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, 2023 to June 30, 2023
Item 1. Reports to Stockholders.
(a) The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
Semi-Annual Report
June 30, 2023
Voya Investors Trust
■ | VY® BlackRock Inflation Protected Bond Portfolio Classes ADV, I and S |
Voya Variable Insurance Trust
■ | VY® BrandywineGLOBAL – Bond Portfolio |
Effective January 24, 2023, the U.S. Securities and Exchange Commission adopted rule and form amendments to require mutual funds to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information deemed important for investors to assess and monitor their fund investments. Other information, including financial statements, will no longer appear in the funds’ streamlined shareholder reports but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. |
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. |
E-Delivery Sign-up — details inside
INVESTMENT MANAGEMENT voyainvestments.com |
|
TABLE OF CONTENTS
PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available: (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the Portfolios’ website at www.voyainvestments.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Portfolios’ website at www.voyainvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. The Portfolios’ Forms NPORT-P are available on the SEC’s website at www.sec.gov. Each Portfolio’s complete schedule of portfolio holdings is available at: www.voyainvestments.com and without charge upon request from the Portfolio by calling Shareholder Services toll-free at (800) 992-0180.
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SHAREHOLDER EXPENSE EXAMPLES (Unaudited)
As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including redemption fees and exchange fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Portfolio expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2023 to June 30, 2023. The Portfolios’ expenses are shown without the imposition of any charges which are, or may be, imposed under your variable annuity contract, variable life insurance policy, qualified pension, or retirement plan. Expenses would have been higher if such charges were included.
Actual Expenses
The left section of the table shown below, “Actual Portfolio Return,” provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The right section of the table shown below, “Hypothetical (5% return before expenses),” provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Portfolio and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees or exchange fees. Therefore, the hypothetical section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||
Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2023* | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2023* | ||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,021.60 | 1.19 | % | $ | 5.96 | $ | 1,000.00 | $ | 1,018.89 | 1.19 | % | $ | 5.96 | |||||||||||||||||
Class I | 1,000.00 | 1,023.60 | 0.59 | 2.96 | 1,000.00 | 1,021.87 | 0.59 | 2.96 | |||||||||||||||||||||||||
Class S | 1,000.00 | 1,023.70 | 0.84 | 4.21 | 1,000.00 | 1,020.63 | 0.84 | 4.21 | |||||||||||||||||||||||||
VY® Brandywine | |||||||||||||||||||||||||||||||||
GLOBAL-Bond Portfolio | $ | 1,000.00 | $ | 1,029.10 | 0.56 | % | $ | 2.82 | $ | 1,000.00 | $ | 1,022.02 | 0.56 | % | $ | 2.81 |
* | 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. |
1
STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 2023 (Unaudited)
VY® BlackRock Inflation Protected Bond Portfolio | VY® Brandywine GLOBAL- Bond Portfolio | |||||||||
ASSETS: | ||||||||||
Investments in securities at fair value* | $ | 244,060,464 | $ | 211,493,897 | ||||||
Short-term investments at fair value† | 10,983,561 | 3,370,433 | ||||||||
Cash pledged for centrally cleared swaps (Note 2) | 2,903,000 | — | ||||||||
Foreign currencies at value‡ | 74,745 | — | ||||||||
Receivables: | ||||||||||
Investment securities sold | 1,934,852 | — | ||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 11,252,695 | — | ||||||||
Fund shares sold | 1,621,756 | 47,876 | ||||||||
Dividends | 21,463 | 19,259 | ||||||||
Interest | 1,190,988 | 1,523,180 | ||||||||
Variation margin on futures contracts | — | 1,998,342 | ||||||||
Variation margin on centrally cleared swaps | 83,370 | — | ||||||||
Unrealized appreciation on forward foreign currency contracts | 5,257 | — | ||||||||
Unrealized appreciation on OTC swap agreements | 370,799 | — | ||||||||
Prepaid expenses | 41 | 42 | ||||||||
Other assets | 17,490 | 6,239 | ||||||||
Total assets | 274,520,481 | 218,459,268 | ||||||||
LIABILITIES: | ||||||||||
Income distribution payable | 1,026,411 | — | ||||||||
Payable for investment securities purchased | 2,963,170 | — | ||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 21,905,096 | — | ||||||||
Payable for fund shares redeemed | 29,994 | 85,075 | ||||||||
Sales commitments^^^ | 4,262,989 | — | ||||||||
Unrealized depreciation on forward foreign currency contracts | 33,976 | — | ||||||||
Variation margin payable on futures contracts | 203,355 | — | ||||||||
Cash received as collateral for OTC derivatives (Note 2) | 310,000 | — | ||||||||
Payable for investment management fees | 98,350 | 89,906 | ||||||||
Payable for distribution and shareholder service fees | 46,420 | — | ||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 17,490 | 6,239 | ||||||||
Payable for trustee fees | 626 | 625 | ||||||||
Other accrued expenses and liabilities | 121,177 | 82,279 | ||||||||
Written options, at fair value^ | 1,504,234 | — | ||||||||
Total liabilities | 32,523,288 | 264,124 | ||||||||
NET ASSETS | $ | 241,997,193 | $ | 218,195,144 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||
Paid-in capital | $ | 329,270,992 | $ | 243,254,125 | ||||||
Total distributable loss | (87,273,799 | ) | (25,058,981 | ) | ||||||
NET ASSETS | $ | 241,997,193 | $ | 218,195,144 | ||||||
_____________ | ||||||||||
* Cost of investments in securities | $ | 264,915,217 | $ | 216,164,029 | ||||||
† Cost of short-term investments | $ | 10,983,264 | $ | 3,370,433 | ||||||
‡ Cost of foreign currencies | $ | 74,597 | $ | — | ||||||
^ Premiums received on written options | $ | 582,896 | $ | — | ||||||
^^^ Proceeds receivable from sales commitments | $ | 4,274,675 | $ | — |
See Accompanying Notes to Financial Statements
2
STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 2023 (Unaudited) (continued)
VY® BlackRock Inflation Protected Bond Portfolio | VY® Brandywine GLOBAL- Bond Portfolio | |||||||||
Class ADV | ||||||||||
Net assets | $ | 42,056,691 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 4,774,239 | n/a | ||||||||
Net asset value and redemption price per share | $ | 8.81 | n/a | |||||||
Class I | ||||||||||
Net assets | $ | 76,636,838 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 8,348,274 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.18 | n/a | |||||||
Class S | ||||||||||
Net assets | $ | 123,303,664 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 13,541,716 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.11 | n/a | |||||||
Portfolio(1) | ||||||||||
Net assets | n/a | $ | 218,195,144 | |||||||
Shares authorized | n/a | unlimited | ||||||||
Par value | n/a | $ | 0.001 | |||||||
Shares outstanding | n/a | 22,835,379 | ||||||||
Net asset value and redemption price per share | n/a | $ | 9.56 |
(1) | Portfolio does not have a share class designation. |
See Accompanying Notes to Financial Statements
3
STATEMENTS OF OPERATIONS for the Six Months Ended June 30, 2023 (Unaudited)
VY® BlackRock Inflation Protected Bond Portfolio | VY® Brandywine GLOBAL-Bond Portfolio | |||||||||
INVESTMENT INCOME: | ||||||||||
Dividends | $ | 108,020 | $ | 130,825 | ||||||
Interest | 5,190,634 | (1) | 5,250,276 | |||||||
Other | 599 | 608 | ||||||||
Total investment income | 5,299,253 | 5,381,709 | ||||||||
EXPENSES: | ||||||||||
Investment management fees | 669,868 | 619,080 | ||||||||
Distribution and shareholder service fees: | ||||||||||
Class ADV | 126,577 | — | ||||||||
Class S | 161,697 | — | ||||||||
Transfer agent fees: | 701 | |||||||||
Class ADV | 5,560 | — | ||||||||
Class I | 10,089 | — | ||||||||
Class S | 17,048 | — | ||||||||
Shareholder reporting expense | 5,430 | 1,629 | ||||||||
Professional fees | 22,625 | 23,530 | ||||||||
Custody and accounting expense | 49,775 | 36,200 | ||||||||
Trustee fees | 3,128 | 3,125 | ||||||||
Miscellaneous expense | 9,795 | 8,096 | ||||||||
Interest expense | 444 | — | ||||||||
Total expenses | 1,082,036 | 692,361 | ||||||||
Waived and reimbursed fees | (62,030 | ) | — | |||||||
Net expenses | 1,020,006 | 692,361 | ||||||||
Net investment income | 4,279,247 | 4,689,348 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||
Net realized gain (loss) on: | ||||||||||
Investments | (7,231,428 | ) | (12,052,390 | ) | ||||||
Forward foreign currency contracts | (7,905 | ) | — | |||||||
Foreign currency related transactions | (26,421 | ) | — | |||||||
Futures | 1,123,523 | 322,500 | ||||||||
Swaps | 616,560 | — | ||||||||
Written options | 239,774 | — | ||||||||
Net realized loss | (5,285,897 | ) | (11,729,890 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||
Investments | 9,197,125 | 16,841,371 | ||||||||
Forward foreign currency contracts | (18,112 | ) | — | |||||||
Foreign currency related transactions | (5,533 | ) | — | |||||||
Futures | (920,584 | ) | (1,689,798 | ) | ||||||
Swaps | (400,230 | ) | — | |||||||
Written options | (971,010 | ) | — | |||||||
Sales commitments | (27,968 | ) | — | |||||||
Net change in unrealized appreciation (depreciation) | 6,853,688 | 15,151,573 | ||||||||
Net realized and unrealized gain | 1,567,791 | 3,421,683 | ||||||||
Increase in net assets resulting from operations | $ | 5,847,038 | $ | 8,111,031 |
(1) | Includes net inflationary and deflationary adjustments. See Note 2 of the Notes to Financial Statements. |
See Accompanying Notes to Financial Statements
4
STATEMENTS OF CHANGES IN NET ASSETS
VY® BlackRock Inflation Protected Bond Portfolio | VY® BrandywineGLOBAL- Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 4,279,247 | $ | 11,610,939 | $ | 4,689,348 | $ | 4,766,216 | ||||||||
Net realized gain (loss) | (5,285,897 | ) | 114,756 | (11,729,890 | ) | (16,480,642 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 6,853,688 | (52,631,376 | ) | 15,151,573 | (26,396,665 | ) | ||||||||||
Increase (decrease) in net assets resulting from operations | 5,847,038 | (40,905,681 | ) | 8,111,031 | (38,111,091 | ) | ||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Total distributions (excluding return of capital): | (17,111,781 | ) | ||||||||||||||
Class ADV | (663,539 | ) | (1,666,644 | ) | — | — | ||||||||||
Class I | (1,381,408 | ) | (3,241,222 | ) | — | — | ||||||||||
Class S | (2,153,107 | ) | (5,726,059 | ) | — | — | ||||||||||
Return of capital: | ||||||||||||||||
Class ADV | — | (251,719 | ) | — | — | |||||||||||
Class I | — | (413,119 | ) | — | — | |||||||||||
Class S | — | (766,743 | ) | — | — | |||||||||||
Total distributions | (4,198,054 | ) | (12,065,506 | ) | — | (17,111,781 | ) | |||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 9,518,241 | 37,100,330 | 20,815,335 | 84,693,352 | ||||||||||||
Reinvestment of distributions | 3,171,643 | 12,065,506 | — | 17,111,781 | ||||||||||||
12,689,884 | 49,165,836 | 20,815,335 | 101,805,133 | |||||||||||||
Cost of shares redeemed | (26,557,826 | ) | (66,619,636 | ) | (77,045,697 | ) | (123,596,753 | ) | ||||||||
Net decrease in net assets resulting from capital share transactions | (13,867,942 | ) | (17,453,800 | ) | (56,230,362 | ) | (21,791,620 | ) | ||||||||
Net decrease in net assets | (12,218,958 | ) | (70,424,987 | ) | (48,119,331 | ) | (77,014,492 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year or period | 254,216,151 | 324,641,138 | 266,314,475 | 343,328,967 | ||||||||||||
End of year or period | $ | 241,997,193 | $ | 254,216,151 | $ | 218,195,144 | $ | 266,314,475 |
See Accompanying Notes to Financial Statements
5
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 | Expenses | Expense | Net | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | |||||||||||||||||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-23+ | 8.76 | 0.14 | • | 0.05 | 0.19 | 0.14 | — | — | 0.14 | — | 8.81 | 2.16 | 1.24 | 1.19 | 1.19 | 3.08 | 42,057 | 78 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-22 | 10.51 | 0.35 | • | (1.73 | ) | (1.38 | ) | 0.32 | — | 0.05 | 0.37 | — | 8.76 | (13.34 | ) | 1.23 | 1.18 | 1.18 | 3.70 | 43,212 | 231 | |||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-23+ | 9.13 | 0.17 | • | 0.05 | 0.22 | 0.17 | — | — | 0.17 | — | 9.18 | 2.36 | 0.64 | 0.59 | 0.59 | 3.70 | 76,637 | 78 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-22 | 10.94 | 0.42 | • | (1.79 | ) | (1.37 | ) | 0.39 | — | 0.05 | 0.44 | — | 9.13 | (12.74 | ) | 0.63 | 0.58 | 0.58 | 4.27 | 77,275 | 231 | |||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-23+ | 9.05 | 0.16 | • | 0.06 | �� | 0.22 | 0.16 | — | — | 0.16 | — | 9.11 | 2.37 | 0.89 | 0.84 | 0.84 | 3.42 | 123,304 | 78 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-22 | 10.85 | 0.40 | • | (1.79 | ) | (1.39 | ) | 0.36 | — | 0.05 | 0.41 | — | 9.05 | (13.03 | ) | 0.88 | 0.83 | 0.83 | 4.06 | 133,729 | 231 | |||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
VY® BrandywineGLOBAL- Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-23+ | 9.29 | 0.18 | • | 0.09 | 0.27 | — | — | — | — | — | 9.56 | 2.91 | 0.56 | 0.56 | 0.56 | 3.76 | 218,195 | 71 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-22 | 11.22 | 0.16 | • | (1.45 | ) | (1.29 | ) | 0.11 | 0.53 | — | 0.64 | — | 9.29 | (11.89 | ) | 0.55 | 0.56 | 0.56 | 1.60 | 266,314 | 184 | |||||||||||||||||||||||||||||||||||||||||||||||
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 |
(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. |
See Accompanying Notes to Financial Statements
6
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited)
NOTE 1 — ORGANIZATION
Voya Investors Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Massachusetts business trust on August 3, 1988. Voya Investors Trust currently consists of twenty-two active separate investment series. The one series included in this report is: VY® BlackRock Inflation Protected Bond Portfolio (“BlackRock Inflation Protected Bond”), a diversified series of Voya Investors Trust.
Voya Variable Insurance Trust is registered under the 1940 Act as an open-end management investment company and was organized as a Delaware statutory trust on July 15, 1999. Voya Variable Insurance Trust consists of one active investment series which is included in this report: VY® BrandywineGLOBAL – Bond Portfolio (“Bond Portfolio”), a diversified series of Voya Variable Insurance Trust.
Voya Investors Trust and Voya Variable Insurance Trust are collectively referred to as the “Trusts.” BlackRock Inflation Protected Bond and Bond Portfolio are each, a “Portfolio” and together, the “Portfolios.” The investment objective of the Portfolios is described in each Portfolio’s Prospectus.
The classes of shares included in this report for BlackRock Inflation Protected Bond are: Adviser (“Class ADV”), Institutional (“Class I”), and Service (“Class S”). With the exception of class specific matters, each class has equal voting rights as to voting privileges. For class specific proposals, only the applicable class would have voting privileges. The classes differ principally in the applicable distribution and shareholder service fees, as well as differences in the amount of waiver of fees and reimbursement of expenses, if any. Generally, shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders are allocated the common expenses of a portfolio and earn income and realized gains/losses from a portfolio pro rata based on the daily ending net assets of each class, without distinction between share classes. Expenses that are specific to a portfolio or a class are charged directly to that portfolio or class. Other operating expenses shared by several portfolios are generally allocated among those portfolios based on average net assets. Distributions are determined separately for each class based on income and expenses allocated to each class. Realized gain distributions are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if any, as well as differences in the amount of waiver
of fees and reimbursement of expenses between the separate classes, if any. Bond Portfolio does not have a share class designation.
Voya Investments, LLC (“Voya Investments” or the “Investment Adviser”), an Arizona limited liability company, serves as the Investment Adviser to the Portfolios. Voya Investments Distributor, LLC (“VID” or the “Distributor”), a Delaware limited liability company, serves as the principal underwriter to the Portfolios.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Portfolios in the preparation of their financial statements. Each Portfolio is considered an investment company under U.S. generally accepted accounting principles (“GAAP”) and follows the accounting and reporting guidance applicable to investment companies.
A. Security Valuation. Each Portfolio is open for business every day the New York Stock Exchange (“NYSE”) opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per share for each class of each Portfolio is determined each Business Day as of the close of the regular trading session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The NAV per share of each class of each Portfolio is calculated by taking the value of the Portfolio’s assets attributable to that class, subtracting the Portfolio’s liabilities attributable to that class, and dividing by the number of shares of that class that are outstanding. On days when a Portfolio is closed for business, Portfolio shares will not be priced and a Portfolio does not transact purchase and redemption orders. To the extent a Portfolio’s assets are traded in other markets on days when a Portfolio does not price its shares, the value of a Portfolio’s assets will likely change and you will not be able to purchase or redeem shares of a Portfolio.
Portfolio securities for which market quotations are readily available are valued at market value. Investments in open-end registered investment companies that do not trade on an exchange are valued at the end of day NAV per share. The prospectuses of the open-end registered investment companies in which each Portfolio may invest explain the circumstances under which they will use fair value pricing and the effects of using fair value pricing. Foreign securities’ prices are converted into U.S. dollar amounts using the applicable exchange rates as of Market Close.
7
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
When a market quotation for a portfolio security is not readily available or is deemed unreliable (for example when trading has been halted or there are unexpected market closures or other material events that would suggest that the market quotation is unreliable) and for purposes of determining the value of other Portfolio assets, the asset is priced at its fair value. The Board has designated the Investment Adviser, as the valuation designee, to make fair value determinations in good faith. In determining the fair value of each Portfolio’s assets, the Investment Adviser, pursuant to its fair valuation policy, may consider inputs from pricing service providers, broker-dealers, or each Portfolio’s sub-adviser(s). Issuer specific events, transaction price, position size, nature and duration of restrictions on disposition of the security, market trends, bid/ask quotes of brokers and other market data may be reviewed in the course of making a good faith determination of an asset’s fair value. Because trading hours for certain foreign securities end before Market Close, closing market quotations may become unreliable. The prices of foreign securities will generally be adjusted based on inputs from an independent pricing service that are intended to reflect valuation changes through the NYSE close. Because of the inherent uncertainties of fair valuation, the values used to determine each Portfolio’s NAV may materially differ from the value received upon actual sale of those investments. Thus, fair valuation may have an unintended dilutive or accretive effect on the value of shareholders’ investments in each Portfolio.
The Portfolios’ financial instruments are valued at the close of the NYSE and are reported at fair value, which GAAP defines as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP establishes the following fair value hierarchy that categorizes the inputs used to measure fair value:
Level 1 – quoted prices (unadjusted) in active markets for identical financial instruments that the portfolio can access at the reporting date.
Level 2 – inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and credit spreads).
Level 3 – unobservable inputs (including the portfolio’s own assumptions in determining fair value).
Observable inputs are developed using market data, such as publicly available information about actual events or transactions, and reflect the assumptions that market participants would use to price the financial instrument. Unobservable inputs are those for which market data are not available and are developed using the best information available about the assumptions that market participants would use to price the financial instrument. GAAP requires valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs. When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the degree of judgment used in determining those values.
A table summarizing each Portfolio’s investments under these levels of classification is included within each Portfolio of Investments.
Each investment asset or liability of the Portfolios is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than quoted prices for an asset or liability that are observable are classified as “Level 2” and significant unobservable inputs, including the sub-advisers’ or Pricing Committee’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing each Portfolio’s investments under these levels of classification is included within the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. A reconciliation of Level 3 investments within the Portfolio of Investments is presented only when a Portfolio has a significant amount of Level 3 investments.
B. Securities Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Realized gains and losses are reported on the basis of identified cost of securities sold. Interest income is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date, or for certain foreign
8
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
securities, when the information becomes available to the Portfolios. Premium amortization and discount accretion are determined by the effective yield method.
C. Foreign Currency Translation. The books and records of the Portfolios are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(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. |
Although the net assets and the market values are presented at the foreign exchange rates at Market Close, the Portfolios do not isolate the portion of their results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statement of Assets and Liabilities for the estimated tax withholding based on the securities’ current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on the Portfolios’ books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. The foregoing risks are even greater with respect to securities of issuers in emerging markets.
D. Distributions to Shareholders. Net investment income dividends and net capital gain distributions, if any, for Bond Portfolio are declared and paid annually. For BlackRock Inflation Protected Bond, dividends from net investment income, if any, are declared and paid monthly and distributions of net capital gains, if any, are declared and paid annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from GAAP for investment companies.
E. Federal Income Taxes. It is the policy of each Portfolio to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios’ tax positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized.
The Portfolios may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Risk Exposures and the Use of Derivative Instruments. The Portfolios’ investment strategies permit the Portfolios to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to risk factors. This may allow a Portfolio to pursue its objectives more quickly, and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market or credit factors.
9
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
In pursuit of its investment objectives, a Portfolio may seek to increase or decrease its exposure to the following market or credit risk factors:
Credit Risk. The price of a bond or other debt instrument is likely to fall if the issuer’s actual or perceived financial health deteriorates, whether because of broad economic or issuer-specific reasons. In certain cases, the issuer could be late in paying interest or principal, or could fail to pay its financial obligations altogether.
Equity Risk. Stock prices may be volatile or have reduced liquidity in response to real or perceived impacts of factors including, but not limited to, economic conditions, changes in market interest rates, and political events. Stock markets tend to be cyclical, with periods when stock prices generally rise and periods when stock prices generally decline. Any given stock market segment may remain out of favor with investors for a short or long period of time, and stocks as an asset class may underperform bonds or other asset classes during some periods. Additionally, legislative, regulatory or tax policies or developments in these areas may adversely impact the investment techniques available to a manager, add to costs and impair the ability of a Portfolio to achieve its investment objectives.
Foreign Exchange Rate Risk. To the extent that a Portfolio invests directly in foreign (non-U.S.) currencies or in securities denominated in, or that trade in, foreign (non-U.S.) currencies, it is subject to the risk that those foreign (non-U.S.) currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged by a Portfolio through foreign currency exchange transactions.
Currency rates may fluctuate significantly over short periods of time. Currency rates may be affected by changes in market interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, by the imposition of currency controls, or other political or economic developments in the United States or abroad.
Interest Rate Risk. With bonds and other fixed rate debt instruments, a rise in market interest rates generally causes values to fall; conversely, values generally rise as market interest rates fall. The higher the credit quality of the instrument, and the longer its maturity or duration, the more sensitive it is likely to be to interest rate risk As of the date of this report, the United States experiences a rising market interest rate environment, which may
increase a Portfolio’s exposure to risks associated with rising market interest rates. Rising market interest rates have unpredictable effects on the markets and may expose fixed-income and related markets to heightened volatility. For a fund that invests in fixed-income securities, an increase in market interest rates may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain investments, adversely affect values, and increase costs. If dealer capacity in fixed-income markets is insufficient for market conditions, it may further inhibit liquidity and increase volatility in the fixed-income markets. Further, recent and potential changes in government policy may affect interest rates.
Risks of Investing in Derivatives. A Portfolio’s use of derivatives can result in losses due to unanticipated changes in the market or credit risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market or credit risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Derivative instruments are subject to a number of risks, including the risk of changes in the market price of the underlying securities, credit risk with respect to the counterparty, risk of loss due to changes in market interest rates and liquidity and volatility risk. The amounts required to purchase certain derivatives may be small relative to the magnitude of exposure assumed by a Portfolio. Therefore, the purchase of certain derivatives may have an economic leveraging effect on a Portfolio and exaggerate any increase or decrease in the NAV. Derivatives may not perform as expected, so a Portfolio may not realize the intended benefits. When used for hedging purposes, the change in value of a derivative may not correlate as expected with the currency, security or other risk being hedged. When used as an alternative or substitute for direct cash investments, the return provided by the derivative may not provide the same return as direct cash investment. In addition, given their complexity, derivatives expose a Portfolio to the risk of improper valuation.
Generally, derivatives are sophisticated financial instruments whose performance is derived, at least in part, from the performance of an underlying asset or assets. Derivatives include, among other things, swap agreements, options, forwards and futures. Investments in derivatives are generally negotiated over-the-counter (“OTC”) with a single counterparty and as a result are subject to credit risks related to the counterparty’s ability or willingness to perform its obligations; any deterioration in the counterparty’s creditworthiness could adversely affect the value of the derivative. In addition, derivatives
10
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
and their underlying securities may experience periods of illiquidity which could cause a Portfolio to hold a security it might otherwise sell, or to sell a security it otherwise might hold at inopportune times or at an unanticipated price. A manager might imperfectly judge the direction of the market. For instance, if a derivative is used as a hedge to offset investment risk in another security, the hedge might not correlate to the market’s movements and may have unexpected or undesired results such as a loss or a reduction in gains.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that it believes to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio’s International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”). These Master Agreements are with select counterparties and they govern transactions, including certain OTC derivative and forward foreign currency contracts, entered into by a Portfolio and the counterparty. The Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable Master Agreement.
A Portfolio may also enter into collateral agreements with certain counterparties to further mitigate counterparty credit risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from a Portfolio is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
At June 30, 2023, the maximum amount of loss that BlackRock Inflation Protected Bond would incur if the counterparties to its derivative transactions failed to perform would be $376,056 which represents the gross payments to be received by the Portfolio on forward foreign currency contracts, and OTC interest rate swaps
were they to be unwound as of June 30, 2023. At June 30, 2023, BlackRock Inflation Protected Bond had received $310,000 in cash collateral from certain counterparties.
Each Portfolio has credit related contingent features that if triggered would allow its derivative counterparties to close out and demand payment or additional collateral to cover their exposure from a Portfolio. Credit related contingent features are established between a Portfolio and its derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio’s net assets and/or a percentage decrease in a Portfolio’s NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio’s Master Agreements.
At June 30, 2023, BlackRock Inflation Protected Bond had a liability position of $451,335 on forward foreign currency contracts and OTC written options with credit related contingent features. If a contingent feature would have been triggered as of June 30, 2023, the Portfolio could have been required to pay this amount in cash to its counterparties. At June 30, 2023, BlackRock Inflation Protected Bond had not pledged any cash collateral for its open OTC derivative transactions.
H. Forward Foreign Currency Contracts. A Portfolio may enter into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated investment securities. When entering into a forward foreign currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and a Portfolio’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented within the Portfolio of Investments.
For the six months ended June 30, 2023, BlackRock Inflation Protected Bond had entered into forward foreign currency contracts with the obligation to buy and sell specified foreign currencies in the future at a currently
11
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
negotiated forward rate in order to increase or decrease exposure to foreign exchange rate risk. The Portfolio uses forward foreign currency contracts primarily to protect any non-U.S. dollar-denominated holdings from adverse currency movements and to gain exposure to currencies for the purposes of risk management or enhanced return.
During the six months ended June 30, 2023, BlackRock Inflation Protected Bond had average contract amounts of $2,231,379 and $4,275,610 on forward foreign currency contracts purchased and sold, respectively. Please refer to the tables within the Portfolio of Investments for open forward foreign currency contracts at June 30, 2023.
I. Futures Contracts. Each Portfolio may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. Each Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when a Portfolio’s assets are valued.
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses and included within Cash collateral for futures contracts on the Statement of Assets and Liabilities. Open futures contracts are reported on a table within the Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Portfolio of Investments. Cash collateral held by the broker to cover initial margin requirements on open futures contracts are noted in the Statements of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statements of Operations. Realized gains (losses) are reported in the Statements of Operations at the closing or expiration of futures contracts.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where a Portfolio is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly
with the prices of a Portfolio’s securities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. During the six months ended June 30, 2023, BlackRock Inflation Protected Bond and Bond Portfolio had purchased and sold futures contracts on various bonds and notes as part of their duration strategy. During the six months ended June 30, 2023, the following Portfolios had average notional values on futures contracts purchased and sold as disclosed below:
Purchased | Sold | |||
BlackRock Inflation Protected Bond | $98,016,411 | $50,998,128 | ||
Bond Portfolio | 80,410,407 | — |
Please refer to the tables within Portfolio of Investments for open futures contracts for the Portfolios at June 30, 2023.
At June 30, 2023, BlackRock Inflation Protected Bond had pledged U.S. Treasuries with an original par value of $1,320,000 as collateral for open futures contracts.
J. Options Contracts. The Portfolios may purchase put and call options and may write (sell) put options and covered call options. The Portfolios may engage in option transactions as a hedge against adverse movements in the value of portfolio holdings or to increase market exposure. Option contracts are valued daily and unrealized gains or losses are recorded based upon the last sales price on the principal exchange on which the options are traded. An amount equal to the premium received by the Portfolios upon the writing of a put or call option is included in the Statements of Assets and Liabilities as a liability which is subsequently marked-to-market until it is exercised or closed, or it expires. The Portfolios will realize a gain or loss upon the expiration or closing of the option contract. When an option is exercised, the proceeds on sales of the underlying security for a written call option, the purchase cost of the security for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Realized and unrealized gains or losses on option contracts are reflected in the accompanying financial statements. The risk in writing a covered call option is that a Portfolio gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that a Portfolio may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that a Portfolio pays a premium whether or not the option is exercised. Risks may also arise from an illiquid secondary market or from the inability of counterparties to meet the terms of the contract.
12
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
During the six months ended June 30, 2023, BlackRock Inflation Protected Bond had purchased and written exchange-traded options contracts to manage its duration strategy and to generate income. BlackRock Inflation Protected Bond had average notional values of $116,491,606 and $121,381,258, respectively, on purchased and written exchange-traded options contracts. Please refer to the tables within the Portfolio of Investments for open purchased and written options on exchange-traded options contracts at June 30, 2023.
During the six months ended June 30, 2023, BlackRock Inflation Protected Bond had purchased and written interest rate swap options (“swaptions”) to manage its duration strategy and to generate income. BlackRock Inflation Protected Bond had average notional values of $85,197,572 and $53,924,989, respectively, on purchased and written interest rate swaptions. Please refer to the tables within the Portfolio of Investments for open written interest rate swaptions at June 30, 2023. There were no open purchased interest rate swaptions at June 30, 2023.
During the six months ended June 30, 2023, BlackRock Inflation Protected Bond had purchased and written foreign currency options to manage its foreign exchange exposure. BlackRock Inflation Protected Bond had an average notional value of $3,147,164 and $3,147,164, respectively, on purchased and written foreign currency options. There were no open purchased or written foreign currency options at June 30, 2023.
K. Swap Agreements. The Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. Subsequent changes in market value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. The Portfolios may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported within the Portfolio of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on the Statements of Assets and Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statements of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statements of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statements of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statements of Operations.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and a Portfolio’s counterparty on the swap agreement becomes the CCP. A Portfolio is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are footnoted as pledged on the Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) on the Statements of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on the Statements of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of
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NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer’s credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
Certain Portfolios may sell credit default swaps which expose these Portfolios to the risk of loss from credit risk- related events specified in the contract. Although contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. If a Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of
allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Portfolio’s Portfolio of Investments and serve as an indicator of the current status of the payment/ performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/ performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
During the period ended June 30, 2023, BlackRock Inflation Protected Bond sold credit protection on credit default swap indices (“CDX”) with an average notional amount of $1,870,850 to gain additional exposure to the various sectors of the credit market. A CDX is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. Please refer to the tables within the Portfolio of Investments for open credit default swaps to sell protection at June 30, 2023.
Interest Rate Swap Contracts. An interest rate swap involves the agreement between counterparties to exchange periodic payments based on interest rates. One payment will be based on a floating rate of a specified interest rate while the other will be a fixed rate. Risks involve the future fluctuations of interest rates in which a Portfolio may make payments that are greater than what a Portfolio received from the counterparty. Other risks include credit, liquidity and market risk.
For the six months ended June 30, 2023, BlackRock Inflation Protected Bond had entered into interest rate swaps in which they pay a floating interest rate and
14
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
receive a fixed interest rate (“Long interest rate swap”) in order to increase exposure to interest rate risk. Average notional amount on long interest rate swaps for BlackRock Inflation Protected Bond was $35,280,913.
For the six months ended June 30, 2023, BlackRock Inflation Protected Bond had entered into interest rate swaps in which they pay a fixed interest rate and receives a floating interest rate (“Short interest rate swap”) in order to decrease exposure to interest rate risk. Average notional amount on short interest rate swaps for BlackRock Inflation Protected Bond was $6,580,368.
The Portfolios enter into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the tables within the Portfolio of Investments for BlackRock Inflation Protected Bond for open interest rate swaps at June 30, 2023.
At June 30, 2023, BlackRock Inflation Protected Bond pledged $2,903,000 in cash collateral for open centrally cleared swaps.
Inflation-linked Swap Contracts. In an inflation-linked swap, one party pays a fixed interest rate on a notional amount while the other party pays a floating rate linked to an inflation index on that same notional amount. The party paying the floating rate pays the inflation adjusted rate multiplied by the notional amount.
For the six months ended June 30, 2023, BlackRock Inflation Protected Bond had entered into inflation-linked swaps in which they pay a floating rate linked to an inflation index and receive a fixed interest rate (“Long inflation-linked swap”). Average notional amount on long inflation-linked swaps for BlackRock Inflation Protected Bond was $2,729,346.
For the six months ended June 30, 2023, BlackRock Inflation Protected Bond had entered into inflation-linked swaps in which it pays a fixed interest rate and receives a floating rate linked to an inflation index (“Short inflation-linked swap”). Average notional amount on short inflation linked-bonds was $123,631,426.
BlackRock Inflation Protected Bond used inflation-linked swaps as part of their inflation strategy. Please refer to the tables within the Portfolio of Investments for BlackRock Inflation Protected Bond for open inflation-linked swaps at June 30, 2023.
L. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward
or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
M. Securities Lending. Each Portfolio may temporarily loan up to 33 1/3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender’s fee. Securities lending involves two primary risks: “investment risk” and “borrower default risk.” When lending securities, the Portfolios will receive cash or U.S. government securities as collateral. Investment risk is the risk that the Portfolios will lose money from the investment of the cash collateral received from the borrower. Borrower default risk is the risk that the Portfolios will lose money due to the failure of a borrower to return a borrowed security. Loans are subject to termination at the option of the borrower or the Portfolios. Securities lending may result in leverage. The use of leverage may exaggerate any increase or decrease in the NAV, causing the Portfolios to be more volatile. The use of leverage may increase expenses and increase the impact of the Portfolios’ other risks.
N. Sales Commitments. Sales commitments involve commitments to sell fixed income securities where the unit price and the estimated principal amount are established upon entering into the contract, with the actual principal amount being within a specified range of the estimate. A Portfolio will enter into sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of sale commitments are not received until the contractual settlement date. During the time a sale commitment is outstanding, except for delayed delivery transactions, the Portfolio will maintain, in a segregated account, cash or marketable securities in an amount sufficient to meet the purchase price. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition of an offsetting purchase commitment, the Portfolio realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the Portfolio delivers securities under the commitment, the Portfolio realizes a gain or loss from the sale of the securities, based upon the unit price established at the
15
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
date the commitment was entered into. Please refer to the table following the Portfolio of Investments for open sales commitments held by BlackRock Inflation Protected Bond at June 30, 2023.
O. Indemnifications. In the normal course of business, the Portfolios may enter into contracts that provide certain indemnifications. The Trusts’ maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the six months ended June 30, 2023, the cost of purchases and the proceeds from the sales of securities, excluding U.S. government and short-term securities were as follows:
Purchases | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 45,606,422 | $ | 56,163,950 | ||||
Bond Portfolio | 3,953,948 | 41,864,784 |
U.S. government securities not included above were as follows:
Purchases | Sales | |||||||
BlackRock Inflation Protected Bond | $ | 151,114,386 | $ | 152,462,068 | ||||
Bond Portfolio | 166,697,097 | 181,236,368 |
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Portfolios have entered into investment management agreements (“Management Agreements”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolios. The Investment Adviser oversees all investment management and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. Each Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
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. |
The Investment Adviser has entered into sub-advisory agreements with each sub-adviser. These sub-advisers provide investment advice for the Portfolios and are paid by the Investment Adviser based on the average daily net assets of each Portfolio. Subject to such policies as the Board or the Investment Adviser may determine, the sub-advisers manage each Portfolio’s assets in accordance with that Portfolio’s investment objectives, policies, and limitations.
Portfolio | Sub-Adviser | |
BlackRock Inflation Protected Bond | BlackRock Financial Management, Inc. | |
Bond Portfolio | Brandywine Global Investment Management, LLC |
NOTE 5 — DISTRIBUTION AND SERVICE FEE
Voya Investors Trust has entered into a shareholder service plan (the “Plan”) for the Class S shares of BlackRock Inflation Protected Bond. The Plan compensates the Distributor for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S shares. Under the Plan, the Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S shares.
Class ADV shares of BlackRock Inflation Protected Bond have a shareholder service and distribution plan. The Portfolio pays the Distributor a shareholder service fee of 0.25% and a distribution fee of 0.35% of the Portfolio’s average daily net assets attributable to Class ADV shares.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At June 30, 2023, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. or affiliated investment companies owned more than 5% of the following Portfolios:
Subsidiary/Affiliated Investment Company | Portfolio | Percentage | |||
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 18.62 | % | ||
Voya Solution 2025 Portfolio | BrandywineGLOBAL – Bond | 13.64 | |||
Voya Solution 2035 Portfolio | BrandywineGLOBAL – Bond | 9.44 | |||
Voya Solution Income Portfolio | BrandywineGLOBAL – Bond | 10.03 | |||
Voya Solution Moderately Aggressive Portfolio | BrandywineGLOBAL – Bond | 7.92 |
The Portfolios have adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the trustee under the DC Plan, the
16
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (continued)
amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). When the Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, this results in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statements of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of the Portfolios, and will not materially affect a Portfolio’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the DC Plan.
The Portfolios may pay per account fees to affiliates of Voya Investments for recordkeeping services provided on certain assets. For the period ended June 30, 2023, the per account fees for affiliated recordkeeping services paid by each Portfolio were as follows:
Portfolio | Amount | |||
BlackRock Inflation Protected Bond | $ | 32,145 | ||
Bond Portfolio | — |
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has entered into written expense limitation agreements (“Expense Limitation Agreements”) with the below Portfolios, whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses, extraordinary expenses, and acquired fund fees and expenses to the levels listed below:
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% |
With the exception of the non-recoupable management fee waiver for BlackRock Inflation Protected Bond, the Investment Adviser may, at a later date, recoup from a Portfolio for fees waived and/or other expenses reimbursed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above.
Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
As of June 30, 2023 the Portfolios did not have any amount of waived and/or reimbursed fees that would be subject to possible recoupment.
The Expense Limitation Agreements are contractual through May 1, 2024 and shall renew automatically for one-year terms. Termination or modification of these obligations requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective June 12, 2023, the Portfolios, in addition to certain other funds managed by the Investment Adviser, entered into a 364-day unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000 through June 10, 2024. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of the Portfolio or certain other funds managed by the Investment Adviser. The funds to which the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears. Prior to June 12, 2023, the predecessor line of credit was for an aggregate amount of $400,000,000 and the funds to which the line of credit was available paid a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount through June 12, 2023.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The following Portfolio utilized the line of credit during the six months ended June 30, 2023:
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
BlackRock Inflation Protected Bond | 5 | $599,400 | 5.33% |
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NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 9 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||
BlackRock Inflation Protected Bond | ||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||
6/30/2023 | 274,777 | — | 54,844 | (486,179 | ) | (156,558 | ) | 2,457,298 | — | 492,564 | (4,342,336 | ) | (1,392,474 | ) | ||||||||||||||||||||||||||
12/31/2022 | 742,141 | — | 201,639 | (1,424,707 | ) | (480,927 | ) | 7,118,548 | — | 1,918,363 | (13,507,332 | ) | (4,470,421 | ) | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
6/30/2023 | 441,310 | — | 111,643 | (672,816 | ) | (119,863 | ) | 4,099,645 | — | 1,044,727 | (6,261,038 | ) | (1,116,666 | ) | ||||||||||||||||||||||||||
12/31/2022 | 1,613,713 | — | 370,479 | (2,199,454 | ) | (215,262 | ) | 15,791,074 | — | 3,654,341 | (21,908,961 | ) | (2,463,546 | ) | ||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||
6/30/2023 | 322,734 | — | 176,031 | (1,729,295 | ) | (1,230,530 | ) | 2,961,298 | — | 1,634,352 | (15,954,452 | ) | (11,358,802 | ) | ||||||||||||||||||||||||||
12/31/2022 | 1,396,821 | — | 661,960 | (3,220,032 | ) | (1,161,251 | ) | 14,190,708 | — | 6,492,802 | (31,203,343 | ) | (10,519,833 | ) | ||||||||||||||||||||||||||
Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||
6/30/2023 | 2,152,390 | — | — | (7,973,413 | ) | (5,821,023 | ) | 20,815,335 | — | — | (77,045,697 | ) | (56,230,362 | ) | ||||||||||||||||||||||||||
12/31/2022 | 8,077,848 | — | 1,724,978 | (11,748,216 | ) | (1,945,390 | ) | 84,693,352 | — | 17,111,781 | (123,596,753 | ) | (21,791,620 | ) |
NOTE 10 — SECURITIES LENDING
Under an agreement with BNY, the Portfolios can lend its securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash and U.S. government securities. The collateral must be equal to at least 105% of the market value of non-U.S. securities loaned and 102% of the market value of U.S. securities loaned. The market value of the loaned securities is determined at Market Close of a Portfolio at their last sale price or official closing price on the principal exchange or system on which they are traded and any additional collateral is delivered to a Portfolio on the next business day. The cash collateral received is invested in approved investments as defined in the Securities Lending Agreement with BNY (the “Agreement”). The Portfolios bear the risk of loss with respect to the investment of collateral with the following exception: BNY provides the Portfolios indemnification from loss with respect to the investment of collateral to the extent the cash collateral is invested in overnight repurchase agreements.
Cash collateral received in connection with securities lending is invested in cash equivalents, money market funds, repurchase agreements with maturities of not more than 99 days that are collateralized with U.S. Government securities, or certain short-term investments that have a remaining maturity of 190 days or less (“Permitted Investments”). Short-term investments include: securities, units, shares or other participations in short-term investment funds, pools or trusts; commercial paper, notes, bonds or other debt obligations, certificates of deposit, time deposits and other bank obligations and asset-backed commercial paper backed by diversified receivables and repurchase-backed programs. Permitted Investments are subject to certain guidelines established by the Adviser regarding liquidity, diversification, credit
quality and average credit life/duration requirements. The securities purchased with cash collateral received are reflected in the Portfolio of Investments under Short-Term Investments.
Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. The Agreement contains certain guarantees by BNY in the event of counterparty default and/or a borrower’s failure to return a loaned security; however, there would be a potential loss to a Portfolio in the event a Portfolio is delayed or prevented from exercising its right to dispose of the collateral. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a portfolio.
At June 30, 2023, the Portfolios did not have any outstanding securities on loan.
NOTE 11 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of foreign currency transactions, futures contracts, paydowns, straddle loss deferrals and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
18
NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 11 — FEDERAL INCOME TAXES (continued)
The tax composition of dividends and distributions to shareholders was as follows:
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||
Ordinary Income | Long-term Capital Gain | Return of Capital | Ordinary Income | Long-term Capital Gain | ||||||||||||||||
BlackRock Inflation Protected Bond | $ | 10,633,925 | $ | — | $ | 1,431,581 | $ | 7,800,004 | $ | — | ||||||||||
Bond Portfolio | 11,934,135 | 5,177,646 | — | 24,050,464 | 3,031,930 |
The tax-basis components of distributable earnings and the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2022 were:
Undistributed | Unrealized | Capital Loss Carryforwards | Total | |||||||||||||||||
Ordinary Income | Appreciation/ (Depreciation) | Amount | Character | Expiration | Distributable Earnings/(Loss) | |||||||||||||||
BlackRock Inflation Protected Bond | $ | — | $ | (30,457,847 | ) | $ | (7,353,815 | ) | Short-term | None | $(88,922,783 | ) | ||||||||
(51,111,121 | ) | Long-term | None | |||||||||||||||||
$ | (58,464,936 | ) | ||||||||||||||||||
Bond Portfolio | 5,046,583 | (21,766,110 | ) | (13,101,491 | ) | Short-term | None | (33,170,012 | ) | |||||||||||
(3,348,994 | ) | Long-term | None | |||||||||||||||||
$ | (16,450,485 | ) |
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state (BlackRock Inflation Protected Bond).
As of June 30, 2023, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. Generally, the preceding four tax years remain subject to examination by these jurisdictions.
NOTE 12 — LONDON INTERBANK OFFERED RATE (“LIBOR”)
In 2017, the UK Financial Conduct Authority announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. On March 5, 2021, ICE Benchmark Administration, the administrator of LIBOR, stated that non-U.S. dollar LIBOR reference rates and the one-week and two-month LIBOR reference rates ceased to be provided or no longer would be representative immediately after December 31, 2021 and the remaining more commonly used LIBOR settings ceased to be provided or no longer would be representative immediately after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies (e.g., the Secured
Overnight Financing Rate for U.S. Dollar LIBOR and the Sterling Overnight Interbank Average Rate for Sterling LIBOR).
Discontinuance of LIBOR and adoption/implementation of alternative rates pose a number of risks, including among others whether any substitute rate will experience the market participation and liquidity necessary to provide a workable substitute for LIBOR; the effect on parties’ existing contractual arrangements, hedging transactions, and investment strategies generally from a conversion from LIBOR to alternative rates; the effect on a Portfolio’s existing investments (including, for example, fixed-income investments, senior loans, CLOs and CDOs, and derivatives transactions), including the possibility that some of those investments may terminate or their terms may be adjusted to the disadvantage of a Portfolio; and the risk of general market disruption during the period of the conversion. It is difficult to predict at this time the likely impact of the transition away from LIBOR on a Portfolio.
NOTE 13 — LIQUIDITY
Consistent with Rule 22e-4 under the 1940 Act, the Portfolios have established a liquidity risk management program to govern their approach to managing liquidity risk (the “Program”). The Board has approved the designation of the Portfolios’ Investment Adviser, Voya Investments, as the program administrator (the “Program Administrator”). The Program Administrator is responsible for implementing and monitoring the Program and has formed a Liquidity Risk Management Committee (the “Committee”) to assess and review, on an ongoing basis, each Portfolio’s liquidity risk.
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NOTES TO FINANCIAL STATEMENTS as of June 30, 2023 (Unaudited) (continued)
NOTE 13 — LIQUIDITY (continued)
The Program includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of liquidity risk factors and the periodic classification (or re-classification, as necessary) of a Portfolio’s investments into buckets (highly liquid, moderately liquid, less liquid and illiquid) that reflect the Committee’s assessment of the investments’ liquidity under current market conditions. The Committee also utilizes Portfolio-specific data, including information regarding a Portfolio’s shareholder base, characteristics of its investments, access to borrowing arrangements and historical redemptions to determine whether a Portfolio will be able to meet its redemption obligations in a timely manner.
During the period covered by the annual assessment, January 1, 2022 through December 31, 2022, the Program supported the Portfolios’ ability to honor redemption requests in a timely manner and the Program Administrator’s management of each Portfolio’s liquidity risk, including during any periods of market volatility and net redemptions.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to each Portfolio’s prospectus for more information regarding each Portfolio’s exposure to liquidity risk and other risks.
NOTE 14 — MARKET DISRUPTION
A Portfolio is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Due to the increasing interdependence among global economies and markets, conditions in one country, market, or region might adversely impact markets, issuers and/or foreign exchange rates in other countries, including the United States. Wars, terrorism, global health crises and pandemics, and other geopolitical events that have led, and may continue to lead, to increased market volatility and may have adverse short- or long-term effects on U.S. and global economies and markets generally. For example, the COVID-19 pandemic has resulted, and may continue to result, in significant market volatility, exchange suspensions and closures, declines in global financial markets, higher default rates, supply chain disruptions, and a substantial economic downturn in economies throughout the world. Natural and environmental disasters and systemic market dislocations are also highly disruptive to economies and markets. In addition, military action by Russia in Ukraine has, and may continue to, adversely affect global energy and financial markets and therefore could affect the value of a Portfolio’s investments, including beyond a Portfolio’s direct exposure to Russian issuers or nearby geographic regions. The extent and duration of the military action, sanctions and resulting market disruptions are impossible to predict and
could be substantial. A number of U.S. domestic banks and foreign (non-U.S.) banks have recently experienced financial difficulties and, in some cases, failures. There can be no certainty that the actions taken by regulators to limit the effect of those financial difficulties and failures on other banks or other financial institutions or on the U.S. or foreign (non-U.S.) economies generally will be successful. It is possible that more banks or other financial institutions will experience financial difficulties or fail, which may affect adversely other U.S. or foreign (non-U.S.) financial institutions and economies. These events as well as other changes in foreign (non-U.S.) and domestic economic, social, and political conditions also could adversely affect individual issuers or related groups of issuers, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of a Portfolio’s investments. Any of these occurrences could disrupt the operations of a Portfolio and of a Portfolio’s service providers.
NOTE 15 — OTHER ACCOUNTING PRONOUNCEMENTS
In June 2022, the FASB issued Accounting Standards Update (ASU), ASU 2022-03, Fair Value Measurement (Topic 820) — Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions, which clarifies that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring fair value. The amendments under this ASU are effective for fiscal years beginning after December 15, 2023; however, early adoption is permitted. The amendment was early adopted. Management expects that the adoption of the guidance will not have a material impact on the Portfolios’ financial statements.
NOTE 16 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2023, the Portfolios declared dividends from net investment income of:
Per Share Amount | Payable Date | Record Date | ||||||
BlackRock Inflation Protected Bond | ||||||||
Class ADV | $0.0235 | August 1, 2023 | July 28, 2023 | |||||
Class I | $0.0280 | August 1, 2023 | July 28, 2023 | |||||
Class S | $0.0261 | August 1, 2023 | July 28, 2023 | |||||
Bond Portfolio | $0.2094 | July 14, 2023 | July 12, 2023 |
The Portfolios have evaluated events occurring after the Statements of Assets and Liabilities date through the date that the financial statements were issued (“subsequent events”) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than the above, no such subsequent events were identified.
20
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: 21.4% | |||||||||||||
Basic Materials: 0.5% | |||||||||||||
284,000 | (1) | Anglo American Capital PLC, 4.500%, 03/15/2028 | $ | 270,941 | 0.1 | ||||||||
400,000 | (1) | Anglo American Capital PLC, 5.500%, 05/02/2033 | 391,008 | 0.2 | |||||||||
4,000 | Ecolab, Inc., 2.700%, 12/15/2051 | 2,657 | 0.0 | ||||||||||
49,000 | (1) | Georgia-Pacific LLC, 0.625%, 05/15/2024 | 47,022 | 0.0 | |||||||||
144,000 | (1) | Glencore Funding LLC, 2.625%, 09/23/2031 | 116,030 | 0.1 | |||||||||
65,000 | (1) | Glencore Funding LLC, 3.875%, 10/27/2027 | 60,806 | 0.0 | |||||||||
110,000 | (1) | Glencore Funding LLC, 5.700%, 05/08/2033 | 109,206 | 0.0 | |||||||||
100,000 | Newmont Corp., 2.600%, 07/15/2032 | 81,758 | 0.0 | ||||||||||
170,000 | Nucor Corp., 4.300%, 05/23/2027 | 165,099 | 0.1 | ||||||||||
1,244,527 | 0.5 | ||||||||||||
Communications: 2.2% | |||||||||||||
145,000 | Amazon.com, Inc., 4.700%, 12/01/2032 | 146,261 | 0.1 | ||||||||||
33,000 | AT&T, Inc., 2.250%, 02/01/2032 | 26,222 | 0.0 | ||||||||||
180,000 | AT&T, Inc., 2.550%, 12/01/2033 | 141,448 | 0.1 | ||||||||||
64,000 | AT&T, Inc., 3.500%, 06/01/2041 | 49,194 | 0.0 | ||||||||||
134,000 | AT&T, Inc., 3.550%, 09/15/2055 | 93,907 | 0.0 | ||||||||||
177,000 | AT&T, Inc., 3.650%, 09/15/2059 | 123,357 | 0.1 | ||||||||||
85,000 | AT&T, Inc., 3.850%, 06/01/2060 | 61,623 | 0.0 | ||||||||||
348,000 | AT&T, Inc., 4.300%, 02/15/2030 | 330,495 | 0.1 | ||||||||||
330,000 | AT&T, Inc., 5.400%, 02/15/2034 | 330,730 | 0.1 | ||||||||||
20,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 12,114 | 0.0 | ||||||||||
258,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.950%, 06/30/2062 | 158,957 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Communications: (continued) | |||||||||||||
588,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.750%, 04/01/2048 | $ | 503,829 | 0.2 | |||||||||
212,000 | Comcast Corp., 2.887%, 11/01/2051 | 142,257 | 0.1 | ||||||||||
216,000 | Comcast Corp., 3.400%, 04/01/2030 | 198,599 | 0.1 | ||||||||||
55,000 | (1) | Cox Communications, Inc., 3.600%, 06/15/2051 | 38,556 | 0.0 | |||||||||
155,000 | FactSet Research Systems, Inc., 3.450%, 03/01/2032 | 132,032 | 0.1 | ||||||||||
58,000 | Meta Platforms, Inc., 5.600%, 05/15/2053 | 59,610 | 0.0 | ||||||||||
158,000 | Meta Platforms, Inc., 5.750%, 05/15/2063 | 163,647 | 0.1 | ||||||||||
483,000 | Motorola Solutions, Inc., 2.750%, 05/24/2031 | 395,991 | 0.2 | ||||||||||
44,000 | Motorola Solutions, Inc., 5.500%, 09/01/2044 | 41,812 | 0.0 | ||||||||||
107,000 | Motorola Solutions, Inc., 5.600%, 06/01/2032 | 106,072 | 0.1 | ||||||||||
57,000 | Paramount Global, 4.375%, 03/15/2043 | 40,254 | 0.0 | ||||||||||
23,000 | (1) | Rogers Communications, Inc., 4.550%, 03/15/2052 | 18,513 | 0.0 | |||||||||
423,000 | Sprint LLC, 7.125%, 06/15/2024 | 427,164 | 0.2 | ||||||||||
69,000 | Sprint LLC, 7.875%, 09/15/2023 | 69,229 | 0.0 | ||||||||||
10,000 | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 8,676 | 0.0 | ||||||||||
269,000 | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 254,767 | 0.1 | ||||||||||
121,000 | Verizon Communications, Inc., 1.750%, 01/20/2031 | 95,508 | 0.0 | ||||||||||
478,000 | Verizon Communications, Inc., 2.100%, 03/22/2028 | 420,150 | 0.2 | ||||||||||
373,000 | Verizon Communications, Inc., 2.355%, 03/15/2032 | 300,126 | 0.1 | ||||||||||
386,000 | Verizon Communications, Inc., 2.550%, 03/21/2031 | 322,398 | 0.1 | ||||||||||
97,000 | Verizon Communications, Inc., 4.862%, 08/21/2046 | 88,994 | 0.0 | ||||||||||
5,302,492 | 2.2 |
See Accompanying Notes to Financial Statements
21
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Consumer, Cyclical: 0.1% | |||||||||||||
79,000 | General Motors Financial Co., Inc., 2.750%, 06/20/2025 | $ | 74,458 | 0.0 | |||||||||
55,000 | General Motors Financial Co., Inc., 4.300%, 04/06/2029 | 50,510 | 0.0 | ||||||||||
184,000 | Lowe’s Cos, Inc., 1.700%, 09/15/2028 | 156,060 | 0.1 | ||||||||||
281,028 | 0.1 | ||||||||||||
Consumer, Non-cyclical: 2.6% | |||||||||||||
460,000 | AbbVie, Inc., 4.500%, 05/14/2035 | 437,306 | 0.2 | ||||||||||
173,000 | Altria Group, Inc., 2.450%, 02/04/2032 | 135,010 | 0.1 | ||||||||||
209,000 | Altria Group, Inc., 3.400%, 02/04/2041 | 146,048 | 0.1 | ||||||||||
300,000 | Amgen, Inc., 4.050%, 08/18/2029 | 284,640 | 0.1 | ||||||||||
115,000 | Amgen, Inc., 5.150%, 03/02/2028 | 114,979 | 0.1 | ||||||||||
121,000 | Amgen, Inc., 5.650%, 03/02/2053 | 122,625 | 0.1 | ||||||||||
168,000 | Amgen, Inc., 5.750%, 03/02/2063 | 170,559 | 0.1 | ||||||||||
39,000 | BAT Capital Corp., 3.984%, 09/25/2050 | 26,321 | 0.0 | ||||||||||
153,000 | BAT Capital Corp., 4.540%, 08/15/2047 | 112,750 | 0.0 | ||||||||||
20,000 | BAT Capital Corp., 4.758%, 09/06/2049 | 15,119 | 0.0 | ||||||||||
387,000 | BAT International Finance PLC, 1.668%, 03/25/2026 | 348,138 | 0.1 | ||||||||||
27,000 | Becton Dickinson & Co., 4.693%, 02/13/2028 | 26,649 | 0.0 | ||||||||||
31,000 | Boston Scientific Corp., 2.650%, 06/01/2030 | 27,030 | 0.0 | ||||||||||
225,000 | CommonSpirit Health, 2.782%, 10/01/2030 | 189,320 | 0.1 | ||||||||||
300,000 | CommonSpirit Health, 3.817%, 10/01/2049 | 228,715 | 0.1 | ||||||||||
150,000 | Corewell Health Obligated Group, 3.487%, 07/15/2049 | 114,732 | 0.0 | ||||||||||
166,000 | CVS Health Corp., 1.300%, 08/21/2027 | 142,945 | 0.1 | ||||||||||
165,000 | Elevance Health, Inc., 6.100%, 10/15/2052 | 180,917 | 0.1 | ||||||||||
20,000 | Eli Lilly & Co., 4.875%, 02/27/2053 | 20,558 | 0.0 | ||||||||||
20,000 | Eli Lilly & Co., 4.950%, 02/27/2063 | 20,428 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Consumer, Non-cyclical: (continued) | |||||||||||||
143,000 | Equifax, Inc., 5.100%, 06/01/2028 | $ | 141,004 | 0.1 | |||||||||
300,000 | Franciscan Missionaries of Our Lady Health System, Inc., 3.914%, 07/01/2049 | 228,312 | 0.1 | ||||||||||
287,000 | Gilead Sciences, Inc., 2.600%, 10/01/2040 | 208,065 | 0.1 | ||||||||||
23,000 | Global Payments, Inc., 2.150%, 01/15/2027 | 20,461 | 0.0 | ||||||||||
302,000 | Global Payments, Inc., 2.900%, 05/15/2030 | 256,249 | 0.1 | ||||||||||
427,000 | Global Payments, Inc., 3.200%, 08/15/2029 | 371,470 | 0.2 | �� | |||||||||
119,000 | Global Payments, Inc., 4.950%, 08/15/2027 | 116,043 | 0.1 | ||||||||||
306,000 | (1) | HCA, Inc., 3.625%, 03/15/2032 | 265,744 | 0.1 | |||||||||
22,000 | HCA, Inc., 5.250%, 04/15/2025 | 21,731 | 0.0 | ||||||||||
307,000 | HCA, Inc., 5.375%, 02/01/2025 | 304,472 | 0.1 | ||||||||||
58,000 | Humana, Inc., 1.350%, 02/03/2027 | 50,498 | 0.0 | ||||||||||
150,000 | Kaiser Foundation Hospitals, 3.002%, 06/01/2051 | 105,156 | 0.0 | ||||||||||
25,000 | Merck & Co., Inc., 5.150%, 05/17/2063 | 25,557 | 0.0 | ||||||||||
80,000 | Moody’s Corp., 3.100%, 11/29/2061 | 52,740 | 0.0 | ||||||||||
119,000 | Moody’s Corp., 4.250%, 08/08/2032 | 113,166 | 0.0 | ||||||||||
175,000 | Mount Nittany Medical Center Obligated Group, 3.799%, 11/15/2052 | 134,664 | 0.1 | ||||||||||
85,000 | Pfizer Investment Enterprises Pte Ltd., 5.300%, 05/19/2053 | 88,440 | 0.0 | ||||||||||
313,000 | Pfizer Investment Enterprises Pte Ltd., 5.340%, 05/19/2063 | 317,001 | 0.1 | ||||||||||
280,000 | Philip Morris International, Inc., 4.875%, 02/15/2028 | 275,960 | 0.1 | ||||||||||
4,000 | S&P Global, Inc., 3.900%, 03/01/2062 | 3,311 | 0.0 | ||||||||||
54,000 | Thermo Fisher Scientific, Inc., 2.000%, 10/15/2031 | 44,094 | 0.0 | ||||||||||
248,000 | UnitedHealth Group, Inc., 2.900%, 05/15/2050 | 173,088 | 0.1 | ||||||||||
30,000 | Verisk Analytics, Inc., 5.750%, 04/01/2033 | 31,437 | 0.0 | ||||||||||
6,213,452 | 2.6 |
See Accompanying Notes to Financial Statements
22
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Energy: 3.4% | |||||||||||||
382,000 | BP Capital Markets America, Inc., 4.812%, 02/13/2033 | $ | 376,629 | 0.2 | |||||||||
120,000 | BP Capital Markets America, Inc., 4.893%, 09/11/2033 | 118,820 | 0.1 | ||||||||||
254,000 | (1) | Cameron LNG LLC, 3.302%, 01/15/2035 | 212,010 | 0.1 | |||||||||
9,000 | (1) | Cameron LNG LLC, 3.402%, 01/15/2038 | 7,507 | 0.0 | |||||||||
108,000 | Cenovus Energy, Inc./CA, 3.750%, 02/15/2052 | 76,561 | 0.0 | ||||||||||
273,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 247,425 | 0.1 | ||||||||||
479,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 06/30/2027 | 471,208 | 0.2 | ||||||||||
543,000 | Cheniere Energy Partners L.P., 3.250%, 01/31/2032 | 447,459 | 0.2 | ||||||||||
296,000 | Cheniere Energy Partners L.P., 4.000%, 03/01/2031 | 260,951 | 0.1 | ||||||||||
248,000 | Cheniere Energy Partners L.P., 4.500%, 10/01/2029 | 227,827 | 0.1 | ||||||||||
10,000 | Devon Energy Corp., 4.500%, 01/15/2030 | 9,424 | 0.0 | ||||||||||
94,000 | Devon Energy Corp., 4.750%, 05/15/2042 | 79,363 | 0.0 | ||||||||||
44,000 | Devon Energy Corp., 5.250%, 10/15/2027 | 43,365 | 0.0 | ||||||||||
2,000 | Devon Energy Corp., 5.875%, 06/15/2028 | 1,995 | 0.0 | ||||||||||
60,000 | Devon Energy Corp., 8.250%, 08/01/2023 | 60,032 | 0.0 | ||||||||||
262,000 | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 224,548 | 0.1 | ||||||||||
417,000 | Diamondback Energy, Inc., 3.250%, 12/01/2026 | 392,004 | 0.2 | ||||||||||
905,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 815,441 | 0.3 | ||||||||||
116,000 | Enbridge, Inc., 5.700%, 03/08/2033 | 117,646 | 0.1 | ||||||||||
17,000 | Energy Transfer L.P., 3.900%, 05/15/2024 | 16,717 | 0.0 | ||||||||||
105,000 | Energy Transfer L.P., 4.000%, 10/01/2027 | 98,405 | 0.0 | ||||||||||
306,000 | Energy Transfer L.P., 5.000%, 05/15/2050 | 258,765 | 0.1 | ||||||||||
579,000 | Energy Transfer L.P., 5.500%, 06/01/2027 | 576,246 | 0.2 | ||||||||||
162,000 | Energy Transfer L.P., 5.750%, 02/15/2033 | 163,283 | 0.1 | ||||||||||
106,000 | Energy Transfer L.P., 6.250%, 04/15/2049 | 103,641 | 0.1 | ||||||||||
115,000 | Enterprise Products Operating LLC, 3.300%, 02/15/2053 | 82,208 | 0.0 | ||||||||||
140,000 | (1) | EQT Corp., 3.125%, 05/15/2026 | 128,848 | 0.1 | |||||||||
79,000 | (1) | EQT Corp., 3.625%, 05/15/2031 | 68,060 | 0.0 | |||||||||
46,000 | EQT Corp., 3.900%, 10/01/2027 | 42,569 | 0.0 | ||||||||||
264,000 | Kinder Morgan, Inc., 3.600%, 02/15/2051 | 183,363 | 0.1 | ||||||||||
25,000 | MPLX L.P., 5.650%, 03/01/2053 | 23,397 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Energy: (continued) | |||||||||||||
96,000 | (1) | NGPL PipeCo LLC, 3.250%, 07/15/2031 | $ | 79,248 | 0.0 | ||||||||
46,000 | Occidental Petroleum Corp., 6.450%, 09/15/2036 | 47,275 | 0.0 | ||||||||||
79,000 | Occidental Petroleum Corp., 7.875%, 09/15/2031 | 88,183 | 0.0 | ||||||||||
75,000 | Pioneer Natural Resources Co., 5.100%, 03/29/2026 | 74,575 | 0.0 | ||||||||||
353,000 | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | 347,672 | 0.2 | ||||||||||
129,000 | Targa Resources Corp., 4.200%, 02/01/2033 | 114,284 | 0.1 | ||||||||||
27,000 | Targa Resources Corp., 6.500%, 02/15/2053 | 27,601 | 0.0 | ||||||||||
240,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 4.875%, 02/01/2031 | 222,068 | 0.1 | ||||||||||
56,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.875%, 01/15/2029 | 57,169 | 0.0 | ||||||||||
438,000 | (1) | Texas Eastern Transmission L.P., 3.500%, 01/15/2028 | 405,440 | 0.2 | |||||||||
782,000 | Transcontinental Gas Pipe Line Co. LLC, 7.850%, 02/01/2026 | 819,101 | 0.3 | ||||||||||
35,000 | Western Midstream Operating L.P., 6.150%, 04/01/2033 | 35,324 | 0.0 | ||||||||||
20,000 | Williams Cos, Inc./The, 5.300%, 08/15/2052 | 18,468 | 0.0 | ||||||||||
8,272,125 | 3.4 | ||||||||||||
Financial: 6.7% | |||||||||||||
10,000 | American Tower Corp., 2.100%, 06/15/2030 | 8,090 | 0.0 | ||||||||||
189,000 | American Tower Corp., 3.550%, 07/15/2027 | 175,294 | 0.1 | ||||||||||
307,000 | American Tower Corp., 3.800%, 08/15/2029 | 280,445 | 0.1 | ||||||||||
140,000 | American Tower Corp., 5.550%, 07/15/2033 | 141,091 | 0.1 | ||||||||||
444,000 | American Tower Corp., 5.650%, 03/15/2033 | 450,657 | 0.2 | ||||||||||
484,000 | Aon Corp., 2.800%, 05/15/2030 | 419,427 | 0.2 | ||||||||||
217,000 | Aon Corp. / Aon Global Holdings PLC, 5.350%, 02/28/2033 | 218,759 | 0.1 | ||||||||||
25,000 | (2) | Bank of America Corp., 1.898%, 07/23/2031 | 19,920 | 0.0 | |||||||||
838,000 | (2) | Bank of America Corp., 2.299%, 07/21/2032 | 670,497 | 0.3 | |||||||||
1,064,000 | (2) | Bank of America Corp., 2.551%, 02/04/2028 | 961,119 | 0.4 | |||||||||
193,000 | (2) | Bank of America Corp., 2.572%, 10/20/2032 | 157,273 | 0.1 | |||||||||
88,000 | (2) | Bank of America Corp., 2.687%, 04/22/2032 | 72,966 | 0.0 | |||||||||
300,000 | (2) | Bank of America Corp., 3.974%, 02/07/2030 | 278,003 | 0.1 | |||||||||
195,000 | (2) | Bank of America Corp., 5.202%, 04/25/2029 | 192,991 | 0.1 |
See Accompanying Notes to Financial Statements
23
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Financial: (continued) | |||||||||||||
106,000 | (2) | Bank of America Corp., 5.288%, 04/25/2034 | $ | 105,062 | 0.0 | ||||||||
444,000 | (2) | Bank of America Corp., 5.501%, 06/14/2024 | 443,402 | 0.2 | |||||||||
15,000 | (2) | Capital One Financial Corp., 2.359%, 07/29/2032 | 10,601 | 0.0 | |||||||||
184,000 | (2) | Capital One Financial Corp., 3.273%, 03/01/2030 | 156,421 | 0.1 | |||||||||
26,000 | (2) | Capital One Financial Corp., 5.817%, 02/01/2034 | 24,818 | 0.0 | |||||||||
31,000 | (2) | Citigroup, Inc., 0.776%, 10/30/2024 | 30,457 | 0.0 | |||||||||
302,000 | (2) | Citigroup, Inc., 2.666%, 01/29/2031 | 255,759 | 0.1 | |||||||||
31,000 | (2) | Citigroup, Inc., 2.976%, 11/05/2030 | 26,889 | 0.0 | |||||||||
72,000 | (1) | Corebridge Global Funding, 0.450%, 12/08/2023 | 70,347 | 0.0 | |||||||||
260,000 | Credit Suisse AG/New York NY, 3.700%, 02/21/2025 | 248,616 | 0.1 | ||||||||||
300,000 | Credit Suisse AG/New York NY, 7.500%, 02/15/2028 | 318,970 | 0.1 | ||||||||||
326,000 | Crown Castle, Inc., 2.100%, 04/01/2031 | 261,125 | 0.1 | ||||||||||
247,000 | Crown Castle, Inc., 2.250%, 01/15/2031 | 201,535 | 0.1 | ||||||||||
55,000 | Crown Castle, Inc., 2.900%, 03/15/2027 | 50,383 | 0.0 | ||||||||||
27,000 | Crown Castle, Inc., 3.150%, 07/15/2023 | 26,967 | 0.0 | ||||||||||
310,000 | Crown Castle, Inc., 3.800%, 02/15/2028 | 289,255 | 0.1 | ||||||||||
609,000 | Crown Castle, Inc., 5.100%, 05/01/2033 | 598,911 | 0.3 | ||||||||||
27,000 | Equinix, Inc., 2.150%, 07/15/2030 | 21,854 | 0.0 | ||||||||||
435,000 | Equinix, Inc., 3.200%, 11/18/2029 | 382,457 | 0.2 | ||||||||||
477,000 | GLP Capital L.P. / GLP Financing II, Inc., 3.250%, 01/15/2032 | 385,623 | 0.2 | ||||||||||
30,000 | GLP Capital L.P. / GLP Financing II, Inc., 4.000%, 01/15/2031 | 25,964 | 0.0 | ||||||||||
189,000 | GLP Capital L.P. / GLP Financing II, Inc., 5.300%, 01/15/2029 | 180,127 | 0.1 | ||||||||||
141,000 | (2) | Goldman Sachs Group, Inc./ The, 1.757%, 01/24/2025 | 137,313 | 0.1 | |||||||||
453,000 | (2) | Goldman Sachs Group, Inc./ The, 1.992%, 01/27/2032 | 356,792 | 0.2 | |||||||||
32,000 | (2) | Goldman Sachs Group, Inc./ The, 2.615%, 04/22/2032 | 26,253 | 0.0 | |||||||||
295,000 | (2) | Goldman Sachs Group, Inc./ The, 2.640%, 02/24/2028 | 267,893 | 0.1 | |||||||||
44,000 | (2) | Goldman Sachs Group, Inc./ The, 2.650%, 10/21/2032 | 35,880 | 0.0 | |||||||||
29,000 | Intercontinental Exchange, Inc., 2.100%, 06/15/2030 | 24,333 | 0.0 | ||||||||||
341,000 | (2) | JPMorgan Chase & Co., 2.545%, 11/08/2032 | 279,531 | 0.1 | |||||||||
107,000 | (2) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 88,914 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Financial: (continued) | |||||||||||||
424,000 | (2) | JPMorgan Chase & Co., 2.963%, 01/25/2033 | $ | 357,324 | 0.2 | ||||||||
31,000 | (2) | JPMorgan Chase & Co., 3.220%, 03/01/2025 | 30,395 | 0.0 | |||||||||
169,000 | (2) | JPMorgan Chase & Co., 4.565%, 06/14/2030 | 162,549 | 0.1 | |||||||||
69,000 | Kimco Realty OP LLC, 4.600%, 02/01/2033 | 63,879 | 0.0 | ||||||||||
105,000 | Marsh & McLennan Cos, Inc., 2.250%, 11/15/2030 | 87,398 | 0.0 | ||||||||||
35,000 | Marsh & McLennan Cos, Inc., 5.450%, 03/15/2053 | 35,667 | 0.0 | ||||||||||
30,000 | Mitsubishi UFJ Financial Group, Inc., 3.407%, 03/07/2024 | 29,525 | 0.0 | ||||||||||
80,000 | (2) | Morgan Stanley, 1.928%, 04/28/2032 | 62,488 | 0.0 | |||||||||
148,000 | (2) | Morgan Stanley, 2.239%, 07/21/2032 | 117,689 | 0.1 | |||||||||
205,000 | (2) | Morgan Stanley, 2.511%, 10/20/2032 | 165,675 | 0.1 | |||||||||
400,000 | (2) | Morgan Stanley, 2.943%, 01/21/2033 | 332,699 | 0.1 | |||||||||
309,000 | (2) | Morgan Stanley, 3.622%, 04/01/2031 | 278,598 | 0.1 | |||||||||
604,000 | (2) | Morgan Stanley, 4.210%, 04/20/2028 | 580,728 | 0.2 | |||||||||
1,029,000 | (2) | Morgan Stanley, 4.431%, 01/23/2030 | 979,853 | 0.4 | |||||||||
32,000 | (2) | Morgan Stanley, 4.889%, 07/20/2033 | 30,816 | 0.0 | |||||||||
583,000 | (2) | Morgan Stanley, 5.250%, 04/21/2034 | 575,957 | 0.2 | |||||||||
186,000 | Nasdaq, Inc., 5.550%, 02/15/2034 | 186,816 | 0.1 | ||||||||||
142,000 | NNN REIT, Inc., 3.000%, 04/15/2052 | 86,692 | 0.0 | ||||||||||
85,000 | (1) | Principal Life Global Funding II, 0.750%, 04/12/2024 | 81,616 | 0.0 | |||||||||
101,000 | Prologis L.P., 2.250%, 01/15/2032 | 81,665 | 0.0 | ||||||||||
158,000 | Prologis L.P., 4.000%, 09/15/2028 | 151,693 | 0.1 | ||||||||||
330,000 | (1), (2) | UBS Group AG, 6.537%, 08/12/2033 | 338,254 | 0.1 | |||||||||
45,000 | VICI Properties L.P., 4.375%, 05/15/2025 | 43,531 | 0.0 | ||||||||||
256,000 | VICI Properties L.P., 4.750%, 02/15/2028 | 242,657 | 0.1 | ||||||||||
216,000 | VICI Properties L.P., 4.950%, 02/15/2030 | 202,821 | 0.1 | ||||||||||
149,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 3.750%, 02/15/2027 | 136,817 | 0.1 | |||||||||
163,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.125%, 08/15/2030 | 143,657 | 0.1 | |||||||||
418,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.250%, 12/01/2026 | 391,407 | 0.2 | |||||||||
24,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.500%, 09/01/2026 | 22,695 | 0.0 |
See Accompanying Notes to Financial Statements
24
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Financial: (continued) | |||||||||||||
32,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.625%, 06/15/2025 | $ | 30,949 | 0.0 | ||||||||
30,000 | (1) | VICI Properties L.P. / VICI Note Co., Inc., 5.750%, 02/01/2027 | 29,391 | 0.0 | |||||||||
31,000 | (2) | Wells Fargo & Co., 2.393%, 06/02/2028 | 27,647 | 0.0 | |||||||||
137,000 | (2) | Wells Fargo & Co., 3.526%, 03/24/2028 | 128,010 | 0.1 | |||||||||
90,000 | (2) | Wells Fargo & Co., 3.584%, 05/22/2028 | 83,882 | 0.0 | |||||||||
441,000 | (2) | Wells Fargo & Co., 5.389%, 04/24/2034 | 438,388 | 0.2 | |||||||||
16,118,812 | 6.7 | ||||||||||||
Industrial: 1.7% | |||||||||||||
236,000 | Amcor Flexibles North America, Inc., 2.690%, 05/25/2031 | 193,457 | 0.1 | ||||||||||
30,000 | (1) | Berry Global, Inc., 5.500%, 04/15/2028 | 29,548 | 0.0 | |||||||||
150,000 | Boeing Co/The, 5.930%, 05/01/2060 | 148,678 | 0.1 | ||||||||||
20,000 | Burlington Northern Santa Fe LLC, 2.875%, 06/15/2052 | 13,700 | 0.0 | ||||||||||
209,000 | Burlington Northern Santa Fe LLC, 3.300%, 09/15/2051 | 156,275 | 0.1 | ||||||||||
80,000 | CSX Corp., 2.500%, 05/15/2051 | 50,988 | 0.0 | ||||||||||
105,000 | CSX Corp., 4.500%, 11/15/2052 | 94,968 | 0.0 | ||||||||||
57,000 | General Dynamics Corp., 3.750%, 05/15/2028 | 54,639 | 0.0 | ||||||||||
379,000 | Huntington Ingalls Industries, Inc., 2.043%, 08/16/2028 | 318,508 | 0.1 | ||||||||||
5,000 | Huntington Ingalls Industries, Inc., 3.483%, 12/01/2027 | 4,586 | 0.0 | ||||||||||
218,000 | L3Harris Technologies, Inc., 3.850%, 12/15/2026 | 207,900 | 0.1 | ||||||||||
115,000 | Lockheed Martin Corp., 2.800%, 06/15/2050 | 81,728 | 0.0 | ||||||||||
184,000 | Norfolk Southern Corp., 3.050%, 05/15/2050 | 127,492 | 0.1 | ||||||||||
117,000 | Norfolk Southern Corp., 3.800%, 08/01/2028 | 110,745 | 0.0 | ||||||||||
161,000 | Norfolk Southern Corp., 4.550%, 06/01/2053 | 145,638 | 0.1 | ||||||||||
234,000 | Northrop Grumman Corp., 2.930%, 01/15/2025 | 224,986 | 0.1 | ||||||||||
181,000 | Northrop Grumman Corp., 4.700%, 03/15/2033 | 177,737 | 0.1 | ||||||||||
266,000 | Northrop Grumman Corp., 4.950%, 03/15/2053 | 259,395 | 0.1 | ||||||||||
131,000 | Northrop Grumman Corp., 5.250%, 05/01/2050 | 133,300 | 0.1 | ||||||||||
176,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 2.700%, 11/01/2024 | 168,013 | 0.1 | |||||||||
34,000 | Raytheon Technologies Corp., 2.820%, 09/01/2051 | 22,866 | 0.0 | ||||||||||
403,000 | Raytheon Technologies Corp., 3.125%, 07/01/2050 | 292,289 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Industrial: (continued) | |||||||||||||
86,000 | Raytheon Technologies Corp., 4.125%, 11/16/2028 | $ | 82,887 | 0.0 | |||||||||
26,000 | Raytheon Technologies Corp., 4.625%, 11/16/2048 | 24,289 | 0.0 | ||||||||||
125,000 | Raytheon Technologies Corp., 5.150%, 02/27/2033 | 126,763 | 0.0 | ||||||||||
174,000 | Raytheon Technologies Corp., 5.375%, 02/27/2053 | 180,865 | 0.1 | ||||||||||
55,000 | Republic Services, Inc., 2.375%, 03/15/2033 | 44,783 | 0.0 | ||||||||||
134,000 | Ryder System, Inc., 5.650%, 03/01/2028 | 134,201 | 0.1 | ||||||||||
143,000 | Textron, Inc., 3.900%, 09/17/2029 | 131,364 | 0.1 | ||||||||||
143,000 | Union Pacific Corp., 3.200%, 05/20/2041 | 112,584 | 0.0 | ||||||||||
202,000 | Union Pacific Corp., 3.250%, 02/05/2050 | 151,195 | 0.1 | ||||||||||
4,006,367 | 1.7 | ||||||||||||
Technology: 1.6% | |||||||||||||
22,000 | Apple, Inc., 2.550%, 08/20/2060 | 14,535 | 0.0 | ||||||||||
154,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.500%, 01/15/2028 | 142,352 | 0.1 | ||||||||||
348,000 | (1) | Broadcom, Inc., 3.419%, 04/15/2033 | 291,179 | 0.1 | |||||||||
69,000 | (1) | Broadcom, Inc., 3.469%, 04/15/2034 | 56,626 | 0.0 | |||||||||
5,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 4,603 | 0.0 | ||||||||||
25,000 | (1) | Broadcom, Inc., 4.150%, 04/15/2032 | 22,656 | 0.0 | |||||||||
15,000 | Dell International LLC / EMC Corp., 8.350%, 07/15/2046 | 18,413 | 0.0 | ||||||||||
33,000 | DXC Technology Co., 2.375%, 09/15/2028 | 27,521 | 0.0 | ||||||||||
244,000 | Hewlett Packard Enterprise Co., 5.250%, 07/01/2028 | 241,768 | 0.1 | ||||||||||
263,000 | Intel Corp., 4.875%, 02/10/2028 | 262,139 | 0.1 | ||||||||||
298,000 | KLA Corp., 4.100%, 03/15/2029 | 286,830 | 0.1 | ||||||||||
161,000 | KLA Corp., 5.250%, 07/15/2062 | 163,138 | 0.1 | ||||||||||
32,000 | Lam Research Corp., 2.875%, 06/15/2050 | 22,384 | 0.0 | ||||||||||
182,000 | (1) | MSCI, Inc., 3.250%, 08/15/2033 | 146,761 | 0.1 | |||||||||
133,000 | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.150%, 05/01/2027 | 122,200 | 0.1 | ||||||||||
300,000 | NXP BV / NXP Funding LLC / NXP USA, Inc., 4.300%, 06/18/2029 | 282,920 | 0.1 | ||||||||||
74,000 | Oracle Corp., 3.600%, 04/01/2050 | 52,920 | 0.0 | ||||||||||
1,208,000 | Oracle Corp., 3.650%, 03/25/2041 | 931,468 | 0.4 | ||||||||||
14,000 | Oracle Corp., 3.800%, 11/15/2037 | 11,455 | 0.0 | ||||||||||
58,000 | Oracle Corp., 4.100%, 03/25/2061 | 42,854 | 0.0 | ||||||||||
80,000 | Oracle Corp., 5.550%, 02/06/2053 | 77,525 | 0.0 |
See Accompanying Notes to Financial Statements
25
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Technology: (continued) | |||||||||||||
128,000 | QUALCOMM, Inc., 4.500%, 05/20/2052 | $ | 116,584 | 0.1 | |||||||||
52,000 | QUALCOMM, Inc., 5.400%, 05/20/2033 | 54,777 | 0.0 | ||||||||||
37,000 | Salesforce, Inc., 3.050%, 07/15/2061 | 25,133 | 0.0 | ||||||||||
200,000 | TSMC Arizona Corp., 4.250%, 04/22/2032 | 194,015 | 0.1 | ||||||||||
212,000 | VMware, Inc., 1.800%, 08/15/2028 | 177,809 | 0.1 | ||||||||||
114,000 | VMware, Inc., 2.200%, 08/15/2031 | 89,626 | 0.0 | ||||||||||
3,880,191 | 1.6 | ||||||||||||
Utilities: 2.6% | |||||||||||||
41,000 | AEP Texas, Inc., 3.450%, 05/15/2051 | 29,236 | 0.0 | ||||||||||
200,000 | AEP Texas, Inc., 5.400%, 06/01/2033 | 199,098 | 0.1 | ||||||||||
329,000 | AEP Transmission Co. LLC, 2.750%, 08/15/2051 | 212,624 | 0.1 | ||||||||||
173,000 | Alabama Power Co., 3.125%, 07/15/2051 | 119,944 | 0.1 | ||||||||||
32,000 | Ameren Illinois Co., 2.900%, 06/15/2051 | 21,640 | 0.0 | ||||||||||
94,000 | (1) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | 77,879 | 0.0 | |||||||||
67,000 | Atmos Energy Corp., 2.850%, 02/15/2052 | 45,336 | 0.0 | ||||||||||
209,000 | Baltimore Gas and Electric Co., 4.550%, 06/01/2052 | 186,228 | 0.1 | ||||||||||
30,000 | Baltimore Gas and Electric Co., 5.400%, 06/01/2053 | 30,516 | 0.0 | ||||||||||
30,000 | CenterPoint Energy Houston Electric LLC, 2.900%, 07/01/2050 | 20,491 | 0.0 | ||||||||||
35,000 | CenterPoint Energy Houston Electric LLC, 3.350%, 04/01/2051 | 26,172 | 0.0 | ||||||||||
87,000 | CenterPoint Energy Houston Electric LLC, 3.600%, 03/01/2052 | 67,720 | 0.0 | ||||||||||
45,000 | CenterPoint Energy Houston Electric LLC, 4.950%, 04/01/2033 | 44,945 | 0.0 | ||||||||||
54,000 | CenterPoint Energy Resources Corp., 1.750%, 10/01/2030 | 43,343 | 0.0 | ||||||||||
13,000 | CenterPoint Energy Resources Corp., 5.250%, 03/01/2028 | 13,005 | 0.0 | ||||||||||
77,000 | Commonwealth Edison Co., 2.750%, 09/01/2051 | 49,957 | 0.0 | ||||||||||
35,000 | Commonwealth Edison Co., 5.300%, 02/01/2053 | 35,646 | 0.0 | ||||||||||
91,000 | Consolidated Edison Co. of New York, Inc., 6.150%, 11/15/2052 | 100,224 | 0.1 | ||||||||||
115,000 | Consumers Energy Co., 2.650%, 08/15/2052 | 73,863 | 0.0 | ||||||||||
113,000 | Consumers Energy Co., 4.200%, 09/01/2052 | 96,913 | 0.0 | ||||||||||
158,000 | Consumers Energy Co., 4.625%, 05/15/2033 | 153,847 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Utilities: (continued) | |||||||||||||
90,000 | DTE Electric Co., 3.650%, 03/01/2052 | $ | 70,263 | 0.0 | |||||||||
42,000 | DTE Electric Co., 3.950%, 03/01/2049 | 34,621 | 0.0 | ||||||||||
108,000 | DTE Electric Co., 5.400%, 04/01/2053 | 111,609 | 0.1 | ||||||||||
52,000 | Duke Energy Carolinas LLC, 2.450%, 02/01/2030 | 44,791 | 0.0 | ||||||||||
71,000 | Duke Energy Carolinas LLC, 3.450%, 04/15/2051 | 52,018 | 0.0 | ||||||||||
34,000 | Duke Energy Carolinas LLC, 3.550%, 03/15/2052 | 25,969 | 0.0 | ||||||||||
145,000 | Duke Energy Carolinas LLC, 4.950%, 01/15/2033 | 144,000 | 0.1 | ||||||||||
74,000 | Duke Energy Carolinas LLC, 5.350%, 01/15/2053 | 75,075 | 0.0 | ||||||||||
137,000 | Duke Energy Florida LLC, 1.750%, 06/15/2030 | 111,601 | 0.1 | ||||||||||
262,000 | Duke Energy Florida LLC, 3.800%, 07/15/2028 | 249,568 | 0.1 | ||||||||||
20,000 | Duke Energy Florida LLC, 5.950%, 11/15/2052 | 21,830 | 0.0 | ||||||||||
25,000 | Duke Energy Ohio, Inc., 5.650%, 04/01/2053 | 25,674 | 0.0 | ||||||||||
262,000 | Duke Energy Progress LLC, 2.900%, 08/15/2051 | 175,299 | 0.1 | ||||||||||
95,000 | Edison International, 5.250%, 11/15/2028 | 92,518 | 0.0 | ||||||||||
118,000 | Edison International, 5.750%, 06/15/2027 | 118,083 | 0.1 | ||||||||||
111,000 | Edison International, 6.950%, 11/15/2029 | 116,867 | 0.1 | ||||||||||
185,000 | Entergy Louisiana LLC, 2.350%, 06/15/2032 | 148,578 | 0.1 | ||||||||||
65,000 | Evergy Kansas Central, Inc., 5.700%, 03/15/2053 | 67,057 | 0.0 | ||||||||||
80,000 | Evergy Metro, Inc., 4.950%, 04/15/2033 | 78,751 | 0.0 | ||||||||||
120,000 | Eversource Energy, 5.450%, 03/01/2028 | 120,911 | 0.1 | ||||||||||
73,000 | Exelon Corp., 2.750%, 03/15/2027 | 66,848 | 0.0 | ||||||||||
78,000 | Exelon Corp., 4.100%, 03/15/2052 | 63,016 | 0.0 | ||||||||||
32,000 | Exelon Corp., 4.700%, 04/15/2050 | 28,324 | 0.0 | ||||||||||
120,000 | Exelon Corp., 5.150%, 03/15/2028 | 119,522 | 0.1 | ||||||||||
78,000 | Exelon Corp., 5.600%, 03/15/2053 | 78,734 | 0.0 | ||||||||||
100,000 | Florida Power & Light Co., 2.875%, 12/04/2051 | 69,256 | 0.0 | ||||||||||
30,000 | Florida Power & Light Co., 3.950%, 03/01/2048 | 25,314 | 0.0 | ||||||||||
30,000 | Kentucky Utilities Co., 5.450%, 04/15/2033 | 30,582 | 0.0 | ||||||||||
40,000 | Louisville Gas and Electric Co., 5.450%, 04/15/2033 | 40,773 | 0.0 | ||||||||||
241,000 | MidAmerican Energy Co., 2.700%, 08/01/2052 | 152,605 | 0.1 | ||||||||||
53,000 | Northern States Power Co/MN, 2.600%, 06/01/2051 | 34,049 | 0.0 | ||||||||||
95,000 | Northern States Power Co/MN, 3.200%, 04/01/2052 | 68,277 | 0.0 | ||||||||||
213,000 | (1) | NRG Energy, Inc., 4.450%, 06/15/2029 | 188,465 | 0.1 |
See Accompanying Notes to Financial Statements
26
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||
Utilities: (continued) | |||||||||||||
150,000 | Ohio Power Co., 2.900%, 10/01/2051 | $ | 99,814 | 0.1 | |||||||||
45,000 | Ohio Power Co., 5.000%, 06/01/2033 | 44,191 | 0.0 | ||||||||||
47,000 | Oncor Electric Delivery Co. LLC, 3.100%, 09/15/2049 | 33,267 | 0.0 | ||||||||||
27,000 | Oncor Electric Delivery Co. LLC, 4.150%, 06/01/2032 | 25,670 | 0.0 | ||||||||||
142,000 | Oncor Electric Delivery Co. LLC, 4.550%, 09/15/2032 | 137,932 | 0.1 | ||||||||||
126,000 | Pacific Gas and Electric Co., 6.150%, 01/15/2033 | 123,305 | 0.1 | ||||||||||
40,000 | Pacific Gas and Electric Co., 6.700%, 04/01/2053 | 39,309 | 0.0 | ||||||||||
238,000 | PECO Energy Co., 2.850%, 09/15/2051 | 157,553 | 0.1 | ||||||||||
60,000 | Public Service Co. of New Hampshire, 5.150%, 01/15/2053 | 60,373 | 0.0 | ||||||||||
85,000 | Public Service Electric and Gas Co., 4.900%, 12/15/2032 | 84,961 | 0.0 | ||||||||||
85,000 | San Diego Gas & Electric Co., 5.350%, 04/01/2053 | 84,397 | 0.0 | ||||||||||
200,000 | Southern California Edison Co., 1.200%, 02/01/2026 | 178,755 | 0.1 | ||||||||||
120,000 | Southern California Edison Co., 5.875%, 12/01/2053 | 122,509 | 0.1 | ||||||||||
208,000 | Southern California Edison Co., 5.950%, 11/01/2032 | 217,874 | 0.1 | ||||||||||
73,000 | Southwest Gas Corp., 5.450%, 03/23/2028 | 72,842 | 0.0 | ||||||||||
65,000 | Southwestern Electric Power Co., 5.300%, 04/01/2033 | 64,218 | 0.0 | ||||||||||
74,000 | Southwestern Public Service Co., 3.150%, 05/01/2050 | 51,640 | 0.0 | ||||||||||
20,000 | Spire Missouri, Inc., 4.800%, 02/15/2033 | 19,690 | 0.0 | ||||||||||
70,000 | Union Electric Co., 5.450%, 03/15/2053 | 71,477 | 0.0 | ||||||||||
149,000 | Virginia Electric and Power Co., 2.450%, 12/15/2050 | 89,422 | 0.0 | ||||||||||
145,000 | Wisconsin Power and Light Co., 4.950%, 04/01/2033 | 143,550 | 0.1 | ||||||||||
6,422,224 | 2.6 | ||||||||||||
Total Corporate Bonds/Notes (Cost $56,826,845) | 51,741,218 | 21.4 | |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.1% | |||||||||||||
290,296 | (1),(2) | BRAVO Residential Funding Trust 2023-NQM3 A1, 4.850%, 09/25/2062 | 277,946 | 0.1 | |||||||||
346,250 | (1),(2) | CIM Trust 2023-I2 A1, 6.639%, 12/25/2067 | 345,983 | 0.1 | |||||||||
284,546 | (1),(2) | CSMC 2022-NQM4 A1A Trust, 4.819%, 06/25/2067 | 276,691 | 0.1 | |||||||||
524,630 | (1),(2) | CSMC 2022-NQM5 A1 Trust, 5.169%, 05/25/2067 | 510,332 | 0.2 | |||||||||
355,288 | (1),(2) | Ellington Financial Mortgage Trust 2021-3 A1, 1.241%, 09/25/2066 | 275,177 | 0.1 | |||||||||
257,253 | (1),(2) | Homeward Opportunities Fund Trust 2022-1 A1, 5.082%, 07/25/2067 | 248,631 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||
876,176 | (1),(2) | J.P. Morgan Mortgage Trust 2022-INV3 A3B, 3.000%, 09/25/2052 | $ | 738,688 | 0.3 | ||||||||
152,902 | (1),(2) | J.P. Morgan Mortgage Trust 2023-DSC1 A1, 4.625%, 07/25/2063 | 142,688 | 0.1 | |||||||||
1,030,715 | (1),(2) | Mello Mortgage Capital Acceptance 2022-INV2 A3, 3.000%, 04/25/2052 | 866,411 | 0.4 | |||||||||
340,793 | (1),(2) | OBX 2022-NQM9 A1A Trust, 6.450%, 09/25/2062 | 340,664 | 0.1 | |||||||||
95,532 | (1),(2) | PRKCM 2022-AFC2 A1 Trust, 5.335%, 08/25/2057 | 93,163 | 0.0 | |||||||||
407,499 | (1),(2) | SG Residential Mortgage Trust 2021-1 A1, 1.160%, 07/25/2061 | 314,401 | 0.1 | |||||||||
131,712 | (1),(2),(3) | SG Residential Mortgage Trust 2022-2 A1, 5.353% (Step Rate @ 6.353% on 07/01/2026), 08/25/2062 | 128,318 | 0.1 | |||||||||
380,661 | (1),(2),(3) | Verus Securitization Trust 2022-7 A1, 5.152% (Step Rate @ 6.152% on 07/01/2026), 07/25/2067 | 367,461 | 0.2 | |||||||||
109,799 | (1),(3) | Verus Securitization Trust 2022-INV2 A1, 6.790% (Step Rate @ 7.790% on 10/01/2026), 10/25/2067 | 109,915 | 0.1 | |||||||||
2,117 | (1),(2) | Visio 2022-1 A1 Trust, 5.759%, 08/25/2057 | 2,077 | 0.0 | |||||||||
Total Collateralized Mortgage Obligations (Cost $5,296,498) | 5,038,546 | 2.1 | |||||||||||
MUNICIPAL BONDS: 0.1% | |||||||||||||
California: 0.1% | |||||||||||||
300,000 | University of California, 2.650%, 05/15/2050 | 194,103 | 0.1 | ||||||||||
Total Municipal Bonds (Cost $220,114) | 194,103 | 0.1 | |||||||||||
U.S. TREASURY OBLIGATIONS: 52.3% | |||||||||||||
Treasury Inflation Indexed Protected Securities: 52.3% | |||||||||||||
130,064 | 0.125%,10/15/2024 | 125,468 | 0.1 | ||||||||||
3,880,044 | 0.125%,10/15/2026 | 3,628,184 | 1.5 | ||||||||||
2,847,266 | 0.125%,04/15/2027 | 2,636,152 | 1.1 | ||||||||||
2,057,530 | 0.125%,01/15/2030 | 1,846,457 | 0.8 | ||||||||||
8,187,744 | 0.125%,07/15/2030 | 7,346,085 | 3.0 | ||||||||||
8,477,994 | 0.125%,01/15/2031 | 7,538,352 | 3.1 | ||||||||||
4,510,462 | 0.125%,07/15/2031 | 4,001,759 | 1.7 | ||||||||||
9,263,842 | (4) | 0.125%,01/15/2032 | 8,159,774 | 3.4 | |||||||||
3,367,457 | 0.125%,02/15/2051 | 2,249,926 | 0.9 | ||||||||||
3,427,295 | 0.125%,02/15/2052 | 2,277,001 | 0.9 | ||||||||||
4,144,965 | 0.250%,07/15/2029 | 3,786,390 | 1.6 | ||||||||||
2,885,002 | 0.250%,02/15/2050 | 2,020,366 | 0.8 | ||||||||||
2,064,850 | 0.375%,07/15/2027 | 1,936,181 | 0.8 | ||||||||||
9,600,591 | 0.625%,07/15/2032 | 8,829,363 | 3.6 | ||||||||||
2,869,869 | 0.625%,02/15/2043 | 2,356,682 | 1.0 | ||||||||||
5,523,028 | 0.750%,07/15/2028 | 5,235,527 | 2.2 | ||||||||||
4,033,960 | 0.750%,02/15/2042 | 3,430,923 | 1.4 | ||||||||||
4,708,627 | (4) | 0.750%,02/15/2045 | 3,895,525 | 1.6 | |||||||||
5,655,011 | 0.875%,01/15/2029 | 5,354,807 | 2.2 | ||||||||||
2,840,187 | 0.875%,02/15/2047 | 2,385,596 | 1.0 | ||||||||||
2,445,392 | 1.000%,02/15/2046 | 2,123,648 | 0.9 |
See Accompanying Notes to Financial Statements
27
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
U.S. TREASURY OBLIGATIONS: (continued) | |||||||||||||
Treasury Inflation Indexed Protected Securities: (continued) | |||||||||||||
2,177,454 | 1.000%,02/15/2048 | $ | 1,875,140 | 0.8 | |||||||||
2,073,580 | 1.000%,02/15/2049 | 1,785,296 | 0.7 | ||||||||||
8,534,360 | 1.125%,01/15/2033 | 8,182,082 | 3.4 | ||||||||||
3,347,668 | 1.250%,04/15/2028 | 5,722,031 | 2.4 | ||||||||||
4,393,103 | (4) | 1.375%,02/15/2044 | 4,142,113 | 1.7 | |||||||||
1,607,366 | 1.500%,02/15/2053 | 1,562,081 | 0.6 | ||||||||||
3,257,394 | 1.625%,10/15/2027 | 3,210,522 | 1.3 | ||||||||||
700,861 | (4) | 1.750%,01/15/2028 | 692,955 | 0.3 | |||||||||
1,594,854 | 2.125%,02/15/2040 | 1,712,565 | 0.7 | ||||||||||
2,493,504 | 2.125%,02/15/2041 | 2,677,853 | 1.1 | ||||||||||
2,154,158 | 2.375%,01/15/2027 | 2,165,575 | 0.9 | ||||||||||
2,232,477 | 2.500%,01/15/2029 | 2,299,940 | 0.9 | ||||||||||
1,358,727 | 3.375%,04/15/2032 | 1,545,892 | 0.6 | ||||||||||
3,316,096 | 3.625%,04/15/2028 | 3,560,457 | 1.5 | ||||||||||
3,917,678 | 3.875%,04/15/2029 | 4,329,841 | 1.8 | ||||||||||
Total U.S. Treasury Obligations (Cost $139,336,346) | 126,628,509 | 52.3 | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 17.0% | |||||||||||||
Federal National Mortgage Association: 5.3%(4) | |||||||||||||
30,000 | (6) | 4.500%,07/15/2038 | 29,417 | 0.0 | |||||||||
6,728,000 | (6) | 5.000%,07/15/2053 | 6,592,914 | 2 .7 | |||||||||
6,123,666 | (6) | 5.500%,07/15/2053 | 6,094,483 | 2 .5 | |||||||||
74,000 | (6) | 6.500%,07/15/2053 | 75,561 | 0.1 | |||||||||
12,792,375 | 5.3 | ||||||||||||
Government National Mortgage Association: 2.3% | |||||||||||||
95,972 | 2.000%,11/20/2050 | 81,073 | 0.0 | ||||||||||
196,994 | 2.000%,01/20/2051 | 166,215 | 0.1 | ||||||||||
144,868 | 2.000%,02/20/2051 | 122,245 | 0.1 | ||||||||||
844,200 | (6) | 2.000%,07/15/2053 | 709,754 | 0.3 | |||||||||
481,055 | 2.500%,04/20/2051 | 418,481 | 0.2 | ||||||||||
217,974 | 2.500%,05/20/2052 | 188,943 | 0.1 | ||||||||||
642,457 | 2.500%,06/20/2052 | 556,938 | 0.2 | ||||||||||
363,189 | 2.500%,07/20/2052 | 314,852 | 0.1 | ||||||||||
354,456 | 3.000%,06/20/2051 | 318,514 | 0.1 | ||||||||||
444,530 | 3.000%,08/20/2051 | 399,032 | 0.2 | ||||||||||
118,391 | 3.000%,12/20/2051 | 106,089 | 0.0 | ||||||||||
63,000 | (6) | 3.000%,07/15/2053 | 56,304 | 0.0 | |||||||||
537,715 | 3.500%,05/20/2047 | 505,468 | 0.2 | ||||||||||
224,000 | (6) | 3.500%,07/15/2053 | 206,771 | 0.1 | |||||||||
223,758 | 4.000%,09/20/2048 | 213,621 | 0.1 | ||||||||||
288,000 | (6) | 4.000%,07/15/2053 | 272,554 | 0.1 | |||||||||
167,867 | 4.500%,08/20/2048 | 164,185 | 0.1 | ||||||||||
203,000 | (6) | 4.500%,07/15/2053 | 195,943 | 0.1 | |||||||||
264,000 | (6) | 5.000%,07/15/2053 | 259,442 | 0.1 | |||||||||
155,000 | (6) | 5.500%,07/15/2053 | 154,285 | 0.1 | |||||||||
78,000 | (6) | 6.000%,07/15/2053 | 78,524 | 0.0 | |||||||||
31,000 | (6) | 6.500%,07/15/2053 | 31,547 | 0.0 | |||||||||
5,520,780 | 2.3 | ||||||||||||
Uniform Mortgage-Backed Securities: 9.4% | |||||||||||||
172,215 | 1.500%,04/01/2036 | 150,447 | 0.1 | ||||||||||
58,314 | 1.500%,05/01/2036 | 50,797 | 0.0 | ||||||||||
126,700 | 1.500%,06/01/2036 | 110,142 | 0.1 | ||||||||||
539,336 | 1.500%,11/01/2041 | 437,362 | 0.2 | ||||||||||
320,075 | 1.500%,12/01/2041 | 259,556 | 0.1 | ||||||||||
63,190 | 1.500%,10/01/2050 | 48,993 | 0.0 | ||||||||||
54,346 | 1.500%,10/01/2050 | 42,153 | 0.0 | ||||||||||
49,272 | 1.500%,11/01/2050 | 38,155 | 0.0 | ||||||||||
64,645 | 1.500%,03/01/2051 | 50,065 | 0.0 | ||||||||||
81,893 | 1.500%,03/01/2051 | 63,537 | 0.0 | ||||||||||
10,557 | 1.500%,05/01/2051 | 8,188 | 0.0 | ||||||||||
7,943 | 1.500%,06/01/2051 | 6,158 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||
Uniform Mortgage-Backed Securities: (continued) | |||||||||||||
43,296 | 1.500%,10/01/2051 | $ | 33,538 | 0.0 | |||||||||
10,032 | 1.500%,11/01/2051 | 7,768 | 0.0 | ||||||||||
38,644 | 2.000%,09/01/2035 | 34,503 | 0.0 | ||||||||||
83,759 | 2.000%,01/01/2036 | 74,815 | 0.0 | ||||||||||
24,637 | 2.000%,02/01/2036 | 21,991 | 0.0 | ||||||||||
65,424 | 2.000%,02/01/2036 | 58,397 | 0.0 | ||||||||||
39,257 | 2.000%,03/01/2036 | 34,845 | 0.0 | ||||||||||
32,834 | 2.000%,04/01/2036 | 29,308 | 0.0 | ||||||||||
97,155 | 2.000%,05/01/2036 | 86,327 | 0.0 | ||||||||||
201,820 | 2.000%,05/01/2036 | 179,336 | 0.1 | ||||||||||
35,984 | 2.000%,07/01/2036 | 32,120 | 0.0 | ||||||||||
50,070 | 2.000%,11/01/2036 | 44,472 | 0.0 | ||||||||||
97,862 | 2.000%,02/01/2037 | 86,919 | 0.0 | ||||||||||
104,280 | 2.000%,03/01/2037 | 92,654 | 0.0 | ||||||||||
83,664 | 2.000%,03/01/2037 | 74,259 | 0.0 | ||||||||||
120,575 | 2.000%,03/01/2037 | 107,052 | 0.1 | ||||||||||
70,727 | 2.000%,04/01/2037 | 62,774 | 0.0 | ||||||||||
528,480 | 2.000%,02/01/2042 | 449,410 | 0.2 | ||||||||||
137,274 | 2.000%,09/01/2050 | 113,052 | 0.1 | ||||||||||
247,530 | 2.000%,10/01/2050 | 204,021 | 0.1 | ||||||||||
1,489,272 | 2.000%,01/01/2051 | 1,226,014 | 0.5 | ||||||||||
303,688 | 2.000%,02/01/2051 | 249,706 | 0.1 | ||||||||||
274,340 | 2.000%,03/01/2051 | 224,996 | 0.1 | ||||||||||
224,651 | 2.000%,04/01/2051 | 186,104 | 0.1 | ||||||||||
138,889 | 2.000%,04/01/2051 | 114,895 | 0.1 | ||||||||||
93,565 | 2.000%,04/01/2051 | 77,146 | 0.0 | ||||||||||
529,218 | 2.000%,08/01/2051 | 432,815 | 0.2 | ||||||||||
429,293 | 2.000%,08/01/2051 | 351,074 | 0.2 | ||||||||||
39,200 | 2.000%,10/01/2051 | 32,055 | 0.0 | ||||||||||
244,264 | 2.000%,11/01/2051 | 201,494 | 0.1 | ||||||||||
52,317 | 2.000%,11/01/2051 | 43,205 | 0.0 | ||||||||||
135,887 | 2.000%,11/01/2051 | 112,167 | 0.1 | ||||||||||
279,660 | 2.000%,11/01/2051 | 230,465 | 0.1 | ||||||||||
156,213 | 2.000%,11/01/2051 | 127,859 | 0.1 | ||||||||||
58,887 | 2.000%,12/01/2051 | 48,114 | 0.0 | ||||||||||
287,956 | 2.000%,12/01/2051 | 235,384 | 0.1 | ||||||||||
452,930 | 2.000%,01/01/2052 | 374,090 | 0.2 | ||||||||||
332,652 | 2.000%,02/01/2052 | 271,879 | 0.1 | ||||||||||
178,368 | 2.000%,03/01/2052 | 146,873 | 0.1 | ||||||||||
464,921 | 2.000%,03/01/2052 | 381,894 | 0.2 | ||||||||||
254,407 | 2.000%,03/01/2052 | 209,374 | 0.1 | ||||||||||
600,119 | 2.500%,10/01/2036 | 548,697 | 0.2 | ||||||||||
133,119 | 2.500%,07/01/2050 | 114,514 | 0.1 | ||||||||||
136,026 | 2.500%,07/01/2050 | 117,014 | 0.1 | ||||||||||
135,327 | 2.500%,07/01/2050 | 116,413 | 0.1 | ||||||||||
21,025 | 2.500%,07/01/2050 | 18,041 | 0.0 | ||||||||||
69,162 | 2.500%,07/01/2050 | 59,834 | 0.0 | ||||||||||
34,675 | 2.500%,08/01/2050 | 29,829 | 0.0 | ||||||||||
111,028 | 2.500%,08/01/2050 | 95,510 | 0.1 | ||||||||||
135,660 | 2.500%,08/01/2050 | 116,699 | 0.1 | ||||||||||
78,441 | 2.500%,11/01/2050 | 67,861 | 0.0 | ||||||||||
21,399 | 2.500%,01/01/2051 | 18,397 | 0.0 | ||||||||||
69,386 | 2.500%,02/01/2051 | 59,428 | 0.0 | ||||||||||
116,834 | 2.500%,02/01/2051 | 101,071 | 0.1 | ||||||||||
10,416 | 2.500%,03/01/2051 | 8,921 | 0.0 | ||||||||||
12,097 | 2.500%,04/01/2051 | 10,361 | 0.0 | ||||||||||
6,529 | 2.500%,04/01/2051 | 5,592 | 0.0 | ||||||||||
94,681 | 2.500%,05/01/2051 | 82,303 | 0.0 | ||||||||||
6,302 | 2.500%,05/01/2051 | 5,398 | 0.0 | ||||||||||
109,504 | 2.500%,05/01/2051 | 94,059 | 0.1 | ||||||||||
3,167 | 2.500%,05/01/2051 | 2,715 | 0.0 | ||||||||||
9,838 | 2.500%,07/01/2051 | 8,426 | 0.0 | ||||||||||
36,878 | 2.500%,10/01/2051 | 31,558 | 0.0 | ||||||||||
3,677 | 2.500%,10/01/2051 | 3,148 | 0.0 | ||||||||||
1,091,844 | 2.500%,11/01/2051 | 936,944 | 0.4 | ||||||||||
92,976 | 2.500%,11/01/2051 | 80,098 | 0.0 | ||||||||||
28,295 | 2.500%,12/01/2051 | 24,246 | 0.0 |
See Accompanying Notes to Financial Statements
28
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||
Uniform Mortgage-Backed Securities: (continued) | |||||||||||||
283,755 | 2.500%,01/01/2052 | $ | 242,958 | 0.1 | |||||||||
2,210,958 | 2.500%,01/01/2052 | 1,894,564 | 0.8 | ||||||||||
351,126 | 3.000%,01/01/2036 | 328,833 | 0.1 | ||||||||||
255,726 | 3.000%,09/01/2050 | 230,779 | 0.1 | ||||||||||
57,039 | 3.000%,07/01/2051 | 50,804 | 0.0 | ||||||||||
986,286 | 3.000%,09/01/2051 | 876,621 | 0.4 | ||||||||||
71,935 | 3.000%,10/01/2051 | 63,919 | 0.0 | ||||||||||
131,728 | 3.000%,11/01/2051 | 116,611 | 0.1 | ||||||||||
58,541 | 3.000%,12/01/2051 | 52,042 | 0.0 | ||||||||||
7,618 | 3.000%,01/01/2052 | 6,735 | 0.0 | ||||||||||
27,918 | 3.000%,01/01/2052 | 24,669 | 0.0 | ||||||||||
42,103 | 3.000%,02/01/2052 | 37,583 | 0.0 | ||||||||||
970,749 | 3.000%,03/01/2052 | 863,621 | 0.4 | ||||||||||
38,897 | 3.000%,04/01/2052 | 34,601 | 0.0 | ||||||||||
60,737 | 3.000%,05/01/2052 | 53,937 | 0.0 | ||||||||||
242,497 | 3.000%,08/01/2052 | 215,322 | 0.1 | ||||||||||
133,710 | 3.500%,05/01/2036 | 127,367 | 0.1 | ||||||||||
538,883 | 3.500%,01/01/2051 | 497,307 | 0.2 | ||||||||||
1,110,581 | 3.500%,09/01/2051 | 1,024,178 | 0.4 | ||||||||||
31,413 | 3.500%,05/01/2052 | 28,955 | 0.0 | ||||||||||
54,758 | 3.500%,06/01/2052 | 50,335 | 0.0 | ||||||||||
58,438 | 3.500%,06/01/2052 | 53,400 | 0.0 | ||||||||||
22,319 | 3.500%,06/01/2052 | 20,393 | 0.0 | ||||||||||
33,140 | 3.500%,07/01/2052 | 30,506 | 0.0 | ||||||||||
24,013 | 3.500%,08/01/2052 | 22,157 | 0.0 | ||||||||||
25,055 | 3.500%,09/01/2052 | 22,893 | 0.0 | ||||||||||
5,361 | 3.500%,09/01/2052 | 4,926 | 0.0 | ||||||||||
20,572 | 3.500%,09/01/2052 | 18,833 | 0.0 | ||||||||||
15,601 | 3.500%,09/01/2052 | 14,321 | 0.0 | ||||||||||
44,000 | (6) | 4.000%,07/15/2038 | 42,475 | 0.0 | |||||||||
14,683 | 4.000%,01/01/2048 | 14,008 | 0.0 | ||||||||||
9,122 | 4.000%,04/01/2048 | 8,702 | 0.0 | ||||||||||
9,433 | 4.000%,08/01/2048 | 8,991 | 0.0 | ||||||||||
13,550 | 4.000%,09/01/2048 | 12,910 | 0.0 | ||||||||||
116,506 | 4.000%,03/01/2050 | 111,212 | 0.1 | ||||||||||
665,979 | 4.000%,04/01/2050 | 633,990 | 0.3 | ||||||||||
68,542 | 4.000%,07/01/2050 | 65,393 | 0.0 | ||||||||||
28,477 | 4.000%,07/01/2050 | 27,169 | 0.0 | ||||||||||
226,059 | 4.000%,05/01/2051 | 215,094 | 0.1 | ||||||||||
41,104 | 4.000%,04/01/2052 | 39,016 | 0.0 | ||||||||||
244,954 | 4.000%,05/01/2052 | 233,702 | 0.1 | ||||||||||
29,397 | 4.000%,06/01/2052 | 28,046 | 0.0 | ||||||||||
66,000 | (6) | 4.000%,07/15/2053 | 61,945 | 0.0 | |||||||||
483,341 | 4.500%,03/01/2048 | 475,621 | 0.2 | ||||||||||
63,051 | 4.500%,03/01/2050 | 61,718 | 0.0 | ||||||||||
20,083 | 4.500%,07/01/2052 | 19,324 | 0.0 | ||||||||||
18,919 | 4.500%,07/01/2052 | 18,205 | 0.0 | ||||||||||
118,772 | 4.500%,07/01/2052 | 114,284 | 0.1 | ||||||||||
37,014 | 4.500%,08/01/2052 | 35,613 | 0.0 | ||||||||||
72,810 | 4.500%,11/01/2052 | 70,049 | 0.0 | ||||||||||
43,900 | (6) | 4.500%,07/15/2053 | 42,209 | 0.0 | |||||||||
43,106 | 5.000%,11/01/2052 | 42,262 | 0.0 | ||||||||||
88,794 | 5.000%,12/01/2052 | 87,153 | 0.0 | ||||||||||
54,149 | 5.000%,12/01/2052 | 53,139 | 0.0 | ||||||||||
51,159 | 5.000%,12/01/2052 | 50,182 | 0.0 | ||||||||||
47,921 | 5.000%,12/01/2052 | 47,028 | 0.0 | ||||||||||
151,119 | 5.000%,01/01/2053 | 148,191 | 0.1 | ||||||||||
25,618 | 5.000%,01/01/2053 | 25,125 | 0.0 | ||||||||||
55,706 | 5.000%,01/01/2053 | 54,667 | 0.0 | ||||||||||
27,333 | 5.000%,02/01/2053 | 26,798 | 0.0 | ||||||||||
85,767 | 5.000%,04/01/2053 | 84,428 | 0.0 | ||||||||||
102,788 | 5.500%,01/01/2053 | 102,364 | 0.1 | ||||||||||
88,541 | 5.500%,01/01/2053 | 88,318 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||
Uniform Mortgage-Backed Securities: (continued) | |||||||||||||
68,780 | 5.500%,01/01/2053 | $ | 68,664 | 0.0 | |||||||||
99,285 | 5.500%,03/01/2053 | 99,032 | 0.1 | ||||||||||
107,038 | 5.500%,05/01/2053 | 106,782 | 0.1 | ||||||||||
38,824 | 5.500%,05/01/2053 | 38,721 | 0.0 | ||||||||||
98,861 | 5.500%,05/01/2053 | 98,588 | 0.1 | ||||||||||
90,616 | 5.500%,05/01/2053 | 90,400 | 0.0 | ||||||||||
110,698 | 5.500%,05/01/2053 | 110,434 | 0.1 | ||||||||||
81,843 | 5.500%,06/01/2053 | 81,648 | 0.0 | ||||||||||
51,816 | 6.000%,10/01/2052 | 52,593 | 0.0 | ||||||||||
81,906 | 6.000%,01/01/2053 | 82,728 | 0.0 | ||||||||||
60,334 | 6.000%,01/01/2053 | 60,939 | 0.0 | ||||||||||
54,481 | 6.000%,02/01/2053 | 55,028 | 0.0 | ||||||||||
72,447 | 6.000%,04/01/2053 | 73,286 | 0.0 | ||||||||||
48,956 | 6.000%,04/01/2053 | 49,452 | 0.0 | ||||||||||
50,957 | 6.000%,05/01/2053 | 51,541 | 0.0 | ||||||||||
95,493 | 6.000%,05/01/2053 | 96,391 | 0.1 | ||||||||||
95,286 | 6.000%,05/01/2053 | 96,389 | 0.1 | ||||||||||
57,824 | 6.000%,05/01/2053 | 58,464 | 0.0 | ||||||||||
71,170 | 6.000%,06/01/2053 | 71,973 | 0.0 | ||||||||||
22,729,348 | 9.4 | ||||||||||||
Total U.S. Government Agency Obligations (Cost $43,223,268) | 41,042,503 | 17.0 | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.8% | |||||||||||||
366,000 | BANK 2019-BNK23 A3, 2.920%, 12/15/2052 | 317,137 | 0.1 | ||||||||||
280,000 | (2) | BANK 2022-BNK42 A5, 4.493%, 06/15/2055 | 264,579 | 0.1 | |||||||||
300,000 | Barclays Commercial Mortgage Trust 2019-C3 B, 4.096%, 05/15/2052 | 255,701 | 0.1 | ||||||||||
280,000 | Barclays Commercial Mortgage Trust 2019-C4 B, 3.322%, 08/15/2052 | 222,571 | 0.1 | ||||||||||
240,000 | (2) | BBCMS Mortgage Trust 2022-C16 A5, 4.600%, 06/15/2055 | 228,280 | 0.1 | |||||||||
800,000 | (1) | BX Trust 2021-ARIA A, 6.092%, (US0001M + 0.899%), 10/15/2036 | 776,256 | 0.3 | |||||||||
410,000 | CD 2017-CD3 A4 Mortgage Trust, 3.631%, 02/10/2050 | 373,683 | 0.2 | ||||||||||
500,000 | CD 2017-CD6 Mortgage Trust A5, 3.456%, 11/13/2050 | 453,431 | 0.2 | ||||||||||
798,015 | (1) | Credit Suisse Mortgage Capital Certificates 2019- ICE4 A, 6.173%, (US0001M + 0.980%), 05/15/2036 | 794,290 | 0.3 | |||||||||
205,000 | CSAIL 2015-C3 A4 Commercial Mortgage Trust, 3.718%, 08/15/2048 | 195,764 | 0.1 | ||||||||||
550,000 | (1) | ELP Commercial Mortgage Trust 2021-ELP A, 5.895%, (US0001M + 0.701%), 11/15/2038 | 534,460 | 0.2 |
See Accompanying Notes to Financial Statements
29
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | |||||||||||||
375,858 | (1) | Extended Stay America Trust 2021-ESH A, 6.274%, (US0001M + 1.080%), 07/15/2038 | $ | 368,880 | 0.2 | ||||||||
980,000 | (2) | Fannie Mae Multifamily REMIC Trust 2022-M10 A2, 2.003%, 01/25/2032 | 804,090 | 0.3 | |||||||||
1,760,000 | Freddie Mac Multifamily WI Certificates Series WI-K146 A2, 2.920%, 07/25/2032 | 1,559,187 | 0.6 | ||||||||||
1,000,000 | GS Mortgage Securities Trust 2016-GS2 A4, 3.050%, 05/10/2049 | 925,321 | 0.4 | ||||||||||
600,000 | (1) | JP Morgan Chase Commercial Mortgage Securities Corp. 2021-HYAH A, 5.953%, (US0001M + 0.760%), 06/15/2038 | 582,704 | 0.2 | |||||||||
378,185 | (1) | Med Trust 2021-MDLN A, 6.144%, (US0001M + 0.950%), 11/15/2038 | 367,146 | 0.2 | |||||||||
100,000 | (1) | MF1 2021-W10 A, 6.217%, (TSFR1M + 1.070%), 12/15/2034 | 96,712 | 0.0 | |||||||||
1,049,192 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 A4, 4.051%, 04/15/2047 | 1,036,859 | 0.4 | ||||||||||
215,000 | (1) | MTN Commercial Mortgage Trust 2022-LPFL A, 6.544%, (TSFR1M + 1.397%), 03/15/2039 | 211,306 | 0.1 | |||||||||
250,000 | (1) | Taubman Centers Commercial Mortgage Trust 2022-DPM A, 7.333%, (TSFR1M + 2.186%), 05/15/2037 | 243,416 | 0.1 | |||||||||
422,500 | Wells Fargo Commercial Mortgage Trust 2015-C26 B, 3.783%, 02/15/2048 | 390,193 | 0.2 | ||||||||||
700,000 | Wells Fargo Commercial Mortgage Trust 2017-C39 A5, 3.418%, 09/15/2050 | 639,435 | 0.3 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $12,568,562) | 11,641,401 | 4.8 | |||||||||||
SOVEREIGN BONDS: 1.1% | |||||||||||||
250,000 | Chile Government International Bond, 2.550%, 07/27/2033 | 204,920 | 0.1 | ||||||||||
300,000 | Mexico Government International Bond, 4.600%, 02/10/2048 | 247,269 | 0.1 | ||||||||||
250,000 | Mexico Government International Bond, 4.875%, 05/19/2033 | 239,015 | 0.1 | ||||||||||
200,000 | Panama Government International Bond, 4.500%, 04/01/2056 | 150,695 | 0.1 | ||||||||||
103,000 | Peruvian Government International Bond, 2.783%, 01/23/2031 | 88,308 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
SOVEREIGN BONDS: (continued) | |||||||||||||
53,000 | Peruvian Government International Bond, 3.300%, 03/11/2041 | $ | 40,991 | 0.0 | |||||||||
200,000 | Philippine Government International Bond, 3.700%, 02/02/2042 | 164,281 | 0.1 | ||||||||||
EUR 1,350,000 | (1) | Spain Government Bond, 3.150%, 04/30/2033 | 1,443,883 | 0.6 | |||||||||
GBP 75,328 | United Kingdom Inflation- Linked Gilt, 0.250%, 03/22/2052 | 79,222 | 0.0 | ||||||||||
45,049 | Uruguay Government International Bond, 5.100%, 06/18/2050 | 45,002 | 0.0 | ||||||||||
Total Sovereign Bonds (Cost $2,873,365) | 2,703,586 | 1.1 | |||||||||||
ASSET-BACKED SECURITIES: 1.6% | |||||||||||||
Automobile Asset-Backed Securities: 0.1% | |||||||||||||
430,000 | (1) | Credit Acceptance Auto Loan Trust 2021-4 A, 1.260%, 10/15/2030 | 411,277 | 0.1 | |||||||||
Other Asset-Backed Securities: 0.7% | |||||||||||||
401,000 | (1) | AMSR 2022-SFR3 D Trust, 4.000%, 10/17/2039 | 357,489 | 0.2 | |||||||||
107,915 | (1) | GoodLeap Sustainable Home Solutions Trust 2022-1GS A, 2.700%, 01/20/2049 | 86,601 | 0.0 | |||||||||
400,000 | (1) | New Residential Mortgage Loan Trust 2022-SFR2 D, 4.000%, 09/04/2039 | 356,337 | 0.1 | |||||||||
395,000 | (1) | Progress Residential 2022-SFR6 D Trust, 6.035%, 07/20/2039 | 380,857 | 0.2 | |||||||||
525,000 | (1) | Progress Residential 2022-SFR7 Trust D, 5.500%, 10/27/2039 | 495,860 | 0.2 | |||||||||
1,677,144 | 0.7 | ||||||||||||
Student Loan Asset-Backed Securities: 0.8% | |||||||||||||
129,731 | (1) | College Avenue Student Loans LLC 2021-B A2, 1.760%, 06/25/2052 | 110,562 | 0.1 | |||||||||
137,950 | (1) | Navient Student Loan Trust 2019-BA A2A, 3.390%, 12/15/2059 | 130,388 | 0.1 | |||||||||
594,334 | (1) | Nelnet Student Loan Trust 2021-BA AFL, 5.937%, (US0001M + 0.780%), 04/20/2062 | 584,557 | 0.2 | |||||||||
524,702 | SLM Private Credit Student Loan Trust 2005-A A4, 5.862%, (US0003M + 0.310%), 12/15/2038 | 503,891 | 0.2 | ||||||||||
389,868 | (1) | SMB Private Education Loan Trust 2021-D A1A, 1.340%, 03/17/2053 | 343,827 | 0.1 | |||||||||
220,799 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 211,465 | 0.1 | |||||||||
1,884,690 | 0.8 | ||||||||||||
Total Asset-Backed Securities (Cost $4,153,870) | 3,973,111 | 1.6 |
See Accompanying Notes to Financial Statements
30
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Value | Percentage of Net Assets | ||||||||||||
PURCHASED OPTIONS (7): 0.5% | |||||||||||||
Total Purchased Options (Cost $416,349) | $ | 1,097,487 | 0.5 | ||||||||||
Total Long-Term Investments (Cost $264,915,217) | 244,060,464 | 100.9 | |||||||||||
Principal Amount† | Value | Percentage of Net Assets | |||||||||||
SHORT-TERM INVESTMENTS: 4.5% | |||||||||||||
Commercial Paper: 0.3% | |||||||||||||
800,000 | 3M Co., 5.350%, 09/07/2023 (Cost $791,696) | 791,993 | 0.3 | ||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||
Mutual Funds: 4.2% | |||||||||||||
10,191,568 | (8) | BlackRock Liquidity Funds, FedFund, Institutional Class, 4.990% (Cost $10,191,568) | $ | 10,191,568 | 4.2 | ||||||||
Total Short-Term Investments (Cost $10,983,264) | 10,983,561 | 4.5 | |||||||||||
Total Investments in Securities (Cost $275,898,481) | $ | 255,044,025 | 105.4 | ||||||||||
Liabilities in Excess of Other Assets | (13,046,832 | ) | (5.4 | ) | |||||||||
Net Assets | $ | 241,997,193 | 100.0 |
Currency Abbreviations: | |
EUR | EU Euro |
GBP | British Pound |
Reference Rate Abbreviations: | |
TSFR1M | 1-month CME Term Secured Overnight Financing Rate |
US0001M | 1-month LIBOR |
US0003M | 3-month LIBOR |
Investment Type Allocation as of June 30, 2023 (as a percentage of net assets) | ||||
U.S. Treasury Obligations | 52.3 | % | ||
Corporate Bonds/Notes | 21.4 | % | ||
U.S. Government Agency Obligations | 17.0 | % | ||
Commercial Mortgage-Backed Securities | 4.8 | % | ||
Collateralized Mortgage Obligations | 2.1 | % | ||
Asset-Backed Securities | 1.6 | % | ||
Sovereign Bonds | 1.1 | % | ||
Purchased Options | 0.5 | % | ||
Municipal Bonds | 0.1 | % | ||
Liabilities in Excess of Other Assets ,* | (0.9 | )% | ||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
† | 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, 2023. |
(3) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rates shown reflect the current and next coupon rate as of June 30, 2023. |
(4) | 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. |
(5) | 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. |
(6) | Represents or includes a TBA transaction. |
(7) | The tables within the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(8) | Rate shown is the 7-day yield as of June 30, 2023. |
See Accompanying Notes to Financial Statements
31
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the assets and liabilities:
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, 2023 | |||||||||||||||||
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Purchased Options | $ | 1,097,487 | $ | — | $ | — | $ | 1,097,487 | ||||||||||||
Corporate Bonds/Notes | — | 51,741,218 | — | 51,741,218 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 5,038,546 | — | 5,038,546 | ||||||||||||||||
Municipal Bonds | — | 194,103 | — | 194,103 | ||||||||||||||||
U.S. Government Agency Obligations | — | 41,042,503 | — | 41,042,503 | ||||||||||||||||
Commercial Mortgage-Backed Securities | — | 11,641,401 | — | 11,641,401 | ||||||||||||||||
Sovereign Bonds | — | 2,703,586 | — | 2,703,586 | ||||||||||||||||
Asset-Backed Securities | — | 3,973,111 | — | 3,973,111 | ||||||||||||||||
U.S. Treasury Obligations | — | 126,628,509 | — | 126,628,509 | ||||||||||||||||
Short-Term Investments | 10,191,568 | 791,993 | — | 10,983,561 | ||||||||||||||||
Total Investments, at fair value | $ | 11,289,055 | $ | 243,754,970 | $ | — | $ | 255,044,025 | ||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | — | 1,537,355 | — | 1,537,355 | ||||||||||||||||
Forward Foreign Currency Contracts | — | 5,257 | — | 5,257 | ||||||||||||||||
Futures | 252,469 | — | — | 252,469 | ||||||||||||||||
OTC Swaps | — | 370,799 | — | 370,799 | ||||||||||||||||
Total Assets | $ | 11,541,524 | $ | 245,668,381 | $ | — | $ | 257,209,905 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (441,126 | ) | $ | — | $ | (441,126 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (33,976 | ) | — | (33,976 | ) | ||||||||||||||
Futures | (765,289 | ) | — | — | (765,289 | ) | ||||||||||||||
Sales Commitments | — | (4,262,989 | ) | — | (4,262,989 | ) | ||||||||||||||
Written Options | (1,086,875 | ) | (417,359 | ) | — | (1,504,234 | ) | |||||||||||||
Total Liabilities | $ | (1,852,164 | ) | $ | (5,155,450 | ) | $ | — | $ | (7,007,614 | ) |
^ | 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. |
At June 30, 2023, the following forward foreign currency contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||
USD 69,725 | GBP 56,000 | Bank of America N.A. | 07/05/23 | $ | (1,395 | ) | ||||||||||
EUR 1,322,000 | USD 1,437,680 | Barclays Bank PLC | 07/05/23 | 4,968 | ||||||||||||
USD 1,439,683 | EUR 1,322,000 | Barclays Bank PLC | 08/02/23 | (5,143 | ) | |||||||||||
GBP 37,000 | USD 46,701 | Societe Generale | 07/05/23 | 289 | ||||||||||||
USD 46,712 | GBP 37,000 | Societe Generale | 08/02/23 | (289 | ) | |||||||||||
USD 1,425,221 | EUR 1,330,909 | UBS AG | 07/05/23 | (27,149 | ) | |||||||||||
$ | (28,719 | ) |
See Accompanying Notes to Financial Statements
32
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
At June 30, 2023, the following futures contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | |||||||||||
Long Contracts: | |||||||||||||||
3-month ICE SONIA Index | 8 | 06/18/24 | $ | 2,381,763 | $ | (15,989 | ) | ||||||||
3-month ICE SONIA Index | 16 | 09/17/24 | 4,769,876 | (7,404 | ) | ||||||||||
3-month SOFRRATE | 160 | 06/18/24 | 37,954,000 | (125,372 | ) | ||||||||||
3-month SOFRRATE | 60 | 09/17/24 | 14,286,000 | (42,354 | ) | ||||||||||
3-month SOFRRATE | 27 | 09/16/25 | 6,504,300 | (16,244 | ) | ||||||||||
U.S. Treasury 2-Year Note | 241 | 09/29/23 | 49,005,844 | (270,643 | ) | ||||||||||
U.S. Treasury 5-Year Note | 97 | 09/29/23 | 10,388,094 | (106,222 | ) | ||||||||||
$ | 125,289,877 | $ | (584,228 | ) | |||||||||||
Short Contracts: | |||||||||||||||
3-month SOFRRATE | (1 | ) | 12/19/23 | (236,500 | ) | 3,623 | |||||||||
Euro-OAT | (5 | ) | 09/07/23 | (700,552 | ) | 217 | |||||||||
Japan 10-Year Bond (TSE) | (8 | ) | 09/12/23 | (8,235,906 | ) | (37,584 | ) | ||||||||
Long-Term Euro-BTP | (6 | ) | 09/07/23 | (760,197 | ) | (6,030 | ) | ||||||||
U.S. Treasury 10-Year Note | (72 | ) | 09/20/23 | (8,083,125 | ) | 127,881 | |||||||||
U.S. Treasury Long Bond | (66 | ) | 09/20/23 | (8,375,812 | ) | (17,258 | ) | ||||||||
U.S. Treasury Ultra 10-Year Note | (122 | ) | 09/20/23 | (14,449,375 | ) | 120,748 | |||||||||
U.S. Treasury Ultra Long Bond | (78 | ) | 09/20/23 | (10,625,062 | ) | (120,189 | ) | ||||||||
$ | (51,466,529 | ) | $ | 71,408 |
At June 30, 2023, the following centrally cleared credit default swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection(1)
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Financing Rate (%)(2) | Termination Date | Notional Amount(3) | Fair Value(4) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CDX North American High Yield Index, Series 40, Version 1 | Sell | 5.000 | 06/20/28 | USD | 1,870,850 | $ | 52,254 | $ | 20,618 | |||||||||||||||
$ | 52,254 | $ | 20,618 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(2) | Payments received quarterly. |
(3) | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(4) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
At June 30, 2023, the following centrally cleared interest rate swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
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 | Canadian Overnight Repo Rate Average (CORRA) | Semi-Annual | 3.540 | % | Semi-Annual | 06/15/33 | CAD | 2,010,497 | $ | 10,647 | $ | 10,647 | ||||||||||||||
Pay | Canadian Overnight Repo Rate Average (CORRA) | Semi-Annual | 3.540 | Semi-Annual | 06/22/33 | CAD | 409,000 | 2,250 | 2,250 | |||||||||||||||||
Pay | 1-day Sterling Overnight Index Average (SONIA) | Annual | 4.275 | Annual | 06/27/33 | GBP | 590,000 | (5,522 | ) | (5,522 | ) | |||||||||||||||
Pay | 1-day Overnight Fed Funds Effective Rate | At Termination Date | 5.280 | At Termination Date | 09/20/23 | USD | 43,400,000 | (1,565 | ) | (1,565 | ) |
See Accompanying Notes to Financial Statements
33
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Pay | 1-day Overnight Fed Funds Effective Rate | At Termination Date | 5.283 | % | At Termination Date | 09/20/23 | USD | 43,778,000 | $ | (1,376 | ) | $ | (1,376 | ) | ||||||||||||
Receive | Canadian Overnight Repo Rate Average (CORRA) | Semi-Annual | 3.404 | Semi-Annual | 06/15/53 | CAD | 894,000 | (24,216 | ) | (24,216 | ) | |||||||||||||||
Receive | Canadian Overnight Repo Rate Average (CORRA) | Semi-Annual | 3.362 | Semi-Annual | 06/22/53 | CAD | 179,000 | (3,843 | ) | (3,843 | ) | |||||||||||||||
Receive | 1-day Overnight Tokyo Average Rate | Annual | 0.885 | Annual | 02/15/33 | JPY | 24,759,910 | (5,582 | ) | (5,582 | ) | |||||||||||||||
Receive | 1-day Overnight Tokyo Average Rate | Annual | 0.898 | Annual | 02/15/33 | JPY | 24,759,910 | (5,792 | ) | (5,792 | ) | |||||||||||||||
Receive | 1-day Overnight Tokyo Average Rate | Annual | 0.900 | Annual | 02/15/33 | JPY | 49,519,820 | (11,669 | ) | (11,669 | ) | |||||||||||||||
Receive | 1-day Overnight Tokyo Average Rate | Annual | 0.918 | Annual | 02/15/33 | JPY | 71,718,360 | (17,754 | ) | (17,754 | ) | |||||||||||||||
Receive | 1-day Sterling Overnight Index Average (SONIA) | Annual | 3.745 | Annual | 06/27/53 | USD | 258,000 | 5,058 | 5,058 | |||||||||||||||||
$ | (59,364 | ) | $ | (59,364 | ) |
At June 30, 2023, the following centrally cleared inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.438 | % | At Termination Date | 05/15/33 | EUR | 995,000 | $ | (3,727 | ) | $ | (3,727 | ) | ||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.433 | At Termination Date | 07/15/52 | EUR | 15,000 | (2,052 | ) | (2,052 | ) | |||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.441 | At Termination Date | 08/15/52 | EUR | 75,000 | (9,557 | ) | (9,557 | ) | |||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.641 | At Termination Date | 03/15/53 | EUR | 40,000 | (1,132 | ) | (1,132 | ) | |||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.688 | At Termination Date | 03/15/53 | EUR | 40,000 | (484 | ) | (484 | ) | |||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.700 | At Termination Date | 04/15/53 | EUR | 40,000 | (64 | ) | 53 | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.751 | At Termination Date | 05/15/53 | EUR | 35,000 | 710 | 710 | |||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.725 | At Termination Date | 06/15/53 | EUR | 170,000 | 1,568 | 1,568 | |||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.765 | At Termination Date | 06/15/53 | EUR | 91,500 | 2,130 | 2,130 | |||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.772 | At Termination Date | 06/15/53 | EUR | 91,000 | 2,344 | 2,344 |
See Accompanying Notes to Financial Statements
34
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.554 | % | At Termination Date | 02/10/33 | USD | 280,000 | $ | (433 | ) | $ | (433 | ) | ||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.409 | At Termination Date | 05/15/28 | EUR | 995,000 | 1,673 | 1,673 | |||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.604 | At Termination Date | 08/15/52 | EUR | 35,000 | 2,551 | 2,551 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 4.223 | At Termination Date | 04/08/24 | USD | 4,900,000 | 33,760 | 33,760 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.023 | At Termination Date | 05/02/24 | USD | 3,500,000 | 391,715 | 391,715 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.706 | At Termination Date | 08/12/24 | USD | 1,300,000 | 159,729 | 159,729 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.995 | At Termination Date | 10/21/24 | USD | 330,000 | (1,158 | ) | (1,158 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.483 | At Termination Date | 12/23/24 | USD | 3,800,000 | 13,314 | 13,314 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.313 | At Termination Date | 01/06/25 | USD | 670,000 | 3,741 | 3,741 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 0.945 | At Termination Date | 03/12/25 | USD | 1,650,000 | 260,246 | 260,246 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.540 | At Termination Date | 03/30/25 | USD | 1,400,000 | 609 | 609 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.794 | At Termination Date | 04/08/25 | USD | 5,300,000 | (2,033 | ) | (2,033 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.158 | At Termination Date | 05/18/25 | USD | 645,000 | 4,415 | 4,415 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.563 | At Termination Date | 06/24/25 | USD | 4,900,000 | (39,652 | ) | (39,652 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.100 | At Termination Date | 08/08/25 | USD | 2,200,000 | (13,304 | ) | (13,304 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.783 | At Termination Date | 11/04/25 | USD | 1,300,000 | 165,342 | 165,295 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.098 | At Termination Date | 11/29/25 | USD | 1,600,000 | 166,397 | 166,397 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.526 | At Termination Date | 04/08/26 | USD | 16,000,000 | (55,998 | ) | (55,997 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.270 | At Termination Date | 06/24/26 | USD | 6,500,000 | (51,013 | ) | (51,013 | ) |
See Accompanying Notes to Financial Statements
35
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (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 | 2.925 | % | At Termination Date | 02/02/27 | USD | 3,400,000 | $ | 81,781 | $ | 81,781 | ||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.000 | At Termination Date | 02/25/27 | USD | 5,540,000 | 97,868 | 97,868 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.213 | At Termination Date | 03/02/27 | USD | 1,350,000 | 9,555 | 9,556 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.290 | At Termination Date | 03/07/27 | USD | 2,200,000 | 5,697 | 5,697 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.646 | At Termination Date | 05/04/27 | USD | 2,500,000 | (61,375 | ) | (61,375 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.262 | At Termination Date | 05/12/27 | USD | 1,955,000 | (15,523 | ) | (15,522 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.904 | At Termination Date | 07/05/27 | USD | 2,025,000 | 1,105 | 1,105 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.030 | At Termination Date | 08/02/27 | USD | 2,400,000 | (30,885 | ) | (36,115 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.765 | At Termination Date | 09/23/27 | USD | 485,000 | (4,920 | ) | (4,920 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.607 | At Termination Date | 12/12/27 | USD | 8,245,000 | (16,458 | ) | (16,458 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.613 | At Termination Date | 12/12/27 | USD | 2,395,000 | (5,449 | ) | (5,449 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.440 | At Termination Date | 01/30/28 | USD | 2,300,000 | 8,604 | 18,835 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.348 | At Termination Date | 05/15/28 | USD | 1,000,000 | 6,724 | 6,724 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.890 | At Termination Date | 08/02/29 | USD | 2,100,000 | (23,480 | ) | (28,872 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.480 | At Termination Date | 01/30/30 | USD | 1,200,000 | 5,299 | 12,814 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.524 | At Termination Date | 03/30/30 | USD | 2,500,000 | 2,973 | 2,973 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.087 | At Termination Date | 04/08/30 | USD | 550,000 | (3,603 | ) | (3,603 | ) | |||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.468 | At Termination Date | 04/19/31 | USD | 535,000 | 49,131 | 49,131 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.843 | At Termination Date | 06/24/31 | USD | 2,650,000 | (10,686 | ) | (10,686 | ) |
See Accompanying Notes to Financial Statements
36
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (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 | 2.493 | % | At Termination Date | 12/12/52 | USD | 50,000 | $ | (265 | ) | $ | (265 | ) | ||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.458 | At Termination Date | 06/09/53 | USD | 127,500 | 1 | 1 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.448 | At Termination Date | 06/09/53 | USD | 127,500 | 310 | 310 | |||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.425 | At Termination Date | 06/30/53 | USD | 250,000 | 1,737 | 1,737 | |||||||||||||||||
$ | 1,127,778 | $ | 1,134,975 |
At June 30, 2023, the following OTC inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.562 | % | At Termination Date | 01/15/25 | USD 14,500,000 | $ | 370,799 | $ | — | $ | 370,799 | |||||||||||||||
$ | 370,799 | $ | — | $ | 370,799 |
At June 30, 2023, 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 | ||||||||||||||||||
1-year SOFR MidCurve | Put | 10/13/23 | 96.00 | USD | 100 | USD | 24,000,000 | $ | 49,756 | $ | 98,125 | ||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 94.38 | USD | 100 | USD | 23,595,000 | 22,091 | 20,625 | ||||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 94.88 | USD | 105 | USD | 24,906,000 | 23,849 | 102,375 | ||||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 95.00 | USD | 158 | USD | 37,525,000 | 43,918 | 192,562 | ||||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 95.63 | USD | 263 | USD | 62,876,725 | 276,735 | 683,800 | ||||||||||||||||
$ | 416,349 | $ | 1,097,487 |
At June 30, 2023, 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 | ||||||||||||||||||
1-year SOFR MidCurve | Put | 10/13/23 | 95.75 | USD | 100 | USD | 23,937,500 | $ | 32,161 | $ | (68,125 | ) | |||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 94.63 | USD | 100 | USD | 23,657,500 | 38,616 | (52,500 | ) | |||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 95.13 | USD | 105 | USD | 24,971,625 | 47,026 | (155,531 | ) | |||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 95.25 | USD | 158 | USD | 37,623,750 | 80,079 | (276,500 | ) | |||||||||||||||
3-month SOFRRATE | Put | 10/13/23 | 95.38 | USD | 263 | USD | 62,712,350 | 176,977 | (534,219 | ) | |||||||||||||||
$ | 374,859 | $ | (1,086,875 | ) |
See Accompanying Notes to Financial Statements
37
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
At June 30, 2023, the following OTC written interest rate swaptions were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description | Counterparty | Pay/ Receive Exercise Rate | Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||
Call on 5-Year Interest Rate Swap(1) | Barclays Bank PLC | Pay | 3.305 | % | 1-day Secured Overnight Financing Rate | 06/14/24 | USD | 3,472,000 | $ | 71,176 | $ | (65,132 | ) | |||||||||||||
Put on 2-Year Interest Rate Swap(2) | Citibank N.A. | Receive | 4.920 | % | 1-day Sterling Overnight Index Average (SONIA) | 09/07/23 | GBP | 2,205,000 | 11,215 | (56,359 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 4.050 | % | 1-day Secured Overnight Financing Rate | 08/14/23 | USD | 2,647,000 | 6,909 | (35,503 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 4.130 | % | 1-day Secured Overnight Financing Rate | 08/23/23 | USD | 1,323,000 | 3,453 | (15,924 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 4.150 | % | 1-day Secured Overnight Financing Rate | 08/22/23 | USD | 1,323,000 | 3,532 | (15,509 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 4.605 | % | 1-day Secured Overnight Financing Rate | 09/05/23 | USD | 2,545,000 | 7,317 | (14,317 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | BNP Paribas | Receive | 4.180 | % | 1-day Secured Overnight Financing Rate | 08/24/23 | USD | 2,545,000 | 6,649 | (28,337 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 4.100 | % | 1-day Secured Overnight Financing Rate | 08/23/23 | USD | 1,273,000 | 3,182 | (15,927 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 4.110 | % | 1-day Secured Overnight Financing Rate | 08/22/23 | USD | 1,273,000 | 3,310 | (15,726 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 4.300 | % | 1-day Secured Overnight Financing Rate | 08/31/23 | USD | 2,545,000 | 6,808 | (23,803 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 4.390 | % | 1-day Secured Overnight Financing Rate | 09/05/23 | USD | 2,545,000 | 6,948 | (20,979 | ) | |||||||||||||||
Put on 2-Year Interest Rate Swap(2) | JPMorgan Chase Bank N.A. | Receive | 4.430 | % | 1-day Secured Overnight Financing Rate | 08/31/23 | USD | 2,545,000 | 6,362 | (19,328 | ) | |||||||||||||||
Put on 5-Year Interest Rate Swap(2) | Barclays Bank PLC | Receive | 3.305 | % | 1-day Secured Overnight Financing Rate | 06/14/24 | USD | 3,472,000 | 71,176 | (90,515 | ) | |||||||||||||||
$ | 208,037 | $ | (417,359 | ) |
See Accompanying Notes to Financial Statements
38
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
The following sales commitments were held by the VY® BlackRock Inflation Protected Bond Portfolio at June 30, 2023:
Principal Amount | Description | Contractual Settlement Date | Fair Value | ||||||||
$(492,400 | ) | Fannie Mae, 6.000%, due 07/15/53 | 07/13/23 | $ | (496,785 | ) | |||||
(367,600 | ) | Ginnie Mae TBA, 2.500%, due 07/15/53 | 07/20/23 | (318,376 | ) | ||||||
(59,000 | ) | Uniform Mortgage-Backed Securities, 1.500%, due 07/15/38 | 07/18/23 | (50,906 | ) | ||||||
(42,200 | ) | Uniform Mortgage-Backed Securities, 1.500%, due 07/15/53 | 07/13/23 | (32,618 | ) | ||||||
(216,000 | ) | Uniform Mortgage-Backed Securities, 2.000%, due 07/15/38 | 07/18/23 | (191,430 | ) | ||||||
(1,447,290 | ) | Uniform Mortgage-Backed Securities, 2.000%, due 07/15/53 | 07/13/23 | (1,180,616 | ) | ||||||
(103,000 | ) | Uniform Mortgage-Backed Securities, 2.500%, due 07/15/38 | 07/18/23 | (93,782 | ) | ||||||
(68,000 | ) | Uniform Mortgage-Backed Securities, 2.500%, due 07/15/53 | 07/13/23 | (57,673 | ) | ||||||
(831,600 | ) | Uniform Mortgage-Backed Securities, 2.500%, due 08/15/52 | 08/14/23 | (706,340 | ) | ||||||
(53,000 | ) | Uniform Mortgage-Backed Securities, 3.000%, due 07/15/38 | 07/18/23 | (49,443 | ) | ||||||
(643,500 | ) | Uniform Mortgage-Backed Securities, 3.000%, due 07/15/53 | 07/13/23 | (566,456 | ) | ||||||
(21,000 | ) | Uniform Mortgage-Backed Securities, 3.500%, due 07/15/38 | 07/18/23 | (19,967 | ) | ||||||
(346,000 | ) | Uniform Mortgage-Backed Securities, 3.500%, due 07/15/53 | 07/13/23 | (315,333 | ) | ||||||
(195,100 | ) | Uniform Mortgage-Backed Securities, 4.000%, due 08/15/53 | 08/14/23 | (183,264 | ) | ||||||
Total Sales Commitments Proceeds receivable $(4,274,675) | $ | (4,262,989 | ) |
(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. |
Currency Abbreviations
CAD | — | Canadian Dollar |
EUR | — | EU Euro |
GBP | — | British Pound |
JPY | — | Japanese Yen |
USD | — | United States Dollar |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2023 was as follows:
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||
Asset Derivatives | |||||||
Interest rate contracts | Investments in securities at value* | $ | 1,097,487 | ||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 5,257 | |||||
Interest rate contracts | Variation margin receivable on futures contracts** | 252,469 | |||||
Interest rate contracts | Variation margin receivable on centrally cleared swaps** | 1,516,737 | |||||
Credit contracts | Variation margin receivable on centrally cleared swaps** | 20,618 | |||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 370,799 | |||||
Total Asset Derivatives | $ | 3,263,367 | |||||
Liability Derivatives | |||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 33,976 | ||||
Interest rate contracts | Variation margin payable on futures contracts** | 765,289 | |||||
Interest rate contracts | Variation margin payable on centrally cleared swaps** | 441,126 | |||||
Interest rate contracts | Written options, at fair value | 1,504,234 | |||||
Total Liability Derivatives | $ | 2,744,625 |
* | Includes purchased options. |
** | The fair value presented above represents the cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps as reported in the tables within the Portfolio of Investments. In the Statement of Assets and Liabilities, only current day’s unsettled variation margin is reported in receivables or payables on futures contracts and centrally cleared swaps and the net cumulative unrealized appreciation (depreciation) is included in total distributable earnings (loss). |
See Accompanying Notes to Financial Statements
39
VY® BlackRock Inflation Protected Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2023 was as follows:
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 | $ | (73,535 | ) | $ | (7,905 | ) | $ | — | $ | — | $ | 9,073 | $ | (72,367 | ) | ||||||||||||
Interest rate contracts | (240,888 | ) | — | 1,123,523 | 616,560 | 230,701 | 1,729,896 | ||||||||||||||||||||
Total | $ | (314,423 | ) | $ | (7,905 | ) | $ | 1,123,523 | $ | 616,560 | $ | 239,774 | $ | 1,657,529 |
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 | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 20,618 | $ | — | $ | 20,618 | |||||||||||||||
Foreign exchange contracts | — | (18,112 | ) | — | — | — | (18,112 | ) | |||||||||||||||||||
Interest rate contracts | 786,271 | — | (920,584 | ) | (420,848 | ) | (971,010 | ) | (1,526,171 | ) | |||||||||||||||||
Total | $ | 786,271 | $ | (18,112 | ) | $ | (920,584 | ) | $ | (400,230 | ) | $ | (971,010 | ) | $ | (1,523,665 | ) |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2023:
Bank of America N.A. | Barclays Bank PLC | BNP Paribas | Citibank N.A. | JPMorgan Chase Bank N.A. | Societe Generale | UBS AG | Totals | |||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | — | $ | 4,968 | $ | — | $ | — | $ | — | $ | 289 | $ | — | $ | 5,257 | ||||||||||||||||||
OTC Interest rate swaps | — | — | — | 370,799 | — | — | — | 370,799 | ||||||||||||||||||||||||||
Total Assets | $ | — | $ | 4,968 | $ | — | $ | 370,799 | $ | — | $ | 289 | $ | — | $ | 376,056 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 1,395 | $ | 5,143 | $ | — | $ | — | $ | — | $ | 289 | $ | 27,149 | 33,976 | |||||||||||||||||||
Written options | — | 236,900 | 28,337 | 56,359 | 95,763 | — | — | 417,359 | ||||||||||||||||||||||||||
Total Liabilities | $ | 1,395 | $ | 242,043 | $ | 28,337 | $ | 56,359 | $ | 95,763 | $ | 289 | $ | 27,149 | $ | 451,335 | ||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (1,395 | ) | $ | (237,075 | ) | $ | (28,337 | ) | $ | 314,440 | $ | (95,763 | ) | $ | — | $ | (27,149 | ) | $ | (75,279 | ) | ||||||||||||
Total collateral pledged by the Portfolio/ (Received from counterparty) | $ | — | $ | — | $ | — | $ | (310,000 | ) | $ | — | $ | — | $ | — | $ | (310,000 | ) | ||||||||||||||||
Net Exposure(1) | $ | (1,395 | ) | $ | (237,075 | ) | $ | (28,337 | ) | $ | 4,440 | $ | (95,763 | ) | $ | — | $ | (27,149 | ) | $ | (385,279 | ) |
(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. |
At June 30, 2023, 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 $278,178,494. | |||||
Net unrealized depreciation consisted of: | |||||
Gross Unrealized Appreciation | $ | 411,369 | |||
Gross Unrealized Depreciation | (24,015,528 | ) | |||
Net Unrealized Depreciation | $ | (23,604,159 | ) |
See Accompanying Notes to Financial Statements
40
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
CORPORATE BONDS/NOTES: 10.6% | ||||||||||||
Consumer, Cyclical: 3.7% | ||||||||||||
1,230,000 | General Motors Co., 5.200%, 04/01/2045 | $ | 1,050,493 | 0.5 | ||||||||
3,045,000 | Lowe’s Cos, Inc., 5.625%, 04/15/2053 | 3,045,604 | 1.4 | |||||||||
3,990,000 | Toyota Motor Credit Corp., 4.450%, 05/18/2026 | 3,932,997 | 1.8 | |||||||||
8,029,094 | 3.7 | |||||||||||
Energy: 1.5% | ||||||||||||
530,000 | Devon Energy Corp., 7.875%, 09/30/2031 | 602,818 | 0.3 | |||||||||
2,120,000 | Diamondback Energy, Inc., 6.250%, 03/15/2033 | 2,193,969 | 1.0 | |||||||||
330,000 | Hess Corp., 7.300%, 08/15/2031 | 362,074 | 0.1 | |||||||||
180,000 | Hess Corp., 7.875%, 10/01/2029 | 198,563 | 0.1 | |||||||||
3,357,424 | 1.5 | |||||||||||
Financial: 4.8% | ||||||||||||
2,120,000 | Equinix, Inc., 2.500%, 05/15/2031 | 1,728,193 | 0.8 | |||||||||
2,235,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 1,934,797 | 0.9 | |||||||||
4,270,000 | (1) | Jackson National Life Global Funding, 6.242%, (SOFRRATE + 1.150%), 06/28/2024 | 4,276,167 | 1.9 | ||||||||
2,610,000 | (1) | Macquarie Group Ltd., 6.207%, 11/22/2024 | 2,608,018 | 1.2 | ||||||||
10,547,175 | 4.8 | |||||||||||
Technology: 0.6% | ||||||||||||
1,720,000 | (1) | Dell International LLC / EMC Corp., 3.375%, 12/15/2041 | 1,214,430 | 0.6 | ||||||||
Total Corporate Bonds/Notes (Cost $23,003,887) | 23,148,123 | 10.6 | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 43.3% | ||||||||||||
Federal Home Loan Bank: 8.3% | ||||||||||||
18,200,000 | 4.875%,09/13/2024 | 18,071,701 | 8.3 | |||||||||
Government National Mortgage Association: 12.0% | ||||||||||||
5,584,802 | 5.000%,02/20/2053 | 5,492,027 | 2.5 | |||||||||
6,040,003 | 5.000%,03/20/2053 | 5,939,666 | 2.7 | |||||||||
3,560,000 | 5.000%,06/20/2053 | 3,500,861 | 1.6 | |||||||||
2,252,442 | 5.500%,02/20/2053 | 2,243,851 | 1.0 | |||||||||
4,070,434 | 5.500%,04/20/2053 | 4,054,307 | 1.9 | |||||||||
2,794,241 | 5.500%,05/20/2053 | 2,783,170 | 1.3 | |||||||||
2,080,000 | 5.500%,06/20/2053 | 2,072,051 | 1.0 | |||||||||
26,085,933 | 12.0 | |||||||||||
Uniform Mortgage-Backed Securities: 23.0% | ||||||||||||
20,155,472 | 4.000%,06/01/2052 | 18,938,228 | 8.7 | |||||||||
4,929,783 | 4.500%,09/01/2052 | 4,743,475 | 2.2 | |||||||||
3,430,546 | 4.500%,09/01/2052 | 3,300,898 | 1.5 | |||||||||
2,407,519 | 4.500%,10/01/2052 | 2,316,471 | 1.0 | |||||||||
11,488,275 | 5.000%,11/01/2052 | 11,263,513 | 5.2 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||
Uniform Mortgage-Backed Securities: (continued) | ||||||||||||
1,231,957 | 5.000%,12/01/2052 | $ | 1,208,205 | 0.5 | ||||||||
8,485,356 | 5.500%,11/01/2052 | 8,458,565 | 3.9 | |||||||||
50,229,355 | 23.0 | |||||||||||
Total U.S. Government Agency Obligations (Cost $96,112,213) | 94,386,989 | 43.3 | ||||||||||
U.S. TREASURY OBLIGATIONS: 43.1% | ||||||||||||
U.S. Treasury Bonds: 24.4% | ||||||||||||
33,210,000 | 2.875%,05/15/2052 | 27,537,057 | 12.7 | |||||||||
30,060,000 | 3.000%,08/15/2052 | 25,569,788 | 11.7 | |||||||||
53,106,845 | 24.4 | |||||||||||
U.S. Treasury Floating Rate Notes: 10.9% | ||||||||||||
23,660,000 | 5.449%, (USBMMY 3M + 0.200%), 01/31/25 | 23,702,256 | 10.9 | |||||||||
U.S. Treasury Notes: 7.9% | ||||||||||||
16,780,000 | 4.125%,11/15/2032 | 17,149,684 | 7.8 | |||||||||
Total U.S. Treasury Obligations (Cost $97,047,929) | 93,958,785 | 43.1 | ||||||||||
Total Long-Term Investments (Cost $216,164,029) | 211,493,897 | 97.0 |
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS: 1.5% | ||||||||||||
Mutual Funds: 1.5% | ||||||||||||
3,370,433 | (2) | BlackRock Liquidity Funds, FedFund, Institutional Class, 4.990% (Cost $3,370,433) | 3,370,433 | 1.5 | ||||||||
Total Short-Term Investments (Cost $3,370,433) | 3,370,433 | 1.5 | ||||||||||
Total Investments in Securities (Cost $219,534,462) | $ | 214,864,330 | 98.5 | |||||||||
Assets in Excess of Other Liabilities | 3,330,814 | 1.5 | ||||||||||
Net Assets | $ | 218,195,144 | 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) | Rate shown is the 7-day yield as of June 30, 2023. |
Reference Rate Abbreviations:
SOFRRATE | 1-day Secured Overnight Financing Rate |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
See Accompanying Notes to Financial Statements
41
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
Investment Type Allocation as of June 30, 2023
(as a percentage of net assets)
U.S. Government Agency Obligations | 43.3 | % | ||
U.S. Treasury Obligations | 43.1 | % | ||
Corporate Bonds/Notes | 10.6 | % | ||
Assets in Excess of Other Liabilities ,* | 3.0 | % | ||
Net Assets | 100.0 | % |
* | Includes short-term investments. |
Portfolio holdings are subject to change daily.
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of June 30, 2023 in valuing the assets and liabilities:
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, 2023 | |||||||||||||||||
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 23,148,123 | $ | — | $ | 23,148,123 | ||||||||||||
U.S. Government Agency Obligations | — | 94,386,989 | — | 94,386,989 | ||||||||||||||||
U.S. Treasury Obligations | — | 93,958,785 | — | 93,958,785 | ||||||||||||||||
Short-Term Investments | 3,370,433 | — | — | 3,370,433 | ||||||||||||||||
Total Investments, at fair value | $ | 3,370,433 | $ | 211,493,897 | $ | — | $ | 214,864,330 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Futures | $ | (1,689,798 | ) | $ | — | $ | — | $ | (1,689,798 | ) | ||||||||||
Total Liabilities | $ | (1,689,798 | ) | $ | — | $ | — | $ | (1,689,798 | ) |
^ | 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. |
At June 30, 2023, the following futures contracts were outstanding for VY® BrandywineGLOBAL - Bond Portfolio:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Long Contracts: | ||||||||||||||||||
U.S. Treasury 5-Year Note | 768 | 09/29/23 | $ | 82,248,000 | $ | (1,676,241 | ) | |||||||||||
U.S. Treasury Ultra 10-Year Note | 114 | 09/20/23 | 13,501,875 | (13,557 | ) | |||||||||||||
$ | 95,749,875 | $ | (1,689,798 | ) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2023 was as follows:
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* | $ | 1,689,798 | |||
Total Liability Derivatives | $ | 1,689,798 |
* | The fair value presented above represents the cumulative unrealized appreciation (depreciation) on futures contracts as reported in the table within the Portfolio of Investments. In the Statement of Assets and Liabilities, only current day’s unsettled variation margin is reported in receivables or payables on futures contracts and the net cumulative unrealized appreciation (depreciation) is included in total distributable earnings (loss). |
See Accompanying Notes to Financial Statements
42
VY® BrandywineGLOBAL - Bond Portfolio | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 (UNAUDITED) (CONTINUED) |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2023 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments | Futures | |||
Interest rate contracts | $ | 322,500 | ||
Total | $ | 322,500 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments | Futures | |||
Interest rate contracts | (1,689,798 | ) | ||
Total | $ | (1,689,798 | ) |
At June 30, 2023, 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 $219,789,069. | ||||
Net unrealized depreciation consisted of: | ||||
Gross Unrealized Appreciation | $ | 1,033,935 | ||
Gross Unrealized Depreciation | (7,648,472 | ) | ||
Net Unrealized Depreciation | $ | (6,614,537 | ) |
See Accompanying Notes to Financial Statements
43
Investment Adviser Voya Investments, LLC | Custodian The Bank of New York Mellon |
Distributor Voya Investments Distributor, LLC | Legal Counsel Ropes & Gray LLP |
Transfer Agent BNY Mellon Investment Servicing (U.S.) Inc. |
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.
VPSAR-VIT3AIS (0623-082123) |
(b) | Not applicable. |
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.
(a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
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 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)(2)(1) | Not applicable |
(a)(2)(2) | 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/ Andy Simonoff | |
Andy Simonoff | ||
Chief Executive Officer | ||
Date: September 5, 2023 |
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/ Andy Simonoff | |
Andy Simonoff | ||
Chief Executive Officer | ||
Date: September 5, 2023 | ||
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer | ||
Date: September 5, 2023 |