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to each Registrant by the independent registered public accounting firm for each Registrant’s fiscal years ended December 31, 2020 and December 31, 2019; and (ii) the aggregate non-audit fees billed to the investment adviser, or any of its affiliates that provide ongoing services to the registrant, by the independent registered public accounting firm for the same time periods. |
Registrant/Investment Adviser | 2020(1) | 2019 | ||||||
Voya Variable Insurance Trust | $ | 1,325 | $ | 5,170 | ||||
Voya Investments, LLC (2) | $ | 14,804,511 | $ | 107,750 |
(1) For the year ended December 31, 2020, KPMG billed the Registrant $22 for Non-Audit Fees.
(2) Each Registrant’s investment adviser and any of its affiliates, which are subsidiaries of Voya Financial, Inc.
(h) | Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining EY’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Complete schedule of investments filed herein.
Report of Independent Registered Public Accounting Firm
To the Shareholders of VY® BlackRock Inflation Protected Bond Portfolio and VY® BrandywineGLOBAL – Bond Portfolio and the Board of Trustees of Voya Investors Trust and Voya Variable Insurance Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of VY® BlackRock Inflation Protected Bond Portfolio and VY® BrandywineGLOBAL – Bond Portfolio (the “Portfolios”) (each a portfolio of Voya Investors Trust and Voya Variable Insurance Trust, respectively (collectively referred to as the “Trusts”)), including the portfolio of investments and summary portfolio of investments, as applicable, as of December 31, 2020, and the related statements of operations and changes in net assets and the financial highlights for the year then ended and the related notes (collectively referred to as the “financial statements”) (the financial statements are included in Item 1 of this Form N-CSR) and the portfolio of investments as of December 31, 2020 (included in Item 6 of this Form N-CSR). In our opinion, the financial statements and portfolio of investments present fairly, in all material respects, the financial position of the Portfolios at December 31, 2020, the results of their operations, the changes in their net assets and their financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
The statement of changes in net assets for the year ended December 31, 2019, and the financial highlights for each of the periods in the four-year period then ended, were audited by another independent registered public accounting firm whose report, dated February 21, 2020, expressed an unqualified opinion on that statement of changes in net assets and those financial highlights.
Basis for Opinion
These financial statements and portfolio of investments are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements and portfolio of investments based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trusts in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and portfolio of investments are free of material misstatement, whether due to error or fraud. The Trusts are not required to have, nor were we engaged to perform, an audit of the Trusts’ internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and portfolio of investments, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and portfolio of investments. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and portfolio of investments. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Voya investment companies since 2019.
Boston, Massachusetts
February 24, 2021
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF December 31, 2020 |
Percentage | |||||||||
Principal | of Net | ||||||||
Amount† | Value | Assets | |||||||
CORPORATE BONDS/NOTES: 54.9% | |||||||||
Basic Materials: 3.7% | |||||||||
7,005,000 | Freeport-McMoRan, Inc., 5.450%, 03/15/2043 | $ | 8,734,254 | 2.7 | |||||
2,895,000 | Steel Dynamics, Inc., 3.250%, 10/15/2050 | 3,029,528 | 1.0 | ||||||
11,763,782 | 3.7 | ||||||||
Communications: 0.9% | |||||||||
780,000 | Walt Disney Co/The, | ||||||||
4.625%, 03/23/2040 | 1,042,437 | 0.3 | |||||||
1,370,000 | Walt Disney Co/The, | ||||||||
4.700%, 03/23/2050 | 1,935,158 | 0.6 | |||||||
2,977,595 | 0.9 | ||||||||
Consumer, Cyclical: 8.8% | |||||||||
3,010,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 3,287,893 | 1.0 | |||||
1,070,000 | (1) | Delta Air Lines, Inc., 7.000%, 05/01/2025 | 1,236,082 | 0.4 | |||||
1,400,000 | General Motors Co., 6.250%, 10/02/2043 | 1,888,624 | 0.6 | ||||||
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,183,152 | 0.4 | ||||||
4,395,000 | General Motors Financial Co., Inc., 1.285%, (SOFRRATE + 1.200)%, 11/17/2023 | 4,405,665 | 1.4 | ||||||
6,050,000 | Marriott International, Inc./MD, 3.500%, 10/15/2032 | 6,631,187 | 2.1 | ||||||
2,610,000 | Southwest Airlines Co., 5.125%, 06/15/2027 | 3,107,114 | 1.0 | ||||||
3,015,000 | Walgreens Boots Alliance, Inc., 4.100%, 04/15/2050 | 3,202,971 | 1.0 | ||||||
2,636,000 | Walgreens Boots Alliance, Inc., 4.650%, 06/01/2046 | 2,945,495 | 0.9 | ||||||
27,888,183 | 8.8 | ||||||||
Consumer, Non-cyclical: 3.2% | |||||||||
7,585,000 | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 10,253,215 | 3.2 | ||||||
Energy: 12.1% | |||||||||
3,925,000 | Apache Corp., 4.250%, 01/15/2044 | 3,882,335 | 1.2 | ||||||
2,570,000 | Concho Resources, Inc., 4.875%, 10/01/2047 | 3,481,119 | 1.1 | ||||||
235,000 | Devon Energy Corp., 4.750%, 05/15/2042 | 265,896 | 0.1 | ||||||
265,000 | Devon Energy Corp., 5.000%, 06/15/2045 | 313,266 | 0.1 | ||||||
665,000 | Devon Energy Corp., 5.600%, 07/15/2041 | 813,307 | 0.3 | ||||||
1,460,000 | Exxon Mobil Corp., 3.452%, 04/15/2051 | 1,668,711 | 0.5 | ||||||
5,465,000 | Hess Corp., 5.600%, 02/15/2041 | 6,669,477 | 2.1 | ||||||
5,710,000 | Marathon Oil Corp., 6.600%, 10/01/2037 | 7,053,940 | 2.2 | ||||||
3,905,000 | Occidental Petroleum Corp., 3.500%, 08/15/2029 | 3,579,987 | 1.1 | ||||||
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 676,156 | 0.2 | ||||||
6,160,000 | Petroleos Mexicanos, 7.690%, 01/23/2050 | 6,221,600 | 1.9 | ||||||
1,825,000 | (1) | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | 1,850,765 | 0.6 | |||||
1,960,000 | Total Capital International SA, 3.127%, 05/29/2050 | 2,126,335 | 0.7 | ||||||
38,602,894 | 12.1 | ||||||||
Financial: 11.8% | |||||||||
2,880,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 3,641,217 | 1.2 | |||||
5,380,000 | Bank of Montreal, 0.768%, (SOFRRATE + 0.680)%, 03/10/2023 | 5,427,996 | 1.7 | ||||||
7,100,000 | Bank of Nova Scotia/The, 0.639%, (SOFRRATE + 0.550)%, 09/15/2023 | 7,145,851 | 2.3 | ||||||
5,095,000 | Canadian Imperial Bank of Commerce, 0.889%, (SOFRRATE + 0.800)%, 03/17/2023 | 5,144,278 | 1.6 | ||||||
410,000 | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 434,114 | 0.1 | ||||||
6,425,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 7,911,767 | 2.5 | |||||
3,300,000 | (1) | Metropolitan Life Global Funding I, 0.655%, (SOFRRATE + 0.570)%, 01/13/2023 | 3,317,855 | 1.0 | |||||
1,440,000 | (1) | Teachers Insurance & Annuity Association of America, 3.300%, 05/15/2050 | 1,569,279 | 0.5 | |||||
2,930,000 | Wells Fargo & Co., 1.240%, (US0003M + 1.025)%, 07/26/2021 | 2,946,023 | 0.9 | ||||||
37,538,380 | 11.8 | ||||||||
Industrial: 4.9% | |||||||||
1,230,000 | Boeing Co/The, 3.950%, 08/01/2059 | 1,316,486 | 0.4 | ||||||
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 1,036,427 | 0.3 | ||||||
2,065,000 | Boeing Co/The, 5.805%, 05/01/2050 | 2,852,756 | 0.9 | ||||||
1,225,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,737,862 | 0.5 | ||||||
5,220,000 | General Electric Co., 4.350%, 05/01/2050 | 6,348,585 | 2.0 | ||||||
2,085,000 | Valmont Industries, Inc., 5.000%, 10/01/2044 | 2,419,714 | 0.8 | ||||||
15,711,830 | 4.9 | ||||||||
Technology: 7.1% | |||||||||
5,360,000 | (1) | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 6,568,869 | 2.0 |
See Accompanying Notes to Financial Statements
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS |
AS OF December 31, 2020 (Continued) |
160,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 206,731 | 0.1 | ||||||
1,920,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 2,530,801 | 0.8 | ||||||
6,105,000 | International Business Machines Corp., 4.250%, 05/15/2049 | 8,017,058 | 2.5 | ||||||
2,700,000 | Oracle Corp., 3.600%, 04/01/2050 | 3,153,249 | 1.0 | ||||||
1,730,000 | Oracle Corp., 3.850%, 04/01/2060 | 2,127,528 | 0.7 | ||||||
22,604,236 | 7.1 | ||||||||
Utilities: 2.4% | |||||||||
2,515,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 2,847,697 | 0.9 | |||||
2,530,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 2,740,369 | 0.9 | |||||
1,680,000 | Consolidated Edison Co. of New York, Inc., 3.350%, 04/01/2030 | 1,927,177 | 0.6 | ||||||
7,515,243 | 2.4 | ||||||||
Total Corporate Bonds/Notes | |||||||||
(Cost $157,093,109) | 174,855,358 | 54.9 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 1.5% | |||||||||
1,584,844 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 1,610,444 | 0.5 | |||||
850,652 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 872,070 | 0.3 | |||||
2,167,154 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 2,208,048 | 0.7 | |||||
Total Collateralized Mortgage Obligations | |||||||||
(Cost $4,543,050) | 4,690,562 | 1.5 | |||||||
U.S. TREASURY OBLIGATIONS: 28.1% | |||||||||
U.S. Treasury Floating Rate Notes: 28.1% | |||||||||
31,520,000 | 0.150%, (USBMMY3M + 0.055%),07/31/2022 | 31,523,763 | 9.9 | ||||||
21,755,000 | 0.150%, (USBMMY3M + 0.055%),10/31/2022 | 21,754,949 | 6.8 | ||||||
36,350,000 | 0.209%, (USBMMY3M + 0.114%),04/30/2022 | 36,383,591 | 11.4 | ||||||
Total U.S. Treasury Obligations | |||||||||
(Cost $89,663,884) | 89,662,303 | 28.1 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 5.4% | |||||||||
Federal Home Loan Bank: 3.1% | |||||||||
9,800,000 | 1.875%,07/07/2021 | 9,889,172 | 3.1 | ||||||
Federal Home Loan Mortgage Corporation: 2.3%(3) | |||||||||
7,300,000 | 1.125%,08/12/2021 | 7,345,260 | 2.3 | ||||||
Total U.S. Government Agency Obligations | |||||||||
(Cost $17,096,378) | 17,234,432 | 5.4 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.5% | |||||||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.139%, (US0001M + 0.980%), 05/15/2036 | 1,525,083 | 0.5 | |||||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.656%, 10/25/2045 | 9,763,752 | 3.0 | |||||
Total Commercial Mortgage- Backed Securities | |||||||||
(Cost $11,125,116) | 11,288,835 | 3.5 | |||||||
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 | 794,918 | 0.3 | |||||
Total Asset-Backed Securities | |||||||||
(Cost $695,904) | 794,918 | 0.3 | |||||||
Total Long-Term Investments | |||||||||
(Cost $280,217,441) | 298,526,408 | 93.7 | |||||||
Percentage | |||||||||
of Net | |||||||||
Shares | Value | Assets | |||||||
SHORT-TERM INVESTMENTS: 0.6% | |||||||||
Mutual Funds: 0.6% | |||||||||
1,927,459 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.000% | |||||||
(Cost $1,927,459) | 1,927,459 | 0.6 | |||||||
Total Short-Term Investments | |||||||||
(Cost $1,927,459) | 1,927,459 | 0.6 | |||||||
Total Investments in Securities | |||||||||
(Cost $282,144,900) | $ | 300,453,867 | 94.3 | ||||||
Assets in Excess of Other Liabilities | 18,211,505 | 5.7 | |||||||
Net Assets | $ | 318,665,372 | 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 December 31, 2020. |
See Accompanying Notes to Financial Statements
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS |
AS OF December 31, 2020 (Continued) |
(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 December 31, 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
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 pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a)(3) | Not applicable. |
(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: March 10, 2021
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: March 10, 2021
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: March 10, 2021