UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: December 31
Date of reporting period: December 31, 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):
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Voya Investors Trust | Voya Variable Insurance Trust | ||||
■ | VY® BlackRock Inflation Protected Bond Portfolio Classes ADV, I and S | ■ | VY® BrandywineGLOBAL — Bond Portfolio |
As permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of each portfolio’s annual and semi-annual shareholder reports, like this annual report, are not sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report. |
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT voyainvestments.com | ![]() |
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PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available: (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the Portfolios’ website at www.voyainvestments.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Portfolios’ website at www.voyainvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. The Portfolios’ Forms NPORT-P are available on the SEC’s website at www.sec.gov. Each Portfolio’s complete schedule of portfolio holdings is available at: www.voyainvestments.com and without charge upon request from the Portfolio by calling Shareholder Services toll-free at (800) 992-0180.
A Solid Year Ends for the Financial Markets, Gauging the Policy Shifts to Come
Dear Shareholder,
The 12-month period ended December 31, 2021, marked another strong year for stocks. Forcefully accommodative and persistent monetary and fiscal policy, along with the COVID-19 vaccine rollouts and an impressively adaptable global economy, drove big gains within risk assets. The ascent wasn’t particularly smooth, as several new COVID-19 variants thwarted attempts at a full-fledged reopening. Besides the distress induced by a public health crisis, prolongation of the pandemic negatively impacted the supply of labor and costs of core goods. These two factors, combined with others such as economic stimulus and rising commodity prices, drove inflation higher. As economic activity proved resilient, however, investors shrugged off soaring prices and continued to buy stocks.
The U.S. unemployment rate declined to 3.9% in December and job openings continued to exceed job seekers, indicating the labor market is approaching full employment. This dynamic is pressuring wages upward and has contributed to inflation running above the U.S Federal Reserve Board’s (the “Fed”) 2% target since April. Sharply higher prices have caused the Fed to hasten its plans to withdraw stimulus. We recognize that in 2022, monetary and fiscal policy are likely to become less supportive of the global economy. Yet in our view, we also see potential offsets to tightening financial conditions, including consumer spending and corporate inventory rebuilding, which make us believe there is scope for continued global equity gains.
The pace and path to policy normalization will be a key market factor for the year ahead. A sharp rise in wages from prolonged labor market tightness is possible, but firms, particularly larger ones, have been able to pass through rising input costs to maintain margins. In our view, this is likely to continue and, combined with still above trend GDP growth, will support earnings growth in 2022.
As we’ve often noted, it’s important to have a plan for investing consistently through headwinds and tailwinds. Keep focused on your long-term goals and don’t get distracted by short-term fluctuations, however compelling or distracting they may seem. Should your long-term goals change, discuss the situation thoroughly with your investment advisor before making any changes to your investment portfolio.
Regardless of events, at Voya we remain well prepared for and fully committed to serving our clients without disruption. We appreciate your continued confidence in us, and we look forward to working with you in the future.
Sincerely,
Dina Santoro
President
Voya Family of Funds
January 21, 2022
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and the Voya mutual funds disclaim any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for a Voya mutual fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any Voya mutual fund. Reference to specific company securities should not be construed as recommendations or investment advice. International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
BENCHMARK DESCRIPTIONS
Index | Description | |
---|---|---|
Bloomberg U.S. Aggregate Bond Index (“Bloomberg U.S. Aggregate Bond”) | An index of publicly issued investment grade U.S. government, mortgage-backed, asset-backed and corporate debt securities. | |
Bloomberg U.S. Treasury Inflation Protected Securities Index (“TIPS Index”) | A market index comprised of all U.S. Treasury Inflation Linked Securities. |
VY® BLACKROCK INFLATION PROTECTED |
VVY® BlackRock Inflation Protected Bond Portfolio (the “Portfolio”) seeks to maximize real return, consistent with preservation of real capital and prudent investment management. The Portfolio is managed by Chris Allen, Managing Director and Akiva Dickstein, Managing Director, Portfolio Managers of BlackRock Financial Management, Inc. — the Sub-Adviser.
Performance: For the year ended December 31, 2021, the Portfolio’s Class I shares provided a total return of 5.25% compared to the Bloomberg U.S. Treasury Inflation Protected Securities Index (“TIPS Index” or “TIPS”) which returned 5.96% for the same period.
Portfolio Specifics: The Portfolio was broadly positioned for a risk-on, reflationary environment entering 2021. The Portfolio’s tactical underweight positions in U.S. treasury inflation protected securities detracted from performance as heightened inflation prints and concerns of prolonged inflation pushed real rates lower across the curve. This triggered a significant rally in US real rates, especially in the second quarter. The Portfolio’s outright short in UK breakevens also detracted from performance as inflation expectations in the UK rose significantly over 2021. This was materially exacerbated in late third quarter as the acute energy shortage in the UK caused a material spike in front-end breakevens. Against a similar backdrop, persistent upside surprises in European inflation data fueled a sizeable expansion in EU inflation expectations that hurt the Portfolio’s short in Germany breakevens.
Investment Type Allocation as of December 31, 2021 (as a percentage of net assets) | |||||
U.S. Treasury Obligations | 50.8 | % | |||
Corporate Bonds/Notes | 26.7 | % | |||
U.S. Government Agency Obligations | 9.8 | % | |||
Commercial Mortgage-Backed Securities | 4.5 | % | |||
Sovereign Bonds | 2.3 | % | |||
Asset-Backed Securities | 2.0 | % | |||
Certificates of Deposit | 1.8 | % | |||
Purchased Options | 0.4 | % | |||
Assets in Excess of Other Liabilities* | 1.7 | % | |||
Net Assets | 100.0 | % | |||
* Includes short-term investments. | |||||
Portfolio holdings are subject to change daily. | |||||
The Portfolio’s relative value positions between U.S. vs. EU breakevens detracted from performance. Our tactical interest rate volatility positions erased their gains from the first half of the year and the third quarter as interest rate volatility increased over November and December. Our structural underweight in U.S. nominal rates was the most notable contributor to performance over the year. Hawkish comments from the U.S. Federal Reserve Board (the “Fed”) brought forward market participants’ timeline on the tapering of asset purchase program and rate hike projections, triggering a significant repricing in the rates market. Our tactical positions in Italy, Spain, and New Zealand breakevens further pared some of the underperformance. The Portfolio also benefitted from overweight allocations in agency mortgages, investment grade credit, and securitized assets.
Top Ten Holdings as of December 31, 2021* (as a percentage of net assets) | |||||
United States Treasury Inflation Indexed Bonds, 0.500%, 01/15/28 | 3.4 | % | |||
United States Treasury Inflation Indexed Bonds, 0.750%, 07/15/28 | 3.3 | % | |||
United States Treasury Inflation Indexed Bonds, 0.375%, 07/15/27 | 3.0 | % | |||
United States Treasury Inflation Indexed Bonds, 0.125%, 01/15/30 | 2.9 | % | |||
United States Treasury Inflation Indexed Bonds, 0.125%, 07/15/30 | 2.8 | % | |||
United States Treasury Inflation Indexed Bonds, 0.125%, 01/15/31 | 2.7 | % | |||
United States Treasury Inflation Indexed Bonds, 0.125%, 07/15/31 | 2.4 | % | |||
United States Treasury Inflation Indexed Bonds, 0.375%, 01/15/27 | 2.3 | % | |||
United States Treasury Inflation Indexed Bonds, 1.375%, 02/15/44 | 2.2 | % | |||
United States Treasury Inflation Indexed Bonds, 0.750%, 02/15/45 | 2.1 | % | |||
* Excludes short-term investments. | |||||
Portfolio holdings are subject to change daily. | |||||
Market Overview: The global markets in 2021 were influenced by the COVID-19 pandemic and geopolitical uncertainty. The year started with a reflationary outlook and increased expectations for stronger growth as interest rates moved higher and spread sectors moved marginally tighter. A few key events led to the rise in yields throughout January and February, in our view. Notably, the vaccine rollout that had accelerated, and the passing of the $1.9 trillion fiscal stimulus package with the potential of more infrastructure stimulus in the coming months. The significant pick-up in government bond yields rattled investors’ confidence as the market pulled forward its estimate on when the Fed would start lifting rates, but the Fed remained dovish for much of 2021 which kept interest rates in the long end of the curve anchored along with general demand from pensions funds. Inflation expectations moved higher over this period given the strong risk sentiment. As we moved into the summer, COVID-19 was not as much of a risk in the market given the vaccination progress and the economy continued to reopen. Spread sectors continued to perform well given this optimism and the curve flattened as inflation moved higher and continued to price in a more hawkish Fed. Risk assts remained resilient for much of the rest of the year but wobbled around concerns stemming from the Delta and Omicron variants and their risks to the economy and slowing growth in China. Late in the year the Fed became even more hawkish to combat higher inflation announcing it was doubling the pace of tapering to end in March and signaling three rate hikes in 2022. Overall, the consumer was extremely healthy in 2021, the employment picture continued to improve with record numbers of jobs added and inflation was running at elevated levels. Inflation prints in Europe and the UK surpassed consensus expectations over the period, pointing toward a steady increase in price levels, in our opinion. In December, the Bank of England (“BoE”) became one of the first major central banks to raise interest rates to 0.25% since the pandemic.
Current Strategy and Outlook: U.S.: In our view, the sharp hawkish pivot from the Fed in late 2021 will result in a bearish shift and significant repricing in the rates market. We believe by increasing the pace of taper and pulling forward rate hikes,
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
the Fed’s hawkish pivot will likely exert pressure on duration-sensitive assets and push yields higher across the curve. We believe the Fed indicated the shift in policy as warranted given incoming data on wages, inflation, and employment, all of which suggested that the economy was rapidly closing in on full employment, and inflationary pressures were proving more persistent than expected. The Fed now sees the inflation side of its dual mandate as being met and is now priming the market for rate hikes to reach maximum employment. In our view, the Fed has established a degree of distinction between short-run and long-run maximum employment and, as a result, could lift off from the zero-lower bound before participation has fully rebounded. We expect three 25 bps rate hikes in 2022, with the first one coming in March.
PORTFOLIO MANAGERS’ REPORT | VY® BLACKROCK INFLATION PROTECTED |
Average Annual Total Returns for the Periods Ended December 31, 2021 | ||||||||||||||||
1 Year | 5 Year | 10 Year | ||||||||||||||
Class ADV | 4.54 | % | 4.40 | % | 2.05 | % | ||||||||||
Class I | 5.25 | % | 5.02 | % | 2.66 | % | ||||||||||
Class S | 4.94 | % | 4.77 | % | 2.41 | % | ||||||||||
TIPS | 5.96 | % | 5.34 | % | 3.09 | % |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of VY® BlackRock Inflation Protected Bond Portfolio against the index indicated. The index is unmanaged and has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
The Portfolio’s performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your variable annuity contract or variable life insurance policy. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on Portfolio distributions or the redemption of Portfolio shares.
The performance shown includes, if applicable, the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other
service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable annuity contract or a variable life insurance policy. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.voyainvestments.com or call (800) 366-0066 to get performance through the most recent month end.
Portfolio holdings are subject to change daily.
VY® BRANDYWINEGLOBAL — BOND PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation
as of December 31, 2021
(as a percentage of net assets)
U.S. Treasury Obligations | 49.8 | % | ||||
Corporate Bonds/Notes | 25.9 | % | ||||
U.S. Government Agency Obligations | 17.0 | % | ||||
Commercial Mortgage-Backed Securities | 4.8 | % | ||||
Collateralized Mortgage Obligations | 0.5 | % | ||||
Asset-Backed Securities | 0.2 | % | ||||
Assets in Excess of Other Liabilities* | 1.8 | % | ||||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
VY® BrandywineGLOBAL — Bond Portfolio (the “Portfolio”) seeks total return consisting of capital appreciation and income. The Portfolio is managed by David F. Hoffman, CFA, John P. McIntyre, CFA, and Anujeet Sareen, CFA, Portfolio Managers of Brandywine Global Investment Management, LLC (“Brandywine”). — the Sub-Adviser.
Performance: For the year-ended December 31, 2021, the Portfolio’s shares provided a total return of 1.15% compared to the Bloomberg U.S. Aggregate Bond Index (“Bloomberg U.S. Aggregate Bond”), which returned -1.54% for the same period.
Portfolio Specifics — We maintained an underweight duration position versus the Bloomberg U.S. Aggregate Bond for the full calendar year in 2021. We felt that interest rates had the potential to rise as the economy re-opened and normalized and we wanted to minimize interest rate sensitivity in the Portfolio. This underweight positioning was the primary driver of both absolute and relative returns for the full calendar year as rates moved higher during the year. However, the move higher in rates was not linear as U.S. rates increased in the first few months of the year, declined in the summer months, and then moved higher again to finish the calendar year.
We began the year with a significant underweight in U.S. treasury duration which included a short exposure to longer dated U.S. treasuries. This positioning contributed to significant outperformance during the first quarter of the year as rates moved significantly higher. The short exposure was used as an offset to the duration of our corporate credit positions, with an aim to reduce interest sensitivity of the Portfolio. As rates declined in the summer months and began to move higher in the fall, our macro outlook shifted, and we modestly increased U.S. treasury duration and closed our short treasury position.
Top Ten Holdings
as of December 31, 2021
(as a percentage of net assets)
United States Treasury Floating Rate Note, 0.140%, 10/31/22 | 18.6 | % | ||||
United States Treasury Floating Rate Note, 0.134%, 01/31/23 | 15.1 | % | ||||
Federal Home Loan Banks, 0.125%, 03/17/23 | 8.5 | % | ||||
Freddie Mac, 0.375%, 05/05/23 | 8.5 | % | ||||
United States Treasury Floating Rate Note, 0.140%, 07/31/22 | 7.7 | % | ||||
United States Treasury Bond, 2.000%, 08/15/51 | 4.1 | % | ||||
FREMF 2012-K23 B Mortgage Trust, 3.656%, 10/25/45 | 2.8 | % | ||||
Marathon Oil Corp., 6.600%, 10/01/37 | 2.4 | % | ||||
United States Treasury Bond, 1.875%, 11/15/51 | 2.2 | % | ||||
United States Treasury Floating Rate Note, 0.119%, 04/30/23 | 2.1 | % |
Portfolio holdings are subject to change daily.
Our investment grade corporate credit exposures contributed to performance in 2021 but we continued to reduce exposure to this sector throughout the year due to rich valuations. Corporate credit spreads are close to all time highs and we tend to exit the sector when spreads tighten. We finished the year with approximately one year of corporate credit duration exposure which is down from a high of over four years in calendar year 2020.
Current Strategy and Outlook: Our outlook for 2022 remains constructive for growth in the U.S. and Globally. We expect global markets to move from a recovery phase to an expansion phase with the U.S. leading and China lagging from a growth perspective. We are closely monitoring a number of important macro considerations as we move into the new year. A few of the key areas of focus will be on household savings, bank lending, inflation, global monetary policy, and the continuing COVID-19 pandemic. We are maintaining an underweight duration position to protect against the potential of a further rise in rates.
The views expressed in this commentary are informed opinions. They should not be considered promises or advice. The views expressed reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Portfolio holdings are subject to change daily. The outlook for this Portfolio may differ from that presented for other Voya mutual funds. This report contains statements that may be “forward-looking” statements. Actual results may differ materially from those projected in the “forward-looking” statements. The Portfolio’s performance returns shown reflect applicable fee waivers and/or expense limits in effect during this period. Absent such fee waivers/expense limitations, if any, performance would have been lower. Performance for the different classes of shares will vary based on differences in fees associated with each class. An index has no cash in its portfolio and imposes no sales charges. An investor cannot invest directly in an index.
PORTFOLIO MANAGERS’ REPORT | VY® BRANDYWINEGLOBAL — BOND PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2021 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | Since Inception February 20, 2015 | ||||||||||||
VY® BrandywineGLOBAL - Bond Portfolio | 1.15 | % | 5.78 | % | 4.62 | % | ||||||||
Bloomberg U.S. Aggregate Bond Index | -1.54 | % | 3.57 | % | 2.99 | % |
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||||
Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2021* | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2021* | |||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,034.10 | 1.18 | % | $ | 6.05 | $ | 1,000.00 | $ | 1,019.26 | 1.18 | % | $ | 6.01 | ||||||||||||||||||
Class I | 1,000.00 | 1,036.70 | 0.58 | 2.98 | 1,000.00 | 1,022.28 | 0.58 | 2.96 | ||||||||||||||||||||||||||
Class S | 1,000.00 | 1,035.70 | 0.83 | 4.26 | 1,000.00 | 1,021.02 | 0.83 | 4.23 | ||||||||||||||||||||||||||
VY® BrandywineGLOBAL — Bond Portfolio | ||||||||||||||||||||||||||||||||||
$ | 1,000.00 | $ | 998.30 | 0.58 | % | $ | 2.92 | $ | 1,000.00 | $ | 1,022.28 | 0.58 | % | $ | 2.96 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half-year. |
![](https://capedge.com/proxy/N-CSR/0001104659-22-030442/ernstyoung.jpg)
February 24, 2022
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | ||||||||||
ASSETS: | |||||||||||
Investments in securities at fair value* | $ | 319,111,129 | $ | 337,265,517 | |||||||
Short-term investments at fair value† | 25,893,895 | 5,134,368 | |||||||||
Cash collateral for futures contracts | — | 480,927 | |||||||||
Cash pledged for centrally cleared swaps (Note 2) | 4,179,490 | — | |||||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 360,000 | — | |||||||||
Foreign currencies at value‡ | 621,216 | — | |||||||||
Receivables: | |||||||||||
Investment securities sold | 1,701,739 | — | |||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 15,969,709 | — | |||||||||
Fund shares sold | 667,717 | 100,930 | |||||||||
Dividends | 173 | 136 | |||||||||
Interest | 1,142,898 | 817,590 | |||||||||
Unrealized appreciation on forward foreign currency contracts | 114,662 | — | |||||||||
Unrealized appreciation on OTC swap agreements | 1,463,650 | — | |||||||||
Prepaid expenses | 27 | 28 | |||||||||
Other assets | 18,983 | 6,467 | |||||||||
Total assets | 371,245,288 | 343,805,963 | |||||||||
LIABILITIES: | |||||||||||
Payable for investment securities purchased | 2,051,836 | — | |||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 40,384,957 | — | |||||||||
Payable for fund shares redeemed | 62,082 | 128,419 | |||||||||
Unrealized depreciation on forward foreign currency contracts | 43,132 | — | |||||||||
Unrealized depreciation on OTC swap agreements | 180,826 | — | |||||||||
Variation margin payable on centrally cleared swaps | 153,258 | — | |||||||||
Variation margin payable on futures contracts | 192,922 | 75,224 | |||||||||
Cash received as collateral for OTC derivatives (Note 2) | 1,532,000 | — | |||||||||
Payable for investment management fees | 131,574 | 178,142 | |||||||||
Payable for distribution and shareholder service fees | 64,770 | — | |||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 18,983 | 6,467 | |||||||||
Payable for trustee fees | 1,543 | 1,691 | |||||||||
Other accrued expenses and liabilities | 100,854 | 87,053 | |||||||||
Written options, at fair valueˆ | 1,685,413 | — | |||||||||
Total liabilities | 46,604,150 | 476,996 | |||||||||
NET ASSETS | $ | 324,641,138 | $ | 343,328,967 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 362,024,315 | $ | 321,276,107 | |||||||
Total distributable earnings (loss) | (37,383,177 | ) | 22,052,860 | ||||||||
NET ASSETS | $ | 324,641,138 | $ | 343,328,967 | |||||||
* Cost of investments in securities | $ | 301,545,535 | $ | 332,305,058 | |||||||
† Cost of short-term investments | $ | 26,000,285 | $ | 5,134,368 | |||||||
‡ Cost of foreign currencies | $ | 614,657 | $ | — | |||||||
^ Premiums received on written options | $ | 1,729,882 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | |||||||||
Class ADV | ||||||||||
Net assets | $ | 56,856,802 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 5,411,724 | n/a | ||||||||
Net asset value and redemption price per share | $ | 10.51 | n/a | |||||||
Class I | ||||||||||
Net assets | $ | 94,962,489 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 8,683,399 | n/a | ||||||||
Net asset value and redemption price per share | $ | 10.94 | n/a | |||||||
Class S | ||||||||||
Net assets | $ | 172,821,847 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 15,933,497 | n/a | ||||||||
Net asset value and redemption price per share | $ | 10.85 | n/a | |||||||
Portfolio(1) | ||||||||||
Net assets | n/a | $ | 343,328,967 | |||||||
Shares authorized | n/a | unlimited | ||||||||
Par value | n/a | $ | 0.001 | |||||||
Shares outstanding | n/a | 30,601,792 | ||||||||
Net asset value and redemption price per share | n/a | $ | 11.22 |
(1) | Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL — Bond Portfolio | ||||||||||
INVESTMENT INCOME: | |||||||||||
Dividends | $ | 2,257 | $ | 2,339 | |||||||
Interest, net of foreign taxes withheld* | 10,228,729 | (1) | 4,797,971 | ||||||||
Total investment income | 10,230,986 | 4,800,310 | |||||||||
EXPENSES: | |||||||||||
Investment management fees | 1,642,904 | 1,690,421 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class ADV | 301,871 | — | |||||||||
Class S | 407,397 | — | |||||||||
Transfer agent fees: | — | 1,762 | |||||||||
Class ADV | 13,273 | — | |||||||||
Class I | 25,146 | — | |||||||||
Class S | 42,989 | — | |||||||||
Shareholder reporting expense | 12,211 | 1,930 | |||||||||
Registration fees | — | 5,169 | |||||||||
Professional fees | 51,081 | 51,072 | |||||||||
Custody and accounting expense | 111,120 | 58,690 | |||||||||
Trustee fees | 12,343 | 13,523 | |||||||||
Miscellaneous expense | 10,063 | 6,276 | |||||||||
Interest expense | 156 | — | |||||||||
Total expenses | 2,630,554 | 1,828,843 | |||||||||
Recouped/(Waived and reimbursed fees) | (134,225 | ) | 138,785 | ||||||||
Net expenses | 2,496,329 | 1,967,628 | |||||||||
Net investment income | 7,734,657 | 2,832,682 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | 6,941,094 | 9,687,393 | |||||||||
Forward foreign currency contracts | 486,557 | — | |||||||||
Foreign currency related transactions | 31,580 | — | |||||||||
Futures | (340,900 | ) | 5,033,822 | ||||||||
Swaps | 2,067,768 | — | |||||||||
Written options | 368,489 | — | |||||||||
Net realized gain | 9,554,588 | 14,721,215 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | (8,006,328 | ) | (13,348,508 | ) | |||||||
Forward foreign currency contracts | 308,830 | — | |||||||||
Foreign currency related transactions | 4,914 | — | |||||||||
Futures | (304,458 | ) | (453,656 | ) | |||||||
Swaps | 5,651,419 | — | |||||||||
Written options | (171,019 | ) | — | ||||||||
Net change in unrealized appreciation (depreciation) | (2,516,642 | ) | (13,802,164 | ) | |||||||
Net realized and unrealized gain | 7,037,946 | 919,051 | |||||||||
Increase in net assets resulting from operations | $ | 14,772,603 | $ | 3,751,733 | |||||||
* Foreign taxes withheld | $ | 159 | $ | — |
(1) | Includes net inflationary and deflationary adjustments. See Note 2 of the Notes to Financial Statements. |
VY® BlackRock Inflation Protected Bond Portfolio |
| VY® BrandywineGLOBAL — Bond Portfolio | ||||||||||||||
Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 7,734,657 | $ | 2,498,353 | $ | 2,832,682 | $ | 5,435,938 | ||||||||
Net realized gain | 9,554,588 | 8,870,565 | 14,721,215 | 21,289,037 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (2,516,642 | ) | 18,038,735 | (13,802,164 | ) | 18,184,526 | ||||||||||
Increase in net assets resulting from operations | 14,772,603 | 29,407,653 | 3,751,733 | 44,909,501 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Total distributions (excluding return of capital): | (27,082,394 | ) | (7,776,746 | ) | ||||||||||||
Class ADV | (1,140,854 | ) | (369,573 | ) | — | — | ||||||||||
Class I | (2,600,461 | ) | (1,038,565 | ) | — | — | ||||||||||
Class S | (4,058,689 | ) | (1,464,646 | ) | — | — | ||||||||||
Return of capital: | ||||||||||||||||
Class ADV | — | (258,130 | ) | — | — | |||||||||||
Class I | — | (465,220 | ) | — | — | |||||||||||
Class S | — | (834,668 | ) | — | — | |||||||||||
Total distributions | (7,800,004 | ) | (4,430,802 | ) | (27,082,394 | ) | (7,776,746 | ) | ||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 83,578,121 | 59,965,213 | 86,294,017 | 216,779,069 | ||||||||||||
Reinvestment of distributions | 7,796,663 | 4,430,802 | 27,082,394 | 7,776,746 | ||||||||||||
91,374,784 | 64,396,015 | 113,376,411 | 224,555,815 | |||||||||||||
Cost of shares redeemed | (73,208,287 | ) | (67,828,595 | ) | (65,382,155 | ) | (125,915,207 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 18,166,497 | (3,432,580 | ) | 47,994,256 | 98,640,608 | |||||||||||
Net increase in net assets | 25,139,096 | 21,544,271 | 24,663,595 | 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 | $ | 324,641,138 | $ | 299,502,042 | $ | 343,328,967 | $ | 318,665,372 |
Income (loss) from investment operations | Less distributions | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period | Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | Total distributions | Payment by affiliate | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/ additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | Expenses net of all reductions/ additions(2)(3)(4) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||||
ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | |||||||||||||||||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-21 | 10.28 | 0.22 | • | 0.24 | 0.46 | 0.23 | — | — | 0.23 | — | 10.51 | 4.54 | 1.22 | 1.18 | 1.18 | 2.14 | 56,857 | 156 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-21 | 10.68 | 0.30 | • | 0.25 | 0.55 | 0.29 | — | — | 0.29 | — | 10.94 | 5.25 | 0.62 | 0.58 | 0.58 | 2.75 | 94,962 | 156 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-21 | 10.60 | 0.26 | • | 0.26 | 0.52 | 0.27 | — | — | 0.27 | — | 10.85 | 4.94 | 0.87 | 0.83 | 0.83 | 2.48 | 172,822 | 156 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||
VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-21 | 12.03 | 0.10 | • | 0.04 | 0.14 | 0.19 | 0.76 | — | 0.95 | — | 11.22 | 1.15 | 0.54 | 0.58 | 0.58 | 0.84 | 343,329 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. | |
(2) | Annualized for periods less than one year. | |
(3) | Ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed or recouped by the Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. |
Expenses net of fee waivers reflect expenses after reimbursement by the Investment Adviser and/or Distributor or recoupment of previously reimbursed fees by the Investment Adviser, but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. | ||
(4) | Ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. | |
• | Calculated using average number of shares outstanding throughout the year or period. |
brokers. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Investments in open-end registered investment companies that do not trade on an exchange are valued at the end of day NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the sub-advisers’ or Pricing Committee’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Portfolios’ investments under these levels of classification is included within the Portfolio of Investments.
(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 | $ | 79,136,617 | $ | 61,341,819 | ||||
Bond Portfolio | 7,687,875 | 30,842,961 |
Purchased | Written | |||||||
Inflation rate caps | $ | 17,550,000 | $ | 17,550,000 |
Purchases | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 176,565,308 | $ | 154,620,082 | ||||
Bond Portfolio | 47,788,323 | 128,273,576 |
Purchases | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 319,665,746 | $ | 313,583,977 | ||||
Bond Portfolio | 181,419,531 | 58,451,263 |
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) | Effective September 1, 2021, the Investment Adviser has contractually agreed to waive 0.05% 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. Prior to September 1, 2021, the management fee waiver was 0.04%. |
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 | 18.47 | % | |||
Voya Solution 2025 Portfolio | Bond Portfolio | 17.70 | ||||
Voya Solution 2035 Portfolio | Bond Portfolio | 7.86 | ||||
Voya Solution Income Portfolio | Bond Portfolio | 11.46 |
Portfolio | Amount | |||
BlackRock Inflation Protected Bond | $ | 79,957 | ||
Bond Portfolio | — |
Portfolio | Maximum Operating Expense Limit (as a percentage of net assets) | |
BlackRock Inflation Protected Bond | Class ADV: 1.23% Class I: 0.63% Class S: 0.88% | |
Bond Portfolio | 0.58% |
December 31, | ||||||||||||||||
Portfolio | 2022 | 2023 | 2024 | Total | ||||||||||||
Bond Portfolio | $ | 46,992 | $ | — | $ | — | $ | 46,992 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
BlackRock Inflation Protected Bond | 2 | $ | 2,146,500 | 1.31 | % |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
12/31/2021 | 1,290,830 | — | 109,761 | (597,143 | ) | 803,448 | 13,417,739 | — | 1,140,854 | (6,152,184 | ) | 8,406,409 | ||||||||||||||||||||||||||||
12/31/2020 | 577,915 | — | 63,818 | (796,757 | ) | (155,024 | ) | 5,686,844 | — | 627,703 | (7,736,821 | ) | (1,422,274 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
12/31/2021 | 3,024,968 | — | 240,645 | (3,264,739 | ) | 874 | 32,490,424 | — | 2,597,120 | (35,144,233 | ) | (56,689 | ) | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
12/31/2021 | 3,522,483 | — | 378,853 | (3,005,965 | ) | 895,371 | 37,669,958 | — | 4,058,689 | (31,911,870 | ) | 9,816,777 | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
12/31/2021 | 7,344,730 | — | 2,407,324 | (5,631,258 | ) | 4,120,796 | 86,294,017 | — | 27,082,394 | (65,382,155 | ) | 47,994,256 | ||||||||||||||||||||||||||||
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, 2021 | Year Ended December 31, 2020 | |||||||||||||||
Ordinary Income | Long-term Capital Gain | Ordinary Income | Return of Capital | |||||||||||||
BlackRock Inflation Protected Bond | $ | 7,800,004 | $ | — | $ | 2,872,784 | $ | 1,558,018 | ||||||||
Bond Portfolio | 24,050,464 | 3,031,930 | 7,776,746 | — |
Undistributed Ordinary | Undistributed Long-term | Unrealized Appreciation/ | Capital Loss Carryforwards | Total Distributable | ||||||||||||||||||||||||||
Income | Capital Gain | (Depreciation) | Amount | Character | Expiration | Other | Earnings/(Loss) | |||||||||||||||||||||||
BlackRock Inflation Protected Bond | $ | 514,798 | $ | — | $ | 24,935,546 | $ | (1,477,247 | ) | Short-term | None | $ | (779,238 | ) | $ | (37,383,177 | ) | |||||||||||||
(60,577,036 | ) | Long-term | None | |||||||||||||||||||||||||||
$ | (62,054,283 | ) | ||||||||||||||||||||||||||||
Bond Portfolio | 11,931,574 | 5,175,566 | 4,960,459 | $ | — | — | — | (14,739) | 22,052,860 |
Per Share Amount | Payable Date | Record Date | ||||||
BlackRock Inflation Protected Bond | ||||||||
Class ADV | $ | 0.0313 | February 1, 2022 | January 28, 2022 | ||||
Class I | $ | 0.0365 | February 1, 2022 | January 28, 2022 | ||||
Class S | $ | 0.0343 | February 1, 2022 | January 28, 2022 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 26.7% | ||||||||||||||
Basic Materials: 0.8% | ||||||||||||||
45,000 |
| Air Products and Chemicals, Inc., 2.800%, 05/15/2050 | $ | 46,237 | 0.0 | |||||||||
200,000 | (1) | Corp Nacional del Cobre de Chile, 3.750%, 01/15/2031 | 213,360 | 0.1 | ||||||||||
246,000 | DuPont de Nemours, Inc., 4.493%, 11/15/2025 | 272,037 | 0.1 | |||||||||||
4,000 | Ecolab, Inc., 2.700%, 12/15/2051 | 3,937 | 0.0 | |||||||||||
81,000 | Ecolab, Inc., 2.750%, 08/18/2055 | 79,722 | 0.0 | |||||||||||
746,000 | (1) | Georgia-Pacific LLC, 0.625%, 05/15/2024 | 736,637 | 0.2 | ||||||||||
371,000 | (1) | Glencore Funding LLC, 2.500%, 09/01/2030 | 359,719 | 0.1 | ||||||||||
51,000 | LYB International Finance III LLC, 4.200%, 05/01/2050 | 59,104 | 0.0 | |||||||||||
200,000 | (1) | MEGlobal Canada ULC, 5.875%, 05/18/2030 | 242,875 | 0.1 | ||||||||||
222,000 | (1) | Orbia Advance Corp. SAB de CV, 1.875%, 05/11/2026 | 218,991 | 0.1 | ||||||||||
213,000 | (1) | Suzano Austria GmbH, 5.750%, 07/14/2026 | 243,409 | 0.1 | ||||||||||
71,000 | Westlake Chemical Corp., 3.375%, 08/15/2061 | 67,919 | 0.0 | |||||||||||
2,543,947 | 0.8 | |||||||||||||
Communications: 2.9% | ||||||||||||||
33,000 | AT&T, Inc., 1.650%, 02/01/2028 | 32,330 | 0.0 | |||||||||||
33,000 | AT&T, Inc., 2.250%, 02/01/2032 | 31,924 | 0.0 | |||||||||||
249,000 | AT&T, Inc., 3.100%, 02/01/2043 | 242,574 | 0.1 | |||||||||||
355,000 | AT&T, Inc., 3.300%, 02/01/2052 | 348,652 | 0.1 | |||||||||||
32,000 | AT&T, Inc., 3.500%, 06/01/2041 | 32,958 | 0.0 | |||||||||||
142,000 | AT&T, Inc., 3.800%, 12/01/2057 | 148,168 | 0.1 | |||||||||||
348,000 | AT&T, Inc., 4.300%, 02/15/2030 | 392,074 | 0.1 | |||||||||||
430,000 | AT&T, Inc., 4.350%, 03/01/2029 | 483,416 | 0.2 | |||||||||||
28,000 | AT&T, Inc., 4.500%, 05/15/2035 | 32,397 | 0.0 | |||||||||||
120,000 | AT&T, Inc., 5.150%, 02/15/2050 | 153,695 | 0.1 | |||||||||||
200,000 | (1) | Bharti Airtel Ltd., 3.250%, 06/03/2031 | 202,431 | 0.1 | ||||||||||
99,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.950%, 06/30/2062 | 95,618 | 0.0 | |||||||||||
728,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.750%, 04/01/2048 | 909,909 | 0.3 | |||||||||||
223,000 | Comcast Corp., 2.450%, 08/15/2052 | 200,269 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Communications: (continued) | ||||||||||||||
499,000 | Comcast Corp., 3.400%, 04/01/2030 | $ | 545,143 | 0.2 | ||||||||||
395,000 | Comcast Corp., 4.150%, 10/15/2028 | 448,700 | 0.1 | |||||||||||
98,000 | Comcast Corp., 4.600%, 10/15/2038 | 119,121 | 0.0 | |||||||||||
83,000 | (1) | Cox Communications, Inc., 3.600%, 06/15/2051 | 87,130 | 0.0 | ||||||||||
74,000 | eBay, Inc., 1.400%, 05/10/2026 | 72,936 | 0.0 | |||||||||||
31,000 | Expedia Group, Inc., 3.250%, 02/15/2030 | 31,669 | 0.0 | |||||||||||
483,000 | Motorola Solutions, Inc., 2.750%, 05/24/2031 | 484,374 | 0.2 | |||||||||||
15,000 | (1) | T-Mobile USA, Inc., 3.400%, 10/15/2052 | 14,959 | 0.0 | ||||||||||
1,124,000 | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 1,217,743 | 0.4 | |||||||||||
1,051,000 | Verizon Communications, Inc., 2.100%, 03/22/2028 | 1,053,767 | 0.3 | |||||||||||
929,000 | (1) | Verizon Communications, Inc., 2.355%, 03/15/2032 | 916,420 | 0.3 | ||||||||||
137,000 | Verizon Communications, Inc., 3.550%, 03/22/2051 | 147,877 | 0.0 | |||||||||||
500,000 | Verizon Communications, Inc., 4.400%, 11/01/2034 | 583,298 | 0.2 | |||||||||||
102,000 | ViacomCBS, Inc., 4.375%, 03/15/2043 | 116,308 | 0.0 | |||||||||||
111,000 | Vodafone Group PLC, 4.250%, 09/17/2050 | 128,455 | 0.0 | |||||||||||
9,274,315 | 2.9 | |||||||||||||
Consumer, Cyclical: 1.6% | ||||||||||||||
53,000 | (1) | Alimentation Couche-Tard, Inc., 3.439%, 05/13/2041 | 54,650 | 0.0 | ||||||||||
70,000 | American Honda Finance Corp., 2.900%, 02/16/2024 | 72,659 | 0.0 | |||||||||||
391,000 | (1) | Daimler Finance North America LLC, 1.450%, 03/02/2026 | 387,443 | 0.1 | ||||||||||
531,000 | General Motors Financial Co., Inc., 1.500%, 06/10/2026 | 522,988 | 0.2 | |||||||||||
79,000 | General Motors Financial Co., Inc., 2.750%, 06/20/2025 | 81,583 | 0.0 | |||||||||||
2,500,000 | (1) | Hyundai Capital America, 2.650%, 02/10/2025 | 2,563,860 | 0.8 | ||||||||||
400,000 | Lowe’s Cos, Inc., 1.700%, 09/15/2028 | 392,266 | 0.1 | |||||||||||
35,000 | Lowe’s Cos, Inc., 2.800%, 09/15/2041 | 34,208 | 0.0 | |||||||||||
38,000 | Marriott International, Inc./MD, 2.750%, 10/15/2033 | 36,910 | 0.0 | |||||||||||
240,000 | McDonald’s Corp., 3.600%, 07/01/2030 | 265,447 | 0.1 | |||||||||||
30,000 | McDonald’s Corp., 3.625%, 09/01/2049 | 33,262 | 0.0 | |||||||||||
46,000 | McDonald’s Corp., 4.200%, 04/01/2050 | 55,827 | 0.0 | |||||||||||
434,000 | (1) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | 485,889 | 0.2 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Cyclical: (continued) | ||||||||||||||
144,000 | Starbucks Corp., 2.550%, 11/15/2030 | $ | 147,032 | 0.1 | ||||||||||
68,000 | Walmart, Inc., 4.050%, 06/29/2048 | 86,636 | 0.0 | |||||||||||
5,220,660 | 1.6 | |||||||||||||
Consumer, Non-cyclical: 2.9% | ||||||||||||||
574,000 | AbbVie, Inc., 4.500%, 05/14/2035 | 687,731 | 0.2 | |||||||||||
708,000 | Altria Group, Inc., 3.400%, 02/04/2041 | 654,239 | 0.2 | |||||||||||
84,000 | Amgen, Inc., 4.663%, 06/15/2051 | 107,756 | 0.0 | |||||||||||
154,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 186,143 | 0.1 | |||||||||||
885,000 | Anheuser-Busch InBev Worldwide, Inc., 4.000%, 04/13/2028 | 984,981 | 0.3 | |||||||||||
183,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 06/01/2050 | 226,071 | 0.1 | |||||||||||
82,000 | Anthem, Inc., 3.600%, 03/15/2051 | 91,232 | 0.0 | |||||||||||
32,000 | Astrazeneca Finance LLC, 2.250%, 05/28/2031 | 32,259 | 0.0 | |||||||||||
109,000 | AstraZeneca PLC, 1.375%, 08/06/2030 | 103,022 | 0.0 | |||||||||||
201,000 | BAT Capital Corp., 4.540%, 08/15/2047 | 210,698 | 0.1 | |||||||||||
633,000 | BAT International Finance PLC, 1.668%, 03/25/2026 | 622,045 | 0.2 | |||||||||||
74,000 | Biogen, Inc., 3.150%, 05/01/2050 | 71,327 | 0.0 | |||||||||||
31,000 | Boston Scientific Corp., 2.650%, 06/01/2030 | 31,637 | 0.0 | |||||||||||
51,000 | (1) | Cargill, Inc., 0.400%, 02/02/2024 | 50,517 | 0.0 | ||||||||||
299,000 | Cigna Corp., 4.125%, 11/15/2025 | 327,232 | 0.1 | |||||||||||
191,000 | Coca-Cola Co/The, 1.450%, 06/01/2027 | 190,013 | 0.1 | |||||||||||
42,000 | Coca-Cola Co/The, 2.250%, 01/05/2032 | 42,734 | 0.0 | |||||||||||
431,000 | CVS Health Corp., 3.875%, 07/20/2025 | 463,570 | 0.1 | |||||||||||
177,000 | CVS Health Corp., 4.250%, 04/01/2050 | 214,509 | 0.1 | |||||||||||
200,000 | (1) | DP World Crescent Ltd., 3.750%, 01/30/2030 | 212,020 | 0.1 | ||||||||||
150,000 | (1) | Embotelladora Andina SA, 3.950%, 01/21/2050 | 155,559 | 0.0 | ||||||||||
33,000 | Equifax, Inc., 2.350%, 09/15/2031 | 32,590 | 0.0 | |||||||||||
185,000 | Gilead Sciences, Inc., 2.600%, 10/01/2040 | 178,606 | 0.1 | |||||||||||
142,000 | Global Payments, Inc., 2.150%, 01/15/2027 | 142,646 | 0.0 | |||||||||||
208,000 | Global Payments, Inc., 2.900%, 05/15/2030 | 212,010 | 0.1 | |||||||||||
200,000 | (1) | Grupo Bimbo SAB de CV, 4.000%, 09/06/2049 | 214,355 | 0.1 | ||||||||||
986,000 | HCA, Inc., 5.250%, 06/15/2026 | 1,109,882 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||||
92,000 | Humana, Inc., 1.350%, 02/03/2027 | $ | 89,503 | 0.0 | ||||||||||
26,000 | Merck & Co., Inc., 2.750%, 12/10/2051 | 25,776 | 0.0 | |||||||||||
80,000 | Moody’s Corp., 3.100%, 11/29/2061 | 79,548 | 0.0 | |||||||||||
104,000 | Philip Morris International, Inc., 1.500%, 05/01/2025 | 104,176 | 0.0 | |||||||||||
187,000 | Philip Morris International, Inc., 2.625%, 03/06/2023 | 191,335 | 0.1 | |||||||||||
144,000 | RELX Capital, Inc., 3.000%, 05/22/2030 | 151,135 | 0.0 | |||||||||||
297,000 | (1) | Roche Holdings, Inc., 1.930%, 12/13/2028 | 299,015 | 0.1 | ||||||||||
286,000 | Shire Acquisitions Investments Ireland DAC, 3.200%, 09/23/2026 | 303,690 | 0.1 | |||||||||||
206,000 | Takeda Pharmaceutical Co. Ltd., 2.050%, 03/31/2030 | 201,958 | 0.1 | |||||||||||
284,000 | Thermo Fisher Scientific, Inc., 2.000%, 10/15/2031 | 280,092 | 0.1 | |||||||||||
212,000 | UnitedHealth Group, Inc., 2.900%, 05/15/2050 | 216,547 | 0.1 | |||||||||||
9,498,159 | 2.9 | |||||||||||||
Energy: 1.7% | ||||||||||||||
34,000 | BP Capital Markets America, Inc., 3.001%, 03/17/2052 | 33,346 | 0.0 | |||||||||||
117,000 | BP Capital Markets America, Inc., 2.772%, 11/10/2050 | 110,522 | 0.0 | |||||||||||
44,000 | Cenovus Energy, Inc./CA, 3.750%, 02/15/2052 | 44,209 | 0.0 | |||||||||||
274,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 06/30/2027 | 309,369 | 0.1 | |||||||||||
60,000 | Chevron USA, Inc., 2.343%, 08/12/2050 | 55,494 | 0.0 | |||||||||||
54,000 | Devon Energy Corp., 4.750%, 05/15/2042 | 62,659 | 0.0 | |||||||||||
46,000 | Devon Energy Corp., 5.000%, 06/15/2045 | 55,733 | 0.0 | |||||||||||
2,000 | Devon Energy Corp., 5.875%, 06/15/2028 | 2,167 | 0.0 | |||||||||||
35,000 | Diamondback Energy, Inc., 2.875%, 12/01/2024 | 36,334 | 0.0 | |||||||||||
267,000 | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 275,462 | 0.1 | |||||||||||
7,000 | Diamondback Energy, Inc., 3.250%, 12/01/2026 | 7,388 | 0.0 | |||||||||||
651,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 691,036 | 0.2 | |||||||||||
65,000 | Energy Transfer L.P., 5.000%, 05/15/2050 | 74,977 | 0.0 | |||||||||||
772,000 | Energy Transfer L.P., 5.500%, 06/01/2027 | 881,207 | 0.3 | |||||||||||
175,000 | Enterprise Products Operating LLC, 3.300%, 02/15/2053 | 174,437 | 0.1 | |||||||||||
200,000 | (1) | KazMunayGas National Co. JSC, 3.500%, 04/14/2033 | 207,894 | 0.1 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Energy: (continued) | ||||||||||||||
96,000 | (1) | NGPL PipeCo LLC, 3.250%, 07/15/2031 | $ | 97,637 | 0.0 | |||||||||
200,000 | (1) | Pertamina Persero PT, 4.150%, 02/25/2060 | 201,569 | 0.1 | ||||||||||
200,000 | (1) | Petronas Capital Ltd., 3.500%, 04/21/2030 | 216,600 | 0.1 | ||||||||||
200,000 | (1) | Qatar Energy, 3.300%, 07/12/2051 | 206,605 | 0.1 | ||||||||||
797,000 | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 873,720 | 0.3 | |||||||||||
196,000 | Sabine Pass Liquefaction LLC, 5.875%, 06/30/2026 | 225,086 | 0.1 | |||||||||||
152,000 | (1) | Schlumberger Finance Canada Ltd., 2.650%, 11/20/2022 | 154,479 | 0.0 | ||||||||||
438,000 | (1) | Texas Eastern Transmission L.P., 3.500%, 01/15/2028 | 468,276 | 0.1 | ||||||||||
78,000 | Transcontinental Gas Pipe Line Co. LLC, 7.850%, 02/01/2026 | 95,295 | 0.0 | |||||||||||
5,561,501 | 1.7 | |||||||||||||
Financial: 10.4% | ||||||||||||||
72,000 | (1) | AIG Global Funding, 0.450%, 12/08/2023 | 71,332 | 0.0 | ||||||||||
49,000 | Air Lease Corp., 2.875%, 01/15/2026 | 50,589 | 0.0 | |||||||||||
26,000 | American International Group, Inc., 4.375%, 06/30/2050 | 32,498 | 0.0 | |||||||||||
113,000 | American International Group, Inc., 4.500%, 07/16/2044 | 139,494 | 0.0 | |||||||||||
183,000 | American Tower Corp., 2.700%, 04/15/2031 | 183,751 | 0.1 | |||||||||||
593,000 | American Tower Corp., 3.800%, 08/15/2029 | 645,766 | 0.2 | |||||||||||
148,000 | Aon Corp., 2.800%, 05/15/2030 | 152,699 | 0.0 | |||||||||||
317,000 | Ares Capital Corp., 2.150%, 07/15/2026 | 313,028 | 0.1 | |||||||||||
200,000 | (1) | Banco Nacional de Panama, 2.500%, 08/11/2030 | 188,002 | 0.1 | ||||||||||
1,000,000 | (2) | Banco Santander SA, 0.701%, 06/30/2024 | 995,000 | 0.3 | ||||||||||
484,000 | (2) | Bank of America Corp., 0.523%, 06/14/2024 | 480,944 | 0.1 | ||||||||||
1,719,000 | (2) | Bank of America Corp., 1.319%, 06/19/2026 | 1,702,090 | 0.5 | ||||||||||
1,314,000 | (2) | Bank of America Corp., 1.734%, 07/22/2027 | 1,305,154 | 0.4 | ||||||||||
25,000 | (2) | Bank of America Corp., 1.898%, 07/23/2031 | 23,954 | 0.0 | ||||||||||
376,000 | (2) | Bank of America Corp., 2.015%, 02/13/2026 | 381,110 | 0.1 | ||||||||||
838,000 | (2) | Bank of America Corp., 2.299%, 07/21/2032 | 824,825 | 0.3 | ||||||||||
103,000 | (2) | Bank of America Corp., 2.572%, 10/20/2032 | 103,570 | 0.0 | ||||||||||
66,000 | (2) | Bank of America Corp., 2.687%, 04/22/2032 | 67,049 | 0.0 | ||||||||||
199,000 | (2) | Bank of America Corp., 3.559%, 04/23/2027 | 212,920 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
55,000 | (2) | Bank of America Corp., 3.705%, 04/24/2028 | $ | 59,731 | 0.0 | |||||||||
290,000 | (2) | Bank of America Corp., 3.864%, 07/23/2024 | 302,247 | 0.1 | ||||||||||
368,000 | Bank of America Corp., 3.950%, 04/21/2025 | 393,665 | 0.1 | |||||||||||
379,000 | (2) | Bank of America Corp., 4.078%, 04/23/2040 | 436,211 | 0.1 | ||||||||||
253,000 | (2) | Barclays PLC, 2.667%, 03/10/2032 | 251,178 | 0.1 | ||||||||||
200,000 | (2) | Barclays PLC, 3.811%, 03/10/2042 | 213,608 | 0.1 | ||||||||||
342,000 | (2) | Barclays PLC, 4.338%, 05/16/2024 | 356,126 | 0.1 | ||||||||||
194,000 | (1) | Blackstone Private Credit Fund, 3.250%, 03/15/2027 | 196,123 | 0.1 | ||||||||||
9,000 | (2) | Citigroup, Inc., 2.520%, 11/03/2032 | 8,999 | 0.0 | ||||||||||
689,000 | (2) | Citigroup, Inc., 2.561%, 05/01/2032 | 693,302 | 0.2 | ||||||||||
302,000 | (2) | Citigroup, Inc., 2.666%, 01/29/2031 | 306,889 | 0.1 | ||||||||||
31,000 | (2) | Citigroup, Inc., 2.976%, 11/05/2030 | 32,224 | 0.0 | ||||||||||
29,000 | (2) | Citigroup, Inc., 3.980%, 03/20/2030 | 32,042 | 0.0 | ||||||||||
500,000 | Credit Suisse AG/New York NY, 1.250%, 08/07/2026 | 487,930 | 0.2 | |||||||||||
53,000 | Crown Castle International Corp., 1.350%, 07/15/2025 | 52,329 | 0.0 | |||||||||||
178,000 | Crown Castle International Corp., 2.250%, 01/15/2031 | 173,632 | 0.1 | |||||||||||
118,000 | Crown Castle International Corp., 3.700%, 06/15/2026 | 126,593 | 0.0 | |||||||||||
545,000 | Crown Castle International Corp., 3.800%, 02/15/2028 | 593,501 | 0.2 | |||||||||||
1,020,000 | (1),(2) | Danske Bank A/S, 0.976%, 09/10/2025 | 1,004,882 | 0.3 | ||||||||||
200,000 | (1),(2) | Danske Bank A/S, 1.171%, 12/08/2023 | 199,997 | 0.1 | ||||||||||
150,000 | Deutsche Bank AG/New York NY, 1.686%, 03/19/2026 | 149,405 | 0.0 | |||||||||||
150,000 | (2) | Deutsche Bank AG/New York NY, 2.129%, 11/24/2026 | 149,813 | 0.0 | ||||||||||
405,000 | Equinix, Inc., 3.200%, 11/18/2029 | 426,074 | 0.1 | |||||||||||
73,000 | GLP Capital L.P. / GLP Financing II, Inc., 3.250%, 01/15/2032 | 73,512 | 0.0 | |||||||||||
30,000 | GLP Capital L.P. / GLP Financing II, Inc., 4.000%, 01/15/2031 | 32,053 | 0.0 | |||||||||||
1,000,000 | (2) | Goldman Sachs Group, Inc./The, 2.905%, 07/24/2023 | 1,011,395 | 0.3 | ||||||||||
542,000 | (2) | Goldman Sachs Group, Inc./The, 2.908%, 07/21/2042 | 539,885 | 0.2 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
1,794,000 | Goldman Sachs Group, Inc./The, 3.500%, 04/01/2025 | $ | 1,898,376 | 0.6 | ||||||||||
497,000 | (2) | HSBC Holdings PLC, 1.589%, 05/24/2027 | 486,326 | 0.2 | ||||||||||
200,000 | (2) | HSBC Holdings PLC, 2.251%, 11/22/2027 | 200,534 | 0.1 | ||||||||||
123,000 | Intercontinental Exchange, Inc., 2.100%, 06/15/2030 | 121,681 | 0.0 | |||||||||||
41,000 | Invitation Homes Operating Partnership L.P., 2.300%, 11/15/2028 | 40,587 | 0.0 | |||||||||||
387,000 | (2) | JPMorgan Chase & Co., 1.578%, 04/22/2027 | 382,640 | 0.1 | ||||||||||
40,000 | (2) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 38,567 | 0.0 | ||||||||||
2,623,000 | (2) | JPMorgan Chase & Co., 2.005%, 03/13/2026 | 2,655,870 | 0.8 | ||||||||||
87,000 | (2) | JPMorgan Chase & Co., 2.525%, 11/19/2041 | 82,905 | 0.0 | ||||||||||
107,000 | (2) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 108,489 | 0.0 | ||||||||||
31,000 | (2) | JPMorgan Chase & Co., 3.157%, 04/22/2042 | 32,421 | 0.0 | ||||||||||
31,000 | (2) | JPMorgan Chase & Co., 3.220%, 03/01/2025 | 32,244 | 0.0 | ||||||||||
167,000 | (2) | JPMorgan Chase & Co., 3.328%, 04/22/2052 | 179,131 | 0.1 | ||||||||||
495,000 | (2) | JPMorgan Chase & Co., 3.559%, 04/23/2024 | 511,682 | 0.2 | ||||||||||
241,000 | JPMorgan Chase & Co., 3.900%, 07/15/2025 | 260,997 | 0.1 | |||||||||||
25,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 28,959 | 0.0 | ||||||||||
200,000 | Lloyds Banking Group PLC, 4.375%, 03/22/2028 | 224,546 | 0.1 | |||||||||||
105,000 | Marsh & McLennan Cos, Inc., 2.250%, 11/15/2030 | 104,903 | 0.0 | |||||||||||
225,000 | (2) | Mitsubishi UFJ Financial Group, Inc., 1.538%, 07/20/2027 | 221,118 | 0.1 | ||||||||||
2,000,000 | Mitsubishi UFJ Financial Group, Inc., 3.218%, 03/07/2022 | 2,010,052 | 0.6 | |||||||||||
30,000 | Mitsubishi UFJ Financial Group, Inc., 3.407%, 03/07/2024 | 31,421 | 0.0 | |||||||||||
567,000 | (2) | Mizuho Financial Group, Inc., 2.260%, 07/09/2032 | 554,670 | 0.2 | ||||||||||
690,000 | (2) | Morgan Stanley, 0.790%, 05/30/2025 | 681,347 | 0.2 | ||||||||||
1,755,000 | (2) | Morgan Stanley, 1.512%, 07/20/2027 | 1,728,007 | 0.5 | ||||||||||
24,000 | (2) | Morgan Stanley, 1.593%, 05/04/2027 | 23,776 | 0.0 | ||||||||||
49,000 | (2) | Morgan Stanley, 2.511%, 10/20/2032 | 49,006 | 0.0 | ||||||||||
37,000 | (2) | Morgan Stanley, 3.217%, 04/22/2042 | 38,835 | 0.0 | ||||||||||
72,000 | (2) | Morgan Stanley, 3.772%, 01/24/2029 | 78,410 | 0.0 | ||||||||||
167,000 | Morgan Stanley, 4.000%, 07/23/2025 | 181,137 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
1,029,000 | (2) | Morgan Stanley, 4.431%, 01/23/2030 | $ | 1,173,637 | 0.4 | |||||||||
188,000 | National Retail Properties, Inc., 3.000%, 04/15/2052 | 178,269 | 0.1 | |||||||||||
204,000 | Nomura Holdings, Inc., 2.608%, 07/14/2031 | 201,530 | 0.1 | |||||||||||
85,000 | (1) | Principal Life Global Funding II, 0.750%, 04/12/2024 | 84,428 | 0.0 | ||||||||||
232,000 | (2) | Santander UK Group Holdings PLC, 1.089%, 03/15/2025 | 229,970 | 0.1 | ||||||||||
261,000 | Sumitomo Mitsui Financial Group, Inc., 1.902%, 09/17/2028 | 256,071 | 0.1 | |||||||||||
800,000 | Sumitomo Mitsui Financial Group, Inc., 2.846%, 01/11/2022 | 800,366 | 0.2 | |||||||||||
113,000 | (1) | SURA Asset Management SA, 4.875%, 04/17/2024 | 119,275 | 0.0 | ||||||||||
310,000 | (1),(2) | UBS Group AG, 1.494%, 08/10/2027 | 302,571 | 0.1 | ||||||||||
31,000 | (2) | Wells Fargo & Co., 2.393%, 06/02/2028 | 31,529 | 0.0 | ||||||||||
187,000 | (2) | Wells Fargo & Co., 2.572%, 02/11/2031 | 191,101 | 0.1 | ||||||||||
187,000 | (2) | Wells Fargo & Co., 3.068%, 04/30/2041 | 192,161 | 0.1 | ||||||||||
104,000 | Wells Fargo & Co., 3.000%, 10/23/2026 | 109,335 | 0.0 | |||||||||||
351,000 | Wells Fargo & Co., 3.500%, 03/08/2022 | 353,020 | 0.1 | |||||||||||
236,000 | (2) | Wells Fargo & Co., 3.584%, 05/22/2028 | 253,893 | 0.1 | ||||||||||
159,000 | Wells Fargo & Co., 4.150%, 01/24/2029 | 178,139 | 0.1 | |||||||||||
33,821,053 | 10.4 | |||||||||||||
Industrial: 1.3% | ||||||||||||||
150,000 | Agilent Technologies, Inc., 2.300%, 03/12/2031 | 148,697 | 0.0 | |||||||||||
270,000 | Amcor Flexibles North America, Inc., 2.690%, 05/25/2031 | 273,939 | 0.1 | |||||||||||
20,000 | Burlington Northern Santa Fe LLC, 2.875%, 06/15/2052 | 20,056 | 0.0 | |||||||||||
209,000 | Burlington Northern Santa Fe LLC, 3.300%, 09/15/2051 | 227,470 | 0.1 | |||||||||||
184,000 | CSX Corp., 2.500%, 05/15/2051 | 170,540 | 0.1 | |||||||||||
45,000 | CSX Corp., 3.250%, 06/01/2027 | 48,290 | 0.0 | |||||||||||
214,000 | FedEx Corp., 2.400%, 05/15/2031 | 214,660 | 0.1 | |||||||||||
122,000 | General Dynamics Corp., 3.750%, 05/15/2028 | 134,924 | 0.0 | |||||||||||
363,000 | (1) | Huntington Ingalls Industries, Inc., 2.043%, 08/16/2028 | 355,651 | 0.1 | ||||||||||
54,000 | L3Harris Technologies, Inc., 3.850%, 12/15/2026 | 58,762 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Industrial: (continued) | ||||||||||||||
241,000 | Lockheed Martin Corp., 2.800%, 06/15/2050 | $ | 240,897 | 0.1 | ||||||||||
163,000 | Norfolk Southern Corp., 3.050%, 05/15/2050 | 166,521 | 0.0 | |||||||||||
234,000 | Northrop Grumman Corp., 2.930%, 01/15/2025 | 243,922 | 0.1 | |||||||||||
230,000 | Northrop Grumman Corp., 5.250%, 05/01/2050 | 322,990 | 0.1 | |||||||||||
59,000 | nVent Finance Sarl, 2.750%, 11/15/2031 | 58,819 | 0.0 | |||||||||||
102,000 | Packaging Corp. of America, 3.050%, 10/01/2051 | 101,763 | 0.0 | |||||||||||
32,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.700%, 06/15/2026 | 31,664 | 0.0 | ||||||||||
34,000 | Raytheon Technologies Corp., 2.820%, 09/01/2051 | 32,914 | 0.0 | |||||||||||
242,000 | Raytheon Technologies Corp., 3.125%, 07/01/2050 | 247,871 | 0.1 | |||||||||||
607,000 | Raytheon Technologies Corp., 4.125%, 11/16/2028 | 679,561 | 0.2 | |||||||||||
26,000 | Raytheon Technologies Corp., 4.625%, 11/16/2048 | 33,391 | 0.0 | |||||||||||
55,000 | Republic Services, Inc., 2.375%, 03/15/2033 | 54,812 | 0.0 | |||||||||||
201,000 | Union Pacific Corp., 3.200%, 05/20/2041 | 214,391 | 0.1 | |||||||||||
202,000 | Union Pacific Corp., 3.250%, 02/05/2050 | 217,112 | 0.1 | |||||||||||
4,299,617 | 1.3 | |||||||||||||
Technology: 2.9% | ||||||||||||||
38,000 | Activision Blizzard, Inc., 2.500%, 09/15/2050 | 33,381 | 0.0 | |||||||||||
121,000 | Analog Devices, Inc., 3.500%, 12/05/2026 | 132,050 | 0.0 | |||||||||||
186,000 | Autodesk, Inc., 2.400%, 12/15/2031 | 185,669 | 0.1 | |||||||||||
528,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.500%, 01/15/2028 | 564,571 | 0.2 | |||||||||||
221,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 01/15/2027 | 239,759 | 0.1 | |||||||||||
348,000 | (1) | Broadcom, Inc., 3.419%, 04/15/2033 | 365,200 | 0.1 | ||||||||||
157,000 | (1) | Broadcom, Inc., 3.469%, 04/15/2034 | 164,535 | 0.1 | ||||||||||
10,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 11,099 | 0.0 | |||||||||||
15,000 | Dell International LLC / EMC Corp., 8.350%, 07/15/2046 | 24,991 | 0.0 | |||||||||||
33,000 | DXC Technology Co., 2.375%, 09/15/2028 | 32,285 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Technology: (continued) | ||||||||||||||
265,000 | Electronic Arts, Inc., 1.850%, 02/15/2031 | $ | 254,269 | 0.1 | ||||||||||
143,000 | Fidelity National Information Services, Inc., 3.100%, 03/01/2041 | 144,657 | 0.0 | |||||||||||
485,000 | Fiserv, Inc., 3.500%, 07/01/2029 | 522,101 | 0.2 | |||||||||||
142,000 | Intel Corp., 3.200%, 08/12/2061 | 145,852 | 0.1 | |||||||||||
100,000 | International Business Machines Corp., 3.300%, 05/15/2026 | 107,012 | 0.0 | |||||||||||
169,000 | International Business Machines Corp., 4.150%, 05/15/2039 | 195,526 | 0.1 | |||||||||||
76,000 | KLA Corp., 3.300%, 03/01/2050 | 81,424 | 0.0 | |||||||||||
33,000 | Lam Research Corp., 2.875%, 06/15/2050 | 32,975 | 0.0 | |||||||||||
341,000 | Leidos, Inc., 2.300%, 02/15/2031 | 328,862 | 0.1 | |||||||||||
568,000 | NVIDIA Corp., 1.550%, 06/15/2028 | 563,912 | 0.2 | |||||||||||
122,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 2.500%, 05/11/2031 | 122,429 | 0.0 | ||||||||||
133,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.150%, 05/01/2027 | 139,971 | 0.0 | ||||||||||
617,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 4.300%, 06/18/2029 | 691,921 | 0.2 | ||||||||||
1,322,000 | Oracle Corp., 1.650%, 03/25/2026 | 1,312,897 | 0.4 | |||||||||||
1,000,000 | Oracle Corp., 2.500%, 05/15/2022 | 1,004,165 | 0.3 | |||||||||||
31,000 | Oracle Corp., 3.600%, 04/01/2040 | 31,143 | 0.0 | |||||||||||
55,000 | Oracle Corp., 3.600%, 04/01/2050 | 53,957 | 0.0 | |||||||||||
1,208,000 | Oracle Corp., 3.650%, 03/25/2041 | 1,223,118 | 0.4 | |||||||||||
80,000 | QUALCOMM, Inc., 3.250%, 05/20/2050 | 88,060 | 0.0 | |||||||||||
36,000 | salesforce.com, Inc., 3.050%, 07/15/2061 | 37,135 | 0.0 | |||||||||||
219,000 | ServiceNow, Inc., 1.400%, 09/01/2030 | 204,098 | 0.1 | |||||||||||
212,000 | VMware, Inc., 1.800%, 08/15/2028 | 206,474 | 0.1 | |||||||||||
114,000 | VMware, Inc., 2.200%, 08/15/2031 | 112,094 | 0.0 | |||||||||||
21,000 | Western Digital Corp., 2.850%, 02/01/2029 | 21,236 | 0.0 | |||||||||||
9,378,828 | 2.9 | |||||||||||||
Utilities: 2.2% | ||||||||||||||
41,000 | AEP Texas, Inc., 3.450%, 05/15/2051 | 41,396 | 0.0 | |||||||||||
467,000 | AEP Transmission Co. LLC, 2.750%, 08/15/2051 | 445,428 | 0.1 | |||||||||||
308,000 | Alabama Power Co., 3.125%, 07/15/2051 | 314,857 | 0.1 | |||||||||||
32,000 | Ameren Illinois Co., 2.900%, 06/15/2051 | 32,525 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Utilities: (continued) | ||||||||||||||
94,000 | (1) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | $ | 94,978 | 0.0 | |||||||||
67,000 | Atmos Energy Corp., 2.850%, 02/15/2052 | 65,280 | 0.0 | |||||||||||
79,000 | CenterPoint Energy Resources Corp., 1.750%, 10/01/2030 | 74,912 | 0.0 | |||||||||||
35,000 | CenterPoint Energy Houston Electric LLC, 3.350%, 04/01/2051 | 38,565 | 0.0 | |||||||||||
77,000 | Commonwealth Edison Co., 2.750%, 09/01/2051 | 74,637 | 0.0 | |||||||||||
220,000 | (1) | Consorcio Transmantaro SA, 4.700%, 04/16/2034 | 242,043 | 0.1 | ||||||||||
199,000 | Consumers Energy Co., 2.650%, 08/15/2052 | 194,182 | 0.1 | |||||||||||
42,000 | DTE Electric Co., 3.950%, 03/01/2049 | 49,758 | 0.0 | |||||||||||
71,000 | Duke Energy Carolinas LLC, 3.450%, 04/15/2051 | 77,838 | 0.0 | |||||||||||
137,000 | Duke Energy Florida LLC, 1.750%, 06/15/2030 | 131,633 | 0.0 | |||||||||||
68,000 | Duke Energy Florida LLC, 3.000%, 12/15/2051 | 68,706 | 0.0 | |||||||||||
262,000 | Duke Energy Florida LLC, 3.800%, 07/15/2028 | 288,920 | 0.1 | |||||||||||
262,000 | Duke Energy Progress LLC, 2.900%, 08/15/2051 | 260,412 | 0.1 | |||||||||||
185,000 | Entergy Louisiana LLC, 2.350%, 06/15/2032 | 184,654 | 0.1 | |||||||||||
32,000 | Exelon Corp., 4.700%, 04/15/2050 | 40,277 | 0.0 | |||||||||||
2,089,000 | Florida Power & Light Co., 0.300%, (SOFRRATE + 0.250%), 05/10/2023 | 2,083,375 | 0.6 | |||||||||||
265,000 | Florida Power & Light Co., 2.875%, 12/04/2051 | 269,439 | 0.1 | |||||||||||
30,000 | Florida Power & Light Co., 3.950%, 03/01/2048 | 35,666 | 0.0 | |||||||||||
200,000 | (1) | Interchile SA, 4.500%, 06/30/2056 | 212,817 | 0.1 | ||||||||||
241,000 | MidAmerican Energy Co., 2.700%, 08/01/2052 | 234,583 | 0.1 | |||||||||||
53,000 | Northern States Power Co/MN, 2.600%, 06/01/2051 | 50,712 | 0.0 | |||||||||||
213,000 | (1) | NRG Energy, Inc., 4.450%, 06/15/2029 | 231,986 | 0.1 | ||||||||||
150,000 | Ohio Power Co., 2.900%, 10/01/2051 | 145,024 | 0.1 | |||||||||||
15,000 | (1) | Oncor Electric Delivery Co. LLC, 2.700%, 11/15/2051 | 14,463 | 0.0 | ||||||||||
47,000 | Oncor Electric Delivery Co. LLC, 3.100%, 09/15/2049 | 49,178 | 0.0 | |||||||||||
8,000 | Pacific Gas and Electric Co., 2.500%, 02/01/2031 | 7,630 | 0.0 | |||||||||||
67,000 | Pacific Gas and Electric Co., 3.250%, 06/01/2031 | 67,291 | 0.0 | |||||||||||
102,000 | Pacific Gas and Electric Co., 4.950%, 07/01/2050 | 111,349 | 0.0 | |||||||||||
238,000 | PECO Energy Co., 2.850%, 09/15/2051 | 236,303 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Utilities: (continued) | ||||||||||||||
200,000 | Saudi Electricity Global Sukuk Co. 5, 2.413%, 09/17/2030 | $ | 200,998 | 0.1 | ||||||||||
200,000 | Southern California Edison Co., 1.200%, 02/01/2026 | 196,169 | 0.1 | |||||||||||
31,000 | Southwestern Public Service Co., 3.150%, 05/01/2050 | 32,396 | 0.0 | |||||||||||
27,000 | Tampa Electric Co., 4.300%, 06/15/2048 | 33,173 | 0.0 | |||||||||||
149,000 | Virginia Electric and Power Co., 2.450%, 12/15/2050 | 137,673 | 0.1 | |||||||||||
7,071,226 | 2.2 | |||||||||||||
Total Corporate Bonds/Notes | ||||||||||||||
(Cost $86,781,777) | 86,669,306 | 26.7 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 50.8% | ||||||||||||||
Treasury Inflation Indexed Protected Securities: 49.5% | ||||||||||||||
2,107,414 | 0.125%, 10/15/2026 | 2,292,753 | 0.7 | |||||||||||
8,350,381 | 0.125%, 01/15/2030 | 9,274,957 | 2.9 | |||||||||||
8,195,910 | 0.125%, 07/15/2030 | 9,176,973 | 2.8 | |||||||||||
7,737,326 | 0.125%, 01/15/2031 | 8,670,251 | 2.7 | |||||||||||
6,910,636 | 0.125%, 07/15/2031 | 7,774,768 | 2.4 | |||||||||||
3,817,606 | 0.125%, 02/15/2051 | 4,531,182 | 1.4 | |||||||||||
29,223 | 0.250%, 01/15/2025 | 31,316 | 0.0 | |||||||||||
5,974,572 | 0.250%, 07/15/2029 | 6,698,951 | 2.1 | |||||||||||
3,133,692 | 0.250%, 02/15/2050 | 3,800,136 | 1.2 | |||||||||||
11,897 | 0.375%, 07/15/2023 | 12,510 | 0.0 | |||||||||||
1,021,536 | 0.375%, 07/15/2025 | 1,109,853 | 0.3 | |||||||||||
6,651,795 | 0.375%, 01/15/2027 | 7,319,639 | 2.3 | |||||||||||
8,692,224 | 0.375%, 07/15/2027 | 9,648,324 | 3.0 | |||||||||||
9,728,264 | 0.500%, 01/15/2028 | 10,891,008 | 3.4 | |||||||||||
23,630 | 0.625%, 04/15/2023 | 24,705 | 0.0 | |||||||||||
3,672,810 | 0.625%, 02/15/2043 | 4,572,587 | 1.4 | |||||||||||
9,468,826 | 0.750%, 07/15/2028 | 10,849,956 | 3.3 | |||||||||||
4,802,612 | 0.750%, 02/15/2042 | 6,077,769 | 1.9 | |||||||||||
5,361,238 | (3) | 0.750%, 02/15/2045 | 6,912,149 | 2.1 | ||||||||||
2,666,481 | 0.875%, 01/15/2029 | 3,085,438 | 1.0 | |||||||||||
3,331,803 | 0.875%, 02/15/2047 | 4,507,841 | 1.4 | |||||||||||
2,868,569 | 1.000%, 02/15/2046 | 3,926,557 | 1.2 | |||||||||||
2,615,938 | 1.000%, 02/15/2048 | 3,674,887 | 1.1 | |||||||||||
2,222,485 | 1.000%, 02/15/2049 | 3,160,692 | 1.0 | |||||||||||
5,001,227 | (3) | 1.375%, 02/15/2044 | 7,147,868 | 2.2 | ||||||||||
2,965,558 | (3) | 1.750%, 01/15/2028 | 3,559,428 | 1.1 | ||||||||||
2,012,725 | 2.125%, 02/15/2040 | 3,084,282 | 0.9 | |||||||||||
2,825,599 | 2.125%, 02/15/2041 | 4,379,348 | 1.3 | |||||||||||
3,894,832 | 2.375%, 01/15/2027 | 4,705,974 | 1.4 | |||||||||||
2,282,450 | 2.500%, 01/15/2029 | 2,919,511 | 0.9 | |||||||||||
1,980,908 | 3.375%, 04/15/2032 | 2,948,695 | 0.9 | |||||||||||
1,049,303 | 3.625%, 04/15/2028 | 1,394,762 | 0.4 | |||||||||||
1,823,913 | 3.875%, 04/15/2029 | 2,541,745 | 0.8 | |||||||||||
160,706,815 | 49.5 | |||||||||||||
U.S. Treasury Bonds: 1.3% | ||||||||||||||
4,350,000 | 1.750%, 08/15/2041 | 4,218,820 | 1.3 | |||||||||||
Total U.S. Treasury Obligations | ||||||||||||||
(Cost $147,310,419) | 164,925,635 | 50.8 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: 9.8% | ||||||||||||||
Government National Mortgage Association: 2.2% | ||||||||||||||
1,894,000 | (4) | 2.000%, 01/15/2052 | $ | 1,911,247 | 0.6 | |||||||||
1,342,000 | (4) | 2.500%, 01/15/2052 | 1,374,395 | 0.4 | ||||||||||
300,000 | (4) | 2.500%, 02/15/2052 | 306,574 | 0.1 | ||||||||||
1,345,000 | (4) | 3.000%, 01/15/2052 | 1,391,713 | 0.4 | ||||||||||
740,761 | 3.500%, 05/20/2047 | 778,395 | 0.3 | |||||||||||
300,000 | (4) | 3.500%, 01/15/2052 | 312,397 | 0.1 | ||||||||||
323,728 | 4.000%, 09/20/2048 | 342,979 | 0.1 | |||||||||||
184,000 | (4) | 4.000%, 01/20/2050 | 193,773 | 0.1 | ||||||||||
254,826 | 4.500%, 08/20/2048 | 270,017 | 0.1 | |||||||||||
79,000 | (4) | 4.500%, 01/15/2052 | 83,449 | 0.0 | ||||||||||
6,964,939 | 2.2 | |||||||||||||
Uniform Mortgage-Backed Securities: 7.6% | ||||||||||||||
992,000 | (4) | 1.500%, 01/15/2037 | 994,732 | 0.3 | ||||||||||
1,044,000 | (4) | 1.500%, 01/15/2052 | 1,008,240 | 0.3 | ||||||||||
1,427,000 | (4) | 2.000%, 01/15/2037 | 1,461,254 | 0.4 | ||||||||||
202,000 | (4) | 2.000%, 01/15/2052 | 201,393 | 0.1 | ||||||||||
6,417,000 | (4) | 2.000%, 02/15/2052 | 6,383,442 | 2.0 | ||||||||||
132,000 | (4) | 2.500%, 01/15/2037 | 136,448 | 0.0 | ||||||||||
192,000 | (4) | 2.500%, 01/15/2052 | 195,901 | 0.1 | ||||||||||
4,548,000 | (4) | 2.500%, 02/15/2052 | 4,628,856 | 1.4 | ||||||||||
72,000 | (4) | 3.000%, 01/15/2037 | 75,288 | 0.0 | ||||||||||
1,428,000 | (4) | 3.000%, 01/15/2052 | 1,479,467 | 0.5 | ||||||||||
400,000 | (4) | 3.000%, 02/15/2052 | 413,807 | 0.1 | ||||||||||
61,000 | (4) | 3.500%, 01/15/2037 | 64,210 | 0.0 | ||||||||||
794,000 | (4) | 3.500%, 01/15/2052 | 835,925 | 0.3 | ||||||||||
2,000 | (4) | 4.000%, 01/15/2052 | 2,128 | 0.0 | ||||||||||
572,000 | (4) | 4.000%, 02/15/2052 | 608,128 | 0.2 | ||||||||||
329,000 | (4) | 4.500%, 01/15/2052 | 352,486 | 0.1 | ||||||||||
744,133 | 2.500%, 10/01/2036 | 777,439 | 0.2 | |||||||||||
496,713 | 3.000%, 01/01/2036 | 523,275 | 0.2 | |||||||||||
1,108,406 | 3.000%, 09/01/2051 | 1,170,168 | 0.4 | |||||||||||
182,890 | 3.500%, 05/01/2036 | 195,286 | 0.1 | |||||||||||
1,321,625 | 3.500%, 09/01/2051 | 1,433,718 | 0.4 | |||||||||||
907,532 | 4.000%, 04/01/2050 | 984,899 | 0.3 | |||||||||||
721,835 | 4.500%, 03/01/2048 | 781,013 | 0.2 | |||||||||||
24,707,503 | 7.6 | |||||||||||||
Total U.S. Government Agency Obligations | ||||||||||||||
(Cost $31,733,333) | 31,672,442 | 9.8 | ||||||||||||
CERTIFICATES OF DEPOSIT: 1.8% | ||||||||||||||
2,600,000 | MUFG BK LTD 0.3% 10/25/22, 0.300%, 10/25/2022 | 2,596,863 | 0.8 | |||||||||||
3,300,000 | TORONTO DOMINI 10/28/22, 0.340%, 10/28/2022 | 3,297,629 | 1.0 | |||||||||||
Total Certificates of Deposit | ||||||||||||||
(Cost $5,900,000) | 5,894,492 | 1.8 | ||||||||||||
SOVEREIGN BONDS: 2.3% | ||||||||||||||
200,000 | (1) | Abu Dhabi Government International Bond, 3.875%, 04/16/2050 | 233,479 | 0.1 | ||||||||||
200,000 | Chile Government International Bond, 3.860%, 06/21/2047 | 222,252 | 0.1 | |||||||||||
EUR 1,085,000 | (1) | Finland Government Bond, 0.125%, 04/15/2052 | 1,110,417 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SOVEREIGN BONDS: (continued) | ||||||||||||||
52,000 | Hungary Government International Bond, 7.625%, 03/29/2041 | $ | 85,166 | 0.0 | ||||||||||
200,000 | (1) | Indonesia Government International Bond, 6.750%, 01/15/2044 | 296,259 | 0.1 | ||||||||||
200,000 | (1) | Kazakhstan Government International Bond, 4.875%, 10/14/2044 | 246,070 | 0.1 | ||||||||||
EUR 530,000 | Mexico Government International Bond, 1.450%, 10/25/2033 | 561,646 | 0.2 | |||||||||||
300,000 | Mexico Government International Bond, 4.600%, 02/10/2048 | 320,792 | 0.1 | |||||||||||
NZD 289,000 | New Zealand Government Inflation Linked Bond, 2.500%, 09/20/2040 | 289,388 | 0.1 | |||||||||||
NZD 395,000 | New Zealand Government Bond, 1.750%, 05/15/2041 | 228,601 | 0.1 | |||||||||||
NZD 2,762,000 | New Zealand Government Inflation Linked Bond, 2.000%, 09/20/2025 | 2,355,268 | 0.7 | |||||||||||
200,000 | Panama Government International Bond, 4.500%, 04/01/2056 | 221,052 | 0.1 | |||||||||||
EUR 140,000 | Peru Government Bond, 1.250%, 03/11/2033 | 152,844 | 0.0 | |||||||||||
46,000 | Peruvian Government International Bond, 4.125%, 08/25/2027 | 50,707 | 0.0 | |||||||||||
103,000 | Peruvian Government International Bond, 2.783%, 01/23/2031 | 102,744 | 0.0 | |||||||||||
53,000 | Peruvian Government International Bond, 3.300%, 03/11/2041 | 53,199 | 0.0 | |||||||||||
200,000 | Philippine Government International Bond, 3.700%, 02/02/2042 | 218,675 | 0.1 | |||||||||||
200,000 | (1) | Qatar Government International Bond, 5.103%, 04/23/2048 | 271,135 | 0.1 | ||||||||||
50,000 | (1) | Romanian Government International Bond, 3.000%, 02/14/2031 | 50,900 | 0.0 | ||||||||||
EUR 280,000 | Romanian Government International Bond, 3.624%, 05/26/2030 | 346,347 | 0.1 | |||||||||||
94,000 | (1) | Romanian Government International Bond, 4.000%, 02/14/2051 | 94,292 | 0.0 | ||||||||||
51,256 | Uruguay Government International Bond, 4.375%, 01/23/2031 | 59,137 | 0.0 | |||||||||||
45,049 | Uruguay Government International Bond, 5.100%, 06/18/2050 | 59,681 | 0.0 | |||||||||||
Total Sovereign Bonds | ||||||||||||||
(Cost $7,677,362) | 7,630,051 | 2.3 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.5% | ||||||||||||||
366,000 | BANK 2019-BNK23 A3, 2.920%, 12/15/2052 | $ | 386,870 | 0.1 | ||||||||||
300,000 | Barclays Commercial Mortgage Trust 2019-C3 B, 4.096%, 05/15/2052 | 328,231 | 0.1 | |||||||||||
1,000,000 | BENCHMARK 2018-B3 A5 Mortgage Trust, 4.025%, 04/10/2051 | 1,111,603 | 0.3 | |||||||||||
350,000 | Benchmark 2019-B15 A5 Mortgage Trust, 2.928%, 12/15/2072 | 368,911 | 0.1 | |||||||||||
1,000,000 | (1) | BX Commercial Mortgage Trust 2021-XL2 A, 0.799%, (US0001M + 0.689%), 10/15/2038 | 995,243 | 0.3 | ||||||||||
800,000 | (1) | BX Trust 2021-ARIA A, 1.009%, (US0001M + 0.899%), 10/15/2036 | 799,737 | 0.3 | ||||||||||
410,000 | CD 2017-CD3 A4 Mortgage Trust, 3.631%, 02/10/2050 | 441,719 | 0.1 | |||||||||||
500,000 | CD 2017-CD6 Mortgage Trust A5, 3.456%, 11/13/2050 | 538,962 | 0.2 | |||||||||||
800,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.090%, (US0001M + 0.980%), 05/15/2036 | 800,673 | 0.3 | ||||||||||
730,000 | (1),(5) | Credit Suisse Mortgage Capital Certificates 2021-BHAR A, 1.260%, (US0001M + 1.150%), 11/15/2038 | 730,000 | 0.2 | ||||||||||
205,000 | CSAIL 2015-C3 A4 Commercial Mortgage Trust, 3.718%, 08/15/2048 | 218,110 | 0.1 | |||||||||||
550,000 | (1) | ELP Commercial Mortgage Trust 2021-ELP A, 0.811%, (US0001M + 0.701%), 11/15/2038 | 547,557 | 0.2 | ||||||||||
387,982 | (1) | Extended Stay America Trust 2021-ESH A, 1.190%, (US0001M + 1.080%), 07/15/2038 | 389,097 | 0.1 | ||||||||||
1,000,000 | GS Mortgage Securities Trust 2017-GS7 A4, 3.430%, 08/10/2050 | 1,073,488 | 0.3 | |||||||||||
498,000 | GS Mortgage Securities Trust 2015-GC32 A4, 3.764%, 07/10/2048 | 531,331 | 0.2 | |||||||||||
1,000,000 | GS Mortgage Securities Trust 2016-GS2 A4, 3.050%, 05/10/2049 | 1,046,881 | 0.3 | |||||||||||
600,000 | (1) | JP Morgan Chase Commercial Mortgage Securities Corp. 2021-HYAH A, 0.870%, (US0001M + 0.760%), 06/15/2038 | 599,355 | 0.2 | ||||||||||
380,000 | (1) | Med Trust 2021-MDLN A, 1.060%, (US0001M + 0.950%), 11/15/2038 | 380,154 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | ||||||||||||||
100,000 | (1) | MF1 2021-W10 A, 1.123%, (SOFR30A + 1.070%), 12/15/2034 | $ | 99,914 | 0.0 | |||||||||
1,100,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 A4, 4.051%, 04/15/2047 | 1,155,161 | 0.4 | |||||||||||
800,000 | (1) | SREIT Trust 2021-PALM A, 0.700%, (US0001M + 0.590%), 10/15/2034 | 795,562 | 0.3 | ||||||||||
422,500 | Wells Fargo Commercial Mortgage Trust 2015-C26 B, 3.783%, 02/15/2048 | 436,762 | 0.1 | |||||||||||
700,000 | Wells Fargo Commercial Mortgage Trust 2017-C39 A5, 3.418%, 09/15/2050 | 754,231 | 0.2 | |||||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||||
(Cost $14,280,083) | 14,529,552 | 4.5 | ||||||||||||
ASSET-BACKED SECURITIES: 2.0% | ||||||||||||||
Automobile Asset-Backed Securities: 0.1% | ||||||||||||||
430,000 | (1) | Credit Acceptance Auto Loan Trust 2021-4 A, 1.260%, 10/15/2030 | 426,981 | 0.1 | ||||||||||
Student Loan Asset-Backed Securities: 1.9% | ||||||||||||||
177,721 | (1) | College Avenue Student Loans LLC 2021-B A2, 1.760%, 06/25/2052 | 175,169 | 0.1 | ||||||||||
1,032,026 | (1) | Navient Private Education Refi Loan Trust 2021-EA A, 0.970%, 12/16/2069 | 1,015,386 | 0.3 | ||||||||||
207,285 | (1) | Navient Student Loan Trust 2019-BA A2A, 3.390%, 12/15/2059 | 213,700 | 0.1 | ||||||||||
878,273 | (1) | Nelnet Student Loan Trust 2021-BA AFL, 0.884%, (US0001M + 0.780%), 04/20/2062 | 880,234 | 0.3 | ||||||||||
1,067,564 | (1) | Nelnet Student Loan Trust 2021-CA AFL, 0.844%, (US0001M + 0.740%), 04/20/2062 | 1,071,408 | 0.3 | ||||||||||
738,563 | SLM Private Credit Student Loan Trust 2005-A A4, 0.513%, (US0003M + 0.310%), 12/15/2038 | 726,579 | 0.2 | |||||||||||
613,747 | (1) | SMB Private Education Loan Trust 2021-D A1A, 1.340%, 03/17/2053 | 604,866 | 0.2 | ||||||||||
860,000 | (1) | SMB Private Education Loan Trust 2021-E A1A, 1.680%, 02/15/2051 | 853,819 | 0.3 | ||||||||||
428,675 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 439,401 | 0.1 | ||||||||||
5,980,562 | 1.9 | |||||||||||||
Total Asset-Backed Securities | ||||||||||||||
(Cost $6,420,017) | 6,407,543 | 2.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Value | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS (6): 0.4% | ||||||||||||||
Total Purchased Options | ||||||||||||||
(Cost $1,442,544) | $ | 1,382,108 | 0.4 | |||||||||||
Total Long-Term Investments | ||||||||||||||
(Cost $301,545,535) | 319,111,129 | 98.3 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 8.0% | ||||||||||||||
Commercial Paper: 3.2% | ||||||||||||||
3,300,000 | Australia & New Zealand Banking Group Ltd., 0.280%, 07/28/2022 | 3,294,655 | 1.0 | |||||||||||
3,600,000 | Commonwealth Bank of Australia, 0.410%, 10/21/2022 | 3,588,181 | 1.1 | |||||||||||
3,600,000 | Nordea Bank ABP, 0.340%, 10/21/2022 | 3,590,121 | 1.1 | |||||||||||
Total Commercial Paper | ||||||||||||||
(Cost $10,477,625) | 10,472,957 | 3.2 |
Shares | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 2.8% | ||||||||||||||
9,030,640 | (7) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.030% (Cost $9,030,640) | 9,030,640 | 2.8 | ||||||||||
Sovereign Bill: 2.0% | ||||||||||||||
735,000,000 | (8) | Japan Treasury Discount Bill (0.100)% (Cost $6,492,020) | 6,390,298 | 2.0 | ||||||||||
Total Short-Term Investments | ||||||||||||||
(Cost $26,000,285) | 25,893,895 | 8.0 | ||||||||||||
Total Investments in Securities (Cost $327,545,820) | $ | 345,005,024 | 106.3 | |||||||||||
Liabilities in Excess of Other Assets | (20,363,886 | ) | (6.3 | ) | ||||||||||
Net Assets | $ | 324,641,138 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
(2) | Variable rate security. Rate shown is the rate in effect as of December 31, 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) | Represents or includes a TBA transaction. | |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs. | |
(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 December 31, 2021. | |
(8) | Represents a zero coupon bond. Rate shown reflects the effective yield as of December 31, 2021. |
Currency Abbreviations: | ||
EUR | EU Euro | |
NZD | New Zealand Dollar |
Reference Rate Abbreviations: | ||
SOFRRATE | 1-day Secured Overnight Financing Rate | |
SOFR30A | 30-day Secured Overnight Financing Rate | |
US0001M | 1-month LIBOR | |
US0003M | 3-month LIBOR |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2021 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Purchased Options | $ | 5,844 | $ | 1,376,264 | $ | — | $ | 1,382,108 | ||||||||||||
Corporate Bonds/Notes | — | 86,669,306 | — | 86,669,306 | ||||||||||||||||
U.S. Government Agency Obligations | — | 31,672,442 | — | 31,672,442 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 13,799,552 | 730,000 | 14,529,552 | ||||||||||||||||
Sovereign Bonds | — | 7,630,051 | — | 7,630,051 | ||||||||||||||||
Asset-Backed Securities | — | 6,407,543 | — | 6,407,543 | ||||||||||||||||
Certificates of Deposit | — | 5,894,492 | — | 5,894,492 | ||||||||||||||||
U.S. Treasury Obligations | — | 164,925,635 | — | 164,925,635 | ||||||||||||||||
Short-Term Investments | 9,030,640 | 16,863,255 | — | 25,893,895 | ||||||||||||||||
Total Investments, at fair value | $ | 9,036,484 | $ | 335,238,540 | $ | 730,000 | $ | 345,005,024 | ||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | — | 9,035,054 | — | 9,035,054 | ||||||||||||||||
Forward Foreign Currency Contracts | — | 114,662 | — | 114,662 | ||||||||||||||||
Futures | 419,059 | — | — | 419,059 | ||||||||||||||||
OTC Swaps | — | 1,463,650 | — | 1,463,650 | ||||||||||||||||
Total Assets | $ | 9,455,543 | $ | 345,851,906 | $ | 730,000 | $ | 356,037,449 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (2,724,557 | ) | $ | — | $ | (2,724,557 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (43,132 | ) | — | (43,132 | ) | ||||||||||||||
Futures | (661,282 | ) | — | — | (661,282 | ) | ||||||||||||||
OTC Swaps | — | (180,826 | ) | — | (180,826 | ) | ||||||||||||||
Written Options | (1,859 | ) | (1,683,554 | ) | — | (1,685,413 | ) | |||||||||||||
Total Liabilities | $ | (663,141 | ) | $ | (4,632,069 | ) | $ | — | $ | (5,295,210 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are fair valued at the unrealized appreciation (depreciation) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD | 1,808,033 | EUR | 1,601,000 | Bank of America N.A. | 02/02/22 | $ | (15,807 | ) | ||||||
USD | 89,153 | EUR | 79,000 | Bank of America N.A. | 02/02/22 | (843 | ) | |||||||
USD | 257,200 | GBP | 194,074 | Standard Chartered Bank | 02/02/22 | (5,471 | ) | |||||||
USD | 12,525 | EUR | 11,000 | Standard Chartered Bank | 02/02/22 | (6 | ) | |||||||
USD | 2,838,074 | NZD | 4,169,000 | Standard Chartered Bank | 02/02/22 | (16,172 | ) | |||||||
USD | 6,500,046 | JPY | 734,387,328 | Standard Chartered Bank | 02/07/22 | 114,004 | ||||||||
GBP | 19,165 | USD | 25,376 | Toronto Dominion Securities | 02/02/22 | 563 | ||||||||
USD | 170,537 | EUR | 151,193 | Toronto Dominion Securities | 02/02/22 | (1,701 | ) | |||||||
USD | 55,743 | AUD | 78,569 | Toronto Dominion Securities | 02/02/22 | (1,426 | ) | |||||||
USD | 149,715 | EUR | 132,414 | UBS AG | 02/02/22 | (1,129 | ) | |||||||
USD | 62,078 | EUR | 55,000 | UBS AG | 02/02/22 | (577 | ) | |||||||
USD | 5,423 | JPY | 612,672 | UBS AG | 02/07/22 | 95 | ||||||||
$ | 71,530 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | ||||||||||||||||||
3-Month SONIA Index | 47 | 12/20/22 | $ | 15,731,609 | $ | (31,740 | ) | |||||||||||
90-Day Bank Accepted Bills | 46 | 12/08/22 | 33,384,883 | 14,776 | ||||||||||||||
Canadian Bankers’ Acceptance | 40 | 06/13/22 | 7,807,423 | (37,425 | ) | |||||||||||||
Euro-Bund | 1 | 03/08/22 | 195,104 | (2,625 | ) | |||||||||||||
U.S. Treasury 2-Year Note | 24 | 03/31/22 | 5,236,125 | 1,212 | ||||||||||||||
U.S. Treasury 5-Year Note | 340 | 03/31/22 | 41,132,031 | 154,993 | ||||||||||||||
$ | 103,487,175 | $ | 99,191 | |||||||||||||||
Short Contracts: | ||||||||||||||||||
90-Day Eurodollar | (13 | ) | 12/16/24 | (3,194,425 | ) | 8,350 | ||||||||||||
Canadian Bankers’ Acceptance | (40 | ) | 03/14/22 | (7,840,231 | ) | (3,768 | ) | |||||||||||
Euro-Bobl 5-Year | (2 | ) | 03/08/22 | (303,387 | ) | 1,826 | ||||||||||||
Euro-Buxl® 30-year German Government Bond | (20 | ) | 03/08/22 | (4,707,463 | ) | 212,740 | ||||||||||||
Long Gilt | (18 | ) | 03/29/22 | (3,043,043 | ) | 25,162 | ||||||||||||
U.S. Treasury 10-Year Note | (71 | ) | 03/22/22 | (9,263,281 | ) | (19,792 | ) | |||||||||||
U.S. Treasury Long Bond | (86 | ) | 03/22/22 | (13,797,625 | ) | (196,776 | ) | |||||||||||
U.S. Treasury Ultra 10-Year Note | (97 | ) | 03/22/22 | (14,204,437 | ) | (177,799 | ) | |||||||||||
U.S. Treasury Ultra Long Bond | (81 | ) | 03/22/22 | (15,967,125 | ) | (191,357 | ) | |||||||||||
$ | (72,321,017 | ) | $ | (341,414 | ) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 6-month EUR-EURIBOR | Semi-Annual | (0.085 | )% | Annual | 08/15/26 | EUR 2,905,000 | $ | (11,494 | ) | $ | (11,494 | ) | |||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.259 | Semi-Annual | 03/23/23 | USD 3,450,000 | (15,635 | ) | (15,593 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.353 | Semi-Annual | 11/18/23 | USD 2,610,000 | (26,183 | ) | (26,183 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.500 | Semi-Annual | 12/08/23 | USD 2,500,000 | (19,513 | ) | (19,513 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.450 | Semi-Annual | 12/14/23 | USD 2,482,000 | (22,242 | ) | (22,242 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.000 | Semi-Annual | 12/31/23 | USD 5,110,000 | (3,170 | ) | (2,936 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.592 | Semi-Annual | 04/20/24 | USD 1,490,000 | (16,277 | ) | (16,277 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.170 | Semi-Annual | 06/21/24 | USD 405,000 | (591 | ) | (591 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.180 | Semi-Annual | 06/21/24 | USD 405,000 | (515 | ) | (515 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.090 | Semi-Annual | 11/29/24 | USD 3,970,000 | 221,817 | 221,817 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.358 | Semi-Annual | 06/02/25 | USD 860,000 | (24,962 | ) | (24,962 | ) | ||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.073 | Annual | 12/15/26 | USD 310,000 | (419 | ) | (419 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.405 | Semi-Annual | 01/20/27 | USD 612,000 | 798 | 798 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.430 | Semi-Annual | 01/20/27 | USD 613,000 | 1,546 | 1,546 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.445 | Semi-Annual | 01/20/27 | USD 612,000 | 1,990 | 1,990 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.335 | Semi-Annual | 01/21/27 | USD 613,000 | (1,319 | ) | (1,319 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.535 | Semi-Annual | 02/24/27 | USD 670,000 | 4,166 | 4,166 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.561 | Semi-Annual | 02/25/27 | USD 670,000 | 4,979 | 4,979 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.366 | Semi-Annual | 03/22/27 | USD 490,000 | (1,493 | ) | (1,493 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.541 | Semi-Annual | 05/20/27 | USD 420,000 | 1,358 | 1,358 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.630 | Semi-Annual | 05/26/27 | USD 335,000 | 2,459 | 2,459 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.635 | Semi-Annual | 05/26/27 | USD 1,340,000 | 10,128 | 10,128 | ||||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.231 | Annual | 06/14/27 | USD 165,000 | 7 | 7 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.652 | Semi-Annual | 06/20/27 | USD 870,000 | (35,567 | ) | (35,567 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.680 | Semi-Annual | 06/20/27 | USD 870,000 | (34,408 | ) | (34,408 | ) | ||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.247 | Annual | 07/05/27 | USD 335,000 | — | — | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.350 | Semi-Annual | 07/08/27 | USD 1,210,000 | (9,229 | ) | (9,229 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.190 | Semi-Annual | 07/19/27 | USD 960,000 | (15,064 | ) | (15,064 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.578 | Semi-Annual | 07/27/27 | USD 120,000 | 338 | 338 | ||||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.297 | Annual | 07/28/27 | USD 170,000 | 351 | 351 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 3-month USD-LIBOR | Quarterly | 1.483 | % | Semi-Annual | 08/01/27 | USD 1,020,000 | $ | (1,978 | ) | $ | (1,978 | ) | ||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.493 | Semi-Annual | 08/01/27 | USD 1,020,000 | (1,485 | ) | (1,485 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.220 | Annual | 08/05/27 | USD 250,000 | (477 | ) | (477 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.224 | Semi-Annual | 08/16/27 | USD 320,000 | (4,754 | ) | (4,754 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.677 | Semi-Annual | 11/21/27 | USD 420,000 | 1,886 | 1,886 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.654 | Semi-Annual | 07/12/28 | USD 900,000 | (43,366 | ) | (43,383 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.196 | Annual | 11/15/28 | USD 490,000 | (1,634 | ) | (1,634 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 0.819 | Semi-Annual | 04/14/30 | USD 610,000 | (33,946 | ) | (33,946 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.254 | Annual | 08/15/31 | USD 290,000 | (2,089 | ) | (2,089 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.460 | Annual | 08/15/31 | USD 1,120,000 | 12,527 | 9,470 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.513 | Semi-Annual | 08/19/31 | USD 60,000 | (270 | ) | (270 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.315 | Annual | 11/30/31 | USD 280,000 | 431 | 431 | |||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.275 | Annual | 12/02/31 | USD 170,000 | (411 | ) | (411 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.275 | Annual | 12/02/31 | USD 170,000 | (403 | ) | (403 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.277 | Annual | 12/02/31 | USD 170,000 | (379 | ) | (379 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.298 | Annual | 12/02/31 | USD 170,000 | (39 | ) | (39 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.186 | Annual | 12/07/31 | USD 112,000 | (1,240 | ) | (1,240 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.238 | Annual | 12/07/31 | USD 340,000 | (2,081 | ) | (2,081 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.307 | Annual | 12/13/31 | USD 170,000 | 31 | 31 | |||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.272 | Annual | 12/16/31 | USD 165,000 | (546 | ) | (546 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.239 | Annual | 12/20/31 | USD 85,000 | (561 | ) | (561 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.247 | Annual | 12/20/31 | USD 85,000 | (496 | ) | (496 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.196 | Annual | 12/21/31 | USD 90,000 | (965 | ) | (965 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.208 | Annual | 12/21/31 | USD 165,000 | (1,580 | ) | (1,580 | ) | |||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.192 | Annual | 12/22/31 | USD 82,500 | (922 | ) | (922 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.775 | Semi-Annual | 01/26/32 | USD 270,000 | 4,757 | 4,757 | |||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.362 | Annual | 05/15/47 | USD 520,000 | (14,481 | ) | (14,481 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.828 | Semi-Annual | 02/10/50 | USD 120,000 | 2,556 | 2,556 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.250 | Semi-Annual | 09/08/50 | USD 92,000 | (10,403 | ) | (10,403 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.870 | Semi-Annual | 02/19/51 | USD 220,000 | 7,296 | 7,296 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.905 | Semi-Annual | 02/22/51 | USD 110,000 | 4,565 | 4,565 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.904 | Semi-Annual | 06/11/51 | USD 50,000 | 2,097 | 2,097 | |||||||||||||||||
Pay | 1-day Secured Overnight Financing Rate | Annual | 1.389 | Annual | 12/15/51 | USD 70,000 | (1,103 | ) | (1,103 | ) | |||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.929 | Semi-Annual | 12/01/56 | USD 25,000 | 1,032 | 1,032 | |||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.185 | Annual | 01/16/30 | EUR 270,000 | 55 | 55 | |||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.440 | Annual | 05/16/33 | EUR 140,000 | 560 | 560 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.771 | Semi-Annual | 07/12/23 | USD 8,275,000 | (64,375 | ) | (64,375 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.473 | Semi-Annual | 10/14/23 | USD 1,440,000 | 9,763 | 9,763 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.649 | Semi-Annual | 01/18/24 | USD 1,630,000 | 10,177 | 10,177 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.059 | Semi-Annual | 02/24/24 | USD 1,640,000 | (754 | ) | (754 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.069 | Semi-Annual | 02/25/24 | USD 1,640,000 | (1,007 | ) | (1,007 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.053 | Semi-Annual | 02/28/24 | USD 3,260,000 | (600 | ) | (600 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.060 | Semi-Annual | 02/29/24 | USD 815,000 | (258 | ) | (258 | ) | |||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.563 | Semi-Annual | 03/24/24 | USD 360,000 | 3,788 | 3,788 | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.097 | Semi-Annual | 04/04/24 | USD 410,000 | — | — |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | 3-month USD-LIBOR | Quarterly | 1.087% | Semi-Annual | 04/05/24 | USD 850,000 | $ | 449 | $ | 449 | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.640 | Semi-Annual | 04/08/24 | USD 2,910,000 | 27,655 | 27,655 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.649 | Semi-Annual | 04/11/24 | USD 1,610,000 | 15,161 | 15,161 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.677 | Semi-Annual | 04/12/24 | USD 1,620,000 | 14,413 | 14,413 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.689 | Semi-Annual | 04/12/24 | USD 1,620,000 | 14,031 | 14,032 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.728 | Semi-Annual | 04/14/24 | USD 1,010,000 | 8,079 | 8,079 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.789 | Semi-Annual | 04/14/24 | USD 1,620,000 | 10,999 | 10,999 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.797 | Semi-Annual | 04/14/24 | USD 1,620,000 | 10,719 | 10,719 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.761 | Semi-Annual | 04/19/24 | USD 890,000 | 6,659 | 6,659 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.762 | Semi-Annual | 04/19/24 | USD 890,000 | 6,638 | 6,639 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.808 | Semi-Annual | 04/20/24 | USD 820,000 | 5,431 | 5,431 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.815 | Semi-Annual | 04/20/24 | USD 820,000 | 5,324 | 5,324 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.919 | Semi-Annual | 04/20/24 | USD 15,000 | 66 | 66 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.935 | Semi-Annual | 04/20/24 | USD 1,190,000 | 4,884 | 4,884 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.913 | Semi-Annual | 04/25/24 | USD 1,640,000 | 7,675 | 7,675 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.945 | Semi-Annual | 04/25/24 | USD 1,633,000 | 6,607 | 6,607 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.975 | Semi-Annual | 04/26/24 | USD 820,000 | 2,853 | 2,853 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.985 | Semi-Annual | 04/26/24 | USD 820,000 | 2,694 | 2,694 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.993 | Semi-Annual | 04/26/24 | USD 820,000 | 2,560 | 2,560 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.997 | Semi-Annual | 04/29/24 | USD 820,000 | 2,569 | 2,569 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.007 | Semi-Annual | 05/03/24 | USD 2,485,000 | 7,682 | 7,682 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.018 | Semi-Annual | 05/03/24 | USD 2,485,000 | 7,166 | 7,166 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.053 | Semi-Annual | 05/12/24 | USD 1,650,000 | 4,140 | 4,140 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.059 | Semi-Annual | 05/12/24 | USD 820,000 | 1,963 | 1,963 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.075 | Semi-Annual | 05/12/24 | USD 820,000 | 1,712 | 1,712 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.224 | Semi-Annual | 06/07/24 | USD 820,000 | (37 | ) | (37 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.252 | Semi-Annual | 06/07/24 | USD 820,000 | (491 | ) | (491 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.012 | Annual | 06/09/24 | USD 810,000 | (531 | ) | (531 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.271 | Semi-Annual | 06/17/24 | USD 810,000 | (527 | ) | (527 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.277 | Semi-Annual | 06/17/24 | USD 810,000 | (615 | ) | (615 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.729 | Semi-Annual | 06/21/24 | USD 1,500,000 | 15,266 | 15,266 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.744 | Semi-Annual | 08/12/24 | USD 1,800,000 | 20,497 | 20,497 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.782 | Semi-Annual | 08/15/24 | USD 990,000 | 10,588 | 10,588 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.623 | Semi-Annual | 04/14/25 | USD 1,180,000 | 22,124 | 22,124 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.820 | Semi-Annual | 09/08/25 | USD 540,000 | 8,428 | 8,428 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.548 | Semi-Annual | 02/25/26 | USD 830,000 | 890 | 890 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.710 | Semi-Annual | 03/06/26 | USD 620,000 | (297 | ) | (297 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.455 | Semi-Annual | 05/31/26 | USD 2,170,000 | (6,010 | ) | (5,879 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.330 | Semi-Annual | 11/23/26 | USD 200,000 | 229 | 229 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.018 | Annual | 12/02/26 | USD 630,000 | 2,246 | 2,246 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.080 | Annual | 12/03/26 | USD 315,000 | 172 | 172 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.082 | Annual | 12/03/26 | USD 315,000 | 141 | 141 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.038 | Annual | 12/06/26 | USD 390,000 | 1,070 | 1,070 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.030 | Annual | 12/20/26 | USD 310,000 | 1,139 | 1,139 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.092 | Annual | 12/23/26 | USD 310,000 | 222 | 222 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.350 | Semi-Annual | 01/10/27 | USD 380,000 | 376 | 376 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.425 | Semi-Annual | 01/10/27 | USD 400,000 | (1,066 | ) | (1,066 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.400 | Semi-Annual | 01/12/27 | USD 610,000 | (844 | ) | (844 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.168 | Annual | 03/09/27 | USD 660,000 | (93 | ) | (93 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.445 | Semi-Annual | 04/12/27 | USD 650,000 | 18 | 18 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.285 | Semi-Annual | 04/20/27 | USD 610,000 | 4,935 | 4,935 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.239 | Annual | 06/29/27 | USD 165,000 | (6 | ) | (6 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.247 | Annual | 06/29/27 | USD 165,000 | (70 | ) | (70 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.512 | Semi-Annual | 08/17/27 | USD 230,000 | 11,118 | 11,118 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | 3-month USD-LIBOR | Quarterly | 0.845% | Semi-Annual | 11/15/27 | USD 470,000 | $ | 15,118 | $ | 15,112 | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.245 | Annual | 11/15/27 | USD 420,000 | 1,279 | 1,279 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.271 | Semi-Annual | 02/15/28 | USD 1,350,000 | 12,196 | 12,196 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.355 | Annual | 11/15/28 | USD 2,940,000 | (20,317 | ) | (17,530 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.648 | Semi-Annual | 06/02/30 | USD 440,000 | 31,000 | 31,000 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.788 | Semi-Annual | 03/10/31 | USD 522,000 | (56,309 | ) | (56,309 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.504 | Semi-Annual | 03/20/31 | USD 3,000 | (101 | ) | (101 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.520 | Annual | 08/15/31 | USD 570,000 | (9,422 | ) | (9,422 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.429 | Semi-Annual | 09/21/31 | USD 490,000 | 6,173 | 6,173 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.391 | Semi-Annual | 09/22/31 | USD 270,000 | 4,341 | 4,341 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.521 | Semi-Annual | 09/24/31 | USD 990,000 | 4,165 | 4,165 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.775 | Semi-Annual | 10/18/31 | USD 540,000 | (10,306 | ) | (10,306 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.424 | Annual | 11/18/31 | USD 230,000 | (2,848 | ) | (2,848 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.452 | Annual | 11/19/31 | USD 90,000 | (1,351 | ) | (1,351 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.401 | Annual | 11/22/31 | USD 210,000 | (2,110 | ) | (2,110 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.431 | Annual | 11/22/31 | USD 210,000 | (2,717 | ) | (2,717 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.421 | Annual | 11/24/31 | USD 170,000 | (2,019 | ) | (2,019 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.442 | Annual | 11/24/31 | USD 170,000 | (2,359 | ) | (2,359 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.477 | Annual | 11/26/31 | USD 230,000 | (3,939 | ) | (3,939 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.333 | Annual | 12/10/31 | USD 170,000 | (469 | ) | (468 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.314 | Annual | 12/28/31 | USD 170,000 | (27 | ) | (27 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.357 | Annual | 12/31/31 | USD 83,000 | (347 | ) | (347 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.367 | Annual | 12/31/31 | USD 82,000 | (416 | ) | (416 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.354 | Annual | 01/03/32 | USD 82,000 | (303 | ) | (303 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.311 | Annual | 01/04/32 | USD 83,000 | — | — | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.310 | Annual | 01/26/32 | USD 196,000 | 278 | 278 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.594 | Semi-Annual | 02/22/32 | USD 550,000 | 351 | 351 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.621 | Semi-Annual | 02/22/32 | USD 275,000 | (522 | ) | (522 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.760 | Semi-Annual | 05/03/32 | USD 800,000 | 65,498 | 65,498 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.765 | Semi-Annual | 05/04/32 | USD 820,000 | 66,789 | 66,789 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.770 | Semi-Annual | 05/06/32 | USD 190,000 | 15,401 | 15,401 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.645 | Semi-Annual | 08/22/34 | USD 300,000 | 4,394 | 4,394 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.907 | Semi-Annual | 10/21/34 | USD 320,000 | (2,734 | ) | (2,734 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.921 | Semi-Annual | 10/22/34 | USD 300,000 | (2,940 | ) | (2,940 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.982 | Semi-Annual | 10/23/34 | USD 15,000 | (229 | ) | (229 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 0.973 | Semi-Annual | 08/17/40 | USD 150,000 | 18,954 | 18,954 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.110 | Semi-Annual | 11/15/44 | USD 90,000 | (1,350 | ) | (1,350 | ) | ||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.473 | Annual | 05/15/47 | USD 170,000 | 749 | 749 | ||||||||||||||||||
Receive | 1-day Secured Overnight Financing Rate | Annual | 1.640 | Annual | 05/15/47 | USD 980,000 | (30,458 | ) | (23,853 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.378 | Semi-Annual | 07/05/49 | USD 140,000 | (6,185 | ) | (6,185 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.709 | Semi-Annual | 08/16/49 | USD 130,000 | 393 | 393 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.667 | Semi-Annual | 08/17/49 | USD 100,000 | 603 | 603 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.090 | Semi-Annual | 06/20/52 | USD 160,000 | 25,428 | 25,428 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 1.136 | Semi-Annual | 06/20/52 | USD 160,000 | 23,654 | 23,654 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | 3-month USD-LIBOR | Quarterly | 0.881% | Semi-Annual | 07/12/53 | USD 160,000 | $ | 33,876 | $ | 33,872 | ||||||||||||||||
$ | 318,637 | $ | 325,355 |
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 | 1.793% | At Termination Date | 07/15/51 | EUR 130,000 | $ | (33,017 | ) | $ | (33,017 | ) | ||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.886 | At Termination Date | 08/15/51 | EUR 260,000 | (53,060 | ) | (53,060 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.132 | At Termination Date | 10/15/51 | EUR 180,000 | (11,715 | ) | (11,715 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.205 | At Termination Date | 10/15/51 | EUR 835,000 | (19,628 | ) | (19,628 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.221 | At Termination Date | 10/15/51 | EUR 180,000 | (2,545 | ) | (2,545 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.277 | At Termination Date | 10/15/51 | EUR 180,000 | 3,287 | 3,287 | ||||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.320 | At Termination Date | 10/15/51 | EUR 175,000 | 7,602 | 7,602 | ||||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.206 | At Termination Date | 11/15/51 | EUR 75,000 | (1,733 | ) | (1,910 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.096 | At Termination Date | 12/15/51 | EUR 40,000 | (3,266 | ) | (3,266 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.125 | At Termination Date | 12/15/51 | EUR 135,000 | (8,864 | ) | (8,864 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.170 | At Termination Date | 12/15/51 | EUR 135,000 | (5,430 | ) | (5,430 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.574 | At Termination Date | 10/15/30 | GBP 1,415,000 | (210,038 | ) | (211,479 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.746 | At Termination Date | 04/15/31 | GBP 400,000 | (51,549 | ) | (51,549 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 4.415 | At Termination Date | 11/15/31 | GBP 440,000 | 12,014 | 12,014 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 4.265 | At Termination Date | 12/15/31 | GBP 600,000 | 10,053 | 11,714 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 10/15/39 | GBP 2,025,000 | (388,352 | ) | (388,352 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.310 | At Termination Date | 01/15/40 | GBP 900,000 | (209,863 | ) | (209,863 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.341 | At Termination Date | 01/15/40 | GBP 800,000 | (175,965 | ) | (175,965 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.336 | At Termination Date | 11/15/40 | GBP 310,000 | (82,123 | ) | (82,144 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.560 | At Termination Date | 03/15/41 | GBP 330,000 | (57,510 | ) | (57,510 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.270 | At Termination Date | 10/15/44 | GBP 1,560,000 | (381,827 | ) | (381,826 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.220 | At Termination Date | 01/15/45 | GBP 700,000 | (205,909 | ) | (205,909 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.239 | At Termination Date | 01/15/45 | GBP 600,000 | (169,794 | ) | (169,794 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (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 | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.755% | At Termination Date | 10/22/31 | USD 290,000 | $ | (3,221 | ) | $ | (3,221 | ) | ||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.827 | At Termination Date | 10/25/31 | USD 290,000 | (860 | ) | (860 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.855 | At Termination Date | 10/26/31 | USD 290,000 | 54 | 54 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.890 | At Termination Date | 10/28/31 | USD 290,000 | 1,201 | 1,201 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.825 | At Termination Date | 11/03/31 | USD 560,000 | (1,792 | ) | (1,792 | ) | ||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.628 | At Termination Date | 11/15/51 | USD 195,000 | 5,218 | 5,218 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.676 | At Termination Date | 11/17/51 | USD 195,000 | 9,090 | 9,090 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.626 | At Termination Date | 11/22/51 | USD 60,000 | 1,568 | 1,568 | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.613 | At Termination Date | 11/24/51 | USD 200,000 | 4,174 | 4,174 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.956 | At Termination Date | 10/15/31 | EUR 180,000 | 3,372 | 3,372 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.044 | At Termination Date | 10/15/31 | EUR 180,000 | 1,234 | 1,234 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.091 | At Termination Date | 10/15/31 | EUR 180,000 | 85 | 85 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.134 | At Termination Date | 10/15/31 | EUR 175,000 | (944 | ) | (944 | ) | ||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.004 | At Termination Date | 11/15/31 | EUR 330,000 | 3,912 | 3,961 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.127 | At Termination Date | 11/15/51 | EUR 135,000 | 9,182 | 9,182 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.170 | At Termination Date | 11/15/51 | EUR 50,000 | 2,185 | 2,185 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.184 | At Termination Date | 11/15/51 | EUR 130,000 | 4,658 | 4,658 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.194 | At Termination Date | 11/15/51 | EUR 135,000 | 4,049 | 4,049 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.623 | At Termination Date | 04/15/31 | GBP 560,000 | 84,041 | 84,041 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 4.228 | At Termination Date | 12/15/31 | GBP 440,000 | (4,416 | ) | (4,416 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.420 | At Termination Date | 10/15/34 | GBP 2,025,000 | 298,294 | 298,294 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.360 | At Termination Date | 01/15/35 | GBP 900,000 | 164,117 | 164,117 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.390 | At Termination Date | 01/15/35 | GBP 800,000 | 139,007 | 139,007 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.725 | At Termination Date | 12/15/41 | GBP 300,000 | 9,725 | 9,033 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (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 | 3.774% | At Termination Date | 12/15/41 | GBP 165,000 | $ | 1,673 | $ | 2,412 | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.855 | At Termination Date | 12/15/41 | GBP 165,000 | (4,536 | ) | (4,536 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.160 | At Termination Date | 10/15/49 | GBP 1,560,000 | 475,696 | 475,696 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.111 | At Termination Date | 01/15/50 | GBP 700,000 | 253,898 | 253,898 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.133 | At Termination Date | 01/15/50 | GBP 600,000 | 207,697 | 207,697 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.260 | At Termination Date | 05/03/23 | USD 9,000,000 | 387,301 | 387,301 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.957 | At Termination Date | 02/06/24 | USD 12,000,000 | 825,096 | 825,096 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.339 | At Termination Date | 02/17/24 | USD 5,300,000 | 320,711 | 320,711 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.991 | At Termination Date | 03/04/24 | USD 3,000,000 | 211,102 | 211,102 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.248 | At Termination Date | 03/21/24 | USD 4,900,000 | 259,516 | 259,516 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.023 | At Termination Date | 05/02/24 | USD 3,500,000 | 248,121 | 248,121 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.829 | At Termination Date | 07/31/24 | USD 600,000 | 47,628 | 47,628 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.706 | At Termination Date | 08/12/24 | USD 1,300,000 | 112,812 | 112,812 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.351 | At Termination Date | 09/28/24 | USD 4,500,000 | 219,097 | 219,097 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.945 | At Termination Date | 03/12/25 | USD 1,650,000 | 213,419 | 213,419 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.908 | At Termination Date | 05/24/25 | USD 4,500,000 | 395,667 | 395,667 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.658 | At Termination Date | 06/29/25 | USD 3,900,000 | 173,122 | 173,122 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.783 | At Termination Date | 11/04/25 | USD 1,300,000 | 132,285 | 132,238 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.098 | At Termination Date | 11/29/25 | USD 1,600,000 | 123,177 | 123,177 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.534 | At Termination Date | 04/01/26 | USD 16,750,000 | 1,018,223 | 1,018,223 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.600 | At Termination Date | 06/17/26 | USD 5,495,000 | 274,879 | 274,879 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.853 | At Termination Date | 06/28/26 | USD 450,000 | 44,302 | 44,302 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.687 | At Termination Date | 08/31/26 | USD 5,050,000 | 145,920 | 145,920 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.136 | At Termination Date | 11/10/26 | USD 1,700,000 | 956 | 956 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (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 | 3.045% | At Termination Date | 12/02/26 | USD 2,165,000 | $ | 10,244 | $ | 10,244 | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.894 | At Termination Date | 12/14/26 | USD 1,490,000 | 13,857 | 13,857 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.285 | At Termination Date | 05/05/30 | USD 4,860,000 | 907,195 | 907,195 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.983 | At Termination Date | 10/13/30 | USD 1,430,000 | 181,599 | 181,541 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.468 | At Termination Date | 04/19/31 | USD 535,000 | 37,969 | 37,969 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.530 | At Termination Date | 09/02/31 | USD 1,850,000 | 74,297 | 74,297 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.813 | At Termination Date | 11/02/31 | USD 2,570,000 | 11,886 | 11,886 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.570 | At Termination Date | 10/22/51 | USD 290,000 | (788 | ) | (788 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.606 | At Termination Date | 10/25/51 | USD 1,255,000 | (21,758 | ) | (21,758 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.624 | At Termination Date | 10/25/51 | USD 290,000 | (7,161 | ) | (7,161 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.620 | At Termination Date | 10/26/51 | USD 290,000 | (6,689 | ) | (6,689 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.625 | At Termination Date | 10/28/51 | USD 290,000 | (7,300 | ) | (7,300 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.540 | At Termination Date | 11/03/51 | USD 165,000 | 1,519 | 1,519 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.445 | At Termination Date | 12/20/51 | USD 200,000 | 7,795 | 7,795 | ||||||||||||||||||
$ | 5,985,128 | $ | 5,985,142 |
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 | $ | 933,191 | $ | — | $ | 933,191 | |||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 4.167 | At Termination Date | 07/15/23 | USD 5,500,000 | (22,308 | ) | — | (22,308 | ) | ||||||||||||||||||||
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 | 530,459 | — | 530,459 | ||||||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.562 | At Termination Date | 01/15/25 | USD 14,500,000 | (120,993 | ) | — | (120,993 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
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 | 3.410% | At Termination Date | 01/15/26 | USD 3,600,000 | $ | (37,525 | ) | $ | — | $ | (37,525 | ) | |||||||||||||||||
$ | 1,282,824 | $ | — | $ | 1,282,824 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Cost | Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury 10-Year Note | Call | 01/21/22 | 131.00 USD | 17 | USD 2,217,969 | $ | 9,588 | $ | 5,844 | ||||||||||
$ | 9,588 | $ | 5,844 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Premiums Received | Fair Value | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury 10-Year Note | Call | 01/21/22 | 132.00 USD | 17 | USD 2,217,969 | $ 3,959 | $ | (1,859 | ) | ||||||||||
$ 3,959 | $ | (1,859 | ) |
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 | $ | 101,041 | ||||||||||||||
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 | 103,486 | ||||||||||||||||
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 | 26,782 | ||||||||||||||||
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 | 27,232 | ||||||||||||||||
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 | 71,469 | ||||||||||||||||
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 | 17,441 | ||||||||||||||||
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 | 13,357 | ||||||||||||||||
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 | 11,691 | ||||||||||||||||
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 | 1,192 | ||||||||||||||||
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 | 5,638 | ||||||||||||||||
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 | 7,765 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.550% | 3-month USD-LIBOR | 07/29/24 | USD 750,000 | 27,225 | 23,363 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.938% | 3-month USD-LIBOR | 11/15/23 | USD 990,000 | 39,724 | 44,629 | ||||||||||||||||
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 | 57,787 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.283% | 3-month USD-LIBOR | 06/04/25 | USD 255,000 | 13,795 | 6,598 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.675% | 3-month USD-LIBOR | 07/22/24 | USD 490,000 | 21,756 | 17,730 | ||||||||||||||||
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 | 21,087 | ||||||||||||||||
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 | 21,794 | ||||||||||||||||
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 | 26,332 | ||||||||||||||||
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 | 23,839 | ||||||||||||||||
Call on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.680% | 3-month USD-LIBOR | 08/02/24 | USD 490,000 | 21,970 | 17,910 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (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) | Morgan Stanley & Co. International PLC | Receive | 3.037% | 3-month USD-LIBOR | 01/11/29 | USD 220,000 | $ | 12,523 | $ | 26,562 | ||||||||||||||
Call on 30-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.705% | 3-month USD-LIBOR | 05/31/22 | USD 290,000 | 16,429 | 12,164 | ||||||||||||||||
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 | 11,461 | ||||||||||||||||
Call on 5-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.540% | 3-month USD-LIBOR | 08/03/22 | USD 1,500,000 | 19,200 | 17,843 | ||||||||||||||||
Call on 5-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 1.324% | 3-month USD-LIBOR | 07/01/22 | USD 2,880,000 | 32,724 | 18,593 | ||||||||||||||||
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 | 12,216 | ||||||||||||||||
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 | 15,095 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Pay | 1.042% | 1-day Overnight Tokyo Average Rate | 06/29/22 | JPY 692,890,000 | — | 31 | ||||||||||||||||
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 | 6,282 | ||||||||||||||||
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 | 9,326 | ||||||||||||||||
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 | 9,030 | ||||||||||||||||
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 | 5,982 | ||||||||||||||||
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 | 5,882 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 3.088% | 3-month USD-LIBOR | 12/06/38 | USD 570,000 | 26,505 | 17,937 | ||||||||||||||||
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 | 33,816 | ||||||||||||||||
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 | 4,326 | ||||||||||||||||
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 | 2,876 | ||||||||||||||||
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 | 333 | ||||||||||||||||
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 | 35,897 | ||||||||||||||||
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 | 17,122 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.800% | 3-month USD-LIBOR | 08/05/24 | USD 1,080,000 | 42,552 | 46,002 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.938% | 3-month USD-LIBOR | 11/15/23 | USD 990,000 | 39,724 | 30,435 | ||||||||||||||||
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 | 17,237 | ||||||||||||||||
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 | 19,132 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.675% | 3-month USD-LIBOR | 07/22/24 | USD 490,000 | 21,756 | 23,460 | ||||||||||||||||
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 | 14,682 | ||||||||||||||||
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 | 14,269 | ||||||||||||||||
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 | 5,995 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.860% | 3-month USD-LIBOR | 02/22/39 | USD 232,500 | 11,503 | 8,221 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 2.985% | 3-month USD-LIBOR | 04/27/38 | USD 200,000 | 9,400 | 6,664 | ||||||||||||||||
Put on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.680% | 3-month USD-LIBOR | 08/02/24 | USD 490,000 | 21,970 | 23,472 | ||||||||||||||||
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 | 18,294 | ||||||||||||||||
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 | 18,415 | ||||||||||||||||
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 | 6,049 | ||||||||||||||||
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 | 1,584 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put on 30-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.705% | 3-month USD-LIBOR | 05/31/22 | USD 290,000 | $ | 16,429 | $ | 15,103 | ||||||||||||||
Put on 5-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 1.250% | 3-month USD-LIBOR | 07/15/22 | USD 3,630,000 | 43,016 | 65,922 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.540% | 3-month USD-LIBOR | 08/03/22 | USD 1,500,000 | 19,200 | 16,757 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.324% | 3-month USD-LIBOR | 07/01/22 | USD 2,880,000 | 32,724 | 44,001 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.335% | 3-month USD-LIBOR | 01/19/22 | USD 1,225,000 | 7,381 | 5,487 | ||||||||||||||||
Put on 5-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.450% | 3-month USD-LIBOR | 07/06/22 | USD 2,880,000 | 26,675 | 34,753 | ||||||||||||||||
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 | 7,357 | ||||||||||||||||
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 | 22,036 | ||||||||||||||||
$ | 1,432,956 | $ | 1,376,264 |
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 | $ | (85,060 | ) | |||||||||||||
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 | (252 | ) | |||||||||||||||
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 | (14,150 | ) | |||||||||||||||
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 | (6,639 | ) | |||||||||||||||
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 | (40,619 | ) | |||||||||||||||
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 | (5,067 | ) | |||||||||||||||
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 | (374 | ) | |||||||||||||||
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 | (19 | ) | |||||||||||||||
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 | (2,633 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.400% | 3-month USD-LIBOR | 03/01/22 | USD 680,000 | 3,604 | (3,008 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.795% | 3-month USD-LIBOR | 10/13/22 | USD 670,000 | 18,241 | (20,085 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.800% | 3-month USD-LIBOR | 10/07/22 | USD 670,000 | 18,425 | (20,173 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.848% | 3-month USD-LIBOR | 11/15/22 | USD 1,380,000 | 40,779 | (46,320 | ) | |||||||||||||||
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 | (4,289 | ) | |||||||||||||||
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 | (4,412 | ) | |||||||||||||||
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 | 7,362 | (7,231 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.421% | 1-day Secured Overnight Financing Rate | 12/15/22 | USD 1,090,000 | 30,629 | (27,668 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.450% | 1-day Secured Overnight Financing Rate | 12/05/22 | USD 680,000 | 20,740 | (18,019 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.433% | 1-day Secured Overnight Financing Rate | 12/13/22 | USD 1,090,000 | 30,847 | (28,242 | ) | |||||||||||||||
Call on 10-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.525% | 3-month USD-LIBOR | 09/01/22 | USD 1,310,000 | 34,764 | (21,302 | ) | |||||||||||||||
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 | (272 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (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 | $ | (470 | ) | |||||||||||||
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 | (520 | ) | |||||||||||||||
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 | (1,084 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.020% | 3-month USD-LIBOR | 05/03/22 | USD 4,500,000 | 17,775 | (9,373 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 0.606% | 3-month USD-LIBOR | 04/01/22 | USD 8,750,000 | 20,825 | (2,163 | ) | |||||||||||||||
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 | — | ||||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.235% | 3-month USD-LIBOR | 10/25/22 | USD 2,160,000 | 12,906 | (7,903 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.238% | 3-month USD-LIBOR | 10/25/22 | USD 3,230,000 | 19,219 | (11,889 | ) | |||||||||||||||
Call on 2-Year Interest Rate Swap(3) | Morgan Stanley & Co. International PLC | Pay | 1.250% | 3-month USD-LIBOR | 11/04/22 | USD 3,195,000 | 17,573 | (12,018 | ) | |||||||||||||||
Call on 30-Year Interest Rate Swap(3) | Barclays Bank PLC | Pay | 2.000% | 3-month USD-LIBOR | 09/30/24 | USD 220,000 | 22,825 | (29,332 | ) | |||||||||||||||
Call on 30-Year Interest Rate Swap(3) | Deutsche Bank AG | Pay | 1.848% | 3-month USD-LIBOR | 09/17/24 | USD 310,000 | 32,317 | (34,887 | ) | |||||||||||||||
Call on 30-Year Interest Rate Swap(3) | Goldman Sachs International | Pay | 1.375% | 1-day Secured Overnight Financing Rate | 12/02/26 | USD 120,000 | 16,692 | (12,968 | ) | |||||||||||||||
Call on 30-Year Interest Rate Swap(3) | JPMorgan Chase Bank N.A. | Pay | 1.975% | 3-month USD-LIBOR | 10/19/26 | USD 130,000 | 16,380 | (19,738 | ) | |||||||||||||||
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 | (1,507 | ) | |||||||||||||||
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 | (4,835 | ) | |||||||||||||||
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 | (19,324 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(4) | Barclays Bank PLC | Receive | 0.700% | 6-month EUR-EURIBOR | 05/15/23 | EUR 1,070,000 | 28,654 | (25,334 | ) | |||||||||||||||
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 | (19,520 | ) | |||||||||||||||
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 | (37,262 | ) | |||||||||||||||
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 | (5,593 | ) | |||||||||||||||
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 | (17,756 | ) | |||||||||||||||
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 | — | ||||||||||||||||
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 | — | ||||||||||||||||
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 | (2,014 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.750% | 3-month USD-LIBOR | 08/08/22 | USD 960,000 | 11,568 | (2,221 | ) | |||||||||||||||
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 | (860 | ) | |||||||||||||||
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 | (25,490 | ) | |||||||||||||||
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 | (46,454 | ) | |||||||||||||||
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 | (29,735 | ) | |||||||||||||||
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 | (8,277 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.570% | 1-day Secured Overnight Financing Rate | 03/01/22 | USD 830,000 | 3,922 | (2,358 | ) | |||||||||||||||
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 | (7,105 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.795% | 3-month USD-LIBOR | 10/13/22 | USD 670,000 | 18,241 | (14,089 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.800% | 3-month USD-LIBOR | 10/07/22 | USD 670,000 | 18,425 | (13,757 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.848% | 3-month USD-LIBOR | 11/15/22 | USD 1,380,000 | $ | 40,779 | $ | (28,532 | ) | |||||||||||||
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 | (23,564 | ) | |||||||||||||||
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 | (23,191 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 1.421% | 1-day Secured Overnight Financing Rate | 12/15/22 | USD 1,090,000 | 30,629 | (31,549 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 1.450% | 1-day Secured Overnight Financing Rate | 12/05/22 | USD 680,000 | 20,740 | (18,463 | ) | |||||||||||||||
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 | (2,211 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 2.750% | 3-month USD-LIBOR | 08/02/22 | USD 950,000 | 13,015 | (2,087 | ) | |||||||||||||||
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 | (797 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.433% | 1-day Secured Overnight Financing Rate | 12/13/22 | USD 1,090,000 | 30,847 | (30,844 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.525% | 3-month USD-LIBOR | 09/01/22 | USD 1,310,000 | 34,764 | (40,772 | ) | |||||||||||||||
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 | (26,576 | ) | |||||||||||||||
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 | (10,693 | ) | |||||||||||||||
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 | (10,785 | ) | |||||||||||||||
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 | (6,363 | ) | |||||||||||||||
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 | (6,429 | ) | |||||||||||||||
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 | (32,856 | ) | |||||||||||||||
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 | (32,485 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 0.500% | 3-month USD-LIBOR | 01/19/22 | USD 1,770,000 | 3,328 | (16,539 | ) | |||||||||||||||
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 | (64,369 | ) | |||||||||||||||
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 | (63,189 | ) | |||||||||||||||
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 | (28,202 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.020% | 3-month USD-LIBOR | 05/03/22 | USD 4,500,000 | 17,775 | (22,561 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 0.606% | 3-month USD-LIBOR | 04/01/22 | USD 8,750,000 | 20,825 | (90,156 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 0.740% | 3-month USD-LIBOR | 04/06/22 | USD 8,750,000 | 14,000 | (70,631 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 1.480% | 3-month USD-LIBOR | 11/02/22 | USD 1,930,000 | 9,747 | (9,855 | ) | |||||||||||||||
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 | (58,363 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.235% | 3-month USD-LIBOR | 10/25/22 | USD 2,160,000 | 12,906 | (15,640 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.238% | 3-month USD-LIBOR | 10/25/22 | USD 3,230,000 | 19,218 | (23,300 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(1) | Morgan Stanley & Co. International PLC | Receive | 1.250% | 3-month USD-LIBOR | 11/04/22 | USD 3,195,000 | 17,573 | (23,342 | ) | |||||||||||||||
Put on 30-Year Interest Rate Swap(1) | Barclays Bank PLC | Receive | 2.000% | 3-month USD-LIBOR | 09/30/24 | USD 220,000 | 22,825 | (17,460 | ) | |||||||||||||||
Put on 30-Year Interest Rate Swap(1) | Deutsche Bank AG | Receive | 1.848% | 3-month USD-LIBOR | 09/17/24 | USD 310,000 | 32,317 | (29,131 | ) | |||||||||||||||
Put on 30-Year Interest Rate Swap(1) | Goldman Sachs International | Receive | 1.375% | 1-day Secured Overnight Financing Rate | 12/02/26 | USD 120,000 | 16,692 | (16,951 | ) | |||||||||||||||
Put on 30-Year Interest Rate Swap(1) | JPMorgan Chase Bank N.A. | Receive | 1.975% | 3-month USD-LIBOR | 10/19/26 | USD 130,000 | 16,380 | (13,041 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put on 5-Year Interest Rate Swap(4) | Goldman Sachs International | Receive | 0.270% | 6-month EUR-EURIBOR | 04/19/22 | EUR 2,830,000 | $ | 9,036 | $ | (10,957 | ) | |||||||||||||
$ | 1,725,923 | $ | (1,683,554 | ) |
(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 receives the exercise rate annually and pays the floating rate index semi-annually. | |
Currency Abbreviations
AUD — Australian Dollar
EUR — EU Euro
GBP — British Pound
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||||
Interest rate contracts | Investments in securities at value* | $ | 1,382,108 | |||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 114,662 | ||||||||
Interest rate contracts | Variation margin receivable on futures contracts** | 419,059 | ||||||||
Interest rate contracts | Variation margin receivable on centrally cleared swaps** | 9,035,053 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 1,463,650 | ||||||||
Total Asset Derivatives | $ | 12,414,532 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 43,132 | |||||||
Interest rate contracts | Variation margin payable on futures contracts** | 661,282 | ||||||||
Interest rate contracts | Variation margin payable on centrally cleared swaps** | 2,905,383 | ||||||||
Interest rate contracts | Written options, at fair value | 1,685,413 | ||||||||
Total Liability Derivatives | $ | 5,295,210 |
* | 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 |
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 | $(14,122 | ) | $486,557 | $ | — | $ | — | $ — | $ 472,435 | |||||||||||||
Interest rate contracts | 6,082 | — | (340,900 | ) | 2,067,768 | 368,489 | 2,101,439 | |||||||||||||||
Total | $ (8,040 | ) | $486,557 | $ | (340,900 | ) | $ | 2,067,768 | $368,489 | $2,573,874 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
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 | $ — | $308,830 | $ | — | $ | — | $ — | $ 308,830 | ||||||||||||||
Interest rate contracts | (70,008 | ) | — | (304,458 | ) | 5,651,419 | (171,019) | 5,105,934 | ||||||||||||||
Total | $ (70,008 | ) | $308,830 | $ | (304,458 | ) | $ | 5,651,419 | $(171,019) | $5,414,764 |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
Bank of America N.A. | Barclays Bank PLC | Citibank N.A. | Deutsche Bank AG | Goldman Sachs International | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | Standard Chartered Bank | Toronto Dominion Securities | UBS AG | Totals | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | 451,986 | $ | 85,032 | $ | 359,203 | $ | 138,752 | $ | 193,458 | $ | 147,833 | $ | — | $ | — | $ — | $ 1,376,264 | ||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | — | — | — | — | 114,004 | 563 | 95 | 114,662 | |||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | 1,463,650 | — | — | — | — | — | — | — | 1,463,650 | |||||||||||||||||||||||||||||||
Total Assets | $ | — | $ | 451,986 | $ | 1,548,682 | $ | 359,203 | $ | 138,752 | $ | 193,458 | $ | 147,833 | $ | 114,004 | $ | 563 | $ 95 | $ 2,954,576 | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 16,650 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 21,649 | $ | 3,127 | $ 1,706 | $ 43,132 | ||||||||||||||||||||||
OTC Interest rate swaps | — | — | 180,826 | — | — | — | — | — | — | — | 180,826 | |||||||||||||||||||||||||||||||
Written options | — | 324,903 | 63,685 | 550,564 | 96,332 | 313,609 | 334,461 | — | — | — | 1,683,554 | |||||||||||||||||||||||||||||||
Total Liabilities | $ | 16,650 | $ | 324,903 | $ | 244,511 | $ | 550,564 | $ | 96,332 | $ | 313,609 | $ | 334,461 | $ | 21,649 | $ | 3,127 | $ 1,706 | $ 1,907,512 | ||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (16,650 | ) | $ | 127,083 | $ | 1,304,171 | $ | (191,361 | ) | $ | 42,420 | $ | (120,151 | ) | $ | (186,628 | ) | $ | 92,355 | $ | (2,564 | ) | $(1,611) | $ 1,047,064 | |||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | (127,083 | ) | $ | (1,304,171 | ) | $ | 191,361 | $ | (40,000 | ) | $ | 120,000 | $ | 40,000 | $ | — | $ | — | $ — | $(1,119,893) | |||||||||||||||||||
Net Exposure(1)(2) | $ | (16,650 | ) | $ | — | $ | — | $ | — | $ | 2,420 | $ | (151 | ) | $ | (146,628 | ) | $ | 92,355 | $ | (2,564 | ) | $(1,611) | $(72,829) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. | |
(2) | At December 31, 2021, the Portfolio had pledged $200,000 in cash collateral to Deutsche Bank AG. In addition, the Portfolio had received $142,000 and $1,350,000 in cash collateral from Barclays Bank PLC and Citibank N.A., respectively. Excess cash collateral is not shown for financial reporting purposes. |
Cost for federal income tax purposes was $326,425,696. | ||||||
Net unrealized appreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 30,276,276 | ||||
Gross Unrealized Depreciation | (5,340,730 | ) | ||||
Net Unrealized Appreciation | $ | 24,935,546 |
VY® BRANDYWINEGLOBAL — BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: 25.9% | |||||||||||||
Consumer, Cyclical: 3.2% | |||||||||||||
3,010,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | $ | 3,289,273 | 1.0 | ||||||||
1,335,000 | General Motors Co., 6.250%, 10/02/2043 | 1,830,763 | 0.5 | ||||||||||
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,130,060 | 0.3 | ||||||||||
4,605,000 | General Motors Financial Co., Inc., 1.250%, (SOFRRATE + 1.200%), 11/17/2023 | 4,655,751 | 1.4 | ||||||||||
10,905,847 | 3.2 | ||||||||||||
Energy: 4.6% | |||||||||||||
6,245,000 | Marathon Oil Corp., 6.600%, 10/01/2037 | 8,173,695 | 2.4 | ||||||||||
3,905,000 | Occidental Petroleum Corp., 3.500%, 08/15/2029 | 4,018,362 | 1.2 | ||||||||||
3,610,000 | Petroleos Mexicanos, 7.690%, 01/23/2050 | 3,490,780 | 1.0 | ||||||||||
15,682,837 | 4.6 | ||||||||||||
Financial: 11.2% | |||||||||||||
5,510,000 | (1) | Athene Global Funding, 0.750%, (SOFRRATE + 0.700%), 05/24/2024 | 5,526,978 | 1.6 | |||||||||
5,635,000 | Bank of Montreal, 0.730%, (SOFRRATE + 0.680%), 03/10/2023 | 5,662,884 | 1.6 | ||||||||||
7,100,000 | Bank of Nova Scotia/The, 0.600%, (SOFRRATE + 0.550%), 09/15/2023 | 7,124,784 | 2.1 | ||||||||||
2,280,000 | (1) | Blue Owl Finance LLC, 3.125%, 06/10/2031 | 2,233,524 | 0.6 | |||||||||
5,095,000 | Canadian Imperial Bank of Commerce, 0.850%, (SOFRRATE + 0.800%), 03/17/2023 | 5,122,824 | 1.5 | ||||||||||
6,990,000 | (1) | Commonwealth Bank of Australia, 0.449%, (SOFRRATE + 0.400%), 07/07/2025 | 7,001,115 | 2.0 | |||||||||
2,695,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 2,651,328 | 0.8 | ||||||||||
3,300,000 | (1) | Metropolitan Life Global Funding I, 0.619%, (SOFRRATE + 0.570%), 01/13/2023 | 3,313,772 | 1.0 | |||||||||
38,637,209 | 11.2 | ||||||||||||
Industrial: 3.2% | |||||||||||||
1,230,000 | Boeing Co/The, 3.950%, 08/01/2059 | 1,281,564 | 0.4 | ||||||||||
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 1,029,010 | 0.3 | ||||||||||
2,065,000 | Boeing Co/The, 5.805%, 05/01/2050 | 2,801,599 | 0.8 | ||||||||||
1,225,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,704,618 | 0.5 | ||||||||||
4,280,000 | Caterpillar Financial Services Corp., 0.200%, (SOFRRATE + 0.150%), 11/17/2022 | 4,275,312 | 1.2 | ||||||||||
11,092,103 | 3.2 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Technology: 2.0% | |||||||||||||
5,885,000 | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | $ | 6,905,149 | 2.0 | |||||||||
Utilities: 1.7% | |||||||||||||
2,960,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 3,159,282 | 0.9 | |||||||||
2,530,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 2,638,284 | 0.8 | |||||||||
5,797,566 | 1.7 | ||||||||||||
Total Corporate Bonds/Notes (Cost $83,683,569) | 89,020,711 | 25.9 | |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.5% | |||||||||||||
608,081 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 607,953 | 0.2 | |||||||||
230,883 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 231,994 | 0.1 | |||||||||
851,027 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 852,149 | 0.2 | |||||||||
Total Collateralized Mortgage Obligations (Cost $1,666,338) | 1,692,096 | 0.5 | |||||||||||
U.S. TREASURY OBLIGATIONS: 49.8% | |||||||||||||
U.S. Treasury Bonds: 6.3% | |||||||||||||
7,660,000 | 1.875%, 11/15/2051 | 7,601,353 | 2.2 | ||||||||||
13,940,000 | 2.000%, 08/15/2051 | 14,214,444 | 4.1 | ||||||||||
21,815,797 | 6.3 | ||||||||||||
U.S. Treasury Floating Rate Notes: 43.5% | |||||||||||||
7,175,000 | 0.119%, (USBMMY3M + 0.034%), 04/30/2023 | 7,175,744 | 2.1 | ||||||||||
51,910,000 | 0.134%, (USBMMY3M + 0.049%), 01/31/2023 | 51,932,867 | 15.1 | ||||||||||
26,545,000 | 0.140%, (USBMMY3M + 0.055%), 07/31/2022 | 26,554,028 | 7.7 | ||||||||||
63,640,000 | 0.140%, (USBMMY3M + 0.055%), 10/31/2022 | 63,665,903 | 18.6 | ||||||||||
149,328,542 | 43.5 | ||||||||||||
Total U.S. Treasury Obligations (Cost $171,186,293) | 171,144,339 | 49.8 | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 17.0% | |||||||||||||
Federal Home Loan Bank: 8.5% | |||||||||||||
29,280,000 | 0.125%, 03/17/2023 | 29,146,934 | 8.5 | ||||||||||
Federal Home Loan Mortgage Corporation: 8.5%(3) | |||||||||||||
29,190,000 | 0.375%, 05/05/2023 | 29,128,459 | 8.5 | ||||||||||
Total U.S. Government Agency Obligations (Cost $58,508,182) | 58,275,393 | 17.0 | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.8% | |||||||||||||
3,089,000 | (2) | Benchmark 2020-B18 C Mortgage Trust, 3.647%, 07/15/2053 | 3,220,568 | 0.9 |
VY® BRANDYWINEGLOBAL — BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | |||||||||||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.090%, (US0001M + 0.980%), 05/15/2036 | $ | 1,521,279 | 0.5 | ||||||||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.656%, 10/25/2045 | 9,524,104 | 2.8 | |||||||||
2,000,000 | (2) | JPMDB Commercial Mortgage Securities Trust 2018-C8 C, 4.726%, 06/15/2051 | 2,106,243 | 0.6 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $16,564,491) | 16,372,194 | 4.8 | |||||||||||
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 | 760,784 | 0.2 | |||||||||
Total Asset-Backed Securities (Cost $696,185) | 760,784 | 0.2 | |||||||||||
Total Long-Term Investments (Cost $332,305,058) | 337,265,517 | 98.2 |
Shares | Value | Percentage of Net Assets | |||||||||||
SHORT-TERM INVESTMENTS: 1.5% | |||||||||||||
Mutual Funds: 1.5% | |||||||||||||
5,134,368 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.030% (Cost $5,134,368) | $ | 5,134,368 | 1.5 | ||||||||
Total Short-Term Investments (Cost $5,134,368) | 5,134,368 | 1.5 | |||||||||||
Total Investments in Securities (Cost $337,439,426) | $ | 342,399,885 | 99.7 | ||||||||||
Assets in Excess of Other Liabilities | 929,082 | 0.3 | |||||||||||
Net Assets | $ | 343,328,967 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
(2) | Variable rate security. Rate shown is the rate in effect as of December 31, 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 December 31, 2021. |
Reference Rate Abbreviations:
SOFRRATE | 1-day Secured Overnight Financing Rate | |
US0001M | 1-month LIBOR | |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2021 | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 89,020,711 | $— | $ | 89,020,711 | |||||||||
Collateralized Mortgage Obligations | — | 1,692,096 | — | 1,692,096 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 16,372,194 | — | 16,372,194 | ||||||||||||
U.S. Government Agency Obligations | — | 58,275,393 | — | 58,275,393 | ||||||||||||
Asset-Backed Securities | — | 760,784 | — | 760,784 | ||||||||||||
U.S. Treasury Obligations | — | 171,144,339 | — | 171,144,339 | ||||||||||||
Short-Term Investments | 5,134,368 | — | — | 5,134,368 | ||||||||||||
Total Investments, at fair value | $ | 5,134,368 | $ | 337,265,517 | $— | $ | 342,399,885 | |||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (75,297 | ) | $ | — | $— | $ | (75,297 | ) | |||||||
Total Liabilities | $ | (75,297 | ) | $ | — | $— | $ | (75,297 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
VY® BRANDYWINEGLOBAL — BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2021 (CONTINUED) |
+ | 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) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | ||||||||||||||||||
U.S. Treasury Ultra Long Bond | 39 | 03/22/22 | $ | 7,687,875 | $ | (75,297 | ) | |||||||||||
$ | 7,687,875 | $ | (75,297 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Liability Derivatives | ||||||||
Interest rate contracts | Variation margin payable on futures contracts* | $ | 75,297 | |||||
Total Liability Derivatives | $ | 75,297 |
* | 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). |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | 5,033,822 | ||||
Total | $ | 5,033,822 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Interest rate contracts | $ | (453,656 | ) | |||
Total | $ | (453,656 | ) |
Cost for federal income tax purposes was $337,364,129. | |||||
Net unrealized appreciation consisted of: | |||||
Gross Unrealized Appreciation | $5,597,307 | ||||
Gross Unrealized Depreciation | (636,848 | ) | |||
Net Unrealized Appreciation | $4,960,459 |
Portfolio Name | Type | Per Share Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||
Class ADV | NII | $ | 0.2317 | |||||||
Class I | NII | $ | 0.2934 | |||||||
Class S | NII | $ | 0.2667 | |||||||
VY® BrandywineGLOBAL — Bond Portfolio | NII | $ | 0.1910 | |||||||
STCG | $ | 0.6538 | ||||||||
LTCG | $ | 0.1065 |
NII — Net investment income
STCG — Short-term capital gain
LTCG — Long-term capital gain
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||
Independent Trustees: | ||||||||||
Colleen D. Baldwin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Trustee Chairperson | November 2007–Present January 2020–Present | President, Glantuam Partners, LLC, a business consulting firm (January 2009–Present). | 131 | Dentaquest (February 2014–Present); RSR Partners, Inc. (2016–Present). | |||||
John V. Boyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 68 | Trustee | January 2005–Present | Retired. Formerly, President and Chief Executive Officer, Bechtler Arts Foundation, an arts and education foundation (January 2008–December 2019). | 131 | None. | |||||
Patricia W. Chadwick 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 73 | Trustee | January 2006–Present | Consultant and President, Ravengate Partners LLC, a consulting firm that provides advice regarding financial markets and the global economy (January 2000–Present). | 131 | Wisconsin Energy Corporation (June 2006–Present); The Royce Funds (22 funds) (December 2009–Present); and AMICA Mutual Insurance Company (1992–Present). | |||||
Martin J. Gavin 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, AZ 85258 Age: 71 | Trustee | August 2015–Present | Retired. | 131 | None. | |||||
Joseph E. Obermeyer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 64 | Trustee | May 2013–Present | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). | 131 | None. | |||||
Sheryl K. Pressler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 71 | Trustee | January 2006–Present | Consultant (May 2001–Present). | 131 | Centerra Gold Inc. (May 2008–Present). | |||||
Christopher P. Sullivan 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 68 | Trustee | October 2015–Present | Retired. | 131 | None. |
Name, Address and Age | Position(s) Held with the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | Number of funds in Fund Complex Overseen by Trustee(2) | Other Board Positions Held by Trustee | |||||
Trustee who is an “interested person”: | ||||||||||
Dina Santoro 230 Park Avenue New York, New York 10169 Age: 48 | Trustee | July 2018–Present | President, Voya Investments, LLC and Voya Capital, LLC (March 2018–Present); Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Chief Operating Officer and Senior Managing Director, Voya Investment Management (January 2022–Present). Formerly, Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017–January 2022); Managing Director, Quantitative Management Associates, LLC (January 2004–August 2017). | 131 | Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (March 2018–Present); Voya Investments Distributor, LLC (April 2018–Present). |
(1) | Trustees serve until their successors are duly elected and qualified. The tenure of each Trustee who is not an “interested person” as defined in the 1940 Act, of each Portfolio (“Independent Trustee”) is subject to the Board’s retirement policy which states that each duly elected or appointed Independent Trustee shall retire from and cease to be a member of the Board of Trustees at the close of business on December 31 of the calendar year in which the Independent Trustee attains the age of 75. A majority vote of the Board’s other Independent Trustees may extend the retirement date of an Independent Trustee if the retirement would trigger a requirement to hold a meeting of shareholders of the Trust under applicable law, whether for the purposes of appointing a successor to the Independent Trustee or otherwise comply under applicable law, in which case the extension would apply until such time as the shareholder meeting can be held or is no longer required (as determined by a vote of a majority of the other Independent Trustees). | |
(2) | For the purposes of this table, “Fund Complex” means the Voya family of funds including the following investment companies: Voya Asia Pacific High Dividend Equity Income Fund; Voya Balanced Portfolio, Inc.; Voya Emerging Markets High Dividend Equity Fund; Voya Equity Trust; Voya Funds Trust; Voya Global Advantage and Premium Opportunity Fund; Voya Global Equity Dividend and Premium Opportunity Fund; Voya Government Money Market Portfolio; Voya Infrastructure, Industrials and Materials Fund; Voya Intermediate Bond Portfolio; Voya Investors Trust; Voya Mutual Funds; Voya Partners, Inc.; Voya Senior Income Fund; Voya Separate Portfolios Trust; Voya Strategic Allocation Portfolios, Inc.; Voya Variable Funds; Voya Variable Insurance Trust; Voya Variable Portfolios, Inc.; and Voya Variable Products Trust. The number of funds in the Fund Complex is as of January 31, 2022. |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||
Michael Bell One Orange Way Windsor, Connecticut 06095 Age: 53 | Chief Executive Officer | March 2018–Present | Chief Executive Officer and Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (March 2018–Present); Senior Vice President, Voya Investments Distributor, LLC (March 2020–Present); Chief Financial Officer, Voya Investment Management (September 2014–Present). Formerly, Senior Vice President and Chief Financial Officer, Voya Investments Distributor, LLC (September 2019–March 2020); Senior Vice President and Treasurer, Voya Investments Distributor, LLC (November 2015–September 2019); Senior Vice President, Chief Financial Officer and Treasurer, Voya Investments, LLC (November 2015–March 2018). | |||
Dina Santoro 230 Park Avenue New York, New York 10169 Age: 48 | President | March 2018–Present | President and Director, Voya Investments, LLC and Voya Capital, LLC (March 2018–Present); Director, Voya Funds Services, LLC (March 2018–Present); Director and Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Chief Operating Officer and Senior Managing Director, Voya Investment Management (January 2022–Present). Formerly, Senior Managing Director, Head of Product and Marketing Strategy, Voya Investment Management (September 2017–January 2022); Managing Director, Quantitative Management Associates, LLC (January 2004–August 2017). | |||
Jonathan Nash 230 Park Avenue New York, New York 10169 Age: 54 | Executive Vice President Chief Investment Risk Officer | March 2020 – Present March 2020–Present | Executive Vice President and Chief Investment Risk Officer, Voya Investments, LLC (March 2020–Present) and Senior Vice President, Investment Risk Management, Voya Investment Management (March 2017–Present). Formerly, Vice President, Voya Investments, LLC (September 2018–March 2020); Consultant, DA Capital LLC (January 2016–March 2017). | |||
James M. Fink 5780 Powers Ferry Road NW Atlanta, Georgia 30327 Age: 63 | Executive Vice President | March 2018–Present | Managing Director, Voya Investments, LLC, Voya Capital, LLC, and Voya Funds Services, LLC (March 2018–Present); Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Chief Administrative Officer, Voya Investment Management (September 2017–Present). Formerly, Managing Director, Operations, Voya Investment Management (March 1999–September 2017). | |||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Chief Compliance Officer | February 2012–Present | Senior Vice President, Voya Investment Management and Chief Compliance Officer, Voya Family of Funds (February 2012–Present). | |||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | President, Voya Funds Services, LLC (March 2018–Present) and Senior Vice President, Voya Investments, LLC (April 2005–Present). | |||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Senior Vice President | November 2003–Present | Senior Vice President, Voya Investments, LLC (September 2003–Present). | |||
Micheline S. Faver 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 44 | Senior Vice President | September 2020 – Present | Senior Vice President, Head of Fund Compliance and Chief Compliance Officer, Voya Investments, LLC (March 2021–Present). Formerly, Vice President, Head of Fund Compliance and Chief Compliance Officer, Voya Investments, LLC (June 2016–March 2021). |
Name, Address and Age | Position(s) Held With the Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||
Robert Terris 5780 Powers Ferry Road NW Atlanta, Georgia 30327 Age: 51 | Senior Vice President | May 2006–Present | Senior Vice President, Voya Investments Distributor, LLC (April 2018–Present); Senior Vice President, Head of Investment Services, Voya Investments, LLC (April 2018–Present) and Voya Funds Services, LLC (March 2006–Present). Formerly, Senior Vice President, Head of Division Operations, Voya Investments, LLC (October 2015–April 2018). | |||
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Vice President Treasurer | September 2012 –Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2012–Present). | |||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 63 | Vice President | September 2004–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (September 2004–Present). | |||
Sara M. Donaldson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Vice President | September 2014–Present | Vice President, Voya Investments, LLC (October 2015–Present). | |||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Vice President | VIT: November 1999–Present VVIT: October 2000–Present | Vice President, Voya Funds Services, LLC (November 1995–Present) and Voya Investments, LLC (August 1997–Present). | |||
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | September 2012–Present | Vice President, Voya Investments, LLC (October 2015–Present) and Voya Funds Services, LLC (July 2007–Present). | |||
Andrew K. Schlueter 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | March 2018–Present | Vice President, Voya Investments Distributor, LLC (April 2018–Present); Vice President, Voya Investments, LLC and Voya Funds Services, LLC (March 2018–Present); Vice President, Head of Mutual Fund Operations, Voya Investment Management (February 2018–Present). Formerly, Vice President, Voya Investment Management (March 2014–February 2018). | |||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 52 | Vice President | May 2013–Present | Vice President—Director of Tax, Voya Investments, LLC (October 2015–Present). | |||
Monia Piacenti One Orange Way Windsor, Connecticut 06095 Age: 45 | Anti-Money Laundering Officer | June 2018–Present | Anti-Money Laundering Officer, Voya Investments Distributor, LLC, Voya Investment Management and Voya Investment Management Trust Co. (June 2018–Present); Compliance Consultant, Voya Financial, Inc. (January 2019–Present). Formerly, Senior Compliance Officer, Voya Investment Management (December 2009–December 2018). | |||
Joanne F. Osberg 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 40 | Secretary | September 2020–Present | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (September 2020–Present). Formerly, Vice President, Counsel, Voya Investment Management — Mutual Fund Legal Department (January 2013–September 2020). | |||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 70 | Assistant Secretary | June 2010–Present | Vice President and Senior Counsel, Voya Investment Management — Mutual Fund Legal Department (March 2010–Present). |
(1) | The Officers hold office until the next annual meeting of the Board of Trustees and until their successors shall have been elected and qualified. |
Voya Investments, LLC
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
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE | ![]() |
voyainvestments.com | VPAR-VIT3AIS (1221-022422) |
Item 2. Code of Ethics.
As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code during the period covered by this report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Ex-99.CODE ETH.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Colleen D. Baldwin, Martin J. Gavin, and Joseph E. Obermeyer are audit committee financial experts, as defined in Item 3 of Form N-CSR. Ms. Baldwin, Mr. Gavin, and Mr. Obermeyer are “independent” for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Below are the amount of fees that Ernst & Young LLP (“EY”), the Fund’s current Independent Registered Public Accounting Firm, billed to the Fund during the Fund’s fiscal year ended December 31, 2021 and December 31, 2020 and the amount of fees that the previous independent public accounting firm billed to the Fund during the Fund’s fiscal year ended December 31, 2021 and December 31, 2020.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by EY, the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $29,517 for the year ended December 31, 2021 and $29,628 for the year ended December 31, 2020. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by EY that are reasonably related to the performance of the audit of each respective registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the year ended December 31, 2021 and $0 for the year ended December 31, 2020. |
(c) | Tax Fees(1): The aggregate fees billed in each of the last two fiscal years for professional services rendered by EY for tax compliance, tax advice, and tax planning were $5,300 for the year ended December 31, 2021 and $1,325 for the year ended December 31, 2020. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state, and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by EY, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the year ended December 31, 2021 and $0 for the year ended December 31, 2020. |
(1) For the fiscal years ended December 31, 2021, and December 31, 2020, the previous independent public accounting firm billed $0 and $22, respectively, for Tax Fees.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
Appendix A
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY
I. Statement of Principles
Under the Sarbanes-Oxley Act of 2002 (the “Act”), the Audit Committee of the Board of Directors or Trustees (the “Committee”) of the Voya funds (each a “Fund,” collectively, the “Funds”) set out on Exhibit A to this Audit and Non-Audit Services Pre-Approval Policy (“Policy”) is responsible for the oversight of the work of the Funds’ independent auditors. As part of its responsibilities, the Committee must pre-approve the audit and non-audit services performed by the auditors in order to assure that the provision of these services does not impair the auditors’ independence from the Funds. The Committee has adopted, and the Board has ratified, this Policy, which sets out the procedures and conditions under which the services of the independent auditors may be pre-approved.
Under Securities and Exchange Commission (“SEC”) rules promulgated in accordance with the Act, the Funds may establish two different approaches to pre-approving audit and non-audit services. The Committee may approve services without consideration of specific case-by-case services (“general pre-approval”) or it may pre-approve specific services (“specific pre-approval”). The Committee believes that the combination of these approaches contemplated in this Policy results in an effective and efficient method for pre-approving audit and non-audit services to be performed by the Funds’ independent auditors. Under this Policy, services that are not of a type that may receive general pre-approval require specific pre-approval by the Committee. Any proposed services that exceed pre-approved cost levels or budgeted amounts will also require the Committee’s specific pre-approval.
For both types of approval, the Committee considers whether the subject services are consistent with the SEC’s rules on auditor independence and that such services are compatible with maintaining the auditors independence. The Committee also considers whether a particular audit firm is in the best position to provide effective and efficient services to the Funds. Reasons that the auditors are in the best position include the auditors’ familiarity with the Funds’ business, personnel, culture, accounting systems, risk profile, and other factors, and whether the services will enhance the Funds’ ability to manage and control risk or improve audit quality. Such factors will be considered as a whole, with no one factor being determinative.
The appendices attached to this Policy describe the audit, audit-related, tax-related, and other services that have the Committee’s general pre-approval. For any service that has been approved through general pre-approval, the general pre-approval will remain in place for a period 12 months from the date of pre-approval, unless the Committee determines that a different period is appropriate. The Committee will annually review and pre-approve the services that may be provided by the independent auditors without specific pre-approval. The Committee will revise the list of services subject to general pre-approval as appropriate. This Policy does not serve as a delegation to Fund management of the Committee’s duty to pre-approve services performed by the Funds’ independent auditors.
II. Audit Services
The annual audit services engagement terms and fees are subject to the Committee’s specific pre-approval. Audit services are those services that are normally provided by auditors in connection with statutory and regulatory filings or engagements or those that generally only independent auditors can reasonably provide. They include the Funds’ annual financial statement audit and procedures that the independent auditors must perform in order to form an opinion on the Funds’ financial statements (e.g., information systems and procedural reviews and testing). The Committee will monitor the audit services engagement and approve any changes in terms, conditions or fees deemed by the Committee to be necessary or appropriate.
The Committee may grant general pre-approval to other audit services, such as statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or issued in connection with securities offerings.
The Committee has pre-approved the audit services listed on Appendix A. The Committee must specifically approve all audit services not listed on Appendix A.
III. Audit-related Services
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or the review of the Funds’ financial statements or are traditionally performed by the independent auditors. The Committee believes that the provision of audit-related services will not impair the independent auditors’ independence, and therefore may grant pre-approval to audit-related services. Audit-related services include accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures relating to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Form N-CEN or Form N-CSR.
The Committee has pre-approved the audit-related services listed on Appendix B. The Committee must specifically approve all audit-related services not listed on Appendix B.
IV. Tax Services
The Committee believes the independent auditors can provide tax services to the Funds, including tax compliance, tax planning, and tax advice, without compromising the auditors’ independence. Therefore, the Committee may grant general pre-approval with respect to tax services historically provided by the Funds’ independent auditors that do not, in the Committee’s view, impair auditor independence and that are consistent with the SEC’s rules on auditor independence.
The Committee will not grant pre-approval if the independent auditors initially recommends a transaction the sole business purpose of which is tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Committee may consult outside counsel to determine that tax planning and reporting positions are consistent with this Policy.
The Committee has pre-approved the tax-related services listed on Appendix C. The Committee must specifically approve all tax-related services not listed on Appendix C.
V. Other Services
The Committee believes it may grant approval of non-audit services that are permissible services for independent auditors to a Fund. The Committee has determined to grant general pre-approval to other services that it believes are routine and recurring, do not impair auditor independence, and are consistent with SEC rules on auditor independence.
The Committee has pre-approved the non-audit services listed on Appendix D. The Committee must specifically approve all non-audit services not listed on Appendix D.
A list of the SEC’s prohibited non-audit services is attached to this Policy as Appendix E. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these impermissible services and the applicability of exceptions to certain of the SEC’s prohibitions.
VI. Pre-approval of Fee levels and Budgeted Amounts
The Committee will annually establish pre-approval fee levels or budgeted amounts for audit, audit-related, tax and non-audit services to be provided to the Funds by the independent auditors. Any proposed services exceeding these levels or amounts require the Committee’s specific pre-approval. The Committee considers fees for audit and non-audit services when deciding whether to pre-approve services. The Committee may determine, for a pre-approval period of 12 months, the appropriate ratio between the total amount of fees for the Fund’s audit, audit-related, and tax services (including fees for services provided to Fund affiliates that are subject to pre-approval), and the total amount of fees for certain permissible non-audit services for the Fund classified as other services (including any such services provided to Fund affiliates that are subject to pre-approval).
VII. Procedures
Requests or applications for services to be provided by the independent auditors will be submitted to management. If management determines that the services do not fall within those services generally pre-approved by the Committee and set out in the appendices to these procedures, management will submit the services to the Committee or its delagee. Any such submission will include a detailed description of the services to be rendered. Notwithstanding this paragraph, the Committee will, on a quarterly basis, receive from the independent auditors a list of services provided for the previous calendar quarter on a cumulative basis by the auditors during the Pre-Approval Period.
VIII. Delegation
The Committee may delegate pre-approval authority to one or more of the Committee’s members. Any member or members to whom such pre-approval authority is delegated must report any pre-approval decisions, including any pre-approved services, to the Committee at its next scheduled meeting. The Committee will identify any member to whom pre-approval authority is delegated in writing. The member will retain such authority for a period of 12 months from the date of pre-approval unless the Committee determines that a different period is appropriate. The period of delegated authority may be terminated by the Committee or at the option of the member.
IX. Additional Requirements
The Committee will take any measures the Committee deems necessary or appropriate to oversee the work of the independent auditors and to assure the auditors’ independence from the Funds. This may include reviewing a formal written statement from the independent auditors delineating all relationships between the auditors and the Funds, consistent with Independence Standards Board No. 1, and discussing with the auditors their methods and procedures for ensuring independence.
Last Approved: November 19, 2020
Appendix A
Pre-Approved Audit Services for the Pre-Approval Period January 1, 2021 through December 31, 2021
Service | ||
The Fund(s) | Fee Range | |
Statutory audits or financial audits (including tax services associated with audit services) | √ | As presented to Audit Committee1 |
Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters. | √ | Not to exceed $9,750 per filing |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. | √ | Not to exceed $8,000 during the Pre-Approval Period |
Seed capital audit and related review and issuance of consent on the N-2 registration statement | √ | Not to exceed $14,750 per audit |
Audit of summary portfolio of investments | √ | Not to exceed $750 per fund |
1 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
Appendix B
Pre-Approved Audit-Related Services for the Pre-Approval Period January 1, 2021 through December 31, 2021
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Services related to Fund mergers (Excludes tax services - See Appendix C for tax services associated with Fund mergers) | √ | √ | Not to exceed $10,000 per merger |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. [Note: Under SEC rules some consultations may be “audit” services and others may be “audit-related” services.] | √ | Not to exceed $5,000 per occurrence during the Pre-Approval Period | |
Review of the Funds’ semi-annual and quarterly financial statements | √ | Not to exceed $2,700 per set of financial statements per fund | |
Reports to regulatory or government agencies related to the annual engagement | √ | Up to $5,000 per occurrence during the Pre-Approval Period | |
Regulatory compliance assistance | √ | √ | Not to exceed $5,000 per quarter |
Training courses | √ | Not to exceed $5,000 per course | |
Appendix C
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2021 through December 31, 2021
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Preparation of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions | √ | As presented to Audit Committee2 | |
Review of IRC Sections 851(b) and 817(h) diversification testing on a real-time basis | √ | As presented to Audit Committee2 | |
Tax assistance and advice regarding statutory, regulatory or administrative developments | √ | √ | Not to exceed $5,000 for the Funds or for the Funds’ investment adviser during the Pre-Approval Period |
2 | For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in the auditors’ Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling. |
Appendix C, continued
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2021 through December 31, 2021
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Tax and technology training sessions | √ | Not to exceed $5,000 per course during the Pre-Approval Period | |
Tax services associated with Fund mergers | √ | √ | Not to exceed $4,000 per fund per merger during the Pre-Approval Period |
Ernst & Young LLP Passive Foreign Investment Company (“PFIC”) Analyzer | √ | Not to exceed $95,000 during the Pre-Approval Period | |
Other tax-related assistance and consultation, including, without limitation, assistance in evaluating derivative financial instruments and international tax issues, qualification and distribution issues, year-end reporting for 1099’s, tax compliance services in foreign jurisdictions and similar routine tax consultations as requested. | √ | Not to exceed $300,000 during the Pre-Approval Period |
Appendix D
Pre-Approved Other Services for the Pre-Approval Period January 1, 2021 through December 31, 2021
Service | |||
The Fund(s) | Fund Affiliates | Fee Range | |
Agreed-upon procedures for Class B share 12b-1 programs | √ | Not to exceed $60,000 during the Pre-Approval Period | |
Security counts performed pursuant to Rule 17f-2 of the 1940 Act (i.e., counts for Funds holding securities with affiliated sub-custodians)
Cost to be borne 50% by the Funds and 50% by Voya Investments, LLC. | √
| √
| Not to exceed $5,700 per Fund during the Pre-Approval Period |
Agreed upon procedures for 15 (c) FACT Books | √ | Not to exceed $50,000 during the Pre-Approval Period |
Appendix E
Prohibited Non-Audit Services
Dated: January 1, 2021 to December 31, 2021
● | Bookkeeping or other services related to the accounting records or financial statements of the Funds |
● | Financial information systems design and implementation |
● | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
● | Actuarial services |
● | Internal audit outsourcing services |
● | Management functions |
● | Human resources |
● | Broker-dealer, investment adviser, or investment banking services |
● | Legal services |
● | Expert services unrelated to the audit |
● | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible |
EXHIBIT A
VOYA ASIA PACIFIC HIGH DIVIDEND EQUITY INCOME FUND
VOYA BALANCED PORTFOLIO, INC.
VOYA EMERGING MARKETS HIGH DIVIDEND EQUITY FUND
VOYA EQUITY TRUST
VOYA FUNDS TRUST
VOYA GLOBAL ADVANTAGE AND PREMIUM OPPORTUNITY FUND
VOYA GLOBAL EQUITY DIVIDEND AND PREMIUM OPPORTUNITY FUND
VOYA INFRASTRUCTURE, INDUSTRIALS, AND MATERIALS FUND
VOYA INTERMEDIATE BOND PORTFOLIO
VOYA INVESTORS TRUST
VOYA GOVERNMENT MONEY MARKET PORTFOLIO
VOYA MUTUAL FUNDS
VOYA PARTNERS, INC.
VOYA SENIOR INCOME FUND
VOYA SEPARATE PORTFOLIOS TRUST
VOYA STRATEGIC ALLOCATIONS PORTFOLIOS, INC.
VOYA VARIABLE FUNDS
VOYA VARIABLE INSURANCE TRUST
VOYA VARIABLE PORTFOLIOS INC.
VOYA VARIABLE PRODUCTS TRUST
(e)(2) | Percentage of services referred to in 4(b) – (4)(d) that were approved by the audit committee |
100% of the services were approved by the audit committee. |
(f) | Percentage of hours expended attributable to work performed by other than full time employees of EY if greater than 50% |
Not applicable. |
(g) | Non-Audit Fees: The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to each Registrant by the independent registered public accounting firm for each Registrant’s fiscal years ended December 31, 2021 and December 31, 2020; and (ii) the aggregate non-audit fees billed to the investment adviser, or any of its affiliates that provide ongoing services to the registrant, by the independent registered public accounting firm for the same time periods. |
Registrant/Investment Adviser | 2021(1) | 2020(1) | ||||||
Voya Variable Insurance Trust | $ | 5,300 | $ | 1,325 | ||||
Voya Investments, LLC (2) | $ | 13,583,983 | $ | 14,804,511 |
(1) For the years ended December 31, 2021 and December 31, 2020, the previous independent public accounting firm billed the Registrant $0 and $22, respectively, for Non-Audit Fees.
(2) Each Registrant’s investment adviser and any of its affiliates, which are subsidiaries of Voya Financial, Inc.
(h) | Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining EY’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
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 pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a)(3) | Not applicable. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer |
Date: March 4, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer |
Date: March 4, 2022
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: March 4, 2022