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, 2017 to June 30, 2017
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
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Semi-Annual Report
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the fund’s investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT | ![]() |
voyainvestments.com |
President’s Letter | 1 | ||
Market Perspective | 2 | ||
Shareholder Expense Examples | 4 | ||
Statements of Assets and Liabilities | 5 | ||
Statements of Operations | 7 | ||
Statements of Changes in Net Assets | 8 | ||
Financial Highlights | 9 | ||
Notes to Financial Statements | 10 | ||
Summary Portfolios of Investments (“Portfolio of Investments”) | 26 | ||
Advisory and Sub-Advisory Contract Approval Discussion | 56 |
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.
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President and Chief Executive Officer
Voya Family of Funds
July 31, 2017
Index | Description |
Bloomberg Barclays High Yield Bond — 2% Issuer Constrained Composite Index | An index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. |
Bloomberg Barclays U.S. Aggregate Bond Index | An index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. |
Bloomberg Barclays U.S. Corporate Investment Grade Bond Index | An index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. |
Bloomberg Barclays U.S. Treasury Bond Index | A market capitalization-weighted index that measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of one year or more. |
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. |
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. |
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. |
MSCI World IndexSM | An index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. |
S&P 500® Index | An index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2017* | Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2017* | |||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,004.10 | 1.13 | % | $5.62 | $ | 1,000.00 | $ | 1,019.19 | 1.13 | % | $5.66 | ||||||||||||||||||
Class I | 1,000.00 | 1,005.90 | 0.53 | 2.64 | 1,000.00 | 1,022.17 | 0.53 | 2.66 | ||||||||||||||||||||||||
Class S | 1,000.00 | 1,005.50 | 0.78 | 3.88 | 1,000.00 | 1,020.93 | 0.78 | 3.91 | ||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | $ | 1,000.00 | $ | 1,023.90 | 0.58 | % | $2.91 | $ | 1,000.00 | $ | 1,021.92 | 0.58 | % | $2.91 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | |||||||||||
Investments in securities at fair value+* | $ | 444,087,577 | $ | 212,532,764 | |||||||
Short-term investments at fair value** | 12,810,463 | 30,333,006 | |||||||||
Total investments at fair value | $ | 456,898,040 | $ | 242,865,770 | |||||||
Cash | 160,025 | 79,912 | |||||||||
Cash collateral for futures | — | 422,334 | |||||||||
Cash pledged for centrally cleared swaps (Note 2) | 1,838,490 | 1,518,772 | |||||||||
Foreign currencies at value*** | 733,651 | 98,088 | |||||||||
Receivables: | |||||||||||
Investment securities sold | 17,694,851 | 2,912,020 | |||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 16,813,047 | |||||||||
Fund shares sold | 722,128 | 184,567 | |||||||||
Dividends | 1,934 | 14,842 | |||||||||
Interest | 2,044,050 | 1,046,385 | |||||||||
Unrealized appreciation on forward foreign currency contracts | 58,101 | 1,379,768 | |||||||||
Upfront payments paid on OTC swap agreements | — | 41,858 | |||||||||
Unrealized appreciation on OTC swap agreements | 3,207,226 | — | |||||||||
Prepaid expenses | 2,637 | 1,085 | |||||||||
Reimbursement due from manager | — | 12,901 | |||||||||
Other assets | 18,666 | 2,641 | |||||||||
Total assets | 483,379,799 | 267,393,990 | |||||||||
LIABILITIES: | |||||||||||
Payable for investment securities purchased | 19,712,737 | 3,110,119 | |||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 46,133,320 | |||||||||
Payable for fund shares redeemed | 18,785 | 30,241 | |||||||||
Payable for foreign cash collateral for futures**** | 16,399 | 56,665 | |||||||||
Payable upon receipt of securities loaned | — | 495,661 | |||||||||
Sales commitmentsˆˆˆ | — | 4,156,665 | |||||||||
Unrealized depreciation on forward foreign currency contracts | 383,709 | 1,118,340 | |||||||||
Upfront payments received on OTC swap agreements | — | 1,644 | |||||||||
Unrealized depreciation on OTC swap agreements | 866,672 | 174,011 | |||||||||
Variation margin payable on centrally cleared swaps | 95,674 | 19,518 | |||||||||
Cash received as collateral for OTC derivatives (Note 2) | 3,550,000 | — | |||||||||
Payable for investment management fees | 182,764 | 87,562 | |||||||||
Payable for distribution and shareholder service fees | 61,879 | — | |||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 18,666 | 2,641 | |||||||||
Payable for trustee fees | 2,638 | 1,109 | |||||||||
Payable for cash collateral for futures | 30,517 | — | |||||||||
Other accrued expenses and liabilities | 97,603 | 92,317 | |||||||||
Written options, at fair valueˆ | 194,196 | — | |||||||||
Total liabilities | 25,232,239 | 55,479,813 | |||||||||
NET ASSETS | $ | 458,147,560 | $ | 211,914,177 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 536,123,989 | $ | 205,608,177 | |||||||
Undistributed (distributions in excess of) net investment income or accumulated net investment loss | (111,374 | ) | 6,376,676 | ||||||||
Accumulated net realized loss | (79,005,136 | ) | (667,930 | ) | |||||||
Net unrealized appreciation | 1,140,081 | 597,254 | |||||||||
NET ASSETS | $ | 458,147,560 | $ | 211,914,177 | |||||||
+ Including securities loaned at value | $ | — | $ | 482,273 | |||||||
* Cost of investments in securities | $ | 445,751,533 | $ | 211,728,003 | |||||||
** Cost of short-term investments | $ | 12,809,698 | $ | 30,363,089 | |||||||
*** Cost of foreign currencies | $ | 732,174 | $ | 98,228 | |||||||
**** Cost of payable for foreign cash collateral for futures | $ | 16,399 | $ | 56,664 | |||||||
ˆ Premiums received on written options | $ | 1,019,052 | $ | — | |||||||
ˆˆˆ Proceeds receivable from sales commitments | $ | — | $ | 4,168,984 |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | |||||||||||
Net assets | $ | 51,062,328 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 5,588,922 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.14 | n/a | ||||||||
Class I | |||||||||||
Net assets | $ | 229,545,413 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 24,252,897 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.46 | n/a | ||||||||
Class S | |||||||||||
Net assets | $ | 177,539,819 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 18,907,141 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.39 | n/a | ||||||||
Portfolio(1) | |||||||||||
Net assets | n/a | $ | 211,914,177 | ||||||||
Shares authorized | n/a | unlimited | |||||||||
Par value | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | 20,566,028 | |||||||||
Net asset value and redemption price per share | n/a | $ | 10.30 |
(1) | Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | |||||||||||
Dividends | $ | 39,759 | $ | 47,437 | |||||||
Interest, net of foreign taxes withheld* | 5,716,932 | (1) | 2,927,491 | ||||||||
Securities lending income, net | — | 4,712 | |||||||||
Total investment income | 5,756,691 | 2,979,640 | |||||||||
EXPENSES: | |||||||||||
Investment management fees | 1,357,710 | 550,316 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class ADV | 154,906 | — | |||||||||
Class S | 227,535 | — | |||||||||
Transfer agent fees | 525 | 1,191 | |||||||||
Shareholder reporting expense | 14,480 | 7,240 | |||||||||
Registration fees | — | 4,466 | |||||||||
Professional fees | 31,415 | 26,690 | |||||||||
Custody and accounting expense | 51,565 | 115,075 | |||||||||
Trustee fees | 7,914 | 3,329 | |||||||||
Miscellaneous expense | 18,762 | 8,672 | |||||||||
Total expenses | 1,864,812 | 716,979 | |||||||||
Waived and reimbursed fees | (104,651 | ) | (76,084 | ) | |||||||
Net expenses | 1,760,161 | 640,895 | |||||||||
Net investment income | 3,996,530 | 2,338,745 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | (3,926,978 | ) | 1,372,056 | ||||||||
Foreign currency related transactions | (414,018 | ) | (502,772 | ) | |||||||
Futures | 507,837 | 1,486,453 | |||||||||
Swaps | 1,830,466 | 154,336 | |||||||||
Written options | 1,048,576 | — | |||||||||
Net realized gain (loss) | (954,117 | ) | 2,510,073 | ||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | 5,316,204 | 1,007,192 | |||||||||
Foreign currency related transactions | (551,645 | ) | (632,533 | ) | |||||||
Futures | 696,695 | (573,700 | ) | ||||||||
Swaps | (4,734,379 | ) | (50,326 | ) | |||||||
Written options | 125,323 | — | |||||||||
Sales commitments | — | 763,700 | |||||||||
Net change in unrealized appreciation (depreciation) | 852,198 | 514,333 | |||||||||
Net realized and unrealized gain (loss) | (101,919 | ) | 3,024,406 | ||||||||
Increase in net assets resulting from operations | $ | 3,894,611 | $ | 5,363,151 | |||||||
* Foreign taxes withheld | $ | — | $ | 298 |
(1) | Includes amortization of bond premiums and deflationary adjustments for U.S. Treasury and Foreign Government Inflation Bonds. Please refer to Note 2 for additional details regarding inflationary and deflationary adjustments to interest income for VY® BlackRock Inflation Protected Bond Portfolio. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||||||||
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,996,530 | $ | 5,754,983 | $ | 2,338,745 | $ | 3,982,504 | ||||||||
Net realized gain (loss) | (954,117 | ) | (6,211,444 | ) | 2,510,073 | (2,500,907 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 852,198 | 21,268,014 | 514,333 | 3,597,036 | ||||||||||||
Increase in net assets resulting from operations | 3,894,611 | 20,811,553 | 5,363,151 | 5,078,633 | ||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | (4,529,620 | ) | ||||||||||||||
Class ADV | (381,219 | ) | — | — | — | |||||||||||
Class I | (4,397,495 | ) | — | — | — | |||||||||||
Class S | (2,176,392 | ) | — | — | — | |||||||||||
Total distributions | (6,955,106 | ) | — | — | (4,529,620 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 30,387,361 | 93,157,435 | 34,972,807 | 100,578,739 | ||||||||||||
Reinvestment of distributions | 6,955,106 | — | — | 4,529,620 | ||||||||||||
37,342,467 | 93,157,435 | 34,972,807 | 105,108,359 | |||||||||||||
Cost of shares redeemed | (130,476,621 | ) | (127,760,432 | ) | (55,267,824 | ) | (66,578,679 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (93,134,154 | ) | (34,602,997 | ) | (20,295,017 | ) | 38,529,680 | |||||||||
Net increase (decrease) in net assets | (96,194,649 | ) | (13,791,444 | ) | (14,931,866 | ) | 39,078,693 | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year or period | 554,342,209 | 568,133,653 | 226,846,043 | 187,767,350 | ||||||||||||
End of year or period | $ | 458,147,560 | $ | 554,342,209 | $ | 211,914,177 | $ | 226,846,043 | ||||||||
Undistributed (distributions in excess of) net investment income or accumulated net investment loss at end of year or period | $ | (111,374 | ) | $ | 2,847,202 | $ | 6,376,676 | $ | 4,037,931 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3)(4) | | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | | Expense net of all reductions/ additions(2)(3)(4) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-17 | 9.17 | 0.05 | • | (0.01 | ) | 0.04 | 0.07 | — | — | 0.07 | — | 9.14 | 0.41 | 1.17 | 1.13 | 1.13 | 1.09 | 51,062 | 61 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 8.88 | 0.05 | 0.24 | 0.29 | — | — | — | — | — | 9.17 | 3.27 | 1.21 | 1.12 | 1.12 | 0.53 | 52,110 | 73 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.24 | (0.05 | ) | (0.22 | ) | (0.27 | ) | 0.09 | — | 0.00 | * | 0.09 | — | 8.88 | (2.89 | ) | 1.30 | 1.11 | 1.11 | (0.52 | ) | 54,750 | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.15 | 0.05 | 0.15 | 0.20 | 0.11 | — | — | 0.11 | — | 9.24 | 2.14 | 1.30 | 1.11 | 1.11 | 0.57 | 63,936 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.74 | (0.07 | )• | (0.88 | ) | (0.95 | ) | — | 0.64 | — | 0.64 | — | 9.15 | (8.98 | ) | 1.29 | 1.14 | 1.14 | (0.66 | ) | 74,204 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.73 | 0.02 | 0.61 | 0.63 | 0.04 | 0.58 | — | 0.62 | — | 10.74 | 5.95 | 1.28 | 1.13 | 1.13 | 0.19 | 102,747 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-17 | 9.55 | 0.08 | • | (0.02 | ) | 0.06 | 0.15 | — | — | 0.15 | — | 9.46 | 0.59 | 0.57 | 0.53 | 0.53 | 1.67 | 229,545 | 61 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 9.19 | 0.11 | 0.25 | 0.36 | — | — | — | — | — | 9.55 | 3.92 | 0.56 | 0.52 | 0.52 | 1.15 | 311,949 | 73 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.54 | 0.01 | • | (0.23 | ) | (0.22 | ) | 0.08 | — | 0.05 | 0.13 | — | 9.19 | (2.35 | ) | 0.55 | 0.51 | 0.51 | 0.16 | 311,110 | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.42 | 0.11 | 0.16 | 0.27 | 0.15 | — | — | 0.15 | — | 9.54 | 2.81 | 0.55 | 0.51 | 0.51 | 1.18 | 450,442 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.97 | (0.00 | )* | (0.91 | ) | (0.91 | ) | — | 0.64 | — | 0.64 | — | 9.42 | (8.41 | ) | 0.54 | 0.54 | 0.54 | (0.05 | ) | 476,969 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.91 | 0.09 | 0.61 | 0.70 | 0.06 | 0.58 | — | 0.64 | — | 10.97 | 6.56 | 0.53 | 0.53 | 0.53 | 0.83 | 508,369 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-17 | 9.45 | 0.07 | • | (0.02 | ) | 0.05 | 0.11 | — | — | 0.11 | — | 9.39 | 0.55 | 0.82 | 0.78 | 0.78 | 1.43 | 177,540 | 61 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 9.12 | 0.09 | 0.24 | 0.33 | — | — | — | — | — | 9.45 | 3.62 | 0.81 | 0.77 | 0.77 | 0.89 | 190,284 | 73 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.48 | (0.02 | ) | (0.22 | ) | (0.24 | ) | 0.09 | — | 0.03 | 0.12 | — | 9.12 | (2.61 | ) | 0.80 | 0.76 | 0.76 | (0.19 | ) | 202,274 | 470 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.37 | 0.09 | 0.15 | 0.24 | 0.13 | — | — | 0.13 | — | 9.48 | 2.54 | 0.80 | 0.76 | 0.76 | 0.90 | 243,300 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.94 | (0.04 | )• | (0.89 | ) | (0.93 | ) | — | 0.64 | — | 0.64 | — | 9.37 | (8.62 | ) | 0.79 | 0.79 | 0.79 | (0.40 | ) | 301,374 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.90 | 0.06 | 0.61 | 0.67 | 0.05 | 0.58 | — | 0.63 | — | 10.94 | 6.26 | 0.78 | 0.78 | 0.78 | 0.50 | 587,903 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-17 | 10.06 | 0.11 | • | 0.13 | 0.24 | — | — | — | — | — | 10.30 | 2.39 | 0.65 | 0.58 | 0.58 | 2.12 | 211,914 | 163 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 10.02 | 0.20 | • | 0.08 | 0.28 | 0.24 | — | — | 0.24 | — | 10.06 | 2.70 | 0.66 | 0.58 | 0.58 | 2.00 | 226,846 | 490 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
02-20-15(5)–12-31-15 | 10.00 | 0.15 | • | (0.13 | ) | 0.02 | — | — | — | — | — | 10.02 | 0.20 | 0.61 | 0.58 | 0.58 | 1.77 | 187,767 | 507 |
(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 by an 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 an Investment Adviser and/or Distributor 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. |
(5) | Commencement of operations. |
• | Calculated using average number of shares outstanding throughout the year or period. |
* | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
Close for such security provided by the CTA. Bank loans are valued at the average of the averages of the bid and ask prices provided to an independent loan pricing service by brokers. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Investments in open-end registered investment companies that do not trade on an exchange are valued at the end of day NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
effect on the value of shareholders’ investments in each Portfolio.
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. |
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 or expired.
potential changes in government policy may affect interest rates.
transactions failed to perform would be $4,618,507 and $1,379,768, respectively, which represents the gross payments to be received by the Portfolios on OTC purchased options, forward foreign currency contracts, and OTC inflation-linked swaps were they to be unwound as of June 30, 2017. At June 30, 2017, BlackRock Inflation Protected Bond had received $3,550,000 in cash collateral from certain counterparties. There was no cash collateral pledged to Goldman Sachs Bond by any counterparty at June 30, 2017.
Purchased | Sold | |||||||||
BlackRock Inflation Protected Bond | $ | 19,023,570 | $ | 33,021,472 | ||||||
Goldman Sachs Bond | 166,481,492 | 84,558,138 |
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.
Purchased | Sold | |||||||||
BlackRock Inflation Protected Bond | $ | 220,371,460 | $ | 277,094,858 | ||||||
Goldman Sachs Bond | 100,442,213 | 44,028,311 |
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”).
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.
borrower issuing the note. The market value of these products will increase or decrease based on the performance of the underlying asset or reference. A Portfolio records the net change in the market value of the structured product on the accompanying Statements of Operations as a change in unrealized appreciation or depreciation on investments. A Portfolio records a realized gain or loss on the Statements of Operations upon the sale or maturity of the structured product. Please refer to the Portfolio of Investments for structured products held by Goldman Sachs Bond at June 30, 2017.
Purchases | Sales | |||||||||
BlackRock Inflation Protected Bond | $ | 92,273,522 | $ | 112,472,482 | ||||||
Goldman Sachs Bond | 49,258,603 | 35,329,049 |
Purchases | Sales | |||||||||
BlackRock Inflation Protected Bond | $ | 213,760,408 | $ | 284,236,045 | ||||||
Goldman Sachs Bond | 384,602,328 | 309,894,203 |
Portfolio | Fee | |
---|---|---|
BlackRock Inflation Protected Bond(1) | 0.55% on the first $200 million; | |
0.50% on the next $800 million; and | ||
0.40% on the amount in excess of $1 billion | ||
Goldman Sachs Bond | 0.50% on the first $750 million; and | |
0.48% on assets over $750 million |
(1) | The Investment Adviser has contractually agreed to waive 0.04% of the management fee. Any fees waived or reimbursed are not eligible for recoupment. Termination or modification of this obligation requires approval by the Board. |
Portfolio | Sub-Adviser | |
BlackRock Inflation Protected Bond | BlackRock Financial Management, Inc. | |
Goldman Sachs Bond | Goldman Sachs Asset Management, L.P. |
Subsidiary/Affiliated Investment Company | Portfolio | Percentage | ||||
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 12.19 | % | |||
Voya Insurance and Annuity Company | BlackRock Inflation Protected Bond | 37.54 | ||||
Voya Retirement Conservative Portfolio | BlackRock Inflation Protected Bond | 13.41 | ||||
Voya Retirement Moderate Portfolio | BlackRock Inflation Protected Bond | 15.90 | ||||
Voya Solution 2025 Portfolio | Goldman Sachs Bond | 25.44 | ||||
Voya Solution Income Portfolio | BlackRock Inflation Protected Bond | 6.85 | ||||
Goldman Sachs Bond | 23.74 |
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% | ||
Goldman Sachs Bond | 0.58% |
June 30, | ||||||||||||||||||
Portfolio | 2018 | 2019 | 2020 | Total | ||||||||||||||
Goldman Sachs Bond | $ | 15,449 | $ | 115,335 | $ | 149,846 | $ | 280,630 |
Number of Contracts | Cost | |||||||||
Balance at 12/31/2016 | 719 | $ | 423,745 | |||||||
Options Purchased | 6,406 | 2,423,864 | ||||||||
Options Terminated in Closing Sell Transactions | (4,403 | ) | (1,542,178 | ) | ||||||
Options Expired | (1,954 | ) | (859,208 | ) | ||||||
Balance at 06/30/2017 | 768 | $ | 446,223 |
CHF Notional | EUR Notional | GBP Notional | USD Notional | Cost | ||||||||||||||||||
Balance at 12/31/2016 | 11,260,000 | 10,520,000 | — | — | $ | 355,050 | ||||||||||||||||
Options Purchased | — | 30,790,000 | 78,950,000 | 20,085,000 | 861,557 | |||||||||||||||||
Options Terminated in Closing Sell Transactions | — | — | (13,175,000 | ) | — | (230,348 | ) | |||||||||||||||
Options Expired | (11,260,000 | ) | (41,310,000 | ) | (50,045,000 | ) | — | (769,578 | ) | |||||||||||||
Balance at 06/30/2017 | — | — | 15,730,000 | 20,085,000 | $ | 216,681 |
USD Notional | EUR Notional | Cost | ||||||||||||
Balance at 12/31/2016 | 11,800,000 | 10,100,000 | $ | 2,369,669 | ||||||||||
Options Purchased | 20,810,000 | — | 541,388 | |||||||||||
Options Terminated in Closing Sell Transactions | (5,100,000 | ) | — | (640,203 | ) | |||||||||
Options Expired | — | — | — | |||||||||||
Balance at 06/30/2017 | 27,510,000 | 10,100,000 | $ | 2,270,854 |
EUR Notional | Premiums Received | ||||||||||
Balance at 12/31/2016 | 3,140,000 | $ | 217,411 | ||||||||
Balance at 06/30/2017 | 3,140,000 | $ | 217,411 |
Number of Contracts | Premiums Received | ||||||||||
Balance at 12/31/2016 | 462 | $ | 254,005 | ||||||||
Options Written | 3,181 | 739,488 | |||||||||
Options Terminated in Closing Purchase Transactions | (2,579 | ) | (713,190 | ) | |||||||
Options Expired | (296 | ) | (115,276 | ) | |||||||
Balance at 06/30/2017 | 768 | $ | 165,027 |
CHF Notional | EUR Notional | GBP Notional | USD Notional | Premiums Received | ||||||||||||||||||
Balance at 12/31/2016 | 5,630,000 | 10,520,000 | — | — | $ | 97,588 | ||||||||||||||||
Options Written | — | 5,130,000 | 57,875,000 | 20,085,000 | 546,501 | |||||||||||||||||
Options Terminated in Closing Sell Transactions | — | — | (21,960,000 | ) | — | (200,623 | ) | |||||||||||||||
Options Expired | (5,630,000 | ) | (15,650,000 | ) | (28,050,000 | ) | — | (338,269 | ) | |||||||||||||
Balance at 06/30/2017 | — | — | 7,865,000 | 20,085,000 | $ | 105,197 |
EUR Notional | GBP Notional | USD Notional | Premiums Received | |||||||||||||||
Balance at 12/31/2016 | 10,100,000 | — | 83,600,000 | $ | 860,147 | |||||||||||||
Options Written | — | 11,030,000 | 44,000,000 | 247,258 | ||||||||||||||
Options Terminated in Closing Purchase Transactions | — | — | (127,600,000 | ) | (575,988 | ) | ||||||||||||
Options Expired | — | — | — | — | ||||||||||||||
Balance at 06/30/2017 | 10,100,000 | 11,030,000 | — | $ | 531,417 |
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 | |||||||||||||||||||||||||||||||||||||||||||
6/30/2017 | 228,421 | — | 41,329 | (363,083 | ) | (93,333 | ) | 2,101,992 | — | 381,219 | (3,345,035 | ) | (861,824 | ) | |||||||||||||||||||||||||||||
12/31/2016 | 417,580 | — | — | (898,707 | ) | (481,127 | ) | 3,855,526 | — | — | (8,253,074 | ) | (4,397,548 | ) | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
6/30/2017 | 2,341,057 | — | 460,710 | (11,219,421 | ) | (8,417,654 | ) | 22,462,652 | — | 4,397,495 | (107,500,534 | ) | (80,640,387 | ) | |||||||||||||||||||||||||||||
12/31/2016 | 6,878,057 | — | — | (8,047,014 | ) | (1,168,957 | ) | 65,259,597 | — | — | (76,426,152 | ) | (11,166,555 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
6/30/2017 | 615,466 | — | 229,768 | (2,070,800 | ) | (1,225,566 | ) | 5,822,717 | — | 2,176,392 | (19,631,052 | ) | (11,631,943 | ) | |||||||||||||||||||||||||||||
12/31/2016 | 2,528,388 | — | — | (4,566,921 | ) | (2,038,533 | ) | 24,042,312 | — | — | (43,081,206 | ) | (19,038,894 | ) | |||||||||||||||||||||||||||||
Goldman Sachs Bond | |||||||||||||||||||||||||||||||||||||||||||
6/30/2017 | 3,431,993 | — | — | (5,424,179 | ) | (1,992,186 | ) | 34,972,807 | — | — | (55,267,824 | ) | (20,295,017 | ) | |||||||||||||||||||||||||||||
12/31/2016 | 9,917,063 | — | 441,054 | (6,536,981 | ) | 3,821,136 | 100,578,739 | — | 4,529,620 | (66,578,679 | ) | 38,529,680 |
Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||||
Citigroup Global Markets Inc. | $ | 201,469 | $ | (201,469 | ) | $ | — | |||||||
Deutsche Bank Securities Inc. | 50,036 | (50,036 | ) | — | ||||||||||
J.P. Morgan Securities LLC | 141,307 | (141,307 | ) | — | ||||||||||
SG Americas Securities, LLC | 89,461 | (89,461 | ) | — | ||||||||||
Total | $ | 482,273 | $ | (482,273 | ) | $ | — |
(1) | Collateral with a fair value of $495,661 has been received in connection with the above securities lending transactions. Excess collateral received from the individual counterparty is not shown for financial reporting purposes. |
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||||
Ordinary Income | Ordinary Income | |||||||||
BlackRock Inflation Protected Bond | $ | 6,955,106 | $ | — | ||||||
Goldman Sachs Bond | — | 4,529,620 |
Capital Loss Carryforwards | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | Amount | Character | Expiration | ||||||||||||||||||
BlackRock Inflation Protected Bond | $3,104,390 | $(617,017 | ) | $ | (13,615,366 | ) | Short-term | None | ||||||||||||||
(63,774,435 | ) | Long-term | None | |||||||||||||||||||
$ | (77,389,801 | ) | ||||||||||||||||||||
Goldman Sachs Bond | 4,790,274 | (1,398,766 | ) | $ | (1,507,263 | ) | Short-term | None | ||||||||||||||
(940,030 | ) | Long-term | None | |||||||||||||||||||
$ | (2,447,293 | ) |
Per Share Amount | Payable Date | Record Date | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Bond | $0.2340 | July 17, 2017 | July 13, 2017 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) |
as of June 30, 2017
(as a percentage of net assets)
U.S. Treasury Obligations | 53.4 | % | |||||
Corporate Bonds/Notes | 23.9 | % | |||||
U.S. Government Agency Obligations | 14.3 | % | |||||
Foreign Government Bonds | 5.0 | % | |||||
Purchased Options | 0.3 | % | |||||
Assets in Excess of Other Liabilities* | 3.1 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 23.9% | |||||||||||||||||||
Consumer, Cyclical: 1.1% | |||||||||||||||||||
845,000 | American Honda Finance Corp., 2.000%, 02/14/20 | $ | 847,115 | 0.2 | |||||||||||||||
370,000 | # | BMW US Capital LLC, 1.500%, 04/11/19 | 368,649 | 0.1 | |||||||||||||||
795,000 | # | BMW US Capital LLC, 2.150%, 04/06/20 | 799,236 | 0.1 | |||||||||||||||
530,000 | # | Nissan Motor Acceptance Corp., 1.550%, 09/13/19 | 524,227 | 0.1 | |||||||||||||||
960,000 | # | Nissan Motor Acceptance Corp., 2.000%, 03/08/19 | 961,003 | 0.2 | |||||||||||||||
755,000 | # | Nissan Motor Acceptance Corp., 2.250%, 01/13/20 | 757,077 | 0.2 | |||||||||||||||
885,000 | PACCAR Financial Corp., 1.300%, 05/10/19 | 878,232 | 0.2 | ||||||||||||||||
5,135,539 | 1.1 | ||||||||||||||||||
Consumer, Non-cyclical: 1.7% | |||||||||||||||||||
2,200,000 | Gilead Sciences, Inc., 1.850%, 09/04/18 | 2,205,617 | 0.5 | ||||||||||||||||
3,000,000 | Gilead Sciences, Inc., 2.350%, 02/01/20 | 3,029,562 | 0.6 | ||||||||||||||||
2,545,000 | Medtronic Global Holdings SCA, 1.700%, 03/28/19 | 2,547,351 | 0.6 | ||||||||||||||||
7,782,530 | 1.7 | ||||||||||||||||||
Energy: 0.1% | |||||||||||||||||||
615,000 | Shell International Finance BV, 1.375%, 09/12/19 | 610,739 | 0.1 | ||||||||||||||||
Financial: 18.4% | |||||||||||||||||||
595,000 | # | AIG Global Funding, 2.150%, 07/02/20 | 594,786 | 0.1 | |||||||||||||||
1,385,000 | American Express Credit Corp., 2.200%, 03/03/20 | 1,392,016 | 0.3 | ||||||||||||||||
3,000,000 | Australia & New Zealand Banking Group Ltd./New York NY, 2.050%, 09/23/19 | 3,002,439 | 0.7 | ||||||||||||||||
4,250,000 | Bank of America NA, 2.050%, 12/07/18 | 4,270,715 | 0.9 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
1,500,000 | Bank of New York Mellon Corp./The, 2.150%, 02/24/20 | $ | 1,509,108 | 0.3 | |||||||||||||||
2,850,000 | Bank of Nova Scotia/The, 2.050%, 06/05/19 | 2,858,111 | 0.6 | ||||||||||||||||
2,000,000 | BNP Paribas SA, 2.400%, 12/12/18 | 2,017,424 | 0.5 | ||||||||||||||||
5,000,000 | Branch Banking & Trust Co., 1.450%, 05/10/19 | 4,962,695 | 1.1 | ||||||||||||||||
3,700,000 | Branch Banking & Trust Co., 2.300%, 10/15/18 | 3,724,294 | 0.8 | ||||||||||||||||
2,330,000 | Citibank NA, 1.728%–2.000%, 03/20/19–06/12/20 | 2,339,079 | 0.5 | ||||||||||||||||
1,860,000 | # | Commonwealth Bank of Australia, 2.250%, 03/10/20 | 1,864,600 | 0.4 | |||||||||||||||
4,000,000 | Credit Suisse AG/New York NY, 2.300%, 05/28/19 | 4,027,588 | 0.9 | ||||||||||||||||
2,000,000 | # | Danske Bank A/S, 1.650%, 09/06/19 | 1,982,086 | 0.4 | |||||||||||||||
1,110,000 | Fifth Third Bank/Cincinnati OH, 1.625%, 09/27/19 | 1,099,578 | 0.2 | ||||||||||||||||
3,000,000 | Fifth Third Bank/Cincinnati OH, 2.375%, 04/25/19 | 3,020,847 | 0.7 | ||||||||||||||||
8,050,000 | JPMorgan Chase & Co., 2.350%, 01/28/19 | 8,113,418 | 1.8 | ||||||||||||||||
2,000,000 | # | National Australia Bank Ltd., 2.250%, 07/01/19 | 2,012,976 | 0.4 | |||||||||||||||
700,000 | National Australia Bank Ltd./New York, 2.125%, 05/22/20 | 700,478 | 0.2 | ||||||||||||||||
2,540,000 | # | New York Life Global Funding, 2.000%, 04/09/20 | 2,540,498 | 0.6 | |||||||||||||||
1,970,000 | # | Pricoa Global Funding I, 1.450%, 09/13/19 | 1,944,770 | 0.4 | |||||||||||||||
630,000 | # | Principal Life Global Funding II, 1.500%, 04/18/19 | 624,375 | 0.1 | |||||||||||||||
3,000,000 | Royal Bank of Canada, 1.500%, 07/29/19 | 2,977,983 | 0.7 | ||||||||||||||||
2,000,000 | Skandinaviska Enskilda Banken AB, 1.500%, 09/13/19 | 1,978,118 | 0.4 | ||||||||||||||||
2,250,000 | Sumitomo Mitsui Banking Corp., 1.762%–2.450%, 10/19/18–01/16/20 | 2,262,681 | 0.5 | ||||||||||||||||
1,510,000 | # | Sumitomo Mitsui Trust Bank Ltd, 2.050%, 03/06/19 | 1,510,409 | 0.3 | |||||||||||||||
2,000,000 | Svenska Handelsbanken AB, 2.250%, 06/17/19 | 2,012,136 | 0.4 | ||||||||||||||||
2,500,000 | Toronto-Dominion Bank, 1.950%, 01/22/19 | 2,511,238 | 0.6 | ||||||||||||||||
295,000 | # | UBS AG/London, 2.200%, 06/08/20 | 295,424 | 0.1 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Financial: (continued) | |||||||||||||||||||||||
3,200,000 | UBS AG/Stamford CT, 2.350%, 03/26/20 | $ | 3,220,032 | 0.7 | |||||||||||||||||||
4,700,000 | US Bank NA/Cincinnati OH, 2.000%, 01/24/20 | 4,721,634 | 1.0 | ||||||||||||||||||||
700,000 | Wells Fargo & Co., 2.150%, 01/15/19 | 703,685 | 0.1 | ||||||||||||||||||||
2,215,000 | Wells Fargo Bank NA, 1.750%, 05/24/19 | 2,211,400 | 0.5 | ||||||||||||||||||||
3,500,000 | Wells Fargo Bank NA, 2.150%, 12/06/19 | 3,517,612 | 0.8 | ||||||||||||||||||||
1,255,000 | Westpac Banking Corp., 1.600%, 08/19/19 | 1,245,693 | 0.3 | ||||||||||||||||||||
325,000 | Other Securities | 322,707 | 0.1 | ||||||||||||||||||||
84,092,633 | 18.4 | ||||||||||||||||||||||
Industrial: 0.3% | |||||||||||||||||||||||
635,000 | John Deere Capital Corp., 1.950%, 06/22/20 | 636,940 | 0.1 | ||||||||||||||||||||
795,000 | # | Siemens Financieringsmaatschappij NV, 2.200%, 03/16/20 | 800,980 | 0.2 | |||||||||||||||||||
1,437,920 | 0.3 | ||||||||||||||||||||||
Technology: 1.4% | |||||||||||||||||||||||
2,000,000 | Oracle Corp., 2.250%, 10/08/19 | 2,025,398 | 0.4 | ||||||||||||||||||||
4,355,000 | Qualcomm, Inc., 1.850%, 05/20/19 | 4,366,306 | 1.0 | ||||||||||||||||||||
6,391,704 | 1.4 | ||||||||||||||||||||||
Utilities: 0.9% | |||||||||||||||||||||||
3,700,000 | Duke Energy Carolinas LLC, 7.000%, 11/15/18 | 3,963,566 | 0.9 | ||||||||||||||||||||
Total Corporate Bonds/Notes (Cost $109,376,210) | 109,414,631 | 23.9 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 5.0% | |||||||||||||||||||||||
EUR 835,000 | # | French Republic Government Bond OAT, 2.000%, 05/25/48 | 986,920 | 0.2 | |||||||||||||||||||
2,120,000 | Israel Government AID Bond, 5.500%, 12/04/23 | 2,522,293 | 0.5 | ||||||||||||||||||||
2,500,000 | Israel Government AID Bond, 5.500%, 04/26/24 | 2,986,323 | 0.7 | ||||||||||||||||||||
EUR 1,886,392 | Italy Buoni Poliennali Del Tesoro, 1.250%, 10/27/20 | 2,262,791 | 0.5 | ||||||||||||||||||||
EUR 6,073,777 | Italy Buoni Poliennali Del Tesoro, 1.650%, 04/23/20 | 7,274,324 | 1.6 | ||||||||||||||||||||
EUR 1,195,000 | # | Italy Buoni Poliennali Del Tesoro, 2.700%, 03/01/47 | 1,219,171 | 0.3 | |||||||||||||||||||
NZD 4,959,000 | New Zealand Government Bond, 2.500%–3.000%, 09/20/30–09/20/35 | 4,118,407 | 0.9 | ||||||||||||||||||||
EUR 607,000 | # | Spain Government Bond, 5.150%, 10/31/44 | 1,008,843 | 0.2 | |||||||||||||||||||
808,511 | Other Securities | 585,798 | 0.1 | ||||||||||||||||||||
Total Foreign Government Bonds (Cost $22,187,323) | 22,964,870 | 5.0 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 53.4% | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 53.4% | |||||||||||||||||||||||
21,265,479 | 0.125%, due 04/15/22 | $ | 21,170,316 | 4.6 | |||||||||||||||||||
8,130,350 | 0.125%, due 07/15/24 | 7,989,028 | 1.8 | ||||||||||||||||||||
13,307,465 | 0.125%, due 07/15/26 | 12,841,465 | 2.8 | ||||||||||||||||||||
17,906,631 | 0.250%, due 01/15/25 | 17,594,626 | 3.8 | ||||||||||||||||||||
12,022,859 | 0.375%, due 07/15/25 | 11,937,016 | 2.6 | ||||||||||||||||||||
6,868,252 | 0.375%, due 01/15/27 | 6,748,387 | 1.5 | ||||||||||||||||||||
16,103,200 | 0.625%, due 01/15/26 | 16,212,316 | 3.5 | ||||||||||||||||||||
2,564,350 | 0.625%, due 02/15/43 | 2,363,394 | 0.5 | ||||||||||||||||||||
12,428,168 | 0.750%, due 02/15/42 | 11,845,598 | 2.6 | ||||||||||||||||||||
7,642,624 | 0.750%, due 02/15/45 | 7,180,872 | 1.6 | ||||||||||||||||||||
6,174,052 | 0.875%, due 02/15/47 | 5,997,968 | 1.3 | ||||||||||||||||||||
7,889,564 | 1.000%, due 02/15/46 | 7,891,489 | 1.7 | ||||||||||||||||||||
10,240,094 | 1.375%, due 02/15/44 | 11,154,883 | 2.4 | ||||||||||||||||||||
12,972,261 | S | 1.750%, due 01/15/28 | 14,468,935 | 3.2 | |||||||||||||||||||
6,474,160 | 2.000%, due 01/15/26 | 7,258,582 | 1.6 | ||||||||||||||||||||
8,791,827 | 2.125%, due 02/15/40 | 10,948,946 | 2.4 | ||||||||||||||||||||
8,224,467 | 2.125%, due 02/15/41 | 10,289,474 | 2.3 | ||||||||||||||||||||
7,668,575 | 2.375%, due 01/15/25 | 8,739,054 | 1.9 | ||||||||||||||||||||
8,247,629 | 2.375%, due 01/15/27 | 9,616,109 | 2.1 | ||||||||||||||||||||
8,359,599 | 2.500%, due 01/15/29 | 10,059,541 | 2.2 | ||||||||||||||||||||
3,967,488 | 3.375%, due 04/15/32 | 5,456,403 | 1.2 | ||||||||||||||||||||
10,174,616 | 3.625%, due 04/15/28 | 13,301,886 | 2.9 | ||||||||||||||||||||
9,873,560 | 3.875%, due 04/15/29 | 13,416,559 | 2.9 | ||||||||||||||||||||
Total U.S. Treasury Obligations (Cost $245,852,730) | 244,482,847 | 53.4 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 14.3% | |||||||||||||||||||||||
Federal Home Loan Bank: 4.0% | |||||||||||||||||||||||
12,810,000 | 1.375%, due 02/18/21 | 12,677,544 | 2.8 | ||||||||||||||||||||
5,255,000 | 2.875%, due 09/13/24 | 5,453,240 | 1.2 | ||||||||||||||||||||
18,130,784 | 4.0 | ||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 2.5%## | |||||||||||||||||||||||
1,515,000 | 1.375%, due 05/01/20 | 1,505,254 | 0.3 | ||||||||||||||||||||
9,970,000 | 2.375%, due 01/13/22 | 10,185,073 | 2.2 | ||||||||||||||||||||
11,690,327 | 2.5 | ||||||||||||||||||||||
Federal National Mortgage Association: 5.7%## | |||||||||||||||||||||||
8,350,000 | 1.375%, due 02/26/21 | 8,251,103 | 1.8 | ||||||||||||||||||||
10,140,000 | 1.875%, due 12/28/20 | 10,201,915 | 2.2 | ||||||||||||||||||||
4,830,000 | 1.875%, due 09/24/26 | 4,586,177 | 1.0 | ||||||||||||||||||||
3,120,000 | 2.625%, due 09/06/24 | 3,204,430 | 0.7 | ||||||||||||||||||||
26,243,625 | 5.7 | ||||||||||||||||||||||
Other U.S. Agency Obligations: 2.1% | |||||||||||||||||||||||
9,730,000 | 1.300%, due 12/14/18 | 9,722,936 | 2.1 | ||||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $65,401,512) | 65,787,672 | 14.3 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: 0.3% | |||||||||||||||||||
Exchange-Traded Options: 0.0% | |||||||||||||||||||
456 | @ | Call on U.S. Treasury 10-Year Note, Strike @ 127.000, Exp. 07/21/17 | $ | 35,627 | 0.0 | ||||||||||||||
312 | @ | Call on U.S. Treasury 10-Year Note, Strike @ 126.500, Exp. 07/21/17 | 48,750 | 0.0 | |||||||||||||||
84,377 | 0.0 | ||||||||||||||||||
Options on Currencies: 0.0% | |||||||||||||||||||
7,865,000 | @ | Call GBP vs. Put USD, Strike @ 1.340, Exp. 08/01/17 Counterparty: Deutsche Bank AG | 15,178 | 0.0 | |||||||||||||||
10,960,000 | @ | Call USD vs. Put JPY, Strike @ 115.000, Exp. 07/07/17 Counterparty: Deutsche Bank AG | 1,127 | 0.0 | |||||||||||||||
9,125,000 | @ | Call USD vs. Put MXN, Strike @ 19.000, Exp. 09/21/17 Counterparty: Deutsche Bank AG | 102,724 | 0.0 | |||||||||||||||
7,865,000 | @ | Put GBP vs. Call USD, Strike @ 1.248, Exp. 08/01/17 Counterparty: Goldman Sachs International | 5,125 | 0.0 | |||||||||||||||
124,154 | 0.0 | ||||||||||||||||||
OTC Interest Rate Swaptions: 0.3% | |||||||||||||||||||
10,100,000 | @ | Put on 20-year Interest Rate Swap, Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 2.500%, Exp. 06/08/22 Counterparty: Deutsche Bank AG | 592,350 | 0.1 | |||||||||||||||
1,700,000 | @ | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 2.680%, Exp. 01/12/21 Counterparty: Deutsche Bank AG | 172,091 | 0.1 | |||||||||||||||
3,015,000 | @ | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 3.040%, Exp. 06/17/19 Counterparty: Deutsche Bank AG | 134,363 | 0.0 | |||||||||||||||
2,995,000 | @ | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 3.540%, Exp. 06/17/19 Counterparty: Deutsche Bank AG | 64,678 | 0.0 | |||||||||||||||
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
OTC Interest Rate Swaptions: (continued) | |||||||||||||||||||
5,000,000 | @ | Put on 30-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 4.000%, Exp. 11/21/17 Counterparty: Barclays Bank PLC | $ | 461 | 0.0 | ||||||||||||||
14,800,000 | @ | Put on 5-year Interest Rate Swap, Receive a floating rate based on the 3-month USD-LIBOR and pay a fixed rate equal to 3.25%, Exp. 01/05/22 Counterparty: Deutsche Bank AG | 265,083 | 0.1 | |||||||||||||||
1,229,026 | 0.3 | ||||||||||||||||||
Total Purchased Options (Cost $2,933,758) | 1,437,557 | 0.3 | |||||||||||||||||
Total Long-Term Investments (Cost $445,751,533) | 444,087,577 | 96.9 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 2.8% | |||||||||||||||||||
Corporate Bonds/Notes: 0.2% | |||||||||||||||||||
1,000,000 | # | Metropolitan Life Global Funding I, 1.500%, 01/10/18 (Cost $999,060) | 999,825 | 0.2 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 2.6% | ||||||||||||||||||
11,810,638 | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.860%†† (Cost $11,810,638) | 11,810,638 | 2.6 | |||||||||||||||
Total Short-Term Investments (Cost $12,809,698) | 12,810,463 | 2.8 | ||||||||||||||||
Total Investments in Securities (Cost $458,561,231) | $ | 456,898,040 | 99.7 | |||||||||||||||
Assets in Excess of Other Liabilities | 1,249,520 | 0.3 | ||||||||||||||||
Net Assets | $ | 458,147,560 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2017. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
# | 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. | |
## | 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. | |
@ | Non-income producing security. | |
S | 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. | |
EUR | EU Euro | |
GBP | British Pound | |
NZD | New Zealand Dollar | |
Cost for federal income tax purposes is $459,013,978. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 2,478,187 | ||||
Gross Unrealized Depreciation | (4,594,125 | ) | ||||
Net Unrealized Depreciation | $ | (2,115,938 | ) |
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, 2017 | |||||||||||||||
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Purchased Options | $ | 84,377 | $ | 1,353,180 | $ | — | $ | 1,437,557 | ||||||||||
Corporate Bonds/Notes | — | 109,414,631 | — | 109,414,631 | ||||||||||||||
Short-Term Investments | 11,810,638 | 999,825 | — | 12,810,463 | ||||||||||||||
U.S. Government Agency Obligations | — | 65,787,672 | — | 65,787,672 | ||||||||||||||
U.S. Treasury Obligations | — | 244,482,847 | — | 244,482,847 | ||||||||||||||
Foreign Government Bonds | — | 22,964,870 | — | 22,964,870 | ||||||||||||||
Total Investments, at fair value | $ | 11,895,015 | $ | 445,003,025 | $ | — | $ | 456,898,040 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | — | 709,004 | — | 709,004 | ||||||||||||||
Forward Foreign Currency Contracts | — | 58,101 | — | 58,101 | ||||||||||||||
Futures | 374,712 | — | — | 374,712 | ||||||||||||||
OTC Swaps | — | 3,207,226 | — | 3,207,226 | ||||||||||||||
Total Assets | $ | 12,269,727 | $ | 448,977,356 | $ | — | $ | 461,247,083 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (301,696 | ) | $ | — | $ | (301,696 | ) | ||||||||
Forward Foreign Currency Contracts | — | (383,709 | ) | — | (383,709 | ) | ||||||||||||
Futures | (820,518 | ) | — | — | (820,518 | ) | ||||||||||||
OTC Swaps | — | (866,672 | ) | — | (866,672 | ) | ||||||||||||
Written Options | (28,877 | ) | (165,319 | ) | — | (194,196 | ) | |||||||||||
Total Liabilities | $ | (849,395 | ) | $ | (1,717,396 | ) | $ | — | $ | (2,566,791 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and 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 valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD 103,076 | GBP 81,000 | ANZ Bank | 07/06/17 | $ | (2,430 | ) | ||||||||
USD 2,276,292 | EUR 2,017,000 | Barclays Bank PLC | 07/06/17 | (27,689 | ) | |||||||||
NZD 5,741,000 | USD 4,211,709 | Citibank N.A. | 07/06/17 | (4,708 | ) | |||||||||
USD 4,209,607 | NZD 5,741,000 | Citibank N.A. | 08/03/17 | 5,009 | ||||||||||
USD 284,305 | NZD 402,986 | Credit Suisse International | 07/06/17 | (10,992 | ) | |||||||||
EUR 11,650,000 | USD 13,298,475 | Deutsche Bank AG | 07/06/17 | 7,599 | ||||||||||
EUR 50,000 | USD 55,991 | Deutsche Bank AG | 07/06/17 | 1,123 | ||||||||||
GBP 150,000 | USD 191,814 | Deutsche Bank AG | 07/06/17 | 3,568 | ||||||||||
USD 9,335,452 | EUR 8,297,000 | Deutsche Bank AG | 07/06/17 | (142,055 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD 1,529,387 | GBP 1,189,000 | Deutsche Bank AG | 07/06/17 | (19,341 | ) | |||||||||
USD 13,317,488 | EUR 11,650,000 | Deutsche Bank AG | 08/03/17 | (11,117 | ) | |||||||||
USD 349,625 | EUR 312,000 | Goldman Sachs International | 07/06/17 | $ | (6,767 | ) | ||||||||
USD 667,309 | EUR 598,000 | Goldman Sachs International | 07/06/17 | (15,775 | ) | |||||||||
USD 11,177 | EUR 10,000 | Goldman Sachs International | 07/06/17 | (246 | ) | |||||||||
USD 857,818 | GBP 665,864 | Goldman Sachs International | 07/06/17 | (9,501 | ) | |||||||||
GBP 963,000 | USD 1,231,321 | HSBC Bank PLC | 07/06/17 | 23,032 | ||||||||||
USD 3,817,131 | NZD 5,374,000 | JPMorgan Chase Bank N.A. | 07/06/17 | (120,783 | ) | |||||||||
GBP 433,000 | USD 552,516 | State Street Bank and Trust Co. | 07/06/17 | 11,487 | ||||||||||
GBP 100,000 | USD 129,509 | State Street Bank and Trust Co. | 07/06/17 | 745 | ||||||||||
GBP 220,000 | USD 281,023 | State Street Bank and Trust Co. | 07/06/17 | 5,538 | ||||||||||
USD 916,592 | GBP 705,000 | State Street Bank and Trust Co. | 08/03/17 | (2,597 | ) | |||||||||
USD 583,779 | EUR 519,563 | The Northern Trust Company | 07/06/17 | (9,708 | ) | |||||||||
$ | (325,608 | ) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Euro-Buxl® 30-year German Government Bond | 20 | 09/07/17 | $ | 3,735,295 | $ | (25,291 | ) | |||||||||||
Euro-Schatz | 93 | 09/07/17 | 11,880,725 | (13,210 | ) | |||||||||||||
U.S. Treasury 10-Year Note | 410 | 09/20/17 | 51,467,812 | (242,181 | ) | |||||||||||||
U.S. Treasury 5-Year Note | 612 | 09/29/17 | 72,115,595 | (182,135 | ) | |||||||||||||
$ | 139,199,427 | $ | (462,817 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
90-Day Eurodollar | (485 | ) | 03/18/19 | $ | (119,000,813 | ) | $ | (143,977 | ) | |||||||||
Australia 10-Year Bond | (10 | ) | 09/15/17 | (993,488 | ) | 14,466 | ||||||||||||
Euro-Bund | (59 | ) | 09/07/17 | (10,907,931 | ) | 84,729 | ||||||||||||
Euro-OAT | (17 | ) | 09/07/17 | (2,882,975 | ) | 49,378 | ||||||||||||
Long Gilt | (38 | ) | 09/27/17 | (6,214,879 | ) | 121,883 | ||||||||||||
Long-Term Euro-BTP | (11 | ) | 09/07/17 | (1,697,855 | ) | 30,102 | ||||||||||||
Short-Term Euro-BTP | (91 | ) | 09/07/17 | (11,711,492 | ) | (27,175 | ) | |||||||||||
U.S. Treasury 2-Year Note | (562 | ) | 09/29/17 | (121,453,472 | ) | 74,154 | ||||||||||||
U.S. Treasury Long Bond | (40 | ) | 09/20/17 | (6,147,500 | ) | (59,665 | ) | |||||||||||
U.S. Treasury Ultra 10-Year Note | (8 | ) | 09/20/17 | (1,078,500 | ) | (1,608 | ) | |||||||||||
U.S. Treasury Ultra Long Bond | (103 | ) | 09/20/17 | (17,085,125 | ) | (125,276 | ) | |||||||||||
$ | (299,174,030 | ) | $ | 17,011 |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 3-month CAD-CDOR | 1.414% | 06/30/2019 | CAD 23,835,000 | $ | (8,900 | ) | $ | (9,201 | ) | ||||||||
Pay | 6-month GBP-LIBOR | 1.405 | 05/26/2047 | GBP 2,395,000 | (147,826 | ) | (147,736 | ) | ||||||||||
Pay | 3-month USD-LIBOR | 1.814 | 11/30/2021 | USD 5,800,000 | (28,533 | ) | (28,635 | ) | ||||||||||
Pay | 3-month USD-LIBOR | 2.680 | 01/07/2027 | USD 5,160,000 | 11,363 | 11,274 | ||||||||||||
Receive | 3-month CAD-CDOR | 1.392 | 06/29/2019 | CAD 21,429,000 | (14,342 | ) | (14,613 | ) | ||||||||||
Receive | 3-month CAD-CDOR | 1.392 | 06/29/2019 | CAD 26,191,000 | (17,529 | ) | (17,861 | ) | ||||||||||
Receive | 6-month GBP-LIBOR | 0.740 | 06/15/2022 | GBP 4,085,000 | 61,757 | 60,976 | ||||||||||||
Receive | 6-month GBP-LIBOR | 1.608 | 02/15/2047 | GBP 8,430,000 | (21,841 | ) | 7,037 | |||||||||||
Receive | 3-month USD-LIBOR | 1.862 | 01/09/2020 | USD 1,850,000 | (3,316 | ) | (3,346 | ) | ||||||||||
Receive | 1-day Overnight Fed Funds | 1.560 | 11/30/2021 | USD 6,550,000 | 35,737 | 35,622 | ||||||||||||
Receive | 3-month USD-LIBOR | 1.800 | 11/30/2021 | USD 22,300,000 | 122,360 | 121,969 | ||||||||||||
Receive | 3-month USD-LIBOR | 2.190 | 02/15/2027 | USD 3,310,000 | 32,135 | 32,071 | ||||||||||||
Receive | 3-month USD-LIBOR | 1.729 | 08/31/2046 | USD 630,000 | (112,690 | ) | (1,502 | ) | ||||||||||
$ | (91,625 | ) | $ | 46,055 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | 1.832% | 05/15/2047 | EUR 1,380,000 | $ | 1,218 | $ | 454 | ||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | 1.750 | 06/15/2047 | EUR 1,230,000 | (40,460 | ) | (40,223 | ) | ||||||||||
Pay | U.K. RPI All Items Monthly | 3.370 | 06/15/2022 | GBP 6,310,000 | (38,475 | ) | (38,391 | ) | ||||||||||
Pay | U.K. RPI All Items Monthly | 3.523 | 02/15/2027 | GBP 5,030,000 | 81,220 | 80,178 | ||||||||||||
Pay | U.K. RPI All Items Monthly | 3.624 | 02/15/2047 | GBP 3,660,000 | 369,463 | 356,713 | ||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | 2.240 | 07/01/2017 | USD 11,500,000 | — | (188 | ) | |||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.890 | 06/29/2022 | USD 6,700,000 | 2,952 | 2,710 | ||||||||||||
$ | 375,918 | $ | 361,253 |
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | Pay | U.K. RPI All Items Monthly | 3.430% | 07/15/2017 | GBP | 7,725,000 | $ | (21,496 | ) | $ | — | $ | (21,496 | ) | ||||||||||||
Barclays Bank PLC | Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.630 | 09/13/2017 | USD | 11,210,000 | (21,224 | ) | — | (21,224 | ) | |||||||||||||||
Barclays Bank PLC | Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | 1.745 | 07/15/2017 | EUR | 2,990,000 | 3,186 | — | 3,186 | |||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 2.066 | 03/10/2018 | USD | 20,575,000 | (652,684 | ) | — | (652,684 | ) | |||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.585 | 09/13/2018 | USD | 11,210,000 | 43,528 | — | 43,528 | |||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.518 | 12/11/2019 | USD | 15,000,000 | 153,453 | — | 153,453 | |||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.375 | 01/15/2020 | USD | 16,000,000 | 266,512 | — | 266,512 | |||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 2.174 | 02/16/2020 | USD | 10,000,000 | (110,820 | ) | — | (110,820 | ) | |||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.437 | 01/15/2021 | USD | 22,000,000 | 423,963 | — | 423,963 | |||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.649 | 12/11/2021 | USD | 6,500,000 | 72,424 | — | 72,424 | |||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.515 | 01/15/2022 | USD | 34,000,000 | 677,030 | — | 677,030 | |||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.560 | 01/15/2023 | USD | 37,000,000 | 818,099 | — | 818,099 | |||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.660 | 09/22/2023 | USD | 5,500,000 | 109,185 | — | 109,185 | |||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | 1.689 | 09/22/2024 | USD | 26,000,000 | 579,408 | — | 579,408 | |||||||||||||||||
Deutsche Bank AG | Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | 1.970 | 03/15/2047 | EUR | 1,110,000 | 59,978 | — | 59,978 | |||||||||||||||||
Deutsche Bank AG | Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | 1.470 | 03/15/2027 | EUR | 1,110,000 | (15,928 | ) | — | (15,928 | ) | |||||||||||||||
Deutsche Bank AG | Receive | U.K. RPI All Items Monthly | 3.568 | 03/15/2047 | GBP | 805,000 | (44,520 | ) | — | (44,520 | ) | |||||||||||||||
Deutsche Bank AG | Receive | U.K. RPI All Items Monthly | 3.485 | 03/23/2047 | GBP | 395,000 | 460 | — | 460 | |||||||||||||||||
$ | 2,340,554 | $ | — | $ | 2,340,554 |
Reference Entity | Counterparty | Exercise Inflation Rate | Description | Termination Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index (HICPx) | Deutsche Bank AG | 2.500% | Maximum of HICPx for January 2022 divided by HICPx for January 2012 minus 2.500% or $0. Portfolio receives premium and payment at expiration. | 04/26/2022 | EUR 3,140,000 | $ | 217,411 | $ | (539 | ) | ||||||||||||
$ | 217,411 | $ | (539 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Description | Exercise Price | Expiration Date | # of Contracts | Premiums Received | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on U.S. Treasury 10-Year Note | 127.50 | 07/21/2017 | 312 | $ 87,304 | $(14,627 | ) | ||||||||||||||||
Call on U.S. Treasury 10-Year Note | 128.00 | 07/21/2017 | 456 | 77,723 | (14,250 | ) | ||||||||||||||||
$165,027 | $(28,877 | ) |
Counterparty | Description | Exercise Price | Expiration Date | Premiums Received | Fair Value | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options on Currencies | |||||||||||||||||||||||
7,865,000 | Goldman Sachs International | Call GBP vs Put USD | 1.340 | GBP | 08/01/2017 | $ | 37,690 | $ | (15,178 | ) | |||||||||||||
10,960,000 | Morgan Stanley & Co. International PLC | Call USD vs Put JPY | 117.000 | USD | 07/07/2017 | 25,076 | (51 | ) | |||||||||||||||
9,125,000 | Deutsche Bank AG | Call USD vs Put MXN | 20.000 | USD | 09/21/2017 | 42,431 | (35,402 | ) | |||||||||||||||
Total Written OTC Options | $ | 105,197 | $ | (50,631 | ) |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put on 10-Year Interest Rate Swap | Barclays Bank PLC | 1.400% | Receive | 6-month GBP-LIBOR | 07/10/2017 | GBP 11,030,000 | $ | 55,857 | $ | (31,282 | ) | ||||||||||||
Put on 20-Year Interest Rate Swap | Deutsche Bank AG | 4.500% | Receive | 6-month EUR-EURIBOR | 06/08/2022 | EUR 10,100,000 | 475,560 | (82,867 | ) | ||||||||||||||
Total Written Swaptions | $ | 531,417 | $ | (114,149 | ) |
Currency Abbreviations
CAD — Canadian Dollar
EUR — EU Euro
GBP — British Pound
JPY — Japanese Yen
MXN — Mexican Peso
NZD — New Zealand Dollar
USD — United States Dollar
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||
Foreign exchange contracts | Investments in securities at value* | $ | 124,154 | |||||
Interest rate contracts | Investments in securities at value* | 1,313,403 | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 58,101 | ||||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 374,712 | ||||||
Interest rate contracts | Net Assets- Unrealized appreciation*** | 709,004 | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 3,207,226 | ||||||
Total Asset Derivatives | $ | 5,786,600 | ||||||
Liability Derivatives | ||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 383,709 | |||||
Interest rate contracts | Net Assets- Unrealized depreciation** | 820,518 | ||||||
Interest rate contracts | Net Assets- Unrealized depreciation*** | 301,696 | ||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 866,672 | ||||||
Foreign exchange contracts | Written options, at fair value | 50,631 | ||||||
Interest rate contracts | Written options, at fair value | 143,565 | ||||||
Total Liability Derivatives | $ | 2,566,791 |
* | Includes purchased options. |
** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
*** | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | ||||||||||||||||||||
Foreign exchange contracts | $ | (693,383 | ) | $ | (677,656 | ) | $ | — | $ | — | $ | 297,122 | $ | (1,073,917 | ) | |||||||||||
Interest rate contracts | (1,075,946 | ) | — | 507,837 | 1,830,466 | 751,454 | 2,013,811 | |||||||||||||||||||
Total | $ | (1,769,329 | ) | $ | (677,656 | ) | $ | 507,837 | $ | 1,830,466 | $ | 1,048,576 | $ | 939,894 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | ||||||||||||||||||||
Foreign exchange contracts | $ | 57,120 | $ | (557,018 | ) | $ | — | $ | — | $ | 156,425 | $ | (343,473 | ) | ||||||||||||
Interest rate contracts | (275,647 | ) | — | 696,695 | (4,734,379 | ) | (31,102 | ) | (4,344,433 | ) | ||||||||||||||||
Total | $ | (218,527 | ) | $ | (557,018 | ) | $ | 696,695 | $ | (4,734,379 | ) | $ | 125,323 | $ | (4,687,906 | ) |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
** | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
ANZ Bank | Barclays Bank PLC | Citibank N.A. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank PLC | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | State Street Bank and Trust Co. | The Northern Trust Company | Totals | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | 461 | $ | — | $ | — | $ | 1,347,594 | $ | 5,125 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,353,180 | ||||||||||||||||||||||||
Forward foreign currency contracts | — | — | 5,009 | — | 12,290 | — | 23,032 | — | — | 17,770 | — | 58,101 | ||||||||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | — | 890,642 | 2,256,146 | — | 60,438 | — | — | — | — | — | — | 3,207,226 | ||||||||||||||||||||||||||||||||||||
Total Assets | $ | — | $ | 891,103 | $ | 2,261,155 | $ | — | $ | 1,420,322 | $ | 5,125 | $ | 23,032 | $ | — | $ | — | $ | 17,770 | $ | — | $ | 4,618,507 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 2,430 | $ | 27,689 | $ | 4,708 | $ | 10,992 | $ | 172,513 | $ | 32,289 | $ | — | $ | 120,783 | $ | — | $ | 2,597 | $ | 9,708 | $ | 383,709 | ||||||||||||||||||||||||
OTC Inflation-linked swaps | — | 806,224 | — | — | 60,448 | — | — | — | — | — | — | 866,672 | ||||||||||||||||||||||||||||||||||||
Written options | — | 31,282 | — | — | 118,808 | 15,178 | — | — | 51 | — | — | 165,319 | ||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 2,430 | $ | 865,195 | $ | 4,708 | $ | 10,992 | $ | 351,769 | $ | 47,467 | $ | — | $ | 120,783 | $ | 51 | $ | 2,597 | $ | 9,708 | $ | 1,415,700 | ||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (2,430 | ) | $ | 25,908 | $ | 2,256,447 | $ | (10,992 | ) | $ | 1,068,553 | $ | (42,342 | ) | $ | 23,032 | $ | (120,783 | ) | $ | (51 | ) | $ | 15,173 | $ | (9,708 | ) | $ | 3,202,807 | ||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | (2,256,447 | ) | $ | — | $ | (1,068,553 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (3,325,000 | ) | |||||||||||||||||||||
Net Exposure (1) (2) | $ | (2,430 | ) | $ | 25,908 | $ | — | $ | (10,992 | ) | $ | — | $ | (42,342 | ) | $ | 23,032 | $ | (120,783 | ) | $ | (51 | ) | $ | 15,173 | $ | (9,708 | ) | $ | (122,193 | ) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. |
(2) | At June 30, 2017, the Portfolio had received $2,340,000 and $1,210,000 in cash collateral from Citibank N.A. and Deutsche Bank AG, respectively. Excess cash collateral is not shown for financial reporting purposes. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) |
as of June 30, 2017
(as a percentage of net assets)
U.S. Government Agency Obligations | 32.8 | % | |||||
Corporate Bonds/Notes | 27.5 | % | |||||
Asset-Backed Securities | 17.9 | % | |||||
U.S. Treasury Obligations | 13.3 | % | |||||
Collateralized Mortgage Obligations | 3.6 | % | |||||
Foreign Government Bonds | 3.3 | % | |||||
Municipal Bonds | 1.0 | % | |||||
Structured Products | 0.8 | % | |||||
Preferred Stock | 0.1 | % | |||||
Liabilities in Excess of Other Assets* | (0.3 | )% | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 27.5% | |||||||||||||||||||
Basic Materials: 1.1% | |||||||||||||||||||
175,000 | # | Glencore Finance Canada Ltd., 4.950%, 11/15/21 | $ | 187,346 | 0.1 | ||||||||||||||
425,000 | # | Glencore Funding LLC, 4.125%, 05/30/23 | 436,657 | 0.2 | |||||||||||||||
224,000 | # | Glencore Funding LLC, 4.625%, 04/29/24 | 234,494 | 0.1 | |||||||||||||||
825,000 | Sherwin-Williams Co/The, 2.250%–3.450%, 05/15/20–06/01/27 | 830,122 | 0.4 | ||||||||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 403,125 | 0.2 | |||||||||||||||
225,000 | Other Securities | 235,318 | 0.1 | ||||||||||||||||
2,327,062 | 1.1 | ||||||||||||||||||
Communications: 4.6% | |||||||||||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 807,268 | 0.4 | ||||||||||||||||
2,291,000 | AT&T, Inc., 2.800%–3.800%, 02/17/21–05/15/25 | 2,308,167 | 1.1 | ||||||||||||||||
350,000 | # | Symantec Corp., 5.000%, 04/15/25 | 367,171 | 0.2 | |||||||||||||||
1,025,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,139,926 | 0.5 | ||||||||||||||||
818,000 | # | Verizon Communications, Inc., 2.946%, 03/15/22 | 824,491 | 0.4 | |||||||||||||||
650,000 | Verizon Communications, Inc., 2.450%–4.125%, 11/01/22–03/16/27 | 640,530 | 0.3 | ||||||||||||||||
3,508,000 | Other Securities(a) | 3,742,696 | 1.7 | ||||||||||||||||
9,830,249 | 4.6 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer, Cyclical: 1.9% | |||||||||||||||||||
950,000 | CVS Health Corp., 3.375%, 08/12/24 | $ | 967,250 | 0.5 | |||||||||||||||
275,000 | CVS Health Corp., 3.500%, 07/20/22 | 285,479 | 0.1 | ||||||||||||||||
775,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 864,939 | 0.4 | ||||||||||||||||
1,775,000 | Other Securities | 1,864,745 | 0.9 | ||||||||||||||||
3,982,413 | 1.9 | ||||||||||||||||||
Consumer, Non-cyclical: 3.8% | |||||||||||||||||||
1,125,000 | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | 1,140,935 | 0.5 | ||||||||||||||||
600,000 | Anheuser-Busch InBev Finance, Inc., 3.650%–4.900%, 02/01/26–02/01/46 | 629,582 | 0.3 | ||||||||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 484,828 | 0.2 | |||||||||||||||
1,275,000 | Becton Dickinson and Co., 2.894%–4.685%, 06/06/22–12/15/44 | 1,285,980 | 0.6 | ||||||||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 713,105 | 0.4 | |||||||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 52,000 | 0.0 | |||||||||||||||
775,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 833,346 | 0.4 | ||||||||||||||||
200,000 | # | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24 | 210,750 | 0.1 | |||||||||||||||
2,750,000 | Other Securities | 2,810,232 | 1.3 | ||||||||||||||||
8,160,758 | 3.8 | ||||||||||||||||||
Energy: 4.0% | |||||||||||||||||||
100,000 | #,L | Cenovus Energy, Inc., 4.250%, 04/15/27 | 95,460 | 0.1 | |||||||||||||||
525,000 | Kinder Morgan, Inc./DE, 3.050%, 12/01/19 | 534,445 | 0.2 | ||||||||||||||||
375,000 | Kinder Morgan Energy Partners L.P., 3.500%–4.250%, 09/01/23–09/01/24 | 381,460 | 0.2 | ||||||||||||||||
780,000 | Williams Partners L.P., 3.600%–3.900%,03/15/22–01/15/25 | 795,647 | 0.4 | ||||||||||||||||
7,631,000 | Other Securities(a) | 6,578,448 | 3.1 | ||||||||||||||||
8,385,460 | 4.0 | ||||||||||||||||||
Financial: 8.8% | |||||||||||||||||||
1,450,000 | Bank of America Corp., 3.248%–6.500%, 04/01/24–10/29/49 | 1,502,338 | 0.7 | ||||||||||||||||
200,000 | # | BNP Paribas SA, 4.375%, 05/12/26 | 207,634 | 0.1 | |||||||||||||||
100,000 | # | Brighthouse Financial, Inc., 3.700%, 06/22/27 | 98,669 | 0.1 | |||||||||||||||
250,000 | # | Credit Agricole SA/London, 4.125%, 01/10/27 | 261,802 | 0.1 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
200,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | $ | 225,380 | 0.1 | ||||||||||||||
250,000 | # | Credit Suisse Group AG, 4.282%, 01/09/28 | 258,749 | 0.1 | |||||||||||||||
900,000 | JPMorgan Chase & Co., 2.950%–2.972%, 01/15/23–10/01/26 | 887,037 | 0.4 | ||||||||||||||||
1,700,000 | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/18 | 1,694,735 | 0.8 | ||||||||||||||||
50,000 | # | Macquarie Bank Ltd., 6.625%, 04/07/21 | 56,389 | 0.0 | |||||||||||||||
1,000,000 | Morgan Stanley, 2.553%, 10/24/23 | 1,018,117 | 0.5 | ||||||||||||||||
825,000 | Morgan Stanley, 3.700%–4.000%, 10/23/24–07/23/25 | 847,984 | 0.4 | ||||||||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 478,377 | 0.2 | |||||||||||||||
100,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 112,347 | 0.1 | |||||||||||||||
225,000 | # | UBS Group Funding Switzerland AG, 3.000%, 04/15/21 | 228,634 | 0.1 | |||||||||||||||
800,000 | # | UniCredit SpA, 3.750%, 04/12/22 | 820,115 | 0.4 | |||||||||||||||
250,000 | # | UniCredit SpA, 4.625%, 04/12/27 | 264,248 | 0.1 | |||||||||||||||
350,000 | # | UniCredit SpA, 5.861%, 06/19/32 | 360,171 | 0.2 | |||||||||||||||
275,000 | Westpac Banking Corp., 4.322%, 11/23/31 | 282,426 | 0.1 | ||||||||||||||||
8,756,000 | Other Securities | 8,957,438 | 4.3 | ||||||||||||||||
18,562,590 | 8.8 | ||||||||||||||||||
Industrial: 0.7% | |||||||||||||||||||
150,000 | # | Park Aerospace Holdings Ltd., 5.250%, 08/15/22 | 157,360 | 0.1 | |||||||||||||||
100,000 | # | Park Aerospace Holdings Ltd., 5.500%, 02/15/24 | 104,700 | 0.0 | |||||||||||||||
300,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 307,597 | 0.2 | |||||||||||||||
200,000 | # | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/23 | 208,000 | 0.1 | |||||||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 404,063 | 0.2 | |||||||||||||||
250,000 | Other Securities | 256,055 | 0.1 | ||||||||||||||||
1,437,775 | 0.7 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Technology: 2.1% | |||||||||||||||||||
475,000 | # | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.000%, 01/15/22 | $ | 479,691 | 0.2 | ||||||||||||||
575,000 | # | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.625%, 01/15/24 | 588,913 | 0.3 | |||||||||||||||
225,000 | # | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 01/15/27 | 231,526 | 0.1 | |||||||||||||||
700,000 | # | NXP BV / NXP Funding LLC, 4.625%, 06/01/23 | 756,875 | 0.4 | |||||||||||||||
2,325,000 | Other Securities | 2,370,823 | 1.1 | ||||||||||||||||
4,427,828 | 2.1 | ||||||||||||||||||
Utilities: 0.5% | |||||||||||||||||||
525,000 | # | Enel Finance International NV, 2.875%, 05/25/22 | 526,264 | 0.2 | |||||||||||||||
650,000 | Other Securities | 638,048 | 0.3 | ||||||||||||||||
1,164,312 | 0.5 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $57,334,904) | 58,278,447 | 27.5 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.6% | |||||||||||||||||||
EUR 398,709 | # | Credit Suisse European Mortgage Capital Ltd. 2015-1HWA A, 2.750%, 04/20/20 | 447,417 | 0.2 | |||||||||||||||
682,390 | ˆ | Fannie Mae 2013-130 SN, 5.434%, 10/25/42 | 130,939 | 0.1 | |||||||||||||||
393,260 | ˆ | Fannie Mae REMIC Trust 2011-124 SC, 5.334%, 12/25/41 | 71,866 | 0.0 | |||||||||||||||
357,399 | ˆ | Fannie Mae REMIC Trust 2013-131 SA, 4.884%, 12/25/43 | 56,627 | 0.0 | |||||||||||||||
289,302 | ˆ | Fannie Mae REMIC Trust 2013-96 SW, 4.884%, 09/25/43 | 46,587 | 0.0 | |||||||||||||||
667,319 | ˆ | Fannie Mae REMIC Trust 2013-96 SY, 4.934%, 07/25/42 | 110,253 | 0.1 | |||||||||||||||
430,147 | ˆ | Fannie Mae REMIC Trust 2014-87 MS, 5.034%, 01/25/45 | 69,370 | 0.0 | |||||||||||||||
614,167 | ˆ | Fannie Mae REMIC Trust 2015-79 SA, 5.034%, 11/25/45 | 102,071 | 0.1 | |||||||||||||||
1,322,361 | ˆ | Fannie Mae REMIC Trust 2015-81 SA, 4.484%, 11/25/45 | 186,992 | 0.1 | |||||||||||||||
329,072 | ˆ | Fannie Mae REMIC Trust 2015-82 MS, 4.484%, 11/25/45 | 48,148 | 0.0 | |||||||||||||||
805,091 | ˆ | Fannie Mae Series 2016-3 IP, 4.000%, 02/25/46 | 165,179 | 0.1 | |||||||||||||||
1,013,056 | ˆ | Freddie Mac 4583 ST, 4.841%, 05/15/46 | 197,701 | 0.1 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||||||
2,441,263 | ˆ | Freddie Mac 4596 CS, 4.941%, 06/15/46 | $ | 394,802 | 0.2 | ||||||||||||||||||
203,199 | ˆ | Freddie Mac REMIC Trust 4320 SD, 4.941%, 07/15/39 | 32,290 | 0.0 | |||||||||||||||||||
467,422 | ˆ | Freddie Mac REMIC Trust 4326 GS, 4.891%, 04/15/44 | 82,027 | 0.0 | |||||||||||||||||||
350,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 5.866%, 10/25/28 | 395,405 | 0.2 | ||||||||||||||||||||
839,539 | ˆ | Ginnie Mae 2014-20 SA, 4.888%, 02/20/44 | 139,288 | 0.1 | |||||||||||||||||||
747,436 | ˆ | Ginnie Mae 2015-111 IM, 4.000%, 08/20/45 | 122,732 | 0.1 | |||||||||||||||||||
634,972 | ˆ | Ginnie Mae 2015-119 SN, 5.038%, 08/20/45 | 108,952 | 0.1 | |||||||||||||||||||
578,313 | ˆ | Ginnie Mae 2016-138 GI, 4.000%, 10/20/46 | 104,223 | 0.0 | |||||||||||||||||||
433,397 | ˆ | Ginnie Mae Series 2010-20 SE, 5.038%, 02/20/40 | 73,172 | 0.0 | |||||||||||||||||||
258,909 | ˆ | Ginnie Mae Series 2010-31 SA, 4.538%, 03/20/40 | 38,881 | 0.0 | |||||||||||||||||||
170,705 | ˆ | Ginnie Mae Series 2012-149 MS, 5.038%, 12/20/42 | 28,753 | 0.0 | |||||||||||||||||||
95,573 | ˆ | Ginnie Mae Series 2013-134 DS, 4.888%, 09/20/43 | 15,655 | 0.0 | |||||||||||||||||||
280,761 | ˆ | Ginnie Mae Series 2013-152 SG, 4.938%, 06/20/43 | 46,611 | 0.0 | |||||||||||||||||||
628,863 | ˆ | Ginnie Mae Series 2013-181 SA, 4.888%, 11/20/43 | 106,022 | 0.1 | |||||||||||||||||||
945,217 | ˆ | Ginnie Mae Series 2014-132 SL, 4.888%, 10/20/43 | 136,721 | 0.1 | |||||||||||||||||||
459,682 | ˆ | Ginnie Mae Series 2014-133 BS, 4.388%, 09/20/44 | 65,627 | 0.0 | |||||||||||||||||||
107,614 | ˆ | Ginnie Mae Series 2014-41 SA, 4.888%, 03/20/44 | 18,072 | 0.0 | |||||||||||||||||||
999,676 | ˆ | Ginnie Mae Series 2015-110 MS, 4.498%, 08/20/45 | 151,988 | 0.1 | |||||||||||||||||||
292,791 | ˆ | Ginnie Mae Series 2015-126 HS, 4.988%, 09/20/45 | 48,926 | 0.0 | |||||||||||||||||||
299,464 | ˆ | Ginnie Mae Series 2015-159 HS, 4.988%, 11/20/45 | 50,211 | 0.0 | |||||||||||||||||||
677,346 | ˆ | Ginnie Mae Series 2016-4 SM, 4.438%, 01/20/46 | 96,529 | 0.0 | |||||||||||||||||||
1,000,000 | # | Mortgage Repurchase Agreement Financing Trust Series 2016-1 A2, 2.174%, 04/10/19 | 1,000,284 | 0.5 | |||||||||||||||||||
250,000 | # | Mortgage Repurchase Agreement Financing Trust Series 2017-1 A1, 2.074%, 07/10/19 | 250,117 | 0.1 | |||||||||||||||||||
600,000 | # | Mortgage Repurchase Agreement Financing Trust, Series 2016-1, 2.124%, 04/10/19 | 600,098 | 0.3 | |||||||||||||||||||
950,000 | # | Mortgage Repurchase Agreement Financing Trust, Series 2016-2, 2.524%, 03/10/19 | 950,189 | 0.4 | |||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||||||
1,054,699 | Other Securities | $ | 958,885 | 0.5 | |||||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||||||
(Cost $7,463,548) | 7,649,610 | 3.6 | |||||||||||||||||||||
MUNICIPAL BONDS: 1.0% | |||||||||||||||||||||||
California: 0.5% | |||||||||||||||||||||||
750,000 | Other Securities | 1,062,000 | 0.5 | ||||||||||||||||||||
Minnesota: 0.1% | |||||||||||||||||||||||
250,000 | Other Securities | 246,897 | 0.1 | ||||||||||||||||||||
Puerto Rico: 0.4% | |||||||||||||||||||||||
2,355,000 | Other Securities(b) | 783,865 | 0.4 | ||||||||||||||||||||
Total Municipal Bonds | |||||||||||||||||||||||
(Cost $2,554,448) | 2,092,762 | 1.0 | |||||||||||||||||||||
STRUCTURED PRODUCTS: 0.8% | |||||||||||||||||||||||
EGP 5,080,000 | #,Z | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 18.540%, 08/10/17 | 276,138 | 0.1 | |||||||||||||||||||
EGP 5,000,000 | #,Z | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 11/02/17 | 257,936 | 0.1 | |||||||||||||||||||
EGP 12,550,000 | #,Z | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 05/03/18 | 593,999 | 0.3 | |||||||||||||||||||
EGP 10,000,000 | Other Securities | 492,988 | 0.3 | ||||||||||||||||||||
Total Structured Products (Cost $1,644,184) | 1,621,061 | 0.8 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 32.8% | |||||||||||||||||||||||
Federal Home Loan Bank: 1.1% | |||||||||||||||||||||||
900,000 | 2.625%, due 09/12/25 | 905,180 | 0.4 | ||||||||||||||||||||
1,300,000 | 2.875%, due 06/13/25 | 1,337,727 | 0.7 | ||||||||||||||||||||
2,242,907 | 1.1 | ||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 8.6%## | |||||||||||||||||||||||
15,000,000 | W | 4.000%, due 07/01/45 | 15,769,336 | 7.4 | |||||||||||||||||||
1,438,329 | 3.500%, due 04/01/43 | 1,484,529 | 0.7 | ||||||||||||||||||||
1,040,964 | 3.500%–4.000%, due 02/01/41–03/01/46 | 1,079,743 | 0.5 | ||||||||||||||||||||
18,333,608 | 8.6 | ||||||||||||||||||||||
Federal National Mortgage Association: 10.9%## | |||||||||||||||||||||||
1,400,000 | 1.875%, due 09/24/26 | 1,329,326 | 0.6 | ||||||||||||||||||||
927,650 | 3.500%, due 06/01/46 | 962,821 | 0.4 | ||||||||||||||||||||
9,000,000 | W | 3.500%, due 07/01/47 | 9,244,336 | 4.4 | |||||||||||||||||||
8,000,000 | W | 4.000%, due 08/01/45 | 8,396,406 | 4.0 | |||||||||||||||||||
2,884,279 | 3.500%–6.000%, due 09/01/35–05/01/46 | 3,085,094 | 1.5 | ||||||||||||||||||||
23,017,983 | 10.9 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: 12.2% | |||||||||||||||||||
3,239,121 | 4.000%, due 10/20/43 | $ | 3,426,879 | 1.6 | |||||||||||||||
1,513,882 | 4.000%, due 07/20/45 | 1,595,011 | 0.7 | ||||||||||||||||
1,542,863 | 4.000%, due 09/20/45 | 1,625,545 | 0.8 | ||||||||||||||||
2,524,431 | 4.000%, due 10/20/45 | 2,659,716 | 1.3 | ||||||||||||||||
923,588 | 4.000%, due 11/20/45 | 973,083 | 0.5 | ||||||||||||||||
1,097,532 | 4.000%, due 02/20/46 | 1,156,349 | 0.5 | ||||||||||||||||
4,759,851 | 4.000%, due 03/20/46 | 5,014,933 | 2.4 | ||||||||||||||||
6,635,788 | 4.000%, due 04/20/46 | 6,991,402 | 3.3 | ||||||||||||||||
997,991 | 4.000%, due 05/20/47 | 1,053,752 | 0.5 | ||||||||||||||||
1,257,182 | 4.000%, due 08/20/45–05/20/46 | 1,324,661 | 0.6 | ||||||||||||||||
25,821,331 | 12.2 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $69,772,899) | 69,415,829 | 32.8 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 13.3% | |||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 1.1% | |||||||||||||||||||
2,324,945 | 0.125%–2.500%, due 01/15/23–02/15/47 | 2,380,910 | 1.1 | ||||||||||||||||
U.S. Treasury Bonds: 5.4% | |||||||||||||||||||
5,900,000 | 2.250%, due 11/15/25 | 5,901,729 | 2.8 | ||||||||||||||||
2,760,000 | 2.875%, due 11/15/46 | 2,780,537 | 1.3 | ||||||||||||||||
2,160,000 | 3.000%, due 11/15/45 | 2,228,934 | 1.0 | ||||||||||||||||
590,000 | 3.000%, due 05/15/47 | 610,062 | 0.3 | ||||||||||||||||
11,521,262 | 5.4 | ||||||||||||||||||
U.S. Treasury Notes: 5.8% | |||||||||||||||||||
3,180,000 | 2.125%, due 03/31/24 | 3,181,924 | 1.5 | ||||||||||||||||
5,270,000 | 2.000%, due 04/30/24 | 5,229,753 | 2.5 | ||||||||||||||||
2,130,000 | 2.000%, due 05/31/24 | 2,112,568 | 1.0 | ||||||||||||||||
1,800,000 | 2.250%, due 01/31/24 | 1,816,699 | 0.8 | ||||||||||||||||
12,340,944 | 5.8 | ||||||||||||||||||
U.S. Treasury STRIP: 1.0% | |||||||||||||||||||
1,930,000 | ˆ | 2.696%, due 02/15/36 | 1,162,738 | 0.6 | |||||||||||||||
1,500,000 | ˆ,(c) | 2.718%, due 08/15/36 | 885,020 | 0.4 | |||||||||||||||
2,047,758 | 1.0 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $28,287,783) | 28,290,874 | 13.3 | |||||||||||||||||
ASSET-BACKED SECURITIES: 17.9% | |||||||||||||||||||
Other Asset-Backed Securities: 9.3% | |||||||||||||||||||
250,000 | # | B&M CLO 2014-1A A2, 3.108%, 04/16/26 | 249,998 | 0.1 | |||||||||||||||
1,050,000 | # | BlueMountain CLO 2014-2A AR, 2.369%, 07/20/26 | 1,050,000 | 0.5 | |||||||||||||||
1,323,300 | # | Crown Point CLO III Ltd. 2015-3A A1A, 2.568%, 12/31/27 | 1,324,622 | 0.6 | |||||||||||||||
1,050,000 | # | Cutwater 2014-1A A1AR Ltd., 2.469%, 07/15/26 | 1,049,998 | 0.5 | |||||||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 2.756%, 04/25/27 | 650,167 | 0.3 | |||||||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A, 2.606%, 04/20/27 | 801,001 | 0.4 | |||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A, 2.546%, 07/25/27 | $ | 1,048,566 | 0.5 | ||||||||||||||
1,583,955 | # | ICG US CLO 2014-1A A1, 2.306%, 04/20/26 | 1,579,485 | 0.7 | |||||||||||||||
1,050,000 | # | Neuberger Berman CLO XIX Ltd. 2015-19A A1R, 2.354%, 07/15/27 | 1,050,000 | 0.5 | |||||||||||||||
983,746 | # | OFSI Fund VI Ltd. 2014-6A A1, 2.188%, 03/20/25 | 975,919 | 0.5 | |||||||||||||||
2,044,795 | # | OFSI Fund VII Ltd. 2014-7A A, 2.498%, 10/18/26 | 2,045,895 | 1.0 | |||||||||||||||
505,205 | # | OFSI Fund VII Ltd. 2014-7A B, 3.288%, 10/18/26 | 505,223 | 0.2 | |||||||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 2.688%, 04/15/27 | 1,651,020 | 0.8 | |||||||||||||||
1,000,000 | Soundview Home Loan Trust 2005-2 M6, 2.296%, 07/25/35 | 990,899 | 0.5 | ||||||||||||||||
800,000 | # | Trinitas CLO II Ltd. 2014-2A A1R, 2.339%, 07/15/26 | 799,981 | 0.4 | |||||||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 2.668%, 07/15/27 | 1,002,377 | 0.5 | |||||||||||||||
1,500,000 | # | York CLO 1 Ltd. 2014-1A AR, 2.303%, 01/22/27 | 1,499,991 | 0.7 | |||||||||||||||
916,981 | # | Z Capital Credit Partners CLO Ltd. 2015-1A A1, 2.488%, 07/16/27 | 914,170 | 0.4 | |||||||||||||||
480,395 | Other Securities | 457,314 | 0.2 | ||||||||||||||||
19,646,626 | 9.3 | ||||||||||||||||||
Student Loan Asset-Backed Securities: 8.6% | |||||||||||||||||||
1,150,000 | # | Academic Loan Funding Trust 2012-1A A2, 2.316%, 12/27/44 | 1,148,482 | 0.5 | |||||||||||||||
235,801 | # | Bank of America Student Loan Trust 2010-1A A, 1.956%, 02/25/43 | 237,142 | 0.1 | |||||||||||||||
911,429 | # | ECMC Group Student Loan Trust 2016-1, 2.566%, 07/26/66 | 913,793 | 0.4 | |||||||||||||||
611,995 | # | Edsouth Indenture No 9 LLC 2015-1 A, 2.016%, 10/25/56 | 608,410 | 0.3 | |||||||||||||||
1,100,000 | # | EFS Volunteer No 2 LLC 2012-1 A2, 2.566%, 03/25/36 | 1,119,381 | 0.5 | |||||||||||||||
650,000 | # | EFS Volunteer No 3 LLC 2012-1 A3, 2.216%, 04/25/33 | 654,546 | 0.3 | |||||||||||||||
1,829,961 | # | Navient Student Loan Trust 2016-5A A, 2.466%, 06/25/65 | 1,861,448 | 0.9 | |||||||||||||||
887,594 | # | Navient Student Loan Trust 2016-7 A, 2.366%, 03/25/66 | 898,100 | 0.4 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||||||
Student Loan Asset-Backed Securities: (continued) | |||||||||||||||||||||||
1,050,000 | # | Nelnet Student Loan Trust 2006-1 A6, 1.636%, 08/23/36 | $ | 1,011,065 | 0.5 | ||||||||||||||||||
937,280 | # | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 2.366%, 09/25/65 | 947,631 | 0.5 | |||||||||||||||||||
309,108 | # | Scholar Funding Trust 2010-A A, 1.922%, 10/28/41 | 304,959 | 0.1 | |||||||||||||||||||
649,611 | # | SLM Student Loan Trust 2003-1 A5A, 1.356%, 12/15/32 | 620,901 | 0.3 | |||||||||||||||||||
859,929 | # | SLM Student Loan Trust 2003-7A A5A, 2.446%, 12/15/33 | 869,856 | 0.4 | |||||||||||||||||||
800,000 | # | SLM Student Loan Trust 2004-8A A6, 1.786%, 01/25/40 | 791,141 | 0.4 | |||||||||||||||||||
703,497 | SLM Student Loan Trust 2005-4 A3, 1.276%, 01/25/27 | 700,038 | 0.3 | ||||||||||||||||||||
250,000 | SLM Student Loan Trust 2005-5 A5, 1.906%, 10/25/40 | 244,989 | 0.1 | ||||||||||||||||||||
405,119 | SLM Student Loan Trust 2007-1 A5, 1.246%, 01/26/26 | 403,807 | 0.2 | ||||||||||||||||||||
750,000 | SLM Student Loan Trust 2007-2 A4, 1.216%, 07/25/22 | 726,794 | 0.4 | ||||||||||||||||||||
468,297 | SLM Student Loan Trust 2007-7 A4, 1.486%, 01/25/22 | 461,457 | 0.2 | ||||||||||||||||||||
168,996 | SLM Student Loan Trust 2008-2 A3, 1.906%, 04/25/23 | 168,352 | 0.1 | ||||||||||||||||||||
474,051 | SLM Student Loan Trust 2008-4 A4, 2.806%, 07/25/22 | 486,132 | 0.2 | ||||||||||||||||||||
1,275,793 | SLM Student Loan Trust 2008-5 A4, 2.856%, 07/25/23 | 1,311,639 | 0.6 | ||||||||||||||||||||
600,000 | SLM Student Loan Trust 2008-6 A4, 2.256%, 07/25/23 | 604,255 | 0.3 | ||||||||||||||||||||
350,000 | SLM Student Loan Trust 2008-8 A4, 2.656%, 04/25/23 | 358,574 | 0.2 | ||||||||||||||||||||
778,242 | Other Securities | 769,249 | 0.4 | ||||||||||||||||||||
18,222,141 | 8.6 | ||||||||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||||||
(Cost $37,448,521) | 37,868,767 | 17.9 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 3.3% | |||||||||||||||||||||||
460,000 | # | Argentine Republic Government International Bond, 7.125%, 06/28/17 | 418,140 | 0.2 | |||||||||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | $ | 352,750 | 0.2 | ||||||||||||||||||
450,000 | Dominican Republic International Bond, 5.500%–6.850%, 01/27/25–01/27/45 | 476,300 | 0.2 | ||||||||||||||||||||
200,000 | # | Indonesia Government International Bond, 3.700%, 01/08/22 | 206,039 | 0.1 | |||||||||||||||||||
260,000 | # | Indonesia Government International Bond, 4.350%, 01/08/27 | 271,458 | 0.1 | |||||||||||||||||||
600,000 | Indonesia Government International Bond, 4.125%–5.375%, 10/17/23–01/15/25 | 651,922 | 0.3 | ||||||||||||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,637,958 | 0.7 | ||||||||||||||||||||
1,039,000 | Israel Government AID Bond, 5.500%, 12/04/23 | 1,236,161 | 0.6 | ||||||||||||||||||||
2,986,800 | Other Securities | 1,855,745 | 0.9 | ||||||||||||||||||||
Total Foreign Government Bonds (Cost $7,006,164) | 7,106,473 | 3.3 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 0.1% | |||||||||||||||||||
Financials: 0.1% | |||||||||||||||||||
9,690 | Other Securities | 208,941 | 0.1 | ||||||||||||||||
Total Preferred Stock (Cost $215,552) | 208,941 | 0.1 | |||||||||||||||||
Total Long-Term Investments (Cost $211,728,003) | 212,532,764 | 100.3 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 14.3% | |||||||||||||||||||
Corporate Bonds/Notes: 0.7% | |||||||||||||||||||
975,000 | Allergan Funding SCS, 2.350%, 03/12/18 | 979,250 | 0.4 | ||||||||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 580,400 | 0.3 | ||||||||||||||||
1,559,650 | 0.7 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Securities Lending Collateralcc: 0.2% | |||||||||||||||||||
457,808 | BNP Paribas S.A., Repurchase Agreement dated 06/30/17, 1.10%, due 07/03/17 (Repurchase Amount $457,849, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–9.000%, Market Value plus accrued interest $466,964, due 07/20/17–09/09/49) | $ | 457,808 | 0.2 | |||||||||||||||
25,385 | HSBC Securities USA, Repurchase Agreement dated 06/30/17, 1.06%, due 07/03/17 (Repurchase Amount $25,387, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–7.250%, Market Value plus accrued interest $25,893, due 07/15/17–01/15/37) | 25,385 | 0.0 | ||||||||||||||||
12,468 | Jefferies LLC, Repurchase Agreement dated 06/30/17, 1.24%, due 07/03/17 (Repurchase Amount $12,469, collateralized by various U.S. Government Agency Obligations, 0.000%–7.125%, Market Value plus accrued interest $12,717, due 07/07/17–01/15/30) | 12,468 | 0.0 | ||||||||||||||||
495,661 | 0.2 | ||||||||||||||||||
Collateralized Mortgage Obligations: 0.2% | |||||||||||||||||||
500,000 | # | Station Place Securitization Trust 2015-2, 2.189%, 05/15/18 (Cost $500,000) | 500,000 | 0.2 | |||||||||||||||
U.S. Treasury Obligations: 2.6% | |||||||||||||||||||
5,394,831 | United States Treasury Inflation Indexed Bonds, 0.125%, 04/15/18 (Cost $5,411,816) | 5,377,341 | 2.6 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 10.6% | |||||||||||||||||||
22,400,354 | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.860%†† (Cost $22,400,354) | $ | 22,400,354 | 10.6 | |||||||||||||||
Total Short-Term Investments (Cost $30,363,089) | 30,333,006 | 14.3 | |||||||||||||||||
Total Investments in Securities (Cost $242,091,092) | $ | 242,865,770 | 114.6 | ||||||||||||||||
Liabilities in Excess of Other Assets | (30,951,593 | ) | (14.6 | ) | |||||||||||||||
Net Assets | $ | 211,914,177 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2017. |
# | 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. |
## | 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. |
cc | Represents securities purchased with cash collateral received for securities on loan. |
W | Settlement is on a when-issued or delayed-delivery basis. |
L | Loaned security, a portion or all of the security is on loan at June 30, 2017. |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
Z | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2017. |
(a) | This grouping contains securities on loan. |
(b) | The grouping contains securities in default. |
(c) | Separate Trading of Registered Interest and Principal of Securities |
BRL | Brazilian Real |
EGP | Egyptian Pound |
EUR | EU Euro |
MXN | Mexican Peso |
Cost for federal income tax purposes is $242,206,696. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 2,354,665 | ||||
Gross Unrealized Depreciation | (1,695,591 | ) | ||||
Net Unrealized Appreciation | $ | 659,074 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at June 30, 2017 | |||||||||||||||
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Preferred Stock | $ | — | $ | 208,941 | $ | — | $ | 208,941 | ||||||||||
Corporate Bonds/Notes | — | 58,278,447 | — | 58,278,447 | ||||||||||||||
Collateralized Mortgage Obligations | — | 7,202,193 | 447,417 | 7,649,610 | ||||||||||||||
Municipal Bonds | — | 2,092,762 | — | 2,092,762 | ||||||||||||||
Structured Products | — | 1,621,061 | — | 1,621,061 | ||||||||||||||
Short-Term Investments | 22,400,354 | 7,432,652 | 500,000 | 30,333,006 | ||||||||||||||
U.S. Treasury Obligations | — | 28,290,874 | — | 28,290,874 | ||||||||||||||
Asset-Backed Securities | — | 37,868,767 | — | 37,868,767 | ||||||||||||||
U.S. Government Agency Obligations | — | 69,415,829 | — | 69,415,829 | ||||||||||||||
Foreign Government Bonds | — | 7,106,473 | — | 7,106,473 | ||||||||||||||
Total Investments, at fair value | $ | 22,400,354 | $ | 219,517,999 | $ | 947,417 | $ | 242,865,770 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | — | 763,247 | — | 763,247 | ||||||||||||||
Forward Foreign Currency Contracts | — | 1,379,768 | — | 1,379,768 | ||||||||||||||
Futures | 297,386 | — | — | 297,386 | ||||||||||||||
Total Assets | $ | 22,697,740 | $ | 221,661,014 | $ | 947,417 | $ | 245,306,171 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,100,639 | ) | $ | — | $ | (1,100,639 | ) | ||||||||
Forward Foreign Currency Contracts | — | (1,118,340 | ) | — | (1,118,340 | ) | ||||||||||||
Futures | (237,269 | ) | — | — | (237,269 | ) | ||||||||||||
OTC Swaps | — | (133,797 | ) | — | (133,797 | ) | ||||||||||||
Sales Commitments | — | (4,156,665 | ) | — | (4,156,665 | ) | ||||||||||||
Total Liabilities | $ | (237,269 | ) | $ | (6,509,441 | ) | $ | — | $ | (6,746,710 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and 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 valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
CZK 10,076,161 | EUR 376,000 | Bank of America N.A. | 07/03/17 | $ | 11,151 | |||||||||
EUR 549,307 | CZK 14,441,278 | Bank of America N.A. | 07/03/17 | (4,082 | ) | |||||||||
USD 563,716 | GBP 433,000 | Bank of America N.A. | 09/20/17 | (1,627 | ) | |||||||||
EUR 165,000 | USD 188,849 | Bank of America N.A. | 09/20/17 | 396 | ||||||||||
CZK 14,441,278 | EUR 549,631 | Bank of America N.A. | 09/20/17 | 4,360 | ||||||||||
MXN 3,429,757 | USD 188,000 | Bank of America N.A. | 09/20/17 | (1,370 | ) | |||||||||
PLN 1,440,715 | EUR 338,000 | Bank of America N.A. | 09/20/17 | 986 | ||||||||||
USD 188,000 | CAD 248,922 | Bank of America N.A. | 09/20/17 | (4,193 | ) | |||||||||
USD 452,000 | CAD 597,361 | Bank of America N.A. | 09/20/17 | (9,221 | ) | |||||||||
USD 376,000 | JPY 41,689,000 | Bank of America N.A. | 09/20/17 | 4,060 | ||||||||||
HUF 52,232,830 | EUR 169,000 | Bank of America N.A. | 09/20/17 | (26 | ) | |||||||||
USD 170,028 | SGD 235,499 | Bank of America N.A. | 09/20/17 | (1,239 | ) | |||||||||
JPY 42,069,888 | USD 376,000 | Bank of America N.A. | 09/20/17 | (662 | ) | |||||||||
EUR 155,000 | PLN 657,047 | Bank of America N.A. | 09/20/17 | 529 | ||||||||||
PLN 460,737 | EUR 108,625 | Bank of America N.A. | 09/20/17 | (297 | ) | |||||||||
AUD 490,394 | USD 372,993 | Bank of America N.A. | 09/20/17 | 3,548 | ||||||||||
EUR 180,666 | PLN 764,964 | Bank of America N.A. | 09/20/17 | 853 | ||||||||||
USD 172,509 | MXN 3,168,593 | Bank of America N.A. | 09/20/17 | 90 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
MXN 32,035,198 | USD 1,736,513 | Bank of America N.A. | 09/20/17 | $ | 6,676 | |||||||||
USD 374,447 | NZD 520,000 | Bank of America N.A. | 09/20/17 | (6,057 | ) | |||||||||
USD 3,447,518 | GBP 2,701,181 | Bank of America N.A. | 09/20/17 | (79,262 | ) | |||||||||
AUD 249,000 | USD 187,724 | Bank of America N.A. | 09/20/17 | 3,466 | ||||||||||
CZK 5,004,936 | EUR 188,000 | Bank of America N.A. | 09/20/17 | 4,363 | ||||||||||
CZK 5,060,584 | EUR 188,000 | Bank of America N.A. | 10/03/17 | 6,855 | ||||||||||
BRL 625,109 | USD 188,000 | Barclays Bank PLC | 07/05/17 | 646 | ||||||||||
BRL 623,995 | USD 188,000 | Barclays Bank PLC | 07/05/17 | 310 | ||||||||||
BRL 247,357 | USD 75,000 | Barclays Bank PLC | 07/05/17 | (352 | ) | |||||||||
BRL 628,437 | USD 188,000 | Barclays Bank PLC | 07/05/17 | 1,650 | ||||||||||
BRL 623,280 | USD 188,000 | Barclays Bank PLC | 07/05/17 | 94 | ||||||||||
BRL 625,534 | USD 188,000 | Barclays Bank PLC | 07/05/17 | 774 | ||||||||||
BRL 497,745 | USD 150,000 | Barclays Bank PLC | 07/05/17 | 210 | ||||||||||
TWD 2,682,016 | USD 86,966 | Barclays Bank PLC | 07/11/17 | 1,214 | ||||||||||
KRW 463,623,466 | USD 409,623 | Barclays Bank PLC | 07/12/17 | (4,463 | ) | |||||||||
KRW 81,413,057 | USD 72,502 | Barclays Bank PLC | 07/12/17 | (1,356 | ) | |||||||||
KRW 240,150,516 | USD 212,828 | Barclays Bank PLC | 07/13/17 | (2,964 | ) | |||||||||
USD 1,413,820 | KRW 1,585,768,865 | Barclays Bank PLC | 07/13/17 | 28,040 | ||||||||||
USD 488,529 | KRW 557,249,867 | Barclays Bank PLC | 07/13/17 | 1,556 | ||||||||||
KRW 377,344,724 | USD 326,268 | Barclays Bank PLC | 07/13/17 | 3,488 | ||||||||||
KRW 920,260,696 | USD 826,384 | Barclays Bank PLC | 07/13/17 | (22,182 | ) | |||||||||
USD 150,000 | ARS 2,431,500 | Barclays Bank PLC | 07/13/17 | 4,445 | ||||||||||
USD 417,458 | INR 27,322,640 | Barclays Bank PLC | 07/14/17 | (4,775 | ) | |||||||||
INR 12,126,940 | USD 188,000 | Barclays Bank PLC | 07/14/17 | (595 | ) | |||||||||
INR 23,740,853 | USD 365,948 | Barclays Bank PLC | 07/14/17 | 934 | ||||||||||
INR 31,755,877 | USD 486,300 | Barclays Bank PLC | 07/14/17 | 4,443 | ||||||||||
INR 12,130,625 | USD 188,000 | Barclays Bank PLC | 07/14/17 | (538 | ) | |||||||||
USD 188,000 | KRW 212,300,316 | Barclays Bank PLC | 07/19/17 | 2,492 | ||||||||||
USD 188,000 | RUB 10,885,877 | Barclays Bank PLC | 07/20/17 | 4,053 | ||||||||||
RUB 10,788,192 | USD 188,000 | Barclays Bank PLC | 07/20/17 | (5,703 | ) | |||||||||
TWD 5,709,748 | USD 188,000 | Barclays Bank PLC | 07/20/17 | (240 | ) | |||||||||
RUB 10,770,689 | USD 188,000 | Barclays Bank PLC | 07/20/17 | (5,999 | ) | |||||||||
KRW 85,674,807 | USD 75,255 | Barclays Bank PLC | 07/20/17 | (393 | ) | |||||||||
TWD 5,719,900 | USD 188,000 | Barclays Bank PLC | 07/20/17 | 94 | ||||||||||
KRW 214,515,000 | USD 189,000 | Barclays Bank PLC | 07/26/17 | (1,578 | ) | |||||||||
USD 75,000 | KRW 84,975,000 | Barclays Bank PLC | 07/26/17 | 757 | ||||||||||
KRW 427,294,296 | USD 376,000 | Barclays Bank PLC | 07/26/17 | (2,672 | ) | |||||||||
TWD 390,821 | USD 12,818 | Barclays Bank PLC | 07/31/17 | 37 | ||||||||||
PHP 19,012,500 | USD 375,000 | Barclays Bank PLC | 07/31/17 | 712 | ||||||||||
KRW 129,040,350 | USD 113,000 | Barclays Bank PLC | 07/31/17 | (266 | ) | |||||||||
BRL 249,479 | USD 75,000 | Barclays Bank PLC | 08/02/17 | (195 | ) | |||||||||
COP 241,785,000 | USD 83,073 | Barclays Bank PLC | 08/11/17 | (4,184 | ) | |||||||||
CLP 75,387,200 | USD 112,267 | Barclays Bank PLC | 08/30/17 | 1,116 | ||||||||||
USD 1,683,999 | TWD 50,531,752 | Barclays Bank PLC | 09/11/17 | 21,661 | ||||||||||
EUR 164,000 | SEK 1,585,921 | Barclays Bank PLC | 09/20/17 | (1,000 | ) | |||||||||
EUR 361,000 | SEK 3,489,980 | Barclays Bank PLC | 09/20/17 | (2,084 | ) | |||||||||
EUR 165,000 | SEK 1,592,102 | Barclays Bank PLC | 09/20/17 | (590 | ) | |||||||||
USD 269,838 | JPY 30,057,524 | Barclays Bank PLC | 09/20/17 | 1,672 | ||||||||||
NOK 1,573,419 | EUR 164,000 | Barclays Bank PLC | 09/20/17 | 657 | ||||||||||
JPY 42,017,812 | USD 375,000 | Barclays Bank PLC | 09/20/17 | (127 | ) | |||||||||
TRY 673,220 | USD 188,000 | Barclays Bank PLC | 09/20/17 | (932 | ) | |||||||||
EUR 164,000 | SEK 1,582,597 | Barclays Bank PLC | 09/20/17 | (603 | ) | |||||||||
EUR 197,000 | SEK 1,901,682 | Barclays Bank PLC | 09/20/17 | (801 | ) | |||||||||
EUR 164,000 | SEK 1,583,881 | Barclays Bank PLC | 09/20/17 | (757 | ) | |||||||||
EUR 205,774 | PLN 874,332 | Barclays Bank PLC | 09/20/17 | 147 | ||||||||||
TRY 673,731 | USD 188,000 | Barclays Bank PLC | 09/20/17 | (790 | ) | |||||||||
USD 188,000 | CNH 1,289,058 | Barclays Bank PLC | 09/20/17 | (1,008 | ) | |||||||||
EUR 431,188 | SEK 4,184,733 | Barclays Bank PLC | 09/20/17 | (4,422 | ) | |||||||||
USD 189,228 | EUR 167,000 | Barclays Bank PLC | 09/20/17 | (2,311 | ) | |||||||||
USD 75,842 | SEK 649,645 | Barclays Bank PLC | 09/20/17 | (1,619 | ) | |||||||||
EUR 79,000 | SEK 767,230 | Barclays Bank PLC | 09/20/17 | (873 | ) | |||||||||
ZAR 978,724 | USD 75,000 | Barclays Bank PLC | 09/20/17 | (1,181 | ) | |||||||||
TRY 672,155 | USD 188,000 | Barclays Bank PLC | 09/20/17 | (1,228 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
TRY 672,690 | USD 188,000 | Barclays Bank PLC | 09/20/17 | $ | (1,079 | ) | ||||||||
USD 113,000 | TRY 408,235 | Barclays Bank PLC | 09/20/17 | (437 | ) | |||||||||
GBP 149,000 | USD 188,562 | Barclays Bank PLC | 09/20/17 | 5,978 | ||||||||||
USD 151,430 | EUR 135,000 | Barclays Bank PLC | 09/20/17 | (3,407 | ) | |||||||||
USD 75,000 | ZAR 993,727 | Barclays Bank PLC | 09/20/17 | 50 | ||||||||||
ZAR 977,742 | USD 75,000 | Barclays Bank PLC | 09/20/17 | (1,255 | ) | |||||||||
ZAR 989,970 | USD 75,000 | Barclays Bank PLC | 09/20/17 | (333 | ) | |||||||||
USD 179,784 | TRY 644,204 | Barclays Bank PLC | 09/20/17 | 779 | ||||||||||
USD 1,120,742 | EUR 996,826 | Barclays Bank PLC | 09/20/17 | (22,561 | ) | |||||||||
TRY 675,774 | USD 188,000 | Barclays Bank PLC | 09/20/17 | (222 | ) | |||||||||
JPY 20,729,914 | USD 188,000 | Barclays Bank PLC | 09/20/17 | (3,053 | ) | |||||||||
ZAR 924,086 | USD 72,165 | Barclays Bank PLC | 09/20/17 | (2,467 | ) | |||||||||
USD 83,310 | NZD 114,251 | Barclays Bank PLC | 09/20/17 | (292 | ) | |||||||||
USD 188,299 | GBP 145,000 | Barclays Bank PLC | 09/20/17 | (1,019 | ) | |||||||||
USD 188,283 | GBP 147,000 | Barclays Bank PLC | 09/20/17 | (3,647 | ) | |||||||||
USD 1,457,898 | GBP 1,145,228 | Barclays Bank PLC | 09/20/17 | (37,361 | ) | |||||||||
JPY 20,607,526 | USD 188,000 | Barclays Bank PLC | 09/20/17 | (4,144 | ) | |||||||||
USD 75,456 | GBP 59,000 | Barclays Bank PLC | 09/20/17 | (1,577 | ) | |||||||||
HKD 2,308,976 | USD 296,824 | Barclays Bank PLC | 10/03/17 | (340 | ) | |||||||||
CZK 4,365,117 | EUR 165,533 | BNP Paribas | 07/03/17 | 1,809 | ||||||||||
CNH 1,291,654 | USD 188,000 | BNP Paribas | 09/20/17 | 1,388 | ||||||||||
CNH 1,291,334 | USD 188,000 | BNP Paribas | 09/20/17 | 1,341 | ||||||||||
JPY 10,141,814 | USD 90,830 | BNP Paribas | 09/20/17 | (348 | ) | |||||||||
CZK 3,362,414 | EUR 128,102 | BNP Paribas | 09/20/17 | 866 | ||||||||||
CZK 4,432,042 | EUR 169,000 | BNP Paribas | 09/20/17 | 974 | ||||||||||
EUR 125,198 | HUF 38,726,122 | BNP Paribas | 09/20/17 | (97 | ) | |||||||||
AUD 100,000 | USD 75,492 | BNP Paribas | 09/20/17 | 1,291 | ||||||||||
CZK 4,439,698 | EUR 169,000 | BNP Paribas | 09/20/17 | 1,310 | ||||||||||
TRY 272,415 | USD 75,000 | BNP Paribas | 09/20/17 | 696 | ||||||||||
TRY 409,342 | USD 113,000 | BNP Paribas | 09/20/17 | 744 | ||||||||||
USD 187,980 | NZD 260,000 | BNP Paribas | 09/20/17 | (2,272 | ) | |||||||||
USD 1,056,202 | EUR 942,708 | BNP Paribas | 09/20/17 | (25,030 | ) | |||||||||
USD 179,718 | PLN 678,757 | BNP Paribas | 09/20/17 | (3,387 | ) | |||||||||
PLN 10,634,331 | EUR 2,523,512 | BNP Paribas | 09/20/17 | (25,563 | ) | |||||||||
BRL 1,652,000 | USD 502,510 | Citibank N.A. | 07/05/17 | (3,967 | ) | |||||||||
CZK 4,971,135 | EUR 185,000 | Citibank N.A. | 07/10/17 | 6,094 | ||||||||||
USD 91,577 | TWD 2,771,758 | Citibank N.A. | 07/11/17 | 447 | ||||||||||
SEK 649,661 | USD 74,284 | Citibank N.A. | 07/12/17 | 2,868 | ||||||||||
ARS 3,129,525 | USD 193,300 | Citibank N.A. | 07/13/17 | (5,960 | ) | |||||||||
USD 583,107 | KRW 661,768,202 | Citibank N.A. | 07/13/17 | 4,798 | ||||||||||
USD 719,859 | KRW 824,742,753 | Citibank N.A. | 07/13/17 | (871 | ) | |||||||||
RUB 56,807,703 | USD 963,970 | Citibank N.A. | 07/20/17 | (4,044 | ) | |||||||||
KRW 212,966,400 | USD 188,000 | Citibank N.A. | 07/20/17 | (1,913 | ) | |||||||||
RUB 8,965,200 | USD 150,000 | Citibank N.A. | 07/20/17 | 1,492 | ||||||||||
RUB 22,813,331 | USD 398,225 | Citibank N.A. | 07/20/17 | (12,730 | ) | |||||||||
AUD 719,822 | USD 538,461 | Citibank N.A. | 07/27/17 | 14,611 | ||||||||||
AUD 115,525 | USD 87,657 | Citibank N.A. | 07/27/17 | 1,106 | ||||||||||
MYR 350,091 | USD 80,843 | Citibank N.A. | 07/27/17 | 476 | ||||||||||
USD 661,274 | AUD 884,000 | Citibank N.A. | 07/27/17 | (17,943 | ) | |||||||||
USD 196,208 | IDR 2,617,960,100 | Citibank N.A. | 07/31/17 | 403 | ||||||||||
GBP 897,195 | USD 1,144,727 | Citibank N.A. | 08/10/17 | 25,274 | ||||||||||
USD 1,402,294 | GBP 1,099,067 | Citibank N.A. | 08/10/17 | (30,961 | ) | |||||||||
TWD 6,198,337 | USD 204,971 | Citibank N.A. | 08/17/17 | (1,086 | ) | |||||||||
USD 83,477 | MYR 361,665 | Citibank N.A. | 08/17/17 | (405 | ) | |||||||||
PEN 658,601 | USD 198,883 | Citibank N.A. | 08/29/17 | 2,822 | ||||||||||
CLP 253,889,370 | USD 382,340 | Citibank N.A. | 08/30/17 | (489 | ) | |||||||||
NOK 766,347 | EUR 79,999 | Citibank N.A. | 09/20/17 | 181 | ||||||||||
USD 563,000 | JPY 62,951,845 | Citibank N.A. | 09/20/17 | 1,358 | ||||||||||
USD 375,000 | JPY 41,885,812 | Citibank N.A. | 09/20/17 | 1,304 | ||||||||||
NOK 4,742,438 | EUR 493,000 | Citibank N.A. | 09/20/17 | 3,485 | ||||||||||
EUR 164,000 | USD 188,123 | Citibank N.A. | 09/20/17 | (24 | ) | |||||||||
JPY 20,340,164 | USD 181,532 | Citibank N.A. | 09/20/17 | (62 | ) | |||||||||
NOK 3,785,473 | EUR 394,000 | Citibank N.A. | 09/20/17 | 2,230 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD 67,252 | MXN 1,229,376 | Citibank N.A. | 09/20/17 | $ | 356 | |||||||||
USD 188,000 | MXN 3,405,263 | Citibank N.A. | 09/20/17 | 2,703 | ||||||||||
ZAR 984,307 | USD 75,000 | Citibank N.A. | 09/20/17 | (760 | ) | |||||||||
NZD 114,423 | USD 83,043 | Citibank N.A. | 09/20/17 | 685 | ||||||||||
USD 566,005 | EUR 496,000 | Citibank N.A. | 09/20/17 | (2,878 | ) | |||||||||
USD 752,000 | CHF 718,310 | Citibank N.A. | 09/20/17 | (923 | ) | |||||||||
USD 188,000 | MXN 3,417,520 | Citibank N.A. | 09/20/17 | 2,036 | ||||||||||
AUD 247,000 | USD 188,189 | Citibank N.A. | 09/20/17 | 1,466 | ||||||||||
SEK 712,297 | EUR 73,000 | Citibank N.A. | 09/20/17 | 1,204 | ||||||||||
SEK 917,739 | EUR 94,064 | Citibank N.A. | 09/20/17 | 1,541 | ||||||||||
USD 188,934 | GBP 148,000 | Citibank N.A. | 09/20/17 | (4,301 | ) | |||||||||
SEK 728,410 | USD 83,698 | Citibank N.A. | 09/20/17 | 3,155 | ||||||||||
USD 75,000 | MXN 1,372,012 | Citibank N.A. | 09/20/17 | 342 | ||||||||||
USD 38,000 | MXN 697,832 | Citibank N.A. | 09/20/17 | 28 | ||||||||||
EUR 67,555 | AUD 100,312 | Citibank N.A. | 09/20/17 | 459 | ||||||||||
AUD 420,991 | USD 319,435 | Citibank N.A. | 09/20/17 | 3,815 | ||||||||||
SEK 1,651,688 | EUR 169,000 | Citibank N.A. | 09/20/17 | 3,107 | ||||||||||
USD 189,258 | EUR 169,000 | Citibank N.A. | 09/20/17 | (4,575 | ) | |||||||||
JPY 10,110,675 | USD 90,963 | Citibank N.A. | 09/20/17 | (758 | ) | |||||||||
NOK 22,649,949 | EUR 2,384,067 | Citibank N.A. | 09/20/17 | (17,180 | ) | |||||||||
JPY 20,739,408 | USD 188,000 | Citibank N.A. | 09/20/17 | (2,968 | ) | |||||||||
USD 188,252 | GBP 148,000 | Citibank N.A. | 09/20/17 | (4,984 | ) | |||||||||
USD 188,410 | GBP 147,000 | Citibank N.A. | 09/20/17 | (3,520 | ) | |||||||||
USD 187,346 | NZD 260,000 | Citibank N.A. | 09/20/17 | (2,906 | ) | |||||||||
USD 376,000 | CAD 496,339 | Citibank N.A. | 09/20/17 | (7,222 | ) | |||||||||
SEK 1,638,258 | EUR 168,000 | Citibank N.A. | 09/20/17 | 2,652 | ||||||||||
SEK 11,138,578 | EUR 1,139,233 | Citibank N.A. | 09/20/17 | 21,481 | ||||||||||
NZD 2,335,241 | USD 1,678,501 | Citibank N.A. | 09/20/17 | 30,285 | ||||||||||
USD 75,000 | CAD 99,427 | Citibank N.A. | 09/20/17 | (1,768 | ) | |||||||||
USD 913,905 | HKD 7,080,569 | Citibank N.A. | 10/03/17 | 4,725 | ||||||||||
USD 493,547 | BRL 1,652,000 | Citibank N.A. | 10/03/17 | 4,020 | ||||||||||
USD 728,000 | HKD 5,639,889 | Citibank N.A. | 10/10/17 | 3,721 | ||||||||||
TWD 1,131,046 | USD 37,384 | Citibank N.A. | 10/20/17 | (152 | ) | |||||||||
CZK 10,698,913 | EUR 399,929 | Citibank N.A. | 11/21/17 | 12,361 | ||||||||||
USD 735,163 | HKD 5,685,787 | Citibank N.A. | 03/27/18 | 3,295 | ||||||||||
USD 605,000 | HKD 4,679,675 | Citibank N.A. | 03/27/18 | 2,638 | ||||||||||
USD 700,246 | RUB 39,970,061 | Credit Suisse International | 07/20/17 | 24,840 | ||||||||||
CLP 100,143,750 | USD 150,685 | Credit Suisse International | 08/30/17 | (68 | ) | |||||||||
COP 770,069,749 | USD 261,196 | Credit Suisse International | 09/14/17 | (10,948 | ) | |||||||||
JPY 10,102,069 | USD 90,580 | Credit Suisse International | 09/20/17 | (452 | ) | |||||||||
USD 97,982 | GBP 75,415 | Credit Suisse International | 09/20/17 | (484 | ) | |||||||||
EUR 330,000 | CHF 360,743 | Credit Suisse International | 09/20/17 | 365 | ||||||||||
USD 97,982 | EUR 85,500 | Credit Suisse International | 09/20/17 | (81 | ) | |||||||||
CAD 245,921 | USD 188,000 | Credit Suisse International | 09/20/17 | 1,875 | ||||||||||
EUR 166,000 | USD 189,070 | Credit Suisse International | 09/20/17 | 1,323 | ||||||||||
JPY 63,064,224 | USD 564,000 | Credit Suisse International | 09/20/17 | (1,356 | ) | |||||||||
JPY 20,959,180 | USD 188,000 | Credit Suisse International | 09/20/17 | (1,007 | ) | |||||||||
USD 98,299 | CAD 129,056 | Credit Suisse International | 09/20/17 | (1,345 | ) | |||||||||
USD 377,236 | EUR 330,000 | Credit Suisse International | 09/20/17 | (1,255 | ) | |||||||||
JPY 20,936,650 | USD 187,000 | Credit Suisse International | 09/20/17 | (208 | ) | |||||||||
USD 188,603 | EUR 165,000 | Credit Suisse International | 09/20/17 | (642 | ) | |||||||||
AUD 249,000 | USD 188,346 | Credit Suisse International | 09/20/17 | 2,844 | ||||||||||
AUD 496,000 | USD 376,328 | Credit Suisse International | 09/20/17 | 4,517 | ||||||||||
USD 188,000 | CAD 248,205 | Credit Suisse International | 09/20/17 | (3,639 | ) | |||||||||
GBP 60,000 | USD 75,806 | Credit Suisse International | 09/20/17 | 2,532 | ||||||||||
EUR 100,824 | USD 113,279 | Credit Suisse International | 09/20/17 | 2,361 | ||||||||||
JPY 20,851,080 | USD 188,000 | Credit Suisse International | 09/20/17 | (1,972 | ) | |||||||||
USD 187,832 | NZD 260,000 | Credit Suisse International | 09/20/17 | (2,420 | ) | |||||||||
GBP 59,380 | USD 75,612 | Credit Suisse International | 09/20/17 | 1,918 | ||||||||||
JPY 15,132,929 | USD 136,551 | Credit Suisse International | 09/20/17 | (1,539 | ) | |||||||||
SEK 25,706,020 | EUR 2,639,303 | Credit Suisse International | 09/20/17 | 37,946 | ||||||||||
GBP 118,664 | CAD 200,052 | Credit Suisse International | 09/20/17 | 473 | ||||||||||
USD 75,000 | CLP 49,629,000 | Deutsche Bank AG | 07/03/17 | 238 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD 76,000 | KRW 85,203,600 | Deutsche Bank AG | 07/03/17 | $ | 1,531 | |||||||||
USD 1,909,776 | BRL 6,286,983 | Deutsche Bank AG | 07/05/17 | 12,483 | ||||||||||
USD 189,000 | BRL 618,691 | Deutsche Bank AG | 07/05/17 | 2,291 | ||||||||||
USD 189,000 | BRL 617,325 | Deutsche Bank AG | 07/05/17 | 2,703 | ||||||||||
TWD 5,685,457 | USD 188,000 | Deutsche Bank AG | 07/11/17 | (1,074 | ) | |||||||||
USD 443,954 | KRW 501,201,600 | Deutsche Bank AG | 07/12/17 | 5,954 | ||||||||||
KRW 869,561,693 | USD 761,838 | Deutsche Bank AG | 07/13/17 | (1,941 | ) | |||||||||
KRW 981,740,884 | USD 863,297 | Deutsche Bank AG | 07/13/17 | (5,368 | ) | |||||||||
KRW 534,186,742 | USD 478,092 | Deutsche Bank AG | 07/13/17 | (11,274 | ) | |||||||||
USD 80,182 | KRW 90,878,680 | Deutsche Bank AG | 07/13/17 | 765 | ||||||||||
INR 26,130,990 | USD 400,567 | Deutsche Bank AG | 07/14/17 | 3,251 | ||||||||||
INR 8,133,336 | USD 120,333 | Deutsche Bank AG | 07/14/17 | 5,356 | ||||||||||
INR 26,417,350 | USD 400,020 | Deutsche Bank AG | 07/14/17 | 8,223 | ||||||||||
INR 12,145,740 | USD 188,000 | Deutsche Bank AG | 07/14/17 | (305 | ) | |||||||||
INR 12,144,800 | USD 188,000 | Deutsche Bank AG | 07/14/17 | (319 | ) | |||||||||
USD 209,186 | INR 13,725,979 | Deutsche Bank AG | 07/14/17 | (2,930 | ) | |||||||||
USD 701,455 | INR 45,243,858 | Deutsche Bank AG | 07/14/17 | 2,275 | ||||||||||
INR 12,084,200 | USD 188,000 | Deutsche Bank AG | 07/14/17 | (1,256 | ) | |||||||||
INR 6,317,080 | USD 98,000 | Deutsche Bank AG | 07/14/17 | (378 | ) | |||||||||
CLP 49,494,000 | USD 75,000 | Deutsche Bank AG | 07/17/17 | (469 | ) | |||||||||
USD 150,000 | CLP 99,772,200 | Deutsche Bank AG | 07/17/17 | (242 | ) | |||||||||
TWD 11,311,960 | USD 376,000 | Deutsche Bank AG | 07/17/17 | (4,040 | ) | |||||||||
USD 188,000 | TWD 5,705,800 | Deutsche Bank AG | 07/19/17 | 374 | ||||||||||
INR 4,859,407 | USD 75,000 | Deutsche Bank AG | 07/20/17 | 45 | ||||||||||
KRW 213,004,000 | USD 188,000 | Deutsche Bank AG | 07/20/17 | (1,880 | ) | |||||||||
KRW 429,880,800 | USD 376,000 | Deutsche Bank AG | 07/20/17 | (376 | ) | |||||||||
USD 188,000 | KRW 213,756,000 | Deutsche Bank AG | 07/20/17 | 1,223 | ||||||||||
USD 75,000 | INR 4,845,375 | Deutsche Bank AG | 07/20/17 | 172 | ||||||||||
TWD 2,184,562 | USD 71,625 | Deutsche Bank AG | 07/20/17 | 212 | ||||||||||
KRW 214,517,400 | USD 188,000 | Deutsche Bank AG | 07/20/17 | (557 | ) | |||||||||
TWD 5,697,340 | USD 188,000 | Deutsche Bank AG | 07/20/17 | (648 | ) | |||||||||
TWD 5,729,394 | USD 188,000 | Deutsche Bank AG | 07/20/17 | 406 | ||||||||||
INR 12,144,800 | USD 188,000 | Deutsche Bank AG | 07/24/17 | (529 | ) | |||||||||
USD 73,830 | CLP 49,023,120 | Deutsche Bank AG | 07/24/17 | 24 | ||||||||||
INR 45,279,806 | USD 698,385 | Deutsche Bank AG | 07/24/17 | 568 | ||||||||||
USD 187,323 | INR 12,140,417 | Deutsche Bank AG | 07/24/17 | (80 | ) | |||||||||
KRW 214,132,000 | USD 188,000 | Deutsche Bank AG | 07/26/17 | (912 | ) | |||||||||
INR 24,312,160 | USD 376,000 | Deutsche Bank AG | 07/31/17 | (1,004 | ) | |||||||||
USD 188,000 | TWD 5,727,420 | Deutsche Bank AG | 07/31/17 | (384 | ) | |||||||||
INR 12,180,520 | USD 188,000 | Deutsche Bank AG | 07/31/17 | (125 | ) | |||||||||
USD 263,000 | TWD 8,010,980 | Deutsche Bank AG | 07/31/17 | (494 | ) | |||||||||
USD 177,754 | KRW 203,617,207 | Deutsche Bank AG | 07/31/17 | (133 | ) | |||||||||
USD 75,000 | TWD 2,280,375 | Deutsche Bank AG | 07/31/17 | (5 | ) | |||||||||
BRL 6,286,983 | USD 1,897,986 | Deutsche Bank AG | 08/02/17 | (12,879 | ) | |||||||||
COP 234,923,976 | USD 80,083 | Deutsche Bank AG | 08/11/17 | (3,432 | ) | |||||||||
USD 177,581 | COP 518,449,099 | Deutsche Bank AG | 08/11/17 | 8,421 | ||||||||||
USD 1,401,696 | KRW 1,576,207,202 | Deutsche Bank AG | 08/24/17 | 24,315 | ||||||||||
USD 184,580 | IDR 2,472,723,440 | Deutsche Bank AG | 08/25/17 | 157 | ||||||||||
IDR 10,443,216,527 | USD 781,122 | Deutsche Bank AG | 08/25/17 | (2,236 | ) | |||||||||
USD 75,000 | CLP 49,841,250 | Deutsche Bank AG | 08/30/17 | 38 | ||||||||||
USD 75,000 | CLP 49,702,500 | Deutsche Bank AG | 08/30/17 | 247 | ||||||||||
PHP 18,704,062 | USD 375,508 | Deutsche Bank AG | 09/14/17 | (7,230 | ) | |||||||||
USD 73,628 | COP 218,418,750 | Deutsche Bank AG | 09/14/17 | 2,649 | ||||||||||
USD 187,614 | NZD 259,000 | Deutsche Bank AG | 09/20/17 | (1,906 | ) | |||||||||
USD 188,000 | CNH 1,292,483 | Deutsche Bank AG | 09/20/17 | (1,510 | ) | |||||||||
SGD 521,813 | USD 376,000 | Deutsche Bank AG | 09/20/17 | 3,488 | ||||||||||
MXN 7,558,263 | USD 413,000 | Deutsche Bank AG | 09/20/17 | (1,718 | ) | |||||||||
MXN 1,996,699 | USD 109,013 | Deutsche Bank AG | 09/20/17 | (362 | ) | |||||||||
USD 187,758 | NZD 259,000 | Deutsche Bank AG | 09/20/17 | (1,762 | ) | |||||||||
USD 187,218 | AUD 244,000 | Deutsche Bank AG | 09/20/17 | (134 | ) | |||||||||
USD 170,911 | CNH 1,169,320 | Deutsche Bank AG | 09/20/17 | (540 | ) | |||||||||
GBP 208,000 | USD 263,510 | Deutsche Bank AG | 09/20/17 | 8,064 | ||||||||||
USD 188,000 | CAD 248,395 | Deutsche Bank AG | 09/20/17 | (3,785 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD 563,454 | NZD 782,000 | Deutsche Bank AG | 09/20/17 | $ | (8,765 | ) | ||||||||
USD 375,208 | NZD 518,000 | Deutsche Bank AG | 09/20/17 | (3,833 | ) | |||||||||
USD 187,718 | NZD 259,000 | Deutsche Bank AG | 09/20/17 | (1,802 | ) | |||||||||
USD 187,361 | AUD 247,000 | Deutsche Bank AG | 09/20/17 | (2,294 | ) | |||||||||
USD 188,000 | CNH 1,284,999 | Deutsche Bank AG | 09/20/17 | (412 | ) | |||||||||
USD 68,040 | CNH 463,012 | Deutsche Bank AG | 09/20/17 | 151 | ||||||||||
USD 194,919 | EUR 169,888 | Deutsche Bank AG | 09/20/17 | 68 | ||||||||||
USD 375,000 | CNH 2,557,125 | Deutsche Bank AG | 09/20/17 | 63 | ||||||||||
USD 188,299 | GBP 147,000 | Deutsche Bank AG | 09/20/17 | (3,631 | ) | |||||||||
PLN 230,498 | EUR 54,076 | Deutsche Bank AG | 09/20/17 | 158 | ||||||||||
EUR 67,000 | USD 75,548 | Deutsche Bank AG | 09/20/17 | 1,297 | ||||||||||
PLN 10,580,626 | EUR 2,510,857 | Deutsche Bank AG | 09/20/17 | (25,536 | ) | |||||||||
PLN 1,698,395 | EUR 403,000 | Deutsche Bank AG | 09/20/17 | (4,052 | ) | |||||||||
CNH 1,291,729 | USD 188,000 | Deutsche Bank AG | 09/20/17 | 1,399 | ||||||||||
MXN 3,426,206 | USD 188,000 | Deutsche Bank AG | 09/20/17 | (1,564 | ) | |||||||||
USD 188,000 | MXN 3,425,945 | Deutsche Bank AG | 09/20/17 | 1,578 | ||||||||||
USD 105,727 | NZD 146,306 | Deutsche Bank AG | 09/20/17 | (1,330 | ) | |||||||||
JPY 20,798,571 | USD 188,000 | Deutsche Bank AG | 09/20/17 | (2,440 | ) | |||||||||
CNH 1,284,717 | USD 188,000 | Deutsche Bank AG | 09/20/17 | 371 | ||||||||||
USD 188,000 | CNH 1,290,394 | Deutsche Bank AG | 09/20/17 | (1,203 | ) | |||||||||
USD 376,000 | SGD 520,271 | Deutsche Bank AG | 09/20/17 | (2,367 | ) | |||||||||
USD 151,000 | MXN 2,757,222 | Deutsche Bank AG | 09/20/17 | 966 | ||||||||||
USD 189,000 | CNH 1,297,069 | Deutsche Bank AG | 09/20/17 | (1,182 | ) | |||||||||
USD 75,000 | MXN 1,366,163 | Deutsche Bank AG | 09/20/17 | 660 | ||||||||||
USD 75,000 | MXN 1,364,677 | Deutsche Bank AG | 09/20/17 | 741 | ||||||||||
EUR 504,000 | USD 567,121 | Deutsche Bank AG | 09/20/17 | 10,938 | ||||||||||
TRY 268,830 | USD 75,000 | Deutsche Bank AG | 09/20/17 | (300 | ) | |||||||||
USD 380,796 | EUR 337,311 | Deutsche Bank AG | 09/20/17 | (6,081 | ) | |||||||||
EUR 67,000 | PLN 284,301 | Deutsche Bank AG | 09/20/17 | 151 | ||||||||||
USD 75,000 | MXN 1,369,892 | Deutsche Bank AG | 09/20/17 | 458 | ||||||||||
AUD 249,000 | USD 188,504 | Deutsche Bank AG | 09/20/17 | 2,686 | ||||||||||
AUD 249,000 | USD 188,537 | Deutsche Bank AG | 09/20/17 | 2,653 | ||||||||||
USD 189,855 | EUR 167,500 | Deutsche Bank AG | 09/20/17 | (2,258 | ) | |||||||||
KRW 945,584,878 | USD 833,702 | Deutsche Bank AG | 09/27/17 | (6,986 | ) | |||||||||
USD 517,844 | TWD 15,616,622 | Deutsche Bank AG | 09/29/17 | 4,004 | ||||||||||
USD 269,280 | HKD 2,083,042 | Deutsche Bank AG | 03/27/18 | 1,153 | ||||||||||
USD 402,000 | HKD 3,112,686 | Deutsche Bank AG | 03/27/18 | 1,339 | ||||||||||
USD 517,657 | BRL 1,652,000 | JPMorgan Chase Bank N.A. | 07/05/17 | 19,115 | ||||||||||
ARS 2,582,288 | USD 160,216 | JPMorgan Chase Bank N.A. | 07/06/17 | (5,034 | ) | |||||||||
USD 468,626 | TWD 14,111,269 | JPMorgan Chase Bank N.A. | 07/11/17 | 4,677 | ||||||||||
USD 187,500 | KRW 210,024,375 | JPMorgan Chase Bank N.A. | 07/17/17 | 3,975 | ||||||||||
USD 74,519 | RUB 4,277,400 | JPMorgan Chase Bank N.A. | 07/20/17 | 2,240 | ||||||||||
KRW 85,818,750 | USD 75,000 | JPMorgan Chase Bank N.A. | 07/20/17 | (13 | ) | |||||||||
USD 188,000 | IDR 2,506,040,000 | JPMorgan Chase Bank N.A. | 07/21/17 | 343 | ||||||||||
USD 134,390 | NZD 186,920 | JPMorgan Chase Bank N.A. | 07/28/17 | (2,522 | ) | |||||||||
IDR 5,037,813,900 | USD 377,082 | JPMorgan Chase Bank N.A. | 08/25/17 | (1,347 | ) | |||||||||
CLP 124,402,080 | USD 187,152 | JPMorgan Chase Bank N.A. | 08/30/17 | (51 | ) | |||||||||
USD 565,912 | TWD 17,025,458 | JPMorgan Chase Bank N.A. | 08/30/17 | 5,882 | ||||||||||
COP 217,275,000 | USD 70,521 | JPMorgan Chase Bank N.A. | 09/14/17 | 86 | ||||||||||
EUR 208,649 | CZK 5,447,372 | JPMorgan Chase Bank N.A. | 09/20/17 | (126 | ) | |||||||||
EUR 60,205 | USD 68,898 | JPMorgan Chase Bank N.A. | 09/20/17 | 154 | ||||||||||
EUR 80,272 | USD 91,803 | JPMorgan Chase Bank N.A. | 09/20/17 | 264 | ||||||||||
GBP 145,000 | USD 188,631 | JPMorgan Chase Bank N.A. | 09/20/17 | 688 | ||||||||||
NZD 134,318 | USD 97,982 | JPMorgan Chase Bank N.A. | 09/20/17 | 303 | ||||||||||
USD 69,064 | EUR 60,205 | JPMorgan Chase Bank N.A. | 09/20/17 | 12 | ||||||||||
USD 91,987 | EUR 80,272 | JPMorgan Chase Bank N.A. | 09/20/17 | (80 | ) | |||||||||
EUR 498,000 | USD 565,515 | JPMorgan Chase Bank N.A. | 09/20/17 | 5,662 | ||||||||||
EUR 166,000 | USD 188,871 | JPMorgan Chase Bank N.A. | 09/20/17 | 1,522 | ||||||||||
JPY 21,043,780 | USD 188,000 | JPMorgan Chase Bank N.A. | 09/20/17 | (252 | ) | |||||||||
USD 113,073 | GBP 88,000 | JPMorgan Chase Bank N.A. | 09/20/17 | (1,823 | ) | |||||||||
USD 188,306 | EUR 165,000 | JPMorgan Chase Bank N.A. | 09/20/17 | (939 | ) | |||||||||
CNH 1,281,905 | USD 186,872 | JPMorgan Chase Bank N.A. | 09/20/17 | 1,087 | ||||||||||
NOK 3,149,459 | CHF 359,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 1,527 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD 186,872 | CNH 1,281,138 | JPMorgan Chase Bank N.A. | 09/20/17 | $ | (974 | ) | ||||||||
USD 188,000 | CNH 1,288,364 | JPMorgan Chase Bank N.A. | 09/20/17 | (906 | ) | |||||||||
MXN 3,411,346 | USD 188,000 | JPMorgan Chase Bank N.A. | 09/20/17 | (2,372 | ) | |||||||||
MXN 1,386,507 | USD 75,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 447 | ||||||||||
USD 101,091 | NZD 138,986 | JPMorgan Chase Bank N.A. | 09/20/17 | (611 | ) | |||||||||
SEK 1,651,093 | EUR 169,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 3,036 | ||||||||||
EUR 624,014 | CZK 16,318,280 | JPMorgan Chase Bank N.A. | 09/20/17 | (1,549 | ) | |||||||||
CAD 350,905 | USD 264,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 6,933 | ||||||||||
MXN 1,383,471 | USD 75,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 281 | ||||||||||
USD 75,000 | MXN 1,367,750 | JPMorgan Chase Bank N.A. | 09/20/17 | 574 | ||||||||||
NOK 1,589,934 | USD 188,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 2,737 | ||||||||||
SEK 1,652,347 | EUR 169,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 3,185 | ||||||||||
CZK 4,436,951 | EUR 169,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 1,190 | ||||||||||
USD 188,000 | MXN 3,430,193 | JPMorgan Chase Bank N.A. | 09/20/17 | 1,347 | ||||||||||
EUR 81,000 | CZK 2,121,609 | JPMorgan Chase Bank N.A. | 09/20/17 | (351 | ) | |||||||||
USD 179,540 | CAD 236,860 | JPMorgan Chase Bank N.A. | 09/20/17 | (3,339 | ) | |||||||||
SEK 25,679,577 | EUR 2,639,482 | JPMorgan Chase Bank N.A. | 09/20/17 | 34,587 | ||||||||||
JPY 20,628,262 | USD 188,000 | JPMorgan Chase Bank N.A. | 09/20/17 | (3,959 | ) | |||||||||
EUR 85,310 | CZK 2,232,317 | JPMorgan Chase Bank N.A. | 09/20/17 | (274 | ) | |||||||||
NOK 22,731,654 | EUR 2,397,437 | JPMorgan Chase Bank N.A. | 09/20/17 | (22,712 | ) | |||||||||
USD 188,000 | MXN 3,445,049 | JPMorgan Chase Bank N.A. | 09/20/17 | 538 | ||||||||||
CZK 4,301,622 | EUR 164,000 | JPMorgan Chase Bank N.A. | 09/20/17 | 976 | ||||||||||
NZD 102,952 | USD 74,880 | JPMorgan Chase Bank N.A. | 09/20/17 | 454 | ||||||||||
CZK 6,264,762 | EUR 234,328 | JPMorgan Chase Bank N.A. | 09/21/17 | 6,606 | ||||||||||
CZK 9,211,707 | EUR 345,000 | JPMorgan Chase Bank N.A. | 11/09/17 | 9,733 | ||||||||||
CZK 5,149,240 | EUR 193,000 | JPMorgan Chase Bank N.A. | 01/03/18 | 5,626 | ||||||||||
CZK 5,004,184 | EUR 188,000 | JPMorgan Chase Bank N.A. | 01/03/18 | 4,963 | ||||||||||
CZK 5,283,374 | EUR 197,990 | JPMorgan Chase Bank N.A. | 01/03/18 | 5,815 | ||||||||||
CZK 13,455,540 | EUR 504,000 | JPMorgan Chase Bank N.A. | 01/03/18 | 15,083 | ||||||||||
KRW 85,203,600 | USD 74,964 | Morgan Stanley & Co. International PLC | 07/03/17 | (495 | ) | |||||||||
CLP 49,629,000 | USD 75,161 | Morgan Stanley & Co. International PLC | 07/03/17 | (399 | ) | |||||||||
BRL 1,251,678 | USD 377,000 | Morgan Stanley & Co. International PLC | 07/05/17 | 733 | ||||||||||
USD 263,000 | BRL 868,899 | Morgan Stanley & Co. International PLC | 07/05/17 | 783 | ||||||||||
USD 188,000 | BRL 622,487 | Morgan Stanley & Co. International PLC | 07/05/17 | 145 | ||||||||||
MYR 573,456 | USD 133,523 | Morgan Stanley & Co. International PLC | 07/05/17 | 50 | ||||||||||
BRL 250,487 | USD 75,000 | Morgan Stanley & Co. International PLC | 07/05/17 | 592 | ||||||||||
BRL 1,255,884 | USD 380,061 | Morgan Stanley & Co. International PLC | 07/05/17 | (1,059 | ) | |||||||||
BRL 247,132 | USD 75,000 | Morgan Stanley & Co. International PLC | 07/05/17 | (420 | ) | |||||||||
BRL 247,272 | USD 75,000 | Morgan Stanley & Co. International PLC | 07/05/17 | (378 | ) | |||||||||
BRL 1,760,743 | USD 533,979 | Morgan Stanley & Co. International PLC | 07/05/17 | (2,620 | ) | |||||||||
USD 75,000 | BRL 246,514 | Morgan Stanley & Co. International PLC | 07/05/17 | 607 | ||||||||||
USD 263,000 | BRL 863,008 | Morgan Stanley & Co. International PLC | 07/05/17 | 2,560 | ||||||||||
BRL 1,239,334 | USD 376,000 | Morgan Stanley & Co. International PLC | 07/05/17 | (1,993 | ) | |||||||||
USD 156,502 | ARS 2,582,288 | Morgan Stanley & Co. International PLC | 07/06/17 | 1,320 | ||||||||||
USD 181,934 | TWD 5,543,543 | Morgan Stanley & Co. International PLC | 07/11/17 | (326 | ) | |||||||||
USD 116,084 | SEK 1,028,000 | Morgan Stanley & Co. International PLC | 07/12/17 | (5,997 | ) | |||||||||
USD 265,996 | KRW 297,114,908 | Morgan Stanley & Co. International PLC | 07/13/17 | 6,352 | ||||||||||
KRW 230,580,217 | USD 202,219 | Morgan Stanley & Co. International PLC | 07/13/17 | (718 | ) | |||||||||
ARS 2,582,288 | USD 155,935 | Morgan Stanley & Co. International PLC | 07/13/17 | (1,354 | ) | |||||||||
USD 569,353 | KRW 640,613,033 | Morgan Stanley & Co. International PLC | 07/13/17 | 9,531 | ||||||||||
USD 113,000 | CLP 75,060,250 | Morgan Stanley & Co. International PLC | 07/17/17 | (30 | ) | |||||||||
USD 104,978 | KRW 119,203,051 | Morgan Stanley & Co. International PLC | 07/19/17 | 819 | ||||||||||
RUB 4,138,062 | USD 68,558 | Morgan Stanley & Co. International PLC | 07/20/17 | 1,367 | ||||||||||
RUB 6,567,923 | USD 114,526 | Morgan Stanley & Co. International PLC | 07/20/17 | (3,542 | ) | |||||||||
USD 75,000 | RUB 4,350,038 | Morgan Stanley & Co. International PLC | 07/20/17 | 1,494 | ||||||||||
RUB 9,044,505 | USD 150,000 | Morgan Stanley & Co. International PLC | 07/20/17 | 2,832 | ||||||||||
RUB 4,194,046 | USD 70,160 | Morgan Stanley & Co. International PLC | 07/20/17 | 710 | ||||||||||
RUB 6,704,008 | USD 113,000 | Morgan Stanley & Co. International PLC | 07/20/17 | 283 | ||||||||||
USD 187,039 | RUB 10,682,461 | Morgan Stanley & Co. International PLC | 07/20/17 | 6,529 | ||||||||||
USD 113,000 | RUB 6,717,850 | Morgan Stanley & Co. International PLC | 07/20/17 | (517 | ) | |||||||||
USD 188,000 | RUB 10,880,444 | Morgan Stanley & Co. International PLC | 07/20/17 | 4,144 | ||||||||||
USD 75,000 | RUB 4,437,000 | Morgan Stanley & Co. International PLC | 07/20/17 | 24 | ||||||||||
RUB 9,003,810 | USD 150,000 | Morgan Stanley & Co. International PLC | 07/20/17 | 2,145 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD 378,000 | RUB 21,672,479 | Morgan Stanley & Co. International PLC | 07/20/17 | $ | 11,783 | |||||||||
RUB 8,599,800 | USD 150,000 | Morgan Stanley & Co. International PLC | 07/20/17 | (4,682 | ) | |||||||||
USD 188,000 | TWD 5,716,140 | Morgan Stanley & Co. International PLC | 07/20/17 | 30 | ||||||||||
USD 150,000 | RUB 8,825,460 | Morgan Stanley & Co. International PLC | 07/20/17 | 869 | ||||||||||
INR 12,232,401 | USD 189,101 | Morgan Stanley & Co. International PLC | 07/24/17 | (278 | ) | |||||||||
USD 75,000 | CLP 49,582,500 | Morgan Stanley & Co. International PLC | 07/24/17 | 351 | ||||||||||
MYR 573,456 | USD 133,083 | Morgan Stanley & Co. International PLC | 07/27/17 | 118 | ||||||||||
USD 75,000 | KRW 85,725,000 | Morgan Stanley & Co. International PLC | 07/31/17 | 108 | ||||||||||
COP 349,971,749 | USD 119,261 | Morgan Stanley & Co. International PLC | 08/11/17 | (5,072 | ) | |||||||||
USD 75,000 | CLP 49,732,500 | Morgan Stanley & Co. International PLC | 08/30/17 | 202 | ||||||||||
USD 75,019 | CLP 49,629,000 | Morgan Stanley & Co. International PLC | 08/30/17 | 377 | ||||||||||
USD 308,016 | BRL 1,030,883 | Morgan Stanley & Co. International PLC | 09/05/17 | 984 | ||||||||||
EUR 245,533 | SEK 2,366,253 | Morgan Stanley & Co. International PLC | 09/20/17 | (530 | ) | |||||||||
EUR 329,000 | SEK 3,170,441 | Morgan Stanley & Co. International PLC | 09/20/17 | (686 | ) | |||||||||
USD 376,967 | GBP 296,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (9,503 | ) | |||||||||
JPY 21,111,272 | USD 188,000 | Morgan Stanley & Co. International PLC | 09/20/17 | 350 | ||||||||||
USD 188,000 | JPY 20,920,452 | Morgan Stanley & Co. International PLC | 09/20/17 | 1,353 | ||||||||||
USD 187,770 | AUD 245,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (348 | ) | |||||||||
JPY 21,074,800 | USD 188,000 | Morgan Stanley & Co. International PLC | 09/20/17 | 24 | ||||||||||
USD 187,631 | NZD 258,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (1,158 | ) | |||||||||
AUD 498,000 | USD 376,762 | Morgan Stanley & Co. International PLC | 09/20/17 | 5,619 | ||||||||||
CAD 249,421 | USD 188,000 | Morgan Stanley & Co. International PLC | 09/20/17 | 4,578 | ||||||||||
USD 75,312 | GBP 59,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (1,721 | ) | |||||||||
CAD 249,628 | USD 188,000 | Morgan Stanley & Co. International PLC | 09/20/17 | 4,737 | ||||||||||
GBP 121,202 | EUR 136,546 | Morgan Stanley & Co. International PLC | 09/20/17 | 1,637 | ||||||||||
USD 75,000 | ZAR 990,608 | Morgan Stanley & Co. International PLC | 09/20/17 | 285 | ||||||||||
AUD 249,000 | USD 188,076 | Morgan Stanley & Co. International PLC | 09/20/17 | 3,114 | ||||||||||
USD 189,261 | GBP 149,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (5,280 | ) | |||||||||
USD 187,816 | AUD 249,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (3,375 | ) | |||||||||
GBP 149,000 | USD 188,827 | Morgan Stanley & Co. International PLC | 09/20/17 | 5,714 | ||||||||||
GBP 149,000 | USD 188,433 | Morgan Stanley & Co. International PLC | 09/20/17 | 6,108 | ||||||||||
GBP 149,000 | USD 188,567 | Morgan Stanley & Co. International PLC | 09/20/17 | 5,974 | ||||||||||
USD 188,901 | EUR 168,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (3,786 | ) | |||||||||
USD 90,610 | NZD 125,053 | Morgan Stanley & Co. International PLC | 09/20/17 | (896 | ) | |||||||||
EUR 7,690 | CZK 202,288 | Morgan Stanley & Co. International PLC | 09/20/17 | (71 | ) | |||||||||
EUR 234,000 | USD 265,134 | Morgan Stanley & Co. International PLC | 09/20/17 | 3,251 | ||||||||||
USD 188,849 | GBP 148,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (4,386 | ) | |||||||||
NZD 260,000 | CAD 248,084 | Morgan Stanley & Co. International PLC | 09/20/17 | (1,293 | ) | |||||||||
JPY 20,728,128 | USD 188,000 | Morgan Stanley & Co. International PLC | 09/20/17 | (3,068 | ) | |||||||||
USD 376,000 | CAD 498,057 | Morgan Stanley & Co. International PLC | 09/20/17 | (8,549 | ) | |||||||||
HUF 153,647,209 | USD 563,543 | Morgan Stanley & Co. International PLC | 09/20/17 | 6,557 | ||||||||||
AUD 490,000 | NZD 513,914 | Morgan Stanley & Co. International PLC | 09/20/17 | 187 | ||||||||||
TRY 2,369,694 | USD 654,974 | Morgan Stanley & Co. International PLC | 09/20/17 | 3,496 | ||||||||||
EUR 134,000 | USD 150,960 | Morgan Stanley & Co. International PLC | 09/20/17 | 2,731 | ||||||||||
ZAR 2,400,223 | USD 184,537 | Morgan Stanley & Co. International PLC | 09/20/17 | (3,505 | ) | |||||||||
CAD 6,496,204 | USD 4,844,345 | Morgan Stanley & Co. International PLC | 09/20/17 | 171,363 | ||||||||||
USD 1,358,560 | CAD 1,799,155 | Morgan Stanley & Co. International PLC | 09/20/17 | (30,564 | ) | |||||||||
USD 154,950 | CAD 205,750 | Morgan Stanley & Co. International PLC | 09/20/17 | (3,909 | ) | |||||||||
NZD 260,000 | CAD 248,286 | Morgan Stanley & Co. International PLC | 09/20/17 | (1,449 | ) | |||||||||
CZK 3,823,636 | EUR 143,060 | Morgan Stanley & Co. International PLC | 09/21/17 | 3,986 | ||||||||||
USD 75,062 | KRW 85,203,600 | Morgan Stanley & Co. International PLC | 09/27/17 | 569 | ||||||||||
CNY 1,391,916 | USD 202,049 | Morgan Stanley & Co. International PLC | 09/28/17 | 2,065 | ||||||||||
USD 188,044 | TWD 5,669,140 | Morgan Stanley & Co. International PLC | 09/29/17 | 1,510 | ||||||||||
CZK 4,353,582 | EUR 162,763 | Morgan Stanley & Co. International PLC | 11/21/17 | 5,002 | ||||||||||
CZK 4,362,034 | EUR 162,975 | Morgan Stanley & Co. International PLC | 11/22/17 | 5,137 | ||||||||||
USD 225,712 | CAD 307,259 | RBC Europe Limited | 07/14/17 | (11,273 | ) | |||||||||
EUR 531,958 | USD 608,526 | RBC Europe Limited | 08/24/17 | 714 | ||||||||||
USD 90,384 | CAD 117,217 | RBC Europe Limited | 09/20/17 | (119 | ) | |||||||||
USD 83,283 | SEK 705,446 | RBC Europe Limited | 09/20/17 | (831 | ) | |||||||||
JPY 65,781,237 | EUR 526,343 | RBC Europe Limited | 09/20/17 | (16,800 | ) | |||||||||
USD 356,110 | CAD 471,464 | RBC Europe Limited | 09/20/17 | (7,907 | ) | |||||||||
USD 188,000 | CAD 248,339 | RBC Europe Limited | 09/20/17 | (3,742 | ) | |||||||||
SEK 1,054,938 | USD 121,633 | RBC Europe Limited | 09/20/17 | 4,154 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD 75,665 | CAD 100,059 | RBC Europe Limited | 09/20/17 | $ | (1,591 | ) | ||||||||
NZD 260,000 | USD 187,641 | RBC Europe Limited | 09/20/17 | 2,611 | ||||||||||
USD 188,000 | CAD 249,166 | RBC Europe Limited | 09/20/17 | (4,380 | ) | |||||||||
USD 376,000 | CAD 496,878 | RBC Europe Limited | 09/20/17 | (7,639 | ) | |||||||||
USD 113,000 | JPY 12,676,181 | Royal Bank of Scotland PLC | 09/20/17 | (94 | ) | |||||||||
SEK 1,639,467 | EUR 168,000 | Royal Bank of Scotland PLC | 09/20/17 | 2,797 | ||||||||||
EUR 169,000 | NOK 1,615,703 | Royal Bank of Scotland PLC | 09/20/17 | 5 | ||||||||||
MXN 1,430,224 | USD 77,700 | Royal Bank of Scotland PLC | 09/20/17 | 125 | ||||||||||
USD 75,000 | MXN 1,381,676 | Royal Bank of Scotland PLC | 09/20/17 | (184 | ) | |||||||||
USD 188,000 | MXN 3,448,719 | Royal Bank of Scotland PLC | 09/20/17 | 339 | ||||||||||
USD 187,453 | AUD 247,000 | Royal Bank of Scotland PLC | 09/20/17 | (2,201 | ) | |||||||||
EUR 168,000 | GBP 147,296 | Royal Bank of Scotland PLC | 09/20/17 | 371 | ||||||||||
USD 187,522 | AUD 247,000 | Royal Bank of Scotland PLC | 09/20/17 | (2,132 | ) | |||||||||
MXN 1,376,625 | USD 75,000 | Royal Bank of Scotland PLC | 09/20/17 | (91 | ) | |||||||||
NZD 261,000 | USD 187,741 | Royal Bank of Scotland PLC | 09/20/17 | 3,243 | ||||||||||
SEK 652,533 | EUR 67,000 | Royal Bank of Scotland PLC | 09/20/17 | 960 | ||||||||||
USD 171,698 | INR 11,678,903 | Standard Chartered Bank | 07/14/17 | (8,783 | ) | |||||||||
USD 1,735,955 | TWD 52,963,982 | Standard Chartered Bank | 08/17/17 | (6,224 | ) | |||||||||
USD 75,000 | TRY 270,840 | Standard Chartered Bank | 09/20/17 | (259 | ) | |||||||||
USD 75,000 | TRY 270,713 | Standard Chartered Bank | 09/20/17 | (223 | ) | |||||||||
USD 301,000 | ZAR 3,927,099 | Standard Chartered Bank | 09/20/17 | 4,805 | ||||||||||
USD 70,808 | ZAR 923,854 | Standard Chartered Bank | 09/20/17 | 1,127 | ||||||||||
CNH 1,291,673 | USD 188,000 | Standard Chartered Bank | 09/20/17 | 1,391 | ||||||||||
USD 188,000 | CAD 249,423 | Standard Chartered Bank | 09/20/17 | (4,579 | ) | |||||||||
TRY 270,833 | USD 75,000 | Standard Chartered Bank | 09/20/17 | 256 | ||||||||||
AUD 252,350 | USD 193,111 | Standard Chartered Bank | 09/20/17 | 652 | ||||||||||
USD 430,265 | HKD 3,327,439 | Standard Chartered Bank | 03/27/18 | 1,961 | ||||||||||
USD 750,000 | HKD 5,809,624 | Standard Chartered Bank | 05/11/18 | 1,850 | ||||||||||
USD 449,000 | GBP 344,873 | State Street Bank and Trust Co. | 09/20/17 | (1,281 | ) | |||||||||
CAD 244,466 | USD 188,000 | State Street Bank and Trust Co. | 09/20/17 | 752 | ||||||||||
JPY 36,890,802 | USD 327,825 | State Street Bank and Trust Co. | 09/20/17 | 1,306 | ||||||||||
CAD 195,620 | USD 150,000 | State Street Bank and Trust Co. | 09/20/17 | 1,037 | ||||||||||
JPY 42,087,184 | USD 376,000 | State Street Bank and Trust Co. | 09/20/17 | (508 | ) | |||||||||
NOK 2,591,376 | CAD 401,770 | State Street Bank and Trust Co. | 09/20/17 | 669 | ||||||||||
JPY 21,100,867 | EUR 167,000 | State Street Bank and Trust Co. | 09/20/17 | (3,282 | ) | |||||||||
SEK 1,632,993 | EUR 167,000 | State Street Bank and Trust Co. | 09/20/17 | 3,172 | ||||||||||
AUD 497,000 | USD 376,594 | State Street Bank and Trust Co. | 09/20/17 | 5,018 | ||||||||||
JPY 41,881,307 | USD 377,000 | State Street Bank and Trust Co. | 09/20/17 | (3,345 | ) | |||||||||
NZD 258,000 | USD 188,214 | State Street Bank and Trust Co. | 09/20/17 | 575 | ||||||||||
JPY 8,418,233 | USD 75,941 | State Street Bank and Trust Co. | 09/20/17 | (836 | ) | |||||||||
NOK 6,002,124 | CAD 936,981 | State Street Bank and Trust Co. | 09/20/17 | (3,395 | ) | |||||||||
CAD 349,498 | USD 263,000 | State Street Bank and Trust Co. | 09/20/17 | 6,847 | ||||||||||
JPY 20,881,630 | USD 188,000 | State Street Bank and Trust Co. | 09/20/17 | (1,699 | ) | |||||||||
USD 188,000 | CAD 248,701 | State Street Bank and Trust Co. | 09/20/17 | (4,021 | ) | |||||||||
NOK 1,586,532 | USD 188,000 | State Street Bank and Trust Co. | 09/20/17 | 2,329 | ||||||||||
USD 376,000 | CAD 496,967 | State Street Bank and Trust Co. | 09/20/17 | (7,707 | ) | |||||||||
USD 75,000 | ZAR 988,403 | State Street Bank and Trust Co. | 09/20/17 | 451 | ||||||||||
USD 75,658 | NOK 640,245 | State Street Bank and Trust Co. | 09/20/17 | (1,150 | ) | |||||||||
JPY 20,517,568 | USD 188,000 | State Street Bank and Trust Co. | 09/20/17 | (4,947 | ) | |||||||||
JPY 20,661,200 | USD 188,000 | State Street Bank and Trust Co. | 09/20/17 | (3,666 | ) | |||||||||
JPY 8,660,581 | USD 79,260 | State Street Bank and Trust Co. | 09/20/17 | (1,992 | ) | |||||||||
USD 75,612 | AUD 99,583 | State Street Bank and Trust Co. | 09/20/17 | (851 | ) | |||||||||
USD 188,000 | CAD 249,036 | State Street Bank and Trust Co. | 09/20/17 | (4,280 | ) | |||||||||
EUR 168,000 | CHF 182,318 | State Street Bank and Trust Co. | 09/20/17 | 1,583 | ||||||||||
EUR 80,585 | CAD 119,750 | State Street Bank and Trust Co. | 09/20/17 | (32 | ) | |||||||||
JPY 20,634,880 | USD 188,000 | State Street Bank and Trust Co. | 09/20/17 | (3,900 | ) | |||||||||
USD 2,191,521 | AUD 2,910,232 | State Street Bank and Trust Co. | 09/20/17 | (43,049 | ) | |||||||||
USD 7,139,886 | JPY 782,792,076 | State Street Bank and Trust Co. | 09/20/17 | 155,996 | ||||||||||
CZK 11,290,908 | EUR 422,423 | State Street Bank and Trust Co. | 09/20/17 | 11,788 | ||||||||||
USD 202,725 | TWD 6,201,360 | UBS AG | 07/11/17 | (1,163 | ) | |||||||||
COP 575,161,200 | USD 193,934 | UBS AG | 08/11/17 | (6,270 | ) | |||||||||
USD 188,000 | JPY 21,026,709 | UBS AG | 09/20/17 | 405 | ||||||||||
JPY 20,992,042 | USD 188,000 | UBS AG | 09/20/17 | (714 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
EUR 330,000 | CHF 360,551 | UBS AG | 09/20/17 | $ | 567 | |||||||||
JPY 21,022,536 | USD 188,000 | UBS AG | 09/20/17 | (442 | ) | |||||||||
USD 188,000 | JPY 20,996,122 | UBS AG | 09/20/17 | 677 | ||||||||||
USD 75,000 | ZAR 995,288 | UBS AG | 09/20/17 | (68 | ) | |||||||||
PLN 1,417,385 | EUR 335,000 | UBS AG | 09/20/17 | (1,866 | ) | |||||||||
EUR 68,715 | PLN 291,682 | UBS AG | 09/20/17 | 127 | ||||||||||
PLN 49,431 | EUR 11,660 | UBS AG | 09/20/17 | (39 | ) | |||||||||
ZAR 986,423 | USD 75,000 | UBS AG | 09/20/17 | (601 | ) | |||||||||
USD 143,727 | NZD 197,714 | UBS AG | 09/20/17 | (948 | ) | |||||||||
JPY 21,047,446 | USD 188,000 | UBS AG | 09/20/17 | (220 | ) | |||||||||
CAD 301,012 | USD 226,000 | UBS AG | 09/20/17 | 6,411 | ||||||||||
USD 75,304 | EUR 67,000 | UBS AG | 09/20/17 | (1,541 | ) | |||||||||
JPY 9,302,002 | USD 83,570 | UBS AG | 09/20/17 | (580 | ) | |||||||||
EUR 101,000 | NOK 962,429 | UBS AG | 09/20/17 | 383 | ||||||||||
JPY 20,857,133 | USD 188,000 | UBS AG | 09/20/17 | (1,918 | ) | |||||||||
USD 187,977 | AUD 248,000 | UBS AG | 09/20/17 | (2,446 | ) | |||||||||
HUF 24,058,499 | EUR 78,036 | UBS AG | 09/20/17 | (235 | ) | |||||||||
USD 113,279 | AUD 149,085 | UBS AG | 09/20/17 | (1,193 | ) | |||||||||
EUR 68,039 | USD 76,348 | UBS AG | 09/20/17 | 1,689 | ||||||||||
USD 183,513 | EUR 163,296 | UBS AG | 09/20/17 | (3,778 | ) | |||||||||
USD 369,646 | CAD 487,389 | UBS AG | 09/20/17 | (6,666 | ) | |||||||||
USD 188,000 | JPY 20,470,079 | UBS AG | 09/20/17 | 5,371 | ||||||||||
EUR 169,000 | PLN 717,244 | UBS AG | 09/20/17 | 347 | ||||||||||
USD 188,000 | CAD 247,957 | UBS AG | 09/20/17 | (3,447 | ) | |||||||||
SEK 2,192,058 | NOK 2,130,953 | UBS AG | 09/20/17 | 5,731 | ||||||||||
CHF 1,775,791 | EUR 1,637,307 | UBS AG | 09/20/17 | (16,538 | ) | |||||||||
USD 361,836 | HKD 2,801,845 | UBS AG | 09/29/17 | 2,100 | ||||||||||
USD 366,510 | JPY 40,625,798 | Westpac Banking Corp. | 07/20/17 | 5,046 | ||||||||||
JPY 62,549,999 | USD 564,301 | Westpac Banking Corp. | 07/20/17 | (7,769 | ) | |||||||||
GBP 118,000 | USD 149,682 | Westpac Banking Corp. | 08/10/17 | 4,198 | ||||||||||
EUR 3,654,106 | USD 4,134,127 | Westpac Banking Corp. | 08/24/17 | 50,844 | ||||||||||
USD 5,001,765 | EUR 4,421,000 | Westpac Banking Corp. | 08/24/17 | (61,514 | ) | |||||||||
JPY 21,366,287 | EUR 170,825 | Westpac Banking Corp. | 09/20/17 | (5,301 | ) | |||||||||
AUD 100,000 | USD 75,314 | Westpac Banking Corp. | 09/20/17 | 1,469 | ||||||||||
NZD 103,000 | USD 75,042 | Westpac Banking Corp. | 09/20/17 | 327 | ||||||||||
GBP 159,138 | USD 201,136 | Westpac Banking Corp. | 09/20/17 | 6,641 | ||||||||||
USD 187,912 | NZD 260,000 | Westpac Banking Corp. | 09/20/17 | (2,340 | ) | |||||||||
USD 75,122 | NZD 104,000 | Westpac Banking Corp. | 09/20/17 | (979 | ) | |||||||||
AUD 247,000 | USD 187,841 | Westpac Banking Corp. | 09/20/17 | 1,813 | ||||||||||
USD 188,016 | NZD 260,000 | Westpac Banking Corp. | 09/20/17 | (2,236 | ) | |||||||||
EUR 669,779 | USD 751,445 | Westpac Banking Corp. | 09/20/17 | 16,753 | ||||||||||
AUD 247,000 | USD 187,573 | Westpac Banking Corp. | 09/20/17 | 2,082 | ||||||||||
AUD 249,000 | USD 187,370 | Westpac Banking Corp. | 09/20/17 | 3,820 | ||||||||||
CNH 1,520,841 | USD 222,079 | Westpac Banking Corp. | 09/20/17 | 914 | ||||||||||
EUR 1,326,561 | JPY 163,783,979 | Westpac Banking Corp. | 09/20/17 | 60,246 | ||||||||||
USD 777,486 | AUD 1,031,970 | Westpac Banking Corp. | 09/20/17 | (14,894 | ) | |||||||||
USD 123,992 | SGD 171,489 | Westpac Banking Corp. | 09/20/17 | (723 | ) | |||||||||
$ | 261,428 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Long Contracts | |||||||||||||||||||
90-Day Sterling | 154 | 03/21/18 | $ | 24,926,867 | $ | (241 | ) | ||||||||||||
Australia 3-Year Bond | 119 | 09/15/17 | 10,212,130 | (62,525 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 125 | 09/20/17 | 15,691,406 | (127,255 | ) | ||||||||||||||
U.S. Treasury 2-Year Note | 106 | 09/29/17 | 22,907,594 | (27,106 | ) | ||||||||||||||
U.S. Treasury Ultra Long Bond | 66 | 09/20/17 | 10,947,750 | 178,058 | |||||||||||||||
$ | 84,685,747 | $ | (39,069 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts | |||||||||||||||||||
90-Day Eurodollar | (80 | ) | 12/17/18 | $ | (19,640,000 | ) | $ | (20,142 | ) | ||||||||||
U.S. Treasury 5-Year Note | (263 | ) | 09/29/17 | (30,990,852 | ) | 104,686 | |||||||||||||
U.S. Treasury Long Bond | (8 | ) | 09/20/17 | (1,229,500 | ) | 14,197 | |||||||||||||
U.S. Treasury Ultra 10-Year Note | (2 | ) | 09/20/17 | (269,625 | ) | 445 | |||||||||||||
$ | (52,129,977 | ) | $ | 99,186 |
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX North American Emerging Markets Index, Series 27, Version 1 | Buy | (1.000) | 06/20/22 | USD 6,410,000 | $ | 294,258 | $ | (17,100) | |||||||||||||
$ | 294,258 | $ | (17,100) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 90,000 | $ | (1,429 | ) | $ | (301 | ) | $ | (1,128 | ) | |||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 360,000 | (5,717 | ) | (1,279 | ) | (4,438 | ) | ||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 50,000 | (880 | ) | 206 | (1,086 | ) | |||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 2,830,000 | (49,815 | ) | 20,688 | (70,503 | ) | |||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 40,000 | (704 | ) | 53 | (757 | ) | |||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 100,000 | (1,588 | ) | (63 | ) | (1,525 | ) | ||||||||||||
Citibank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 250,000 | (4,401 | ) | 446 | (4,847 | ) | |||||||||||||
Citibank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 1,680,000 | (29,573 | ) | 7,623 | (37,196 | ) | |||||||||||||
Citibank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 310,000 | (5,457 | ) | 1,277 | (6,734 | ) | |||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 1,080,000 | (19,011 | ) | 8,897 | (27,908 | ) | |||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 80,000 | (1,408 | ) | 241 | (1,649 | ) | |||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 10,000 | (176 | ) | (2 | ) | (174 | ) | ||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 160,000 | (2,817 | ) | 300 | (3,117 | ) | |||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 360,000 | (5,717 | ) | 1,197 | (6,914 | ) | |||||||||||||
JPMorgan Chase Bank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 110,000 | (1,936 | ) | 453 | (2,389 | ) | |||||||||||||
JPMorgan Chase Bank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 50,000 | (880 | ) | 89 | (969 | ) | |||||||||||||
JPMorgan Chase Bank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 20,000 | (352 | ) | 68 | (420 | ) | |||||||||||||
JPMorgan Chase Bank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 110,000 | (1,936 | ) | 321 | (2,257 | ) | |||||||||||||
$ | (133,797 | ) | $ | 40,214 | $ | (174,011 | ) |
(1) | 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 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
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. | ||
(2) | 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. | |
(3) | 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. |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Pay | 3-month CAD-CDOR | 1.250% | 09/20/2019 | CAD 87,430,000 | $ | (308,565 | ) | $ | (213,211 | ) | ||||||
Pay | 3-month CAD-CDOR | 1.500 | 09/20/2022 | CAD 4,660,000 | (50,113 | ) | (34,742 | ) | ||||||||
Pay | 6-month CHF-LIBOR | (0.554) | 03/29/2019 | CHF 19,980,000 | (8,985 | ) | (10,053 | ) | ||||||||
Pay | 6-month EUR-EURIBOR | 0.010 | 03/14/2019 | EUR 18,540,000 | 23,206 | 21,509 | ||||||||||
Pay | 6-month EUR-EURIBOR | 0.250 | 02/11/2021 | EUR 21,590,000 | (18,916 | ) | (23,407 | ) | ||||||||
Pay | 6-month EUR-EURIBOR | 0.250 | 09/20/2022 | EUR 16,920,000 | (76,853 | ) | (146,451 | ) | ||||||||
Pay | 6-month EUR-EURIBOR | 1.330 | 01/12/2027 | EUR 8,360,000 | (56,657 | ) | 8,056 | |||||||||
Pay | 6-month EUR-EURIBOR | 1.750 | 06/15/2027 | EUR 6,640,000 | 74,842 | (26,805 | ) | |||||||||
Pay | 6-month EUR-EURIBOR | 1.000 | 09/20/2027 | EUR 10,430,000 | 58,069 | (187,347 | ) | |||||||||
Pay | 6-month EUR-EURIBOR | 2.000 | 06/16/2037 | EUR 680,000 | (6,355 | ) | (6,125 | ) | ||||||||
Pay | 6-month EUR-EURIBOR | 1.750 | 06/17/2047 | EUR 460,000 | (642 | ) | (2,383 | ) | ||||||||
Pay | 6-month GBP-LIBOR | 3.230 | 09/15/1931 | GBP 510,000 | (33,200 | ) | 9,425 | |||||||||
Pay | 6-month GBP-LIBOR | 1.600 | 03/16/2027 | GBP 8,250,000 | (38,957 | ) | (70,552 | ) | ||||||||
Pay | 6-month GBP-LIBOR | 3.364 | 06/15/2027 | GBP 440,000 | (4,528 | ) | (4,510 | ) | ||||||||
Pay | 3-month SEK-STIBOR | 0.050 | 06/15/2018 | SEK 62,530,000 | 36,616 | (21,691 | ) | |||||||||
Pay | 3-month SEK-STIBOR | (0.330) | 09/15/2018 | SEK 61,360,000 | 4,658 | 3,554 | ||||||||||
Pay | 3-month SEK-STIBOR | (0.100) | 06/29/2019 | SEK 23,930,000 | (1,567 | ) | (1,563 | ) | ||||||||
Pay | 3-month SEK-STIBOR | 0.250 | 09/20/2022 | SEK 89,240,000 | (141,052 | ) | (118,484 | ) | ||||||||
Pay | 3-month USD-LIBOR | 2.250 | 12/20/2019 | USD 30,700,000 | 103,551 | 34,659 | ||||||||||
Pay | 3-month USD-LIBOR | 2.500 | 09/20/2027 | USD 2,560,000 | 44,911 | (37,203 | ) | |||||||||
Receive | 3-month AUD-BBSW | 1.800 | 09/20/2019 | AUD 14,410,000 | 40,628 | 28,096 | ||||||||||
Receive | 6-month AUD-BBSW | 2.250 | 09/20/2022 | AUD 170,000 | 1,698 | 1,431 | ||||||||||
Receive | 6-month AUD-BBSW | 3.500 | 12/21/2027 | AUD 4,000,000 | (14,982 | ) | 20,346 | |||||||||
Receive | 6-month GBP-LIBOR | 1.500 | 12/21/1931 | GBP 270,000 | 1,188 | 16,949 | ||||||||||
Receive | 6-month GBP-LIBOR | 1.940 | 01/11/1932 | GBP 6,490,000 | 19,551 | (37,518 | ) | |||||||||
Receive | 6-month GBP-LIBOR | 1.750 | 03/17/1937 | GBP 5,680,000 | 113,027 | 106,099 | ||||||||||
Receive | 6-month GBP-LIBOR | 1.000 | 03/11/2021 | GBP 4,240,000 | 4,558 | 6,974 | ||||||||||
Receive | 6-month GBP-LIBOR | 1.500 | 09/20/2027 | GBP 7,200,000 | (116,252 | ) | 204,434 | |||||||||
Receive | 6-month GBP-LIBOR | 1.500 | 09/20/2032 | GBP 1,720,000 | 19,602 | 58,412 | ||||||||||
Receive | 6-month GBP-LIBOR | 1.500 | 09/20/2047 | GBP 390,000 | 13,249 | 24,722 | ||||||||||
Receive | 6-month JPY-LIBOR | 0.750 | 06/16/2037 | JPY 29,250,000 | 7,935 | 848 | ||||||||||
Receive | 6-month JPY-LIBOR | 0.750 | 09/20/2037 | JPY 81,110,000 | (10,776 | ) | 4,850 | |||||||||
Receive | 3-month USD-LIBOR | 1.826 | 05/11/2019 | USD 13,920,000 | (11,878 | ) | (10,327 | ) | ||||||||
Receive | 3-month USD-LIBOR | 1.750 | 09/20/2019 | USD 11,240,000 | (15,045 | ) | 15,032 | |||||||||
Receive | 3-month USD-LIBOR | 2.250 | 02/11/2021 | USD 15,130,000 | (64,144 | ) | (91,384 | ) | ||||||||
Receive | 3-month USD-LIBOR | 2.000 | 09/20/2022 | USD 29,280,000 | (339 | ) | 154,767 | |||||||||
Receive | 3-month USD-LIBOR | 2.143 | 07/03/2023 | USD 1,000,000 | 497 | 497 | ||||||||||
Receive | 3-month USD-LIBOR | 2.750 | 12/21/2027 | USD 4,310,000 | (15,530 | ) | 11,559 | |||||||||
Receive | 3-month USD-LIBOR | 2.378 | 07/03/2028 | USD 2,690,000 | (8,444 | ) | (8,444 | ) | ||||||||
Receive | 3-month USD-LIBOR | 2.790 | 12/20/2028 | USD 4,380,000 | (125,576 | ) | (31,339 | ) | ||||||||
Receive | 3-month USD-LIBOR | 2.750 | 06/16/2037 | USD 890,000 | 2,474 | 753 | ||||||||||
Receive | 3-month USD-LIBOR | 2.500 | 06/17/2047 | USD 1,070,000 | 8,133 | 6,084 | ||||||||||
Receive | 3-month USD-LIBOR | 2.500 | 09/20/2047 | USD 600,000 | 6,169 | 18,100 | ||||||||||
Receive | 3-month USD-LIBOR | 2.560 | 07/03/2048 | USD 1,140,000 | 6,091 | 6,091 | ||||||||||
$ | (538,703 | ) | $ | (320,292 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Principal Amount | | Description | | | Contractual Settlement Date | | | | Fair Value | | ||
$(2,000,000) | Freddie Mac, 3.500%, due 07/1/45 | 07/13/17 | $ | (2,054,790 | ) | |||||||
(2,000,000) | Ginnie Mae, 4.000%, due 08/1/44 | 08/21/17 | (2,101,875 | ) | ||||||||
Total Sales Commitments Proceeds receivable $(4,168,984) | $ | (4,156,665 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
Asset Derivatives | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 1,379,768 | |||||
Interest rate contracts | Net Assets - Unrealized appreciation* | 297,386 | ||||||
Interest rate contracts | Net Assets - Unrealized appreciation** | 763,247 | ||||||
Credit contracts | Upfront payments paid on swap agreements | 41,859 | ||||||
Total Asset Derivatives | $ | 2,482,260 | ||||||
Liability Derivatives | ||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,118,340 | |||||
Interest rate contracts | Net Assets - Unrealized depreciation* | 237,269 | ||||||
Credit contracts | Net Assets - Unrealized depreciation** | 17,100 | ||||||
Interest rate contracts | Net Assets - Unrealized depreciation** | 1,083,539 | ||||||
Credit contracts | Upfront payments received on OTC swap agreements | 1,645 | ||||||
Credit contracts | Unrealized depreciation on OTC swap agreements | 174,011 | ||||||
Total Liability Derivatives | $ | 2,631,904 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
** | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | (125,887 | ) | $ | (125,887 | ) | ||||||||||||
Foreign exchange contracts | (536,063 | ) | — | — | (536,063 | ) | ||||||||||||||||
Interest rate contracts | — | 1,486,453 | 280,223 | 1,766,676 | ||||||||||||||||||
Total | $ | (536,063 | ) | $ | 1,486,453 | $ | 154,336 | $ | 1,104,726 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | (157,150 | ) | $ | (157,150 | ) | ||||||||||||
Foreign exchange contracts | (632,423 | ) | — | — | (632,423 | ) | ||||||||||||||||
Interest rate contracts | — | (573,700 | ) | 106,824 | (466,876 | ) | ||||||||||||||||
Total | $ | (632,423 | ) | $ | (573,700 | ) | $ | (50,326 | ) | $ | (1,256,449 | ) |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (CONTINUED) |
Bank of America N.A. | Barclays Bank PLC | BNP Paribas | Citibank N.A. | Credit Suisse International | Deutsche Bank AG | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | RBC Europe Limited | Royal Bank of Scotland PLC | Standard Chartered Bank | State Street Bank and Trust Co. | UBS AG | Westpac Banking Corp. | Totals | ||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 47,333 | $ | 88,009 | $ | 10,419 | $ | 175,024 | $ | 80,994 | $ | 126,307 | $ | 151,648 | $ | 303,189 | $ | 7,479 | $ | 7,840 | $ | 12,042 | $ | 191,523 | $ | 23,808 | $ | 154,153 | $ | 1,379,768 | ||||||||||||||||||||||||||||||||
Total Assets | $ | 47,333 | $ | 88,009 | $ | 10,419 | $ | 175,024 | $ | 80,994 | $ | 126,307 | $ | 151,648 | $ | 303,189 | $ | 7,479 | $ | 7,840 | $ | 12,042 | $ | 191,523 | $ | 23,808 | $ | 154,153 | $ | 1,379,768 | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 108,036 | $ | 161,975 | $ | 56,697 | $ | 135,350 | $ | 27,416 | $ | 150,253 | $ | 49,234 | $ | 113,957 | $ | 54,282 | $ | 4,702 | $ | 20,068 | $ | 89,941 | $ | 50,673 | $ | 95,756 | $ | 1,118,340 | ||||||||||||||||||||||||||||||||
OTC credit default swaps | — | 60,133 | — | 39,431 | — | 29,129 | 5,104 | — | — | — | — | — | — | — | 133,797 | |||||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 108,036 | $ | 222,108 | $ | 56,697 | $ | 174,781 | $ | 27,416 | $ | 179,382 | $ | 54,338 | $ | 113,957 | $ | 54,282 | $ | 4,702 | $ | 20,068 | $ | 89,941 | $ | 50,673 | $ | 95,756 | $ | 1,252,137 | ||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (60,703 | ) | $ | (134,099 | ) | $ | (46,278 | ) | $ | 243 | $ | 53,578 | $ | (53,075 | ) | $ | 97,310 | $ | 189,232 | $ | (46,803 | ) | $ | 3,138 | $ | (8,026 | ) | $ | 101,582 | $ | (26,865 | ) | $ | 58,397 | $ | 127,631 | |||||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | �� | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||||||
Net Exposure(1) | $ | (60,703 | ) | $ | (134,099 | ) | $ | (46,278 | ) | $ | 243 | $ | 53,578 | $ | (53,075 | ) | $ | 97,310 | $ | 189,232 | $ | (46,803 | ) | $ | 3,138 | $ | (8,026 | ) | $ | 101,582 | $ | (26,865 | ) | $ | 58,397 | $ | 127,631 |
(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. |
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
301 Bellevue Parkway
Wilmington, Delaware 19809
225 Liberty Street
New York, New York 10286
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE voyainvestments.com | ![]() VPSAR-VIT3AIS (0617-082417) |
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.
Complete schedule of investments filed herein.
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 27.5% | ||||||||||||||
Basic Materials: 1.1% | ||||||||||||||
175,000 | # | Glencore Finance Canada Ltd., 4.950%, 11/15/21 | 187,346 | 0.1 | ||||||||||
425,000 | # | Glencore Funding LLC, 4.125%, 05/30/23 | 436,657 | 0.2 | ||||||||||
224,000 | # | Glencore Funding LLC, 4.625%, 04/29/24 | 234,495 | 0.1 | ||||||||||
225,000 | LyondellBasell Industries NV, 5.000%, 04/15/19 | 235,318 | 0.1 | |||||||||||
250,000 | Sherwin-Williams Co/The, 2.250%, 05/15/20 | 250,713 | 0.1 | |||||||||||
75,000 | Sherwin-Williams Co/The, 2.750%, 06/01/22 | 75,032 | 0.0 | |||||||||||
75,000 | Sherwin-Williams Co/The, 3.125%, 06/01/24 | 75,474 | 0.1 | |||||||||||
425,000 | Sherwin-Williams Co/The, 3.450%, 06/01/27 | 428,902 | 0.2 | |||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 403,125 | 0.2 | ||||||||||
2,327,062 | 1.1 | |||||||||||||
Communications: 4.6% | ||||||||||||||
550,000 | 21st Century Fox America, Inc., 4.000%, 10/01/23 | 581,600 | 0.3 | |||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 807,268 | 0.4 | |||||||||||
75,000 | AT&T, Inc., 2.800%, 02/17/21 | 75,853 | 0.0 | |||||||||||
425,000 | AT&T, Inc., 3.200%, 03/01/22 | 430,594 | 0.2 | |||||||||||
700,000 | AT&T, Inc., 3.400%, 05/15/25 | 689,402 | 0.3 | |||||||||||
425,000 | AT&T, Inc., 3.000%, 06/30/22 | 426,221 | 0.2 | |||||||||||
341,000 | AT&T, Inc., 3.600%, 02/17/23 | 349,386 | 0.2 | |||||||||||
325,000 | AT&T, Inc., 3.800%, 03/15/22 | 336,710 | 0.2 | |||||||||||
100,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/22 | 106,652 | 0.1 | |||||||||||
625,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/25 | 676,357 | 0.3 | |||||||||||
275,000 | Cisco Systems, Inc., 2.200%, 02/28/21 | 276,607 | 0.1 | |||||||||||
293,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 312,219 | 0.1 | |||||||||||
230,000 | Nokia OYJ, 4.375%, 06/12/27 | 234,745 | 0.1 | |||||||||||
175,000 | Sprint Corp., 7.875%, 09/15/23 | 201,688 | 0.1 | |||||||||||
350,000 | # | Symantec Corp., 5.000%, 04/15/25 | 367,171 | 0.2 | ||||||||||
350,000 | Telefonica Emisiones SAU, 5.134%, 04/27/20 | 377,696 | 0.2 | |||||||||||
350,000 | Telefonica Emisiones SAU, 5.462%, 02/16/21 | 385,023 | 0.2 | |||||||||||
275,000 | Time Warner Cable LLC, 4.125%, 02/15/21 | 287,771 | 0.1 | |||||||||||
50,000 | Time Warner Cable LLC, 5.000%, 02/01/20 | 53,369 | 0.0 | |||||||||||
50,000 | Time Warner Cable LLC, 5.875%, 11/15/40 | 55,978 | 0.0 | |||||||||||
185,000 | L | T-Mobile USA, Inc., 4.000%, 04/15/22 | 192,992 | 0.1 | ||||||||||
600,000 | Verizon Communications, Inc., 2.450%, 11/01/22 | 588,782 | 0.3 | |||||||||||
818,000 | # | Verizon Communications, Inc., 2.946%, 03/15/22 | 824,492 | 0.4 | ||||||||||
50,000 | Verizon Communications, Inc., 4.125%, 03/16/27 | 51,747 | 0.0 | |||||||||||
1,025,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,139,926 | 0.5 | |||||||||||
9,830,249 | 4.6 | |||||||||||||
Consumer, Cyclical: 1.9% | ||||||||||||||
950,000 | CVS Health Corp., 3.375%, 08/12/24 | 967,250 | 0.5 | |||||||||||
275,000 | CVS Health Corp., 3.500%, 07/20/22 | 285,479 | 0.1 | |||||||||||
375,000 | Dollar Tree, Inc., 5.750%, 03/01/23 | 397,031 | 0.2 | |||||||||||
775,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 864,939 | 0.4 | |||||||||||
575,000 | General Motors Financial Co., Inc., 3.500%, 07/10/19 | 588,674 | 0.3 | |||||||||||
375,000 | MGM Resorts International, 6.625%, 12/15/21 | 421,875 | 0.2 | |||||||||||
250,000 | Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25 | 257,187 | 0.1 | |||||||||||
200,000 | Walgreens Boots Alliance, Inc., 3.450%, 06/01/26 | 199,978 | 0.1 | |||||||||||
3,982,413 | 1.9 | |||||||||||||
Consumer, Non-cyclical: 3.8% | ||||||||||||||
200,000 | AbbVie, Inc., 2.500%, 05/14/20 | 202,439 | 0.1 | |||||||||||
100,000 | Allergan Funding SCS, 4.850%, 06/15/44 | 108,707 | 0.1 | |||||||||||
150,000 | Aetna, Inc., 2.800%, 06/15/23 | 149,923 | 0.1 | |||||||||||
1,125,000 | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | 1,140,934 | 0.5 | |||||||||||
500,000 | Anheuser-Busch InBev Finance, Inc., 3.650%, 02/01/26 | 516,107 | 0.2 | |||||||||||
100,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46 | 113,476 | 0.1 |
See Accompanying Notes to Financial Statements
1 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 484,828 | 0.2 | ||||||||||
525,000 | Becton Dickinson and Co., 2.894%, 06/06/22 | 526,243 | 0.3 | |||||||||||
525,000 | Becton Dickinson and Co., 3.363%, 06/06/24 | 526,806 | 0.3 | |||||||||||
225,000 | Becton Dickinson and Co., 4.685%, 12/15/44 | 232,931 | 0.1 | |||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 713,105 | 0.3 | ||||||||||
225,000 | Kraft Heinz Foods Co., 2.800%, 07/02/20 | 228,507 | 0.1 | |||||||||||
275,000 | Kraft Heinz Foods Co., 4.375%, 06/01/46 | 269,096 | 0.1 | |||||||||||
375,000 | Medtronic, Inc., 3.150%, 03/15/22 | 388,275 | 0.2 | |||||||||||
100,000 | Molson Coors Brewing Co., 2.100%, 07/15/21 | 98,422 | 0.0 | |||||||||||
650,000 | Mylan NV, 3.950%, 06/15/26 | 659,875 | 0.3 | |||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 52,000 | 0.0 | ||||||||||
775,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 833,346 | 0.4 | |||||||||||
150,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/26 | 142,748 | 0.1 | |||||||||||
300,000 | Thermo Fisher Scientific, Inc., 3.000%, 04/15/23 | 302,785 | 0.1 | |||||||||||
225,000 | UnitedHealth Group, Inc., 4.750%, 07/15/45 | 259,455 | 0.1 | |||||||||||
200,000 | # | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24 | 210,750 | 0.1 | ||||||||||
8,160,758 | 3.8 | |||||||||||||
Energy: 4.0% | ||||||||||||||
550,000 | Anadarko Petroleum Corp., 3.450%, 07/15/24 | 538,128 | 0.3 | |||||||||||
125,000 | L | Anadarko Petroleum Corp., 5.550%, 03/15/26 | 139,939 | 0.1 | ||||||||||
400,000 | Antero Resources Corp., 5.625%, 06/01/23 | 407,000 | 0.2 | |||||||||||
420,000 | Apache Corp., 4.250%, 01/15/44 | 395,461 | 0.2 | |||||||||||
349,000 | Buckeye Partners L.P., 4.875%, 02/01/21 | 369,768 | 0.2 | |||||||||||
100,000 | #,L | Cenovus Energy, Inc., 4.250%, 04/15/27 | 95,460 | 0.0 | ||||||||||
75,000 | ConocoPhillips Co., 3.350%, 11/15/24 | 76,508 | 0.0 | |||||||||||
280,000 | Devon Energy Corp., 4.750%, 05/15/42 | 272,788 | 0.1 | |||||||||||
82,000 | Devon Energy Corp., 5.600%, 07/15/41 | 85,545 | 0.0 | |||||||||||
125,000 | Energy Transfer L.P., 4.650%, 06/01/21 | 131,965 | 0.1 | |||||||||||
75,000 | Energy Transfer L.P., 4.750%, 01/15/26 | 78,164 | 0.0 | |||||||||||
475,000 | Enterprise Products Operating L.P., 4.877%, 08/01/66 | 477,375 | 0.2 | |||||||||||
150,000 | Halliburton Co., 3.800%, 11/15/25 | 154,005 | 0.1 | |||||||||||
275,000 | Kinder Morgan Energy Partners L.P., 3.500%, 09/01/23 | 277,974 | 0.1 | |||||||||||
100,000 | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/24 | 103,486 | 0.1 | |||||||||||
525,000 | Kinder Morgan, Inc./DE, 3.050%, 12/01/19 | 534,445 | 0.3 | |||||||||||
50,000 | L | Laredo Petroleum, Inc., 6.250%, 03/15/23 | 49,875 | 0.0 | ||||||||||
110,000 | Petrobras Global Finance BV, 6.850%, 06/05/15 | 97,625 | 0.0 | |||||||||||
90,000 | Petrobras Global Finance BV, 8.375%, 05/23/21 | 100,969 | 0.0 | |||||||||||
340,000 | Petrobras Global Finance BV, 7.375%, 01/17/27 | 360,570 | 0.2 | |||||||||||
1,840,000 | Petroleos De Venezuela SA, 6.000%, 10/28/22 | 611,785 | 0.3 | |||||||||||
EUR | 220,000 | Petroleos Mexicanos, 5.125%, 03/15/23 | 283,128 | 0.1 | ||||||||||
250,000 | Pioneer Natural Resources Co., 3.450%, 01/15/21 | 257,040 | 0.1 | |||||||||||
100,000 | Pioneer Natural Resources Co., 3.950%, 07/15/22 | 104,889 | 0.1 | |||||||||||
200,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 3.650%, 06/01/22 | 204,227 | 0.1 | |||||||||||
425,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/26 | 430,670 | 0.2 | |||||||||||
375,000 | Sabine Pass Liquefaction LLC, 5.625%, 03/01/25 | 414,704 | 0.2 | |||||||||||
100,000 | Sabine Pass Liquefaction LLC, 6.250%, 03/15/22 | 113,337 | 0.1 | |||||||||||
425,000 | Western Gas Partners L.P., 3.950%, 06/01/25 | 422,983 | 0.2 | |||||||||||
580,000 | Williams Partners L.P., 3.600%, 03/15/22 | 593,115 | 0.3 | |||||||||||
200,000 | Williams Partners L.P., 3.900%, 01/15/25 | 202,532 | 0.1 | |||||||||||
8,385,460 | 4.0 | |||||||||||||
Financial: 8.8% | ||||||||||||||
450,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.625%, 07/01/22 | 482,762 | 0.2 | |||||||||||
200,000 | American International Group, Inc., 3.750%, 07/10/25 | 204,076 | 0.1 | |||||||||||
200,000 | American International Group, Inc., 4.800%, 07/10/45 | 214,585 | 0.1 |
See Accompanying Notes to Financial Statements
2 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
375,000 | American Campus Communities Operating Partnership L.P., 3.750%, 04/15/23 | 386,248 | 0.2 | |||||||||||
125,000 | American Tower Corp., 3.300%, 02/15/21 | 128,361 | 0.1 | |||||||||||
200,000 | American Tower Corp., 3.400%, 02/15/19 | 204,265 | 0.1 | |||||||||||
675,000 | Bank of America Corp., 3.248%, 10/21/27 | 653,761 | 0.3 | |||||||||||
400,000 | Bank of America Corp., 4.000%, 04/01/24 | 419,551 | 0.2 | |||||||||||
100,000 | Bank of America Corp., 6.110%, 01/29/37 | 122,902 | 0.1 | |||||||||||
275,000 | Bank of America Corp., 6.500%, 10/29/49 | 306,124 | 0.1 | |||||||||||
200,000 | # | BNP Paribas SA, 4.375%, 05/12/26 | 207,634 | 0.1 | ||||||||||
100,000 | # | Brighthouse Financial, Inc., 3.700%, 06/22/27 | 98,669 | 0.1 | ||||||||||
250,000 | Chubb Corp./The, 3.408%, 04/15/37 | 248,750 | 0.1 | |||||||||||
250,000 | Citigroup, Inc., 4.125%, 07/25/28 | 254,372 | 0.1 | |||||||||||
225,000 | Citigroup, Inc., 4.600%, 03/09/26 | 236,547 | 0.1 | |||||||||||
250,000 | # | Credit Agricole SA/London, 4.125%, 01/10/27 | 261,801 | 0.1 | ||||||||||
200,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 225,380 | 0.1 | ||||||||||
250,000 | # | Credit Suisse Group AG, 4.282%, 01/09/28 | 258,749 | 0.1 | ||||||||||
100,000 | Crown Castle International Corp., 2.250%, 09/01/21 | 98,498 | 0.1 | |||||||||||
375,000 | Crown Castle International Corp., 5.250%, 01/15/23 | 417,018 | 0.2 | |||||||||||
100,000 | Deutsche Bank AG/London, 2.500%, 02/13/19 | 100,415 | 0.1 | |||||||||||
350,000 | Education Realty Operating Partnership L.P., 4.600%, 12/01/24 | 356,378 | 0.2 | |||||||||||
306,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/35 | 334,039 | 0.2 | |||||||||||
50,000 | Hartford Financial Services Group, Inc./The, 5.125%, 04/15/22 | 55,556 | 0.0 | |||||||||||
450,000 | HSBC Holdings PLC, 3.262%, 03/13/23 | 458,775 | 0.2 | |||||||||||
500,000 | ING Bank NV, 4.125%, 11/21/23 | 511,961 | 0.2 | |||||||||||
525,000 | JPMorgan Chase & Co., 2.950%, 10/01/26 | 507,340 | 0.2 | |||||||||||
375,000 | JPMorgan Chase & Co., 2.972%, 01/15/23 | 379,698 | 0.2 | |||||||||||
1,700,000 | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/18 | 1,694,735 | 0.8 | |||||||||||
50,000 | # | Macquarie Bank Ltd., 6.625%, 04/07/21 | 56,389 | 0.0 | ||||||||||
50,000 | MetLife, Inc., 4.050%, 03/01/45 | 50,623 | 0.0 | |||||||||||
350,000 | Mitsubishi UFJ Financial Group, Inc., 2.950%, 03/01/21 | 355,830 | 0.2 | |||||||||||
1,000,000 | Morgan Stanley, 2.553%, 10/24/23 | 1,018,117 | 0.5 | |||||||||||
800,000 | Morgan Stanley, 3.700%, 10/23/24 | 821,861 | 0.4 | |||||||||||
25,000 | Morgan Stanley, 4.000%, 07/23/25 | 26,123 | 0.0 | |||||||||||
200,000 | National Retail Properties, Inc., 3.600%, 12/15/26 | 198,786 | 0.1 | |||||||||||
225,000 | Principal Financial Group, Inc., 3.100%, 11/15/26 | 222,174 | 0.1 | |||||||||||
300,000 | Realty Income Corp., 3.000%, 01/15/27 | 284,743 | 0.1 | |||||||||||
450,000 | Santander Holdings USA, Inc., 2.650%, 04/17/20 | 449,117 | 0.2 | |||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 478,377 | 0.2 | ||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 786,343 | 0.4 | |||||||||||
425,000 | TD Ameritrade Holding Corp., 2.950%, 04/01/22 | 435,132 | 0.2 | |||||||||||
100,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 112,347 | 0.1 | ||||||||||
225,000 | # | UBS Group Funding Switzerland AG, 3.000%, 04/15/21 | 228,634 | 0.1 | ||||||||||
800,000 | # | UniCredit SpA, 3.750%, 04/12/22 | 820,115 | 0.4 | ||||||||||
250,000 | # | UniCredit SpA, 4.625%, 04/12/27 | 264,248 | 0.1 | ||||||||||
350,000 | # | UniCredit SpA, 5.861%, 06/19/32 | 360,171 | 0.2 | ||||||||||
300,000 | Vereit Operating Partnership L.P., 3.000%, 02/06/19 | 303,132 | 0.1 | |||||||||||
250,000 | VEREIT Operating Partnership L.P., 4.125%, 06/01/21 | 262,015 | 0.1 | |||||||||||
175,000 | VEREIT Operating Partnership L.P., 4.875%, 06/01/26 | 185,661 | 0.1 | |||||||||||
750,000 | Wells Fargo & Co., 3.000%, 10/23/26 | 731,276 | 0.4 | |||||||||||
275,000 | Westpac Banking Corp., 4.322%, 11/23/31 | 282,426 | 0.1 | |||||||||||
18,562,590 | 8.8 | |||||||||||||
Industrial: 0.7% | ||||||||||||||
150,000 | # | Park Aerospace Holdings Ltd., 5.250%, 08/15/22 | 157,360 | 0.1 | ||||||||||
100,000 | # | Park Aerospace Holdings Ltd., 5.500%, 02/15/24 | 104,700 | 0.1 | ||||||||||
300,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 307,597 | 0.1 |
See Accompanying Notes to Financial Statements
3 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Industrial: (continued) | ||||||||||||||
200,000 | # | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/23 | 208,000 | 0.1 | ||||||||||
250,000 | Roper Technologies, Inc., 3.000%, 12/15/20 | 256,055 | 0.1 | |||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 404,063 | 0.2 | ||||||||||
1,437,775 | 0.7 | |||||||||||||
Technology: 2.1% | ||||||||||||||
475,000 | # | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.000%, 01/15/22 | 479,691 | 0.2 | ||||||||||
575,000 | # | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.625%, 01/15/24 | 588,913 | 0.3 | ||||||||||
225,000 | # | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 01/15/27 | 231,525 | 0.1 | ||||||||||
425,000 | Fidelity National Information Services, Inc., 3.625%, 10/15/20 | 445,505 | 0.2 | |||||||||||
300,000 | Fiserv, Inc., 2.700%, 06/01/20 | 303,800 | 0.2 | |||||||||||
200,000 | Hewlett Packard Enterprise Co., 4.900%, 10/15/25 | 210,046 | 0.1 | |||||||||||
400,000 | Microsoft Corp., 3.125%, 11/03/25 | 408,609 | 0.2 | |||||||||||
700,000 | # | NXP BV / NXP Funding LLC, 4.625%, 06/01/23 | 756,875 | 0.4 | ||||||||||
400,000 | Oracle Corp., 2.500%, 05/15/22 | 404,018 | 0.2 | |||||||||||
300,000 | Qualcomm, Inc., 2.600%, 01/30/23 | 299,260 | 0.1 | |||||||||||
300,000 | Qualcomm, Inc., 2.900%, 05/20/24 | 299,586 | 0.1 | |||||||||||
4,427,828 | 2.1 | |||||||||||||
Utilities: 0.5% | ||||||||||||||
525,000 | # | Enel Finance International NV, 2.875%, 05/25/22 | 526,264 | 0.2 | ||||||||||
250,000 | Puget Sound Energy, Inc., 6.974%, 06/01/67 | 240,625 | 0.1 | |||||||||||
400,000 | Southern Co/The, 2.350%, 07/01/21 | 397,423 | 0.2 | |||||||||||
1,164,312 | 0.5 | |||||||||||||
Total Corporate Bonds/Notes | ||||||||||||||
(Cost $57,334,904) | 58,278,447 | 27.5 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.6% | ||||||||||||||
300,548 | CHL Mortgage Pass-Through Trust 2005-25 A12, 5.500%, 11/25/35 | 270,001 | 0.1 | |||||||||||
EUR | 398,709 | # | Credit Suisse European Mortgage Capital Ltd. 2015-1HWA A, 2.750%, 04/20/20 | 447,417 | 0.2 | |||||||||
682,390 | ^ | Fannie Mae 2013-130 SN, 5.434%, 10/25/42 | 130,939 | 0.1 | ||||||||||
393,260 | ^ | Fannie Mae REMIC Trust 2011-124 SC, 5.334%, 12/25/41 | 71,866 | 0.0 | ||||||||||
357,399 | ^ | Fannie Mae REMIC Trust 2013-131 SA, 4.884%, 12/25/43 | 56,627 | 0.0 | ||||||||||
289,302 | ^ | Fannie Mae REMIC Trust 2013-96 SW, 4.884%, 09/25/43 | 46,587 | 0.0 | ||||||||||
667,319 | ^ | Fannie Mae REMIC Trust 2013-96 SY, 4.934%, 07/25/42 | 110,253 | 0.1 | ||||||||||
430,147 | ^ | Fannie Mae REMIC Trust 2014-87 MS, 5.034%, 01/25/45 | 69,370 | 0.0 | ||||||||||
614,167 | ^ | Fannie Mae REMIC Trust 2015-79 SA, 5.034%, 11/25/45 | 102,071 | 0.0 | ||||||||||
1,322,361 | ^ | Fannie Mae REMIC Trust 2015-81 SA, 4.484%, 11/25/45 | 186,992 | 0.1 | ||||||||||
329,072 | ^ | Fannie Mae REMIC Trust 2015-82 MS, 4.484%, 11/25/45 | 48,148 | 0.0 | ||||||||||
805,091 | ^ | Fannie Mae Series 2016-3 IP, 4.000%, 02/25/46 | 165,179 | 0.1 | ||||||||||
1,013,056 | ^ | Freddie Mac 4583 ST, 4.841%, 05/15/46 | 197,700 | 0.1 | ||||||||||
2,441,263 | ^ | Freddie Mac 4596 CS, 4.941%, 06/15/46 | 394,802 | 0.2 | ||||||||||
203,199 | ^ | Freddie Mac REMIC Trust 4320 SD, 4.941%, 07/15/39 | 32,290 | 0.0 | ||||||||||
467,422 | ^ | Freddie Mac REMIC Trust 4326 GS, 4.891%, 04/15/44 | 82,027 | 0.0 | ||||||||||
350,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 5.866%, 10/25/28 | 395,405 | 0.2 | |||||||||||
839,539 | ^ | Ginnie Mae 2014-20 SA, 4.888%, 02/20/44 | 139,288 | 0.1 | ||||||||||
747,436 | ^ | Ginnie Mae 2015-111 IM, 4.000%, 08/20/45 | 122,732 | 0.1 | ||||||||||
634,972 | ^ | Ginnie Mae 2015-119 SN, 5.038%, 08/20/45 | 108,952 | 0.1 | ||||||||||
578,313 | ^ | Ginnie Mae 2016-138 GI, 4.000%, 10/20/46 | 104,223 | 0.1 | ||||||||||
433,397 | ^ | Ginnie Mae Series 2010-20 SE, 5.038%, 02/20/40 | 73,172 | 0.0 | ||||||||||
258,909 | ^ | Ginnie Mae Series 2010-31 SA, 4.538%, 03/20/40 | 38,881 | 0.0 | ||||||||||
170,705 | ^ | Ginnie Mae Series 2012-149 MS, 5.038%, 12/20/42 | 28,753 | 0.0 | ||||||||||
95,573 | ^ | Ginnie Mae Series 2013-134 DS, 4.888%, 09/20/43 | 15,655 | 0.0 | ||||||||||
280,761 | ^ | Ginnie Mae Series 2013-152 SG, 4.938%, 06/20/43 | 46,611 | 0.0 | ||||||||||
628,863 | ^ | Ginnie Mae Series 2013-181 SA, 4.888%, 11/20/43 | 106,022 | 0.1 |
See Accompanying Notes to Financial Statements
4 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
945,217 | ^ | Ginnie Mae Series 2014-132 SL, 4.888%, 10/20/43 | 136,721 | 0.1 | ||||||||||
459,682 | ^ | Ginnie Mae Series 2014-133 BS, 4.388%, 09/20/44 | 65,627 | 0.0 | ||||||||||
107,614 | ^ | Ginnie Mae Series 2014-41 SA, 4.888%, 03/20/44 | 18,072 | 0.0 | ||||||||||
999,676 | ^ | Ginnie Mae Series 2015-110 MS, 4.498%, 08/20/45 | 151,988 | 0.1 | ||||||||||
292,791 | ^ | Ginnie Mae Series 2015-126 HS, 4.988%, 09/20/45 | 48,926 | 0.0 | ||||||||||
299,464 | ^ | Ginnie Mae Series 2015-159 HS, 4.988%, 11/20/45 | 50,211 | 0.0 | ||||||||||
677,346 | ^ | Ginnie Mae Series 2016-4 SM, 4.438%, 01/20/46 | 96,529 | 0.0 | ||||||||||
1,000,000 | # | Mortgage Repurchase Agreement Financing Trust Series 2016-1 A2, 2.174%, 04/10/19 | 1,000,284 | 0.5 | ||||||||||
250,000 | # | Mortgage Repurchase Agreement Financing Trust Series 2017-1 A1, 2.074%, 07/10/19 | 250,118 | 0.1 | ||||||||||
600,000 | # | Mortgage Repurchase Agreement Financing Trust, Series 2016-1, 2.124%, 04/10/19 | 600,098 | 0.3 | ||||||||||
950,000 | # | Mortgage Repurchase Agreement Financing Trust, Series 2016-2, 2.524%, 03/10/19 | 950,189 | 0.5 | ||||||||||
754,151 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 1A, 1.732%, 08/25/46 | 688,884 | 0.3 | |||||||||||
Total Collateralized Mortgage Obligations | ||||||||||||||
(Cost $7,463,548) | 7,649,610 | 3.6 | ||||||||||||
MUNICIPAL BONDS: 1.0% | ||||||||||||||
California: 0.5% | ||||||||||||||
400,000 | East Bay Municipal Utility District Water System Revenue, 5.874%, 06/01/40 | 526,448 | 0.2 | |||||||||||
350,000 | Bay Area Toll Authority, 7.043%, 04/01/50 | 535,552 | 0.3 | |||||||||||
1,062,000 | 0.5 | |||||||||||||
Minnesota: 0.1% | ||||||||||||||
250,000 | Northstar Education Finance, Inc., 1.272%, 04/28/30 | 246,897 | 0.1 | |||||||||||
Puerto Rico: 0.4% | ||||||||||||||
100,000 | ± | Commonwealth of Puerto Rico, 6.000%, 07/01/39 | 59,750 | 0.1 | ||||||||||
275,000 | ± | Commonwealth of Puerto Rico, 8.000%, 07/01/35 | 166,719 | 0.1 | ||||||||||
85,000 | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.250%, 07/01/42 | 66,189 | 0.1 | |||||||||||
210,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.250%, 08/01/41 | 54,338 | 0.0 | ||||||||||
70,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.250%, 08/01/43 | 18,113 | 0.0 | ||||||||||
25,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.375%, 08/01/38 | 6,469 | 0.0 | ||||||||||
1,000,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.500%, 08/01/37 | 258,750 | 0.1 | ||||||||||
110,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.750%, 08/01/37 | 28,462 | 0.0 | ||||||||||
220,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.000%, 08/01/43 | 56,925 | 0.0 | ||||||||||
45,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.750%, 08/01/32 | 11,981 | 0.0 | ||||||||||
150,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/39 | 39,188 | 0.0 | ||||||||||
65,000 | ± | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/42 | 16,981 | 0.0 | ||||||||||
783,865 | 0.4 | |||||||||||||
Total Municipal Bonds | ||||||||||||||
(Cost $2,554,448) | 2,092,762 | 1.0 | ||||||||||||
STRUCTURED PRODUCTS: 0.8% | ||||||||||||||
EGP | 5,000,000 | Z | Citibank N.A. - Fully-Funded Total Return Swap, Receive the total return of the Arab Republic of Egypt Treasury Bill, 19.390%, 02/08/18 | 247,215 | 0.1 | |||||||||
EGP | 5,080,000 | #,Z | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 18.540%, 08/10/17 | 276,139 | 0.2 | |||||||||
EGP | 5,000,000 | #,Z | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 11/02/17 | 257,936 | 0.1 | |||||||||
EGP | 12,550,000 | #,Z | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 19.000%, 05/03/18 | 593,999 | 0.3 |
See Accompanying Notes to Financial Statements
5 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
STRUCTURED PRODUCTS: (continued) | ||||||||||||||
EGP | 5,000,000 | Z | JPMorgan Chase Bank N.A. - Fully-Funded Total Return Swap, Receive the total return of the Arab Republic of Egypt Treasury Bill, 18.100%, 02/15/18 | 245,772 | 0.1 | |||||||||
Total Structured Products | ||||||||||||||
(Cost $1,644,184) | 1,621,061 | 0.8 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 32.8% | ||||||||||||||
Federal Home Loan Bank: 1.1% | ||||||||||||||
900,000 | 2.625%, due 09/12/25 | 905,180 | 0.4 | |||||||||||
1,300,000 | 2.875%, due 06/13/25 | 1,337,727 | 0.7 | |||||||||||
2,242,907 | 1.1 | |||||||||||||
Federal Home Loan Mortgage Corporation: 8.6%## | ||||||||||||||
15,000,000 | W | 4.000%, due 07/01/45 | 15,769,336 | 7.4 | ||||||||||
1,438,329 | 3.500%, due 04/01/43 | 1,484,529 | 0.7 | |||||||||||
889,714 | 3.500%, due 03/01/46 | 920,001 | 0.4 | |||||||||||
95,315 | 4.000%, due 02/01/41 | 100,674 | 0.1 | |||||||||||
55,935 | 4.000%, due 02/01/41 | 59,068 | 0.0 | |||||||||||
18,333,608 | 8.6 | |||||||||||||
Federal National Mortgage Association: 10.9%## | ||||||||||||||
1,400,000 | 1.875%, due 09/24/26 | 1,329,327 | 0.6 | |||||||||||
825,493 | 3.500%, due 10/01/42 | 851,414 | 0.4 | |||||||||||
649,145 | 3.500%, due 05/01/46 | 670,143 | 0.3 | |||||||||||
927,650 | 3.500%, due 06/01/46 | 962,821 | 0.5 | |||||||||||
9,000,000 | W | 3.500%, due 07/01/47 | 9,244,336 | 4.4 | ||||||||||
8,000,000 | W | 4.000%, due 08/01/45 | 8,396,406 | 4.0 | ||||||||||
800,826 | 4.500%, due 04/01/45 | 877,080 | 0.4 | |||||||||||
94,634 | 4.500%, due 05/01/45 | 103,500 | 0.0 | |||||||||||
141,943 | 6.000%, due 09/01/35 | 161,218 | 0.1 | |||||||||||
53,796 | 6.000%, due 09/01/36 | 61,189 | 0.0 | |||||||||||
55,299 | 6.000%, due 12/01/36 | 62,227 | 0.0 | |||||||||||
117,198 | 6.000%, due 07/01/37 | 133,132 | 0.1 | |||||||||||
145,944 | 6.000%, due 08/01/38 | 165,190 | 0.1 | |||||||||||
�� | 23,017,983 | 10.9 | ||||||||||||
Government National Mortgage Association: 12.2% | ||||||||||||||
3,239,121 | 4.000%, due 10/20/43 | 3,426,879 | 1.6 | |||||||||||
1,513,882 | 4.000%, due 07/20/45 | 1,595,011 | 0.7 | |||||||||||
387,647 | 4.000%, due 08/20/45 | 408,527 | 0.2 | |||||||||||
1,542,863 | 4.000%, due 09/20/45 | 1,625,545 | 0.8 | |||||||||||
2,524,431 | 4.000%, due 10/20/45 | 2,659,716 | 1.3 | |||||||||||
923,588 | 4.000%, due 11/20/45 | 973,083 | 0.5 | |||||||||||
1,097,532 | 4.000%, due 02/20/46 | 1,156,349 | 0.5 | |||||||||||
4,759,851 | 4.000%, due 03/20/46 | 5,014,933 | 2.4 | |||||||||||
6,635,788 | 4.000%, due 04/20/46 | 6,991,402 | 3.3 | |||||||||||
869,535 | 4.000%, due 05/20/46 | 916,134 | 0.4 | |||||||||||
997,991 | 4.000%, due 05/20/47 | 1,053,752 | 0.5 | |||||||||||
25,821,331 | 12.2 | |||||||||||||
Total U.S. Government Agency Obligations | ||||||||||||||
(Cost $69,772,899) | 69,415,829 | 32.8 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 13.3% | ||||||||||||||
Treasury Inflation Indexed Protected Securities: 1.1% | ||||||||||||||
264,840 | 0.125%, due 01/15/23 | 262,521 | 0.1 | |||||||||||
309,714 | 0.250%, due 01/15/25 | 304,318 | 0.1 | |||||||||||
429,668 | 0.625%, due 01/15/24 | 435,937 | 0.2 | |||||||||||
823,272 | 0.625%, due 01/15/26 | 828,850 | 0.4 | |||||||||||
212,724 | 0.875%, due 02/15/47 | 206,657 | 0.1 | |||||||||||
284,728 | 2.500%, due 01/15/29 | 342,627 | 0.2 | |||||||||||
2,380,910 | 1.1 | |||||||||||||
U.S. Treasury Bonds: 5.4% | ||||||||||||||
5,900,000 | 2.250%, due 11/15/25 | 5,901,729 | 2.8 | |||||||||||
2,760,000 | 2.875%, due 11/15/46 | 2,780,537 | 1.3 | |||||||||||
2,160,000 | 3.000%, due 11/15/45 | 2,228,934 | 1.0 | |||||||||||
590,000 | 3.000%, due 05/15/47 | 610,062 | 0.3 | |||||||||||
11,521,262 | 5.4 | |||||||||||||
U.S. Treasury Notes: 5.8% | ||||||||||||||
3,180,000 | 2.125%, due 03/31/24 | 3,181,924 | 1.5 | |||||||||||
5,270,000 | 2.000%, due 04/30/24 | 5,229,753 | 2.5 | |||||||||||
2,130,000 | 2.000%, due 05/31/24 | 2,112,568 | 1.0 | |||||||||||
1,800,000 | 2.250%, due 01/31/24 | 1,816,699 | 0.8 | |||||||||||
12,340,944 | 5.8 | |||||||||||||
U.S. Treasury STRIP: 1.0% | ||||||||||||||
1,930,000 | ^ | 2.696%, due 02/15/36 | 1,162,738 | 0.6 | ||||||||||
1,500,000 | ^,(a) | 2.718%, due 08/15/36 | 885,020 | 0.4 | ||||||||||
2,047,758 | 1.0 | |||||||||||||
Total U.S. Treasury Obligations | ||||||||||||||
(Cost $28,287,783) | 28,290,874 | 13.3 | ||||||||||||
ASSET-BACKED SECURITIES: 17.9% | ||||||||||||||
Other Asset-Backed Securities: 9.3% | ||||||||||||||
250,000 | # | B&M CLO 2014-1A A2, 3.108%, 04/16/26 | 249,998 | 0.1 | ||||||||||
1,050,000 | # | BlueMountain CLO 2014-2A AR, 2.369%, 07/20/26 | 1,050,000 | 0.5 | ||||||||||
1,323,300 | # | Crown Point CLO III Ltd. 2015-3A A1A, 2.568%, 12/31/27 | 1,324,622 | 0.6 | ||||||||||
1,050,000 | # | Cutwater 2014-1A A1AR Ltd., 2.469%, 07/15/26 | 1,049,998 | 0.5 | ||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 2.756%, 04/25/27 | 650,167 | 0.3 | ||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A, 2.606%, 04/20/27 | 801,002 | 0.4 | ||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A, 2.546%, 07/25/27 | 1,048,566 | 0.5 | ||||||||||
1,583,955 | # | ICG US CLO 2014-1A A1, 2.306%, 04/20/26 | 1,579,485 | 0.7 | ||||||||||
1,050,000 | # | Neuberger Berman CLO XIX Ltd. 2015-19A A1R, 2.354%, 07/15/27 | 1,050,000 | 0.5 | ||||||||||
983,746 | # | OFSI Fund VI Ltd. 2014-6A A1, 2.188%, 03/20/25 | 975,919 | 0.5 | ||||||||||
2,044,795 | # | OFSI Fund VII Ltd. 2014-7A A, 2.498%, 10/18/26 | 2,045,895 | 1.0 | ||||||||||
505,205 | # | OFSI Fund VII Ltd. 2014-7A B, 3.288%, 10/18/26 | 505,223 | 0.2 | ||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 2.688%, 04/15/27 | 1,651,020 | 0.8 |
See Accompanying Notes to Financial Statements
6 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Other Asset-Backed Securities: (continued) | ||||||||||||||
1,000,000 | Soundview Home Loan Trust 2005-2 M6, 2.296%, 07/25/35 | 990,899 | 0.5 | |||||||||||
800,000 | # | Trinitas CLO II Ltd. 2014-2A A1R, 2.339%, 07/15/26 | 799,981 | 0.4 | ||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 2.668%, 07/15/27 | 1,002,377 | 0.5 | ||||||||||
480,395 | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust A3, 1.446%, 04/25/37 | 457,314 | 0.2 | |||||||||||
1,500,000 | # | York CLO 1 Ltd. 2014-1A AR, 2.303%, 01/22/27 | 1,499,991 | 0.7 | ||||||||||
916,981 | # | Z Capital Credit Partners CLO Ltd. 2015-1A A1, 2.488%, 07/16/27 | 914,169 | 0.4 | ||||||||||
19,646,626 | 9.3 | |||||||||||||
Student Loan Asset-Backed Securities: 8.6% | ||||||||||||||
1,150,000 | # | Academic Loan Funding Trust 2012-1A A2, 2.316%, 12/27/44 | 1,148,482 | 0.5 | ||||||||||
235,801 | # | Bank of America Student Loan Trust 2010-1A A, 1.956%, 02/25/43 | 237,142 | 0.1 | ||||||||||
178,242 | Brazos Higher Education Authority, Inc. 2005-2 A11, 1.293%, 09/27/21 | 178,184 | 0.1 | |||||||||||
911,429 | # | ECMC Group Student Loan Trust 2016-1, 2.566%, 07/26/66 | 913,793 | 0.4 | ||||||||||
611,995 | # | Edsouth Indenture No 9 LLC 2015-1 A, 2.016%, 10/25/56 | 608,410 | 0.3 | ||||||||||
1,100,000 | # | EFS Volunteer No 2 LLC 2012-1 A2, 2.566%, 03/25/36 | 1,119,381 | 0.5 | ||||||||||
650,000 | # | EFS Volunteer No 3 LLC 2012-1 A3, 2.216%, 04/25/33 | 654,546 | 0.3 | ||||||||||
600,000 | Montana Higher Education Student Assistance Corp. 2012-1 A3, 2.262%, 07/20/43 | 591,065 | 0.3 | |||||||||||
1,829,961 | # | Navient Student Loan Trust 2016-5A A, 2.466%, 06/25/65 | 1,861,448 | 0.9 | ||||||||||
887,594 | # | Navient Student Loan Trust 2016-7 A, 2.366%, 03/25/66 | 898,100 | 0.4 | ||||||||||
1,050,000 | # | Nelnet Student Loan Trust 2006-1 A6, 1.636%, 08/23/36 | 1,011,065 | 0.5 | ||||||||||
937,280 | # | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 2.366%, 09/25/65 | 947,631 | 0.5 | ||||||||||
309,108 | # | Scholar Funding Trust 2010-A A, 1.922%, 10/28/41 | 304,959 | 0.2 | ||||||||||
649,611 | # | SLM Student Loan Trust 2003-1 A5A, 1.356%, 12/15/32 | 620,901 | 0.3 | ||||||||||
859,929 | # | SLM Student Loan Trust 2003-7A A5A, 2.446%, 12/15/33 | 869,856 | 0.4 | ||||||||||
800,000 | # | SLM Student Loan Trust 2004-8A A6, 1.786%, 01/25/40 | 791,141 | 0.4 | ||||||||||
703,497 | SLM Student Loan Trust 2005-4 A3, 1.276%, 01/25/27 | 700,038 | 0.3 | |||||||||||
250,000 | SLM Student Loan Trust 2005-5 A5, 1.906%, 10/25/40 | 244,989 | 0.1 | |||||||||||
405,119 | SLM Student Loan Trust 2007-1 A5, 1.246%, 01/26/26 | 403,807 | 0.2 | |||||||||||
750,000 | SLM Student Loan Trust 2007-2 A4, 1.216%, 07/25/22 | 726,794 | 0.3 | |||||||||||
468,297 | SLM Student Loan Trust 2007-7 A4, 1.486%, 01/25/22 | 461,457 | 0.2 | |||||||||||
168,996 | SLM Student Loan Trust 2008-2 A3, 1.906%, 04/25/23 | 168,352 | 0.1 | |||||||||||
474,051 | SLM Student Loan Trust 2008-4 A4, 2.806%, 07/25/22 | 486,132 | 0.2 | |||||||||||
1,275,793 | SLM Student Loan Trust 2008-5 A4, 2.856%, 07/25/23 | 1,311,639 | 0.6 | |||||||||||
600,000 | SLM Student Loan Trust 2008-6 A4, 2.256%, 07/25/23 | 604,255 | 0.3 | |||||||||||
350,000 | SLM Student Loan Trust 2008-8 A4, 2.656%, 04/25/23 | 358,574 | 0.2 | |||||||||||
18,222,141 | 8.6 | |||||||||||||
Total Asset-Backed Securities | ||||||||||||||
(Cost $37,448,521) | 37,868,767 | 17.9 | ||||||||||||
FOREIGN GOVERNMENT BONDS: 3.3% | ||||||||||||||
460,000 | # | Argentine Republic Government International Bond, 7.125%, 06/28/17 | 418,140 | 0.2 | ||||||||||
BRL | 439,000 | Brazil Notas do Tesouro Nacional Series B, 6.000%, 08/15/50 | 426,894 | 0.2 | ||||||||||
520,000 | Colombia Government International Bond, 4.000%, 02/26/24 | 541,060 | 0.2 | |||||||||||
160,000 | Dominican Republic International Bond, 5.500%, 01/27/25 | 166,000 | 0.1 | |||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | 352,750 | 0.2 | ||||||||||
290,000 | Dominican Republic International Bond, 6.850%, 01/27/45 | 310,300 | 0.1 | |||||||||||
200,000 | Ecuador Government International Bond, 9.650%, 12/13/26 | 200,740 | 0.1 |
See Accompanying Notes to Financial Statements
7 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | ||||||||||||||
200,000 | # | Indonesia Government International Bond, 3.700%, 01/08/22 | 206,039 | 0.1 | ||||||||||
200,000 | Indonesia Government International Bond, 4.125%, 01/15/25 | 206,716 | 0.1 | |||||||||||
260,000 | # | Indonesia Government International Bond, 4.350%, 01/08/27 | 271,458 | 0.1 | ||||||||||
400,000 | Indonesia Government International Bond, 5.375%, 10/17/23 | 445,206 | 0.2 | |||||||||||
1,039,000 | Israel Government AID Bond, 5.500%, 12/04/23 | 1,236,162 | 0.6 | |||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,637,958 | 0.8 | |||||||||||
MXN | 434,700 | Mexican Bonos, 7.750%, 11/23/34 | 25,748 | 0.0 | ||||||||||
MXN | 19,100 | Mexican Bonos, 8.000%, 11/07/47 | 1,148 | 0.0 | ||||||||||
240,000 | Mexico Government International Bond, 4.600%, 01/23/46 | 235,272 | 0.1 | |||||||||||
130,000 | Mexico Government International Bond, 4.750%, 03/08/44 | 130,455 | 0.1 | |||||||||||
BRL | 1,004,000 | Nota Do Tesouro Nacional, 01/01/27 | 294,427 | 0.1 | ||||||||||
Total Foreign Government Bonds | ||||||||||||||
(Cost $7,006,164) | 7,106,473 | 3.3 |
Shares | Value | Percentage of Net Assets | ||||||||||||
PREFERRED STOCK: 0.1% | ||||||||||||||
Financials: 0.1% | ||||||||||||||
9,690 | @,P | Delphi Financial Group, Inc. | 208,941 | 0.1 | ||||||||||
Total Preferred Stock | ||||||||||||||
(Cost $215,552) | 208,941 | 0.1 | ||||||||||||
Total Long-Term Investments | ||||||||||||||
(Cost $211,728,003) | 212,532,764 | 100.3 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: 14.3% | ||||||||||||||
Corporate Bonds/Notes: 0.7% | ||||||||||||||
975,000 | Allergan Funding SCS, 2.350%, 03/12/18 | 979,250 | 0.4 | |||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 580,400 | 0.3 | |||||||||||
1,559,650 | 0.7 | |||||||||||||
Securities Lending Collateralcc: 0.2% | ||||||||||||||
457,808 | BNP Paribas S.A., Repurchase Agreement dated 06/30/17, 1.10%, due 07/03/17 (Repurchase Amount $457,849, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $466,964, due 07/20/17-09/09/49) | 457,808 | 0.2 | |||||||||||
25,385 | HSBC Securities USA, Repurchase Agreement dated 06/30/17, 1.06%, due 07/03/17 (Repurchase Amount $25,387, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.250%, Market Value plus accrued interest $25,893, due 07/15/17-01/15/37) | 25,385 | 0.0 | |||||||||||
12,468 | Jefferies LLC, Repurchase Agreement dated 06/30/17, 1.24%, due 07/03/17 (Repurchase Amount $12,469, collateralized by various U.S. Government Agency Obligations, 0.000%-7.125%, Market Value plus accrued interest $12,717, due 07/07/17-01/15/30) | 12,468 | 0.0 | |||||||||||
495,661 | 0.2 | |||||||||||||
Collateralized Mortgage Obligations: 0.2% | ||||||||||||||
500,000 | # | Station Place Securitization Trust 2015-2, 2.189%, 05/15/18 | ||||||||||||
(Cost $500,000) | 500,000 | 0.2 | ||||||||||||
U.S. Treasury Obligations: 2.6% | ||||||||||||||
5,394,831 | United States Treasury Inflation Indexed Bonds, 0.125%, 04/15/18 | |||||||||||||
(Cost $5,411,816) | 5,377,341 | 2.6 |
See Accompanying Notes to Financial Statements
8 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2017 (Unaudited) (continued) |
Shares | Value | Percentage of Net Assets | ||||||||||||
Mutual Funds: 10.6% | ||||||||||||||
22,400,354 | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.860%†† | |||||||||||||
(Cost $22,400,354) | 22,400,354 | 10.6 | ||||||||||||
Total Short-Term Investments | ||||||||||||||
(Cost $30,363,089) | 30,333,006 | 14.3 | ||||||||||||
Total Investments in Securities (Cost $242,091,092) | $ | 242,865,770 | 114.6 | |||||||||||
Liabilities in Excess of Other Assets | (30,951,593 | ) | (14.6 | ) | ||||||||||
Net Assets | $ | 211,914,177 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2017. |
# | 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. |
## | 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. |
@ | Non-income producing security. |
P | Preferred Stock may be called prior to convertible date. |
cc | Represents securities purchased with cash collateral received for securities on loan. |
W | Settlement is on a when-issued or delayed-delivery basis. |
L | Loaned security, a portion or all of the security is on loan at June 30, 2017. |
± | Defaulted security |
^ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
Z | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2017. |
(a) | Separate Trading of Registered Interest and Principal of Securities |
BRL | Brazilian Real |
EGP | Egyptian Pound |
EUR | EU Euro |
MXN | Mexican Peso |
Cost for federal income tax purposes is $242,206,696.
Net unrealized appreciation consists of:
Gross Unrealized Appreciation | $ | 2,354,665 | ||
Gross Unrealized Depreciation | (1,695,591 | ) | ||
Net Unrealized Appreciation | $ | 659,074 |
See Accompanying Notes to Financial Statements
9 |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | The Code of Ethics is not required for the semi-annual filing. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant is required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
(a)(3) | Not required for semi-annual filing. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust
By | /s/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: September 6, 2017
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/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: September 6, 2017
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: September 6, 2017