UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: December 31
Date of reporting period: January 1, 2021 to June 30, 2021
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):
![](https://capedge.com/proxy/N-CSRS/0001104659-21-112321/voya_highrise-buildings.jpg)
g VY® BlackRock Inflation Protected Bond Portfolio
Classes ADV, I and S
g 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 semi-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. If you already elected to receive shareholder reports electronically, you need not take any action. You may elect to receive shareholder reports and other communications from your insurance carrier electronically by contacting them directly. You may elect to receive all future reports in paper free of charge. If you received this document in the mail, please follow the instructions provided to elect to continue receiving paper copies of your shareholder reports. You can inform us that you wish to continue receiving paper copies by calling 1-866-345-5954. Your election to receive reports in paper will apply to all the funds in which you invest.[X_CGS] |
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. |
voyainvestments.com
![](https://capedge.com/proxy/N-CSRS/0001104659-21-112321/voya_blk.jpg)
President’s Letter | 1 | |
2 | ||
3 | ||
5 | ||
6 | ||
7 | ||
8 | ||
22 |
Global Economy Still on Road to Recovery
Dear Shareholder,
![](https://capedge.com/proxy/N-CSRS/0001104659-21-112321/santoro_dinasignature.jpg)
President
Voya Family of Funds
July 22, 2021
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2021* | Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2021* | ||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,010.90 | 1.20 | % | $5.98 | $ | 1,000.00 | $ | 1,018.84 | 1.20 | % | $6.01 | |||||||||||||||||||
Class I | 1,000.00 | 1,015.30 | 0.60 | 3.00 | 1,000.00 | 1,021.82 | 0.60 | 3.01 | |||||||||||||||||||||||||
Class S | 1,000.00 | 1,013.20 | 0.85 | 4.24 | 1,000.00 | 1,020.58 | 0.85 | 4.26 | |||||||||||||||||||||||||
VY® BrandywineGLOBAL — Bond Portfolio | |||||||||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,013.30 | 0.58 | % | $2.90 | $ | 1,000.00 | $ | 1,021.92 | 0.58 | % | $2.91 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | |||||||||||
Investments in securities at fair value* | $ | 286,862,935 | $ | 338,226,951 | |||||||
Short-term investments at fair value† | 11,543,604 | 6,625,018 | |||||||||
Cash | 868 | 1,200 | |||||||||
Cash collateral for futures contracts | — | 1,712,811 | |||||||||
Cash pledged for centrally cleared swaps (Note 2) | 4,162,490 | — | |||||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 140,000 | — | |||||||||
Foreign currencies at value‡ | 31,759 | — | |||||||||
Receivables: | |||||||||||
Investment securities and currencies sold | 2,332,799 | — | |||||||||
Fund shares sold | 287,203 | 1,023,173 | |||||||||
Dividends | 86 | 357 | |||||||||
Interest | 974,997 | 1,285,960 | |||||||||
Unrealized appreciation on forward foreign currency contracts | 453,229 | — | |||||||||
Unrealized appreciation on OTC swap agreements | 938,932 | — | |||||||||
Prepaid expenses | 82 | 87 | |||||||||
Other assets | 19,642 | 6,343 | |||||||||
Total assets | 307,748,626 | 348,881,900 | |||||||||
LIABILITIES: | |||||||||||
Payable for investment securities and currencies purchased | 4,332,189 | — | |||||||||
Payable for fund shares redeemed | 22,664 | 49,609 | |||||||||
Unrealized depreciation on forward foreign currency contracts | 143,906 | — | |||||||||
Variation margin payable on centrally cleared swaps | 20,044 | — | |||||||||
Variation margin payable on futures contracts | 83,884 | 872,970 | |||||||||
Cash received as collateral for OTC derivatives (Note 2) | 1,080,000 | — | |||||||||
Payable for investment management fees | 121,244 | 152,475 | |||||||||
Payable for distribution and shareholder service fees | 55,658 | — | |||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 19,642 | 6,343 | |||||||||
Payable for trustee fees | 1,493 | 1,649 | |||||||||
Other accrued expenses and liabilities | 88,621 | 113,224 | |||||||||
Written options, at fair valueˆ | 1,053,622 | — | |||||||||
Total liabilities | 7,022,967 | 1,196,270 | |||||||||
NET ASSETS | $ | 300,725,659 | $ | 347,685,630 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 344,310,008 | $ | 297,875,021 | |||||||
Total distributable earnings (loss) | (43,584,349 | ) | 49,810,609 | ||||||||
NET ASSETS | $ | 300,725,659 | $ | 347,685,630 | |||||||
* Cost of investments in securities | $ | 269,579,291 | $ | 329,703,678 | |||||||
† Cost of short-term investments | $ | 11,543,604 | $ | 6,625,018 | |||||||
‡ Cost of foreign currencies | $ | 32,302 | $ | — | |||||||
ˆ Premiums received on written options | $ | 1,169,307 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||
Net assets | $ | 48,148,473 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 4,673,587 | n/a | ||||||||
Net asset value and redemption price per share | $ | 10.30 | n/a | |||||||
Class I | ||||||||||
Net assets | $ | 94,877,317 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 8,852,917 | n/a | ||||||||
Net asset value and redemption price per share | $ | 10.72 | n/a | |||||||
Class S | ||||||||||
Net assets | $ | 157,699,869 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 14,834,480 | n/a | ||||||||
Net asset value and redemption price per share | $ | 10.63 | n/a | |||||||
Portfolio(1) | ||||||||||
Net assets | n/a | $ | 347,685,630 | |||||||
Shares authorized | n/a | unlimited | ||||||||
Par value | n/a | $ | 0.001 | |||||||
Shares outstanding | n/a | 28,517,056 | ||||||||
Net asset value and redemption price per share | n/a | $ | 12.19 |
(1) | Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | |||||||||||
Dividends | $ | 853 | $ | 1,310 | |||||||
Interest, net of foreign taxes withheld* | 4,321,009 | 2,737,735 | |||||||||
Total investment income | 4,321,862 | 2,739,045 | |||||||||
EXPENSES: | |||||||||||
Investment management fees | 790,193 | 817,903 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class ADV | 139,689 | — | |||||||||
Class S | 195,441 | — | |||||||||
Transfer agent fees: | — | 831 | |||||||||
Class ADV | 6,153 | — | |||||||||
Class I | 12,333 | — | |||||||||
Class S | 20,659 | — | |||||||||
Shareholder reporting expense | 14,480 | 6,800 | |||||||||
Registration fees | — | 5,169 | |||||||||
Professional fees | 26,957 | 45,912 | |||||||||
Custody and accounting expense | 58,755 | 21,890 | |||||||||
Trustee fees | 5,974 | 6,597 | |||||||||
Miscellaneous expense | 6,643 | 3,667 | |||||||||
Interest expense | 55 | — | |||||||||
Total expenses | 1,277,332 | 908,769 | |||||||||
Recouped/(Waived and reimbursed fees) | (59,249 | ) | 43,315 | ||||||||
Net expenses | 1,218,083 | 952,084 | |||||||||
Net investment income | 3,103,779 | 1,786,961 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | 4,029,965 | 7,261,565 | |||||||||
Forward foreign currency contracts | (25,386 | ) | — | ||||||||
Foreign currency related transactions | 24,988 | — | |||||||||
Futures | 1,086,972 | 6,415,867 | |||||||||
Swaps | 1,342,417 | — | |||||||||
Written options | 238,195 | — | |||||||||
Net realized gain | 6,697,151 | 13,677,432 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | (8,181,889 | ) | (9,785,694 | ) | |||||||
Forward foreign currency contracts | 546,623 | — | |||||||||
Foreign currency related transactions | (7,408 | ) | — | ||||||||
Futures | (298,076 | ) | (1,251,611 | ) | |||||||
Swaps | 2,112,504 | — | |||||||||
Written options | (99,803 | ) | — | ||||||||
Net change in unrealized appreciation (depreciation) | (5,928,049 | ) | (11,037,305 | ) | |||||||
Net realized and unrealized gain | 769,102 | 2,640,127 | |||||||||
Increase in net assets resulting from operations | $ | 3,872,881 | $ | 4,427,088 | |||||||
* Foreign taxes withheld | $ | 159 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 3,103,779 | $ | 2,498,353 | $ | 1,786,961 | $ | 5,435,938 | |||||||||||
Net realized gain | 6,697,151 | 8,870,565 | 13,677,432 | 21,289,037 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,928,049 | ) | 18,038,735 | (11,037,305 | ) | 18,184,526 | |||||||||||||
Increase in net assets resulting from operations | 3,872,881 | 29,407,653 | 4,427,088 | 44,909,501 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Total distributions (excluding return of capital): | — | (7,776,746) | |||||||||||||||||
Class ADV | (421,418 | ) | (369,573 | ) | — | — | |||||||||||||
Class I | (1,084,918 | ) | (1,038,565 | ) | — | — | |||||||||||||
Class S | (1,595,118 | ) | (1,464,646 | ) | — | — | |||||||||||||
Return of capital: | |||||||||||||||||||
Class ADV | — | (258,130 | ) | — | — | ||||||||||||||
Class I | — | (465,220 | ) | — | — | ||||||||||||||
Class S | — | (834,668 | ) | — | — | ||||||||||||||
Total distributions | (3,101,454 | ) | (4,430,802 | ) | — | (7,776,746) | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 39,737,645 | 59,965,213 | 53,453,227 | 216,779,069 | |||||||||||||||
Reinvestment of distributions | 3,098,114 | 4,430,802 | — | 7,776,746 | |||||||||||||||
42,835,759 | 64,396,015 | 53,453,227 | 224,555,815 | ||||||||||||||||
Cost of shares redeemed | (42,383,569 | ) | (67,828,595 | ) | (28,860,057 | ) | (125,915,207) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 452,190 | (3,432,580 | ) | 24,593,170 | 98,640,608 | ||||||||||||||
Net increase in net assets | 1,223,617 | 21,544,271 | 29,020,258 | 135,773,363 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 299,502,042 | 277,957,771 | 318,665,372 | 182,892,009 | |||||||||||||||
End of year or period | $ | 300,725,659 | $ | 299,502,042 | $ | 347,685,630 | $ | 318,665,372 |
Income (loss) from investment operations | Less distributions | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | Total distributions | Payment by affiliate | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/ additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | Expense net of all reductions/additions(2)(3)(4) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | |||||||||||||||||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-21+ | 10.28 | 0.09 | • | 0.02 | 0.11 | 0.09 | — | — | 0.09 | — | 10.30 | 1.09 | 1.24 | 1.20 | 1.20 | 1.72 | 48,148 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-21+ | 10.68 | 0.12 | • | 0.04 | 0.16 | 0.12 | — | — | 0.12 | — | 10.72 | 1.53 | 0.64 | 0.60 | 0.60 | 2.34 | 94,877 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-21+ | 10.60 | 0.11 | • | 0.03 | 0.14 | 0.11 | — | — | 0.11 | — | 10.63 | 1.32 | 0.89 | 0.85 | 0.85 | 2.06 | 157,700 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-21+ | 12.03 | 0.07 | • | 0.09 | 0.16 | — | — | — | — | — | 12.19 | 1.33 | 0.56 | 0.58 | 0.58 | 1.09 | 347,686 | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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. | |
+ | Unaudited. | |
• | 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 | $65,633,436 | $53,917,748 | ||||
Bond Portfolio | — | 34,309,386 |
Purchased | Written | |||||
---|---|---|---|---|---|---|
Inflation rate caps | $17,550,000 | $17,550,000 |
Purchases | Sales | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $55,667,286 | $63,519,814 | ||||
Bond Portfolio | 40,798,323 | 93,160,927 |
Purchases | Sales | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $108,093,544 | $92,509,651 | ||||
Bond Portfolio | 104,250,427 | 9,619,422 |
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 |
Subsidiary/Affiliated Investment Company | Portfolio | Percentage | |||
---|---|---|---|---|---|
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 17.56 | % | ||
Voya Solution 2025 Portfolio | Bond Portfolio | 18.25 | |||
Voya Solution 2035 Portfolio | Bond Portfolio | 7.91 | |||
Voya Solution Income Portfolio | Bond Portfolio | 11.98 |
Portfolio | Amount | ||
BlackRock Inflation Protected Bond | $38,380 | ||
Bond Portfolio | — |
Portfolio | Maximum Operating Expense Limit (as a percentage of net assets) | |
---|---|---|
BlackRock Inflation Protected Bond | Class ADV: 1.23% Class I: 0.63% Class S: 0.88% | |
Bond Portfolio | 0.58% |
June 30, | ||||||||
2022 | 2023 | 2024 | Total | |||||
Bond Portfolio | $182,957 | $— | $— | $182,957 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | ||||
---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | 1 | $1,553,000 | 1.27% |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
6/30/2021 | 371,853 | — | 41,070 | (347,612 | ) | 65,311 | 3,810,648 | — | 421,418 | (3,540,374 | ) | 691,692 | ||||||||||||||||||||||||||||
12/31/2020 | 577,915 | — | 63,818 | (796,757 | ) | (155,024 | ) | 5,686,844 | — | 627,703 | (7,736,821 | ) | (1,422,274 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
6/30/2021 | 1,895,105 | — | 101,543 | (1,826,257 | ) | 170,391 | 20,212,751 | — | 1,081,578 | (19,490,439 | ) | 1,803,890 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
6/30/2021 | 1,487,437 | — | 150,872 | (1,841,954 | ) | (203,645 | ) | 15,714,246 | — | 1,595,118 | (19,352,756 | ) | (2,043,392 | ) | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||
6/30/2021 | 4,424,653 | — | — | (2,388,593 | ) | 2,036,060 | 53,453,227 | — | — | (28,860,057 | ) | 24,593,170 | ||||||||||||||||||||||||||||
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 |
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 |
Capital Loss Carryforwards | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation/ (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)
Type | Per Share Amount | Payable Date | Record Date | |||||
BlackRock Inflation Protected Bond | ||||||||
Class ADV | NII | $0.0311 | August 2, 2021 | July 29, 2021 | ||||
Class I | NII | $0.0361 | August 2, 2021 | July 29, 2021 | ||||
Class S | NII | $0.0340 | August 2, 2021 | July 29, 2021 | ||||
Bond Portfolio | NII | $0.1910 | July 14, 2021 | July 12, 2021 | ||||
STCG | $0.6538 | July 14, 2021 | July 12, 2021 | |||||
LTCG | $0.1065 | July 14, 2021 | July 12, 2021 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) |
Investment Type Allocation as of June 30, 2021 (as a percentage of net assets) | ||||||||
U.S. Treasury Obligations | 53.6 | % | ||||||
Corporate Bonds/Notes | 24.1 | % | ||||||
U.S. Government Agency Obligations | 11.5 | % | ||||||
Sovereign Bonds | 3.5 | % | ||||||
Commercial Mortgage-Backed Securities | 1.6 | % | ||||||
Asset-Backed Securities | 0.7 | % | ||||||
Purchased Options | 0.4 | % | ||||||
Assets in Excess of Other Liabilities* | 4.6 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 24.1% | ||||||||||||||
Basic Materials: 0.4% | ||||||||||||||
1,250,000 | (1) | Georgia-Pacific LLC, 0.625%, 05/15/2024 | $ | 1,245,660 | 0.4 | |||||||||
Communications: 0.7% | ||||||||||||||
1,000,000 | Alibaba Group Holding Ltd., 3.125%, 11/28/2021 | 1,006,650 | 0.4 | |||||||||||
73,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 71,827 | 0.0 | |||||||||||
925,000 | (1) | NTT Finance Corp., 0.583%, 03/01/2024 | 924,114 | 0.3 | ||||||||||
55,000 | Verizon Communications, Inc., 2.625%, 08/15/2026 | 58,494 | 0.0 | |||||||||||
30,000 | Verizon Communications, Inc., 2.650%, 11/20/2040 | 28,924 | 0.0 | |||||||||||
2,090,009 | 0.7 | |||||||||||||
Consumer, Cyclical: 0.3% | ||||||||||||||
750,000 | American Honda Finance Corp., 0.650%, 09/08/2023 | 753,627 | 0.3 | |||||||||||
79,000 | General Motors Financial Co., Inc., 2.750%, 06/20/2025 | 83,218 | 0.0 | |||||||||||
135,000 | General Motors Financial Co., Inc., 5.200%, 03/20/2023 | 145,403 | 0.0 | |||||||||||
982,248 | 0.3 | |||||||||||||
Consumer, Non-cyclical: 1.4% | ||||||||||||||
1,510,000 | (1) | Cargill, Inc., 0.400%, 02/02/2024 | 1,502,028 | 0.5 | ||||||||||
1,292,000 | GlaxoSmithKline Capital PLC, 3.000%, 06/01/2024 | 1,377,489 | 0.5 | |||||||||||
795,000 | Philip Morris International, Inc., 2.625%, 03/06/2023 | 826,411 | 0.3 | |||||||||||
69,000 | Shire Acquisitions Investments Ireland DAC, 3.200%, 09/23/2026 | 74,972 | 0.0 | |||||||||||
250,000 | Thermo Fisher Scientific, Inc., 4.133%, 03/25/2025 | 277,318 | 0.1 | |||||||||||
4,058,218 | 1.4 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Energy: 0.4% | ||||||||||||||
135,000 | Sabine Pass Liquefaction LLC, 5.625%, 03/01/2025 | $ | 154,408 | 0.1 | ||||||||||
1,000,000 | (1) | Schlumberger Finance Canada Ltd., 2.650%, 11/20/2022 | 1,028,342 | 0.3 | ||||||||||
1,182,750 | 0.4 | |||||||||||||
Financial: 18.2% | ||||||||||||||
1,000,000 | (1) | AIG Global Funding, 0.450%, 12/08/2023 | 998,636 | 0.3 | ||||||||||
2,000,000 | American Express Co., 3.700%, 08/03/2023 | 2,130,673 | 0.7 | |||||||||||
30,000 | Aon Corp., 2.800%, 05/15/2030 | 31,530 | 0.0 | |||||||||||
2,000,000 | (2) | Banco Santander SA, 0.701%, 06/30/2024 | 2,004,588 | 0.7 | ||||||||||
1,165,000 | (2) | Bank of America Corp., 0.523%, 06/14/2024 | 1,165,094 | 0.4 | ||||||||||
2,500,000 | (2) | Bank of America Corp., 0.810%, 10/24/2024 | 2,511,052 | 0.8 | ||||||||||
25,000 | (2) | Bank of America Corp., 1.898%, 07/23/2031 | 24,327 | 0.0 | ||||||||||
1,000,000 | (2) | Bank of America Corp., 3.004%, 12/20/2023 | 1,036,554 | 0.3 | ||||||||||
1,500,000 | Bank of America Corp., 3.300%, 01/11/2023 | 1,565,915 | 0.5 | |||||||||||
199,000 | (2) | Bank of America Corp., 3.559%, 04/23/2027 | 218,058 | 0.1 | ||||||||||
55,000 | (2) | Bank of America Corp., 3.705%, 04/24/2028 | 60,852 | 0.0 | ||||||||||
700,000 | (2) | Bank of America Corp., 3.864%, 07/23/2024 | 746,540 | 0.3 | ||||||||||
740,000 | (1) | Banque Federative du Credit Mutuel SA, 0.650%, 02/27/2024 | 738,365 | 0.2 | ||||||||||
760,000 | (1) | Banque Federative du Credit Mutuel SA, 2.125%, 11/21/2022 | 778,658 | 0.3 | ||||||||||
1,135,000 | Charles Schwab Corp./The, 0.750%, 03/18/2024 | 1,141,795 | 0.4 | |||||||||||
3,000,000 | (2) | Citigroup, Inc., 0.776%, 10/30/2024 | 3,008,479 | 1.0 | ||||||||||
68,000 | (2) | Citigroup, Inc., 2.561%, 05/01/2032 | 69,269 | 0.0 | ||||||||||
125,000 | (2) | Citigroup, Inc., 2.666%, 01/29/2031 | 129,153 | 0.0 | ||||||||||
3,000,000 | Credit Suisse AG/New York NY, 1.000%, 05/05/2023 | 3,033,086 | 1.0 | |||||||||||
161,000 | Crown Castle International Corp., 1.350%, 07/15/2025 | 162,242 | 0.1 | |||||||||||
118,000 | Crown Castle International Corp., 3.700%, 06/15/2026 | 129,957 | 0.0 | |||||||||||
200,000 | (1),(2) | Danske Bank A/S, 1.171%, 12/08/2023 | 201,063 | 0.1 | ||||||||||
200,000 | (1) | Danske Bank A/S, 1.226%, 06/22/2024 | 202,168 | 0.1 | ||||||||||
2,000,000 | (2) | Goldman Sachs Group, Inc./The, 0.627%, 11/17/2023 | 2,001,101 | 0.7 | ||||||||||
1,000,000 | (2) | Goldman Sachs Group, Inc./The, 2.876%, 10/31/2022 | 1,007,943 | 0.3 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
1,000,000 | (2) | Goldman Sachs Group, Inc./The, 2.905%, 07/24/2023 | $ | 1,025,213 | 0.3 | |||||||||
40,000 | (2) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 38,878 | 0.0 | ||||||||||
3,500,000 | JPMorgan Chase & Co., 3.200%, 01/25/2023 | 3,656,944 | 1.2 | |||||||||||
1,000,000 | (2) | JPMorgan Chase & Co., 3.559%, 04/23/2024 | 1,054,678 | 0.4 | ||||||||||
241,000 | JPMorgan Chase & Co., 3.900%, 07/15/2025 | 266,692 | 0.1 | |||||||||||
700,000 | (2) | JPMorgan Chase & Co., 4.023%, 12/05/2024 | 755,865 | 0.3 | ||||||||||
25,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 29,633 | 0.0 | ||||||||||
EUR 2,645,000 | Kreditanstalt fuer Wiederaufbau, -0.030%, 01/10/2031 | 3,143,832 | 1.0 | |||||||||||
1,835,000 | (2) | Lloyds Banking Group PLC, 0.695%, 05/11/2024 | 1,840,526 | 0.6 | ||||||||||
890,000 | (1) | LSEGA Financing PLC, 0.650%, 04/06/2024 | 889,448 | 0.3 | ||||||||||
2,000,000 | Mitsubishi UFJ Financial Group, Inc., 3.218%, 03/07/2022 | 2,041,039 | 0.7 | |||||||||||
529,000 | Mitsubishi UFJ Financial Group, Inc., 3.407%, 03/07/2024 | 567,060 | 0.2 | |||||||||||
1,500,000 | (2) | Mizuho Financial Group, Inc., 1.241%, 07/10/2024 | 1,521,189 | 0.5 | ||||||||||
200,000 | (2) | Mizuho Financial Group, Inc., 3.922%, 09/11/2024 | 214,358 | 0.1 | ||||||||||
690,000 | (2) | Morgan Stanley, 0.790%, 05/30/2025 | 688,058 | 0.2 | ||||||||||
24,000 | (2) | Morgan Stanley, 1.593%, 05/04/2027 | 24,180 | 0.0 | ||||||||||
2,000 | (2) | Morgan Stanley, 3.217%, 04/22/2042 | 2,122 | 0.0 | ||||||||||
72,000 | (2) | Morgan Stanley, 3.772%, 01/24/2029 | 80,862 | 0.0 | ||||||||||
167,000 | Morgan Stanley, 4.000%, 07/23/2025 | 185,889 | 0.1 | |||||||||||
200,000 | (1) | Nationwide Building Society, 0.550%, 01/22/2024 | 199,282 | 0.1 | ||||||||||
1,000,000 | (1) | Nationwide Building Society, 2.000%, 01/27/2023 | 1,026,210 | 0.3 | ||||||||||
635,000 | (1) | NatWest Markets PLC, 0.800%, 08/12/2024 | 632,430 | 0.2 | ||||||||||
670,000 | (1) | Principal Life Global Funding II, 0.750%, 04/12/2024 | 670,749 | 0.2 | ||||||||||
800,000 | Sumitomo Mitsui Financial Group, Inc., 2.846%, 01/11/2022 | 811,099 | 0.3 | |||||||||||
1,000,000 | Sumitomo Mitsui Financial Group, Inc., 3.936%, 10/16/2023 | 1,079,242 | 0.4 | |||||||||||
1,600,000 | (1) | Svenska Handelsbanken AB, 0.550%, 06/11/2024 | 1,594,867 | 0.5 | ||||||||||
1,400,000 | (1) | Swedbank AB, 0.600%, 09/25/2023 | 1,401,498 | 0.5 | ||||||||||
200,000 | (1) | UBS AG/London, 0.375%, 06/01/2023 | 199,850 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
2,000,000 | (1) | UBS AG/London, 0.450%, 02/09/2024 | $ | 1,990,282 | 0.7 | |||||||||
104,000 | Wells Fargo & Co., 3.000%, 10/23/2026 | 112,259 | 0.0 | |||||||||||
351,000 | Wells Fargo & Co., 3.500%, 03/08/2022 | 358,840 | 0.1 | |||||||||||
1,500,000 | Wells Fargo & Co., 3.750%, 01/24/2024 | 1,613,714 | 0.5 | |||||||||||
54,813,886 | 18.2 | |||||||||||||
Industrial: 0.4% | ||||||||||||||
1,300,000 | (1) | Siemens Financieringsmaatschappij NV, 0.650%, 03/11/2024 | 1,301,858 | 0.4 | ||||||||||
Technology: 1.4% | ||||||||||||||
157,000 | (1) | Broadcom, Inc., 3.469%, 04/15/2034 | 166,229 | 0.1 | ||||||||||
10,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 11,225 | 0.0 | |||||||||||
1,390,000 | NVIDIA Corp., 0.584%, 06/14/2024 | 1,390,719 | 0.5 | |||||||||||
500,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.150%, 05/01/2027 | 535,288 | 0.2 | ||||||||||
1,000,000 | Oracle Corp., 2.500%, 05/15/2022 | 1,015,589 | 0.3 | |||||||||||
55,000 | Oracle Corp., 3.600%, 04/01/2050 | 56,568 | 0.0 | |||||||||||
990,000 | salesforce.com, Inc., 0.625%, 07/15/2024 | 990,654 | 0.3 | |||||||||||
4,166,272 | 1.4 | |||||||||||||
Utilities: 0.9% | ||||||||||||||
20,000 | Baltimore Gas and Electric Co., 2.900%, 06/15/2050 | 19,970 | 0.0 | |||||||||||
137,000 | Duke Energy Florida LLC, 1.750%, 06/15/2030 | 134,373 | 0.0 | |||||||||||
2,650,000 | Florida Power & Light Co., 0.284%, (SOFRRATE + 0.250%), 05/10/2023 | 2,649,817 | 0.9 | |||||||||||
2,804,160 | 0.9 | |||||||||||||
Total Corporate Bonds/Notes (Cost $72,359,915) | 72,645,061 | 24.1 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 53.6% | ||||||||||||||
Treasury Inflation Indexed Protected Securities: 52.6% | ||||||||||||||
697,876 | 0.125%,04/15/2025 | 753,476 | 0.2 | |||||||||||
859,407 | 0.125%,10/15/2025 | 935,580 | 0.3 | |||||||||||
3,131,334 | 0.125%,04/15/2026 | 3,407,783 | 1.1 | |||||||||||
9,564,894 | 0.125%,01/15/2030 | 10,507,815 | 3.5 | |||||||||||
7,629,647 | 0.125%,07/15/2030 | 8,423,670 | 2.8 | |||||||||||
10,340,870 | 0.125%,01/15/2031 | 11,389,987 | 3.8 | |||||||||||
2,179,698 | 0.125%,02/15/2051 | 2,392,744 | 0.8 | |||||||||||
28,188 | 0.250%,01/15/2025 | 30,517 | 0.0 | |||||||||||
4,421,425 | 0.250%,07/15/2029 | 4,922,434 | 1.6 | |||||||||||
3,433,036 | 0.250%,02/15/2050 | 3,893,845 | 1.3 | |||||||||||
11,475 | 0.375%,07/15/2023 | 12,210 | 0.0 | |||||||||||
985,364 | 0.375%,07/15/2025 | 1,082,299 | 0.4 | |||||||||||
7,825,786 | 0.375%,01/15/2027 | 8,666,043 | 2.9 | |||||||||||
8,373,492 | 0.375%,07/15/2027 | 9,343,381 | 3.1 | |||||||||||
9,383,739 | 0.500%,01/15/2028 | 10,526,516 | 3.5 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. TREASURY OBLIGATIONS: (continued) | ||||||||||||||
Treasury Inflation Indexed Protected Securities: (continued) | ||||||||||||||
22,793 | 0.625%,04/15/2023 | $ | 24,114 | 0.0 | ||||||||||
219,162 | 0.625%,01/15/2026 | 243,477 | 0.1 | |||||||||||
3,542,728 | 0.625%,02/15/2043 | 4,238,068 | 1.4 | |||||||||||
9,133,496 | 0.750%,07/15/2028 | 10,486,523 | 3.5 | |||||||||||
4,472,986 | 0.750%,02/15/2042 | 5,456,185 | 1.8 | |||||||||||
4,581,683 | 0.750%,02/15/2045 | 5,660,070 | 1.9 | |||||||||||
5,919,449 | 0.875%,01/15/2029 | 6,853,887 | 2.3 | |||||||||||
2,527,918 | 0.875%,02/15/2047 | 3,258,113 | 1.1 | |||||||||||
3,088,172 | 1.000%,02/15/2046 | 4,042,915 | 1.3 | |||||||||||
2,642,422 | 1.000%,02/15/2048 | 3,530,669 | 1.2 | |||||||||||
2,419,696 | 1.000%,02/15/2049 | 3,264,135 | 1.1 | |||||||||||
4,629,274 | (3) | 1.375%,02/15/2044 | 6,397,708 | 2.1 | ||||||||||
2,860,517 | (3) | 1.750%,01/15/2028 | 3,459,004 | 1.1 | ||||||||||
3,996,165 | 2.000%,01/15/2026 | 4,703,346 | 1.6 | |||||||||||
1,941,435 | 2.125%,02/15/2040 | 2,897,582 | 1.0 | |||||||||||
2,725,515 | 2.125%,02/15/2041 | 4,112,418 | 1.4 | |||||||||||
3,756,897 | 2.375%,01/15/2027 | 4,604,052 | 1.5 | |||||||||||
2,201,615 | 2.500%,01/15/2029 | 2,837,611 | 0.9 | |||||||||||
1,910,753 | 3.375%,04/15/2032 | 2,820,324 | 0.9 | |||||||||||
1,012,143 | 3.625%,04/15/2028 | 1,365,465 | 0.5 | |||||||||||
1,182,621 | 3.875%,04/15/2029 | 1,664,061 | 0.6 | |||||||||||
158,208,027 | 52.6 | |||||||||||||
U.S. Treasury Bonds: 1.0% | ||||||||||||||
790,000 | 1.125%,08/15/2040 | 679,894 | 0.2 | |||||||||||
2,360,000 | 1.375%,11/15/2040 | 2,120,865 | 0.7 | |||||||||||
195,000 | 1.875%,02/15/2041 | 190,948 | 0.1 | |||||||||||
2,991,707 | 1.0 | |||||||||||||
Total U.S. Treasury Obligations (Cost $146,120,368) | 161,199,734 | 53.6 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 11.5% | ||||||||||||||
Federal Home Loan Bank: 2.4% | ||||||||||||||
5,255,000 | 2.875%,09/13/2024 | 5,647,111 | 1.9 | |||||||||||
1,515,000 | 3.250%,11/16/2028 | 1,721,818 | 0.5 | |||||||||||
7,368,929 | 2.4 | |||||||||||||
Federal Home Loan Mortgage Corporation: 0.3%(4) | ||||||||||||||
805,000 | 2.375%,01/13/2022 | 814,897 | 0.3 | |||||||||||
Federal National Mortgage Association: 5.2%(4) | ||||||||||||||
3,000,000 | 0.750%,10/08/2027 | 2,927,537 | 1.0 | |||||||||||
4,830,000 | 1.875%,09/24/2026 | 5,066,366 | 1.7 | |||||||||||
7,120,000 | 2.625%,09/06/2024 | 7,610,683 | 2.5 | |||||||||||
15,604,586 | 5.2 | |||||||||||||
Other U.S. Agency Obligations: 0.8% | ||||||||||||||
2,190,000 | 2.875%,12/21/2023 | 2,325,739 | 0.8 | |||||||||||
Sovereign: 2.8% | ||||||||||||||
6,000,000 | 0.375%,09/23/2025 | 5,908,558 | 2.0 | |||||||||||
3,000,000 | (5) | 1.650%,03/15/2031 | 2,557,817 | 0.8 | ||||||||||
8,466,375 | 2.8 | |||||||||||||
Total U.S. Government Agency Obligations (Cost $32,927,070) | 34,580,526 | 11.5 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SOVEREIGN BONDS: 3.5% | ||||||||||||||
200,000 | Colombia Government International Bond, 3.250%, 04/22/2032 | $ | 196,392 | 0.1 | ||||||||||
EUR 2,550,000 | European Union, -0.030%, 10/04/2030 | 3,033,204 | 1.0 | |||||||||||
EUR 500,000 | European Union, 0.300%, 11/04/2050 | 539,455 | 0.2 | |||||||||||
2,500,000 | Israel Government AID Bond, 5.500%, 04/26/2024 | 2,849,520 | 0.9 | |||||||||||
NZD 289,000 | New Zealand Government Inflation Linked Bond, 2.500%, 09/20/2040 | 271,372 | 0.1 | |||||||||||
NZD 395,000 | New Zealand Government Bond, 1.750%, 05/15/2041 | 240,693 | 0.1 | |||||||||||
NZD 2,762,000 | New Zealand Government Inflation Linked Bond, 2.000%, 09/20/2025 | 2,404,978 | 0.8 | |||||||||||
60,000 | Panama Government International Bond, 4.500%, 04/01/2056 | 68,039 | 0.0 | |||||||||||
EUR 280,000 | Romanian Government International Bond, 3.624%, 05/26/2030 | 384,577 | 0.1 | |||||||||||
EUR 260,000 | (1) | Spain Government Bond, 3.450%, 07/30/2066 | 475,316 | 0.2 | ||||||||||
Total Sovereign Bonds (Cost $10,547,960) | 10,463,546 | 3.5 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 1.6% | ||||||||||||||
366,000 | BANK 2019-BNK23 A3, 2.920%, 12/15/2052 | 393,404 | 0.1 | |||||||||||
1,000,000 | BENCHMARK 2018-B3 A5 Mortgage Trust, 4.025%, 04/10/2051 | 1,141,057 | 0.4 | |||||||||||
350,000 | Benchmark 2019-B15 A5 Mortgage Trust, 2.928%, 12/15/2072 | 376,950 | 0.1 | |||||||||||
500,000 | CD 2017-CD6 Mortgage Trust A5, 3.456%, 11/13/2050 | 549,937 | 0.2 | |||||||||||
390,000 | (1) | Extended Stay America Trust 2021-ESH A, 1.155%, (US0001M + 1.080%), 07/15/2038 | 391,096 | 0.1 | ||||||||||
1,000,000 | GS Mortgage Securities Trust 2017-GS7 A4, 3.430%, 08/10/2050 | 1,101,836 | 0.4 | |||||||||||
700,000 | Wells Fargo Commercial Mortgage Trust 2017-C39 A5, 3.418%, 09/15/2050 | 771,134 | 0.3 | |||||||||||
Total Commercial Mortgage-Backed Securities (Cost $4,347,621) | 4,725,414 | 1.6 | ||||||||||||
ASSET-BACKED SECURITIES: 0.7% | ||||||||||||||
Student Loan Asset-Backed Securities: 0.7% | ||||||||||||||
190,000 | (1) | College Avenue Student Loans LLC 2021-B A2, 1.760%, 06/25/2052 | 189,758 | 0.1 | ||||||||||
237,889 | (1) | Navient Student Loan Trust 2019-BA A2A, 3.390%, 12/15/2059 | 248,781 | 0.1 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Student Loan Asset-Backed Securities: (continued) | ||||||||||||||
1,000,000 | (1) | Nelnet Student Loan Trust 2021-BA AFL, 0.884%, (US0001M + 0.780%), 04/20/2062 | $ | 1,000,000 | 0.3 | |||||||||
575,092 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 593,552 | 0.2 | ||||||||||
Total Asset-Backed Securities (Cost $2,008,490) | 2,032,091 | 0.7 |
Value | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS(6): 0.4% | ||||||||||||||
Total Purchased Options (Cost $1,267,867) | 1,216,563 | 0.4 | ||||||||||||
Total Long-Term Investments (Cost $269,579,291) | 286,862,935 | 95.4 |
Shares | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 3.8% | ||||||||||||||
Mutual Funds: 3.8% | ||||||||||||||
11,543,604 | (7) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.030% (Cost $11,543,604) | 11,543,604 | 3.8 | ||||||||||
Total Short-Term Investments (Cost $11,543,604) | 11,543,604 | 3.8 | ||||||||||||
Total Investments in Securities (Cost $281,122,895) | $ | 298,406,539 | 99.2 | |||||||||||
Assets in Excess of Other Liabilities | 2,319,120 | 0.8 | ||||||||||||
Net Assets | $ | 300,725,659 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Variable rate security. Rate shown is the rate in effect as of June 30, 2021. |
(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) | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2021. |
(6) | The tables within the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(7) | Rate shown is the 7-day yield as of June 30, 2021. |
Currency Abbreviations: | ||
EUR | EU Euro | |
NZD | New Zealand Dollar | |
Reference Rate Abbreviations: | ||
SOFFRATE | Secured Overnight Financing Rate | |
US0001M | 1-month LIBOR |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2021 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | |||||||||||||||||||||
Investments, at fair value | |||||||||||||||||||||
Purchased Options | $ | 54,600 | $ | 1,161,963 | $ | — | $ | 1,216,563 | |||||||||||||
Corporate Bonds/Notes | — | 72,645,061 | — | 72,645,061 | |||||||||||||||||
Commercial Mortgage-Backed Securities | — | 4,725,414 | — | 4,725,414 | |||||||||||||||||
Asset-Backed Securities | — | 2,032,091 | — | 2,032,091 | |||||||||||||||||
Sovereign Bonds | — | 10,463,546 | — | 10,463,546 | |||||||||||||||||
U.S. Government Agency Obligations | — | 34,580,526 | — | 34,580,526 | |||||||||||||||||
U.S. Treasury Obligations | — | 161,199,734 | — | 161,199,734 | |||||||||||||||||
Short-Term Investments | 11,543,604 | — | — | 11,543,604 | |||||||||||||||||
Total Investments, at fair value | $ | 11,598,204 | $ | 286,808,335 | $ | — | $ | 298,406,539 | |||||||||||||
Other Financial Instruments+ | |||||||||||||||||||||
Centrally Cleared Swaps | — | 4,883,313 | — | 4,883,313 | |||||||||||||||||
Forward Foreign Currency Contracts | — | 453,229 | — | 453,229 | |||||||||||||||||
Futures | 49,333 | — | — | 49,333 | |||||||||||||||||
OTC Swaps | — | 938,932 | — | 938,932 | |||||||||||||||||
Total Assets | $ | 11,647,537 | $ | 293,083,809 | $ | — | $ | 304,731,346 | |||||||||||||
Liabilities Table | |||||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,767,840 | ) | $ | — | $ | (1,767,840 | ) | |||||||||||
Forward Foreign Currency Contracts | — | (143,906 | ) | — | (143,906 | ) | |||||||||||||||
Futures | (285,174 | ) | — | — | (285,174 | ) | |||||||||||||||
Written Options | (55,419 | ) | (998,203 | ) | — | (1,053,622 | ) | ||||||||||||||
Total Liabilities | $ | (340,593 | ) | $ | (2,909,949 | ) | $ | — | $ | (3,250,542 | ) |
∧ | 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) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EUR 1,370,000 | USD 1,657,719 | ANZ Bank | 07/06/21 | $ | (33,107 | ) | |||||||
USD 523,471 | EUR 440,000 | ANZ Bank | 08/04/21 | 1,376 | |||||||||
USD 292,058 | AUD 390,000 | Bank of America N.A. | 09/15/21 | (517 | ) | ||||||||
USD 287,064 | AUD 380,000 | Bank of America N.A. | 09/15/21 | 1,991 | |||||||||
AUD 380,000 | USD 293,810 | Bank of America N.A. | 09/15/21 | (8,737 | ) | ||||||||
USD 300,000 | CAD 369,265 | Bank of America N.A. | 09/15/21 | 2,119 | |||||||||
CAD 371,925 | USD 300,000 | Bank of America N.A. | 09/15/21 | 27 | |||||||||
USD 119,855 | EUR 98,849 | Barclays Bank PLC | 07/06/21 | 2,635 | |||||||||
GBP 57,000 | USD 79,557 | BNP Paribas | 07/06/21 | (707 | ) | ||||||||
USD 2,414,930 | EUR 1,979,000 | Citibank N.A. | 07/06/21 | 68,136 | |||||||||
EUR 5,890,000 | USD 7,024,414 | Citibank N.A. | 07/06/21 | (39,766 | ) | ||||||||
USD 7,028,555 | EUR 5,890,000 | Citibank N.A. | 08/04/21 | 39,605 | |||||||||
EUR 490,000 | USD 597,809 | Citibank N.A. | 09/15/21 | (15,872 | ) | ||||||||
CAD 365,549 | USD 300,000 | Citibank N.A. | 09/15/21 | (5,117 | ) | ||||||||
USD 3,112,236 | EUR 2,567,000 | Commonwealth Bank of Australia | 07/06/21 | 68,162 | |||||||||
NZD 293,000 | USD 203,647 | Commonwealth Bank of Australia | 07/06/21 | 1,158 | |||||||||
CAD 362,833 | USD 300,000 | HSBC Bank PLC | 09/15/21 | (7,308 | ) | ||||||||
EUR 250,000 | JPY 32,856,555 | JPMorgan Chase Bank N.A. | 09/15/21 | 962 | |||||||||
USD 300,000 | CAD 363,189 | JPMorgan Chase Bank N.A. | 09/15/21 | 7,020 | |||||||||
USD 291,129 | EUR 240,000 | JPMorgan Chase Bank N.A. | 09/15/21 | 6,098 | |||||||||
EUR 240,000 | USD 292,690 | JPMorgan Chase Bank N.A. | 09/15/21 | (7,659 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EUR 250,000 | USD 298,965 | JPMorgan Chase Bank N.A. | 09/15/21 | $ | (2,058 | ) | |||||||
AUD 390,000 | USD 294,290 | JPMorgan Chase Bank N.A. | 09/15/21 | (1,715 | ) | ||||||||
JPY 33,063,077 | EUR 250,000 | JPMorgan Chase Bank N.A. | 09/15/21 | 899 | |||||||||
EUR 240,000 | USD 285,250 | Morgan Stanley & Co. International PLC | 09/15/21 | (219 | ) | ||||||||
USD 305,199 | EUR 250,000 | Morgan Stanley & Co. International PLC | 09/15/21 | 8,293 | |||||||||
USD 493 | JPY 54,000 | NatWest Markets PLC | 07/06/21 | 7 | |||||||||
USD 3,208,159 | EUR 2,649,000 | NatWest Markets PLC | 07/06/21 | 66,846 | |||||||||
USD 292,786 | EUR 240,000 | NatWest Markets PLC | 09/15/21 | 7,756 | |||||||||
USD 69,039 | GBP 48,906 | The Bank of Montreal | 07/06/21 | 1,386 | |||||||||
USD 286,877 | EUR 240,000 | Toronto Dominion Securities | 09/15/21 | 1,847 | |||||||||
USD 3,290,116 | NZD 4,501,631 | UBS AG | 07/06/21 | 143,510 | |||||||||
NZD 4,190,000 | USD 2,949,902 | UBS AG | 07/06/21 | (21,124 | ) | ||||||||
USD 2,949,747 | NZD 4,190,000 | UBS AG | 08/04/21 | 21,144 | |||||||||
USD 302,330 | AUD 400,000 | Westpac Banking Corp. | 09/15/21 | 2,252 | |||||||||
$ | 309,323 |
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | |||||||||||||||||||
90-Day Eurodollar | 60 | 12/19/22 | $ | 14,922,000 | $ | (3,683 | ) | ||||||||||||
Long-Term Euro-BTP | 8 | 09/08/21 | 1,436,272 | 9,882 | |||||||||||||||
Short-Term Euro-BTP | 19 | 09/08/21 | 2,549,404 | 827 | |||||||||||||||
U.S. Treasury 5-Year Note | 528 | 09/30/21 | 65,170,875 | (137,460 | ) | ||||||||||||||
$ | 84,078,551 | $ | (130,434 | ) | |||||||||||||||
Short Contracts: | |||||||||||||||||||
90-Day Eurodollar | (60 | ) | 12/13/21 | (14,969,250 | ) | (262 | ) | ||||||||||||
Euro-Bund | (52 | ) | 09/08/21 | (10,642,936 | ) | (16,385 | ) | ||||||||||||
Euro-Buxl® 30-year German Government Bond | (6 | ) | 09/08/21 | (1,445,948 | ) | (16,814 | ) | ||||||||||||
Euro-Schatz | (21 | ) | 09/08/21 | (2,792,364 | ) | 219 | |||||||||||||
Long Gilt | (5 | ) | 09/28/11 | (886,002 | ) | (7,460 | ) | ||||||||||||
U.S. Treasury 10-Year Note | (129 | ) | 09/21/21 | (17,092,500 | ) | (33,601 | ) | ||||||||||||
U.S. Treasury 2-Year Note | (101 | ) | 09/30/21 | (22,252,351 | ) | 38,405 | |||||||||||||
U.S. Treasury Ultra 10-Year Note | (94 | ) | 09/21/21 | (13,837,094 | ) | (65,470 | ) | ||||||||||||
U.S. Treasury Ultra Long Bond | (8 | ) | 09/21/21 | (1,541,500 | ) | (4,039 | ) | ||||||||||||
$ | (85,459,945 | ) | $ | (105,407 | ) |
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 CAD-CDOR | Quarterly | 0.640 | % | Semi-Annual | 04/21/23 | CAD 5,170,000 | $ | (7,549 | ) | $ | (7,549 | ) | ||||||||||||
Pay | 3-month CAD-CDOR | Quarterly | 0.790 | Semi-Annual | 06/22/23 | CAD 3,885,000 | (1,617 | ) | (1,854 | ) | |||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.150) | Annual | 11/16/26 | EUR 1,070,000 | 3,501 | 3,501 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.259 | Semi-Annual | 03/23/23 | USD 3,450,000 | (486 | ) | (444 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.353 | Semi-Annual | 11/18/23 | USD 2,610,000 | (5,266 | ) | (5,266 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.592 | Semi-Annual | 04/20/24 | USD 1,490,000 | (1,552 | ) | (1,552 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.090 | Semi-Annual | 11/29/24 | USD 3,970,000 | 329,045 | 329,045 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.358 | Semi-Annual | 06/02/25 | USD 860,000 | (13,338 | ) | (13,338 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.478 | Semi-Annual | 01/21/26 | USD 360,000 | (6,434 | ) | (6,438 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.366 | Semi-Annual | 03/22/27 | USD 490,000 | 4,522 | 4,522 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 06/20/27 | USD 870,000 | (25,817 | ) | (25,817 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 06/20/27 | USD 870,000 | (24,647 | ) | (24,647 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.654 | Semi-Annual | 07/12/28 | USD 900,000 | (39,530 | ) | (39,547 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.819 | Semi-Annual | 04/14/30 | USD 610,000 | (27,055 | ) | (27,055 | ) | |||||||||||||||
Pay | 1-day Overnight Fed Funds Effective Rate | Annual | 0.555 | Annual | 10/20/30 | USD 1,250,000 | (64,874 | ) | (64,874 | ) | |||||||||||||||
Pay | 1-day Overnight Fed Funds Effective Rate | Quarterly | 0.562 | Quarterly | 10/21/30 | USD 21,996 | 1,174 | 1,174 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.520 | Semi-Annual | 02/15/31 | USD 1,550,000 | 12,357 | 12,357 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.715 | Semi-Annual | 07/01/31 | USD 555,000 | (37,277 | ) | (37,277 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.513 | Semi-Annual | 08/19/31 | USD 60,000 | 392 | 392 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 3-month USD-LIBOR | Quarterly | 2.077 | % | Semi-Annual | 05/05/33 | USD 140,000 | $ | 4,171 | $ | 4,171 | ||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.150 | Semi-Annual | 05/16/33 | USD 460,000 | 16,634 | 16,634 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.784 | Semi-Annual | 02/15/47 | USD 480,000 | — | — | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.796 | Semi-Annual | 02/15/47 | USD 320,000 | — | — | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.828 | Semi-Annual | 02/10/50 | USD 120,000 | 2,218 | 2,218 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.250 | Semi-Annual | 09/08/50 | USD 92,000 | (10,993 | ) | (10,993 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.870 | Semi-Annual | 02/19/51 | USD 220,000 | 6,467 | 6,467 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.905 | Semi-Annual | 02/22/51 | USD 110,000 | 4,168 | 4,168 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.904 | Semi-Annual | 06/11/51 | USD 50,000 | 1,904 | 1,904 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.929 | Semi-Annual | 12/01/56 | USD 25,000 | 245 | 245 | |||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.185 | Annual | 01/16/30 | EUR 270,000 | (5,013 | ) | (5,013 | ) | |||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.440 | Annual | 05/16/33 | EUR 380,000 | (4,417 | ) | (4,417 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.275 | Semi-Annual | 04/23/23 | USD 4,115,000 | 795 | 1,108 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.309 | Semi-Annual | 06/24/23 | USD 3,075,000 | 473 | 396 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.771 | Semi-Annual | 07/12/23 | USD 8,275,000 | (106,841 | ) | (106,841 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.687 | Semi-Annual | 06/20/24 | USD 30,000 | 24 | 24 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.729 | Semi-Annual | 06/21/24 | USD 1,500,000 | (18 | ) | (18 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.742 | Semi-Annual | 06/23/24 | USD 750,000 | (143 | ) | (143 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.767 | Semi-Annual | 06/28/24 | USD 755,000 | (428 | ) | (428 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.623 | Semi-Annual | 04/14/25 | USD 1,180,000 | 4,737 | 4,738 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.820 | Semi-Annual | 09/08/25 | USD 540,000 | (297 | ) | (297 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.548 | Semi-Annual | 02/25/26 | USD 830,000 | 362 | 362 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.710 | Semi-Annual | 03/06/26 | USD 620,000 | (682 | ) | (682 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.285 | Semi-Annual | 04/20/27 | USD 610,000 | (2,432 | ) | (2,432 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.512 | Semi-Annual | 08/17/27 | USD 1,700,000 | 60,014 | 60,014 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.495 | Semi-Annual | 08/19/27 | USD 150,000 | 5,459 | 5,459 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.845 | Semi-Annual | 11/15/27 | USD 1,400,000 | 24,758 | 24,740 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.271 | Semi-Annual | 02/15/28 | USD 1,350,000 | (10,083 | ) | (10,083 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.648 | Semi-Annual | 06/02/30 | USD 440,000 | 26,559 | 26,559 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 09/16/30 | USD 610,000 | 37,195 | 37,183 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.672 | Semi-Annual | 10/09/30 | USD 610,000 | 38,134 | 38,121 | |||||||||||||||||
Receive | Secured Overnight Financing Rate | Annual | 0.537 | Annual | 10/20/30 | USD 1,250,000 | 62,271 | 62,271 | |||||||||||||||||
Receive | Secured Overnight Financing Rate | Quarterly | 0.533 | Quarterly | 10/21/30 | USD 21,996 | (1,152 | ) | (1,152 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 11/04/30 | USD 600,000 | 39,118 | 39,105 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.885 | Semi-Annual | 11/05/30 | USD 530,000 | 23,500 | 23,172 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.583 | Semi-Annual | 11/15/30 | USD 1,570,000 | (28,665 | ) | (28,665 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.590 | Semi-Annual | 11/15/30 | USD 1,560,000 | (29,363 | ) | (29,363 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.920 | Semi-Annual | 12/10/30 | USD 450,000 | 18,924 | 18,914 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.675 | Semi-Annual | 02/15/31 | USD 990,000 | (21,623 | ) | (21,498 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.571 | Semi-Annual | 03/08/31 | USD 160,000 | (2,542 | ) | (2,542 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.703 | Semi-Annual | 03/09/31 | USD 320,000 | (9,005 | ) | (9,005 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.788 | Semi-Annual | 03/10/31 | USD 1,312,000 | (168,936 | ) | (168,936 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.504 | Semi-Annual | 03/20/31 | USD 3,000 | (83 | ) | (83 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.674 | Semi-Annual | 05/17/31 | USD 330,000 | (8,174 | ) | (8,174 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.594 | Semi-Annual | 02/22/32 | USD 550,000 | (2,603 | ) | (2,603 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.621 | Semi-Annual | 02/22/32 | USD 275,000 | (2,004 | ) | (2,004 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.760 | Semi-Annual | 05/03/32 | USD 800,000 | 62,049 | 62,049 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.765 | Semi-Annual | 05/04/32 | USD 820,000 | 63,255 | 63,255 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.770 | Semi-Annual | 05/06/32 | USD 190,000 | 14,583 | 14,583 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.325 | Semi-Annual | 06/24/34 | USD 70,000 | (2,801 | ) | (2,801 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.645 | Semi-Annual | 08/22/34 | USD 300,000 | 7,001 | 7,001 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.907 | Semi-Annual | 10/21/34 | USD 320,000 | 184 | 184 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.921 | Semi-Annual | 10/22/34 | USD 300,000 | (206 | ) | (206 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.976 | Semi-Annual | 10/23/34 | USD 145,000 | (822 | ) | (822 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.982 | Semi-Annual | 10/23/34 | USD 145,000 | (895 | ) | (895 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.111 | Semi-Annual | 11/12/34 | USD 70,000 | (1,228 | ) | (1,228 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.973 | Semi-Annual | 08/17/40 | USD 150,000 | 18,523 | 18,523 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.110 | Semi-Annual | 11/15/44 | USD 90,000 | (755 | ) | (755 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.897 | Semi-Annual | 02/15/47 | USD 470,000 | (13,508 | ) | (13,508 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.100 | Semi-Annual | 02/15/47 | USD 1,140,000 | (82,196 | ) | (82,003 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.378 | Semi-Annual | 07/05/49 | USD 140,000 | (4,721 | ) | (4,721 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.709 | Semi-Annual | 08/16/49 | USD 130,000 | 1,720 | 1,720 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.667 | Semi-Annual | 08/17/49 | USD 100,000 | 1,621 | 1,621 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.090 | Semi-Annual | 06/20/52 | USD 160,000 | 27,699 | 27,699 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.136 | Semi-Annual | 06/20/52 | USD 160,000 | 25,925 | 25,926 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.881 | Semi-Annual | 07/12/53 | USD 160,000 | 37,148 | 37,144 | |||||||||||||||||
$ | 210,758 | $ | 210,700 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.445 | % | At Termination Date | 03/15/31 | EUR 1,105,000 | $ | (28,484 | ) | $ | (28,484 | ) | ||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.464 | At Termination Date | 06/15/31 | EUR 1,020,000 | (10,552 | ) | (10,552 | ) | |||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.534 | At Termination Date | 06/15/31 | EUR 1,985,000 | (1,514 | ) | (1,514 | ) | |||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.537 | At Termination Date | 06/15/31 | EUR 1,090,000 | (384 | ) | (384 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.574 | At Termination Date | 10/15/30 | GBP 1,415,000 | (41,698 | ) | (43,170 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.510 | At Termination Date | 12/15/30 | GBP 1,150,000 | (45,164 | ) | (45,229 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.630 | At Termination Date | 02/15/31 | GBP 1,130,000 | (27,660 | ) | (27,660 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.746 | At Termination Date | 04/15/31 | GBP 400,000 | (1,642 | ) | (1,642 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.670 | At Termination Date | 06/15/31 | GBP 1,462,500 | (3,648 | ) | (3,648 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 10/15/39 | GBP 2,025,000 | (78,466 | ) | (78,466 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.310 | At Termination Date | 01/15/40 | GBP 900,000 | (68,714 | ) | (68,714 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.341 | At Termination Date | 01/15/40 | GBP 800,000 | (50,231 | ) | (50,231 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.336 | At Termination Date | 11/15/40 | GBP 310,000 | (34,484 | ) | (34,505 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.560 | At Termination Date | 03/15/41 | GBP 330,000 | (5,251 | ) | (5,251 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.270 | At Termination Date | 10/15/44 | GBP 1,560,000 | (123,722 | ) | (123,722 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.220 | At Termination Date | 01/15/45 | GBP 700,000 | (87,178 | ) | (87,178 | ) | |||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.239 | At Termination Date | 01/15/45 | GBP 600,000 | (67,893 | ) | (67,893 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.325 | At Termination Date | 03/01/26 | USD 2,710,000 | (72,226 | ) | (72,226 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.558 | At Termination Date | 04/19/26 | USD 1,065,000 | (13,284 | ) | (13,284 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.634 | At Termination Date | 06/10/26 | USD 2,100,000 | (7,041 | ) | (7,041 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.499 | At Termination Date | 06/22/26 | USD 1,050,000 | (8,949 | ) | (8,949 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.545 | At Termination Date | 06/24/26 | USD 2,617,500 | (15,012 | ) | (15,012 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.848 | At Termination Date | 08/10/30 | USD 780,000 | (71,784 | ) | (71,816 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.008 | At Termination Date | 09/04/30 | USD 360,000 | (25,673 | ) | (25,688 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.949 | At Termination Date | 09/18/30 | USD 625,000 | (47,159 | ) | (47,184 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.192 | At Termination Date | 12/31/30 | USD 660,000 | (29,765 | ) | (29,792 | ) | |||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.329 | At Termination Date | 01/26/31 | USD 650,000 | (19,447 | ) | (19,473 | ) | |||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.425 | At Termination Date | 06/15/26 | EUR 1,020,000 | 4,494 | 4,494 | |||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.498 | At Termination Date | 06/15/26 | EUR 1,985,000 | (541 | ) | (541 | ) | |||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.578 | At Termination Date | 02/15/26 | GBP 1,440,000 | 27,889 | 27,889 | |||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.630 | At Termination Date | 06/15/26 | GBP 1,462,500 | 5,420 | 5,420 | |||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.384 | At Termination Date | 12/15/30 | GBP 415,000 | 25,493 | 25,470 | |||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.422 | At Termination Date | 01/15/31 | GBP 400,000 | 25,154 | 25,142 | |||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.623 | At Termination Date | 04/15/31 | GBP 560,000 | 14,667 | 14,667 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.420 | % | At Termination Date | 10/15/34 | GBP 2,025,000 | $ | 13,830 | $ | 13,830 | ||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 01/15/35 | GBP 900,000 | 34,609 | 34,609 | |||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.390 | At Termination Date | 01/15/35 | GBP 800,000 | 23,653 | 23,653 | |||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.160 | At Termination Date | 10/15/49 | GBP 1,560,000 | 221,735 | 221,735 | |||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.111 | At Termination Date | 01/15/50 | GBP 700,000 | 137,316 | 137,316 | |||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.133 | At Termination Date | 01/15/50 | GBP 600,000 | 107,591 | 107,591 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.713 | At Termination Date | 08/21/22 | USD 9,230,000 | 403,354 | 403,354 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.260 | At Termination Date | 05/03/23 | USD 9,000,000 | 87,813 | 87,813 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.211 | At Termination Date | 10/26/23 | USD 2,500,000 | 38,932 | 38,932 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.957 | At Termination Date | 02/06/24 | USD12,000,000 | 383,713 | 383,713 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.339 | At Termination Date | 02/17/24 | USD 5,300,000 | 130,902 | 130,902 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.991 | At Termination Date | 03/04/24 | USD 3,000,000 | 97,371 | 97,371 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.248 | At Termination Date | 03/21/24 | USD 4,900,000 | 67,900 | 67,900 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.023 | At Termination Date | 05/02/24 | USD 3,500,000 | 113,332 | 113,332 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.829 | At Termination Date | 07/31/24 | USD 600,000 | 24,081 | 24,081 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.706 | At Termination Date | 08/12/24 | USD 1,300,000 | 61,581 | 61,581 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.351 | At Termination Date | 09/28/24 | USD 7,400,000 | 56,380 | 56,380 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.945 | At Termination Date | 03/12/25 | USD 1,650,000 | 144,545 | 144,545 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.908 | At Termination Date | 05/24/25 | USD 4,500,000 | 195,685 | 195,685 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.658 | At Termination Date | 06/29/25 | USD 3,900,000 | 6,623 | 6,623 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.783 | At Termination Date | 11/04/25 | USD 1,300,000 | 74,073 | 74,026 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.098 | At Termination Date | 11/29/25 | USD 1,600,000 | 47,574 | 47,574 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.300 | At Termination Date | 02/25/26 | USD 2,790,000 | 78,946 | 78,946 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.477 | At Termination Date | 03/25/26 | USD 1,375,000 | 24,743 | 24,743 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.534 | At Termination Date | 04/01/26 | USD16,750,000 | 247,410 | 247,410 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.600 | At Termination Date | 06/17/26 | USD 5,495,000 | 21,888 | 21,888 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.533 | At Termination Date | 06/21/26 | USD ,950,000 | 13,579 | 13,579 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.853 | At Termination Date | 06/28/26 | USD 450,000 | 23,001 | 23,001 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.249 | At Termination Date | 10/30/28 | USD 1,195,000 | 25,993 | 25,993 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.250 | At Termination Date | 03/11/30 | USD 360,000 | 47,574 | 47,574 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.285 | At Termination Date | 05/05/30 | USD 4,860,000 | 634,820 | 634,820 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.983 | At Termination Date | 10/13/30 | USD 1,430,000 | 98,723 | 98,664 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.313 | At Termination Date | 03/01/31 | USD 2,145,000 | 63,905 | 63,905 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.468 | At Termination Date | 04/19/31 | USD 535,000 | 5,871 | 5,871 | |||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.520 | At Termination Date | 06/10/31 | USD 2,100,000 | (623 | ) | (623 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.380% | At Termination Date | 06/22/31 | USD 1,050,000 | $ | 13,810 | $ | 13,810 | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.430 | At Termination Date | 06/24/31 | USD 2,617,500 | 18,812 | 18,812 | ||||||||||||||
$ | 2,906,596 | $ | 2,904,772 |
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 | 1.560% | At Termination Date | 01/15/23 | USD 10,250,000 | $ | 608,695 | $ | — | $ | 608,695 | ||||||||||||||
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 | 330,237 | — | 330,237 | |||||||||||||||||
$ | 938,932 | $ | — | $ | 938,932 |
Description | Put/Call | Expiration Date |
Exercise | Number of Contracts | Notional Amount | Cost | Fair Value | |||||||||||||
90-Day Eurodollar | Put | 09/10/21 | 99.50 | USD | 39 | 9,736,350 | $ | 12,251 | $ | 49,238 | ||||||||||
90-Day Eurodollar | Put | 09/10/21 | 99.63 | USD | 39 | 9,736,350 | 2,257 | 5,362 | ||||||||||||
$ | 14,508 | $ | 54,600 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||||
90-Day Eurodollar | Put | 09/10/21 | 99.38 | USD | 39 | USD 9,736,350 | $ | 7,736 | $ | (37,537 | ) | |||||||||||||||
90-Day Eurodollar | Put | 09/10/21 | 99.75 | USD | 39 | USD 9,736,350 | 4,324 | (11,944 | ) | |||||||||||||||||
U.S. Treasury 10-Year Note | Put | 07/23/21 | 130.50 | USD | 10 | USD 1,305,000 | 2,800 | (625 | ) | |||||||||||||||||
U.S. Treasury 10-Year Note | Call | 07/23/21 | 132.50 | USD | 10 | USD 1,325,000 | 4,357 | (5,313 | ) | |||||||||||||||||
$ | 19,217 | $ | (55,419 | ) |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount | Cost | Fair Value | ||||||||||||
Call EUR vs. Put GBP | Citibank N.A. | 08/06/21 | 0.880 | EUR | 625,000 | $ | 14,122 | $ | 507 | |||||||||
$ | 14,122 | $ | 507 |
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 | $ | 98,264 | ||||||||||||||
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 | 100,702 | ||||||||||||||||
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 | 25,401 | ||||||||||||||||
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 | 25,843 | ||||||||||||||||
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 | 67,274 | ||||||||||||||||
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 | 16,332 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 2.824% | 3-month USD-LIBOR | 01/31/39 | USD 120,000 | $ | 6,149 | $ | 12,547 | ||||||||||||||
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 | 11,081 | ||||||||||||||||
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 | 1,127 | ||||||||||||||||
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 | 5,398 | ||||||||||||||||
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 | 7,215 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 2.602% | 3-month USD-LIBOR | 04/07/26 | USD 620,000 | 34,689 | 53,610 | ||||||||||||||||
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 | 6,159 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.970% | 3-month USD-LIBOR | 06/24/24 | USD 420,000 | 19,194 | 20,153 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 2.000% | 3-month USD-LIBOR | 06/28/24 | USD 420,000 | 18,501 | 20,807 | ||||||||||||||||
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 | 24,725 | ||||||||||||||||
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 | 22,542 | ||||||||||||||||
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 | 25,189 | ||||||||||||||||
Call on 1-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.595% | 3-month USD-LIBOR | 02/24/25 | USD 4,800,000 | 25,964 | 26,088 | ||||||||||||||||
Call on 1-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.620% | 3-month USD-LIBOR | 02/24/25 | USD 8,780,000 | 48,805 | 49,020 | ||||||||||||||||
Call on 5-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.200% | 3-month USD-LIBOR | 04/28/22 | USD 3,320,000 | 32,503 | 38,030 | ||||||||||||||||
Call on 5-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 1.525% | 3-month USD-LIBOR | 04/05/22 | USD 1,210,000 | 17,636 | 27,165 | ||||||||||||||||
Call on 5-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.385% | 3-month USD-LIBOR | 04/08/22 | USD 2,360,000 | 35,211 | 40,878 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Pay | 1.100% | 6-month JPY-LIBOR | 06/29/22 | JPY 692,890,000 | 94,254 | 79 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.250% | 3-month USD-LIBOR | 08/08/22 | USD 960,000 | 22,728 | 9,356 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.950% | 3-month USD-LIBOR | 03/12/24 | USD 870,000 | 39,215 | 11,439 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.978% | 3-month USD-LIBOR | 03/07/24 | USD 874,500 | 40,205 | 11,105 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.052% | 3-month USD-LIBOR | 01/10/29 | USD 220,000 | 12,430 | 6,773 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.083% | 3-month USD-LIBOR | 01/29/29 | USD 220,000 | 12,496 | 6,658 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.088% | 3-month USD-LIBOR | 12/06/38 | USD 570,000 | 26,505 | 20,061 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.492% | 3-month USD-LIBOR | 02/25/25 | USD 550,000 | 28,889 | 38,394 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.824% | 3-month USD-LIBOR | 01/31/39 | USD 120,000 | 6,025 | 4,828 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.978% | 3-month USD-LIBOR | 01/31/29 | USD 100,000 | 5,778 | 3,250 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD 10,000 | 461 | 372 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.890% | 3-month USD-LIBOR | 04/30/25 | USD 360,000 | 19,422 | 39,637 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.423% | 3-month USD-LIBOR | 06/05/25 | USD 255,000 | 13,668 | 19,364 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 2.602% | 3-month USD-LIBOR | 04/07/26 | USD 620,000 | 34,689 | 20,083 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.283% | 3-month USD-LIBOR | 06/04/25 | USD 255,000 | 13,795 | 21,500 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.970% | 3-month USD-LIBOR | 06/24/24 | USD 420,000 | 19,194 | 17,007 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 2.000% | 3-month USD-LIBOR | 06/28/24 | USD 420,000 | $ | 18,501 | $ | 16,563 | ||||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.250% | 3-month USD-LIBOR | 08/02/22 | USD 950,000 | 25,650 | 9,065 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.860% | 3-month USD-LIBOR | 02/22/39 | USD 232,500 | 11,503 | 9,179 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD 200,000 | 9,400 | 7,438 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 2.500% | 3-month USD-LIBOR | 06/13/24 | USD 930,000 | 41,811 | 21,784 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 2.500% | 3-month USD-LIBOR | 06/20/24 | USD 930,000 | 37,600 | 21,927 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 3.037% | 3-month USD-LIBOR | 01/11/29 | USD 220,000 | 12,523 | 6,846 | ||||||||||||||||
Put on 1-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.595% | 3-month USD-LIBOR | 02/24/25 | USD 4,800,000 | 23,859 | 25,976 | ||||||||||||||||
Put on 1-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.620% | 3-month USD-LIBOR | 02/24/25 | USD 8,780,000 | 48,649 | 46,685 | ||||||||||||||||
Put on 30-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.850% | 3-month USD-LIBOR | 05/09/22 | USD 1,170,000 | 67,934 | 7,482 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(4) | Barclays Bank PLC | Pay | -0.150% | 6-month EUR-EURIBOR | 11/15/21 | EUR 2,130,000 | 15,204 | 6,525 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.525% | 3-month USD-LIBOR | 04/05/22 | USD 1,210,000 | 17,636 | 7,449 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.385% | 3-month USD-LIBOR | 04/08/22 | USD 2,360,000 | 34,236 | 19,081 | ||||||||||||||||
$ | 1,239,237 | $ | 1,161,456 |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
Call on 10-Year interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.050% | 3-month USD-LIBOR | 03/12/29 | USD 700,000 | $ | 37,135 | $ | (80,721 | ) | |||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.248% | 3-month USD-LIBOR | 01/27/22 | USD 600,000 | 14,130 | (5,426 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.438% | 3-month USD-LIBOR | 01/09/23 | USD 870,000 | 28,362 | (17,826 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.620% | 3-month USD-LIBOR | 02/18/22 | USD 580,000 | 15,384 | (14,555 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.012% | 3-month USD-LIBOR | 03/01/23 | USD 900,000 | 34,290 | (44,333 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.254% | 3-month USD-LIBOR | 12/30/22 | USD 470,000 | 15,498 | (6,800 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 1.521% | 3-month USD-LIBOR | 09/22/21 | USD 990,000 | 13,761 | (15,653 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.740% | 3-month USD-LIBOR | 05/02/22 | USD 550,000 | 19,030 | (1,514 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.000% | 3-month USD-LIBOR | 01/27/22 | USD 660,000 | 9,042 | (2,701 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.064% | 3-month USD-LIBOR | 10/11/22 | USD 460,000 | 15,473 | (4,142 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.233% | 3-month USD-LIBOR | 12/16/22 | USD 427,500 | 13,979 | (5,868 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.245% | 3-month USD-LIBOR | 12/16/22 | USD 427,500 | 13,979 | (6,012 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.775% | 3-month USD-LIBOR | 10/14/21 | USD 540,000 | 11,570 | (18,173 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.400% | 3-month USD-LIBOR | 06/07/22 | USD 775,000 | 7,363 | (12,752 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Citibank N.A. | Pay | 0.518% | 3-month USD-LIBOR | 03/03/22 | USD 3,045,000 | 8,869 | (7,172 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.508% | 3-month USD-LIBOR | 03/01/22 | USD 5,910,000 | $ | 18,543 | $ | (13,431 | ) | |||||||||||||
Call on 2-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.562% | 3-month USD-LIBOR | 03/21/22 | USD 3,045,000 | 10,239 | (8,433 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.568% | 3-month USD-LIBOR | 03/23/22 | USD 5,960,000 | 19,370 | (16,858 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 0.405% | 3-month USD-LIBOR | 02/23/22 | USD 4,490,000 | 10,978 | (6,098 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 0.485% | 3-month USD-LIBOR | 03/02/22 | USD 8,890,000 | 25,559 | (18,171 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 0.508% | 3-month USD-LIBOR | 01/10/22 | USD 6,630,000 | 19,669 | (16,535 | ) | |||||||||||||||
Call on 5-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 0.900% | 3-month USD-LIBOR | 04/22/22 | USD 1,660,000 | 8,632 | (8,226 | ) | |||||||||||||||
Call on 5-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 0.900% | 3-month USD-LIBOR | 04/28/22 | USD 4,990,000 | 22,284 | (24,754 | ) | |||||||||||||||
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 | (21,834 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.700% | 6-month EUR-EURIBOR | 05/15/23 | EUR 1,070,000 | 28,654 | (17,691 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.248% | 3-month USD-LIBOR | 01/27/22 | USD 600,000 | 14,130 | (21,563 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.438% | 3-month USD-LIBOR | 01/09/23 | USD 870,000 | 28,362 | (39,745 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 1.620% | 3-month USD-LIBOR | 02/18/22 | USD 580,000 | 15,384 | (10,384 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.012% | 3-month USD-LIBOR | 03/01/23 | USD 900,000 | 34,290 | (20,684 | ) | |||||||||||||||
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 | (4,091 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.150% | 3-month USD-LIBOR | 01/10/22 | USD 890,000 | 20,692 | (3,687 | ) | |||||||||||||||
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 | (7,054 | ) | |||||||||||||||
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 | (4,106 | ) | |||||||||||||||
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 | (1,907 | ) | |||||||||||||||
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 | (26,588 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Citibank N.A. | Receive | 1.521% | 3-month USD-LIBOR | 09/22/21 | USD 990,000 | 13,761 | (10,275 | ) | |||||||||||||||
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 | (45,223 | ) | |||||||||||||||
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 | (30,061 | ) | |||||||||||||||
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 | (13,298 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.500% | 3-month USD-LIBOR | 01/27/22 | USD 660,000 | 9,042 | (14,183 | ) | |||||||||||||||
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 | (11,587 | ) | |||||||||||||||
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 | (11,731 | ) | |||||||||||||||
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 | (24,461 | ) | |||||||||||||||
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 | (24,105 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.775% | 3-month USD-LIBOR | 10/14/21 | USD 540,000 | 11,569 | (2,860 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 2.400% | 3-month USD-LIBOR | 06/07/22 | USD 775,000 | 8,680 | (4,566 | ) | |||||||||||||||
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 | (3,951 | ) | |||||||||||||||
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 | 6,222 | (1,823 | ) | |||||||||||||||
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 | (31,284 | ) | |||||||||||||||
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 | (13,034 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 3.000% | 3-month USD-LIBOR | 06/20/24 | USD 930,000 | $ | 22,714 | $ | (13,139 | ) | |||||||||||||
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 | (7,926 | ) | |||||||||||||||
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 | (7,999 | ) | |||||||||||||||
Put on 2-Year interest Rate Swap(1) | Citibank N.A. | Receive | 0.518% | 3-month USD-LIBOR | 03/03/22 | USD 3,045,000 | 8,869 | (11,159 | ) | |||||||||||||||
Put on 2-Year interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.562% | 3-month USD-LIBOR | 03/21/22 | USD 3,045,000 | 10,239 | (11,154 | ) | |||||||||||||||
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 | — | ||||||||||||||||
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 | — | ||||||||||||||||
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 | — | ||||||||||||||||
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 | (1 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | -0.150% | 6-month EUR-EURIBOR | 08/09/21 | EUR 1,570,000 | 2,128 | (1 | ) | |||||||||||||||
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 | (94 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 0.500% | 3-month USD-LIBOR | 12/06/21 | USD 2,500,000 | 2,000 | (5,033 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.450% | 3-month USD-LIBOR | 12/10/21 | USD 2,482,000 | 2,085 | (6,262 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.508% | 3-month USD-LIBOR | 03/01/22 | USD 5,910,000 | 18,543 | (21,924 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.568% | 3-month USD-LIBOR | 03/23/22 | USD 5,960,000 | 19,370 | (21,679 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.750% | 3-month USD-LIBOR | 02/25/22 | USD 4,490,000 | 10,566 | (8,948 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 0.485% | 3-month USD-LIBOR | 03/02/22 | USD 8,890,000 | 25,559 | (35,015 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 0.508% | 3-month USD-LIBOR | 01/10/22 | USD 6,630,000 | 18,640 | (17,529 | ) | |||||||||||||||
Put on 5-Year Interest Rate Swap(5) | Barclays Bank PLC | Receive | 0.440% | 6-month EUR-EURIBOR | 05/18/22 | EUR 12,240,000 | 47,144 | (18,141 | ) | |||||||||||||||
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 | (34,269 | ) | |||||||||||||||
$ | 1,150,090 | $ | (998,203 | ) |
(1) | Portfolio receives the exercise rate semi-annually and pays the floating rate index quarterly. | |
(2) | Portfolio pays the exercise rate semi-annually and receives the floating rate index semi-annually. | |
(3) | Portfolio pays the exercise rate semi-annually and receives the floating rate index quarterly. | |
(4) | Portfolio pays the exercise rate annually and receives the floating rate index semi-annually. | |
(5) | Portfolio receives the exercise rate annually and pays the floating rate index semi-annually. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||
---|---|---|---|---|---|---|
Asset Derivatives | ||||||
Foreign exchange contracts | Investments in securities at value* | $ | 507 | |||
Interest rate contracts | Investments in securities at value* | 1,216,056 | ||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 453,229 | ||||
Interest rate contracts | Variation margin receivable on futures contracts** | 49,333 | ||||
Interest rate contracts | Variation margin receivable on centrally cleared swaps** | 4,883,313 | ||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 938,932 | ||||
Total Asset Derivatives | $ | 7,541,370 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 143,906 | |||
Interest rate contracts | Variation margin payable on futures contracts** | 285,174 | ||||
Interest rate contracts | Variation margin payable on centrally cleared swaps** | 1,767,840 | ||||
Interest rate contracts | Written options, at fair value | 1,053,622 | ||||
Total Liability Derivatives | $ | 3,250,542 |
* | Includes purchased options. | |
** | The fair value presented above represents the cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps as reported in the tables within the Portfolio of Investments. In the Statement of Assets and Liabilities, only current day’s unsettled variation margin is reported in receivables or payables on futures contracts and centrally cleared swaps and the net cumulative unrealized appreciation (depreciation) is included in total distributable earnings (loss). |
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 | $ | — | $ | (25,386 | ) | $ | — | $ | — | $ | — | $ | (25,386 | ) | |||||||||||
Interest rate contracts | 129,150 | — | 1,086,972 | 1,342,417 | 238,195 | 2,796,734 | |||||||||||||||||||
Total | $ | 129,150 | $ | (25,386 | ) | $ | 1,086,972 | $ | 1,342,417 | $ | 238,195 | $ | 2,771,348 |
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 | $ | (13,615 | ) | $ | 546,623 | $ | — | $ | — | $ | — | $ | 533,008 | ||||||||||||
Interest rate contracts | (47,261 | ) | — | (298,076 | ) | 2,112,504 | (99,803 | ) | 1,667,364 | ||||||||||||||||
Total | $ | (60,876 | ) | $ | 546,623 | $ | (298,076 | ) | $ | 2,112,504 | $ | (99,803 | ) | $ | 2,200,372 |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIOAS | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
ANZ Bank | Bank of America N.A. | Barclays Bank PLC | BNP Paribas | Citibank N.A. | Common- wealth Bank of Australia | Deutsche Bank AG | Goldman Sachs International | HSBC Bank PLC | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | NatWest Markets PLC | The Bank of Montreal | Toronto Dominion Securities | UBS AG | Westpac Banking Corp. | Totals | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | — | $ | 449,026 | $ | — | $ | 88,438 | $ | — | $ | 183,337 | $ | 102,189 | $ | — | $ | 107,563 | $ | 231,410 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,161,963 | ||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | 1,376 | 4,137 | 2,635 | — | 107,741 | 69,320 | — | — | — | 14,979 | 8,293 | 74,609 | 1,386 | 1,847 | 164,654 | 2,252 | 453,229 | |||||||||||||||||||||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | — | — | 938,932 | — | — | — | — | — | — | — | — | — | — | — | 938,932 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 1,376 | $ | 4,137 | $ | 451,661 | $ | — | $ | 1,135,111 | $ | 183,337 | $ | 102,189 | $ | — | $ | 122,542 | $ | 239,703 | $ | 74,609 | $ | 1,386 | $ | 1,847 | $ | 164,654 | $ | 2,252 | $ | 2,484,804 | ||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 33,107 | $ | 9,254 | $ | — | $ | 707 | $ | 60,755 | $ | — | $ | — | $ | — | $ | 7,308 | $ | 11,432 | $ | 219 | $ | — | $ | — | $ | — | $ | 21,124 | $ | — | 143,906 | |||||||||||||||||||||||||||||||||||
Written options | — | — | 347,103 | — | 77,647 | — | 302,152 | 87,577 | — | 76,278 | 107,446 | — | — | — | — | — | 998,203 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 33,107 | $ | 9,254 | $ | 347,103 | $ | 707 | $ | 138,402 | $ | — | $ | 302,152 | $ | 87,577 | $ | 7,308 | $ | 87,710 | $ | 107,665 | $ | — | $ | — | $ | — | $ | 21,124 | $ | — | $ | 1,142,109 | ||||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (31,731 | ) | $ | (5,117 | ) | $ | 104,558 | $ | (707 | ) | $ | 996,709 | $ | — | $ | (118,815 | ) | $ | 14,612 | $ | (7,308 | ) | $ | 34,832 | $ | 132,038 | $ | 74,609 | $ | 1,386 | $ | 1,847 | $ | 143,530 | $ | 2,252 | $ | 1,342,695 | |||||||||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | (950,000 | ) | $ | — | $ | — | $ | — | $ | — | $ | (20,000 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (970,000) | ||||||||||||||||||||||||||||||||
Net Exposure(1)(2) | $ | (31,731 | ) | $ | (5,117 | ) | $ | 104,558 | $ | (707 | ) | $ | 46,709 | $ | — | $ | (118,815 | ) | $ | 14,612 | $ | (7,308 | ) | $ | 14,832 | $ | 132,038 | $ | 74,609 | $ | 1,386 | $ | 1,847 | $ | 143,530 | $ | 2,252 | $ | 372,695 |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. | |
(2) | At June 30, 2021, the Portfolio had pledged $30,000 in cash collateral to Goldman Sachs International. In addition, the Portfolio had received $950,000 and $20,000 in cash collateral from Citibank N.A. and JPMorgan Chase Bank N.A., respectively. Excess cash collateral is not shown for financial reporting purposes. |
Cost for federal income tax purposes was $280,047,769. | |||
Net unrealized appreciation consisted of: | |||
Gross Unrealized Appreciation | $24,861,518 | ||
Gross Unrealized Depreciation | (3,395,617 | ) | |
Net Unrealized Appreciation | $21,465,901 |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) |
Investment Type Allocation as of June 30, 2021 (as a percentage of net assets) | |||
U.S. Treasury Obligations | 48.0 | % | |
Corporate Bonds/Notes | 33.4 | % | |
U.S. Government Agency Obligations | 10.0 | % | |
Commercial Mortgage-Backed Securities | 4.8 | % | |
Collateralized Mortgage Obligations | 0.9 | % | |
Asset-Backed Securities | 0.2 | % | |
Assets in Excess of Other Liabilities* | 2.7 | % | |
Net Assets | 100.0 | % | |
* Includes short-term investments. | |||
Portfolio holdings are subject to change daily. |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 33.4% | ||||||||||||||
Consumer, Cyclical: 5.5% | ||||||||||||||
3,010,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | $ | 3,348,824 | 1.0 | |||||||||
1,400,000 | General Motors Co., 6.250%, 10/02/2043 | 1,935,670 | 0.6 | |||||||||||
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,159,525 | 0.3 | |||||||||||
4,605,000 | General Motors Financial Co., Inc., 1.235%, (SOFRRATE + 1.200%), 11/17/2023 | 4,682,226 | 1.3 | |||||||||||
6,380,000 | Marriott International, Inc./MD, 3.500%, 10/15/2032 | 6,785,833 | 1.9 | |||||||||||
1,217,000 | Walgreens Boots Alliance, Inc., 4.100%, 04/15/2050 | 1,344,194 | 0.4 | |||||||||||
19,256,272 | 5.5 | |||||||||||||
Energy: 11.8% | ||||||||||||||
3,925,000 | Apache Corp., 4.250%, 01/15/2044 | 3,850,661 | 1.1 | |||||||||||
3,910,000 | Apache Corp., 4.750%, 04/15/2043 | 4,073,849 | 1.2 | |||||||||||
3,025,000 | Hess Corp., 5.600%, 02/15/2041 | 3,781,259 | 1.1 | |||||||||||
6,245,000 | Marathon Oil Corp., 6.600%, 10/01/2037 | 8,314,697 | 2.4 | |||||||||||
3,905,000 | Occidental Petroleum Corp., 3.500%, 08/15/2029 | 3,924,213 | 1.1 | |||||||||||
6,185,000 | Occidental Petroleum Corp., 4.625%, 06/15/2045 | 6,052,115 | 1.8 | |||||||||||
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 638,107 | 0.2 | |||||||||||
10,195,000 | Petroleos Mexicanos, 7.690%, 01/23/2050 | 9,825,431 | 2.8 | |||||||||||
445,000 | (1) | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | 433,597 | 0.1 | ||||||||||
40,893,929 | 11.8 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: 9.2% | ||||||||||||||
5,510,000 | (1) | Athene Global Funding, 0.739%, (SOFRRATE + 0.700%), 05/24/2024 | $ | 5,557,221 | 1.6 | |||||||||
5,635,000 | Bank of Montreal, 0.726%, (SOFRRATE + 0.680%), 03/10/2023 | 5,688,448 | 1.6 | |||||||||||
7,100,000 | Bank of Nova Scotia/The, 0.598%, (SOFRRATE + 0.550%), 09/15/2023 | 7,154,629 | 2.1 | |||||||||||
2,280,000 | (1) | Blue Owl Finance LLC, 3.125%, 06/10/2031 | 2,267,599 | 0.6 | ||||||||||
5,095,000 | Canadian Imperial Bank of Commerce, 0.850%, (SOFRRATE + 0.800%), 03/17/2023 | 5,146,767 | 1.5 | |||||||||||
2,695,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 2,711,965 | 0.8 | |||||||||||
3,300,000 | (1) | Metropolitan Life Global Funding I, 0.590%, (SOFRRATE + 0.570%), 01/13/2023 | 3,320,242 | 1.0 | ||||||||||
31,846,871 | 9.2 | |||||||||||||
Industrial: 3.2% | ||||||||||||||
1,230,000 | Boeing Co/The, 3.950%, 08/01/2059 | 1,290,423 | 0.4 | |||||||||||
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 1,031,816 | 0.3 | |||||||||||
2,065,000 | Boeing Co/The,5.805%, 05/01/2050 | 2,785,357 | 0.8 | |||||||||||
1,225,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,694,752 | 0.5 | |||||||||||
4,280,000 | Caterpillar Financial Services Corp., 0.185%, (SOFRRATE + 0.150%), 11/17/2022 | 4,281,498 | 1.2 | |||||||||||
11,083,846 | 3.2 | |||||||||||||
Technology: 2.0% | ||||||||||||||
5,885,000 | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 7,106,797 | 2.0 | |||||||||||
Utilities: 1.7% | ||||||||||||||
2,960,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 3,246,054 | 0.9 | ||||||||||
2,530,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 2,650,681 | 0.8 | ||||||||||
5,896,735 | 1.7 | |||||||||||||
Total Corporate Bonds/Notes (Cost $107,981,534) | 116,084,450 | 33.4 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.9% | ||||||||||||||
1,108,444 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 1,115,956 | 0.3 | ||||||||||
501,449 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 507,997 | 0.2 |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
1,511,044 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | $ | 1,530,613 | 0.4 | |||||||||
Total Collateralized Mortgage Obligations (Cost $3,079,033) | 3,154,566 | 0.9 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 48.0% | ||||||||||||||
U.S. Treasury Floating Rate Notes: 48.0% | ||||||||||||||
44,710,000 | 0.099%, (USBMMY3M + 0.049%),01/31/2023 | 44,732,892 | 12.9 | |||||||||||
31,520,000 | 0.105%, (USBMMY3M + 0.055%),07/31/2022 | 31,540,977 | 9.1 | |||||||||||
63,640,000 | 0.105%, (USBMMY3M + 0.055%),10/31/2022 | 63,683,584 | 18.3 | |||||||||||
26,740,000 | 0.164%, (USBMMY3M + 0.114%),04/30/2022 | 26,767,002 | 7.7 | |||||||||||
Total U.S. Treasury Obligations (Cost $166,647,162) | 166,724,455 | 48.0 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 10.0% | ||||||||||||||
Federal Home Loan Bank: 5.0% | ||||||||||||||
7,600,000 | 0.125%,03/17/2023 | 7,588,524 | 2.2 | |||||||||||
9,800,000 | 1.875%,07/07/2021 | 9,803,375 | 2.8 | |||||||||||
17,391,899 | 5.0 | |||||||||||||
Federal Home Loan Mortgage Corporation: 2.1%(3) | ||||||||||||||
7,300,000 | 1.125%,08/12/2021 | 7,309,179 | 2.1 | |||||||||||
Sovereign: 2.9% | ||||||||||||||
10,000,000 | 0.375%,05/05/2023 | 10,028,222 | 2.9 | |||||||||||
Total U.S. Government Agency Obligations (Cost $34,730,101) | 34,729,300 | 10.0 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.8% | ||||||||||||||
3,089,000 | (2) | Benchmark 2020-B18 C Mortgage Trust, 3.772%, 07/15/2053 | 3,315,327 | 1.0 | ||||||||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.053%, (US0001M + 0.980%), 05/15/2036 | 1,526,086 | 0.4 | ||||||||||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.782%, 10/25/2045 | 9,684,407 | 2.8 | ||||||||||
2,000,000 | (2) | JPMDB Commercial Mortgage Securities Trust 2018-C8 C, 4.901%, 06/15/2051 | 2,224,987 | 0.6 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $16,569,805) | 16,750,807 | 4.8 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: 0.2% | ||||||||||||||
Other Asset-Backed Securities: 0.2% | ||||||||||||||
720,000 | (1),(2) | Towd Point Mortgage Trust 2018-3 A2, 3.875%, 05/25/2058 | $ | 783,373 | 0.2 | |||||||||
Total Asset-Backed Securities (Cost $696,043) | 783,373 | 0.2 | ||||||||||||
Total Long-Term Investments (Cost $329,703,678) | 338,226,951 | 97.3 |
Shares | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 1.9% | ||||||||||||||
Mutual Funds: 1.9% | ||||||||||||||
6,625,018 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.030% (Cost $6,625,018) | 6,625,018 | 1.9 | ||||||||||
Total Short-Term Investments (Cost $6,625,018) | 6,625,018 | 1.9 | ||||||||||||
Total Investments in Securities (Cost $336,328,696) | $ | 344,851,969 | 99.2 | |||||||||||
Assets in Excess of Other Liabilities | 2,833,661 | 0.8 | ||||||||||||
Net Assets | $ | 347,685,630 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
(2) | Variable rate security. Rate shown is the rate in effect as of June 30, 2021. | |
(3) | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. | |
(4) | Rate shown is the 7-day yield as of June 30, 2021. | |
Reference Rate Abbreviations: | ||
SOFRRATE Secured Overnight Financing Rate | ||
US0001M 1-month LIBOR | ||
USBMMY3M U.S. Treasury 3-month Bill Money Market Yield |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2021 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 116,084,450 | $ | — | $ | 116,084,450 | ||||||||||||
Collateralized Mortgage Obligations | — | 3,154,566 | — | 3,154,566 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 16,750,807 | — | 16,750,807 | ||||||||||||||||
U.S. Government Agency Obligations | — | 34,729,300 | — | 34,729,300 | ||||||||||||||||
Asset-Backed Securities | — | 783,373 | — | 783,373 | ||||||||||||||||
U.S. Treasury Obligations | — | 166,724,455 | — | 166,724,455 | ||||||||||||||||
Short-Term Investments | 6,625,018 | — | — | 6,625,018 | ||||||||||||||||
Total Investments, at fair value | $ | 6,625,018 | $ | 338,226,951 | $ | — | $ | 344,851,969 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Futures | $ | (873,252 | ) | $ | — | $ | — | $ | (873,252 | ) | ||||||||||
Total Liabilities | $ | (873,252 | ) | $ | — | $ | — | $ | (873,252 | ) |
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 | (127 | ) | 09/21/21 | $(24,471,313 | ) | $(873,252 | ) | |||||||||
$(24,471,313 | ) | $(873,252 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||
---|---|---|---|---|---|
Asset Derivatives | |||||
Interest rate contracts | Variation margin payable on futures contracts* | $873,252 | |||
Total Liability Derivatives | $873,252 |
* | The fair value presented above represents the cumulative unrealized appreciation (depreciation) on futures contracts as reported in the table within the Portfolio of Investments. In the Statement of Assets and Liabilities, only current day’s unsettled variation margin is reported in receivables or payables on futures contracts and the net cumulative unrealized appreciation (depreciation) is included in total distributable earnings (loss). |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2021 (UNAUDITED) (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments | Futures | |||
Interest rate contracts | $6,415,867 | |||
Total | $6,415,867 | |||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments | Futures | |||
Interest rate contracts | $(1,251,611 | ) | ||
Total | $(1,251,611 | ) |
Cost for federal income tax purposes was $336,707,055. | ||||
Net unrealized appreciation consisted of: | ||||
Gross Unrealized Appreciation | $ | 8,242,422 | ||
Gross Unrealized Depreciation | (970,760 | ) | ||
Net Unrealized Appreciation | $ | 7,271,662 |
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE | ![]() |
VPSAR-VIT3AIS (0621-082321) |
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not required for semi-annual filing.
Item 6. Schedule of Investments.
Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | The Code of Ethics is not required for the semi-annual filing. |
(a)(3) | Not required for semi-annual filing. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer |
Date: September 2, 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: September 2, 2021
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: September 2, 2021