UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: December 31
Date of reporting period: January 1, 2022 to June 30, 2022
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):
Voya Investors Trust
■ | VY® | BlackRock Inflation Protected Bond Portfolio Classes ADV, I and S |
Voya Variable Insurance Trust
■ | VY® | BrandywineGLOBAL — Bond Portfolio | |
As permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of each portfolio’s annual and semi-annual shareholder reports, like this semi-annual report, are not sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report. |
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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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.
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.
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2022* | Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2022* | |||||||||||||||||||||||||
VY®BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 893.00 | 1.17 | % | $ | 5.49 | $ | 1,000.00 | $ | 1,018.99 | 1.17 | % | $ | 5.86 | ||||||||||||||||
Class I | 1,000.00 | 896.10 | 0.57 | 2.68 | 1,000.00 | 1,021.97 | 0.57 | 2.86 | ||||||||||||||||||||||||
Class S | 1,000.00 | 895.10 | 0.82 | 3.85 | 1,000.00 | 1,020.73 | 0.82 | 4.11 | ||||||||||||||||||||||||
VY® BrandywineGLOBAL — Bond Portfolio | ||||||||||||||||||||||||||||||||
$ | 1,000.00 | $ | 934.00 | 0.57 | % | $ | 2.73 | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||
ASSETS: | |||||||||||
Investments in securities at fair value* | $ | 282,521,611 | $ | 274,152,164 | |||||||
Short-term investments at fair value† | 11,449,151 | 5,891,436 | |||||||||
Cash collateral for futures contracts | — | 1,858,516 | |||||||||
Cash pledged for centrally cleared swaps (Note 2) | 4,274,000 | — | |||||||||
Foreign currencies at value‡ | 54,554 | — | |||||||||
Receivables: | |||||||||||
Investment securities sold | 2,125,188 | — | |||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 9,978,134 | — | |||||||||
Fund shares sold | 4,648 | 83,860 | |||||||||
Dividends | 3,353 | 5,516 | |||||||||
Interest | 1,219,541 | 1,329,962 | |||||||||
Unrealized appreciation on forward foreign currency contracts | 136,826 | — | |||||||||
Unrealized appreciation on OTC swap agreements | 1,325,687 | — | |||||||||
Prepaid expenses | 3,527 | 3,706 | |||||||||
Other assets | 16,423 | 5,613 | |||||||||
Total assets | 313,112,643 | 283,330,773 | |||||||||
LIABILITIES: | |||||||||||
Payable for investment securities purchased | 4,766,569 | — | |||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 23,806,479 | — | |||||||||
Payable for fund shares redeemed | 734,557 | 84,826 | |||||||||
Sales commitmentsˆˆˆ | 1,170,936 | — | |||||||||
Unrealized depreciation on forward foreign currency contracts | 58,666 | — | |||||||||
Variation margin payable on centrally cleared swaps | 721,402 | — | |||||||||
Variation margin payable on futures contracts | 216,696 | 490,417 | |||||||||
Cash received as collateral for OTC derivatives (Note 2) | 1,470,000 | — | |||||||||
Payable for investment management fees | 114,524 | 125,049 | |||||||||
Payable for distribution and shareholder service fees | 56,940 | — | |||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 16,423 | 5,613 | |||||||||
Payable for trustee fees | 762 | 801 | |||||||||
Other accrued expenses and liabilities | 85,544 | 64,811 | |||||||||
Written options, at fair valueˆ | 685,711 | — | |||||||||
Total liabilities | 33,905,209 | 771,517 | |||||||||
NET ASSETS | $ | 279,207,434 | $ | 282,559,256 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 356,620,496 | $ | 282,842,798 | |||||||
Total distributable loss | (77,413,062 | ) | (283,542 | ) | |||||||
NET ASSETS | $ | 279,207,434 | $ | 282,559,256 | |||||||
* Cost of investments in securities | $ | 305,884,059 | $ | 283,900,871 | |||||||
† Cost of short-term investments | $ | 11,498,247 | $ | 5,891,436 | |||||||
‡ Cost of foreign currencies | $ | 55,322 | $ | — | |||||||
ˆ Premiums received on written options | $ | 705,319 | $ | — | |||||||
ˆˆˆ Proceeds receivable from sales commitments | $ | 1,156,820 | $ | — |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||
Class ADV | ||||||||
Net assets | $ | 48,418,268 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 5,265,716 | n/a | ||||||
Net asset value and redemption price per share | $ | 9.20 | n/a | |||||
Class I | ||||||||
Net assets | $ | 77,934,875 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 8,134,742 | n/a | ||||||
Net asset value and redemption price per share | $ | 9.58 | n/a | |||||
Class S | ||||||||
Net assets | $ | 152,854,291 | n/a | |||||
Shares authorized | unlimited | n/a | ||||||
Par value | $ | 0.001 | n/a | |||||
Shares outstanding | 16,090,227 | n/a | ||||||
Net asset value and redemption price per share | $ | 9.50 | n/a | |||||
Portfolio(1) | ||||||||
Net assets | n/a | $ | 282,559,256 | |||||
Shares authorized | n/a | unlimited | ||||||
Par value | n/a | $ | 0.001 | |||||
Shares outstanding | n/a | 26,964,911 | ||||||
Net asset value and redemption price per share | n/a | $ | 10.48 |
(1) | Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||||
INVESTMENT INCOME: | ||||||||||
Dividends | $ | 9,966 | $ | 12,290 | ||||||
Interest | 7,213,322 | (1) | 2,384,284 | |||||||
Total investment income | 7,223,288 | 2,396,574 | ||||||||
EXPENSES: | ||||||||||
Investment management fees | 805,124 | 794,872 | ||||||||
Distribution and shareholder service fees: | ||||||||||
Class ADV | 155,952 | — | ||||||||
Class S | 204,817 | — | ||||||||
Transfer agent fees: | 858 | |||||||||
Class ADV | 6,847 | — | ||||||||
Class I | 11,376 | — | ||||||||
Class S | 21,581 | — | ||||||||
Shareholder reporting expense | 7,421 | 1,629 | ||||||||
Registration fees | — | 4,449 | ||||||||
Professional fees | 25,159 | 18,530 | ||||||||
Custody and accounting expense | 49,985 | 31,200 | ||||||||
Trustee fees | 3,809 | 4,007 | ||||||||
Miscellaneous expense | 6,994 | 7,442 | ||||||||
Total expenses | 1,299,065 | 862,987 | ||||||||
Recouped/(Waived and reimbursed fees) | (75,556 | ) | 46,992 | |||||||
Net expenses | 1,223,509 | 909,979 | ||||||||
Net investment income | 5,999,779 | 1,486,595 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||
Net realized gain (loss) on: | ||||||||||
Investments | (6,521,382 | ) | (3,565,478 | ) | ||||||
Forward foreign currency contracts | 386,974 | — | ||||||||
Foreign currency related transactions | (251,900 | ) | — | |||||||
Futures | 4,720,346 | (5,132,979 | ) | |||||||
Swaps | 7,637,071 | — | ||||||||
Written options | (940,076 | ) | — | |||||||
Net realized gain (loss) | 5,031,033 | (8,698,457 | ) | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||
Investments | (40,870,747 | ) | (14,709,166 | ) | ||||||
Forward foreign currency contracts | 6,630 | — | ||||||||
Foreign currency related transactions | (10,236 | ) | — | |||||||
Futures | 820,741 | (415,374 | ) | |||||||
Swaps | (4,349,119 | ) | — | |||||||
Written options | (24,861 | ) | — | |||||||
Sales commitments | (14,116 | ) | — | |||||||
Net change in unrealized appreciation (depreciation) | (44,441,708 | ) | (15,124,540 | ) | ||||||
Net realized and unrealized loss | (39,410,675 | ) | (23,822,997 | ) | ||||||
Decrease in net assets resulting from operations | $ | (33,410,896 | ) | $ | (22,336,402 | ) |
(1) | Includes net inflationary and deflationary adjustments. See Note 2 of the Notes to Financial Statements. |
STATEMENTS OF CHANGES IN NET ASSETS
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 5,999,779 | $ | 7,734,657 | $ | 1,486,595 | $ | 2,832,682 | ||||||||
Net realized gain (loss) | 5,031,033 | 9,554,588 | (8,698,457 | ) | 14,721,215 | |||||||||||
Net change in unrealized appreciation (depreciation) | (44,441,708 | ) | (2,516,642 | ) | (15,124,540 | ) | (13,802,164 | ) | ||||||||
Increase (decrease) in net assets resulting from operations | (33,410,896 | ) | 14,772,603 | (22,336,402 | ) | 3,751,733 | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Total distributions (excluding return of capital): | — | (27,082,394 | ) | |||||||||||||
Class ADV | (1,083,645 | ) | (1,140,854 | ) | — | — | ||||||||||
Class I | (1,947,743 | ) | (2,600,461 | ) | — | — | ||||||||||
Class S | (3,587,601 | ) | (4,058,689 | ) | — | — | ||||||||||
Total distributions | (6,618,989 | ) | (7,800,004 | ) | — | (27,082,394 | ) | |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 19,590,541 | 83,578,121 | 58,657,295 | 86,294,017 | ||||||||||||
Reinvestment of distributions | 6,618,989 | 7,796,663 | — | 27,082,394 | ||||||||||||
26,209,530 | 91,374,784 | 58,657,295 | 113,376,411 | |||||||||||||
Cost of shares redeemed | (31,613,349 | ) | (73,208,287 | ) | (97,090,604 | ) | (65,382,155 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (5,403,819 | ) | 18,166,497 | (38,433,309 | ) | 47,994,256 | ||||||||||
Net increase (decrease) in net assets | (45,433,704 | ) | 25,139,096 | (60,769,711 | ) | 24,663,595 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year or period | 324,641,138 | 299,502,042 | 343,328,967 | 318,665,372 | ||||||||||||
End of year or period | $ | 279,207,434 | $ | 324,641,138 | $ | 282,559,256 | $ | 343,328,967 |
Selected data for a share of beneficial interest outstanding throughout each year or period.
Income (loss) from investment operations | Less distributions | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | Total distributions | Payment by affiliate | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/ additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | Expense net of all reductions/ additions(2)(3)(4) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-22+ | 10.51 | 0.18 | • | (1.28 | ) | (1.10 | ) | 0.21 | — | — | 0.21 | — | 9.20 | (10.70 | ) | 1.22 | 1.17 | 1.17 | 3.61 | 48,418 | 112 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-22+ | 10.94 | 0.21 | • | (1.33 | ) | (1.12 | ) | 0.24 | — | — | 0.24 | — | 9.58 | (10.39 | ) | 0.62 | 0.57 | 0.57 | 4.19 | 77,935 | 112 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-22+ | 10.85 | 0.20 | • | (1.33 | ) | (1.13 | ) | 0.22 | — | — | 0.22 | — | 9.50 | (10.49 | ) | 0.87 | 0.82 | 0.82 | 3.97 | 152,854 | 112 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-22+ | 11.22 | 0.05 | • | (0.79 | ) | (0.74 | ) | — | — | — | — | — | 10.48 | (6.60 | ) | 0.54 | 0.57 | 0.57 | 0.94 | 282,559 | 86 | |||||||||||||||||||||||||||||||||||||||||||||||||
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. | |
+ | Unaudited. | |
• | Calculated using average number of shares outstanding throughout the year or period. |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at Market Close. |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 81,509,494 | $ | 63,601,854 | ||||||
Bond Portfolio | 17,840,563 | — |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
Purchases | Sales | ||||||||
---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 32,041,278 | $ | 29,654,754 | |||||
Bond Portfolio | 13,445,164 | 79,077,052 |
Purchases | Sales | ||||||||
---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 309,560,446 | $ | 311,656,607 | |||||
Bond Portfolio | 249,898,955 | 229,254,513 |
Portfolio | Fee | |
---|---|---|
BlackRock Inflation Protected Bond(1) | 0.55% on the first $200 million; 0.50% on the next $800 million; and 0.40% thereafter | |
Bond Portfolio | 0.50% on the first $750 million; and 0.48% thereafter |
(1) | The Investment Adviser has contractually agreed to waive 0.05% 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. |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
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 | 18.43 | % | |||
Voya Solution 2025 Portfolio | Bond Portfolio | 15.61 | ||||
Voya Solution 2035 Portfolio | Bond Portfolio | 7.79 | ||||
Voya Solution Income Portfolio | Bond Portfolio | 11.37 | ||||
Voya Solution Moderately Aggressive Portfolio | Bond Portfolio | 6.84 |
Portfolio | Amount | ||
BlackRock Inflation Protected Bond | $ | 39,154 | |
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% |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTE 9 — CAPITAL SHARES
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
6/30/2022 | 457,275 | — | 111,010 | (714,294 | ) | (146,009 | ) | 4,552,274 | — | 1,083,645 | (7,107,118 | ) | (1,471,199 | ) | ||||||||||||||||||||||||||
12/31/2021 | 1,290,830 | — | 109,761 | (597,143 | ) | 803,448 | 13,417,739 | — | 1,140,854 | (6,152,184 | ) | 8,406,409 | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
6/30/2022 | 423,577 | — | 191,270 | (1,163,504 | ) | (548,657 | ) | 4,373,888 | — | 1,947,743 | (11,987,177 | ) | (5,665,546 | ) | ||||||||||||||||||||||||||
12/31/2021 | 3,024,968 | — | 240,645 | (3,264,739 | ) | 874 | 32,490,424 | — | 2,597,120 | (35,144,233 | ) | (56,689 | ) | |||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
6/30/2022 | 1,029,577 | — | 355,592 | (1,228,438 | ) | 156,731 | 10,664,379 | — | 3,587,601 | (12,519,054 | ) | 1,732,926 | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||
6/30/2022 | 5,368,511 | — | — | (9,005,392 | ) | (3,636,881 | ) | 58,657,295 | — | — | (97,090,604 | ) | (38,433,309 | ) | ||||||||||||||||||||||||||
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 |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTE 11 — FEDERAL INCOME TAXES
The tax composition of dividends and distributions to shareholders was as follows:
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Long-Term Capital Gains | 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 Gains | (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 |
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED)
Type | Per Share Amount | Payable Date | Record Date | |||||
---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | ||||||||
Class ADV | NII | $0.0506 | August 1, 2022 | July 28, 2022 | ||||
Class I | NII | $0.0551 | August 1, 2022 | July 28, 2022 | ||||
Class S | NII | $0.0532 | August 1, 2022 | July 28, 2022 | ||||
Bond Portfolio | NII | $0.1055 | July 14, 2022 | July 12, 2022 | ||||
STCG | $0.3382 | July 14, 2022 | July 12, 2022 | |||||
LTCG | $0.1925 | July 14, 2022 | July 12, 2022 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 28.1% | ||||||||||||
Basic Materials: 0.5% | ||||||||||||
45,000 | Air Products and Chemicals, Inc., 2.800%, 05/15/2050 | $ | 34,053 | 0.0 | ||||||||
484,000 | (1) | Anglo American Capital PLC, 4.500%, 03/15/2028 | 470,417 | 0.2 | ||||||||
246,000 | DuPont de Nemours, Inc., 4.493%, 11/15/2025 | 248,048 | 0.1 | |||||||||
4,000 | Ecolab, Inc., 2.700%, 12/15/2051 | 2,857 | 0.0 | |||||||||
37,000 | Ecolab, Inc., 2.750%, 08/18/2055 | 25,853 | 0.0 | |||||||||
49,000 | (1) | Georgia-Pacific LLC, 0.625%, 05/15/2024 | 46,083 | 0.0 | ||||||||
371,000 | (1) | Glencore Funding LLC, 2.500%, 09/01/2030 | 302,575 | 0.1 | ||||||||
11,000 | (1) | Glencore Funding LLC, 2.625%, 09/23/2031 | 8,876 | 0.0 | ||||||||
15,000 | (1) | Glencore Funding LLC, 3.375%, 09/23/2051 | 10,257 | 0.0 | ||||||||
51,000 | LYB International Finance III LLC, 4.200%, 05/01/2050 | 41,551 | 0.0 | |||||||||
170,000 | Nucor Corp., 4.300%, 05/23/2027 | 169,521 | 0.1 | |||||||||
71,000 | Westlake Corp., 3.375%, 08/15/2061 | 47,962 | 0.0 | |||||||||
1,408,053 | 0.5 | |||||||||||
Communications: 3.0% | ||||||||||||
105,000 | Amazon.com, Inc., 4.100%, 04/13/2062 | 95,212 | 0.0 | |||||||||
33,000 | AT&T, Inc., 1.650%, 02/01/2028 | 28,578 | 0.0 | |||||||||
33,000 | AT&T, Inc., 2.250%, 02/01/2032 | 26,992 | 0.0 | |||||||||
450,000 | AT&T, Inc., 2.550%, 12/01/2033 | 365,575 | 0.1 | |||||||||
32,000 | AT&T, Inc., 3.500%, 06/01/2041 | 25,604 | 0.0 | |||||||||
99,000 | AT&T, Inc., 3.650%, 09/15/2059 | 74,366 | 0.0 | |||||||||
142,000 | AT&T, Inc., 3.800%, 12/01/2057 | 109,997 | 0.0 | |||||||||
85,000 | AT&T, Inc., 3.850%, 06/01/2060 | 65,848 | 0.0 | |||||||||
348,000 | AT&T, Inc., 4.300%, 02/15/2030 | 339,891 | 0.1 | |||||||||
430,000 | AT&T, Inc., 4.350%, 03/01/2029 | 423,674 | 0.2 | |||||||||
28,000 | AT&T, Inc., 4.500%, 05/15/2035 | 26,648 | 0.0 | |||||||||
20,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 13,192 | 0.0 | |||||||||
311,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.950%, 06/30/2062 | 208,371 | 0.1 | |||||||||
175,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.400%, 04/01/2033 | 156,473 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Communications: (continued) | ||||||||||||
728,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.750%, 04/01/2048 | $ | 654,060 | 0.2 | ||||||||
182,000 | Comcast Corp., 2.450%, 08/15/2052 | 121,171 | 0.1 | |||||||||
357,000 | Comcast Corp., 3.400%, 04/01/2030 | 335,286 | 0.1 | |||||||||
395,000 | Comcast Corp., 4.150%, 10/15/2028 | 394,283 | 0.2 | |||||||||
69,000 | Comcast Corp., 4.600%, 10/15/2038 | 67,038 | 0.0 | |||||||||
98,000 | (1) | Cox Communications, Inc., 3.600%, 06/15/2051 | 73,956 | 0.0 | ||||||||
74,000 | eBay, Inc., 1.400%, 05/10/2026 | 66,656 | 0.0 | |||||||||
31,000 | Expedia Group, Inc., 3.250%, 02/15/2030 | 25,883 | 0.0 | |||||||||
155,000 | FactSet Research Systems, Inc., 3.450%, 03/01/2032 | 136,045 | 0.1 | |||||||||
483,000 | Motorola Solutions, Inc., 2.750%, 05/24/2031 | 390,793 | 0.2 | |||||||||
118,000 | Motorola Solutions, Inc., 5.600%, 06/01/2032 | 119,106 | 0.1 | |||||||||
102,000 | Paramount Global, 4.375%, 03/15/2043 | 79,061 | 0.0 | |||||||||
243,000 | (1) | Rogers Communications, Inc., 3.800%, 03/15/2032 | 222,495 | 0.1 | ||||||||
135,000 | (1) | Rogers Communications, Inc., 4.550%, 03/15/2052 | 118,870 | 0.1 | ||||||||
10,000 | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 8,691 | 0.0 | |||||||||
81,000 | (1) | T-Mobile USA, Inc., 3.400%, 10/15/2052 | 59,999 | 0.0 | ||||||||
1,124,000 | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 1,083,235 | 0.4 | |||||||||
7,000 | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 6,539 | 0.0 | |||||||||
121,000 | Verizon Communications, Inc., 1.750%, 01/20/2031 | 97,303 | 0.0 | |||||||||
1,260,000 | Verizon Communications, Inc., 2.100%, 03/22/2028 | 1,120,190 | 0.4 | |||||||||
1,059,000 | Verizon Communications, Inc., 2.355%, 03/15/2032 | 878,967 | 0.3 | |||||||||
386,000 | Verizon Communications, Inc., 2.550%, 03/21/2031 | 330,361 | 0.1 | |||||||||
97,000 | Verizon Communications, Inc., 4.862%, 08/21/2046 | 95,689 | 0.0 | |||||||||
8,446,098 | 3.0 | |||||||||||
Consumer, Cyclical: 1.3% | ||||||||||||
70,000 | American Honda Finance Corp., 2.900%, 02/16/2024 | 69,314 | 0.0 | |||||||||
79,000 | General Motors Financial Co., Inc., 2.750%, 06/20/2025 | 74,234 | 0.0 | |||||||||
2,500,000 | (1) | Hyundai Capital America, 2.650%, 02/10/2025 | 2,387,045 | 0.9 | ||||||||
400,000 | Lowe’s Cos, Inc., 1.700%, 09/15/2028 | 340,877 | 0.1 | |||||||||
35,000 | Lowe’s Cos, Inc., 2.800%, 09/15/2041 | 25,480 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Consumer, Cyclical: (continued) | ||||||||||||
246,000 | (1) | Magallanes, Inc., 3.428%, 03/15/2024 | $ | 241,548 | 0.1 | |||||||
38,000 | Marriott International, Inc./MD, 2.750%, 10/15/2033 | 29,931 | 0.0 | |||||||||
434,000 | (1) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | 385,974 | 0.2 | ||||||||
3,554,403 | 1.3 | |||||||||||
Consumer, Non-cyclical: 2.6% | ||||||||||||
574,000 | AbbVie, Inc., 4.500%, 05/14/2035 | 557,990 | 0.2 | |||||||||
708,000 | Altria Group, Inc., 3.400%, 02/04/2041 | 469,589 | 0.2 | |||||||||
27,000 | Amgen, Inc., 4.200%, 02/22/2052 | 23,732 | 0.0 | |||||||||
84,000 | Amgen, Inc., 4.663%, 06/15/2051 | 78,760 | 0.0 | |||||||||
154,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 147,785 | 0.1 | |||||||||
885,000 | Anheuser-Busch InBev Worldwide, Inc., 4.000%, 04/13/2028 | 874,476 | 0.3 | |||||||||
201,000 | BAT Capital Corp., 4.540%, 08/15/2047 | 147,725 | 0.1 | |||||||||
387,000 | BAT International Finance PLC, 1.668%, 03/25/2026 | 343,101 | 0.1 | |||||||||
74,000 | Biogen, Inc., 3.150%, 05/01/2050 | 50,898 | 0.0 | |||||||||
31,000 | Boston Scientific Corp., 2.650%, 06/01/2030 | 27,080 | 0.0 | |||||||||
51,000 | (1) | Cargill, Inc., 0.400%, 02/02/2024 | 48,641 | 0.0 | ||||||||
299,000 | Cigna Corp., 4.125%, 11/15/2025 | 299,783 | 0.1 | |||||||||
431,000 | CVS Health Corp., 3.875%, 07/20/2025 | 428,920 | 0.2 | |||||||||
177,000 | CVS Health Corp., 4.250%, 04/01/2050 | 152,799 | 0.1 | |||||||||
82,000 | Elevance Health, Inc., 3.600%, 03/15/2051 | 66,728 | 0.0 | |||||||||
33,000 | Equifax, Inc., 2.350%, 09/15/2031 | 26,433 | 0.0 | |||||||||
185,000 | Gilead Sciences, Inc., 2.600%, 10/01/2040 | 135,546 | 0.0 | |||||||||
142,000 | Global Payments, Inc., 2.150%, 01/15/2027 | 126,153 | 0.0 | |||||||||
434,000 | Global Payments, Inc., 2.900%, 05/15/2030 | 366,619 | 0.1 | |||||||||
300,000 | (1) | HCA, Inc., 3.625%, 03/15/2032 | 253,425 | 0.1 | ||||||||
185,000 | (1) | HCA, Inc., 4.625%, 03/15/2052 | 148,290 | 0.1 | ||||||||
986,000 | HCA, Inc., 5.250%, 06/15/2026 | 982,864 | 0.4 | |||||||||
92,000 | Humana, Inc., 1.350%, 02/03/2027 | 80,518 | 0.0 | |||||||||
80,000 | Moody’s Corp., 3.100%, 11/29/2061 | 55,052 | 0.0 | |||||||||
20,000 | Moody’s Corp., 3.750%, 02/25/2052 | 16,367 | 0.0 | |||||||||
104,000 | Philip Morris International, Inc., 1.500%, 05/01/2025 | 97,637 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||
187,000 | Philip Morris International, Inc., 2.625%, 03/06/2023 | $ | 186,355 | 0.1 | ||||||||
144,000 | RELX Capital, Inc., 3.000%, 05/22/2030 | 129,566 | 0.0 | |||||||||
25,000 | RELX Capital, Inc., 4.750%, 05/20/2032 | 25,425 | 0.0 | |||||||||
20,000 | (1) | S&P Global, Inc., 2.450%, 03/01/2027 | 18,735 | 0.0 | ||||||||
4,000 | (1) | S&P Global, Inc., 3.900%, 03/01/2062 | 3,403 | 0.0 | ||||||||
286,000 | Shire Acquisitions Investments Ireland DAC, 3.200%, 09/23/2026 | 274,895 | 0.1 | |||||||||
206,000 | Takeda Pharmaceutical Co. Ltd., 2.050%, 03/31/2030 | 172,500 | 0.1 | |||||||||
284,000 | Thermo Fisher Scientific, Inc., 2.000%, 10/15/2031 | 238,388 | 0.1 | |||||||||
212,000 | UnitedHealth Group, Inc., 2.900%, 05/15/2050 | 159,213 | 0.1 | |||||||||
7,215,391 | 2.6 | |||||||||||
Energy: 2.5% | ||||||||||||
34,000 | BP Capital Markets America, Inc., 3.001%, 03/17/2052 | 24,568 | 0.0 | |||||||||
254,000 | (1) | Cameron LNG LLC, 3.302%, 01/15/2035 | 217,684 | 0.1 | ||||||||
9,000 | (1) | Cameron LNG LLC, 3.402%, 01/15/2038 | 7,671 | 0.0 | ||||||||
44,000 | Cenovus Energy, Inc./CA, 3.750%, 02/15/2052 | 33,489 | 0.0 | |||||||||
45,000 | Cheniere Corpus Christi Holdings LLC, 2.742%, 12/31/2039 | 35,594 | 0.0 | |||||||||
270,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 247,237 | 0.1 | |||||||||
449,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 06/30/2027 | 451,033 | 0.2 | |||||||||
345,000 | Cheniere Corpus Christi Holdings LLC, 7.000%, 06/30/2024 | 357,769 | 0.1 | |||||||||
10,000 | Devon Energy Corp., 4.500%, 01/15/2030 | 9,456 | 0.0 | |||||||||
94,000 | Devon Energy Corp., 4.750%, 05/15/2042 | 85,393 | 0.0 | |||||||||
46,000 | Devon Energy Corp., 5.000%, 06/15/2045 | 42,760 | 0.0 | |||||||||
2,000 | Devon Energy Corp., 5.875%, 06/15/2028 | 2,043 | 0.0 | |||||||||
60,000 | Devon Energy Corp., 8.250%, 08/01/2023 | 62,387 | 0.0 | |||||||||
215,000 | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 187,491 | 0.1 | |||||||||
234,000 | Diamondback Energy, Inc., 3.250%, 12/01/2026 | 228,482 | 0.1 | |||||||||
911,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 835,299 | 0.3 | |||||||||
96,000 | Diamondback Energy, Inc., 4.250%, 03/15/2052 | 79,839 | 0.0 | |||||||||
148,000 | Diamondback Energy, Inc., 4.400%, 03/24/2051 | 126,365 | 0.1 | |||||||||
44,000 | Energy Transfer L.P., 3.600%, 02/01/2023 | 43,885 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Energy: (continued) | ||||||||||||
17,000 | Energy Transfer L.P., 3.900%, 05/15/2024 | $ | 16,880 | 0.0 | ||||||||
105,000 | Energy Transfer L.P., 4.000%, 10/01/2027 | 99,471 | 0.0 | |||||||||
177,000 | Energy Transfer L.P., 4.500%, 04/15/2024 | 177,199 | 0.1 | |||||||||
420,000 | Energy Transfer L.P., 4.950%, 06/15/2028 | 414,287 | 0.2 | |||||||||
126,000 | Energy Transfer L.P., 5.000%, 05/15/2050 | 107,412 | 0.0 | |||||||||
772,000 | Energy Transfer L.P., 5.500%, 06/01/2027 | 784,269 | 0.3 | |||||||||
125,000 | Energy Transfer L.P., 6.250%, 04/15/2049 | 121,432 | 0.0 | |||||||||
175,000 | Enterprise Products Operating LLC, 3.300%, 02/15/2053 | 127,569 | 0.1 | |||||||||
82,000 | Kinder Morgan, Inc., 3.600%, 02/15/2051 | 60,546 | 0.0 | |||||||||
96,000 | (1) | NGPL PipeCo LLC, 3.250%, 07/15/2031 | 80,090 | 0.0 | ||||||||
797,000 | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 767,323 | 0.3 | |||||||||
196,000 | Sabine Pass Liquefaction LLC, 5.875%, 06/30/2026 | 202,852 | 0.1 | |||||||||
152,000 | (1) | Schlumberger Finance Canada Ltd., 2.650%, 11/20/2022 | 151,862 | 0.1 | ||||||||
85,000 | Targa Resources Corp., 4.950%, 04/15/2052 | 73,028 | 0.0 | |||||||||
438,000 | (1) | Texas Eastern Transmission L.P., 3.500%, 01/15/2028 | 413,639 | 0.2 | ||||||||
110,000 | Texas Eastern Transmission L.P., 7.000%, 07/15/2032 | 125,129 | 0.0 | |||||||||
78,000 | Transcontinental Gas Pipe Line Co. LLC, 7.850%, 02/01/2026 | 86,232 | 0.0 | |||||||||
6,887,665 | 2.5 | |||||||||||
Financial: 12.3% | ||||||||||||
72,000 | (1) | AIG Global Funding, 0.450%, 12/08/2023 | 68,819 | 0.0 | ||||||||
49,000 | Air Lease Corp., 2.875%, 01/15/2026 | 45,057 | 0.0 | |||||||||
72,000 | Alexandria Real Estate Equities, Inc., 2.950%, 03/15/2034 | 60,015 | 0.0 | |||||||||
207,000 | American Express Co., 2.550%, 03/04/2027 | 193,039 | 0.1 | |||||||||
142,000 | American International Group, Inc., 4.375%, 06/30/2050 | 126,231 | 0.0 | |||||||||
10,000 | American Tower Corp., 2.100%, 06/15/2030 | 8,018 | 0.0 | |||||||||
183,000 | American Tower Corp., 2.700%, 04/15/2031 | 150,796 | 0.1 | |||||||||
593,000 | American Tower Corp., 3.800%, 08/15/2029 | 544,863 | 0.2 | |||||||||
148,000 | Aon Corp., 2.800%, 05/15/2030 | 129,518 | 0.0 | |||||||||
33,000 | Aon Corp. / Aon Global Holdings PLC, 3.900%, 02/28/2052 | 27,067 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Financial: (continued) | ||||||||||||
317,000 | Ares Capital Corp., 2.150%, 07/15/2026 | $ | 266,080 | 0.1 | ||||||||
1,000,000 | (2) | Banco Santander SA, 0.701%, 06/30/2024 | 963,800 | 0.3 | ||||||||
484,000 | (2) | Bank of America Corp., 0.523%, 06/14/2024 | 466,730 | 0.2 | ||||||||
1,741,000 | (2) | Bank of America Corp., 1.319%, 06/19/2026 | 1,584,912 | 0.6 | ||||||||
1,376,000 | (2) | Bank of America Corp., 1.734%, 07/22/2027 | 1,225,486 | 0.4 | ||||||||
25,000 | (2) | Bank of America Corp., 1.898%, 07/23/2031 | 20,003 | 0.0 | ||||||||
376,000 | (2) | Bank of America Corp., 2.015%, 02/13/2026 | 352,866 | 0.1 | ||||||||
838,000 | (2) | Bank of America Corp., 2.299%, 07/21/2032 | 678,026 | 0.2 | ||||||||
1,089,000 | (2) | Bank of America Corp., 2.551%, 02/04/2028 | 991,241 | 0.4 | ||||||||
193,000 | (2) | Bank of America Corp., 2.572%, 10/20/2032 | 159,389 | 0.1 | ||||||||
66,000 | (2) | Bank of America Corp., 2.687%, 04/22/2032 | 55,467 | 0.0 | ||||||||
467,000 | (2) | Bank of America Corp., 2.972%, 02/04/2033 | 398,276 | 0.1 | ||||||||
130,000 | (2) | Bank of America Corp., 3.004%, 12/20/2023 | 129,606 | 0.0 | ||||||||
57,000 | (2) | Bank of America Corp., 3.384%, 04/02/2026 | 55,326 | 0.0 | ||||||||
199,000 | (2) | Bank of America Corp., 3.559%, 04/23/2027 | 190,861 | 0.1 | ||||||||
55,000 | (2) | Bank of America Corp., 3.705%, 04/24/2028 | 52,482 | 0.0 | ||||||||
290,000 | (2) | Bank of America Corp., 3.864%, 07/23/2024 | 288,893 | 0.1 | ||||||||
368,000 | Bank of America Corp., 3.950%, 04/21/2025 | 363,443 | 0.1 | |||||||||
303,000 | (2) | Bank of America Corp., 4.376%, 04/27/2028 | 298,570 | 0.1 | ||||||||
325,000 | (2) | Bank of America Corp., 4.571%, 04/27/2033 | 316,676 | 0.1 | ||||||||
200,000 | (2) | Barclays PLC, 3.811%, 03/10/2042 | 151,956 | 0.1 | ||||||||
342,000 | (2) | Barclays PLC, 4.338%, 05/16/2024 | 341,975 | 0.1 | ||||||||
34,000 | Berkshire Hathaway Finance Corp., 3.850%, 03/15/2052 | 29,169 | 0.0 | |||||||||
194,000 | (1) | Blackstone Private Credit Fund, 3.250%, 03/15/2027 | 164,749 | 0.1 | ||||||||
147,000 | (1) | Blackstone Private Credit Fund, 4.000%, 01/15/2029 | 120,604 | 0.0 | ||||||||
184,000 | (2) | Capital One Financial Corp., 3.273%, 03/01/2030 | 162,996 | 0.1 | ||||||||
135,000 | (2) | Capital One Financial Corp., 5.268%, 05/10/2033 | 132,726 | 0.1 | ||||||||
80,000 | (2) | Citigroup, Inc., 0.776%, 10/30/2024 | 76,318 | 0.0 | ||||||||
480,000 | (2) | Citigroup, Inc., 2.014%, 01/25/2026 | 450,225 | 0.2 | ||||||||
9,000 | (2) | Citigroup, Inc., 2.520%, 11/03/2032 | 7,312 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Financial: (continued) | ||||||||||||
689,000 | (2) | Citigroup, Inc., 2.561%, 05/01/2032 | $ | 567,987 | 0.2 | |||||||
302,000 | (2) | Citigroup, Inc., 2.666%, 01/29/2031 | 256,696 | 0.1 | ||||||||
31,000 | (2) | Citigroup, Inc., 2.976%, 11/05/2030 | 27,083 | 0.0 | ||||||||
80,000 | (2) | Citigroup, Inc., 3.057%, 01/25/2033 | 67,887 | 0.0 | ||||||||
574,000 | (2) | Citigroup, Inc., 3.070%, 02/24/2028 | 532,879 | 0.2 | ||||||||
800,000 | (2) | Citigroup, Inc., 3.290%, 03/17/2026 | 774,388 | 0.3 | ||||||||
29,000 | (2) | Citigroup, Inc., 3.980%, 03/20/2030 | 27,147 | 0.0 | ||||||||
45,000 | (2) | Citigroup, Inc., 4.910%, 05/24/2033 | 44,454 | 0.0 | ||||||||
500,000 | Credit Suisse AG/New York NY, 1.250%, 08/07/2026 | 437,425 | 0.2 | |||||||||
53,000 | Crown Castle International Corp., 1.350%, 07/15/2025 | 48,501 | 0.0 | |||||||||
178,000 | Crown Castle International Corp., 2.250%, 01/15/2031 | 144,555 | 0.1 | |||||||||
55,000 | Crown Castle International Corp., 2.900%, 03/15/2027 | 50,767 | 0.0 | |||||||||
27,000 | Crown Castle International Corp., 3.150%, 07/15/2023 | 26,718 | 0.0 | |||||||||
118,000 | Crown Castle International Corp., 3.700%, 06/15/2026 | 114,002 | 0.0 | |||||||||
545,000 | Crown Castle International Corp., 3.800%, 02/15/2028 | 514,719 | 0.2 | |||||||||
200,000 | (1),(2) | Danske Bank A/S, 1.171%, 12/08/2023 | 197,379 | 0.1 | ||||||||
150,000 | Deutsche Bank AG/New York NY, 1.686%, 03/19/2026 | 134,698 | 0.1 | |||||||||
150,000 | (2) | Deutsche Bank AG/New York NY, 2.129%, 11/24/2026 | 133,412 | 0.1 | ||||||||
435,000 | Equinix, Inc., 3.200%, 11/18/2029 | 386,848 | 0.1 | |||||||||
477,000 | GLP Capital L.P. / GLP Financing II, Inc., 3.250%, 01/15/2032 | 383,253 | 0.1 | |||||||||
30,000 | GLP Capital L.P. / GLP Financing II, Inc., 4.000%, 01/15/2031 | 25,922 | 0.0 | |||||||||
141,000 | (2) | Goldman Sachs Group, Inc./The, 1.757%, 01/24/2025 | 135,652 | 0.1 | ||||||||
32,000 | (2) | Goldman Sachs Group, Inc./The, 2.615%, 04/22/2032 | 26,600 | 0.0 | ||||||||
724,000 | (2) | Goldman Sachs Group, Inc./The, 2.640%, 02/24/2028 | 657,617 | 0.2 | ||||||||
1,000,000 | (2) | Goldman Sachs Group, Inc./The, 2.905%, 07/24/2023 | 999,726 | 0.4 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Financial: (continued) | ||||||||||||
472,000 | Goldman Sachs Group, Inc./The, 3.000%, 03/15/2024 | $ | 466,126 | 0.2 | ||||||||
439,000 | (2) | Goldman Sachs Group, Inc./The, 3.102%, 02/24/2033 | 375,365 | 0.1 | ||||||||
1,794,000 | Goldman Sachs Group, Inc./The, 3.500%, 04/01/2025 | 1,760,919 | 0.6 | |||||||||
578,000 | (2) | Goldman Sachs Group, Inc./The, 3.615%, 03/15/2028 | 547,458 | 0.2 | ||||||||
100,000 | Goldman Sachs Group, Inc./The, 3.750%, 02/25/2026 | 98,193 | 0.0 | |||||||||
200,000 | (2) | HSBC Holdings PLC, 2.251%, 11/22/2027 | 178,346 | 0.1 | ||||||||
200,000 | (2) | HSBC Holdings PLC, 2.999%, 03/10/2026 | 190,610 | 0.1 | ||||||||
123,000 | Intercontinental Exchange, Inc., 2.100%, 06/15/2030 | 103,284 | 0.0 | |||||||||
41,000 | Invitation Homes Operating Partnership L.P., 2.300%, 11/15/2028 | 34,523 | 0.0 | |||||||||
149,000 | Invitation Homes Operating Partnership L.P., 4.150%, 04/15/2032 | 135,438 | 0.1 | |||||||||
387,000 | (2) | JPMorgan Chase & Co., 1.578%, 04/22/2027 | 345,034 | 0.1 | ||||||||
40,000 | (2) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 32,007 | 0.0 | ||||||||
2,623,000 | (2) | JPMorgan Chase & Co., 2.005%, 03/13/2026 | 2,459,481 | 0.9 | ||||||||
200,000 | (2) | JPMorgan Chase & Co., 2.083%, 04/22/2026 | 187,266 | 0.1 | ||||||||
107,000 | (2) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 90,123 | 0.0 | ||||||||
680,000 | (2) | JPMorgan Chase & Co., 2.947%, 02/24/2028 | 630,550 | 0.2 | ||||||||
240,000 | (2) | JPMorgan Chase & Co., 2.963%, 01/25/2033 | 206,192 | 0.1 | ||||||||
31,000 | (2) | JPMorgan Chase & Co., 3.220%, 03/01/2025 | 30,468 | 0.0 | ||||||||
495,000 | (2) | JPMorgan Chase & Co., 3.559%, 04/23/2024 | 493,691 | 0.2 | ||||||||
250,000 | (2) | JPMorgan Chase & Co., 4.080%, 04/26/2026 | 247,227 | 0.1 | ||||||||
25,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 24,443 | 0.0 | ||||||||
200,000 | Lloyds Banking Group PLC, 4.375%, 03/22/2028 | 194,523 | 0.1 | |||||||||
105,000 | Marsh & McLennan Cos, Inc., 2.250%, 11/15/2030 | 88,707 | 0.0 | |||||||||
225,000 | (2) | Mitsubishi UFJ Financial Group, Inc., 1.538%, 07/20/2027 | 199,143 | 0.1 | ||||||||
30,000 | Mitsubishi UFJ Financial Group, Inc., 3.407%, 03/07/2024 | 29,790 | 0.0 | |||||||||
567,000 | (2) | Mizuho Financial Group, Inc., 2.260%, 07/09/2032 | 453,278 | 0.2 | ||||||||
690,000 | (2) | Morgan Stanley, 0.790%, 05/30/2025 | 642,924 | 0.2 | ||||||||
1,755,000 | (2) | Morgan Stanley, 1.512%, 07/20/2027 | 1,542,338 | 0.6 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Financial: (continued) | ||||||||||||
24,000 | (2) | Morgan Stanley, 1.593%, 05/04/2027 | $ | 21,346 | 0.0 | |||||||
165,000 | (2) | Morgan Stanley, 1.794%, 02/13/2032 | 129,951 | 0.1 | ||||||||
112,000 | (2) | Morgan Stanley, 1.928%, 04/28/2032 | 88,928 | 0.0 | ||||||||
148,000 | (2) | Morgan Stanley, 2.239%, 07/21/2032 | 120,053 | 0.0 | ||||||||
196,000 | (2) | Morgan Stanley, 2.511%, 10/20/2032 | 162,179 | 0.1 | ||||||||
400,000 | (2) | Morgan Stanley, 2.943%, 01/21/2033 | 343,236 | 0.1 | ||||||||
72,000 | (2) | Morgan Stanley, 3.772%, 01/24/2029 | 68,383 | 0.0 | ||||||||
167,000 | Morgan Stanley, 4.000%, 07/23/2025 | 167,101 | 0.1 | |||||||||
1,029,000 | (2) | Morgan Stanley, 4.431%, 01/23/2030 | 1,000,833 | 0.4 | ||||||||
188,000 | National Retail Properties, Inc., 3.000%, 04/15/2052 | 128,538 | 0.0 | |||||||||
204,000 | Nomura Holdings, Inc., 2.608%, 07/14/2031 | 162,916 | 0.1 | |||||||||
85,000 | (1) | Principal Life Global Funding II, 0.750%, 04/12/2024 | 80,441 | 0.0 | ||||||||
261,000 | Sumitomo Mitsui Financial Group, Inc., 1.902%, 09/17/2028 | 221,462 | 0.1 | |||||||||
310,000 | (1),(2) | UBS Group AG, 1.494%, 08/10/2027 | 271,493 | 0.1 | ||||||||
45,000 | VICI Properties L.P., 4.375%, 05/15/2025 | 44,022 | 0.0 | |||||||||
125,000 | VICI Properties L.P., 4.750%, 02/15/2028 | 119,539 | 0.0 | |||||||||
160,000 | VICI Properties L.P., 4.950%, 02/15/2030 | 151,925 | 0.1 | |||||||||
59,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 3.750%, 02/15/2027 | 52,015 | 0.0 | ||||||||
112,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.250%, 12/01/2026 | 102,525 | 0.0 | ||||||||
24,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.500%, 09/01/2026 | 22,123 | 0.0 | ||||||||
32,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.625%, 06/15/2025 | 30,495 | 0.0 | ||||||||
31,000 | (2) | Wells Fargo & Co., 2.393%, 06/02/2028 | 27,786 | 0.0 | ||||||||
104,000 | Wells Fargo & Co., 3.000%, 10/23/2026 | 98,200 | 0.0 | |||||||||
169,000 | (2) | Wells Fargo & Co., 3.584%, 05/22/2028 | 160,466 | 0.1 | ||||||||
195,000 | (2) | Wells Fargo & Co., 3.908%, 04/25/2026 | 192,025 | 0.1 | ||||||||
52,000 | Wells Fargo & Co., 4.150%, 01/24/2029 | 50,324 | 0.0 | |||||||||
80,000 | (2) | Wells Fargo & Co., 4.611%, 04/25/2053 | 74,166 | 0.0 | ||||||||
34,445,819 | 12.3 | |||||||||||
Industrial: 1.5% | ||||||||||||
150,000 | Agilent Technologies, Inc., 2.300%, 03/12/2031 | 122,356 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Industrial: (continued) | ||||||||||||
270,000 | Amcor Flexibles North America, Inc., 2.690%, 05/25/2031 | $ | 220,587 | 0.1 | ||||||||
20,000 | Burlington Northern Santa Fe LLC, 2.875%, 06/15/2052 | 14,979 | 0.0 | |||||||||
209,000 | Burlington Northern Santa Fe LLC, 3.300%, 09/15/2051 | 168,104 | 0.1 | |||||||||
40,000 | Burlington Northern Santa Fe LLC, 4.450%, 01/15/2053 | 38,764 | 0.0 | |||||||||
184,000 | CSX Corp., 2.500%, 05/15/2051 | 124,207 | 0.1 | |||||||||
45,000 | CSX Corp., 3.250%, 06/01/2027 | 43,219 | 0.0 | |||||||||
260,000 | GE Capital Funding LLC, 4.550%, 05/15/2032 | 251,111 | 0.1 | |||||||||
122,000 | General Dynamics Corp., 3.750%, 05/15/2028 | 119,835 | 0.0 | |||||||||
379,000 | Huntington Ingalls Industries, Inc., 2.043%, 08/16/2028 | 323,943 | 0.1 | |||||||||
10,000 | Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | 9,360 | 0.0 | |||||||||
54,000 | L3Harris Technologies, Inc., 3.850%, 12/15/2026 | 52,961 | 0.0 | |||||||||
241,000 | Lockheed Martin Corp., 2.800%, 06/15/2050 | 179,816 | 0.1 | |||||||||
10,000 | Lockheed Martin Corp., 3.900%, 06/15/2032 | 9,879 | 0.0 | |||||||||
36,000 | Norfolk Southern Corp., 3.000%, 03/15/2032 | 32,497 | 0.0 | |||||||||
163,000 | Norfolk Southern Corp., 3.050%, 05/15/2050 | 119,774 | 0.0 | |||||||||
50,000 | Norfolk Southern Corp., 4.550%, 06/01/2053 | 47,377 | 0.0 | |||||||||
234,000 | Northrop Grumman Corp., 2.930%, 01/15/2025 | 229,127 | 0.1 | |||||||||
230,000 | Northrop Grumman Corp., 5.250%, 05/01/2050 | 244,118 | 0.1 | |||||||||
59,000 | nVent Finance Sarl, 2.750%, 11/15/2031 | 48,024 | 0.0 | |||||||||
32,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.700%, 06/15/2026 | 28,565 | 0.0 | ||||||||
62,000 | Raytheon Technologies Corp., 2.375%, 03/15/2032 | 52,537 | 0.0 | |||||||||
34,000 | Raytheon Technologies Corp., 2.820%, 09/01/2051 | 24,408 | 0.0 | |||||||||
242,000 | Raytheon Technologies Corp., 3.125%, 07/01/2050 | 185,656 | 0.1 | |||||||||
833,000 | Raytheon Technologies Corp., 4.125%, 11/16/2028 | 822,899 | 0.3 | |||||||||
18,000 | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 17,197 | 0.0 | |||||||||
26,000 | Raytheon Technologies Corp., 4.625%, 11/16/2048 | 25,442 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Industrial: (continued) | ||||||||||||
55,000 | Republic Services, Inc., 2.375%, 03/15/2033 | $ | 45,009 | 0.0 | ||||||||
143,000 | Textron, Inc., 3.900%, 09/17/2029 | 134,723 | 0.1 | |||||||||
40,000 | Union Pacific Corp., 2.800%, 02/14/2032 | 35,648 | 0.0 | |||||||||
143,000 | Union Pacific Corp., 3.200%, 05/20/2041 | 116,912 | 0.0 | |||||||||
202,000 | Union Pacific Corp., 3.250%, 02/05/2050 | 158,853 | 0.1 | |||||||||
4,047,887 | 1.5 | |||||||||||
Technology: 2.4% | ||||||||||||
121,000 | Analog Devices, Inc., 3.500%, 12/05/2026 | 119,331 | 0.0 | |||||||||
186,000 | Autodesk, Inc., 2.400%, 12/15/2031 | 152,011 | 0.1 | |||||||||
528,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.500%, 01/15/2028 | 489,228 | 0.2 | |||||||||
221,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 01/15/2027 | 212,842 | 0.1 | |||||||||
348,000 | (1) | Broadcom, Inc., 3.419%, 04/15/2033 | 288,151 | 0.1 | ||||||||
157,000 | (1) | Broadcom, Inc., 3.469%, 04/15/2034 | 127,986 | 0.1 | ||||||||
5,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 4,586 | 0.0 | |||||||||
25,000 | (1) | Broadcom, Inc., 4.150%, 04/15/2032 | 22,599 | 0.0 | ||||||||
4,000 | (1) | Broadcom, Inc., 4.926%, 05/15/2037 | 3,592 | 0.0 | ||||||||
15,000 | Dell International LLC / EMC Corp., 8.350%, 07/15/2046 | 18,718 | 0.0 | |||||||||
33,000 | DXC Technology Co., 2.375%, 09/15/2028 | 28,429 | 0.0 | |||||||||
265,000 | Electronic Arts, Inc., 1.850%, 02/15/2031 | 215,583 | 0.1 | |||||||||
246,000 | Equinix, Inc., 3.900%, 04/15/2032 | 222,776 | 0.1 | |||||||||
143,000 | Fidelity National Information Services, Inc., 3.100%, 03/01/2041 | 104,588 | 0.0 | |||||||||
195,000 | Fiserv, Inc., 3.500%, 07/01/2029 | 178,042 | 0.1 | |||||||||
142,000 | Intel Corp., 3.200%, 08/12/2061 | 104,086 | 0.0 | |||||||||
169,000 | International Business Machines Corp., 4.150%, 05/15/2039 | 152,770 | 0.1 | |||||||||
76,000 | KLA Corp., 3.300%, 03/01/2050 | 60,354 | 0.0 | |||||||||
85,000 | KLA Corp., 5.250%, 07/15/2062 | 87,755 | 0.0 | |||||||||
33,000 | Lam Research Corp., 2.875%, 06/15/2050 | 24,277 | 0.0 | |||||||||
341,000 | Leidos, Inc., 2.300%, 02/15/2031 | 272,002 | 0.1 | |||||||||
122,000 | NXP BV / NXP Funding LLC / NXP USA, Inc., 2.500%, 05/11/2031 | 100,421 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Technology: (continued) | ||||||||||||
133,000 | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.150%, 05/01/2027 | $ | 123,390 | 0.0 | ||||||||
617,000 | NXP BV / NXP Funding LLC / NXP USA, Inc., 4.300%, 06/18/2029 | 589,234 | 0.2 | |||||||||
1,322,000 | Oracle Corp., 1.650%, 03/25/2026 | 1,186,435 | 0.4 | |||||||||
31,000 | Oracle Corp., 3.600%, 04/01/2040 | 23,215 | 0.0 | |||||||||
55,000 | Oracle Corp., 3.600%, 04/01/2050 | 38,308 | 0.0 | |||||||||
1,208,000 | Oracle Corp., 3.650%, 03/25/2041 | 902,060 | 0.3 | |||||||||
80,000 | QUALCOMM, Inc., 3.250%, 05/20/2050 | 65,493 | 0.0 | |||||||||
74,000 | Salesforce, Inc., 3.050%, 07/15/2061 | 54,273 | 0.0 | |||||||||
219,000 | ServiceNow, Inc., 1.400%, 09/01/2030 | 171,586 | 0.1 | |||||||||
200,000 | TSMC Arizona Corp., 4.250%, 04/22/2032 | 197,473 | 0.1 | |||||||||
212,000 | VMware, Inc., 1.800%, 08/15/2028 | 176,271 | 0.1 | |||||||||
114,000 | VMware, Inc., 2.200%, 08/15/2031 | 89,886 | 0.0 | |||||||||
194,000 | Western Digital Corp., 2.850%, 02/01/2029 | 158,261 | 0.1 | |||||||||
6,766,012 | 2.4 | |||||||||||
Utilities: 2.0% | ||||||||||||
41,000 | AEP Texas, Inc., 3.450%, 05/15/2051 | 31,540 | 0.0 | |||||||||
467,000 | AEP Transmission Co. LLC, 2.750%, 08/15/2051 | 328,362 | 0.1 | |||||||||
308,000 | Alabama Power Co., 3.125%, 07/15/2051 | 231,191 | 0.1 | |||||||||
32,000 | Ameren Illinois Co., 2.900%, 06/15/2051 | 23,556 | 0.0 | |||||||||
94,000 | (1) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | 79,722 | 0.0 | ||||||||
67,000 | Atmos Energy Corp., 2.850%, 02/15/2052 | 48,023 | 0.0 | |||||||||
25,000 | Baltimore Gas and Electric Co., 4.550%, 06/01/2052 | 24,276 | 0.0 | |||||||||
35,000 | CenterPoint Energy Houston Electric LLC, 3.350%, 04/01/2051 | 28,516 | 0.0 | |||||||||
87,000 | CenterPoint Energy Houston Electric LLC, 3.600%, 03/01/2052 | 74,762 | 0.0 | |||||||||
79,000 | CenterPoint Energy Resources Corp., 1.750%, 10/01/2030 | 64,243 | 0.0 | |||||||||
77,000 | Commonwealth Edison Co., 2.750%, 09/01/2051 | 54,991 | 0.0 | |||||||||
39,000 | Commonwealth Edison Co., 3.850%, 03/15/2052 | 34,452 | 0.0 | |||||||||
199,000 | Consumers Energy Co., 2.650%, 08/15/2052 | 140,018 | 0.1 | |||||||||
90,000 | DTE Electric Co., 3.650%, 03/01/2052 | 77,905 | 0.0 | |||||||||
42,000 | DTE Electric Co., 3.950%, 03/01/2049 | 37,780 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||
Utilities: (continued) | ||||||||||||
71,000 | Duke Energy Carolinas LLC, 3.450%, 04/15/2051 | $ | 57,943 | 0.0 | ||||||||
34,000 | Duke Energy Carolinas LLC, 3.550%, 03/15/2052 | 28,335 | 0.0 | |||||||||
137,000 | Duke Energy Florida LLC, 1.750%, 06/15/2030 | 113,774 | 0.1 | |||||||||
68,000 | Duke Energy Florida LLC, 3.000%, 12/15/2051 | 50,903 | 0.0 | |||||||||
262,000 | Duke Energy Florida LLC, 3.800%, 07/15/2028 | 256,272 | 0.1 | |||||||||
262,000 | Duke Energy Progress LLC, 2.900%, 08/15/2051 | 193,625 | 0.1 | |||||||||
185,000 | Entergy Louisiana LLC, 2.350%, 06/15/2032 | 154,839 | 0.1 | |||||||||
103,000 | (1) | Exelon Corp., 2.750%, 03/15/2027 | 96,371 | 0.0 | ||||||||
35,000 | (1) | Exelon Corp., 4.100%, 03/15/2052 | 30,261 | 0.0 | ||||||||
32,000 | Exelon Corp., 4.700%, 04/15/2050 | 30,064 | 0.0 | |||||||||
2,089,000 | Florida Power & Light Co., 1.434%, (SOFRRATE + 0.250%), 05/10/2023 | 2,072,336 | 0.8 | |||||||||
118,000 | Florida Power & Light Co., 2.875%, 12/04/2051 | 88,003 | 0.0 | |||||||||
30,000 | Florida Power & Light Co., 3.950%, 03/01/2048 | 27,537 | 0.0 | |||||||||
241,000 | MidAmerican Energy Co., 2.700%, 08/01/2052 | 173,744 | 0.1 | |||||||||
53,000 | Northern States Power Co/MN, 2.600%, 06/01/2051 | 37,438 | 0.0 | |||||||||
213,000 | (1) | NRG Energy, Inc., 4.450%, 06/15/2029 | 190,987 | 0.1 | ||||||||
150,000 | Ohio Power Co., 2.900%, 10/01/2051 | 107,569 | 0.1 | |||||||||
47,000 | Oncor Electric Delivery Co. LLC, 3.100%, 09/15/2049 | 36,459 | 0.0 | |||||||||
75,000 | (1) | Oncor Electric Delivery Co. LLC, 4.150%, 06/01/2032 | 75,219 | 0.0 | ||||||||
8,000 | Pacific Gas and Electric Co., 2.500%, 02/01/2031 | 6,127 | 0.0 | |||||||||
43,000 | Pacific Gas and Electric Co., 3.250%, 06/01/2031 | 34,775 | 0.0 | |||||||||
78,000 | Pacific Gas and Electric Co., 4.950%, 07/01/2050 | 62,386 | 0.0 | |||||||||
238,000 | PECO Energy Co., 2.850%, 09/15/2051 | 175,125 | 0.1 | |||||||||
200,000 | Southern California Edison Co., 1.200%, 02/01/2026 | 179,169 | 0.1 | |||||||||
31,000 | Southwestern Public Service Co., 3.150%, 05/01/2050 | 23,732 | 0.0 | |||||||||
27,000 | Tampa Electric Co., 4.300%, 06/15/2048 | 24,644 | 0.0 | |||||||||
149,000 | Virginia Electric and Power Co., 2.450%, 12/15/2050 | 100,424 | 0.0 | |||||||||
5,707,398 | 2.0 | |||||||||||
Total Corporate Bonds/Notes (Cost $89,100,214) | 78,478,726 | 28.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.7% | ||||||||||||
937,973 | (1),(2) | J.P. Morgan Mortgage Trust 2022-INV3 A3B, 3.000%, 09/25/2052 | $ | 833,880 | 0.3 | |||||||
1,085,988 | (1),(2) | Mello Mortgage Capital Acceptance 2022-INV2 A3, 3.000%, 04/25/2052 | 964,790 | 0.4 | ||||||||
Total Collateralized Mortgage Obligations (Cost $1,926,863) | 1,798,670 | 0.7 | ||||||||||
U.S. TREASURY OBLIGATIONS: 47.9% | ||||||||||||
Treasury Inflation Indexed Protected Securities: 47.9% | ||||||||||||
1,381,645 | 0.125%,10/15/2025 | 1,381,019 | 0.5 | |||||||||
682,416 | 0.125%,10/15/2026 | 676,486 | 0.2 | |||||||||
12,143,023 | 0.125%,04/15/2027 | 11,961,361 | 4.3 | |||||||||
4,803,818 | 0.125%,01/15/2030 | 4,588,637 | 1.6 | |||||||||
5,779,001 | 0.125%,07/15/2030 | 5,515,517 | 2.0 | |||||||||
8,773,819 | 0.125%,01/15/2031 | 8,352,251 | 3.0 | |||||||||
4,244,606 | 0.125%,07/15/2031 | 4,039,366 | 1.4 | |||||||||
4,573,336 | 0.125%,01/15/2032 | 4,345,114 | 1.6 | |||||||||
1,587,958 | 0.125%,02/15/2051 | 1,225,774 | 0.4 | |||||||||
1,853,830 | 0.125%,02/15/2052 | 1,442,521 | 0.5 | |||||||||
7,798,656 | 0.250%,07/15/2029 | 7,567,066 | 2.7 | |||||||||
3,502,880 | 0.250%,02/15/2050 | 2,771,447 | 1.0 | |||||||||
1,371,521 | 0.375%,07/15/2025 | 1,385,673 | 0.5 | |||||||||
1,961,921 | 0.375%,07/15/2027 | 1,955,768 | 0.7 | |||||||||
9,496,463 | (7) | 0.500%,01/15/2028 | 9,436,691 | 3.4 | ||||||||
54,753 | 0.625%,01/15/2026 | 55,385 | 0.0 | |||||||||
3,470,645 | 0.625%,02/15/2043 | 3,072,120 | 1.1 | |||||||||
9,087,308 | 0.750%,07/15/2028 | 9,157,668 | 3.3 | |||||||||
4,752,847 | 0.750%,02/15/2042 | 4,350,043 | 1.6 | |||||||||
5,322,253 | (7) | 0.750%,02/15/2045 | 4,774,704 | 1.7 | ||||||||
7,770,797 | 0.875%,01/15/2029 | 7,848,225 | 2.8 | |||||||||
3,389,406 | 0.875%,02/15/2047 | 3,138,117 | 1.1 | |||||||||
2,849,074 | 1.000%,02/15/2046 | 2,705,035 | 1.0 | |||||||||
2,473,764 | 1.000%,02/15/2048 | 2,366,211 | 0.8 | |||||||||
2,320,818 | 1.000%,02/15/2049 | 2,238,126 | 0.8 | |||||||||
5,129,468 | (7) | 1.375%,02/15/2044 | 5,255,714 | 1.9 | ||||||||
3,096,765 | 1.750%,01/15/2028 | 3,288,828 | 1.2 | |||||||||
2,101,771 | 2.125%,02/15/2040 | 2,456,921 | 0.9 | |||||||||
2,706,390 | 2.125%,02/15/2041 | 3,148,997 | 1.1 | |||||||||
4,067,152 | 2.375%,01/15/2027 | 4,418,745 | 1.6 | |||||||||
2,383,429 | 2.500%,01/15/2029 | 2,651,035 | 1.0 | |||||||||
2,068,551 | 3.375%,04/15/2032 | 2,586,152 | 0.9 | |||||||||
1,095,731 | 3.625%,04/15/2028 | 1,280,459 | 0.5 | |||||||||
1,904,607 | 3.875%,04/15/2029 | 2,300,893 | 0.8 | |||||||||
Total U.S. Treasury Obligations (Cost $143,662,226) | 133,738,069 | 47.9 | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 13.4% | ||||||||||||
Federal Home Loan Mortgage Corporation: 1.0%(3) | ||||||||||||
293,545 | 2.000%,03/01/2051 | 256,005 | 0.1 | |||||||||
244,916 | 2.000%,04/01/2051 | 214,445 | 0.1 | |||||||||
41,473 | 2.000%,10/01/2051 | 36,109 | 0.0 | |||||||||
303,980 | 2.000%,12/01/2051 | 264,454 | 0.1 | |||||||||
23,110 | 2.500%,07/01/2050 | 20,951 | 0.0 | |||||||||
129,487 | 2.500%,02/01/2051 | 118,039 | 0.1 | |||||||||
105,146 | 2.500%,05/01/2051 | 96,227 | 0.0 | |||||||||
100,040 | 2.500%,11/01/2051 | 90,874 | 0.0 | |||||||||
304,655 | 2.500%,01/01/2052 | 275,560 | 0.1 | |||||||||
287,001 | 3.000%,09/01/2050 | 272,425 | 0.1 | |||||||||
62,791 | 3.000%,07/01/2051 | 59,373 | 0.0 | |||||||||
78,487 | 3.000%,10/01/2051 | 73,655 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||
Federal Home Loan Mortgage Corporation: (continued) | ||||||||||||
46,073 | 3.000%,02/01/2052 | $ | 43,458 | 0.0 | ||||||||
1,050,852 | 3.000%,03/01/2052 | 988,507 | 0.4 | |||||||||
2,810,082 | 1.0 | |||||||||||
Federal National Mortgage Association: 3.0%(3) | ||||||||||||
470,000 | (4) | 1.500%,07/15/2037 | 427,516 | 0.2 | ||||||||
470,100 | (4) | 1.500%,07/15/2052 | 390,330 | 0.1 | ||||||||
1,121,000 | (4) | 2.000%,07/15/2037 | 1,046,646 | 0.4 | ||||||||
147,338 | 2.000%,09/01/2050 | 128,524 | 0.0 | |||||||||
265,290 | 2.000%,10/01/2050 | 231,965 | 0.1 | |||||||||
322,939 | 2.000%,02/01/2051 | 281,738 | 0.1 | |||||||||
153,137 | 2.000%,04/01/2051 | 133,989 | 0.1 | |||||||||
451,341 | 2.000%,08/01/2051 | 393,698 | 0.1 | |||||||||
560,587 | 2.000%,08/01/2051 | 489,004 | 0.2 | |||||||||
55,556 | 2.000%,11/01/2051 | 48,643 | 0.0 | |||||||||
146,139 | 2.000%,11/01/2051 | 127,797 | 0.0 | |||||||||
168,078 | 2.000%,11/01/2051 | 146,725 | 0.1 | |||||||||
263,885 | 2.000%,11/01/2051 | 230,231 | 0.1 | |||||||||
300,232 | 2.000%,11/01/2051 | 262,268 | 0.1 | |||||||||
1,681,706 | 2.000%,02/01/2052 | 1,461,903 | 0.5 | |||||||||
187,689 | 2.000%,03/01/2052 | 163,748 | 0.1 | |||||||||
496,271 | 2.000%,03/01/2052 | 432,816 | 0.2 | |||||||||
271,175 | 2.000%,03/01/2052 | 236,501 | 0.1 | |||||||||
76,750 | 2.500%,07/01/2050 | 70,040 | 0.0 | |||||||||
148,654 | 2.500%,07/01/2050 | 135,084 | 0.1 | |||||||||
148,364 | 2.500%,07/01/2050 | 134,822 | 0.1 | |||||||||
146,844 | 2.500%,07/01/2050 | 133,441 | 0.0 | |||||||||
149,581 | 2.500%,08/01/2050 | 135,925 | 0.1 | |||||||||
37,380 | 2.500%,08/01/2050 | 34,060 | 0.0 | |||||||||
123,599 | 2.500%,08/01/2050 | 112,315 | 0.0 | |||||||||
85,506 | 2.500%,11/01/2050 | 78,031 | 0.0 | |||||||||
23,017 | 2.500%,01/01/2051 | 20,908 | 0.0 | |||||||||
76,063 | 2.500%,02/01/2051 | 68,898 | 0.0 | |||||||||
11,367 | 2.500%,03/01/2051 | 10,309 | 0.0 | |||||||||
7,282 | 2.500%,04/01/2051 | 6,604 | 0.0 | |||||||||
13,085 | 2.500%,04/01/2051 | 11,867 | 0.0 | |||||||||
6,475 | 2.500%,05/01/2051 | 5,872 | 0.0 | |||||||||
119,680 | 2.500%,05/01/2051 | 108,531 | 0.0 | |||||||||
3,418 | 2.500%,05/01/2051 | 3,102 | 0.0 | |||||||||
10,725 | 2.500%,07/01/2051 | 9,724 | 0.0 | |||||||||
39,725 | 2.500%,10/01/2051 | 36,074 | 0.0 | |||||||||
3,762 | 2.500%,10/01/2051 | 3,410 | 0.0 | |||||||||
30,242 | 2.500%,12/01/2051 | 27,438 | 0.0 | |||||||||
142,880 | 3.000%,11/01/2051 | 133,906 | 0.1 | |||||||||
63,767 | 3.000%,12/01/2051 | 59,814 | 0.0 | |||||||||
41,726 | 3.000%,04/01/2052 | 39,202 | 0.0 | |||||||||
65,656 | 3.000%,05/01/2052 | 61,471 | 0.0 | |||||||||
334,000 | (4) | 5.000%,08/15/2052 | 340,060 | 0.1 | ||||||||
8,414,950 | 3.0 | |||||||||||
Government National Mortgage Association: 2.1% | ||||||||||||
563,853 | 2.000%,11/20/2050 | 503,565 | 0.2 | |||||||||
218,477 | 2.000%,01/20/2051 | 195,058 | 0.1 | |||||||||
160,797 | 2.000%,02/20/2051 | 143,422 | 0.1 | |||||||||
713,600 | (4) | 2.000%,07/15/2052 | 633,933 | 0.2 | ||||||||
40,339 | 2.500%,04/20/2051 | 37,076 | 0.0 | |||||||||
1,666,500 | (4) | 2.500%,07/15/2052 | 1,525,629 | 0.5 | ||||||||
398,000 | 3.000%,06/20/2051 | 376,658 | 0.1 | |||||||||
472,104 | 3.000%,08/20/2051 | 446,395 | 0.2 | |||||||||
129,755 | 3.000%,12/20/2051 | 122,573 | 0.0 | |||||||||
269,500 | (4) | 3.000%,07/15/2052 | 254,151 | 0.1 | ||||||||
616,024 | 3.500%,05/20/2047 | 607,287 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||
Government National Mortgage Association: (continued) | ||||||||||||
49,000 | (4) | 3.500%,07/15/2052 | $ | 47,622 | 0.0 | |||||||
265,000 | (4) | 3.500%,08/15/2052 | 257,195 | 0.1 | ||||||||
259,656 | 4.000%,09/20/2048 | 260,851 | 0.1 | |||||||||
155,000 | (4) | 4.000%,07/15/2052 | 154,367 | 0.1 | ||||||||
199,378 | 4.500%,08/20/2048 | 203,016 | 0.1 | |||||||||
67,000 | (4) | 5.000%,07/15/2052 | 68,675 | 0.0 | ||||||||
5,837,473 | 2.1 | |||||||||||
Uniform Mortgage-Backed Securities: 7.3% | ||||||||||||
581,464 | 1.500%,11/01/2041 | 498,600 | 0.2 | |||||||||
344,527 | 1.500%,12/01/2041 | 295,343 | 0.1 | |||||||||
571,441 | 2.000%,02/01/2042 | 511,046 | 0.2 | |||||||||
102,453 | 2.000%,04/01/2051 | 89,451 | 0.0 | |||||||||
309,608 | 2.000%,12/01/2051 | 269,579 | 0.1 | |||||||||
486,226 | 2.000%,01/01/2052 | 425,970 | 0.2 | |||||||||
682,208 | 2.500%,10/01/2036 | 653,268 | 0.2 | |||||||||
104,000 | (4) | 2.500%,07/15/2037 | 99,342 | 0.0 | ||||||||
1,187,154 | 2.500%,11/01/2051 | 1,078,030 | 0.4 | |||||||||
2,388,586 | 2.500%,01/01/2052 | 2,165,832 | 0.8 | |||||||||
75,200 | (4) | 2.500%,07/15/2052 | 67,651 | 0.0 | ||||||||
430,830 | 3.000%,01/01/2036 | 423,211 | 0.1 | |||||||||
49,000 | (4) | 3.000%,07/15/2037 | 47,881 | 0.0 | ||||||||
1,068,994 | 3.000%,09/01/2051 | 1,001,339 | 0.4 | |||||||||
29,949 | 3.000%,01/01/2052 | 27,974 | 0.0 | |||||||||
8,202 | 3.000%,01/01/2052 | 7,661 | 0.0 | |||||||||
31,000 | (4) | 3.000%,07/15/2052 | 28,881 | 0.0 | ||||||||
159,698 | 3.500%,05/01/2036 | 159,397 | 0.1 | |||||||||
5,000 | (4) | 3.500%,07/15/2037 | 4,969 | 0.0 | ||||||||
614,913 | 3.500%,01/01/2051 | 598,934 | 0.2 | |||||||||
1,231,992 | 3.500%,09/01/2051 | 1,198,666 | 0.4 | |||||||||
9,211,000 | (4) | 3.500%,07/15/2052 | 8,860,550 | 3.2 | ||||||||
776,554 | 4.000%,04/01/2050 | 773,900 | 0.3 | |||||||||
53,000 | (4) | 4.000%,07/15/2052 | 52,278 | 0.0 | ||||||||
511,000 | (4) | 4.000%,08/15/2052 | 503,185 | 0.2 | ||||||||
564,984 | 4.500%,03/01/2048 | 576,647 | 0.2 | |||||||||
20,419,585 | 7.3 | |||||||||||
Total U.S. Government Agency Obligations (Cost $38,526,097) | 37,482,090 | 13.4 | ||||||||||
CERTIFICATES OF DEPOSIT: 2.1% | ||||||||||||
2,600,000 | MUFG Bank Ltd., 0.300%, 10/25/2022 | 2,582,716 | 0.9 | |||||||||
3,300,000 | Toronto-Dominion Bank, 0.340%, 10/28/2022 | 3,277,460 | 1.2 | |||||||||
Total Certificates of Deposit (Cost $5,900,000) | 5,860,176 | 2.1 | ||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 6.2% | ||||||||||||
366,000 | BANK 2019-BNK23 A3, 2.920%, 12/15/2052 | 334,127 | 0.1 | |||||||||
280,000 | (2) | BANK 2022-BNK42 A5, 4.493%, 06/15/2055 | 285,005 | 0.1 | ||||||||
300,000 | Barclays Commercial Mortgage Trust 2019-C3 B, 4.096%, 05/15/2052 | 282,074 | 0.1 | |||||||||
280,000 | Barclays Commercial Mortgage Trust 2019-C4 B, 3.322%, 08/15/2052 | 248,009 | 0.1 | |||||||||
240,000 | (2) | BBCMS Mortgage Trust 2022-C16 A5, 4.600%, 06/15/2055 | 245,749 | 0.1 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | ||||||||||||
1,000,000 | Benchmark 2018-B3 A5 Mortgage Trust, 4.025%, 04/10/2051 | $ | 987,170 | 0.4 | ||||||||
350,000 | Benchmark 2019-B15 A5 Mortgage Trust, 2.928%, 12/15/2072 | 319,716 | 0.1 | |||||||||
933,462 | (1) | BX Commercial Mortgage Trust 2021-XL2 A, 2.013%, (US0001M + 0.689%), 10/15/2038 | 890,588 | 0.3 | ||||||||
800,000 | (1) | BX Trust 2021-ARIA A, 2.223%, (US0001M + 0.899%), 10/15/2036 | 753,566 | 0.3 | ||||||||
410,000 | CD 2017-CD3 A4 Mortgage Trust, 3.631%, 02/10/2050 | 399,648 | 0.1 | |||||||||
500,000 | CD 2017-CD6 Mortgage Trust A5, 3.456%, 11/13/2050 | 480,812 | 0.2 | |||||||||
800,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 2.304%, (US0001M + 0.980%), 05/15/2036 | 787,566 | 0.3 | ||||||||
730,000 | (1) | Credit Suisse Mortgage Capital Certificates 2021-BHAR A, 2.475%, (US0001M + 1.150%), 11/15/2038 | 720,977 | 0.3 | ||||||||
205,000 | CSAIL 2015-C3 A4 Commercial Mortgage Trust, 3.718%, 08/15/2048 | 201,578 | 0.1 | |||||||||
550,000 | (1) | ELP Commercial Mortgage Trust 2021-ELP A, 2.026%, (US0001M + 0.701%), 11/15/2038 | 526,102 | 0.2 | ||||||||
387,614 | (1) | Extended Stay America Trust 2021-ESH A, 2.405%, (US0001M + 1.080%), 07/15/2038 | 378,492 | 0.1 | ||||||||
980,000 | (2) | Fannie Mae Multifamily REMIC Trust 2022-M10 A2, 2.003%, 01/25/2032 | 855,217 | 0.3 | ||||||||
1,760,000 | Freddie Mac Multifamily WI Certificates Series WI-K146 A2, 2.920%, 07/25/2032 | 1,652,452 | 0.6 | |||||||||
498,000 | GS Mortgage Securities Trust 2015-GC32 A4, 3.764%, 07/10/2048 | 491,591 | 0.2 | |||||||||
1,000,000 | GS Mortgage Securities Trust 2016-GS2 A4, 3.050%, 05/10/2049 | 958,102 | 0.3 | |||||||||
1,000,000 | GS Mortgage Securities Trust 2017-GS7 A4, 3.430%, 08/10/2050 | 968,625 | 0.4 | |||||||||
600,000 | (1) | JP Morgan Chase Commercial Mortgage Securities Corp. 2021-HYAH A, 2.084%, (US0001M + 0.760%), 06/15/2038 | 571,041 | 0.2 | ||||||||
380,000 | (1) | Med Trust 2021-MDLN A, 2.275%, (US0001M + 0.950%), 11/15/2038 | 364,041 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | ||||||||||||
100,000 | (1) | MF1 2021-W10 A, 2.349%, (TSFR1M + 1.070%), 12/15/2034 | $ | 96,176 | 0.0 | |||||||
1,100,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 A4, 4.051%, 04/15/2047 | 1,096,140 | 0.4 | |||||||||
215,000 | (1) | MTN Commercial Mortgage Trust 2022-LPFL A, 2.676%, (TSFR1M + 1.397%), 03/15/2039 | 211,558 | 0.1 | ||||||||
800,000 | (1) | SREIT Trust 2021-PALM A, 1.914%, (US0001M + 0.590%), 10/15/2034 | 757,706 | 0.3 | ||||||||
250,000 | (1) | Taubman Centers Commercial Mortgage Trust 2022-DPM A, 3.465%, (TSFR1M + 2.186%), 05/15/2037 | 239,080 | 0.1 | ||||||||
422,500 | Wells Fargo Commercial Mortgage Trust 2015-C26 B, 3.783%, 02/15/2048 | 403,967 | 0.1 | |||||||||
700,000 | Wells Fargo Commercial Mortgage Trust 2017-C39 A5, 3.418%, 09/15/2050 | 673,880 | 0.2 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $18,004,455) | 17,180,755 | 6.2 | ||||||||||
ASSET-BACKED SECURITIES: 1.9% | ||||||||||||
Automobile Asset-Backed Securities: 0.2% | ||||||||||||
430,000 | (1) | Credit Acceptance Auto Loan Trust 2021-4 A, 1.260%, 10/15/2030 | 405,509 | 0.2 | ||||||||
Other Asset-Backed Securities: 0.0% | ||||||||||||
118,806 | (1) | GoodLeap Sustainable Home Solutions Trust 2022-1GS A, 2.700%, 01/20/2049 | 109,435 | 0.0 | ||||||||
Student Loan Asset-Backed Securities: 1.7% | ||||||||||||
163,721 | (1) | College Avenue Student Loans LLC 2021-B A2, 1.760%, 06/25/2052 | 147,227 | 0.0 | ||||||||
908,677 | (1) | Navient Private Education Refi Loan Trust 2021-EA A, 0.970%, 12/16/2069 | 815,804 | 0.3 | ||||||||
181,230 | (1) | Navient Student Loan Trust 2019-BA A2A, 3.390%, 12/15/2059 | 175,451 | 0.1 | ||||||||
747,119 | (1) | Nelnet Student Loan Trust 2021-BA AFL, 2.375%, (US0001M + 0.780%), 04/20/2062 | 731,211 | 0.3 | ||||||||
916,881 | (1) | Nelnet Student Loan Trust 2021-CA AFL, 2.335%, (US0001M + 0.740%), 04/20/2062 | 895,406 | 0.3 | ||||||||
662,120 | SLM Private Credit Student Loan Trust 2005-A A4, 2.139%, (US0003M + 0.310%), 12/15/2038 | 639,805 | 0.2 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | ||||||||||||
Student Loan Asset-Backed Securities: (continued) | ||||||||||||
523,921 | (1) | SMB Private Education Loan Trust 2021-D A1A, 1.340%, 03/17/2053 | $ | 486,494 | 0.2 | |||||||
710,347 | (1) | SMB Private Education Loan Trust 2021-E A1A, 1.680%, 02/15/2051 | 662,263 | 0.2 | ||||||||
319,333 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 314,759 | 0.1 | ||||||||
4,868,420 | 1.7 | |||||||||||
Total Asset-Backed Securities (Cost $5,669,069) | 5,383,364 | 1.9 | ||||||||||
SOVEREIGN BONDS: 0.9% | ||||||||||||
200,000 | Chile Government International Bond, 3.860%, 06/21/2047 | 167,551 | 0.1 | |||||||||
200,000 | (1) | Indonesia Government International Bond, 6.750%, 01/15/2044 | 231,228 | 0.1 | ||||||||
200,000 | (1) | Kazakhstan Government International Bond, 4.875%, 10/14/2044 | 167,116 | 0.1 | ||||||||
300,000 | Mexico Government International Bond, 4.600%, 02/10/2048 | 238,433 | 0.1 | |||||||||
440,000 | Mexico Government International Bond, 5.000%, 04/27/2051 | 366,782 | 0.1 | |||||||||
NZD 458,000 | New Zealand Government Inflation Linked Bond, 2.000%, 09/20/2025 | 349,874 | 0.1 | |||||||||
440,000 | Panama Government International Bond, 2.252%, 09/29/2032 | 344,149 | 0.1 | |||||||||
200,000 | Panama Government International Bond, 4.500%, 04/01/2056 | 159,222 | 0.0 | |||||||||
103,000 | Peruvian Government International Bond, 2.783%, 01/23/2031 | 87,823 | 0.0 | |||||||||
53,000 | Peruvian Government International Bond, 3.300%, 03/11/2041 | 40,283 | 0.0 | |||||||||
200,000 | Philippine Government International Bond, 3.700%, 02/02/2042 | 165,645 | 0.1 | |||||||||
200,000 | (1) | Qatar Government International Bond, 5.103%, 04/23/2048 | 209,953 | 0.1 | ||||||||
45,049 | Uruguay Government International Bond, 5.100%, 06/18/2050 | 45,425 | 0.0 | |||||||||
Total Sovereign Bonds (Cost $3,022,452) | 2,573,484 | 0.9 |
Value | Percentage of Net Assets | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS(5): 0.0% | ||||||||||||
Total Purchased Options (Cost $72,683) | $ | 26,277 | 0.0 | |||||||||
Total Long-Term Investments (Cost $305,884,059) | 282,521,611 | 101.2 | ||||||||||
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS: 4.1% | ||||||||||||
Commercial Paper: 3.7% | ||||||||||||
3,300,000 | ANZ Bank, 1.680%, 07/28/2022 | 3,295,757 | 1.2 | |||||||||
3,600,000 | Commonwealth Bank of Australia, 2.410%, 10/21/2022 | 3,573,310 | 1.2 | |||||||||
3,600,000 | Nordea Bank ABP, 2.310%, 10/21/2022 | 3,574,428 | 1.3 | |||||||||
Total Commercial Paper (Cost $10,492,591) | 10,443,495 | 3.7 | ||||||||||
Shares | Value | Percentage of Net Assets | ||||||||||
Mutual Funds: 0.4% | ||||||||||||
1,005,656 | (6) | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.320% (Cost $1,005,656) | 1,005,656 | 0.4 | ||||||||
Total Short-Term Investments (Cost $11,498,247) | 11,449,151 | 4.1 | ||||||||||
Total Investments in Securities (Cost $317,382,306) | $ | 293,970,762 | 105.3 | |||||||||
Liabilities in Excess of Other Assets | (14,763,328 | ) | (5.3 | ) | ||||||||
Net Assets | $ | 279,207,434 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Variable rate security. Rate shown is the rate in effect as of June 30, 2022. |
(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) | Represents or includes a TBA transaction. |
(5) | The tables within the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(6) | Rate shown is the 7-day yield as of June 30, 2022. |
(7) | 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. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Currency Abbreviations: | |
NZD | New Zealand Dollar |
Reference Rate Abbreviations: | |
SOFRRATE | 1-day Secured Overnight Financing Rate |
1-month CME Term Secured Overnight Financing | |
TSFR1M | Rate |
US0001M | 1-month LIBOR |
US0003M | 3-month LIBOR |
as of June 30, 2022
(as a percentage of net assets)
U.S. Treasury Obligations | 47.9 | % | |
Corporate Bonds/Notes | 28.1 | % | |
U.S. Government Agency Obligations | 13.4 | % | |
Commercial Mortgage-Backed Securities | 6.2 | % | |
Certificates of Deposit | 2.1 | % | |
Asset-Backed Securities | 1.9 | % | |
Sovereign Bonds | 0.9 | % | |
Collateralized Mortgage Obligations | 0.7 | % | |
Purchased Options | 0.0 | %ˆ | |
Liabilities in Excess of Other Assets ,* | (1.2) | % | |
Net Assets | 100.0 | % |
ˆ | Amount is less than 0.005%. |
* | Includes short-term investments. |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2022 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Purchased Options | $ | 23,225 | $ | 3,052 | $ | — | $ | 26,277 | ||||||||||||
Corporate Bonds/Notes | — | 78,478,726 | — | 78,478,726 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 1,798,670 | — | 1,798,670 | ||||||||||||||||
U.S. Government Agency Obligations | — | 37,482,090 | — | 37,482,090 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 17,180,755 | — | 17,180,755 | ||||||||||||||||
Sovereign Bonds | — | 2,573,484 | — | 2,573,484 | ||||||||||||||||
Asset-Backed Securities | — | 5,383,364 | — | 5,383,364 | ||||||||||||||||
Certificates of Deposit | — | 5,860,176 | — | 5,860,176 | ||||||||||||||||
U.S. Treasury Obligations | — | 133,738,069 | — | 133,738,069 | ||||||||||||||||
Short-Term Investments | 1,005,656 | 10,443,495 | — | 11,449,151 | ||||||||||||||||
Total Investments, at fair value | $ | 1,028,881 | $ | 292,941,881 | $ | — | $ | 293,970,762 | ||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | — | 2,920,416 | — | 2,920,416 | ||||||||||||||||
Forward Foreign Currency Contracts | — | 136,826 | — | 136,826 | ||||||||||||||||
Futures | 780,429 | — | — | 780,429 | ||||||||||||||||
OTC Swaps | — | 1,325,687 | — | 1,325,687 | ||||||||||||||||
Total Assets | $ | 1,809,310 | $ | 297,324,810 | $ | — | $ | 299,134,120 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,001,902 | ) | $ | — | $ | (1,001,902 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (58,666 | ) | — | (58,666 | ) | ||||||||||||||
Futures | (201,911 | ) | — | — | (201,911 | ) | ||||||||||||||
Sales Commitments | — | (1,170,936 | ) | — | (1,170,936 | ) | ||||||||||||||
Written Options | (8,206 | ) | (677,505 | ) | — | (685,711 | ) | |||||||||||||
Total Liabilities | $ | (210,117 | ) | $ | (2,909,009 | ) | $ | — | $ | (3,119,126 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (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. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
NZD 1,717,000 | USD 1,081,676 | ANZ Bank | 07/05/22 | $ | (9,330 | ) | |||||
USD 2,741,342 | EUR 2,559,000 | Bank of America N.A. | 07/05/22 | 59,444 | |||||||
EUR 1,000 | USD 1,049 | Bank of Montreal | 07/05/22 | (1 | ) | ||||||
GBP 354,913 | USD 443,529 | Barclays Bank PLC | 07/05/22 | (11,485 | ) | ||||||
GBP 51,000 | USD 62,557 | BNP Paribas | 07/05/22 | (474 | ) | ||||||
NZD 581,000 | USD 362,046 | BNP Paribas | 07/05/22 | 815 | |||||||
USD 361,939 | NZD 581,000 | BNP Paribas | 08/03/22 | (837 | ) | ||||||
EUR 13,819 | USD 14,475 | Citibank N.A. | 08/03/22 | 36 | |||||||
USD 65,964 | JPY 8,946,318 | Citibank N.A. | 08/03/22 | (94 | ) | ||||||
NOK 3,617,669 | EUR 348,000 | Citibank N.A. | 09/21/22 | 1,143 | |||||||
EUR 1,261,000 | USD 1,322,605 | HSBC Bank PLC | 07/05/22 | (1,044 | ) | ||||||
USD 124,611 | EUR 115,882 | JPMorgan Chase Bank N.A. | 07/05/22 | 3,164 | |||||||
USD 468,192 | GBP 372,989 | JPMorgan Chase Bank N.A. | 07/05/22 | 14,144 | |||||||
EUR 1,352,000 | USD 1,450,498 | JPMorgan Chase Bank N.A. | 07/05/22 | (33,568 | ) | ||||||
EUR 90,884 | USD 97,082 | Societe Generale | 07/05/22 | (1,833 | ) | ||||||
USD 42,193 | GBP 33,473 | Standard Chartered Bank | 07/05/22 | 1,445 | |||||||
USD 47,065 | EUR 43,861 | Standard Chartered Bank | 07/05/22 | 1,098 | |||||||
USD 1,493,866 | NZD 2,303,000 | UBS AG | 07/05/22 | 55,537 | |||||||
$ | 78,160 |
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | ||||||||||||||||
3-month SOFRRATE | 23 | 12/19/23 | $ | 5,578,363 | $ | 17,251 | ||||||||||
U.S. Treasury 2-Year Note | 272 | 09/30/22 | 57,124,250 | 408,733 | ||||||||||||
U.S. Treasury 5-Year Note | 75 | 09/30/22 | 8,418,750 | 70,847 | ||||||||||||
$ | 71,121,363 | $ | 496,831 | |||||||||||||
Short Contracts: | ||||||||||||||||
Euro-Bund | (24 | ) | 09/08/22 | (3,741,952 | ) | (30,546 | ) | |||||||||
U.S. Treasury 10-Year Note | (117 | ) | 09/21/22 | (13,868,156 | ) | 96,465 | ||||||||||
U.S. Treasury Long Bond | (89 | ) | 09/21/22 | (12,337,625 | ) | 187,133 | ||||||||||
U.S. Treasury Ultra 10-Year Note | (46 | ) | 09/21/22 | (5,859,250 | ) | (118,244 | ) | |||||||||
U.S. Treasury Ultra Long Bond | (42 | ) | 09/21/22 | (6,482,438 | ) | (53,121 | ) | |||||||||
$ | (42,289,421 | ) | $ | 81,687 |
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 | 0.644 | % | Annual | 02/15/31 | EUR | 830,000 | $ | (99,015 | ) | $ | (99,015 | ) | |||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | 0.690 | Annual | 02/15/31 | EUR | 410,000 | (47,344 | ) | (47,302 | ) | ||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | 1.868 | Annual | 08/15/31 | EUR | 2,735,000 | (68,801 | ) | (68,801 | ) | ||||||||||||
$ | (215,160 | ) | $ | (215,118 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.339 | % | At Termination Date | 02/17/24 | USD | 5,300,000 | $ | 501,661 | $ | 501,661 | |||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.991 | At Termination Date | 03/04/24 | USD | 3,000,000 | 315,956 | 315,956 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 4.223 | At Termination Date | 04/08/24 | USD | 12,400,000 | 23,880 | 23,880 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.023 | At Termination Date | 05/02/24 | USD | 3,500,000 | 368,870 | 368,870 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.706 | At Termination Date | 08/12/24 | USD | 1,300,000 | 154,750 | 154,750 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.351 | At Termination Date | 09/28/24 | USD | 4,500,000 | 370,258 | 370,258 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.945 | At Termination Date | 03/12/25 | USD | 1,650,000 | 258,212 | 258,212 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.794 | At Termination Date | 04/08/25 | USD | 5,300,000 | (13,917 | ) | (13,917 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.563 | At Termination Date | 06/24/25 | USD | 4,900,000 | (49,052 | ) | (49,052 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.783 | At Termination Date | 11/04/25 | USD | 1,300,000 | 165,343 | 165,296 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.098 | At Termination Date | 11/29/25 | USD | 1,600,000 | 166,016 | 166,016 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.526 | At Termination Date | 04/08/26 | USD | 18,000,000 | (100,964 | ) | (100,964 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.270 | At Termination Date | 06/24/26 | USD | 6,500,000 | (64,060 | ) | (64,060 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.687 | At Termination Date | 08/31/26 | USD | 5,050,000 | 276,137 | 276,137 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.136 | At Termination Date | 11/10/26 | USD | 1,700,000 | 46,318 | 46,318 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.045 | At Termination Date | 12/02/26 | USD | 2,165,000 | 66,117 | 66,117 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.925 | At Termination Date | 02/02/27 | USD | 3,400,000 | 74,323 | 74,323 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.000 | At Termination Date | 02/25/27 | USD | 5,540,000 | 83,277 | 83,277 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.213 | At Termination Date | 03/02/27 | USD | 1,350,000 | 5,593 | 5,593 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.290 | At Termination Date | 03/07/27 | USD | 2,200,000 | (1,115 | ) | (1,115 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.646 | At Termination Date | 05/04/27 | USD | 2,500,000 | (70,855 | ) | (70,855 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.262 | At Termination Date | 05/12/27 | USD | 1,955,000 | (22,345 | ) | (22,345 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.118 | At Termination Date | 06/28/27 | USD | 2,868,000 | (35,004 | ) | (35,004 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.087 | At Termination Date | 04/08/30 | USD | 5,450,000 | (104,488 | ) | (104,488 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.855 | At Termination Date | 06/24/30 | USD | 1,525,000 | (22,464 | ) | (22,464 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.468 | At Termination Date | 04/19/31 | USD | 535,000 | 43,752 | 43,752 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.843 | At Termination Date | 06/24/31 | USD | 4,850,000 | (80,527 | ) | (80,527 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.134 | At Termination Date | 03/15/32 | USD | 1,470,000 | (44,626 | ) | (44,626 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.090 | At Termination Date | 04/01/32 | USD | 3,130,000 | (88,871 | ) | (88,871 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.631 | At Termination Date | 06/29/52 | USD | 1,365,000 | (88,496 | ) | (88,496 | ) | ||||||||||||
$ | 2,133,679 | $ | 2,133,632 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (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 | 4.167 | % | At Termination Date | 07/15/23 | USD | 5,500,000 | $ | 178,653 | $ | — | $ | 178,653 | ||||||||||||||||
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 | 738,820 | — | 738,820 | ||||||||||||||||||||
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 | 341,416 | — | 341,416 | ||||||||||||||||||||
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 | 66,798 | — | 66,798 | ||||||||||||||||||||
$ | 1,325,687 | $ | — | $ | 1,325,687 |
At June 30, 2022, the following purchased exchange-traded options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Cost | Fair Value | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
3-Month Secured Overnight Financing Rate | Put | 07/15/22 | 96.50 | USD | 76 | USD | 18,432,850 | $ | 22,840 | $ | 3,800 | ||||||||||||||
3-Month Secured Overnight Financing Rate | Put | 07/15/22 | 96.63 | USD | 127 | USD | 30,802,262 | 30,203 | 11,112 | ||||||||||||||||
U.S. Treasury 10-Year Note | Put | 08/26/22 | 115.00 | USD | 19 | USD | 2,252,094 | 16,654 | 8,313 | ||||||||||||||||
$ | 69,697 | $ | 23,225 |
At June 30, 2022, the following exchange-traded written options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
3-Month Secured Overnight Financing Rate | Put | 07/15/22 | 96.00 | USD | 76 | USD | 18,432,850 | $ | 3,761 | $ | (475 | ) | |||||||||||||
3-Month Secured Overnight Financing Rate | Put | 07/15/22 | 96.13 | USD | 127 | USD | 30,802,263 | 4,760 | (794 | ) | |||||||||||||||
U.S. Treasury 10-Year Note | Put | 08/26/22 | 113.00 | USD | 37 | USD | 4,385,656 | 15,553 | (6,937 | ) | |||||||||||||||
$ | 24,074 | $ | (8,206 | ) |
At June 30, 2022, the following OTC purchased foreign currency options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount | Cost | Fair Value | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call NOK vs. Put EUR | JPMorgan Chase Bank N.A. | 08/29/22 | 9.832 | EUR | 969,000 | $ | 1,467 | $ | 1,735 | |||||||||||||
Call NOK vs. Put EUR | JPMorgan Chase Bank N.A. | 09/08/22 | 9.650 | EUR | 721,000 | 526 | 658 | |||||||||||||||
Call NOK vs. Put EUR | Citibank N.A. | 09/30/22 | 9.390 | EUR | 1,451,000 | 993 | 659 | |||||||||||||||
$ | 2,986 | $ | 3,052 |
At June 30, 2022, the following OTC written foreign currency options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call NOK vs. Put EUR | JPMorgan Chase Bank N.A. | 09/08/22 | 9.200 | EUR | 721,000 | $ | 22 | $ | (63 | ) | ||||||||||||
$ | 22 | $ | (63 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on 10-Year Interest Rate Swap(1) | Barclays Bank PLC | Pay | 3.175% | 1-day Secured Overnight Financing Rate | 06/13/23 | USD | 6,483,000 | $ | 256,727 | $ | (358,364 | ) | |||||||||||||
Call on 10-Year Interest Rate Swap(1) | Deutsche Bank AG | Pay | 3.185% | 1-day Secured Overnight Financing Rate | 06/15/23 | USD | 2,190,203 | 83,885 | (122,531 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.175% | 1-day Secured Overnight Financing Rate | 06/13/23 | USD | 6,483,000 | 256,727 | (147,253 | ) | |||||||||||||||
Put on 10-Year Interest Rate Swap(2) | Deutsche Bank AG | Receive | 3.185% | 1-day Secured Overnight Financing Rate | 06/15/23 | USD | 2,190,203 | 83,884 | (49,294 | ) | |||||||||||||||
$ | 681,223 | $ | (677,442 | ) |
The following sales commitments were held by the VY® BlackRock Inflation Protected Bond Portfolio at June 30, 2022:
Principal Amount | Description | Contractual Settlement Date | Fair Value | |||||
---|---|---|---|---|---|---|---|---|
$(27,000) | Fannie Mae, 5.000%, due 07/15/52 | 7/14/2022 | $ | (27,565 | ) | |||
(119,000) | UMBS TBA, 2.000%, due 07/15/52 | 7/14/2022 | (103,307 | ) | ||||
(534,290) | Uniform Mortgage-Backed Securities, 2.000%, due 08/15/52 | 8/11/2022 | (463,330 | ) | ||||
(505,800) | Uniform Mortgage-Backed Securities, 2.500%, due 08/15/52 | 8/11/2022 | (454,494 | ) | ||||
(103,300) | Uniform Mortgage-Backed Securities, 3.000%, due 08/15/52 | 8/11/2022 | (96,133 | ) | ||||
(26,000) | Uniform Mortgage-Backed Securities, 4.500%, due 07/15/52 | 7/14/2022 | (26,107 | ) | ||||
Total Sales Commitments Proceeds receivable $(1,156,820) | $ | (1,170,936 | ) |
(1) | Portfolio pays the exercise rate semi-annually and receives the floating rate index quarterly. |
(2) | Portfolio receives the exercise rate semi-annually and pays the floating rate index quarterly. |
EUR — EU Euro
GBP — British Pound
JPY — Japanese Yen
NOK — Norwegian Krone
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 | ||||||
Foreign exchange contracts | Investments in securities at value* | $ | 3,052 | |||
Interest rate contracts | Investments in securities at value* | 23,225 | ||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 136,826 | ||||
Interest rate contracts | Variation margin receivable on futures contracts** | 780,429 | ||||
Interest rate contracts | Variation margin receivable on centrally cleared swaps** | 2,920,416 | ||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 1,325,687 | ||||
Total Asset Derivatives | $ | 5,189,635 | ||||
Liability Derivatives | ||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 58,666 | |||
Interest rate contracts | Variation margin payable on futures contracts** | 201,911 | ||||
Interest rate contracts | Variation margin payable on centrally cleared swaps** | 1,001,902 | ||||
Foreign exchange contracts | Written options, at fair value | 63 | ||||
Interest rate contracts | Written options, at fair value | 685,648 | ||||
Total Liability Derivatives | $ | 1,948,190 |
* | Includes purchased options. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
** | The fair value presented above represents the cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps as reported in the tables within the Portfolio of Investments. In the Statement of Assets and Liabilities, only current day’s unsettled variation margin is reported in receivables or payables on futures contracts and centrally cleared swaps and the net cumulative unrealized appreciation (depreciation) is included in total distributable earnings (loss). |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Forward foreign currency contracts | Futures | Swaps | Written options | Total | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | 386,974 | $ | — | $ | — | $ | — | $ | 386,974 | ||||||||||||||||||
Interest rate contracts | 483,347 | — | 4,720,346 | 7,637,071 | (940,076 | ) | 11,900,688 | |||||||||||||||||||||||
Total | $ | 483,347 | $ | 386,974 | $ | 4,720,346 | $ | 7,637,071 | $ | (940,076 | ) | $ | 12,287,662 | |||||||||||||||||
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 | $ | 66 | $ | 6,630 | $ | — | $ | — | $ | (41 | ) | $ | 6,655 | |||||||||||||||||
Interest rate contracts | 13,964 | — | 820,741 | (4,349,119 | ) | (24,820 | ) | (3,539,234 | ) | |||||||||||||||||||||
Total | $ | 14,030 | $ | 6,630 | $ | 820,741 | $ | (4,349,119 | ) | $ | (24,861 | ) | $ | (3,532,579 | ) |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
ANZ Bank | Bank of America N.A. | Bank of Montreal | Barclays Bank PLC | BNP Paribas | Citibank N.A. | Deutsche Bank AG | HSBC Bank PLC | JPMorgan Chase Bank N.A. | Societe Genrale | Standard Chartered Bank | UBS AG | Totals | |||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 659 | $ | — | $ | — | $ | 2,393 | $ | — | $ | — | $ | — | $ | 3,052 | |||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | — | 59,444 | — | — | 815 | 1,179 | — | — | 17,308 | — | 2,543 | 55,537 | 136,826 | ||||||||||||||||||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | — | — | 1,325,687 | — | — | — | — | 1,325,687 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | — | $ | 59,444 | $ | — | $ | — | $ | 815 | $ | 1,327,525 | $ | — | $ | — | $ | 19,701 | $ | — | $ | 2,543 | $ | 55,537 | $ | 1,465,565 | |||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 9,330 | $ | — | $ | 1 | $ | 11,485 | $ | 1,311 | $ | 94 | $ | — | $ | 1,044 | $ | 33,568 | $ | 1,833 | $ | — | $ | — | 58,666 | ||||||||||||||||||||||||||||||||||||
Written options | — | — | — | 505,617 | — | — | 171,825 | — | 63 | — | — | — | 677,505 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 9,330 | $ | — | $ | 1 | $ | 517,102 | $ | 1,311 | $ | 94 | $ | 171,825 | $ | 1,044 | $ | 33,631 | $ | 1,833 | $ | — | $ | — | $ | 736,171 | |||||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (9,330 | ) | $ | 59,444 | $ | (1 | ) | $ | (517,102 | ) | $ | (496 | ) | $ | 1,327,431 | $ | (171,825 | ) | $ | (1,044 | ) | $ | (13,930 | ) | $ | (1,833 | ) | $ | 2,543 | $ | 55,537 | $ | 729,394 | |||||||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,327,431 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,327,431 | ) | |||||||||||||||||||||||||||||||||
Net Exposure (1) (2) | $ | (9,330 | ) | $ | 59,444 | $ | (1 | ) | $ | (517,102 | ) | $ | (496 | ) | $ | — | $ | (171,825 | ) | $ | (1,044 | ) | $ | (13,930 | ) | $ | (1,833 | ) | $ | 2,543 | $ | 55,537 | $ | (598,037 | ) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
(2) | At June 30, 2022, the Portfolio had received $1,470,000 in cash collateral from Citibank N.A. Excess cash collateral is not shown for financial reporting purposes. |
At June 30, 2022, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were:
Cost for federal income tax purposes was $316,734,167. |
Net unrealized depreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 5,646,553 | ||||
Gross Unrealized Depreciation | (25,152,715 | ) | ||||
Net Unrealized Depreciation | $ | (19,506,162 | ) |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 6.8% | ||||||||||||||
Financial: 6.8% | ||||||||||||||
5,230,000 | Bank of Nova Scotia/The, 2.030%, (SOFRRATE + 0.550%), 09/15/2023 | $ | 5,203,346 | 1.9 | ||||||||||
2,280,000 | (1) | Blue Owl Finance LLC, 3.125%, 06/10/2031 | 1,762,244 | 0.6 | ||||||||||
4,100,000 | Capital One Financial Corp., 2.112%, (SOFRRATE + 0.690%), 12/06/2024 | 3,991,497 | 1.4 | |||||||||||
5,005,000 | (1) | Commonwealth Bank of Australia, 1.161%, (SOFRRATE + 0.400%), 07/07/2025 | 4,912,380 | 1.7 | ||||||||||
2,465,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 2,066,482 | 0.7 | |||||||||||
1,350,000 | (1) | National Australia Bank Ltd., 1.181%, (SOFRRATE + 0.380%), 01/12/2025 | 1,328,784 | 0.5 | ||||||||||
Total Corporate Bonds/Notes (Cost $20,401,459) | 19,264,733 | 6.8 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.3% | ||||||||||||||
375,433 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 369,249 | 0.1 | ||||||||||
59,375 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 59,240 | 0.0 | ||||||||||
467,871 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 459,368 | 0.2 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $889,031) | 887,857 | 0.3 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 53.3% | ||||||||||||||
U.S. Treasury Bonds: 51.3% | ||||||||||||||
93,680,000 | 1.875%,02/15/2032 | 84,882,863 | 30.0 | |||||||||||
28,770,000 | 1.875%,11/15/2051 | 21,595,481 | 7.7 | |||||||||||
6,460,000 | 2.000%,08/15/2051 | 4,995,649 | 1.8 | |||||||||||
40,555,000 | 2.250%,02/15/2052 | 33,388,171 | 11.8 | |||||||||||
144,862,164 | 51.3 | |||||||||||||
U.S. Treasury Floating Rate Notes: 2.0% | ||||||||||||||
5,820,000 | 1.683%, (USBMMY3M + (0.075)%),04/30/2024 | 5,816,030 | 2.0 | |||||||||||
Total U.S. Treasury Obligations (Cost $156,515,994) | 150,678,194 | 53.3 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 31.4% | ||||||||||||||
Federal Home Loan Bank: 9.3% | ||||||||||||||
26,690,000 | 0.125%,03/17/2023 | 26,214,498 | 9.3 | |||||||||||
Federal Home Loan Mortgage Corporation: 12.5%(3) | ||||||||||||||
36,200,000 | 0.375%,05/05/2023 | 35,433,077 | 12.5 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||||
Federal National Mortgage Association: 9.6%(3) | ||||||||||||||
27,523,211 | 4.000%,06/01/2052 | $ | 27,190,020 | 9.6 | ||||||||||
Total U.S. Government Agency Obligations (Cost $90,299,582) | 88,837,595 | 31.4 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.9% | ||||||||||||||
3,089,000 | (2) | Benchmark 2020-B18 C Mortgage Trust, 3.772%, 07/15/2053 | 2,638,265 | 0.9 | ||||||||||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.752%, 10/25/2045 | 9,363,387 | 3.3 | ||||||||||
2,000,000 | (2) | JPMDB Commercial Mortgage Securities Trust 2018-C8 C, 4.875%, 06/15/2051 | 1,797,696 | 0.7 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $15,098,475) | 13,799,348 | 4.9 | ||||||||||||
ASSET-BACKED SECURITIES: 0.3% | ||||||||||||||
Other Asset-Backed Securities: 0.3% | ||||||||||||||
720,000 | (1),(2) | Towd Point Mortgage Trust 2018-3 A2, 3.875%, 05/25/2058 | 684,437 | 0.3 | ||||||||||
Total Asset-Backed Securities (Cost $696,330) | 684,437 | 0.3 | ||||||||||||
Total Long-Term Investments (Cost $283,900,871) | 274,152,164 | 97.0 |
Shares | Value | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 2.1% | ||||||||||||||
Mutual Funds: 2.1% | ||||||||||||||
5,891,436 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.320% (Cost $5,891,436) | 5,891,436 | 2.1 | ||||||||||
Total Short-Term Investments (Cost $5,891,436) | 5,891,436 | 2.1 | ||||||||||||
Total Investments in Securities (Cost $289,792,307) | $ | 280,043,600 | 99.1 | |||||||||||
Assets in Excess of Other Liabilities | 2,515,656 | 0.9 | ||||||||||||
Net Assets | $ | 282,559,256 | 100.0 |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
† | Unless otherwise indicated, principal amount is shown in USD. | |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
(2) | Variable rate security. Rate shown is the rate in effect as of June 30, 2022. | |
(3) | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. | |
(4) | Rate shown is the 7-day yield as of June 30, 2022. |
Reference Rate Abbreviations:
SOFRRATE 1-day Secured Overnight Financing Rate
USBMMY3M U.S. Treasury 3-month Bill Money Market Yield
as of June 30, 2022
(as a percentage of net assets)
U.S. Treasury Obligations | 53.3 | % | ||||
U.S. Government Agency Obligations | 31.4 | % | ||||
Corporate Bonds/Notes | 6.8 | % | ||||
Commercial Mortgage-Backed Securities | 4.9 | % | ||||
Collateralized Mortgage Obligations | 0.3 | % | ||||
Asset-Backed Securities | 0.3 | % | ||||
Assets in Excess of Other Liabilities ,* | 3.0 | % | ||||
Net Assets | 100.0 | % | ||||
* Includes short-term investments. |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2022 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 19,264,733 | $ | — | $ | 19,264,733 | ||||||||||||
Collateralized Mortgage Obligations | — | 887,857 | — | 887,857 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 13,799,348 | — | 13,799,348 | ||||||||||||||||
U.S. Government Agency Obligations | — | 88,837,595 | — | 88,837,595 | ||||||||||||||||
Asset-Backed Securities | — | 684,437 | — | 684,437 | ||||||||||||||||
U.S. Treasury Obligations | — | 150,678,194 | — | 150,678,194 | ||||||||||||||||
Short-Term Investments | 5,891,436 | — | — | 5,891,436 | ||||||||||||||||
Total Investments, at fair value | $ | 5,891,436 | $ | 274,152,164 | $ | — | $ | 280,043,600 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Futures | $ | (490,671 | ) | $ | — | $ | — | $ | (490,671 | ) | ||||||||||
Total Liabilities | $ | (490,671 | ) | $ | — | $ | — | $ | (490,671 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are fair valued at the unrealized appreciation (depreciation) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | |||||||||||||||||||
U.S. Treasury Ultra Long Bond | 134 | 09/21/22 | $ | 20,682,063 | $ | (490,671 | ) | ||||||||||||
$ | 20,682,063 | $ | (490,671 | ) |
VY® BRANDYWINEGLOBAL- BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2022 (UNAUDITED) (CONTINUED) |
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* | $ | 490,671 | |||||
Total Liability Derivatives | $ | 490,671 |
* | 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 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||
---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | ||||||||
Interest rate contracts | $ | (5,132,979 | ) | ||||||
Total | $ | (5,132,979 | ) | ||||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||
Derivatives not accounted for as hedging instruments | Futures | ||||||||
Interest rate contracts | $ | (415,374 | ) | ||||||
Total | $ | (415,374 | ) |
Cost for federal income tax purposes was $289,717,010.
Net unrealized depreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 418,323 | ||||
Gross Unrealized Depreciation | (10,582,404 | ) | ||||
Net Unrealized Depreciation | $ | (10,164,081 | ) |
Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE | ![]() |
VPSAR-VIT3AIS (0622-082222) |
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not required for semi-annual filing.
Item 6. Schedule of Investments.
Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | The Code of Ethics is not required for the semi-annual filing. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant is required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
(a)(3) | Not required for semi-annual filing. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer | ||
Date: September 1, 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: September 1, 2022 | ||
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer | ||
Date: September 1, 2022 |